UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

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)

	Alan Goldberg
	K&L Gates LLP
Paul J. Smith	Three First National Plaza
One State Farm Plaza	70 West Madison St., Suite 3100
Bloomington, Illinois 61710-0001	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: 12/31/2014

Date of reporting period: 03/31/2014

ITEM 1. SCHEDULE OF INVESTMENTS.

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (98.42%)
Consumer Discretionary (15.34%)
Advance Auto Parts Inc.		35,875	$	4,538,188
AMC Networks Inc. Class A (a)		54,500		3,983,404
Best Buy Co. Inc.		68,500		1,809,085
Chipotle Mexican Grill Inc. (a)		4,100		2,329,005
Comcast Corp. Class A		131,100		6,557,622
Delphi Automotive PLC		50,200		3,406,572
DIRECTV (a)		29,400		2,246,748
Ford Motor Co.		129,200		2,015,520
Fossil Group Inc. (a)		16,600		1,935,726
GAP Inc., The		43,700		1,750,622
Garmin Ltd.		45,900		2,536,434
Goodyear Tire & Rubber Co., The		90,500		2,364,765
Hanesbrands Inc.		33,900		2,592,672
Home Depot Inc., The		31,400		2,484,682
Lear Corp.		27,400		2,293,928
Macy’s Inc.		40,400		2,395,316
PetSmart Inc.		11,200		771,568
Polaris Industries Inc.		17,800		2,486,838
Starbucks Corp.		26,400		1,937,232
Target Corp.		92,100		5,572,971
Time Warner Inc.		59,700		3,900,201
Twenty-First Century Fox Inc. Class A		71,700		2,292,249
Viacom Inc. Class B		47,500		4,037,025
				66,238,373
Consumer Staples (7.80%)
Colgate-Palmolive Co.		87,200		5,656,664
Costco Wholesale Corp.		18,000		2,010,240
General Mills Inc.		93,800		4,860,716
Herbalife Ltd.		30,900		1,769,643
Hershey Co., The		21,300		2,223,720
Kroger Co., The		53,300		2,326,545
McCormick & Company Inc.		56,500		4,053,310
Nu Skin Enterprises Inc. Class A		17,800		1,474,730
PepsiCo Inc.		72,500		6,053,750
Safeway Inc.		88,700		3,276,578
				33,705,896
Energy (5.78%)
Chevron Corp.		31,800		3,781,338
ConocoPhillips		20,400		1,435,140
EOG Resources Inc.		24,200		4,747,314
EQT Corp.		22,600		2,191,522
Exxon Mobil Corp.		44,100		4,307,688
Marathon Petroleum Corp.		25,600		2,228,224
Noble Energy Inc.		31,700		2,251,968
Occidental Petroleum Corp.		42,300		4,030,767
				24,973,961
Financials (12.66%)
American International Group Inc.		80,700		4,035,807
American Tower Corp.		21,100		1,727,457
Arch Capital Group Ltd. (a)		37,000		2,128,980
Bank of America Corp.		359,900		6,190,280
Capital One Financial Corp.		88,400		6,820,944

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
CIT Group Inc.		74,300	$	3,642,186
Discover Financial Services		38,200		2,222,858
Hartford Financial Services Group Inc., The		117,300		4,137,171
Invesco Ltd.		18,100		669,700
JPMorgan Chase & Co.		100,000		6,071,000
McGraw Hill Financial Inc.		29,400		2,243,220
MetLife Inc.		74,700		3,944,160
Prudential Financial Inc.		25,200		2,133,180
Wells Fargo & Co.		175,600		8,734,344
				54,701,287
Health Care (12.11%)
Abbott Laboratories		103,400		3,981,934
Actavis PLC (a)		11,700		2,408,445
Becton, Dickinson and Co.		36,200		4,238,296
Cigna Corp.		39,400		3,298,962
Cooper Companies Inc., The		17,000		2,335,120
Covidien PLC		56,500		4,161,790
Eli Lilly and Co.		42,700		2,513,322
Express Scripts Holding Co. (a)		57,200		4,295,148
GlaxoSmithKline PLC Sponsored ADR		76,400		4,082,052
HCA Holdings Inc. (a)		58,600		3,076,500
Illumina Inc. (a)		21,900		3,255,654
Johnson & Johnson		84,500		8,300,435
Regeneron Pharmaceuticals Inc. (a)		14,100		4,233,948
Waters Corp. (a)		19,600		2,124,836
				52,306,442
Industrials (15.93%)
Boeing Co., The		19,000		2,384,310
Cintas Corp.		37,900		2,259,219
Danaher Corp.		29,400		2,205,000
Delta Air Lines Inc.		112,900		3,911,985
Equifax Inc.		37,400		2,544,322
FedEx Corp.		21,500		2,850,040
General Dynamics Corp.		39,300		4,280,556
General Electric Co.		144,800		3,748,872
Honeywell International Inc.		69,600		6,456,096
Lockheed Martin Corp.		14,300		2,334,332
MSC Industrial Direct Co. Inc. Class A		45,700		3,953,964
Northrop Grumman Corp.		19,700		2,430,586
Snap-on Inc.		20,400		2,314,992
Southwest Airlines Co.		124,400		2,937,084
Union Pacific Corp.		37,700		7,074,782
United Continental     Holdings Inc. (a)		98,200		4,382,666
United Rentals Inc. (a)		28,000		2,658,320
United Technologies Corp.		38,300		4,474,972
W.W. Grainger Inc.		7,500		1,894,950
WESCO International Inc. (a)		44,600		3,711,612
				68,808,660
Information Technology (20.03%)
Accenture PLC Class A		50,800		4,049,776
Alliance Data Systems Corp. (a)		16,900		4,604,405

See accompanying notes to schedules of investments. 1

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Amdocs Ltd.		137,400	$	6,383,604
Amphenol Corp. Class A		25,200		2,309,580
Apple Inc.		17,775		9,540,554
Automatic Data Processing Inc.		28,800		2,225,088
Cognizant Technology Solutions Corp. Class A (a)		47,800		2,419,158
Electronic Arts Inc. (a)		82,800		2,402,028
Fiserv Inc. (a)		44,800		2,539,712
Gartner Inc. (a)		36,000		2,499,840
Google Inc. Class A (a)		2,200		2,451,922
Hewlett-Packard Co.		74,500		2,410,820
IAC/InterActiveCorp		36,100		2,577,179
International Business Machines Corp.		13,400		2,579,366
Intuit Inc.		34,100		2,650,593
LinkedIn Corp. Class A (a)		12,600		2,330,244
MasterCard Inc. Class A		33,000		2,465,100
Microsoft Corp.		73,000		2,992,270
NetSuite Inc. (a)		20,500		1,944,015
Oracle Corp.		55,800		2,282,778
Paychex Inc.		52,100		2,219,460
QUALCOMM Inc.		56,300		4,439,818
Rackspace Hosting Inc. (a)		33,800		1,109,316
Seagate Technology PLC		58,600		3,290,976
Skyworks Solutions Inc. (a)		144,000		5,402,880
Visa Inc. Class A		10,900		2,352,874
Western Digital Corp.		24,500		2,249,590
Western Union Co.		108,900		1,781,604
				86,504,550
Materials (5.05%)
CF Industries Holdings Inc.		6,800		1,772,352
Dow Chemical Co., The		45,900		2,230,281
LyondellBasell Industries NV Class A		28,400		2,525,896
Praxair Inc.		19,000		2,488,430
Rock-Tenn Co. Class A		59,500		6,281,415
Sealed Air Corp.		65,600		2,156,272
Sherwin-Williams Co., The		22,200		4,376,286
				21,830,932
Telecommunication Services (2.14%)
AT&T Inc.		121,000		4,243,470
Level 3 Communications Inc. (a)		70,900		2,775,026
Verizon Communications Inc.		46,300		2,202,491
				9,220,987
Utilities (1.58%)
Exelon Corp.		77,900		2,614,324
NextEra Energy Inc.		44,200		4,226,404
				6,840,728
Total Common Stocks
(cost $321,623,412)				425,131,816

	Shares		Value
Short-term Investments (1.67%)
JPMorgan U.S. Government Money Market Fund		7,193,176	$	7,193,176
Total Short-term Investments
(cost $ 7,193,176)				7,193,176
TOTAL INVESTMENTS (100.09%)
(cost $ 328,816,588)				432,324,992
LIABILITIES, NET OF OTHER ASSETS (-0.09%)				(391,112	)
NET ASSETS (100.00%)			$	431,933,880

(a) Non-income producing security.

ADR - American Depositary Receipt

2 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (99.01%)
Consumer Discretionary (13.28%)
AMC Networks Inc. Class A (a)		10,630	$	776,947
BorgWarner Inc.		37,770		2,321,722
Brown Shoe Company Inc.		62,300		1,653,442
Brunswick Corp.		14,080		637,683
Cumulus Media Inc. Class A (a)		241,200		1,666,692
Discovery Communications Inc. Class A (a)		16,270		1,345,529
Foot Locker Inc.		32,940		1,547,521
Harman International Industries Inc.		23,040		2,451,456
hhgregg Inc. (a)		76,400		734,204
HomeAway Inc. (a)		32,760		1,234,069
Johnson Controls Inc.		28,330		1,340,576
Lennar Corp. Class A		38,990		1,544,784
Lions Gate Entertainment Corp.		42,580		1,138,163
Live Nation Entertainment Inc. (a)		40,350		877,612
LKQ Corp. (a)		56,490		1,488,512
Marriott International Inc. Class A		18,700		1,047,574
Men’s Wearhouse Inc., The		37,900		1,856,342
Mohawk Industries Inc. (a)		17,720		2,409,566
Norwegian Cruise Line Holdings Ltd. (a)		24,330		785,129
PVH Corp.		8,770		1,094,233
Ralph Lauren Corp.		8,040		1,293,877
Red Robin Gourmet Burgers Inc. (a)		18,100		1,297,408
Ryland Group Inc., The		34,700		1,385,571
Stein Mart Inc.		72,100		1,010,121
Tractor Supply Co.		11,660		823,546
TripAdvisor Inc. (a)		11,920		1,079,833
Urban Outfitters Inc. (a)		16,940		617,802
Wynn Resorts Ltd.		5,310		1,179,616
				36,639,530
Consumer Staples (5.51%)
Andersons Inc., The		31,350		1,857,174
Chiquita Brands International Inc. (a)		108,100		1,345,844
Church & Dwight Co. Inc.		18,510		1,278,486
Fresh Del Monte Produce Inc.		43,400		1,196,538
Hain Celestial Group Inc., The (a)		9,250		846,098
Harbinger Group Inc. (a)		128,300		1,569,109
Monster Beverage Corp. (a)		19,400		1,347,330
Nu Skin Enterprises Inc. Class A		11,770		975,144
Pantry Inc., The (a)		83,600		1,282,424
Spartan Stores Inc.		61,200		1,420,452
Tyson Foods Inc. Class A		24,370		1,072,524
Weis Markets Inc.		20,600		1,014,550
				15,205,673
Energy (9.67%)
Alon USA Energy Inc.		87,800		1,311,734
Cloud Peak Energy Inc. (a)		51,300		1,084,482
Devon Energy Corp.		27,520		1,841,914
Dril-Quip Inc. (a)		10,670		1,196,107
Energy XXI (Bermuda) Ltd.		55,800		1,315,206
Green Plains Renewable Energy Inc.		86,700		2,597,532
Marathon Petroleum Corp.		8,530		742,451
Matrix Service Co. (a)		41,800		1,412,004

	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Oasis Petroleum Inc. (a)		55,180	$	2,302,661
Oceaneering International Inc.		10,370		745,188
Pioneer Energy Services Corp. (a)		162,500		2,104,375
Quicksilver Resources Inc. (a)		523,500		1,376,805
Renewable Energy Group Inc. (a)		138,100		1,654,438
SM Energy Co.		36,420		2,596,380
Stone Energy Corp. (a)		55,400		2,325,138
Superior Energy Services Inc.		21,830		671,491
W&T Offshore Inc.		80,400		1,391,724
				26,669,630
Financials (25.84%)
Affiliated Managers Group Inc. (a)		9,410		1,882,470
BankUnited Inc.		19,110		664,455
Berkshire Hills Bancorp Inc.		51,200		1,325,056
Calamos Asset Management Inc. Class A		91,700		1,185,681
Capitol Federal Financial Inc.		111,700		1,401,835
Cash America International Inc.		34,800		1,347,456
Cathay General Bancorp		57,800		1,455,982
CNO Financial Group Inc.		93,000		1,683,300
Community Bank System Inc.		40,800		1,592,016
Corporate Office Properties Trust		21,180		564,235
DCT Industrial Trust Inc.		152,800		1,204,064
Discover Financial Services		35,110		2,043,051
East West Bancorp Inc.		25,060		914,690
EverBank Financial Corp.		94,300		1,860,539
FBL Financial Group Inc. Class A		32,900		1,425,228
First American Financial Corp.		49,100		1,303,605
First Interstate BancSystem Inc.		54,800		1,546,456
FirstMerit Corp.		40,340		840,282
Flagstar Bancorp Inc. (a)		83,500		1,855,370
Home Loan Servicing Solutions Ltd.		67,600		1,460,160
Horace Mann Educators Corp.		48,100		1,394,900
IntercontinentalExchange Group Inc.		7,140		1,412,506
International Bancshares Corp.		53,400		1,339,272
Invesco Ltd.		24,600		910,200
Jones Lang LaSalle Inc.		13,030		1,544,055
Lazard Ltd. Class A		39,920		1,879,833
Maiden Holdings Ltd.		124,000		1,547,520
Nelnet Inc. Class A		33,300		1,361,970
Northwest Bancshares Inc.		101,200		1,477,520
Ocwen Financial Corp. (a)		35,010		1,371,692
OFG Bancorp		68,300		1,174,077
One Liberty Properties Inc.		1		21
OneBeacon Insurance Group Ltd. Class A		92,200		1,425,412
PHH Corp. (a)		58,900		1,521,976
Pinnacle Financial Partners Inc.		40,500		1,518,345
Platinum Underwriters Holdings Ltd.		23,900		1,436,390
PrivateBancorp Inc.		33,810		1,031,543
Protective Life Corp.		25,210		1,325,794
Raymond James Financial Inc.		40,550		2,267,962
RLI Corp.		25,200		1,114,848
Rockville Financial Inc.		38,800		527,292
Signature Bank (a)		15,510		1,947,901

See accompanying notes to schedules of investments. 3

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Susquehanna Bancshares Inc.		94,300	$	1,074,077
SVB Financial Group (a)		6,070		781,695
Symetra Financial Corp.		78,600		1,557,852
Trustmark Corp.		46,400		1,176,240
UMB Financial Corp.		22,500		1,455,750
United Bankshares Inc.		46,300		1,417,706
United Community Banks Inc. (a)		82,400		1,599,384
Webster Financial Corp.		49,400		1,534,364
Westamerica Bancorporation		25,900		1,400,672
Whitestone REIT		40,600		586,264
Wintrust Financial Corp.		33,500		1,630,110
				71,301,074
Health Care (9.93%)
Actavis PLC (a)		6,370		1,311,264
Addus HomeCare Corp. (a)		57,400		1,323,070
Albany Molecular Research Inc. (a)		118,000		2,193,620
Alkermes PLC (a)		21,210		935,149
Alliance HealthCare Services Inc. (a)		31,400		1,052,842
AMN Healthcare Services Inc. (a)		90,800		1,247,591
Cooper Companies Inc., The		12,270		1,685,407
Covance Inc. (a)		9,120		947,568
Illumina Inc. (a)		6,660		990,076
Incyte Corp. (a)		13,760		736,435
Jazz Pharmaceuticals PLC (a)		7,370		1,022,072
Kindred Healthcare Inc.		108,500		2,541,070
Medivation Inc. (a)		15,940		1,026,058
PDL BioPharma Inc.		131,300		1,091,103
Perrigo Co. PLC		16,310		2,522,505
Salix Pharmaceuticals Ltd. (a)		13,910		1,441,215
Seattle Genetics Inc. (a)		19,910		907,100
Select Medical Holdings Corp.		156,900		1,953,405
Shire PLC ADR		9,310		1,382,814
Triple-S Management Corp. Class B (a)		22,600		364,764
Zoetis Inc.		25,190		728,999
				27,404,127
Industrials (13.46%)
AAR Corp.		55,400		1,437,630
Acco Brands Corp. (a)		213,000		1,312,080
Air Lease Corp.		18,660		695,831
AMERCO		9,800		2,274,776
ARC Document Solutions Inc. (a)		181,400		1,349,616
B/E Aerospace Inc. (a)		34,920		3,030,707
Engility Holdings Inc. (a)		34,700		1,563,235
Fortune Brands Home & Security Inc.		61,410		2,584,133
Hawaiian Holdings Inc. (a)		162,200		2,264,312
Hexcel Corp. (a)		36,010		1,567,875
ITT Corp.		19,810		847,076
Jacobs Engineering Group Inc. (a)		19,350		1,228,725
Kirby Corp. (a)		12,880		1,304,100
Manitowoc Company Inc., The		55,850		1,756,482
MasTec Inc. (a)		16,300		708,072
Pacer International Inc. (a)		70,400		630,784

	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Quanta Services Inc. (a)		66,460	$	2,452,374
Republic Airways Holdings Inc. (a)		140,200		1,281,428
Rockwell Automation Inc.		11,220		1,397,451
Southwest Airlines Co.		74,810		1,766,264
Titan International Inc.		79,900		1,517,301
United Rentals Inc. (a)		33,400		3,170,996
WABCO Holdings Inc. (a)		9,490		1,001,764
				37,143,012
Information Technology (14.52%)
Amkor Technology Inc. (a)		241,400		1,656,004
Amphenol Corp. Class A		12,200		1,118,130
Avago Technologies Ltd.		27,460		1,768,699
Cadence Design Systems Inc. (a)		66,030		1,026,106
Concur Technologies Inc. (a)		9,510		942,156
EarthLink Holdings Corp.		201,700		728,137
FleetCor Technologies Inc. (a)		10,230		1,177,473
Fortinet Inc. (a)		32,440		714,653
Gartner Inc. (a)		10,980		762,451
Insight Enterprises Inc. (a)		62,700		1,574,397
LinkedIn Corp. Class A (a)		8,440		1,560,894
Mentor Graphics Corp.		63,100		1,389,462
Microchip Technology Inc.		25,300		1,208,328
NXP Semiconductors NV (a)		52,120		3,065,177
Pandora Media Inc. (a)		32,090		972,969
PC Connection Inc.		36,700		745,744
Plexus Corp. (a)		44,000		1,763,080
Sanmina Corp. (a)		89,400		1,560,030
ScanSource Inc. (a)		36,100		1,471,797
ServiceNow Inc. (a)		8,660		518,907
ShoreTel Inc. (a)		175,600		1,510,160
Sykes Enterprises Inc. (a)		73,500		1,460,445
Synaptics Inc. (a)		13,460		807,869
Take-Two Interactive Software Inc. (a)		67,200		1,473,696
Trimble Navigation Ltd. (a)		46,920		1,823,780
TTM Technologies Inc. (a)		165,700		1,400,165
Ultimate Software Group Inc., The (a)		9,600		1,315,200
Ultra Clean Holdings Inc. (a)		103,100		1,355,765
Unisys Corp. (a)		61,800		1,882,428
Vantiv Inc. Class A (a)		24,830		750,363
Yelp Inc. (a)		7,090		545,434
				40,049,899
Materials (4.46%)
AK Steel Holding Corp. (a)		174,600		1,260,612
Clearwater Paper Corp. (a)		22,200		1,391,274
Cytec Industries Inc.		7,970		777,952
Eagle Materials Inc.		18,040		1,599,426
Ecolab Inc.		9,380		1,012,946
Kaiser Aluminum Corp.		18,500		1,321,270
Methanex Corp.		8,920		570,345
Packaging Corporation of America		23,280		1,638,214
Sensient Technologies Corp.		30,700		1,731,787

4 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Materials (Cont.)
Tredegar Corp.		43,300	$	996,333
				12,300,159
Telecommunication Services (0.51%)
Cincinnati Bell Inc. (a)		407,700		1,410,642
Utilities (1.83%)
ALLETE Inc.		12,410		650,532
American Water Works Company Inc.		39,910		1,811,914
Avista Corp.		47,800		1,465,070
Black Hills Corp.		19,500		1,124,175
				5,051,691
Total Common Stocks
(cost $228,721,702)				273,175,437
Short-term Investments (1.83%)
JPMorgan U.S. Government Money Market Fund		5,044,139	$	5,044,139
Total Short-term Investments
(cost $5,044,139)				5,044,139
TOTAL INVESTMENTS (100.84%)
(cost $233,765,841)				278,219,576
LIABILITIES, NET OF OTHER ASSETS (-0.84%)				(2,322,910	)
NET ASSETS (100.00%)			$	275,896,666

(a) Non-income producing security.

ADR - American Depositary Receipt

See accompanying notes to schedules of investments. 5

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (95.39%)
Austria (0.59%)
Erste Group Bank AG		24,822	$	848,061
Belgium (1.18%)
Anheuser-Busch InBev NV		16,228		1,701,332
Canada (5.07%)
Barrick Gold Corp.		16,344		291,414
Canadian Pacific Railway Ltd.		20,006		2,997,733
Dollarama Inc.		20,296		1,546,205
Imax Corp. (a)		29,055		794,073
Novadaq Technologies Inc. (a)		52,796		1,176,295
Potash Corporation of Saskatchewan Inc.		13,463		487,630
				7,293,350
China (1.20%)
Baidu Inc. Sponsored ADR (a)		9,637		1,468,486
PetroChina Company Ltd. H		1,000		1,089
Qunar Cayman Islands Ltd. ADR (a)		8,603		263,166
				1,732,741
Denmark (2.27%)
Novo Nordisk A/S Class B		71,835		3,271,403
France (11.88%)
Accor SA		13,273		679,584
Air Liquide SA		3,452		467,575
AXA SA		78,693		2,045,181
Compagnie de Saint-Gobain		13,732		829,549
Danone		13,201		933,505
Essilor International SA		8,329		839,928
JC Decaux SA		16,908		740,610
Legrand SA		13,485		837,757
L’Oreal SA		6,635		1,094,142
LVMH Moet Hennessy Louis Vuitton SA		2,581		469,176
Pernod Ricard SA		11,105		1,292,748
Safran SA		29,859		2,068,691
Schneider Electric SA (Paris)		23,759		2,106,277
Unibail-Rodamco SE		3,697		960,063
Zodiac Aerospace		49,423		1,746,446
				17,111,232
Germany (8.56%)
Adidas AG		19,861		2,148,972
Allianz SE Reg.		8,256		1,395,574
Bayerische Motoren Werke (BMW) AG		12,627		1,593,783
Daimler AG Registered     Shares		14,964		1,413,993
Fresenius Medical Care AG & Co. KGaA		6,738		470,164
Fresenius SE & Co. KGaA		4,097		641,185
Linde AG		7,651		1,530,466
SAP AG		22,232		1,799,696
Wirecard AG		32,162		1,334,556
				12,328,389

	Shares		Value
Common Stocks (Cont.)
Hong Kong (3.74%)
AIA Group Ltd.		295,400	$	1,401,498
Anton Oilfield Services Group		1,076,000		683,901
Cheung Kong Holdings Ltd.		59,000		977,438
Hang Lung Properties Ltd.		76,000		218,011
Sands China Ltd.		281,600		2,100,246
				5,381,094
India (0.98%)
Tata Motors Ltd. Sponsored ADR		39,643		1,403,759
Ireland (0.51%)
Covidien PLC		10,017		737,852
Italy (2.30%)
Azimut Holding SpA		15,114		539,284
Intesa Sanpaolo		320,712		1,086,899
Luxottica Group SpA		20,616		1,192,300
Pirelli & C. SpA		31,590		496,127
				3,314,610
Japan (7.76%)
Dentsu Inc.		16,400		622,061
Fanuc Corp.		9,700		1,710,880
Japan Tobacco Inc.		42,136		1,322,682
Keyence Corp.		2,600		1,072,344
Komatsu Ltd.		15,300		316,925
LIXIL Group Corp.		7,900		217,831
Mitsubishi Estate Company Ltd.		1,000		23,698
Rakuten Inc.		132,200		1,763,691
SMC Corp.		4,600		1,213,341
START TODAY Co. Ltd.		63,300		1,620,907
Tokio Marine Holdings Inc.		11,900		357,179
Toyota Motor Corp.		16,500		931,347
				11,172,886
Malaysia (0.88%)
Genting Berhad		253,200		775,379
Genting BHD Warrants (a)		59,490		52,831
Sime Darby Berhad		155,900		444,474
				1,272,684
Mexico (0.99%)
Alsea S.A.B. de C.V.		393,493		1,427,130
Netherlands (5.52%)
ASML Holding NV		34,128		3,160,915
Heineken NV		15,659		1,089,848
Royal Dutch Shell PLC Class A		28,648		1,046,662
Sensata Technologies Holding NV (a)		39,268		1,674,388
Yandex NV Class A (a)		32,069		968,163
				7,939,976
Philippines (0.26%)
Puregold Price Club Inc.		377,800		370,681

6 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Singapore (0.75%)
DBS Group Holdings Ltd.		11,491	$	147,714
United Overseas Bank Ltd.		53,841		926,670
				1,074,384
South Africa (1.28%)
Naspers Ltd. N Shares		16,712		1,843,495
Spain (2.20%)
Banco Bilbao Vizcaya Argentaria SA		167,824		2,015,625
Banco Bilbao Vizcaya Argentaria SA Rights (a)		167,824		39,304
Banco Santander SA		116,396		1,109,802
				3,164,731
Sweden (2.50%)
Atlas Copco AB Class A		46,800		1,349,993
Investor AB B Shares		22,800		825,017
Sandvik AB		42,484		600,275
Volvo AB B Shares		51,785		822,505
				3,597,790
Switzerland (11.73%)
ABB Ltd. Reg.		44,827		1,156,106
Compagnie Financiere Richemont SA Reg.		42,686		4,075,220
Holcim Ltd. Reg.		11,954		989,800
Nestle SA Reg.		21,369		1,608,627
Novartis AG Reg.		16,622		1,410,158
Roche Holding AG		17,956		5,382,433
Syngenta AG Reg.		2,845		1,075,825
UBS AG Reg.		57,884		1,195,591
				16,893,760
Taiwan (0.49%)
Taiwan Semiconductor Manufacturing Company Ltd. Sponsored ADR		34,966		700,019
United Kingdom (12.56%)
Anglo American PLC		23,223		591,003
ARM Holdings PLC		133,157		2,215,487
ASOS PLC (a)		5,247		453,560
BG Group PLC		64,179		1,195,681
CRH PLC		27,803		776,392
Diageo PLC		53,311		1,654,009
Domino’s Pizza Group PLC		209,229		1,923,721
Glencore Xstrata PLC		159,374		820,483
Hargreaves Lansdown     PLC		43,215		1,050,429
Lloyds Banking Group PLC (a)		1,296,484		1,613,510
Merlin Entertainments PLC (a)		114,717		721,014
Pearson PLC		40,721		721,650
Reckitt Benckiser Group PLC		7,880		642,012
Rightmove PLC		18,855		829,232
Rolls-Royce Holdings PLC		101,729		1,821,477
St. James’s Place PLC		76,681		1,054,670
				18,084,330

	Shares		Value
Common Stocks (Cont.)
United States (10.19%)
Freeport-McMoRan Copper & Gold Inc.		38,316	$	1,267,110
Gilead Sciences Inc. (a)		34,867		2,470,676
Liberty Global PLC Series C (a)		73,858		3,006,759
MasterCard Inc. Class A		29,311		2,189,532
Priceline Group Inc., The (a)		2,133		2,542,301
Schlumberger Ltd.		23,657		2,306,558
Yahoo! Inc. (a)		24,739		888,130
				14,671,066
Total Common Stocks
(cost $107,004,298)				137,336,755
Preferred Stocks (1.04%)
Brazil (1.04%)
Banco Bradesco SA Pfd.		60,189		827,367
Itau Unibanco Holding SA Pfd. ADR		44,878		666,887
				1,494,254
Total Preferred Stocks
(cost $1,506,180)				1,494,254
Short-term Investments (4.60%)
State Street Institutional U.S. Government Money Market Fund		6,623,002		6,623,002
Total Short-term Investments
(cost $6,623,002)				6,623,002
TOTAL INVESTMENTS (101.03%)
(cost $115,133,480)				145,454,011
LIABILITIES, NET OF CASH AND OTHER ASSETS (-1.03%)				(1,477,016	)
NET ASSETS (100.00%)			$	143,976,995

(a) Non-income producing security.

ADR - American Depositary Receipt

See accompanying notes to schedules of investments. 7

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

FOREIGN CURRENCY DENOMINATIONS

Currency	Value		%
Euro	$	43,765,780		30.09
United States Dollar		31,926,200		21.95
British Pound		18,084,330		12.43
Swiss Franc		16,893,760		11.61
Japanese Yen		11,172,886		7.68
Hong Kong Dollar		5,382,183		3.70
Canadian Dollar		4,543,938		3.12
Swedish Krona		3,597,790		2.47
Danish Krone		3,271,403		2.25
South African Rand		1,843,495		1.27
Mexican Peso		1,427,130		0.98
Malaysian Ringgit		1,272,684		0.88
Singapore Dollar		1,074,384		0.74
Brazilian Real		827,367		0.57
Philippine Peso		370,681		0.26
Total Investments	$	145,454,011		100.00	%

SECTOR CLASSIFICATIONS

Sector	Value			%
Consumer Discretionary	$	38,152,292			26.50
Industrials		21,914,648			15.22
Financials		21,325,472			14.81
Health Care		16,400,094			11.39
Information Technology		15,797,328			10.97
Consumer Staples		11,709,586			8.13
Materials		8,297,698			5.77
Energy		5,233,891			3.64
Total Stocks		138,831,009			96.43
Short-term Investments		6,623,002			4.60
Liabilities, Net of Cash and Other Assets		(1,477,016	)		(1.03	)
Net Assets	$	143,976,995			100.00	%

OPEN FORWARD FOREIGN CURRENCY CONTRACTS

Currency	Counterparty	Settlement Date	Foreign amount Purchased (Sold)			U.S. Dollar amount Purchased (Sold)			Unrealized Gain		Unrealized (Loss)
Danish Krone	UBS AG	04/01/2014		2,068,934		$	(380,963	)	$	805		—
Euro	JPMorgan Chase Bank N.A.	04/02/2014		50,522			(69,454	)		147		—
Euro	State Street Bank and Trust Company	04/03/2014		52,185			(71,911	)		—		(18	)
Euro	UBS AG	04/01/2014		69,176			(95,086	)		214		—
Japanese Yen	State Street Bank and Trust Company	04/01/2014		2,950,544			(28,899	)		—		(313	)
Japanese Yen	State Street Bank and Trust Company	04/02/2014		1,181,385			(11,491	)		—		(45	)
Swiss Franc	State Street Bank and Trust Company	04/02/2014		26,313			(29,688	)		76		—
Euro	State Street Bank and Trust Company	04/01/2014		(35,103	)		48,193			—		(167	)
Euro	State Street Bank and Trust Company	04/02/2014		(25,638	)		35,240			—		(81	)
Japanese Yen	State Street Bank and Trust Company	04/01/2014		(498,625	)		4,823			—		(8	)
Singapore Dollar	State Street Bank and Trust Company	04/01/2014		(6,914	)		5,470			—		(27	)
Singapore Dollar	State Street Bank and Trust Company	04/02/2014		(5,036	)		4,000			—		(3	)
Singapore Dollar	State Street Bank and Trust Company	04/03/2014		(8,751	)		6,958			1		—
Total									$	1,243	$	(662	)

8 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (96.76%)
Consumer Discretionary (11.66%)
Amazon.com Inc. (a) (b)		19,182	$	6,455,127
AutoNation Inc. (b)		3,241		172,518
AutoZone Inc. (b)		1,738		933,480
Bed Bath & Beyond Inc. (b)		10,951		753,429
Best Buy Co. Inc.		14,048		371,008
BorgWarner Inc.		11,768		723,379
Cablevision Systems Corp. Class A		11,153		188,151
CarMax Inc. (b)		11,510		538,668
Carnival Corp.		22,537		853,251
CBS Corp. Class B		28,458		1,758,704
Chipotle Mexican Grill Inc. (b)		1,600		908,880
Coach Inc.		14,299		710,088
Comcast Corp. Class A		134,403		6,722,838
Darden Restaurants Inc.		6,810		345,676
Delphi Automotive PLC		14,377		975,623
DIRECTV (b)		24,434		1,867,246
Discovery Communications Inc. Class A (b)		11,470		948,569
Dollar General Corp. (b)		15,214		844,073
Dollar Tree Inc. (b)		10,682		557,387
DR Horton Inc.		14,626		316,653
Expedia Inc.		5,285		383,162
Family Dollar Stores Inc.		4,891		283,727
Ford Motor Co.		203,355		3,172,338
Fossil Group Inc. (b)		2,478		288,960
GameStop Corp. Class A		6,018		247,340
Gannett Co. Inc.		11,785		325,266
GAP Inc., The		13,716		549,463
Garmin Ltd.		6,335		350,072
General Motors Co.		67,218		2,313,644
Genuine Parts Co.		7,909		686,897
Goodyear Tire & Rubber Co., The		12,844		335,614
Graham Holdings Co. Class B		224		157,640
H&R Block Inc.		14,099		425,649
Harley-Davidson Inc.		11,351		756,090
Harman International Industries Inc.		3,494		371,762
Hasbro Inc.		6,035		335,667
Home Depot Inc., The		72,613		5,745,867
International Game Technology		12,767		179,504
Interpublic Group of Companies Inc., The		21,860		374,680
Johnson Controls Inc.		34,244		1,620,426
Kohl’s Corp.		10,333		586,914
L Brands Inc.		12,537		711,725
Leggett & Platt Inc.		7,189		234,649
Lennar Corp. Class A		9,063		359,076
Lowe’s Companies Inc.		53,926		2,636,981
Macy’s Inc.		19,004		1,126,747
Marriott International Inc. Class A		11,405		638,908
Mattel Inc.		17,548		703,850
McDonald’s Corp.		51,044		5,003,843
Michael Kors Holdings Ltd. (b)		9,251		862,841
Mohawk Industries Inc. (b)		3,136		426,433
Netflix Inc. (b)		3,084		1,085,661
Newell Rubbermaid Inc.		14,387		430,171
News Corp. Class A (b)		25,636		441,452
NIKE Inc. Class B		38,372		2,834,156

	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Nordstrom Inc.		7,340	$	458,383
Omnicom Group Inc.		13,313		966,524
O’Reilly Automotive Inc. (b)		5,476		812,584
PetSmart Inc.		5,349		368,493
Priceline.com Inc. (b)		2,689		3,204,992
PulteGroup Inc.		17,690		339,471
PVH Corp.		4,199		523,909
Ralph Lauren Corp.		3,061		492,607
Ross Stores Inc.		11,084		793,060
Scripps Networks Interactive Class A		5,632		427,525
Staples Inc.		33,565		380,627
Starbucks Corp.		38,976		2,860,059
Starwood Hotels & Resorts Worldwide Inc.		9,896		787,722
Target Corp.		32,592		1,972,142
Tiffany & Co.		5,665		488,040
Time Warner Cable Inc.		14,308		1,962,771
Time Warner Inc.		46,032		3,007,271
TJX Companies Inc., The		36,671		2,224,096
Tractor Supply Co.		7,170		506,417
TripAdvisor Inc. (b)		5,728		518,900
Twenty-First Century Fox Inc. Class A		100,082		3,199,622
Urban Outfitters Inc. (b)		5,654		206,201
VF Corp.		18,189		1,125,535
Viacom Inc. Class B		20,550		1,746,545
Walt Disney Co., The		84,019		6,727,401
Whirlpool Corp.		3,994		596,943
Wyndham Worldwide Corp.		6,610		484,050
Wynn Resorts Ltd.		4,175		927,476
Yum! Brands Inc.		22,867		1,723,943
				103,765,232
Consumer Staples (9.35%)
Altria Group Inc.		102,709		3,844,398
Archer-Daniels-Midland Co.		33,946		1,472,916
Avon Products Inc.		22,325		326,838
Beam Inc.		8,530		710,549
Brown-Forman Corp. Class B		8,357		749,539
Campbell Soup Co.		9,189		412,402
Clorox Co., The		6,698		589,491
Coca-Cola Co., The		195,379		7,553,352
Coca-Cola Enterprises Inc.		12,258		585,442
Colgate-Palmolive Co.		45,018		2,920,318
ConAgra Foods Inc.		21,729		674,251
Constellation Brands Inc. (b)		8,623		732,696
Costco Wholesale Corp.		22,673		2,532,121
CVS Caremark Corp.		60,973		4,564,439
Dr. Pepper Snapple Group Inc.		10,175		554,130
Estee Lauder Companies Inc. Class A, The		13,163		880,341
General Mills Inc.		32,207		1,668,967
Hershey Co., The		7,746		808,682
Hormel Foods Corp.		6,930		341,441
J.M. Smucker Co., The		5,348		520,040
Kellogg Co.		13,246		830,657
Keurig Green Mountain Inc.		6,659		703,124

See accompanying notes to schedules of investments. 9

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Consumer Staples (Cont.)
Kimberly-Clark Corp.		19,551	$	2,155,498
Kraft Foods Group Inc.		30,747		1,724,907
Kroger Co., The		26,680		1,164,582
Lorillard Inc.		18,680		1,010,214
McCormick & Company Inc.		6,795		487,473
Mead Johnson Nutrition Co. Class A		10,419		866,236
Molson Coors Brewing Co. Class B		8,122		478,061
Mondelez International Inc. Class A		87,714		3,030,519
Monster Beverage Corp. (b)		6,981		484,830
PepsiCo Inc.		78,507		6,555,334
Philip Morris International Inc.		81,742		6,692,218
Procter & Gamble Co., The		139,811		11,268,767
Reynolds American Inc.		16,093		859,688
Safeway Inc.		11,879		438,810
Sysco Corp.		30,161		1,089,717
Tyson Foods Inc. Class A		13,822		608,306
Walgreen Co.		45,074		2,976,236
Wal-Mart Stores Inc.		83,424		6,376,096
Whole Foods Market Inc.		19,182		972,719
				83,216,345
Energy (9.82%)
Anadarko Petroleum Corp.		25,975		2,201,644
Apache Corp.		20,356		1,688,530
Baker Hughes Inc.		22,546		1,465,941
Cabot Oil & Gas Corp.		21,808		738,855
Cameron International Corp. (b)		11,181		690,650
Chesapeake Energy Corp.		26,104		668,784
Chevron Corp.		98,445		11,706,095
ConocoPhillips		63,222		4,447,668
CONSOL Energy Inc.		11,781		470,651
Denbury Resources Inc.		18,366		301,202
Devon Energy Corp.		19,745		1,321,533
Diamond Offshore Drilling Inc.		3,579		174,512
Ensco PLC Class A		12,025		634,680
EOG Resources Inc.		14,083		2,762,662
EQT Corp.		7,801		756,463
Exxon Mobil Corp.		222,824		21,765,448
FMC Technologies Inc. (b)		12,199		637,886
Halliburton Co.		43,873		2,583,681
Helmerich & Payne Inc.		5,544		596,313
Hess Corp.		14,093		1,168,028
Kinder Morgan Inc.		34,513		1,121,327
Marathon Oil Corp.		35,935		1,276,411
Marathon Petroleum Corp.		15,191		1,322,225
Murphy Oil Corp.		8,882		558,323
Nabors Industries Ltd.		13,367		329,497
National-Oilwell Varco Inc.		22,095		1,720,538
Newfield Exploration Co. (b)		6,985		219,050
Noble Corp. PLC		13,044		427,061
Noble Energy Inc.		18,557		1,318,289
Occidental Petroleum Corp.		40,982		3,905,175
ONEOK Inc.		10,714		634,804
Peabody Energy Corp.		13,920		227,453
Phillips 66		30,302		2,335,072
Pioneer Natural Resources Co.		7,369		1,379,035
QEP Resources Inc.		9,230		271,731

	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Range Resources Corp.		8,412	$	697,944
Rowan Companies PLC Class A (b)		6,395		215,384
Schlumberger Ltd.		67,413		6,572,768
Southwestern Energy Co. (b)		18,196		837,198
Spectra Energy Corp.		34,595		1,277,939
Tesoro Corp.		6,817		344,872
Transocean Ltd.		17,441		721,011
Valero Energy Corp.		27,461		1,458,179
Williams Companies Inc., The		35,289		1,432,028
				87,384,540
Financials (15.91%)
ACE Ltd.		17,361		1,719,781
Aflac Inc.		23,506		1,481,820
Allstate Corp., The		23,057		1,304,565
American Express Co.		47,122		4,242,394
American International Group Inc.		75,497		3,775,605
American Tower Corp.		20,368		1,667,528
Ameriprise Financial Inc.		9,844		1,083,529
Aon PLC		15,525		1,308,447
Apartment Investment and Management Co.		7,523		227,345
Assurant Inc.		3,730		242,301
AvalonBay Communities Inc.		6,262		822,326
Bank of America Corp.		544,949		9,373,123
Bank of New York Mellon Corp.		58,533		2,065,630
BB&T Corp.		36,654		1,472,391
Berkshire Hathaway Inc. Class B (b)		92,825		11,600,340
BlackRock Inc.		6,479		2,037,516
Boston Properties Inc.		7,890		903,642
Capital One Financial Corp.		29,539		2,279,229
CBRE Group Inc. (b)		14,451		396,391
Charles Schwab Corp., The		60,260		1,646,906
Chubb Corp., The		12,666		1,131,074
Cincinnati Financial Corp.		7,583		368,989
Citigroup Inc.		156,571		7,452,780
CME Group Inc.		16,270		1,204,143
Comerica Inc.		9,388		486,298
Crown Castle International Corp.		17,229		1,271,156
Discover Financial Services		24,284		1,413,086
E*TRADE Financial Corp. (b)		14,778		340,190
Equity Residential		17,252		1,000,443
Fifth Third Bancorp		43,912		1,007,780
Franklin Resources Inc.		20,826		1,128,353
General Growth Properites Inc.		26,891		591,602
Genworth Financial Inc. Class A (b)		25,418		450,661
Goldman Sachs Group Inc., The		21,712		3,557,511
Hartford Financial Services Group Inc., The		22,953		809,552
HCP Inc.		23,571		914,319
Healthcare Realty Trust Inc.		14,951		891,080
Host Hotels & Resorts Inc.		39,130		791,991
Hudson City Bancorp Inc.		24,476		240,599
Huntington Bancshares Inc.		42,713		425,849
IntercontinentalExchange Group Inc.		5,935		1,174,121
Invesco Ltd.		22,340		826,580
JPMorgan Chase & Co.		195,264		11,854,477

10 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
KeyCorp		46,030	$	655,467
Kimco Realty Corp.		21,089		461,427
Legg Mason Inc.		5,445		267,023
Leucadia National Corp.		16,135		451,780
Lincoln National Corp.		13,596		688,909
Loews Corp.		15,752		693,876
M&T Bank Corp.		6,756		819,503
Macerich Co., The		7,235		450,958
Marsh & McLennan Companies Inc.		28,278		1,394,105
McGraw Hill Financial Inc.		13,973		1,066,140
MetLife Inc.		57,933		3,058,862
Moody’s Corp.		9,718		770,832
Morgan Stanley		72,328		2,254,464
NASDAQ OMX Group Inc., The		6,074		224,374
Northern Trust Corp.		11,532		756,038
People’s United Financial Inc.		15,844		235,600
Plum Creek Timber Co. Inc.		9,125		383,615
PNC Financial Services Group Inc.		27,538		2,395,806
Principal Financial Group Inc.		14,202		653,150
Progressive Corp., The		28,283		685,014
ProLogis Inc.		25,792		1,053,087
Prudential Financial Inc.		23,873		2,020,849
Public Storage		7,455		1,256,093
Regions Financial Corp.		73,189		813,130
Simon Property Group Inc.		16,204		2,657,456
SLM Corp.		22,112		541,302
State Street Corp.		22,259		1,548,113
SunTrust Banks Inc.		27,611		1,098,642
T. Rowe Price Group Inc.		13,512		1,112,713
Torchmark Corp.		4,568		359,502
Travelers Companies Inc., The		18,169		1,546,182
U.S. Bancorp		93,976		4,027,811
Unum Group		13,405		473,331
Ventas Inc.		15,096		914,365
Vornado Realty Trust		9,004		887,434
Wells Fargo & Co.		246,903		12,280,955
Weyerhaeuser Co.		30,139		884,580
XL Group PLC		14,240		445,000
Zions Bancorporation		9,499		294,279
				141,565,210
Health Care (12.94%)
Abbott Laboratories		79,565		3,064,047
AbbVie Inc.		81,909		4,210,123
Actavis PLC (b)		8,982		1,848,945
Aetna Inc.		18,705		1,402,314
Agilent Technologies Inc.		17,191		961,321
Alexion Pharmaceuticals Inc. (b)		10,200		1,551,726
Allergan Inc.		15,390		1,909,899
AmerisourceBergen Corp.		11,810		774,618
Amgen Inc.		38,931		4,801,750
Baxter International Inc.		28,008		2,060,829
Becton, Dickinson and Co.		9,950		1,164,946
Biogen Idec Inc. (b)		12,189		3,728,249
Boston Scientific Corp. (b)		68,171		921,672
Bristol-Myers Squibb Co.		84,773		4,403,957
Cardinal Health Inc.		17,680		1,237,246

	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
CareFusion Corp. (b)		10,725	$	431,360
Celgene Corp. (b)		20,937		2,922,805
Cerner Corp. (b)		15,274		859,162
Cigna Corp.		14,108		1,181,263
Covidien PLC		23,245		1,712,227
CR Bard Inc.		3,998		591,624
DaVita HealthCare Partners Inc. (b)		9,157		630,459
DENTSPLY International Inc.		7,325		337,243
Edwards Lifesciences Corp. (b)		5,532		410,308
Eli Lilly and Co.		50,812		2,990,794
Express Scripts Holding Co. (b)		40,018		3,004,952
Forest Laboratories Inc. (b)		12,296		1,134,552
Gilead Sciences Inc. (b)		79,318		5,620,473
Hospira Inc. (b)		8,528		368,836
Humana Inc.		7,944		895,448
Intuitive Surgical Inc. (b)		1,969		862,402
Johnson & Johnson		145,870		14,328,810
Laboratory Corp. of America Holdings (b)		4,400		432,124
McKesson Corp.		11,866		2,095,180
Medtronic Inc.		51,605		3,175,772
Merck & Co. Inc.		151,630		8,608,035
Mylan Inc. (b)		19,180		936,559
Patterson Companies Inc.		4,287		179,025
PerkinElmer Inc.		5,767		259,861
Perrigo Co. PLC		6,896		1,066,535
Pfizer Inc.		329,137		10,571,880
Quest Diagnostics Inc.		7,464		432,315
Regeneron Pharmaceuticals Inc. (b)		4,061		1,219,437
St. Jude Medical Inc.		14,637		957,113
Stryker Corp.		15,184		1,237,040
Tenet Healthcare Corp. (b)		4,966		212,594
Thermo Fisher Scientific Inc.		20,204		2,429,329
UnitedHealth Group Inc.		51,009		4,182,228
Varian Medical Systems Inc. (b)		5,342		448,675
Vertex Pharmaceuticals Inc. (b)		12,156		859,672
Waters Corp. (b)		4,387		475,595
WellPoint Inc.		14,566		1,450,045
Zimmer Holdings Inc.		8,732		825,873
Zoetis Inc.		25,741		744,945
				115,124,192
Industrials (10.31%)
3M Co.		32,464		4,404,066
ADT Corp., The		9,458		283,267
Allegion PLC		4,625		241,286
AMETEK Inc.		12,666		652,169
Boeing Co., The		35,268		4,425,781
Caterpillar Inc.		32,888		3,268,079
CH Robinson Worldwide Inc.		7,658		401,203
Cintas Corp.		5,167		308,005
CSX Corp.		51,876		1,502,848
Cummins Inc.		8,964		1,335,546
Danaher Corp.		30,973		2,322,975
Deere & Co.		19,065		1,731,102
Delta Air Lines Inc.		43,782		1,517,046
Dover Corp.		8,793		718,828

See accompanying notes to schedules of investments. 11

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Dun & Bradstreet Corp.		1,953	$	194,031
Eaton Corp. PLC		24,507		1,840,966
Emerson Electric Co.		36,248		2,421,366
Equifax Inc.		6,313		429,473
Expeditors International of Washington Inc.		10,508		416,432
Fastenal Co.		14,061		693,489
FedEx Corp.		14,325		1,898,922
Flowserve Corp.		7,094		555,744
Fluor Corp.		8,270		642,827
General Dynamics Corp.		16,767		1,826,262
General Electric Co.		517,359		13,394,425
Honeywell International Inc.		40,432		3,750,472
Illinois Tool Works Inc.		20,157		1,639,369
Ingersoll-Rand PLC		13,336		763,353
Iron Mountain Inc.		8,756		241,403
Jacobs Engineering Group Inc. (b)		6,768		429,768
Joy Global Inc.		5,166		299,628
Kansas City Southern		5,674		579,088
L-3 Communications Holdings Inc.		4,428		523,168
Lockheed Martin Corp.		13,922		2,272,627
Masco Corp.		18,376		408,131
Nielsen Holdings N.V.		14,650		653,830
Norfolk Southern Corp.		15,969		1,551,708
Northrop Grumman Corp.		11,177		1,379,018
PACCAR Inc.		18,298		1,234,017
Pall Corp.		5,687		508,816
Parker Hannifin Corp.		7,680		919,373
Pentair Ltd. Reg.		10,179		807,602
Pitney Bowes Inc.		10,416		270,712
Precision Castparts Corp.		7,488		1,892,667
Quanta Services Inc. (b)		11,176		412,394
Raytheon Co.		16,219		1,602,275
Republic Services Inc.		13,974		477,352
Robert Half International Inc.		7,148		299,859
Rockwell Automation Inc.		7,139		889,162
Rockwell Collins Inc.		6,950		553,706
Roper Industries Inc.		5,143		686,642
Ryder System Inc.		2,758		220,419
Snap-on Inc.		2,995		339,873
Southwest Airlines Co.		36,194		854,540
Stanley Black & Decker Inc.		8,031		652,438
Stericycle Inc. (b)		4,378		497,428
Textron Inc.		14,570		572,455
Tyco International Ltd.		23,739		1,006,534
Union Pacific Corp.		23,466		4,403,630
United Parcel Service Inc. Class B		36,645		3,568,490
United Technologies Corp.		43,417		5,072,842
W.W. Grainger Inc.		3,164		799,416
Waste Management Inc.		22,294		937,909
Xylem Inc.		9,539		347,410
				91,745,662
Information Technology (18.03%)
Accenture PLC Class A		32,845		2,618,403
Adobe Systems Inc. (b)		23,951		1,574,539
Akamai Technologies Inc. (b)		9,172		533,902

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Alliance Data Systems Corp. (b)		2,742	$	747,058
Altera Corp.		16,447		596,039
Amphenol Corp. Class A		8,181		749,789
Analog Devices Inc.		16,113		856,245
Apple Inc.		45,996		24,687,893
Applied Materials Inc.		62,443		1,275,086
Autodesk Inc. (b)		11,713		576,045
Automatic Data Processing Inc.		24,844		1,919,447
Broadcom Corp. Class A		28,458		895,858
CA Inc.		16,678		516,518
Cisco Systems Inc.		265,630		5,952,768
Citrix Systems Inc. (b)		9,478		544,322
Cognizant Technology Solutions Corp. Class A (b)		31,320		1,585,105
Computer Sciences Corp.		7,508		456,637
Corning Inc.		71,792		1,494,709
eBay Inc. (b)		60,081		3,318,874
Electronic Arts Inc. (b)		16,005		464,305
EMC Corp.		104,456		2,863,139
F5 Networks Inc. (b)		3,892		415,004
Facebook Inc. Class A (b)		88,088		5,306,421
Fidelity National Information Services Inc.		14,940		798,543
First Solar Inc. (b)		3,673		256,339
Fiserv Inc. (b)		13,125		744,056
FLIR Systems Inc.		7,314		263,304
Google Inc. Class A (b)		14,556		16,222,808
Harris Corp.		5,505		402,746
Hewlett-Packard Co.		97,726		3,162,413
Intel Corp.		256,375		6,617,039
International Business Machines Corp.		50,475		9,715,933
Intuit Inc.		14,626		1,136,879
Jabil Circuit Inc.		9,766		175,788
Juniper Networks Inc. (b)		25,854		665,999
KLA-Tencor Corp.		8,605		594,950
Lam Research Corp. (b)		8,395		461,725
Linear Technology Corp.		12,163		592,216
LSI Corp.		28,781		318,606
MasterCard Inc. Class A		52,620		3,930,714
Microchip Technology Inc.		10,266		490,304
Micron Technology Inc. (b)		54,700		1,294,202
Microsoft Corp.		389,504		15,965,769
Motorola Solutions Inc.		11,653		749,171
NetApp Inc.		17,086		630,473
NVIDIA Corp.		28,588		512,011
Oracle Corp.		178,572		7,305,381
Paychex Inc.		16,749		713,507
QUALCOMM Inc.		87,198		6,876,434
Red Hat Inc. (b)		9,746		516,343
Salesforce.com Inc. (b)		28,941		1,652,242
SanDisk Corp.		11,597		941,560
Seagate Technology PLC		16,950		951,912
Symantec Corp.		35,735		713,628
TE Connectivity Ltd.		21,157		1,273,863
Teradata Corp. (b)		8,212		403,948
Texas Instruments Inc.		55,910		2,636,156
Total System Services Inc.		8,581		260,948

12 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
VeriSign Inc. (b)		6,482	$	349,445
Visa Inc. Class A		26,130		5,640,422
Western Digital Corp.		10,857		996,890
Western Union Co.		28,414		464,853
Xerox Corp.		57,450		649,185
Xilinx Inc.		13,728		745,019
Yahoo! Inc. (b)		48,445		1,739,176
				160,481,006
Materials (3.40%)
Air Products & Chemicals Inc.		10,914		1,299,203
Airgas Inc.		3,453		367,779
Alcoa Inc.		55,562		715,083
Allegheny Technologies Inc.		5,560		209,501
Avery Dennison Corp.		4,947		250,664
Ball Corp.		7,250		397,372
Bemis Company Inc.		5,298		207,894
CF Industries Holdings Inc.		2,861		745,691
Cliffs Natural Resources Inc.		7,883		161,286
Dow Chemical Co., The		62,692		3,046,204
E.I. du Pont de Nemours & Co.		47,801		3,207,447
Eastman Chemical Co.		7,872		678,645
Ecolab Inc.		13,961		1,507,648
FMC Corp.		6,841		523,747
Freeport-McMoRan Copper & Gold Inc.		53,542		1,770,634
International Flavors & Fragrances Inc.		4,208		402,579
International Paper Co.		22,630		1,038,264
LyondellBasell Industries NV Class A		22,266		1,980,338
MeadWestvaco Corp.		9,003		338,873
Monsanto Co.		27,064		3,079,071
Mosaic Co., The		17,434		871,700
Newmont Mining Corp.		25,621		600,556
Nucor Corp.		16,381		827,896
Owens-Illinois Inc. (b)		8,461		286,236
PPG Industries Inc.		7,143		1,381,885
Praxair Inc.		15,158		1,985,243
Sealed Air Corp.		10,085		331,494
Sherwin-Williams Co., The		4,397		866,781
Sigma-Aldrich Corp.		6,134		572,793
United States Steel Corp.		7,487		206,716
Vulcan Materials Co.		6,766		449,601
				30,308,824
Telecommunication Services (2.37%)
AT&T Inc.		268,493		9,416,050
CenturyLink Inc.		29,807		978,862
Frontier Communications Corp.		51,466		293,356
Verizon Communications Inc.		213,534		10,157,812
Windstream Holdings Inc.		30,518		251,468
				21,097,548
Utilities (2.97%)
AES Corp., The		34,107		487,048
AGL Resources Inc.		6,105		298,901

	Shares		Value
Common Stocks (Cont.)
Utilities (Cont.)
Ameren Corp.		12,491	$	514,629
American Electric Power Company Inc.		25,160		1,274,606
CenterPoint Energy Inc.		22,066		522,744
CMS Energy Corp.		13,687		400,755
Consolidated Edison Inc.		15,078		808,935
Dominion Resources Inc.		29,982		2,128,422
DTE Energy Co.		9,156		680,199
Duke Energy Corp.		36,427		2,594,331
Edison International		16,773		949,520
Entergy Corp.		9,179		613,616
Exelon Corp.		44,209		1,483,654
FirstEnergy Corp.		21,530		732,666
Integrys Energy Group Inc.		4,097		244,386
NextEra Energy Inc.		22,449		2,146,573
NiSource Inc.		16,233		576,758
Northeast Utilities		16,315		742,332
NRG Energy Inc.		16,791		533,954
Pepco Holdings Inc.		12,824		262,636
PG&E Corp.		23,597		1,019,390
Pinnacle West Capital Corp.		5,663		309,540
PPL Corp.		32,520		1,077,713
Public Service Enterprise Group Inc.		26,042		993,242
SCANA Corp.		7,306		374,944
Sempra Energy		11,694		1,131,511
Southern Co.		45,784		2,011,749
TECO Energy Inc.		10,627		182,253
Wisconsin Energy Corp.		11,598		539,887
Xcel Energy Inc.		25,616		777,702
				26,414,596
Total Common Stocks
(cost $486,910,708)				861,103,155

See accompanying notes to schedules of investments. 13

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Short-term Investments (3.01%)
State Street Institutional U.S. Government Money Market Fund		26,789,609	$	26,789,609
Total Short-term Investments
(cost $ 26,789,609)				26,789,609
TOTAL INVESTMENTS (99.77%)
(cost $ 513,700,317)				887,892,764
OTHER ASSETS, NET OF LIABILITIES (0.23%)				2,048,311
NET ASSETS (100.00%)			$	889,941,075

(a) At March 31, 2014, this security has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

(b) Non-income producing security.

OPEN FUTURES CONTRACTS

	Contracts				Notional		Market		Unrealized
Description	Purchased		Expiration		Value		Value		Gain (Loss)
S&P 500 Mini Index		298		June 2014	$	27,702,066	$	27,782,540	$	80,474

14 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (97.02%)
Consumer Discretionary (12.78%)
1-800-FLOWERS.COM Inc. (a)		5,915	$	33,301
2U Inc. (a)		149		2,034
Aeropostale Inc. (a)		19,618		98,482
AH Belo Corp. Class A		4,700		54,426
AMC Entertainment Holdings Inc. Class A (a)		5,403		131,023
American Apparel Inc. (a)		14,400		7,214
American Axle & Manufacturing Holdings Inc. (a)		17,030		315,396
American Public Education Inc. (a)		4,555		159,789
America’s Car-Mart Inc. (a)		2,000		73,440
Ann Inc. (a)		12,032		499,087
Arctic Cat Inc.		3,269		156,226
Asbury Automotive Group Inc. (a)		7,952		439,825
Ascent Capital Group LLC Class A (a)		3,600		271,980
Barnes & Noble Inc. (a)		10,037		209,773
Bassett Furniture Industries Inc.		2,800		41,580
Beasley Broadcast Group Inc. Class A		1,200		10,920
Beazer Homes USA Inc. (a)		6,602		132,568
bebe stores inc.		9,200		56,304
Big 5 Sporting Goods Corp.		4,219		67,715
Biglari Holdings Inc. (a)		362		176,471
BJ’s Restaurants Inc. (a)		6,249		204,405
Black Diamond Inc. (a)		6,139		75,080
Bloomin’ Brands Inc. (a)		14,141		340,798
Blue Nile Inc. (a)		3,256		113,309
Blyth Inc.		2,072		22,233
Bob Evans Farms Inc.		6,322		316,290
Body Central Corp. (a)		4,070		4,355
Bon-Ton Stores Inc., The		3,408		37,420
Boyd Gaming Corp. (a)		17,304		228,413
Bravo Brio Restaurant Group Inc. (a)		4,815		67,940
Bridgepoint Education Inc. (a)		3,563		53,053
Bright Horizons Family Solutions Inc. (a)		2,963		115,883
Brown Shoe Company Inc.		11,005		292,073
Brunswick Corp.		23,100		1,046,199
Buckle Inc., The		7,049		322,844
Buffalo Wild Wings Inc. (a)		4,796		714,124
Burlington Stores Inc. (a)		3,955		116,752
Caesars Entertainment Corp. (a)		10,200		193,902
Callaway Golf Co.		19,813		202,489
Capella Education Co.		2,905		183,451
Career Education Corp. (a)		14,795		110,371
Carmike Cinemas Inc. (a)		5,800		173,188
Carriage Services Inc.		4,000		72,960
Carrols Restaurant Group Inc. (a)		5,900		42,303
Cato Corp. Class A		6,944		187,766
Cavco Industries Inc. (a)		1,742		136,660
Central European Media Enterprises Ltd. Class A (a)		19,051		56,010
Central European Media Enterprises Ltd. Rights (a) (b)		304		9,585
Cheesecake Factory Inc., The		13,489		642,481
Children’s Place Retail Stores Inc., The		5,956		296,668
Christopher & Banks Corp. (a)		9,000		59,490

	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Churchill Downs Inc.		3,545	$	323,658
Chuy’s Holdings Inc. (a)		4,038		174,199
Citi Trends Inc. (a)		3,800		61,902
ClubCorp Holdings Inc.		5,341		100,945
Columbia Sportswear Co.		3,248		268,447
Conn’s Inc. (a)		5,692		221,134
Container Store Group Inc., The (a)		3,726		126,498
Cooper Tire & Rubber Co.		15,900		386,370
Core-Mark Holding Co. Inc.		2,928		212,573
Corinthian Colleges Inc. (a)		19,116		26,380
Coupons.com Inc. (a)		133		3,278
Cracker Barrel Old Country Store Inc.		4,982		484,450
Crocs Inc. (a)		22,600		352,560
Crown Media Holdings Inc. (a)		10,362		39,790
CSS Industries Inc.		2,118		57,186
Culp Inc.		2,200		43,428
Cumulus Media Inc. Class A (a)		23,850		164,804
Daily Journal Corp. (a)		263		45,491
Dana Holding Corp.		40,201		935,477
Del Frisco’s Restaurant Group Inc. (a)		2,663		74,298
Denny’s Corp. (a)		23,453		150,803
Destination Maternity Corp.		3,400		93,160
Destination XL Group Inc. (a)		10,474		59,073
Dex Media Inc. (a)		4,300		39,560
Diamond Resorts International Inc. (a)		4,425		75,004
DineEquity Inc.		4,175		325,942
Diversified Restaurant Holdings Inc. (a)		2,700		13,500
Dorman Products Inc. (a)		6,400		377,984
Drew Industries Inc.		5,919		320,810
E.W. Scripps Co Class A (a)		8,090		143,355
Education Management Corp. (a)		6,200		30,194
Einstein Noah Restaurant Group Inc.		1,400		23,044
Entercom Communications Corp. Class A (a)		5,869		59,101
Entravision Communications Corp. Class A		13,745		92,092
Ethan Allen Interiors Inc.		6,522		165,985
EveryWare Global Inc. (a)		2,500		11,400
Express Inc. (a)		21,562		342,405
Federal-Mogul Corp. (a)		5,200		97,292
Fiesta Restaurant Group Inc. (a)		5,700		259,863
Finish Line Inc. Class A, The		12,606		341,497
Five Below Inc. (a)		8,390		356,407
Flexsteel Industries Inc.		1,216		45,746
Fox Factory Holding Corp. (a)		2,447		46,248
Francesca’s Holdings Corp. (a)		10,960		198,814
Fred’s Inc. Class A		9,440		170,014
FTD Companies Inc. (a)		4,651		147,948
Fuel Systems Solutions Inc. (a)		3,754		40,393
Genesco Inc. (a)		6,132		457,263
Gentherm Inc. (a)		9,019		313,140
G-III Apparel Group Ltd. (a)		4,271		305,718
Global Sources Ltd. (a)		4,764		42,685
Gordmans Stores Inc.		2,200		12,012
Grand Canyon Education Inc. (a)		11,533		538,591
Gray Television Inc. (a)		12,500		129,625

See accompanying notes to schedules of investments. 15

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Group 1 Automotive Inc.		5,549	$	364,347
Harte-Hanks Inc.		10,900		96,356
Haverty Furniture Companies Inc.		5,035		149,540
Helen of Troy Ltd. (a)		8,179		566,232
Hemisphere Media Group Inc. (a)		2,100		26,439
hhgregg Inc. (a)		3,114		29,926
Hibbett Sports Inc. (a)		6,612		349,643
Hillenbrand Inc.		14,053		454,333
Hooker Furniture Corp.		2,700		42,282
Houghton Mifflin Harcourt Co. (a)		5,400		109,782
Hovnanian Enterprises Inc. Class A (a)		29,924		141,541
HSN Inc.		8,600		513,678
Iconix Brand Group Inc. (a)		12,244		480,822
Ignite Restaurant Group Inc. (a)		1,700		23,919
Installed Building Products Inc. (a)		2,215		30,899
International Speedway Corp. Class A		7,285		247,617
Interval Leisure Group Inc.		10,100		264,014
Intrawest Resorts Holdings Inc. (a)		4,639		60,493
iRobot Corp. (a)		7,100		291,455
Isle of Capri Casinos Inc. (a)		5,109		39,186
ITT Educational Services Inc. (a)		6,100		174,948
Jack in the Box Inc. (a)		10,607		625,177
JAKKS Pacific Inc.		4,527		32,685
Jamba Inc. (a)		4,295		51,519
Johnson Outdoors Inc. Class A		1,230		31,267
Jones Group Inc., The		20,557		307,738
Jos. A. Bank Clothiers Inc. (a)		7,055		453,636
Journal Communications Inc. Class A (a)		11,342		100,490
JTH Holding Inc. Class A (a)		1,200		33,288
K12 Inc. (a)		6,773		153,408
Kate Spade & Co. (a)		30,369		1,126,386
KB Home		21,315		362,142
Kirkland’s Inc. (a)		3,700		68,413
Krispy Kreme Doughnuts Inc. (a)		16,706		296,197
La-Z-Boy Inc.		13,422		363,736
Leapfrog Enterprises Inc. (a)		15,820		118,650
LGI Homes Inc. (a)		2,494		43,022
Libbey Inc. (a)		5,323		138,398
Life Time Fitness Inc. (a)		10,856		522,174
LifeLock Inc. (a)		16,399		280,587
Lifetime Brands Inc.		2,381		42,525
Lincoln Educational Services Corp.		5,600		21,112
Lithia Motors Inc. Class A		5,639		374,768
Live Nation Entertainment Inc. (a)		35,565		773,539
Loral Space & Communications Inc. (a)		3,300		233,409
Luby’s Inc. (a)		4,712		29,026
Lumber Liquidators Holdings Inc. (a)		6,974		654,161
M.D.C. Holdings Inc.		9,947		281,301
M/I Homes Inc. (a)		6,065		135,977
Malibu Boats Inc. Class A (a)		2,140		47,551
Marcus Corp., The		5,037		84,118
Marine Products Corp.		2,692		20,244
MarineMax Inc. (a)		6,231		94,649
Marriott Vacations Worldwide Corp. (a)		7,400		413,734
Martha Stewart Living Omnimedia Inc. Class A (a)		6,778		30,704

	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Matthews International Corp.		6,948	$	283,548
Mattress Firm Holding Corp. (a)		3,400		162,622
McClatchy Co. Class A, The (a)		14,927		95,831
MDC Partners Inc. Class A		10,189		232,513
Media General Inc. Class A (a)		4,900		90,013
Men’s Wearhouse Inc., The		12,158		595,499
Meredith Corp.		9,088		421,956
Meritage Homes Corp. (a)		9,852		412,602
Modine Manufacturing Co. (a)		12,320		180,488
Monarch Casino & Resort Inc. (a)		1,966		36,430
Monro Muffler Brake Inc.		8,002		455,154
Morgans Hotel Group Co. (a)		6,586		52,951
Movado Group Inc.		4,539		206,751
Multimedia Games Holding Company Inc. (a)		7,300		211,992
NACCO Industries Inc. Class A		1,148		62,233
Nathan’s Famous Inc. (a)		700		34,293
National CineMedia Inc.		15,472		232,080
Nautilus Inc. (a)		7,700		74,151
New Home Company Inc., The (a)		2,341		33,336
New York & Co. Inc. (a)		7,819		34,325
New York Times Co. Class A, The		32,752		560,714
Nexstar Broadcasting Group Inc. Class A		7,484		280,800
Noodles & Company (a)		1,529		60,350
NutriSystem Inc.		7,407		111,623
Office Depot Inc. (a)		121,512		501,845
Orbitz Worldwide Inc. (a)		6,215		48,726
Orient-Express Hotels Ltd. Class A (a)		24,403		351,647
Outerwall Inc. (a)		5,185		375,912
Overstock.com Inc. (a)		2,899		57,110
Oxford Industries Inc.		3,447		269,555
Pacific Sunwear of California Inc. (a)		11,400		33,858
Papa John’s International Inc.		8,098		421,987
Penske Automotive Group Inc.		10,829		463,048
Pep Boys-Manny, Moe & Jack, The (a)		13,227		168,247
Perry Ellis International Inc. (a)		3,140		43,144
PetMed Express Inc.		5,300		71,073
Pier 1 Imports Inc.		24,011		453,328
Pinnacle Entertainment Inc. (a)		14,748		349,528
Pool Corp.		11,870		727,868
Popeyes Louisiana Kitchen Inc. (a)		6,041		245,506
Potbelly Corp. (a)		2,250		40,208
Quiksilver Inc. (a)		33,800		253,838
R.G. Barry Corp.		2,681		50,617
RadioShack Corp. (a)		25,300		53,636
ReachLocal Inc. (a)		2,409		23,729
Reading International Inc. Class A (a)		4,300		31,519
Red Robin Gourmet Burgers Inc. (a)		3,574		256,184
Regis Corp.		11,875		162,688
Remy International Inc.		3,500		82,670
Rent-A-Center Inc.		13,528		359,845
Rentrak Corp. (a)		2,625		158,235
Restoration Hardware Holdings Inc. (a)		4,500		331,155
RetailMeNot Inc. (a)		2,643		84,576
Ruby Tuesday Inc. (a)		16,211		90,944
Ruth’s Hospitality Group Inc.		9,085		109,838

16 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Ryland Group Inc., The		11,789	$	470,735
Saga Communications Inc. Class A		1,196		59,429
Salem Communications Corp. Class A		2,600		25,974
Scholastic Corp.		6,791		234,154
Scientific Games Corp. Class A (a)		11,946		164,019
Sears Hometown and Outlet Stores Inc. (a)		2,100		49,665
Select Comfort Corp. (a)		14,353		259,502
SFX Entertainment Inc. (a)		5,127		36,145
Shiloh Industries Inc. (a)		1,370		24,304
Shoe Carnival Inc.		4,025		92,736
Shutterfly Inc. (a)		9,700		413,996
Sinclair Broadcast Group Inc. Class A		17,313		469,009
Sizmek Inc. (a)		6,497		69,063
Skechers U.S.A. Inc. Class A (a)		9,849		359,882
Skullcandy Inc. (a)		4,066		37,326
Smith & Wesson Holding Corp. (a)		13,869		202,765
Sonic Automotive Inc.		9,997		224,733
Sonic Corp. (a)		14,246		324,666
Sotheby’s		17,250		751,238
Spartan Motors Inc.		8,300		42,662
Speedway Motorsports Inc.		2,854		53,455
Stage Stores Inc.		8,207		200,661
Standard Motor Products Inc.		5,000		178,850
Standard Pacific Corp. (a)		38,100		316,611
Stein Mart Inc.		7,123		99,793
Steiner Leisure Ltd. (a)		3,652		168,905
Steven Madden Ltd. (a)		15,190		546,536
Stoneridge Inc. (a)		7,600		85,348
Strayer Education Inc. (a)		2,720		126,290
Sturm, Ruger & Company Inc.		4,900		293,020
Superior Industries International Inc.		5,941		121,731
Systemax Inc. (a)		2,500		37,275
Tenneco Inc. (a)		15,513		900,840
Texas Roadhouse Inc. Class A		15,904		414,776
Tile Shop Holdings Inc., The (a)		4,600		71,070
Tilly’s Inc. Class A (a)		2,300		26,910
Tower International Inc. (a)		1,495		40,694
Town Sports International Holdings Inc.		5,911		50,184
Trans World Entertainment Corp.		2,600		9,438
Tri Pointe Homes Inc. (a)		3,954		64,173
Tuesday Morning Corp. (a)		10,689		151,249
Tumi Holdings Inc. (a)		12,238		276,946
UCP Inc. Class A (a)		1,924		28,975
Unifi Inc. (a)		3,900		89,973
Universal Electronics Inc. (a)		4,070		156,247
Universal Technical Institute Inc.		5,681		73,569
Vail Resorts Inc.		9,126		636,082
ValueVision Media Inc. Class A (a)		9,700		47,142
Vera Bradley Inc. (a)		5,547		149,714
Vince Holding Corp. (a)		2,927		77,156
Vitacost.com Inc. (a)		5,600		39,704
Vitamin Shoppe Inc. (a)		7,823		371,749
VOXX International Corp. (a)		4,804		65,719
WCI Communities Inc. (a)		1,693		33,454

	Shares		Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
West Marine Inc. (a)		4,800	$	54,576
Wet Seal Inc. Class A (a)		22,624		29,864
Weyco Group Inc.		1,700		45,934
William Lyon Homes Class A (a)		3,400		93,874
Winmark Corp.		575		43,504
Winnebago Industries Inc. (a)		7,319		200,467
Wolverine World Wide Inc.		25,630		731,736
World Wrestling Entertainment Inc.		7,479		215,994
Zagg Inc. (a)		8,016		37,034
Zale Corp. (a)		8,100		169,371
Zumiez Inc. (a)		5,266		127,648
				55,769,331
Consumer Staples (3.62%)
Alico Inc.		685		25,821
Alliance One International Inc. (a)		22,744		66,412
Andersons Inc., The		7,110		421,196
Annie’s Inc. (a)		3,400		136,646
B&G Foods Inc. Class A		13,549		407,960
Boston Beer Co. Inc. (a)		2,080		509,038
Boulder Brands Inc. (a)		15,300		269,586
Calavo Growers Inc.		3,100		110,298
Cal-Maine Foods Inc.		3,700		232,286
Casey’s General Stores Inc.		9,800		662,382
Central Garden & Pet Co. (a)		10,673		88,266
Chefs’ Warehouse Inc., The (a)		4,200		89,880
Chiquita Brands International Inc. (a)		11,436		142,378
Coca-Cola Bottling Co. Consolidated		1,155		98,152
Craft Brew Alliance Inc. (a)		2,569		39,229
Darling International Inc. (a)		39,894		798,678
Diamond Foods Inc. (a)		5,800		202,594
Elizabeth Arden Inc. (a)		6,403		188,953
Fairway Group Holdings Corp. (a)		3,894		29,750
Farmer Brothers Co. (a)		1,731		34,101
Female Health Co., The		5,300		41,128
Fresh Del Monte Produce Inc.		9,800		270,186
Griffin Land & Nurseries Inc.		800		24,192
Hain Celestial Group Inc., The (a)		9,754		892,198
Harbinger Group Inc. (a)		8,127		99,393
Ingles Markets Inc.		2,905		69,197
Inter Parfums Inc.		4,216		152,661
Inventure Foods Inc. (a)		3,300		46,134
J&J Snack Foods Corp.		3,842		368,717
John B. Sanfilippo & Son Inc.		2,000		46,040
Lancaster Colony Corp.		4,714		468,666
Lifevantage Corp. (a)		28,000		36,680
Lifeway Foods Inc.		1,100		16,170
Limoneira Co.		2,567		58,220
Medifast Inc. (a)		3,167		92,128
National Beverage Corp. (a)		3,080		60,091
Natural Grocers by Vitamin Cottage Inc. (a)		2,202		96,139
Nature’s Sunshine Products Inc.		2,767		38,129
Nutraceutical International Corp. (a)		2,000		51,980
Oil-Dri Corporation of America		1,200		41,448
Omega Protein Corp. (a)		4,780		57,695

See accompanying notes to schedules of investments. 17

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Consumer Staples (Cont.)
Orchids Paper Products Co.		1,500	$	45,900
Pantry Inc., The (a)		6,339		97,240
Pilgrim’s Pride Corp. (a)		15,566		325,641
Post Holdings Inc. (a)		9,802		540,286
PriceSmart Inc.		4,800		484,464
Revlon Inc. Class A (a)		3,100		79,205
Rite Aid Corp. (a)		185,043		1,160,220
Roundy’s Inc.		7,840		53,939
Sanderson Farms Inc.		5,845		458,774
Seaboard Corp. (a)		77		201,852
Seneca Foods Corp. Class A (a)		2,101		66,139
Snyder’s-Lance Inc.		12,242		345,102
Spartan Stores Inc.		9,266		215,064
Spectrum Brands Holdings Inc.		5,490		437,553
Star Scientific Inc. (a)		43,800		34,370
SUPERVALU Inc. (a)		52,100		356,364
Susser Holdings Corp. (a)		4,675		292,047
Synutra International Inc. (a)		4,500		30,105
Tootsie Roll Industries Inc.		4,976		148,981
TreeHouse Foods Inc. (a)		9,167		659,932
United Natural Foods Inc. (a)		12,546		889,762
Universal Corp.		6,005		335,619
USANA Health Sciences Inc. (a)		1,474		111,051
Vector Group Ltd.		16,220		349,379
Village Super Market Inc. Class A		1,528		40,339
WD-40 Co.		3,962		307,332
Weis Markets Inc.		2,796		137,703
				15,785,161
Energy (5.55%)
Abraxas Petroleum Corp. (a)		20,468		81,053
Adams Resources & Energy Inc.		500		28,960
Alon USA Energy Inc.		5,700		85,160
Alpha Natural Resources Inc. (a)		56,400		239,700
Amyris Inc. (a)		7,682		28,654
Apco Oil and Gas International Inc. (a)		2,300		33,235
Approach Resources Inc. (a)		8,792		183,841
Arch Coal Inc.		53,800		259,316
Athlon Energy Inc. (a)		4,508		159,809
Basic Energy Services Inc. (a)		7,800		213,798
Bill Barrett Corp. (a)		12,574		321,894
Bolt Technology Corp.		2,200		43,494
Bonanza Creek Energy Inc. (a)		7,500		333,000
BPZ Resources Inc. (a)		30,800		97,944
Bristow Group Inc.		9,223		696,521
C&J Energy Services Inc. (a)		11,329		330,354
Cal Dive International Inc. (a)		23,514		39,974
Callon Petroleum Co. (a)		9,694		81,139
CARBO Ceramics Inc.		5,000		689,950
Carrizo Oil & Gas Inc. (a)		11,590		619,601
CHC Group Ltd. (a)		9,247		68,335
Clayton Williams Energy Inc. (a)		1,549		175,052
Clean Energy Fuels Corp. (a)		17,555		156,942
Cloud Peak Energy Inc. (a)		15,284		323,104
Comstock Resources Inc.		12,372		282,700
Contango Oil & Gas Co. (a)		3,749		178,977
Dawson Geophysical Co.		2,000		56,020

	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Delek US Holdings Inc.		9,500	$	275,880
Diamondback Energy Inc. (a)		5,366		361,185
Emerald Oil Inc. (a)		14,030		94,282
Endeavour International Corp. (a)		11,431		37,151
Energy XXI (Bermuda) Ltd.		18,548		437,176
EPL Oil & Gas Inc. (a)		7,696		297,066
Equal Energy Ltd.		8,700		39,846
Era Group Inc. (a)		5,000		146,550
Evolution Petroleum Corp.		4,008		51,022
EXCO Resources Inc.		42,750		239,400
Exterran Holdings Inc.		14,745		647,011
Forest Oil Corp. (a)		29,900		57,109
Forum Energy Technologies Inc. (a)		10,157		314,664
Frontline Ltd. (a)		15,626		61,410
FX Energy Inc. (a)		12,900		43,086
GasLog Ltd.		7,609		177,214
Gastar Exploration Inc. (a)		14,162		77,466
Geospace Technologies Corp. (a)		3,300		218,361
Goodrich Petroleum Corp. (a)		7,762		122,795
Green Plains Renewable Energy Inc.		6,400		191,744
Gulf Island Fabrication Inc.		3,882		83,890
GulfMark Offshore Inc. Class A		6,799		305,547
Halcon Resources Corp. (a)		59,995		259,778
Hallador Energy Co.		1,737		14,851
Helix Energy Solutions Group Inc. (a)		26,720		614,026
Hercules Offshore Inc. (a)		40,157		184,321
Hornbeck Offshore Services Inc. (a)		9,134		381,893
ION Geophysical Corp. (a)		32,713		137,722
Isramco Inc. (a)		272		36,043
Jones Energy Inc. Class A (a)		2,959		44,799
Key Energy Services Inc. (a)		38,305		353,938
KiOR Inc. Class A (a)		10,854		6,219
Knightsbridge Tankers Ltd.		7,886		106,855
Kodiak Oil & Gas Corp. (a)		67,309		817,131
L&L Energy Inc. (a) (b)		7,400		3,108
Magnum Hunter Resources Corp. (a)		44,079		374,672
Magnum Hunter Resources Corp. Warrants (a) (b)		4,267		0
Matador Resources Co. (a)		14,845		363,554
Matrix Service Co. (a)		6,700		226,326
Midstates Petroleum Company Inc. (a)		8,176		43,823
Miller Energy Resources Inc. (a)		7,630		44,864
Mitcham Industries Inc. (a)		3,269		45,570
Natural Gas Services Group (a)		3,100		93,434
Newpark Resources Inc. (a)		22,157		253,698
Nordic American Tankers Ltd.		19,272		189,636
North Atlantic Drilling Ltd.		18,291		161,692
Northern Oil and Gas Inc. (a)		16,095		235,309
Nuverra Environmental Solutions Inc. (a)		3,580		72,638
Panhandle Oil & Gas Inc.		1,763		76,884
Parker Drilling Co. (a)		29,921		212,140
PDC Energy Inc. (a)		9,023		561,772
Penn Virginia Corp. (a)		14,256		249,337
Petroquest Energy Inc. (a)		14,265		81,310
PHI Inc. (a)		3,200		141,568
Pioneer Energy Services Corp. (a)		16,064		208,029

18 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Energy (Cont.)
Quicksilver Resources Inc. (a)		33,300	$	87,579
Renewable Energy Group Inc. (a)		5,200		62,296
Rentech Inc. (a)		56,994		108,289
Resolute Energy Corp. (a)		17,923		129,046
REX American Resources Corp. (a)		1,311		74,793
Rex Energy Corp. (a)		11,600		217,036
RigNet Inc. (a)		3,100		166,873
Rosetta Resources Inc. (a)		15,430		718,729
RSP Permian Inc. (a)		5,890		170,162
Sanchez Energy Corp. (a)		9,851		291,885
Scorpio Tankers Inc.		46,662		465,220
SEACOR Holdings Inc. (a)		5,100		440,742
SemGroup Corp. Class A		10,764		706,980
Ship Finance International Ltd.		14,485		260,295
Solazyme Inc. (a)		11,846		137,532
Stone Energy Corp. (a)		12,621		529,703
Swift Energy Co. (a)		10,920		117,499
Synergy Resources Corp. (a)		12,592		135,364
Targa Resources Corp.		8,364		830,211
Teekay Tankers Ltd. Class A		15,994		56,619
Tesco Corp. (a)		7,523		139,176
TETRA Technologies Inc. (a)		20,000		256,000
TGC Industries Inc. (a)		3,885		23,116
Triangle Petroleum Corp. (a)		16,879		139,083
Uranium Energy Corp. (a)		21,500		28,380
Ur-Energy Inc. (a)		30,100		46,655
VAALCO Energy Inc. (a)		14,700		125,685
Vantage Drilling Co. (a)		54,436		93,086
W&T Offshore Inc.		8,600		148,866
Warren Resources Inc. (a)		18,346		88,061
Western Refining Inc.		13,781		531,947
Westmoreland Coal Co. (a)		2,892		86,124
Willbros Group Inc. (a)		10,596		133,722
ZaZa Energy Corp. (a)		6,300		4,738
				24,236,814
Financials (21.65%)
1st Source Corp.		3,827		122,808
1st United Bancorp Inc.		8,100		62,046
Acadia Realty Trust		13,830		364,835
Access National Corp.		1,900		30,799
AG Mortgage Investment Trust Inc.		6,856		120,049
Agree Realty Corp.		3,820		116,166
Alexander & Baldwin Inc.		11,000		468,160
Alexander’s Inc.		548		197,823
Altisource Residential Corp.		14,362		453,265
Ambac Financial Group Inc. (a)		11,300		350,639
American Assets Trust Inc.		8,647		291,750
American Capital Mortgage Investment Corp.		13,695		257,055
American Equity Investment Life Holding Co.		16,342		385,998
American National Bankshares Inc.		2,000		47,040
American Realty Capital Properties Inc.		119,373		1,673,609
American Residential Properties Inc. (a)		3,627		65,213

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Ameris Bancorp (a)		6,576	$	153,221
Amerisafe Inc.		4,700		206,377
Ames National Corp.		2,200		48,488
Amreit Inc. Class B		5,100		84,507
AmTrust Financial Services Inc.		7,911		297,533
Anworth Mortgage Asset Corp.		34,215		169,706
Apollo Commercial Real Estate Finance Inc.		9,120		151,666
Apollo Residential Mortgage Inc.		8,488		137,760
Ares Commercial Real Estate Corp.		5,310		71,207
Argo Group International Holdings Ltd.		6,934		318,271
Arlington Asset Investment Corp. Class A		3,895		103,140
Armada Hoffler Properties Inc.		4,700		47,188
Armour Residential REIT Inc.		96,639		398,153
Arrow Financial Corp.		2,814		74,402
Ashford Hospitality Prime Inc.		4,676		70,701
Ashford Hospitality Trust Inc.		15,250		171,868
Associated Estates Realty Corp.		14,978		253,727
Astoria Financial Corp.		22,400		309,568
AV Homes Inc. (a)		2,348		42,475
Aviv REIT Inc.		2,900		70,905
Baldwin & Lyons Inc.		2,311		60,756
Banc of California Inc.		4,051		49,706
BancFirst Corp.		1,848		104,652
Banco Latinoamericano de Comercio Exterior SA		7,400		195,434
Bancorp Inc., The (a)		8,172		153,715
BancorpSouth Inc.		24,361		608,051
Bank Mutual Corp.		11,919		75,566
Bank of Kentucky Financial Corp., The		1,448		54,358
Bank of Marin Bancorp		1,600		72,032
Bank of the Ozarks Inc.		7,936		540,124
BankFinancial Corp.		5,403		53,922
Banner Corp.		4,965		204,608
Bar Harbor Bankshares		1,000		38,350
BBCN Bancorp Inc.		20,332		348,490
BBX Capital Corp. Class A (a)		1,800		35,010
Beneficial Mutual Bancorp Inc. (a)		8,145		107,433
Berkshire Hills Bancorp Inc.		6,221		160,999
BGC Partners Inc. Class A		31,656		207,030
Blue Capital Reinsurance Holdings Ltd. (a)		1,600		27,824
BNC Bancorp		4,500		77,985
BofI Holding Inc. (a)		3,134		268,740
Boston Private Financial Holdings Inc.		20,151		272,643
Bridge Bancorp Inc.		2,985		79,729
Bridge Capital Holdings (a)		2,697		64,081
Brookline Bancorp Inc.		17,892		168,543
Bryn Mawr Bank Corp.		3,327		95,585
C&F Financial Corp.		800		26,512
Calamos Asset Management Inc. Class A		5,479		70,843
California First National Bancorp		800		12,280
Camden National Corp.		2,000		82,400
Campus Crest Communities Inc.		16,178		140,425

See accompanying notes to schedules of investments. 19

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Capital Bank Financial Corp. Class A (a)		6,200	$	155,682
Capital City Bank Group Inc.		2,998		39,813
Capitala Finance Corp.		1,100		21,208
Capitol Federal Financial Inc.		37,800		474,390
Capstead Mortgage Corp.		23,859		302,055
Cardinal Financial Corp.		8,300		147,989
Cascade Bancorp (a)		1,473		8,249
Cash America International Inc.		7,380		285,754
CatchMark Timber Trust Inc. Class A		3,100		43,555
Cathay General Bancorp		19,846		499,921
Cedar Realty Trust Inc.		17,975		109,827
Center Bancorp Inc.		2,986		56,734
Centerstate Banks Inc.		7,324		79,978
Central Pacific Financial Corp.		5,494		110,979
Century Bancorp Inc. Class A		809		27,595
Chambers Street Properties		59,898		465,407
Charter Financial Corp.		5,663		61,217
Chatham Lodging Trust		6,689		135,252
Chemical Financial Corp.		7,556		245,192
Chemung Financial Corp.		900		24,408
Chesapeake Lodging Trust		12,183		313,469
CIFC Corp.		1,677		13,651
Citizens & Northern Corp.		3,100		61,101
Citizens Inc. (a)		10,800		79,920
City Holding Co.		3,968		178,004
Clifton Savings Bancorp Inc.		2,225		26,077
CNB Financial Corp.		3,800		67,184
CNO Financial Group Inc.		56,707		1,026,397
CoBiz Financial Inc.		9,374		107,988
Cohen & Steers Inc.		4,902		195,345
Colony Financial Inc.		23,373		513,037
Columbia Banking System Inc.		12,810		365,341
Community Bank System Inc.		10,060		392,541
Community Trust Bancorp Inc.		3,487		144,641
CommunityOne Bancorp (a)		2,500		28,050
ConnectOne Bancorp Inc. (a)		437		21,396
Consolidated-Tomoka Land Co.		1,442		58,084
Consumer Portfolio Services Inc. (a)		4,200		28,728
Coresite Realty Corp.		5,354		165,974
Cousins Properties Inc.		42,674		489,471
Cowen Group Inc. Class A (a)		25,279		111,480
Crawford & Co. Class B		6,776		73,926
Credit Acceptance Corp. (a)		1,824		259,282
CU Bancorp (a)		2,300		42,320
CubeSmart		35,599		610,879
Customers Bancorp Inc. (a)		5,000		104,350
CVB Financial Corp.		23,680		376,512
CyrusOne Inc.		4,766		99,276
CYS Investments Inc.		40,929		338,074
DCT Industrial Trust Inc.		80,087		631,086
DFC Global Corp. (a)		10,078		88,989
Diamond Hill Investment Group		700		92,008
DiamondRock Hospitality Co.		49,351		579,874
Dime Community Bancshares		8,269		140,408
Donegal Group Inc.		1,869		27,250
Doral Financial Corp. (a)		1,558		13,523

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
DuPont Fabros Technology Inc.		15,940	$	383,676
Dynex Capital Inc.		14,501		129,784
Eagle Bancorp Inc. (a)		5,620		202,882
EastGroup Properties Inc.		7,738		486,798
Education Realty Trust Inc.		28,564		281,927
eHealth Inc. (a)		4,584		232,867
Ellington Residential Mortgage REIT		1,795		30,371
EMC Insurance Group Inc.		1,281		45,514
Empire State Realty Trust Inc. Class A		21,100		318,821
Employers Holdings Inc.		8,000		161,840
Encore Capital Group Inc. (a)		6,300		287,910
Enstar Group Ltd. (a)		2,400		327,144
Enterprise Bancorp Inc.		1,937		39,399
Enterprise Financial Services Corp.		4,776		95,854
EPR Properties		13,195		704,481
Equity One Inc.		15,473		345,667
ESB Financial Corp.		3,048		39,837
ESSA Bancorp Inc.		2,000		21,740
Essent Group Ltd. (a)		5,800		130,268
EverBank Financial Corp.		20,581		406,063
Evercore Partners Inc. Class A		8,000		442,000
Excel Trust Inc.		11,921		151,158
EZCORP Inc. Class A (a)		12,700		137,033
F.N.B. Corp.		39,617		530,868
Farmers Capital Bank Corp. (a)		1,900		42,674
FBL Financial Group Inc. Class A		2,198		95,217
FBR & Co. (a)		2,200		56,826
Federal Agricultural Mortgage Corp. Class C		2,704		89,908
FelCor Lodging Trust Inc. (a)		31,918		288,539
Fidelity & Guaranty Life		2,936		69,290
Fidelity Southern Corp.		3,849		53,771
Financial Engines Inc.		12,414		630,383
Financial Institutions Inc.		3,400		78,268
First American Financial Corp.		27,367		726,594
First Bancorp (North Carolina)		4,903		93,157
First BanCorp (Puerto Rico) (a)		17,800		96,832
First Bancorp Inc.		2,362		38,501
First Busey Corp.		17,879		103,698
First Cash Financial Services Inc. (a)		7,314		369,064
First Commonwealth Financial Corp.		25,234		228,115
First Community Bancshares Inc.		4,523		73,996
First Connecticut Bancorp Inc.		4,394		68,810
First Defiance Financial Corp.		2,394		64,925
First Federal Bancshares of Arkansas Inc. (a)		900		8,253
First Financial Bancorp		14,442		259,667
First Financial Bankshares Inc.		7,952		491,354
First Financial Corp. Indiana		2,799		94,270
First Financial Holdings Inc.		6,111		382,671
First Financial Northwest Inc.		4,100		41,615
First Industrial Realty Trust Inc.		27,598		533,193
First Interstate BancSystem Inc.		4,357		122,955
First Marblehead Corp., The (a)		2,270		13,711
First Merchants Corp.		9,171		198,460
First Midwest Bancorp Inc.		19,251		328,807

20 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
First NBC Bank Holding Co. (a)		1,000	$	34,860
First of Long Island Corp., The		2,100		85,281
First Potomac Realty Trust		15,372		198,606
First Security Group Inc. (a)		15,500		32,240
FirstMerit Corp.		41,797		870,632
Flagstar Bancorp Inc. (a)		4,900		108,878
Flushing Financial Corp.		7,692		162,070
Forestar Group Inc. (a)		8,700		154,860
Fortegra Financial Corp. (a)		1,400		9,842
Fox Chase Bancorp		2,983		50,264
Franklin Financial Corp. (a)		2,632		51,482
Franklin Street Properties Corp.		22,644		285,314
FXCM Inc. Class A		9,162		135,323
Gain Capital Holdings Inc.		2,500		27,025
GAMCO Investors Inc.		1,500		116,475
Geo Group Inc., The		18,152		585,220
German American Bancorp Inc.		3,100		89,559
Getty Realty Corp.		6,394		120,783
GFI Group Inc.		18,256		64,809
Glacier Bancorp Inc.		18,448		536,283
Gladstone Commercial Corp.		3,700		64,158
Glimcher Realty Trust		37,286		373,979
Global Indemnity PLC (a)		2,318		61,056
Government Properties Income Trust		14,040		353,808
Gramercy Property Trust Inc.		14,800		76,368
Great Southern Bancorp Inc.		2,513		75,465
Green Dot Corp. Class A (a)		6,600		128,898
Greenhill & Co. Inc.		7,200		374,256
Greenlight Capital Re Ltd. Class A (a)		7,103		232,978
Guaranty Bancorp		3,860		55,005
Hallmark Financial Services Inc. (a)		3,700		30,747
Hampton Roads Bankshares Inc. (a)		8,300		13,197
Hancock Holding Co.		21,430		785,410
Hanmi Financial Corp.		7,852		182,952
Hannon Armstrong Sustainable
Infrastructure Capital Inc.		3,600		51,660
HCI Group Inc.		2,400		87,360
Health Insurance Innovations Inc. Class A (a)		1,113		11,508
Healthcare Realty Trust Inc.		24,191		584,213
Heartland Financial USA Inc.		3,643		98,325
Heritage Commerce Corp.		5,133		41,372
Heritage Financial Corp.		3,900		65,988
Heritage Oaks Bancorp (a)		5,100		41,208
Hersha Hospitality Trust		52,239		304,553
HFF Inc. Class A		8,310		279,299
Highwoods Properties Inc.		22,846		877,515
Hilltop Holdings Inc. (a)		16,979		403,930
Hingham Institution for Savings		300		23,550
Home Bancorp Inc. (a)		1,800		37,782
Home Bancshares Inc.		11,626		400,167
Home Federal Bancorp Inc.		3,500		54,460
Home Loan Servicing Solutions Ltd.		18,033		389,513
HomeStreet Inc.		3,200		62,560
HomeTrust Bancshares Inc. (a)		5,339		84,249
Horace Mann Educators Corp.		10,002		290,058

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Horizon Bancorp		2,100	$	46,788
Hudson Pacific Properties Inc.		12,773		294,673
Hudson Valley Holding Corp.		4,352		82,906
IBERIABANK Corp.		7,577		531,527
ICG Group Inc. (a)		9,421		192,377
Imperial Holdings Inc. (a)		4,300		24,725
Independence Holding Co.		1,974		26,491
Independent Bank Corp.		6,110		240,551
Independent Bank Group Inc.		900		52,875
Infinity Property & Casualty Corp.		2,886		195,180
Inland Real Estate Corp.		22,217		234,389
International Bancshares Corp.		13,789		345,828
Intervest Bancshares Corp. Class A (a)		4,500		33,525
INTL FCStone Inc. (a)		3,527		66,343
Invesco Mortgage Capital		31,521		519,151
Investment Technology Group Inc. (a)		9,512		192,142
Investors Bancorp Inc.		12,864		355,561
Investors Real Estate Trust		27,035		242,774
Investors Title Co.		300		22,770
iStar Financial Inc. (a)		21,600		318,816
Janus Capital Group Inc.		37,900		411,973
JAVELIN Mortgage Investment Corp.		3,269		43,837
JGWPT Holdings Inc. Class A (a)		3,087		56,369
JMP Group Inc.		3,514		24,985
Kansas City Life Insurance Co.		1,057		50,947
KCG Holdings Inc. Class A (a)		18,067		215,539
Kearny Financial Corp. (a)		3,921		57,952
Kennedy-Wilson Holdings Inc.		16,491		371,212
Kite Realty Group Trust		33,629		201,774
Ladder Capital Corp. Class A (a)		3,909		73,802
Ladenburg Thalmann Financial Services Inc. (a)		26,630		80,423
Lakeland Bancorp Inc.		9,640		108,450
Lakeland Financial Corp.		4,232		170,211
LaSalle Hotel Properties		26,553		831,374
LCNB Corp.		2,100		36,330
Lexington Realty Trust		45,506		496,470
LTC Properties Inc.		8,703		327,494
Macatawa Bank Corp.		5,900		29,736
Maiden Holdings Ltd.		12,700		158,496
MainSource Financial Group Inc.		5,161		88,253
Manning & Napier Inc.		3,577		59,986
Marcus & Millichap Inc. (a)		1,800		32,112
MarketAxess Holdings Inc.		9,451		559,688
Marlin Business Services Corp.		2,159		44,929
MB Financial Inc.		14,126		437,341
Meadowbrook Insurance Group Inc.		12,962		75,568
Medical Properties Trust Inc.		40,838		522,318
Mercantile Bank Corp.		2,200		45,364
Merchants Bancshares Inc.		1,308		42,654
Meridian Interstate Bancorp Inc. (a)		2,126		54,362
Meta Financial Group Inc.		1,400		62,790
Metro Bancorp Inc. (a)		3,600		76,104
MGIC Investment Corp. (a)		81,951		698,223
Middleburg Financial Corp.		1,400		24,654
MidSouth Bancorp Inc.		1,900		31,977

See accompanying notes to schedules of investments. 21

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
MidWestOne Financial Group Inc.		1,700	$	42,908
Monmouth Real Estate Investment Corp. Class A		11,188		106,734
Montpelier Re Holdings Ltd.		10,611		315,783
NASB Financial Inc.		1,100		27,720
National Bank Holdings Corp. Class A		11,400		228,798
National Bankshares Inc.		1,700		62,067
National Health Investors Inc.		7,401		447,464
National Interstate Corp.		1,513		40,564
National Penn Bancshares Inc.		29,886		312,309
National Western Life Insurance Co.		575		140,588
Navigators Group Inc., The (a)		2,572		157,895
NBT Bancorp Inc.		11,397		278,771
Nelnet Inc. Class A		5,900		241,310
New Residential Investment Corp.		64,667		418,395
New York Mortgage Trust Inc.		19,209		149,446
NewBridge Bancorp (a)		6,300		44,982
NewStar Financial Inc. (a)		6,732		93,306
Nicholas Financial Inc.		2,406		37,846
Northfield Bancorp Inc.		14,399		185,171
Northrim BanCorp Inc.		1,700		43,673
NorthStar Realty Finance Corp.		83,169		1,342,348
Northwest Bancshares Inc.		23,226		339,100
OceanFirst Financial Corp.		3,300		58,377
OFG Bancorp		11,366		195,382
Old National Bancorp		25,742		383,813
OmniAmerican Bancorp Inc.		2,738		62,399
One Liberty Properties Inc.		3,247		69,226
OneBeacon Insurance Group Ltd. Class A		6,135		94,847
Oppenheimer Holdings Inc. Class A		2,680		75,174
Oritani Financial Corp.		11,505		181,894
Pacific Continental Corp.		4,600		63,296
Pacific Premier Bancorp Inc. (a)		4,500		72,630
PacWest Bancorp		9,581		412,079
Palmetto Bancshares Inc. (a)		1,100		15,499
Park National Corp.		2,970		228,363
Park Sterling Corp.		11,254		74,839
Parkway Properties Inc.		14,993		273,622
Peapack-Gladstone Financial Corp.		3,112		68,464
Pebblebrook Hotel Trust		15,490		523,097
Penns Woods Bancorp Inc.		1,257		61,316
Pennsylvania Real Estate Investment Trust		17,538		316,561
PennyMac Financial Services Inc. Class A (a)		3,214		53,481
PennyMac Mortgage Investment Trust		17,959		429,220
Peoples Bancorp Inc.		2,610		64,545
PHH Corp. (a)		14,369		371,295
Phoenix Companies Inc., The (a)		1,430		74,003
Physicians Realty Trust		5,218		72,635
PICO Holdings Inc. (a)		5,707		148,325
Pinnacle Financial Partners Inc.		8,997		337,298
Piper Jaffray Companies Inc. (a)		4,023		184,253
Platinum Underwriters Holdings Ltd.		7,009		421,241
Portfolio Recovery Associates Inc. (a)		12,813		741,360
Potlatch Corp.		10,365		401,022
Preferred Bank (a)		3,000		77,880

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Primerica Inc.		14,382	$	677,536
PrivateBancorp Inc.		16,504		503,537
Prosperity Bancshares Inc.		15,327		1,013,881
Provident Financial Holdings Inc.		2,500		38,550
Provident Financial Services Inc.		15,018		275,881
PS Business Parks Inc.		4,882		408,233
Pzena Investment Management Inc. Class A		2,486		29,260
QTS Realty Trust Inc. Class A		3,700		92,833
Radian Group Inc.		43,585		655,083
RAIT Financial Trust		20,694		175,692
Ramco-Gershenson Properties Trust		17,071		278,257
RCS Capital Corp. Class A		600		23,352
RE/MAX Holdings Inc. Class A (a)		3,026		87,240
Redwood Trust Inc.		20,954		424,947
Regional Management Corp. (a)		1,500		36,990
Renasant Corp.		7,865		228,478
Republic Bancorp Inc. Class A		2,619		59,189
Resource America Inc. Class A		3,100		26,567
Resource Capital Corp.		33,024		183,944
Retail Opportunity Investments Corp.		17,958		268,293
Rexford Industrial Realty Inc.		4,202		59,584
RLI Corp.		10,876		481,154
RLJ Lodging Trust		31,625		845,652
Rockville Financial Inc.		6,568		89,259
Rouse Properties Inc.		6,703		115,560
Ryman Hospitality Properties Inc.		11,156		474,353
S&T Bancorp Inc.		7,862		186,329
Sabra Health Care REIT Inc.		9,584		267,298
Safeguard Scientifics Inc. (a)		5,216		115,691
Safety Insurance Group Inc.		3,364		181,151
Sandy Spring Bancorp Inc.		6,394		159,722
Saul Centers Inc.		2,048		96,993
Seacoast Banking Corporation of Florida (a)		3,920		43,120
Select Income REIT		5,433		164,457
Selective Insurance Group Inc.		14,311		333,733
Sierra Bancorp		3,400		54,128
Silver Bay Realty Trust Corp.		3,818		59,255
Silvercrest Asset Management Group Inc. Class A		1,483		27,124
Simmons First National Corp.		4,216		157,130
Southside Bancshares Inc.		4,475		140,426
Southwest Bancorp Inc.		5,055		89,271
Sovran Self Storage Inc.		8,007		588,114
Springleaf Holdings Inc. (a)		6,228		156,634
STAG Industrial Inc.		11,373		274,089
State Auto Financial Corp.		4,058		86,476
State Bank Financial Corp.		8,398		148,561
Sterling Bancorp		21,080		266,873
Sterling Financial Corp.		8,695		289,804
Stewart Information Services Corp.		5,291		185,873
Stifel Financial Corp. (a)		16,248		808,500
Stonegate Mortgage Corp. (a)		2,100		31,206
Strategic Hotels & Resorts Inc. (a)		46,089		469,647
Suffolk Bancorp (a)		2,923		65,183
Summit Hotel Properties Inc.		19,818		183,911

22 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Sun Bancorp Inc. (a)		9,204	$	30,925
Sun Communities Inc.		10,250		462,172
Sunstone Hotel Investors Inc.		46,654		640,559
Susquehanna Bancshares Inc.		47,271		538,417
SWS Group Inc. (a)		6,997		52,338
SY Bancorp Inc.		3,567		112,860
Symetra Financial Corp.		20,797		412,197
Talmer Bancorp Inc. Class A (a)		4,569		66,890
Taylor Capital Group Inc. (a)		4,433		106,037
Tejon Ranch Co. (a)		3,536		119,623
Tejon Ranch Co. Warrants (a)		522		1,905
Terreno Realty Corp.		6,202		117,280
Territorial Bancorp Inc.		2,685		57,996
Texas Capital Bancshares Inc. (a)		10,337		671,285
Third Point Reinsurance Ltd. (a)		6,296		99,792
Tompkins Financial Corp.		3,746		183,404
Tower Group International Ltd.		14,308		38,632
TowneBank		6,680		103,607
TPG Specialty Lending Inc.		536		8,898
Tree.com Inc. (a)		1,500		46,560
Trico Bancshares		4,092		106,106
Tristate Capital Holdings Inc. (a)		1,600		22,736
Trustco Bank Corp. NY		23,377		164,574
Trustmark Corp.		17,201		436,045
UMB Financial Corp.		9,057		585,988
UMH Properties Inc.		4,700		45,966
Umpqua Holdings Corp.		28,409		529,544
Union First Market Bankshares Corp.		10,814		274,892
United Bankshares Inc.		16,533		506,240
United Community Banks Inc. (a)		10,943		212,404
United Community Financial Corp. (a)		13,000		50,960
United Financial Bancorp Inc.		5,240		96,364
United Fire Group Inc.		5,292		160,612
Universal Health Realty Income Trust		3,005		126,931
Universal Insurance Holdings Inc.		6,500		82,550
Univest Corp. of Pennsylvania		4,199		86,163
Urstadt Biddle Properties Inc.		6,304		130,241
Vantagesouth Bancshares Inc. (a)		3,200		22,496
ViewPoint Financial Group Inc.		10,280		296,578
Virtus Investment Partners Inc. (a)		1,737		300,796
Walker & Dunlop Inc. (a)		4,029		65,874
Walter Investment
Management Corp. (a)		9,308		277,658
Washington Banking Co.		4,110		73,076
Washington Real Estate Investment Trust		16,890		403,333
Washington Trust Bancorp Inc.		3,856		144,484
Waterstone Financial Inc. (a)		2,084		21,653
Webster Financial Corp.		23,149		719,008
WesBanco Inc.		6,687		212,847
West Bancorporation		3,700		56,203
Westamerica Bancorporation		6,892		372,719
Western Alliance Bancorp (a)		18,800		462,480
Western Asset Mortgage Capital Corp.		6,594		103,130
Westfield Financial Inc.		4,660		34,717
Westwood Holdings Group Inc.		1,771		111,024

	Shares		Value
Common Stocks (Cont.)
Financials (Cont.)
Whitestone REIT		5,529	$	79,839
Wilshire Bancorp Inc.		17,470		193,917
Winthrop Realty Trust		8,305		96,255
Wintrust Financial Corp.		10,888		529,810
WisdomTree Investments Inc. (a)		25,656		336,607
World Acceptance Corp. (a)		2,181		163,749
WSFS Financial Corp.		2,035		145,360
Yadkin Financial Corp. (a)		3,600		77,076
ZAIS Financial Corp.		1,419		23,641
				94,487,294
Health Care (13.30%)
Abaxis Inc. (a)		5,721		222,432
Abiomed Inc. (a)		10,001		260,426
Acadia Healthcare Company Inc. (a)		9,000		406,080
ACADIA Pharmaceuticals Inc. (a)		19,710		479,544
Accelerate Diagnostics Inc. (a)		2,766		60,326
Acceleron Pharma Inc. (a)		1,917		66,136
Accuray Inc. (a)		18,294		175,622
AcelRx Pharmaceuticals Inc. (a)		5,532		66,439
Achaogen Inc. (a)		387		5,983
Achillion Pharmaceuticals Inc. (a)		24,060		79,157
Acorda Therapeutics Inc. (a)		10,269		389,298
Addus HomeCare Corp. (a)		1,400		32,270
Aegerion Pharmaceuticals Inc. (a)		7,267		335,154
Aerie Pharmaceuticals Inc. (a)		2,000		42,380
Affymetrix Inc. (a)		18,600		132,618
Agios Pharmaceuticals Inc. (a)		1,697		66,438
Air Methods Corp. (a)		9,800		523,614
Akebia Therapeutics Inc. (a)		90		1,760
Akorn Inc. (a)		14,776		325,072
Albany Molecular Research Inc. (a)		5,800		107,822
Align Technology Inc. (a)		18,539		960,135
Alimera Sciences Inc. (a)		5,685		44,855
Alliance HealthCare Services Inc. (a)		1,200		40,236
Almost Family Inc. (a)		2,200		50,820
Alnylam Pharmaceuticals Inc. (a)		14,704		987,227
Alphatec Holdings Inc. (a)		16,800		25,200
AMAG Pharmaceuticals Inc. (a)		5,382		104,142
Amedisys Inc. (a)		7,988		118,941
Amicus Therapeutics Inc. (a)		7,678		15,893
AMN Healthcare Services Inc. (a)		11,888		163,341
Ampio Pharmaceuticals Inc. (a)		10,090		64,072
Amsurg Corp. (a)		8,204		386,244
Anacor Pharmaceuticals Inc. (a)		6,317		126,403
Analogic Corp.		3,106		255,034
Angiodynamics Inc. (a)		6,300		99,225
Anika Therapeutics Inc. (a)		3,000		123,300
Antares Pharma Inc. (a)		28,977		101,420
Aratana Therapeutics Inc. (a)		2,196		40,758
Arena Pharmaceuticals Inc. (a)		55,297		348,371
Argos Therapeutics Inc. (a)		1,200		12,000
ArQule Inc. (a)		15,335		31,437
Array Biopharma Inc. (a)		31,778		149,357
ArthroCare Corp. (a)		7,233		348,558
athenahealth Inc. (a)		9,331		1,495,199

See accompanying notes to schedules of investments. 23

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
AtriCure Inc. (a)		6,198	$	116,584
Atrion Corp.		400		122,456
Auspex Pharmaceuticals Inc. (a)		2,111		64,934
Auxilium Pharmaceuticals Inc. (a)		12,401		337,059
AVANIR Pharmaceuticals Inc. Class A (a)		37,500		137,625
Aveo Pharmaceuticals Inc. (a)		13,310		19,898
BIND Therapeutics Inc. (a)		1,377		16,469
BioDelivery Sciences International Inc. (a)		9,616		81,159
Biolase Inc. (a)		8,020		19,328
Bio-Reference Laboratories Inc. (a)		6,286		173,996
BioScrip Inc. (a)		14,554		101,587
BioTime Inc. (a)		8,436		27,754
Bluebird Bio Inc. (a)		1,696		38,567
Cambrex Corp. (a)		7,481		141,166
Cantel Medical Corp.		8,400		283,248
Capital Senior Living Corp. (a)		7,200		187,128
Cara Therapeutics Inc. (a)		1,429		26,594
Cardiovascular Systems Inc. (a)		6,656		211,594
Castlight Health Inc. Class B (a)		53		1,125
Cell Therapeutics Inc. (a)		34,000		115,600
Celladon Corp. (a)		1,656		19,740
Celldex Therapeutics Inc. (a)		22,814		403,123
Cellular Dynamics International Inc. (a)		955		14,258
Cempra Inc. (a)		5,100		58,905
Centene Corp. (a)		13,809		859,610
Cepheid Inc. (a)		16,981		875,880
Cerus Corp. (a)		17,340		83,232
Chelsea Therapeutics International Ltd. (a)		20,300		112,056
Chemed Corp.		4,524		404,672
ChemoCentryx Inc. (a)		6,100		40,443
Chimerix Inc. (a)		2,133		48,718
Chindex International Inc. (a)		3,400		64,872
Clovis Oncology Inc. (a)		4,556		315,594
Computer Programs & Systems Inc.		2,784		179,846
Conatus Pharmaceuticals Inc. (a)		1,700		13,830
Concert Pharmaceuticals Inc. (a)		1,851		24,896
Conmed Corp.		7,029		305,410
Corcept Therapeutics Inc. (a)		14,553		63,451
Coronado Biosciences Inc. (a)		5,500		10,890
Corvel Corp. (a)		2,878		143,209
Cross Country Healthcare Inc. (a)		6,689		53,980
CryoLife Inc.		6,832		68,047
Curis Inc. (a)		23,487		66,233
Cutera Inc. (a)		3,600		40,284
Cyberonics Inc. (a)		6,976		455,184
Cynosure Inc. Class A (a)		4,972		145,680
Cytokinetics Inc. (a)		8,504		80,788
Cytori Therapeutics Inc. (a)		14,800		39,960
Dendreon Corp. (a)		39,000		116,610
DepoMed Inc. (a)		14,200		205,900
Derma Sciences Inc. (a)		5,261		66,709
Dexcom Inc. (a)		17,901		740,385
Dicerna Pharmaceuticals Inc. (a)		932		26,329
Durata Therapeutics Inc. (a) (b)		3,478		46,849

	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
Dyax Corp. (a)		34,354	$	308,499
Dynavax Technologies Corp. (a)		67,647		121,765
Eagle Pharmaceuticals Inc. (a)		986		12,572
Egalet Corp. (a)		997		13,948
Eleven Biotherapeutics Inc. (a)		1,341		21,764
Emergent Biosolutions Inc. (a)		7,100		179,417
Emeritus Corp. (a)		10,156		319,305
Enanta Pharmaceuticals Inc. (a)		900		35,991
Endocyte Inc. (a)		7,934		188,909
Endologix Inc. (a)		16,229		208,867
Ensign Group Inc., The		5,000		218,200
Enzon Pharmaceuticals Inc.		9,015		9,285
Epizyme Inc. (a)		1,500		34,155
Esperion Therapeutics Inc. (a)		1,137		17,191
Exact Sciences Corp. (a)		17,612		249,562
Exactech Inc. (a)		2,600		58,656
ExamWorks Group Inc. (a)		8,208		287,362
Exelixis Inc. (a)		49,823		176,373
Fibrocell Science Inc. (a)		4,900		25,627
Five Prime Therapeutics Inc. (a)		1,500		29,490
Five Star Quality Care Inc. (a)		10,281		49,966
Flexion Therapeutics Inc. (a)		1,254		20,628
Fluidigm Corp. (a)		6,494		286,191
Foundation Medicine Inc. (a)		1,818		58,849
Furiex Pharmaceuticals Inc. (a)		1,695		147,465
Galena Biopharma Inc. (a)		26,100		65,250
GenMark Diagnostics Inc. (a)		8,882		88,287
Genocea Biosciences Inc. (a)		1,132		20,591
Genomic Health Inc. (a)		4,300		113,262
Gentiva Health Services Inc. (a)		7,726		70,461
Geron Corp. (a)		39,201		81,538
Globus Medical Inc. Class A (a)		13,709		364,522
GlycoMimetics Inc. (a)		2,106		34,391
Greatbatch Inc. (a)		6,156		282,684
GTx Inc. (a)		6,425		9,830
Haemonetics Corp. (a)		13,104		427,059
Halozyme Therapeutics Inc. (a)		24,416		310,083
Hanger Inc. (a)		8,900		299,752
Harvard Apparatus Regenerative Techolonogy Inc. (a)		1,398		12,680
Harvard Bioscience Inc. (a)		7,824		37,086
Healthsouth Corp.		22,246		799,299
HealthStream Inc. (a)		5,282		141,029
Healthways Inc. (a)		8,570		146,890
HeartWare International Inc. (a)		4,202		394,064
Hi-Tech Pharmacal Co. Inc. (a)		2,520		109,192
HMS Holdings Corp. (a)		22,300		424,815
Horizon Pharma Inc. (a)		14,180		214,402
Hyperion Therapeutics Inc. (a)		2,100		54,180
ICU Medical Inc. (a)		3,232		193,532
Idenix Pharmaceuticals Inc. (a)		28,727		173,224
ImmunoGen Inc. (a)		21,593		322,383
Immunomedics Inc. (a)		18,285		76,980
Impax Laboratories Inc. (a)		17,400		459,708
Infinity Pharmaceuticals Inc. (a)		11,891		141,384
Inogen Inc. (a)		1,342		22,156

24 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
Insmed Inc. (a)		8,800	$	167,552
Insulet Corp. (a)		13,480		639,222
Insys Therapeutics Inc. (a)		1,950		80,788
Integra LifeSciences Holdings Corp. (a)		5,695		261,913
Intercept Pharmaceuticals Inc. (a)		1,832		604,175
InterMune Inc. (a)		25,016		837,286
Intrexon Corp. (a)		2,855		75,058
Invacare Corp.		8,104		154,543
IPC The Hospitalist Co. (a)		4,300		211,044
Ironwood Pharmaceuticals Inc. (a)		26,930		331,778
Isis Pharmaceuticals Inc. (a)		28,485		1,230,837
KaloBios Pharmaceuticals Inc. (a)		2,198		5,957
Karyopharm Therapeutics Inc. (a)		2,025		62,552
Keryx Biopharmaceuticals Inc. (a)		22,668		386,263
Kindred Biosciences Inc. (a)		2,232		41,359
Kindred Healthcare Inc.		13,637		319,379
KYTHERA Biopharmaceuticals Inc. (a)		3,000		119,280
Landauer Inc.		2,380		107,885
Lannett Company Inc. (a)		4,700		167,884
LDR Holding Corp. (a)		1,551		53,246
Lexicon Pharmaceuticals Inc. (a)		58,500		101,205
LHC Group Inc. (a)		3,000		66,180
Ligand Pharmaceuticals Inc. Class B (a)		4,462		300,114
Luminex Corp. (a)		9,414		170,488
MacroGenics Inc. (a)		1,500		41,745
Magellan Health Services Inc. (a)		6,891		408,981
MannKind Corp. (a)		37,113		149,194
Masimo Corp. (a)		12,525		342,058
MedAssets Inc. (a)		15,737		388,861
Medical Action Industries Inc. (a)		3,600		25,092
Medicines Co., The (a)		16,076		456,880
Medidata Solutions Inc. (a)		13,456		731,199
MEI Pharma Inc. (a)		2,662		29,628
Merge Healthcare Inc. (a)		16,100		39,284
Meridian Bioscience Inc.		10,600		230,974
Merit Medical Systems Inc. (a)		10,996		157,243
Merrimack Pharmaceuticals Inc. (a)		25,500		128,520
MiMedx Group Inc. (a)		23,400		143,442
Molina Healthcare Inc. (a)		7,343		275,803
Momenta Pharmaceuticals Inc. (a)		11,911		138,763
MWI Veterinary Supply Inc. (a)		3,270		508,877
Nanosphere Inc. (a)		15,000		32,250
National Healthcare Corp.		2,773		154,650
National Research Corp. Class A (a)		2,400		39,816
Natus Medical Inc. (a)		7,800		201,240
Navidea Biopharmaceuticals Inc. (a)		29,700		54,945
Nektar Therapeutics (a)		31,760		384,931
Neogen Corp. (a)		9,176		412,461
NeoGenomics Inc. (a)		8,200		28,454
Neurocrine Biosciences Inc. (a)		19,358		311,664
NewLink Genetics Corp. (a)		4,701		133,508
Novavax Inc. (a)		48,381		219,166
NPS Pharmaceuticals Inc. (a)		25,415		760,671
NuVasive Inc. (a)		11,198		430,115
NxStage Medical Inc. (a)		14,819		188,794
Omeros Corp. (a)		8,658		104,502

	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
Omnicell Inc. (a)		9,336	$	267,196
Omthera Pharmaceuticals Inc. Contingent Value Rights (a) (b)		1,326		0
OncoGenex Pharmaceutical Inc. (a)		3,596		42,289
OncoMed Pharmaceuticals Inc. (a)		1,167		39,270
Onconova Therapeutics Inc. (a)		1,475		9,352
Ophthotech Corp. (a)		2,300		82,202
Opko Health Inc. (a)		47,881		446,251
OraSure Technologies Inc. (a)		14,763		117,661
Orexigen Therapeutics Inc. (a)		28,655		186,258
Orthofix International NV (a)		4,662		140,559
Osiris Therapeutics Inc. (a)		4,300		56,459
OvaScience Inc. (a)		3,335		29,815
Owens & Minor Inc.		16,028		561,461
Oxford Immunotec Global PLC (a)		1,600		32,112
Pacific Biosciences of California Inc. (a)		13,902		74,376
Pacira Pharmaceuticals Inc. (a)		7,016		491,050
Parexel International Corp. (a)		14,440		781,060
PDL BioPharma Inc.		41,059		341,200
Peregrine Pharmaceuticals Inc. (a)		41,500		78,850
Pernix Therapeutics Holdings Inc. (a)		4,711		25,204
PharMerica Corp. (a)		7,418		207,556
PhotoMedex Inc. (a)		3,300		52,239
Portola Pharmaceuticals Inc. (a)		2,766		71,639
Pozen Inc.		6,699		53,592
Prestige Brands Holdings Inc. (a)		13,148		358,283
Progenics Pharmaceuticals Inc. (a)		18,004		73,636
Prothena Corp. PLC (a)		3,600		137,916
Providence Service Corp. (a)		2,599		73,500
PTC Therapeutics Inc. (a)		2,916		76,224
Puma Biotechnology Inc. (a)		5,924		616,925
Quality Systems Inc.		10,052		169,678
Questcor Pharmaceuticals Inc.		13,133		852,726
Quidel Corp. (a)		7,000		191,100
Raptor Pharmaceutical Corp. (a)		15,205		152,050
Receptos Inc. (a)		1,872		78,512
Regulus Therapeutics Inc. (a)		2,200		19,844
Relypsa Inc. (a)		1,527		45,520
Repligen Corp. (a)		7,700		99,022
Repros Therapeutics Inc. (a)		5,697		101,065
Retrophin Inc. (a)		4,888		103,626
Revance Therapeutics Inc. (a)		1,785		56,228
Rigel Pharmaceuticals Inc. (a)		21,497		83,408
Rockwell Medical Inc. (a)		9,756		123,511
RTI Surgical Inc. (a)		13,700		55,896
Sagent Pharmaceuticals Inc. (a)		4,839		113,087
Sangamo BioSciences Inc. (a)		17,035		307,993
Sarepta Therapeutics Inc. (a)		9,600		230,688
SciClone Pharmaceuticals Inc. (a)		14,700		66,885
Select Medical Holdings Corp.		12,134		151,068
Sequenom Inc. (a)		28,414		69,614
SIGA Technologies Inc. (a)		8,400		26,040
Skilled Healthcare Group Inc. Class A (a)		5,000		26,350
Spectranetics Corp. (a)		10,185		308,707
Spectrum Pharmaceuticals Inc. (a)		16,228		127,228

See accompanying notes to schedules of investments. 25

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Health Care (Cont.)
STAAR Surgical Co. (a)		9,524	$	179,051
Stemline Therapeutics Inc. (a)		2,300		46,828
STERIS Corp.		15,052		718,733
Sucampo Pharmaceuticals Inc. Class A (a)		3,900		27,885
Sunesis Pharmaceuticals Inc. (a)		10,156		67,131
Supernus Pharmaceuticals Inc. (a)		5,233		46,783
Surgical Care Affiliates Inc. (a)		2,850		87,638
SurModics Inc. (a)		3,600		81,360
Symmetry Medical Inc. (a)		9,208		92,632
Synageva BioPharma Corp. (a)		5,267		437,003
Synergy Pharmaceuticals Inc. (a)		20,000		106,200
Synta Pharmaceuticals Corp. (a)		12,900		55,599
Tandem Diabetes Care Inc. (a)		2,350		51,912
Targacept Inc. (a)		6,778		32,196
Team Health Holdings Inc. (a)		17,403		778,784
TearLab Corp. (a)		7,500		50,700
Tesaro Inc. (a)		3,600		106,128
TetraLogic Pharmaceuticals Corp. (a)		1,718		10,961
Tetraphase Pharmaceuticals Inc. (a)		3,800		41,382
TG Therapeutics Inc. (a)		4,795		33,086
TherapeuticsMD Inc. (a)		21,900		138,189
Thoratec Corp. (a)		14,500		519,245
Threshold Pharmaceuticals Inc. (a)		11,400		54,264
Tornier NV (a)		6,502		137,972
Trevena Inc. (a)		2,091		16,435
Triple-S Management Corp. Class B (a)		5,900		95,226
U.S. Physical Therapy Inc.		3,200		110,624
Ultragenyx Pharmaceutical Inc. (a)		1,704		83,309
Unilife Corp. (a)		25,194		102,540
Universal American Corp.		9,556		67,561
USMD Holdings Inc. (a)		300		3,825
Utah Medical Products Inc.		800		46,264
Vanda Pharmaceuticals Inc. (a)		8,400		136,500
Vascular Solutions Inc. (a)		4,400		115,236
Veracyte Inc. (a)		1,321		22,629
Verastem Inc. (a)		4,600		49,634
Vical Inc. (a)		18,663		24,075
VIVUS Inc. (a)		25,261		150,050
Vocera Communications Inc. (a)		5,200		84,916
Volcano Corp. (a)		14,000		275,940
WellCare Health Plans Inc. (a)		10,977		697,259
West Pharmaceutical Services Inc.		17,528		772,108
Wright Medical Group Inc. (a)		10,181		316,324
Xencor Inc. (a)		3,809		44,680
Xenoport Inc. (a)		14,181		73,316
XOMA Corp. (a)		19,800		103,158
Zeltiq Aesthetics Inc. (a)		4,300		84,323
ZIOPHARM Oncology Inc. (a)		20,691		94,765
Zogenix Inc. (a)		25,404		72,274
				58,039,247
Industrials (14.24%)
Aaon Inc.		7,267		202,539
AAR Corp.		10,311		267,570
ABM Industries Inc.		14,035		403,366
Acacia Research Corp.		12,252		187,211

	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Acco Brands Corp. (a)		28,622	$	176,312
Accuride Corp. (a)		9,947		44,065
Aceto Corp.		6,964		139,907
Acorn Energy Inc. (a)		4,500		15,255
Actuant Corp. Class A		18,712		639,015
Acuity Brands Inc.		10,913		1,446,741
Advisory Board Co., The (a)		9,056		581,848
Aegion Corp. (a)		10,056		254,517
Aerovironment Inc. (a)		4,804		193,361
Air Transport Services Group Inc. (a)		13,100		102,835
Aircastle Ltd.		17,604		341,166
Alamo Group Inc.		1,885		102,412
Albany International Corp. Class A		7,251		257,701
Allegiant Travel Co.		3,810		426,453
Altra Industrial Motion Corp.		6,900		246,330
Ameresco Inc. Class A (a)		5,100		38,556
American Railcar Industries Inc.		2,353		164,781
American Science & Engineering Inc.		2,081		139,781
American Superconductor Corp. (a)		9,196		14,806
American Woodmark Corp. (a)		2,753		92,666
Ampco-Pittsburgh Corp.		2,200		41,514
API Technologies Corp. (a)		8,300		24,319
Apogee Enterprises Inc.		7,436		247,098
Applied Industrial Technologies Inc.		10,768		519,448
ARC Document Solutions Inc. (a)		9,321		69,348
Argan Inc.		3,500		104,055
Arkansas Best Corp.		6,389		236,074
Astec Industries Inc.		5,257		230,835
Astronics Corp. (a)		3,843		243,685
Atlas Air Worldwide Holdings Inc. (a)		6,643		234,299
AZZ Inc.		6,400		285,952
Barnes Group Inc.		13,644		524,885
Barrett Business Services Inc.		1,800		107,226
Beacon Roofing Supply Inc. (a)		12,385		478,804
Blount International Inc. (a)		12,494		148,679
BlueLinx Holdings Inc. (a)		8,286		10,772
Brady Corp.		11,813		320,723
Briggs & Stratton Corp.		12,180		271,005
Brink’s Co., The		12,299		351,136
Builders FirstSource Inc. (a)		10,886		99,171
CAI International Inc. (a)		4,300		106,081
Capstone Turbine Corp. (a)		75,737		161,320
Casella Waste Systems Inc. Class A (a)		11,014		56,282
CBIZ Inc. (a)		8,574		78,538
CDI Corp.		3,486		59,785
CECO Environmental Corp.		4,484		74,390
Celadon Group Inc.		5,200		125,008
Cenveo Inc. (a)		13,671		41,560
Chart Industries Inc. (a)		7,700		612,535
CIRCOR International Inc.		4,521		331,525
Clarcor Inc.		12,699		728,288
Columbus McKinnon Corp. (a)		5,100		136,629
Comfort Systems USA Inc.		9,773		148,941
Commercial Vehicle Group Inc. (a)		6,196		56,508
Continental Building Products Inc. (a)		3,469		65,356
Corporate Executive Board Co., The		8,600		638,378
Courier Corp.		3,101		47,755

26 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
CRA International Inc. (a)		2,415	$	53,058
Cubic Corp.		4,954		253,001
Curtiss-Wright Corp.		11,878		754,728
Deluxe Corp.		13,000		682,110
DigitalGlobe Inc. (a)		18,923		548,956
Douglas Dynamics Inc.		5,610		97,726
Ducommun Inc. (a)		2,600		65,156
DXP Enterprises Inc. (a)		2,400		227,832
Dycom Industries Inc. (a)		8,333		263,406
Dynamic Materials Corp.		3,754		71,476
Echo Global Logistics Inc. (a)		4,500		82,440
EMCOR Group Inc.		16,956		793,371
Encore Wire Corp.		5,295		256,860
Energy Recovery Inc. (a)		11,500		61,180
EnerNOC Inc. (a)		6,830		152,172
EnerSys		12,185		844,299
Engility Holdings Inc. (a)		4,300		193,715
Ennis Inc.		6,632		109,892
Enphase Energy Inc. (a)		4,000		29,440
EnPro Industries Inc. (a)		5,248		381,372
Erickson Air-Crane Inc. (a)		900		17,379
ESCO Technologies Inc.		6,810		239,644
Esterline Technologies Corp. (a)		7,989		851,148
ExOne Co., The (a)		1,731		62,022
Exponent Inc.		3,329		249,875
Federal Signal Corp. (a)		16,134		240,397
Forward Air Corp.		7,708		355,416
Franklin Covey Co. (a)		2,200		43,494
Franklin Electric Co. Inc.		12,151		516,661
Freightcar America Inc.		3,060		71,114
FTI Consulting Inc. (a)		10,182		339,468
FuelCell Energy Inc. (a)		50,496		125,230
Furmanite Corp. (a)		9,400		92,308
G&K Services Inc. Class A		4,980		304,627
GenCorp Inc. (a)		15,226		278,179
Generac Holdings Inc.		13,090		771,917
General Cable Corp.		12,800		327,808
Gibraltar Industries Inc. (a)		8,082		152,507
Global Brass & Copper Holdings Inc.		2,000		31,540
Global Power Equipment Group Inc.		4,373		86,979
Gorman-Rupp Co., The		4,791		152,306
GP Strategies Corp. (a)		3,800		103,474
GrafTech International Ltd. (a)		29,900		326,508
Graham Corp.		2,600		82,810
Granite Construction Inc.		9,953		397,423
Great Lakes Dredge & Dock Co. (a)		14,800		135,124
Greenbrier Companies Inc., The (a)		6,234		284,270
Griffon Corp.		10,347		123,543
H&E Equipment Services Inc. (a)		7,500		303,375
Hardinge Inc.		3,000		43,200
Hawaiian Holdings Inc. (a)		13,000		181,480
Healthcare Services Group Inc.		17,547		509,916
Heartland Express Inc.		11,776		267,197
Heico Corp.		16,841		1,013,155
Heidrick & Struggles International Inc.		4,712		94,570
Heritage-Crystal Clean Inc. (a)		2,567		46,540
Herman Miller Inc.		15,037		483,139

	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
HNI Corp.		11,547	$	422,158
Houston Wire & Cable Co.		4,500		59,085
Hub Group Inc. (a)		9,450		377,906
Hurco Companies Inc.		1,569		41,861
Huron Consulting Group Inc. (a)		5,990		379,646
Hyster-Yale Materials Handling Inc.		2,696		262,860
ICF International Inc. (a)		4,932		196,343
Innerworkings Inc. (a)		10,952		83,892
Innovative Solutions and Support Inc. (a)		3,100		23,343
Insperity Inc.		5,699		176,555
Insteel Industries Inc.		4,500		88,515
Interface Inc.		14,867		305,517
International Shipholding Corp.		1,333		39,244
Intersections Inc.		2,270		13,393
Jetblue Airways Corp. (a)		58,835		511,276
John Bean Technologies Corp.		7,400		228,660
Kadant Inc.		2,858		104,231
Kaman Corp.		6,846		278,495
Kelly Services Inc. Class A		6,716		159,371
Keyw Holding Corp., The (a)		7,911		148,015
Kforce Inc.		6,726		143,398
Kimball International Inc. Class B		8,097		146,637
Knight Transportation Inc.		14,949		345,770
Knoll Inc.		12,244		222,718
Korn/Ferry International (a)		12,233		364,176
Kratos Defense & Security Solutions Inc. (a)		11,824		89,153
L.B. Foster Co. Class A		2,536		118,812
Layne Christensen Co. (a)		4,986		90,695
Lindsay Corp.		3,298		290,818
LMI Aerospace Inc. (a)		2,700		38,070
LSI Industries Inc.		5,747		47,068
Lydall Inc. (a)		4,190		95,825
Manitex International Inc. (a)		3,242		52,845
Marten Transport Ltd.		5,797		124,751
MasTec Inc. (a)		15,081		655,119
Matson Inc.		11,000		271,590
McGrath Rentcorp		6,340		221,646
Meritor Inc. (a)		24,715		302,759
Middleby Corp., The (a)		4,793		1,266,359
Miller Industries Inc.		2,650		51,754
Mistras Group Inc. (a)		3,962		90,215
Mobile Mini Inc.		9,747		422,630
Moog Inc. Class A (a)		11,609		760,506
MSA Safety Inc.		7,218		411,426
Mueller Industries Inc.		14,394		431,676
Mueller Water Products Inc.		40,003		380,028
Multi-Color Corp.		3,273		114,555
MYR Group Inc. (a)		5,400		136,728
National Presto Industries Inc.		1,218		95,053
Navigant Consulting Inc. (a)		12,848		239,744
NCI Building Systems Inc. (a)		5,254		91,735
NL Industries Inc.		1,843		19,978
NN Inc.		4,617		90,955
Norcraft Companies Inc. (a)		1,936		32,776
Nortek Inc. (a)		2,289		188,179

See accompanying notes to schedules of investments. 27

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Northwest Pipe Co. (a)		2,400	$	86,784
Odyssey Marine Exploration Inc. (a)		19,131		43,810
Omega Flex Inc.		600		12,864
On Assignment Inc. (a)		11,700		451,503
Orbital Sciences Corp. (a)		15,229		424,889
Orion Marine Group Inc. (a)		6,764		85,023
Pacer International Inc. (a)		9,470		84,851
Park-Ohio Holdings Corp. (a)		2,266		127,236
Patrick Industries Inc. (a)		1,700		75,361
Patriot Transportation Holding Inc. (a)		1,800		64,890
Paylocity Holding Corp. (a)		32		770
Pendrell Corp. (a)		40,546		74,199
Performant Financial Corp. (a)		5,500		49,775
PGT Inc. (a)		8,300		95,533
Pike Corp. (a)		6,400		68,864
Ply Gem Holdings Inc. (a)		3,900		49,257
PMFG Inc. (a)		5,100		30,447
Polypore International Inc. (a)		11,900		407,099
Powell Industries Inc.		2,355		152,604
Power Solutions International Inc. (a)		500		37,585
PowerSecure International Inc. (a)		5,500		128,920
Preformed Line Products Co.		600		41,130
Primoris Services Corp.		8,864		265,743
Proto Labs Inc. (a)		4,308		291,522
Quad Graphics Inc.		6,240		146,328
Quality Distribution Inc. (a)		5,376		69,834
Quanex Building Products Corp.		9,241		191,104
Raven Industries Inc.		9,184		300,776
RBC Bearings Inc. (a)		5,800		369,460
Republic Airways Holdings Inc. (a)		12,432		113,628
Resources Connection Inc.		10,564		148,847
Revolution Lighting Technologies Inc. (a)		7,400		23,310
Rexnord Corp. (a)		7,772		225,233
Roadrunner Transportation Systems Inc. (a)		4,831		121,934
RPX Corp. (a)		8,066		131,314
Rush Enterprises Inc. Class A (a)		8,736		283,745
Saia Inc. (a)		6,202		236,978
Schawk Inc.		3,482		69,605
Scorpio Bulkers Inc. (a)		33,739		341,101
Simpson Manufacturing Co. Inc.		10,357		365,913
SkyWest Inc.		13,121		167,424
Sparton Corp. (a)		2,600		76,128
Spirit Airlines Inc. (a)		15,273		907,216
Standard Plus Corp. (a)		3,900		102,453
Standex International Corp.		3,327		178,261
Steelcase Inc.		21,500		357,115
Sterling Construction Company Inc. (a)		4,300		37,281
Stock Building Supply Holdings Inc. (a)		1,998		40,599
Sun Hydraulics Corp.		5,400		233,874
Swift Transportation Co. (a)		21,261		526,210
Swisher Hygiene Inc. (a)		28,533		12,843
TAL International Group Inc.		8,600		368,682
Taser International Inc. (a)		12,792		233,966
Team Inc. (a)		5,200		222,872
Tecumseh Products Co. Class A (a)		4,600		31,740

	Shares		Value
Common Stocks (Cont.)
Industrials (Cont.)
Teledyne Technologies Inc. (a)		9,513	$	925,900
Tennant Co.		4,735		310,711
Tetra Tech Inc. (a)		16,421		485,897
Textainer Group Holdings Ltd.		5,300		202,831
Thermon Group Holdings Inc. (a)		6,724		155,862
Titan International Inc.		13,438		255,188
Titan Machinery Inc. (a)		4,300		67,381
TRC Companies Inc. (a)		4,335		28,828
Trex Co. Inc. (a)		4,434		324,391
TriMas Corp. (a)		11,455		380,306
TriNet Group Inc. (a)		254		5,413
TrueBlue Inc. (a)		10,310		301,671
Tutor Perini Corp. (a)		9,473		271,591
Twin Disc Inc.		2,052		54,050
Ultrapetrol Bahamas Ltd. (a)		5,300		16,430
UniFirst Corp.		3,775		415,024
United Stationers Inc.		10,208		419,243
Universal Forest Products Inc.		5,110		282,787
Universal Truckload Services Inc.		1,400		40,460
US Ecology Inc.		5,558		206,313
USG Corp. (a)		19,522		638,760
UTi Worldwide Inc.		23,300		246,747
Viad Corp.		5,162		124,094
Vicor Corp. (a)		4,808		49,042
VSE Corp.		1,100		57,970
Wabash National Corp. (a)		17,845		245,547
WageWorks Inc. (a)		6,400		359,104
Watsco Inc.		6,575		656,908
Watts Water Technologies Inc.		7,251		425,561
Werner Enterprises Inc.		11,626		296,579
Wesco Aircraft Holdings Inc. (a)		10,260		225,823
West Corp.		5,300		126,829
Woodward Inc.		17,410		723,037
Xerium Technologies Inc. (a)		2,700		43,335
XPO Logistics Inc. (a)		12,166		357,802
YRC Worldwide Inc. (a)		7,960		179,100
				62,164,495
Information Technology (17.37%)
A10 Networks Inc. (a)		63		944
Accelrys Inc. (a)		14,125		175,998
ACI Worldwide Inc. (a)		10,116		598,766
Actuate Corp. (a)		12,500		75,250
Acxiom Corp. (a)		18,661		641,845
Adtran Inc.		15,248		372,204
Advanced Energy Industries Inc. (a)		9,933		243,358
Advent Software Inc.		8,410		246,918
Aeroflex Holding Corp. (a)		4,884		40,586
Aerohive Networks Inc. (a)		192		2,026
Agilysys Inc. (a)		3,514		47,088
Alliance Fiber Optic Products Inc.		2,800		40,516
Alpha & Omega Semiconductor Ltd. (a)		4,490		33,046
Ambarella Inc. (a)		4,600		122,866
Amber Road Inc. (a)		382		5,883
American Software Inc. Class A		6,300		64,071

28 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Amkor Technology Inc. (a)		17,964	$	123,233
ANADIGICS Inc. (a)		20,400		34,680
Angie’s List Inc. (a)		10,500		127,890
Anixter International Inc.		6,835		693,889
Applied Micro Circuits Corp. (a)		18,562		183,764
Applied Optoelectronics Inc. (a)		1,100		27,137
ARRIS Group Inc. (a)		29,425		829,196
Aruba Networks Inc. (a)		27,216		510,300
Aspen Technology Inc. (a)		23,762		1,006,558
ATMI Inc. (a)		7,988		271,672
Audience Inc. (a)		2,400		30,000
AVG Technologies NV (a)		6,000		125,760
Aviat Networks Inc. (a)		15,150		24,088
Axcelis Technologies Inc. (a)		25,726		55,311
Badger Meter Inc.		3,730		205,523
Bankrate Inc. (a)		11,751		199,062
Barracuda Networks Inc. (a)		1,046		35,501
Bazaarvoice Inc. (a)		13,413		97,915
Bel Fuse Inc.		2,483		54,378
Belden Inc.		11,173		777,641
Benchmark Electronics Inc. (a)		13,611		308,289
Benefitfocus Inc. (a)		1,325		62,235
Black Box Corp.		4,155		101,133
Blackbaud Inc.		11,711		366,554
Blackhawk Network Holdings Inc. (a)		2,800		68,292
Blucora Inc. (a)		10,420		205,170
Borderfree Inc. (a)		236		4,399
Bottomline Technologies Inc. (a)		9,731		342,045
Brightcove Inc. (a)		7,000		68,810
BroadSoft Inc. (a)		7,000		187,110
Brooks Automation Inc.		17,449		190,718
Cabot Microelectronics Corp. (a)		6,243		274,692
CACI International Inc. Class A (a)		5,818		429,368
CalAmp Corp. (a)		9,100		253,617
Calix Inc. (a)		10,120		85,312
Callidus Software Inc. (a)		10,603		132,750
Carbonite Inc. (a)		2,900		29,551
Cardtronics Inc. (a)		11,400		442,890
Care.com Inc. (a)		1,693		28,019
Cass Information Systems Inc.		2,706		139,521
Cavium Inc. (a)		13,037		570,108
CEVA Inc. (a)		5,906		103,709
ChannelAdvisor Corp. (a)		1,566		59,101
Checkpoint Systems Inc. (a)		10,615		142,453
Chegg Inc. (a)		3,853		26,971
Ciber Inc. (a)		18,443		84,469
Ciena Corp. (a)		25,700		584,418
Cirrus Logic Inc. (a)		16,097		319,847
Cognex Corp. (a)		22,022		745,665
Coherent Inc. (a)		6,200		405,170
Cohu Inc.		6,008		64,526
CommVault Systems Inc. (a)		11,888		772,126
Computer Task Group Inc.		4,000		67,960
comScore Inc. (a)		8,928		292,749
Comtech Telecommunications Corp.		3,902		124,318
Comverse Inc. (a)		5,549		191,884

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Constant Contact Inc. (a)		7,700	$	188,342
Control4 Corp. (a)		1,142		24,222
Convergys Corp.		26,949		590,453
Conversant Inc. (a)		17,064		480,352
Cornerstone OnDemand Inc. (a)		10,192		487,891
CoStar Group Inc. (a)		7,283		1,360,027
Covisint Corp. (a)		1,975		14,477
Cray Inc. (a)		10,222		381,485
CSG Systems International Inc.		8,665		225,637
CTS Corp.		8,641		180,424
Cvent Inc. (a)		1,599		57,804
Cyan Inc. (a)		1,931		8,245
Cypress Semiconductor Corp.		37,600		386,152
Daktronics Inc.		9,652		138,892
Datalink Corp. (a)		4,900		68,257
Dealertrack Technologies Inc. (a)		11,041		543,107
Demand Media Inc. (a)		8,933		43,325
Demandware Inc. (a)		4,700		301,082
Dice Holdings Inc. (a)		9,040		67,438
Digi International Inc. (a)		6,780		68,817
Digimarc Corp.		1,481		46,503
Digital River Inc. (a)		8,778		153,001
Diodes Inc. (a)		8,927		233,173
DSP Group Inc. (a)		4,724		40,815
DTS Inc. (a)		4,546		89,829
E2open Inc. (a)		4,198		98,947
EarthLink Holdings Corp.		27,140		97,975
Ebix Inc.		8,139		138,933
eGain Corp. (a)		3,300		23,298
Electro Rent Corp.		4,606		81,020
Electro Scientific Industries Inc.		6,538		64,399
Electronics for Imaging Inc. (a)		11,808		511,404
Ellie Mae Inc. (a)		7,117		205,254
Emulex Corp. (a)		20,580		152,086
Endurance International Group Holdings Inc. (a)		5,634		73,298
Entegris Inc. (a)		35,713		432,484
Entropic Communications Inc. (a)		23,700		96,933
Envestnet Inc. (a)		6,056		243,330
EPAM Systems Inc. (a)		5,700		187,530
EPIQ Systems Inc.		8,290		112,993
ePlus Inc. (a)		918		51,188
Euronet Worldwide Inc. (a)		12,597		523,909
EVERTEC Inc.		7,400		182,780
Everyday Health Inc. (a)		149		2,085
Exar Corp. (a)		9,767		116,716
Exlservice Holdings Inc. (a)		8,464		261,622
Extreme Networks Inc. (a)		24,164		140,151
Fabrinet (a)		7,028		145,972
Fair Isaac Corp.		9,102		503,523
FARO Technologies Inc. (a)		4,454		236,062
FEI Co.		10,647		1,096,854
Finisar Corp. (a)		23,667		627,412
Fleetmatics Group Ltd. PLC (a)		4,500		150,525
Formfactor Inc. (a)		13,743		87,818
Forrester Research Inc.		3,152		112,999

See accompanying notes to schedules of investments. 29

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Fusion-io Inc. (a)		21,000	$	220,920
Gerber Scientific Inc.
Escrow Shares (a) (b)		6,402		0
Gigamon Inc. (a)		1,928		58,592
Global Cash Access Holdings Inc. (a)		16,837		115,502
Global Eagle Entertainment Inc. (a)		7,148		112,795
Glu Mobile Inc. (a)		16,612		78,741
Gogo Inc. (a)		2,731		56,095
GSI Group Inc. (a)		7,539		98,459
GSI Technology Inc. (a)		5,400		37,314
GT Advanced Technologies Inc. (a)		34,400		586,520
Guidance Software Inc. (a)		3,878		42,891
Guidewire Software Inc. (a)		12,385		607,484
Hackett Group Inc., The		6,294		37,638
Harmonic Inc. (a)		25,083		179,093
Heartland Payment Systems Inc.		9,175		380,304
Higher One Holdings Inc. (a)		8,471		61,245
Hittite Microwave Corp.		7,931		499,970
Hutchinson Technology Inc. (a)		5,800		16,414
iGate Corp. (a)		8,726		275,218
II-VI Inc. (a)		13,296		205,157
Imation Corp. (a)		9,474		54,665
Immersion Corp. (a)		7,200		75,960
Imperva Inc. (a)		5,069		282,343
Infinera Corp. (a)		31,236		283,623
Infoblox Inc. (a)		13,600		272,816
Inphi Corp. (a)		6,737		108,398
Insight Enterprises Inc. (a)		11,048		277,415
Integrated Device Technology Inc. (a)		33,703		412,188
Integrated Silicon Solution Inc. (a)		7,890		122,690
Interactive Intelligence Group (a)		4,011		290,798
InterDigital Inc.		10,592		350,701
Intermolecular Inc. (a)		4,700		13,160
Internap Network Services Corp. (a)		12,988		91,955
International Rectifier Corp. (a)		17,600		482,240
Intersil Corp. Class A		32,200		416,024
Intralinks Holdings Inc. (a)		9,533		97,523
InvenSense Inc. (a)		14,234		336,919
Itron Inc. (a)		10,000		355,400
Ixia (a)		13,999		174,988
IXYS Corp.		6,314		71,664
j2 Global Inc.		11,615		581,331
Jive Software Inc. (a)		11,241		90,040
Kemet Corp. (a)		10,879		63,207
Kopin Corp. (a)		17,200		65,016
KVH Industries Inc. (a)		4,200		55,272
Lattice Semiconductor Corp. (a)		29,593		232,009
Limelight Networks Inc. (a)		14,179		30,910
Lionbridge Technologies Inc. (a)		14,200		95,282
Liquidity Services Inc. (a)		6,312		164,428
Littelfuse Inc.		5,637		527,849
LivePerson Inc. (a)		13,900		167,773
LogMeIn Inc. (a)		6,070		272,482
LTX-Credence Corp. (a)		12,296		109,557
Luxoft Holding Inc. (a)		1,168		40,962
M/A-COM Technology Solutions
Holdings Inc. (a)		2,600		53,430

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Manhattan Associates Inc. (a)		19,916	$	697,657
ManTech International Corp. Class A		6,055		178,078
Marchex Inc. Class B		5,366		56,397
Marin Software Inc. (a)		2,300		24,311
Marketo Inc. (a)		2,048		66,908
Mavenir Systems Inc. (a)		1,446		25,883
MAXIMUS Inc.		17,296		775,899
MaxLinear Inc. Class A (a)		5,786		54,851
Maxwell Technologies Inc. (a)		7,734		99,923
Measurement Specialties Inc. (a)		3,900		264,615
Mentor Graphics Corp.		24,256		534,117
Mercury Systems Inc. (a)		7,978		105,389
Mesa Laboratories Inc.		700		63,175
Methode Electronics Inc.		9,367		287,192
Micrel Inc.		11,516		127,597
Microsemi Corp. (a)		23,561		589,732
MicroStrategy Inc. (a)		2,325		268,282
Millennial Media Inc. (a)		8,800		60,896
Mitek Systems Inc. (a)		7,100		27,477
MKS Instruments Inc.		13,578		405,846
Model N Inc. (a)		2,000		20,220
ModusLink Global Solutions Inc. (a)		9,195		38,895
MoneyGram International Inc. (a)		5,462		96,404
Monolithic Power Systems Inc. (a)		9,874		382,815
Monotype Imaging Holdings Inc.		9,700		292,358
Monster Worldwide Inc. (a)		24,516		183,380
MoSys Inc. (a)		11,682		53,036
Move Inc. (a)		10,552		121,981
MTS Systems Corp.		3,970		271,905
Multi-Fineline Electronix Inc. (a)		2,134		27,315
Nanometrics Inc. (a)		5,904		106,095
Neonode Inc. (a)		7,300		41,537
NeoPhotonics Corp. (a)		5,000		39,650
Netgear Inc. (a)		9,303		313,790
NetScout Systems Inc. (a)		9,200		345,736
Newport Corp. (a)		10,018		207,172
NIC Inc.		16,406		316,800
NumereX Corp. Class A (a)		3,427		37,457
NVE Corp. (a)		1,200		68,448
Omnivision Technologies Inc. (a)		14,045		248,596
OpenTable Inc. (a)		5,800		446,194
Oplink Communications Inc. (a)		5,145		92,404
OSI Systems Inc. (a)		5,065		303,191
Park Electrochemical Corp.		5,452		162,851
ParkerVision Inc. (a)		22,000		105,600
PC Connection Inc.		2,220		45,110
PC-Tel Inc.		4,700		41,031
PDF Solutions Inc. (a)		6,463		117,433
Pegasystems Inc.		4,340		153,289
Peregrine Semiconductor Corp. (a)		6,595		39,900
Perficient Inc. (a)		8,600		155,832
Pericom Semiconductor Corp. (a)		5,809		45,484
Photronics Inc. (a)		15,972		136,241
Planet Payment Inc. (a)		10,500		28,770
Plantronics Inc.		10,996		488,772
Plexus Corp. (a)		8,740		350,212

30 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
PLX Technology Inc. (a)		11,411	$	69,037
PMC-Sierra Inc. (a)		52,400		398,764
Power Integrations Inc.		7,389		486,048
PRGX Global Inc. (a)		7,431		51,497
Procera Networks Inc. (a)		5,444		56,563
Progress Software Corp. (a)		13,310		290,158
Proofpoint Inc. (a)		5,900		218,772
PROS Holdings Inc. (a)		5,800		182,758
PTC Inc. (a)		30,544		1,082,174
Q2 Holdings Inc. (a)		149		2,314
QAD Inc. Class A		1,458		29,787
QLIK Technologies Inc. (a)		22,039		586,017
QLogic Corp. (a)		22,260		283,815
Qualys Inc. (a)		3,700		94,091
Quantum Corp. (a)		52,795		64,410
QuinStreet Inc. (a)		8,298		55,099
Radisys Corp. (a)		5,929		21,285
Rally Software Development Corp. (a)		1,700		22,746
Rambus Inc. (a)		27,958		300,548
RealD Inc. (a)		10,772		120,323
Realnetworks Inc. (a)		5,369		40,697
RealPage Inc. (a)		11,616		210,947
Reis Inc. (a)		2,100		37,905
RF Micro Devices Inc. (a)		71,231		561,300
Richardson Electronics Ltd.		2,833		30,483
Rocket Fuel Inc. (a)		1,450		62,176
Rofin-Sinar Technologies Inc. (a)		7,434		178,119
Rogers Corp. (a)		4,627		288,817
Rosetta Stone Inc. (a)		2,689		30,171
Rubicon Technology Inc. (a)		5,474		61,801
Ruckus Wireless Inc. (a)		11,800		143,488
Rudolph Technologies Inc. (a)		8,817		100,602
Sanmina Corp. (a)		20,826		363,414
Sapiens International Corp. NV (a)		5,000		40,550
Sapient Corp. (a)		28,108		479,522
ScanSource Inc. (a)		6,978		284,493
SciQuest Inc. (a)		5,654		152,743
SeaChange International Inc. (a)		8,200		85,608
Semtech Corp. (a)		17,149		434,556
ServiceSource International Inc. (a)		15,159		127,942
ShoreTel Inc. (a)		14,639		125,895
Shutterstock Inc. (a)		1,900		137,959
Sigma Designs Inc. (a)		6,896		32,825
Silicon Graphics International Corp. (a)		8,400		103,152
Silicon Image Inc. (a)		19,073		131,604
Silver Spring Networks Inc. (a)		1,500		26,070
Sonus Networks Inc. (a)		48,805		164,473
Spansion Inc. Class A (a)		11,869		206,758
Spark Networks Inc. (a)		4,400		23,012
Speed Commerce Inc. (a)		12,600		45,864
SPS Commerce Inc. (a)		4,125		253,481
SS&C Technologies Holdings Inc. (a)		14,717		588,974
Stamps.com Inc. (a)		3,640		122,158
SunEdison Inc. (a)		67,556		1,272,755
SunPower Corp. (a)		10,400		335,504
Super Micro Computer Inc. (a)		8,307		144,293
Supertex Inc. (a)		2,380		78,492

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Support.com Inc. (a)		13,100	$	33,405
Sykes Enterprises Inc. (a)		9,935		197,408
Synaptics Inc. (a)		8,324		499,606
Synchronoss Technologies Inc. (a)		7,300		250,317
SYNNEX Corp. (a)		6,705		406,390
Syntel Inc. (a)		3,977		357,532
Take-Two Interactive Software Inc. (a)		20,400		447,372
Tangoe Inc. (a)		7,618		141,619
TechTarget (a)		3,326		23,980
TeleCommunication Systems Inc. Class A (a)		11,900		27,370
TeleNav Inc. (a)		4,108		24,484
TeleTech Holdings Inc. (a)		4,905		120,222
TESSCO Technologies Inc.		1,400		52,304
Tessera Technologies Inc.		13,272		313,617
Textura Corp. (a)		1,303		32,849
TiVo Inc. (a)		32,340		427,858
Travelzoo Inc. (a)		2,100		48,090
Tremor Video Inc. (a)		2,400		9,888
TriQuint Semiconductor Inc. (a)		41,915		561,242
Trulia Inc. (a)		7,169		238,011
TTM Technologies Inc. (a)		13,560		114,582
Tyler Technologies Inc. (a)		7,990		668,603
Ubiquiti Networks Inc. (a)		3,146		143,049
Ultimate Software Group Inc., The (a)		7,055		966,535
Ultra Clean Holdings Inc. (a)		6,323		83,147
Ultratech Inc. (a)		6,879		200,798
Uni-Pixel Inc. (a)		2,500		19,150
Unisys Corp. (a)		13,038		397,137
United Online Inc.		3,322		38,402
Universal Display Corp. (a)		10,098		322,227
Unwired Planet Inc. (a)		23,012		49,936
Varonis Systems Inc. (a)		1,367		48,884
VASCO Data Security International Inc. (a)		6,902		52,041
Veeco Instruments Inc. (a)		9,833		412,298
Verint Systems Inc. (a)		13,377		627,783
ViaSat Inc. (a)		9,999		690,331
Viasystems Group Inc. (a)		1,056		13,221
Violin Memory Inc. (a)		4,877		19,508
Virnetx Holding Corp. (a)		10,627		150,691
Virtusa Corp. (a)		5,828		195,296
Vishay Precision Group Inc. (a)		3,021		52,505
VistaPrint NV (a)		8,334		410,199
Vocus Inc. (a)		4,400		58,652
Vringo Inc. (a)		16,700		57,949
Web.com Group Inc. (a)		10,557		359,255
WebMD Health Corp. (a)		7,282		301,475
Westell Technologies Inc. Class A (a)		12,062		44,509
WEX Inc. (a)		9,898		940,805
Wix.com Ltd. (a)		2,100		48,237
XO Group Inc. (a)		6,900		69,966
Xoom Corp. (a)		2,226		43,452
Yelp Inc. (a)		8,300		638,519
YuMe Inc. (a)		1,843		13,472
Zillow Inc. (a)		5,974		526,309

See accompanying notes to schedules of investments. 31

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Information Technology (Cont.)
Zix Corp. (a)		16,400	$	67,896
Zygo Corp. (a)		4,300		65,317
				75,822,070
Materials (4.75%)
A. Schulman Inc.		7,347		266,402
Advanced Emissions Solutions Inc. (a)		5,600		137,424
AEP Industries Inc. (a)		1,100		40,810
AK Steel Holding Corp. (a)		34,300		247,646
Allied Nevada Gold Corp. (a)		25,800		111,198
AM Castle & Co. (a)		4,189		61,536
AMCOL International Corp.		7,174		328,426
American Vanguard Corp.		7,413		160,491
Arabian American Development Co. (a)		5,000		54,250
Axiall Corp.		17,682		794,275
Balchem Corp.		7,588		395,487
Berry Plastics Group Inc. (a)		14,300		331,045
Boise Cascade Co. (a)		2,998		85,863
Calgon Carbon Corp. (a)		13,840		302,127
Century Aluminum Co. (a)		12,700		167,767
Chase Corp.		1,554		48,998
Chemtura Corp. (a)		25,025		632,882
Clearwater Paper Corp. (a)		5,376		336,914
Coeur Mining Inc. (a)		25,446		236,393
Commercial Metals Co.		29,800		562,624
Deltic Timber Corp.		2,765		180,361
Ferro Corp. (a)		18,024		246,208
Flotek Industries Inc. (a)		12,328		343,335
FutureFuel Corp.		5,373		109,072
General Moly Inc. (a)		16,300		16,137
Globe Specialty Metals Inc.		16,405		341,552
Gold Resource Corp.		8,473		40,501
Graphic Packaging Holding Co. (a)		49,510		503,022
Handy & Harman Ltd. (a)		1,448		31,870
Hawkins Inc.		2,365		86,890
Haynes International Inc.		3,100		167,400
HB Fuller Co.		12,754		615,763
Headwaters Inc. (a)		18,276		241,426
Hecla Mining Co.		86,161		264,514
Horsehead Holding Corp. (a)		12,829		215,784
Innophos Holdings Inc.		5,511		312,474
Innospec Inc.		6,049		273,596
Intrepid Potash Inc. (a)		13,600		210,256
Kaiser Aluminum Corp.		4,800		342,816
Kapstone Paper and Packaging Corp. (a)		20,746		598,315
KMG Chemicals Inc.		2,001		31,376
Koppers Holdings Inc.		5,319		219,302
Kraton Performance Polymers Inc. (a)		8,414		219,942
Landec Corp. (a)		6,700		74,772
Louisiana-Pacific Corp. (a)		35,310		595,680
LSB Industries Inc. (a)		5,000		187,100
Marrone Bio Innovations Inc. (a)		1,356		18,943
Materion Corp.		5,252		178,200
Midway Gold Corp. (a)		25,705		26,990

	Shares		Value
Common Stocks (Cont.)
Materials (Cont.)
Minerals Technologies Inc.		8,884	$	573,551
Molycorp Inc. (a)		36,827		172,719
Myers Industries Inc.		6,945		138,344
Neenah Paper Inc.		4,153		214,793
Noranda Aluminum Holding Corp.		8,404		34,540
Olin Corp.		20,219		558,247
Olympic Steel Inc.		2,300		66,010
OM Group Inc.		8,191		272,105
Omnova Solutions Inc. (a)		11,758		122,048
P. H. Glatfelter Co.		10,796		293,867
Paramount Gold and Silver Corp. (a)		33,152		40,777
Penford Corp. (a)		2,400		34,464
PolyOne Corp.		25,319		928,195
Quaker Chemical Corp.		3,300		260,139
Resolute Forest Products (a)		18,001		361,640
RTI International Metals Inc. (a)		8,170		226,963
Schnitzer Steel Industries Inc. Class A		6,432		185,563
Schweitzer-Mauduit International Inc.		7,948		338,505
Sensient Technologies Corp.		12,653		713,756
Stepan Co.		4,846		312,858
Stillwater Mining Co. (a)		30,422		450,550
SunCoke Energy Inc. (a)		17,990		410,892
Taminco Corp. (a)		3,900		81,939
Texas Industries Inc. (a)		5,553		497,660
Tredegar Corp.		6,399		147,241
UFP Technologies Inc. (a)		1,400		34,104
United States Lime & Minerals Inc.		414		23,308
Universal Stainless & Alloy Products Inc. (a)		1,924		64,973
US Concrete Inc. (a)		3,400		79,900
US Silica Holdings Inc.		5,600		213,752
Walter Energy Inc.		16,200		122,472
Wausau Paper Corp.		12,326		156,910
Worthington Industries Inc.		13,496		516,222
Zep Inc.		5,831		103,209
				20,748,371
Telecommunication Services (0.70%)
8x8 Inc. (a)		22,529		243,538
Atlantic Tele-Network Inc.		2,449		161,437
Boingo Wireless Inc. (a)		4,010		27,188
Cbeyond Inc. (a)		7,000		50,750
Cincinnati Bell Inc. (a)		52,985		183,328
Cogent Communications Group Inc.		12,000		426,360
Consolidated Communications Holdings Inc.		10,142		202,941
FairPoint Communications Inc. (a)		5,294		71,998
General Communication Inc. Class A (a)		7,782		88,793
Hawaiian Telcom Holdco Inc. (a)		2,600		74,074
HickoryTech Corp.		3,244		41,491
IDT Corp. Class B		3,705		61,725
inContact Inc. (a)		13,320		127,872
Inteliquent Inc.		8,600		124,958

32 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Telecommunication Services (Cont.)
Iridium Communications Inc. (a)		15,983	$	120,032
Leap Wireless International Inc. Contingent Value Rights (a) (b)		13,674		34,458
Lumos Networks Corp.		3,750		50,138
magicJack VocalTec Ltd. (a)		4,600		97,658
NII Holdings Inc. (a)		42,800		50,932
NTELOS Holdings Corp.		3,750		50,625
Orbcomm Inc. (a)		9,990		68,432
Premiere Global Services Inc. (a)		11,940		143,996
RingCentral Inc. Class A (a)		2,327		42,119
Shenandoah Telecommunications Co.		6,038		194,967
Straight Path Communications Inc. Class B (a)		1,852		13,631
Towerstream Corp. (a)		16,474		38,714
USA Mobility Inc.		5,566		101,134
Vonage Holdings Corp. (a)		40,479		172,845
				3,066,134
Utilities (3.06%)
ALLETE Inc.		10,151		532,113
American States Water Co.		9,756		315,021
Artesian Resources Corp. Class A		1,786		40,114
Atlantic Power Corp.		31,544		91,478
Avista Corp.		15,306		469,129
Black Hills Corp.		11,289		650,811
California Water Service Group		12,282		294,031
Chesapeake Utilities Corp.		2,508		158,405
Cleco Corp.		15,280		772,862
Connecticut Water Service Inc.		2,624		89,662
Consolidated Water Co. Ltd.		3,594		47,369
Delta Natural Gas Company Inc.		1,700		35,224
Dynegy Inc. (a)		25,353		632,304
El Paso Electric Co.		10,232		365,589
Empire District Electric Co., The		10,730		260,954
Genie Energy Ltd. Class B (a)		3,205		31,954
Idacorp Inc.		12,855		713,067
Laclede Group Inc., The		8,354		393,891
MGE Energy Inc.		8,739		342,831
Middlesex Water Co.		3,953		86,254
New Jersey Resources Corp.		10,562		525,988
Northwest Natural Gas Co.		6,775		298,168
NorthWestern Corp.		9,611		455,850
NRG Yield Inc. Class A		5,860		231,646
Ormat Technologies Inc.		4,405		132,194
Otter Tail Corp.		9,436		290,534
Pattern Energy Group Inc.		4,719		128,026
Piedmont Natural Gas Company Inc.		19,237		680,797
PNM Resources Inc.		20,177		545,384
Portland General Electric Co.		19,366		626,296
Pure Cycle Corp. (a)		4,300		26,015
SJW Corp.		3,948		116,703
South Jersey Industries Inc.		8,098		454,217
Southwest Gas Corp.		11,823		631,939
UIL Holdings Corp.		14,286		525,868

	Shares		Value
Common Stocks (Cont.)
Utilities (Cont.)
Unitil Corp.		3,398	$	111,590
UNS Energy Corp.		10,550		633,316
WGL Holdings Inc.		13,152		526,869
York Water Co.		3,400		69,360
				13,333,823
Total Common Stocks
(cost $290,502,084)				423,452,740
Registered Investment Companies (1.11%)
Financials (1.11%)
Apollo Investment Corp.		57,507		477,883
BlackRock Kelso Capital Corp.		18,510		169,737
Capital Southwest Corp. (a)		3,428		119,020
Fidus Investment Corp.		3,400		65,654
Fifth Street Finance Corp.		35,055		331,620
Firsthand Technology Value Fund Inc.		2,200		46,970
Garrison Capital Inc.		1,500		21,195
Gladstone Capital Corp.		5,050		50,904
Gladstone Investment Corp.		6,110		50,530
Golub Capital BDC LLC Inc.		9,651		172,174
GSV Capital Corp. (a)		4,900		49,686
Hercules Technology Growth Capital Inc.		15,912		223,882
Horizon Technology Finance Corp.		2,100		26,271
KCAP Financial Inc.		6,961		60,282
Main Street Capital Corp.		9,974		327,746
MCG Capital Corp.		18,158		68,819
Medallion Financial Corp.		5,400		71,334
Medley Capital Corp.		11,925		162,299
MVC Capital Inc.		5,754		77,967
New Mountain Finance Corp.		12,391		180,289
NGP Capital Resources Co.		5,276		35,666
PennantPark Floating Rate Capital Ltd.		4,100		56,662
PennantPark Investment Corp.		17,415		192,436
Prospect Capital Corp.		78,991		853,103
Solar Capital Ltd.		11,695		254,717
Solar Senior Capital Ltd.		2,978		50,954
Stellus Capital Investment Corp.		3,100		44,578
TCP Capital Corp.		9,100		150,605
THL Credit Inc.		8,401		115,934
TICC Capital Corp.		13,063		127,756
Triangle Capital Corp.		6,984		180,816
WhiteHorse Finance Inc.		1,674		23,553
				4,841,042
Total Registered Investment Companies
(cost $5,258,308)				4,841,042

See accompanying notes to schedules of investments. 33

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Short-term Investments (2.39%)
JPMorgan U.S. Government Money Market Fund		9,666,081	$	9,666,081
	Principal amount		Value
U.S. Treasury Bill (c)
0.050%, 04/10/2014	$	775,000	$	774,996
Total Short-term Investments
(cost $10,441,071)				10,441,077
TOTAL INVESTMENTS (100.52%)
(cost $306,201,463)				438,734,859
LIABILITIES, NET OF OTHER ASSETS (-0.52%)				(2,289,452	)
NET ASSETS (100.00%)			$	436,445,407

(a) Non-income producing security.

(b) In accordance with the Trust’s valuation procedures, State Farm Investment Management Corp. (“SFIMC”) determined the fair value for the security considering the facts and circumstances related to the particular security.

(c) At March 31, 2014, this security has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

OPEN FUTURES CONTRACTS

Description	Contracts Purchased	Expiration	Notional Value		Market Value		Unrealized Gain (Loss)
Russell 2000 Mini Index	68	June 2014	$	8,036,315	$	7,959,400	$	(76,915	)

34 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (95.87%)
Australia (7.61%)
AGL Energy Ltd.		10,517	$	148,060
ALS Ltd.		7,007		47,632
Alumina Ltd. (a)		46,649		51,698
Amcor Ltd.		22,831		219,992
AMP Ltd.		55,106		254,504
APA Group		15,276		91,094
Asciano Ltd.		18,010		86,853
ASX Ltd.		3,694		123,569
Aurizon Holdings Ltd.		37,900		180,663
Australia & New Zealand Banking Group Ltd.		52,775		1,618,074
Bank of Queensland Ltd.		6,257		74,565
Bendigo and Adelaide Bank Ltd.		9,793		103,354
BGP Holdings PLC (a) (b)		183,756		0
BHP Billiton Ltd.		61,650		2,085,144
Boral Ltd.		13,782		72,215
Brambles Ltd.		29,334		251,912
Caltex Australia Ltd.		2,519		51,605
CFS Retail Property Trust		40,983		71,834
Coca-Cola Amatil Ltd.		10,549		107,908
Cochlear Ltd.		1,045		55,241
Commonwealth Bank of Australia		30,905		2,219,532
Computershare Ltd.		9,303		104,394
Crown Resorts Ltd.		7,339		113,187
CSL Ltd.		9,203		593,685
Dexus Property Group		115,062		113,111
Echo Entertainment Group Ltd.		16,111		36,606
Federation Centres		28,374		62,101
Flight Centre Travel Group Ltd.		1,064		51,795
Fortescue Metals Group Ltd.		29,472		143,495
Goodman Group		32,540		142,740
GPT Group		33,165		112,571
Harvey Norman Holdings Ltd.		10,827		33,135
Iluka Resources Ltd.		7,836		72,017
Incitec Pivot Ltd.		31,491		86,446
Insurance Australia Group Ltd.		46,148		238,383
James Hardie Industries PLC		8,057		107,075
Leighton Holdings Ltd.		3,317		64,938
Lend Lease Corp. Ltd.		10,208		112,183
Macquarie Group Ltd.		5,387		289,413
Metcash Ltd.		16,100		39,120
Mirvac Group		69,814		110,067
National Australia Bank Ltd.		45,119		1,483,766
Newcrest Mining Ltd. (a)		14,606		133,966
Orica Ltd.		6,823		138,449
Origin Energy Ltd.		20,772		275,282
Qantas Airways Ltd. (a)		21,256		21,783
QBE Insurance Group Ltd.		23,285		276,842
Ramsay Health Care Ltd.		2,424		108,197
REA Group Ltd.		1,046		47,290
Rio Tinto Ltd.		8,464		498,837
Santos Ltd.		18,503		231,656
Seek Ltd.		6,039		98,402
Sonic Healthcare Ltd.		7,081		113,411
SP Ausnet		28,427		34,536
Stockland		43,224		150,322

	Shares		Value
Common Stocks (Cont.)
Australia (Cont.)
Suncorp Group Ltd.		24,504	$	292,471
Sydney Airport		22,893		88,958
Tabcorp Holding Ltd.		13,306		42,079
Tatts Group Ltd.		27,358		73,578
Telstra Corp. Ltd.		83,652		394,101
Toll Holdings Ltd.		12,395		59,775
Transurban Group		26,704		179,796
Treasury Wine Estates Ltd.		12,793		41,881
Wesfarmers Ltd.		22,323		852,730
Westfield Group		37,320		354,758
Westfield Retail Trust		57,323		158,421
Westpac Banking Corp.		59,741		1,914,756
Woodside Petroleum Ltd.		12,748		461,314
Woolworths Ltd.		23,957		793,617
WorleyParsons Ltd.		3,949		55,447
				19,918,332
Austria (0.27%)
Andritz AG		1,337		82,619
Erste Group Bank AG		4,785		163,483
Immoeast AG Interim Shares (a) (b)		8,216		0
Immofinanz AG		17,968		84,187
Immofinanz AG Interim Shares (a) (b)		7,204		0
OMV AG		2,725		123,641
Raiffeisen Bank International AG		2,187		72,913
Telekom Austria AG		4,524		44,974
Vienna Insurance Group AG		730		35,993
VoestAlpine AG		2,100		92,303
				700,113
Belgium (1.18%)
Ageas		4,222		188,133
Anheuser-Busch InBev NV		15,470		1,621,862
Belgacom SA		2,887		90,400
Colruyt SA		1,360		74,944
Delhaize Group		1,880		137,398
Groupe Bruxelles Lambert SA		1,544		154,172
KBC GROEP NV		4,911		302,086
Solvay SA		1,132		177,705
Telenet Group Holding NV		1,033		63,677
UCB SA		2,019		161,659
Umicore SA		2,161		110,123
				3,082,159
Denmark (1.31%)
A P Moller-Maersk A/S Class A		11		126,860
A P Moller-Maersk A/S Class B		25		299,851
Carlsberg A/S Class B		2,103		209,160
Coloplast A/S Class B		2,115		171,133
Danske Bank A/S		12,434		346,450
DSV A/S		3,326		107,341
Novo Nordisk A/S Class B		38,257		1,742,244
Novozymes A/S B Shares		4,414		194,093
TDC A/S		15,180		140,334
Tryg A/S		462		45,694

See accompanying notes to schedules of investments. 35

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Denmark (Cont.)
William Demant Holding A/S (a)		438	$	37,469
				3,420,629
Finland (0.87%)
Elisa OYJ		2,608		75,056
Fortum OYJ		8,330		189,351
Kone Corp. OYJ Class B		6,056		253,962
Metso OYJ		2,422		79,179
Neste Oil OYJ		2,575		52,502
Nokia OYJ (a)		71,342		529,752
Nokian Renkaat OYJ		2,041		82,526
Orion OYJ Class B		1,774		53,547
Pohjola Bank PLC		2,708		60,176
Sampo OYJ A Shares		8,550		443,476
Stora Enso OYJ R Shares		10,571		113,083
UPM-Kymmene OYJ		9,966		170,385
Wartsila OYJ Class B		3,358		182,409
				2,285,404
France (9.70%)
Accor SA		3,054		156,367
Aeroports de Paris (ADP)		540		67,333
Air Liquide SA		6,143		832,072
Airbus Group NV		11,242		805,197
Alcatel-Lucent (a)		54,116		213,372
Alstom SA		4,151		113,343
Arkema		1,202		136,117
AtoS		1,491		134,809
AXA SA		34,246		890,032
BNP Paribas SA		18,956		1,462,163
Bouygues SA		3,542		147,731
Bureau Veritas SA		4,176		128,034
Cap Gemini SA		2,704		204,698
Carrefour SA		11,722		453,701
Casino Guichard Perrachon SA		1,043		124,118
CGG (a)		2,895		46,424
Christian Dior SA		1,008		194,067
Cie Generale des Etablissements Michelin Class B		3,512		439,221
CNP Assurances		3,047		64,519
Compagnie de Saint-Gobain		7,956		480,621
Credit Agricole SA (a)		18,649		294,043
Danone		10,772		761,739
Dassault Systemes SA		1,160		135,900
Edenred		3,818		119,793
Electricite de France		4,487		177,502
Essilor International SA		3,928		396,115
Eurazeo SA		656		58,942
Eutelsat Communications		2,857		97,021
Fonciere des Regions		601		55,673
GDF Suez		25,046		685,262
Gecina SA		421		55,969
Groupe Eurotunnel SA		10,072		128,586
ICADE		665		65,788
Iliad SA		498		143,594
Imerys SA		652		57,981

	Shares		Value
Common Stocks (Cont.)
France (Cont.)
JC Decaux SA		1,333	$	58,389
Kering		1,415		288,605
Klepierre		2,010		89,940
Lafarge SA		3,531		275,816
Lagardere SCA		2,130		84,569
Legrand SA		4,975		309,072
L’Oreal SA		4,668		769,775
LVMH Moet Hennessy Louis Vuitton SA		4,927		895,634
Natixis		17,894		131,418
Orange		35,117		518,622
Pernod Ricard SA		4,158		484,039
Publicis Groupe		3,420		308,984
Remy Cointreau SA		484		38,840
Renault SA		3,618		351,595
Rexel SA		5,158		135,332
Safran SA		5,252		363,869
Sanofi		22,952		2,392,987
Schneider Electric SA (London)		324		28,728
Schneider Electric SA (Paris)		10,154		900,170
SCOR SE		3,043		106,482
SES		5,713		213,330
Societe BIC SA		554		72,773
Societe Generale		13,682		842,645
Sodexo		1,861		195,183
STMicroelectronics NV		12,439		115,226
Suez Environnement Co.		5,216		105,955
Technip SA		1,917		197,834
Thales SA		1,647		109,206
Total SA		41,203		2,701,933
Valeo SA		1,461		205,803
Vallourec SA		2,037		110,581
Veolia Environnement		6,742		133,377
Vinci SA		9,197		683,053
Vivendi		22,895		637,765
Wendel		630		97,945
Zodiac Aerospace		3,160		111,664
				25,394,986
Germany (8.56%)
Adidas AG		3,958		428,258
Allianz SE Reg.		8,803		1,488,038
Axel Springer SE		771		49,343
BASF SE		17,674		1,964,443
Bayer AG		15,895		2,149,917
Bayerische Motoren Werke (BMW) AG		6,464		815,888
Beiersdorf AG		1,985		193,612
Brenntag AG		989		183,460
Celesio AG		858		29,326
Commerzbank Ag (a)		18,686		343,280
Continental AG		2,097		502,385
Daimler AG Registered Shares		18,585		1,756,160
Deutsche Bank AG Reg.		19,631		878,275
Deutsche Boerse AG		3,621		288,184
Deutsche Lufthansa AG Reg. (a)		4,325		113,298
Deutsche Post AG		17,369		645,349

36 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Germany (Cont.)
Deutsche Telekom AG		55,813	$	901,929
Deutsche Wohnen AG		5,608		120,214
E.ON SE		34,506		674,551
Fraport AG		731		54,603
Fresenius Medical Care AG & Co. KGaA		4,071		284,066
Fresenius SE & Co. KGaA		2,363		369,812
GEA Group AG		3,557		162,592
Hannover Rueck SE		1,095		97,949
HeidelbergCement AG		2,683		229,943
Henkel AG & Co. KGaA		2,455		246,726
Hochtief AG		534		48,480
Hugo Boss AG		617		82,094
Infineon Technologies AG		20,159		240,561
K+S AG Reg.		3,214		105,580
Lanxess AG		1,532		115,553
Linde AG		3,553		710,723
MAN AG		655		83,468
Merck KGaA		1,273		214,396
Metro AG		2,423		98,890
Muenchener Rueckversicherungs Gesellschaft AG Reg.		3,477		759,708
Osram Licht AG (a)		1,631		105,753
ProsiebenSat.1 Media AG Reg.		4,410		201,826
QIAGEN NV (a)		4,488		94,042
RTL Group SA		744		84,714
RWE AG		9,338		378,988
SAP AG		17,754		1,437,199
Siemens AG Reg.		15,253		2,052,998
Sky Deutschland AG (a)		8,514		73,425
Suedzucker AG		1,592		45,345
Telefonica Deutschland Holding AG		5,205		41,489
ThyssenKrupp AG (a)		8,588		230,295
United Internet AG Reg.		1,933		90,768
Volkswagen AG		549		139,165
				22,407,061
Hong Kong (2.64%)
AIA Group Ltd.		229,643		1,089,517
ASM Pacific Technology Ltd.		4,692		45,852
Bank of East Asia Ltd.		23,274		90,918
BOC Hong Kong Holdings Ltd.		78,000		221,737
Cathay Pacific Airways Ltd.		23,494		43,738
Cheung Kong Holdings Ltd.		26,191		433,900
Cheung Kong Infrastructure Holdings Ltd.		11,611		74,098
CLP Holdings Ltd.		33,505		252,481
First Pacific Company Ltd.		44,353		44,030
Galaxy Entertainment Group Ltd. (a)		39,880		347,051
Hang Lung Properties Ltd.		42,000		120,480
Hang Seng Bank Ltd.		14,343		228,001
Henderson Land Development Co. Ltd.		20,881		121,951
HKT Trust and HKT Ltd.		45,000		47,341
Hong Kong & China Gas Co. Ltd.		112,082		244,495
Hong Kong Exchanges & Clearing Ltd.		20,904		316,936

	Shares		Value
Common Stocks (Cont.)
Hong Kong (Cont.)
Hopewell Holdings Ltd.		10,500	$	36,009
Hutchison Whampoa Ltd.		40,700		539,413
Hysan Development Co. Ltd.		11,916		51,772
Kerry Properties Ltd.		12,328		41,165
Li & Fung Ltd.		109,240		161,399
Link REIT, The		43,762		215,806
MGM China Holdings Ltd.		17,454		61,544
MTR Corporation Ltd.		26,688		98,749
New World Development Company Ltd. Rights (a)		24,028		4,956
New World Development Company Ltd.		72,083		72,487
NWS Holdings Ltd.		28,186		47,749
PCCW Ltd.		81,000		40,414
Power Assets Holdings Ltd.		25,982		225,268
Sands China Ltd.		46,453		346,459
Shangri-La Asia Ltd.		30,974		50,715
Sino Land Co. Ltd.		56,961		84,011
SJM Holdings Ltd.		38,022		106,863
Sun Hung Kai Properties Ltd.		30,782		377,012
Swire Pacific Ltd. Class A		12,821		149,343
Swire Properties Ltd.		20,800		59,532
Wharf Holdings Ltd.		28,700		183,526
Wheelock and Co. Ltd.		18,104		70,721
Wynn Macau Ltd.		29,936		123,696
Yue Yuen Industrial Holdings Ltd.		14,000		45,665
				6,916,800
Ireland (0.31%)
Bank of Ireland (a)		429,710		182,333
CRH PLC (Dublin)		13,997		389,419
Kerry Group PLC Class A (Dublin)		2,804		214,045
Ryanair Holdings PLC (a)		3,431		35,961
				821,758
Israel (0.51%)
Bank Hapoalim B.M.		20,381		116,294
Bank Leumi Le-Israel (a)		25,021		97,573
Bezeq The Israeli Telecommunication Corporation Ltd.		37,816		67,348
Delek Group Ltd.		78		31,155
Israel Chemicals Ltd.		8,329		72,818
Israel Corporation Ltd., The (a)		59		32,923
Mizrahi Tefahot Bank Ltd.		2,374		32,450
NICE Systems Ltd.		1,126		49,883
Teva Pharmaceutical Industries Ltd.		16,124		832,669
				1,333,113
Italy (2.49%)
Assicurazioni Generali SpA		22,006		490,522
Atlantia SpA		7,765		199,507
Banca Monte Dei Paschi di Siena SpA (a)		132,327		48,310
CNH Industrial NV (a)		17,761		204,189
Enel Green Power SpA		33,575		94,267
Enel SpA		124,451		704,316

See accompanying notes to schedules of investments. 37

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Italy (Cont.)
Eni SpA		48,478	$	1,216,168
EXOR SpA		1,835		82,362
Fiat SpA (a)		16,868		196,363
Finmeccanica SpA (a)		7,705		76,055
Intesa Sanpaolo		220,187		746,218
Luxottica Group SpA		3,120		180,441
Mediobanca SpA (a)		9,887		113,053
Pirelli & C. SpA		4,694		73,720
Prysmian SpA		3,927		97,705
Saipem SpA		4,935		120,473
Snam SpA		37,884		221,811
Telecom Italia RNC SpA		111,414		104,219
Telecom Italia SpA		188,248		221,995
Tenaris SA		8,786		193,786
Terna - Rete Elettrica Nationale SpA		27,791		148,857
UBI Banca - Unione di Banche Italiane ScpA		16,217		152,815
UniCredit SpA		84,507		771,871
UnipolSai SpA (a)		17,077		65,403
				6,524,426
Japan (18.99%)
ABC-Mart Inc.		500		21,700
ACOM Co. Ltd. (a)		6,600		21,102
Advantest Corp.		2,800		30,302
Aeon Co. Ltd.		13,900		156,622
Aeon Credit Service Co. Ltd.		2,500		56,363
Aeon Mall Co. Ltd.		2,100		53,632
Air Water Inc.		2,769		38,310
Aisin Seiki Co. Ltd.		3,800		137,141
Ajinomoto Co. Inc.		12,000		171,487
Alfresa Holdings Corp.		700		45,643
All Nippon Airways Co. Ltd.		21,000		45,371
Amada Co. Ltd.		7,000		49,237
Aozora Bank Ltd.		19,000		54,120
Asahi Glass Co. Ltd.		19,000		110,081
Asahi Group Holdings Ltd.		7,300		204,328
Asahi Kasei Corp.		24,000		163,232
ASICS Corp.		3,000		58,974
Astellas Pharma Inc.		41,490		492,019
Bank of Kyoto Ltd., The		6,000		49,528
Bank of Yokohama Ltd., The		23,000		114,760
Benesse Holdings Inc.		1,300		49,688
Bridgestone Corp.		12,300		436,158
Brother Industries Ltd.		4,300		60,116
CALBEE Inc.		1,200		28,240
Canon Inc.		22,300		689,428
Casio Computer Co. Ltd.		4,800		56,782
Central Japan Railway Co.		2,800		327,162
Chiba Bank Ltd., The		14,000		86,267
Chiyoda Corp.		3,077		39,679
Chubu Electric Power Co. Inc. (a)		12,700		149,499
Chugai Pharmaceutical Co. Ltd.		4,300		109,776
Chugoku Bank Ltd., The		3,000		39,994
Chugoku Electric Power Company Inc., The		5,500		76,680

	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Citizen Holdings Co. Ltd.		4,800	$	36,134
Coca-Cola West Co. Ltd.		1,299		22,666
Credit Saison Co. Ltd.		3,100		61,661
Dai Nippon Printing Co. Ltd.		11,000		105,401
Daicel Chemical Industries Ltd.		5,000		40,982
Daido Steel Co. Ltd.		5,000		24,996
Daihatsu Motor Co. Ltd.		4,000		70,649
Dai-ichi Life Insurance Company Ltd.		16,200		235,431
Daiichi Sankyo Co. Ltd.		12,540		211,157
Daikin Industries Ltd.		4,400		246,484
Dainippon Sumitomo Pharma Co. Ltd.		3,000		47,667
Daito Trust Construction Co. Ltd.		1,400		129,549
Daiwa House Industry Co. Ltd.		12,000		203,575
Daiwa Securities Group Inc.		34,000		295,810
DeNA Co. Ltd.		1,900		34,313
Denso Corp.		9,300		445,831
Dentsu Inc.		4,216		159,915
Don Quijote Holdings Co. Ltd.		1,000		51,640
East Japan Railway Co.		6,413		472,579
Eisai Co. Ltd.		4,700		182,964
Electric Power Development Co. Ltd.		2,100		59,308
FamilyMart Co. Ltd.		1,100		48,331
Fanuc Corp.		3,700		652,604
Fast Retailing Co. Ltd.		1,000		362,690
Fuji Electric Co. Ltd.		10,000		44,664
Fuji Heavy Industries Ltd.		11,000		297,554
FUJIFILM Holdings Corp.		8,700		233,568
Fujitsu Ltd.		35,000		211,597
Fukuoka Financial Group Inc.		15,000		61,619
Gree Inc.		1,779		19,649
GungHo Online Entertainment Inc.		6,000		32,728
Gunma Bank Ltd.		7,000		38,115
Hachijuni Bank Ltd., The		7,549		42,932
Hakuhodo DY Holdings Inc.		4,000		27,903
Hamamatsu Photonics KK		1,293		58,252
Hankyu Hanshin Holdings Inc.		21,000		114,344
Hino Motors Ltd.		5,000		74,166
Hirose Electric Co. Ltd.		600		82,430
Hiroshima Bank Ltd., The		9,000		37,582
Hisamitsu Pharmaceutical Co. Inc.		1,200		54,236
Hitachi Chemical Co. Ltd.		1,900		25,863
Hitachi Construction Machinery Co. Ltd.		2,100		40,448
Hitachi High-Technologies Corp.		1,200		27,949
Hitachi Ltd.		94,000		693,969
Hitachi Metals Ltd.		4,000		56,930
Hokkaido Electric Power Co. Inc. (a)		3,300		27,880
Hokuhoku Financial Group Inc.		22,000		42,203
Hokuriku Electric Power Co.		3,100		40,216
Honda Motor Co. Ltd.		31,000		1,091,450
Hoya Corp.		8,100		252,146
Hulic Company Ltd.		5,000		68,498
Ibiden Co. Ltd.		2,300		45,325
Idemitsu Kosan Co. Ltd.		1,600		32,848
IHI Corp.		25,000		105,120
Iida Group Holdings Co. Ltd.		2,400		33,228

38 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
INPEX Corp.		16,400	$	212,756
Isetan Mitsukoshi Holdings Ltd.		6,840		84,427
Isuzu Motors Ltd.		22,000		126,396
Itochu Corp.		28,500		333,004
Itochu Techno-Solutions Corp.		500		21,097
Iyo Bank Ltd., The		5,000		47,764
J. Front Retailing Co. Ltd.		8,600		59,158
Japan Airlines Co. Ltd.		1,100		54,139
Japan Exchange Group Inc.		4,500		109,781
Japan Petroleum Exploration Co.		500		16,640
Japan Prime Realty Investment Corp.		15		48,539
Japan Real Estate Investment Corp.		22		110,410
Japan Retail Fund Investment Corp.		47		92,529
Japan Steel Works Ltd., The		6,000		26,915
Japan Tobacco Inc.		20,800		652,928
JFE Holdings Inc.		9,200		173,188
JGC Corp.		4,000		139,127
Joyo Bank Ltd., The		12,000		59,875
JSR Corp.		3,300		61,163
JTEKT Corp.		4,300		63,907
JX Holdings Inc.		42,300		203,683
Kajima Corp.		15,000		52,609
Kakaku.com Inc.		2,900		47,174
Kamigumi Co. Ltd.		4,000		38,870
Kaneka Corp.		5,000		30,325
Kansai Electric Power Company Inc., The (a)		13,100		134,408
Kansai Paint Co. Ltd.		4,000		57,162
Kao Corp.		9,800		347,223
Kawasaki Heavy Industries Ltd.		27,000		99,404
KDDI Corp.		10,300		596,355
Keikyu Corp.		9,000		75,861
Keio Corp.		11,000		76,626
Keisei Electric Railway Co. Ltd.		5,000		43,356
Keyence Corp.		870		358,823
Kikkoman Corp.		3,000		56,591
Kinden Corp.		3,000		29,036
Kintetsu Corp.		35,000		124,449
Kirin Holdings Co. Ltd.		17,000		235,528
Kobe Steel Ltd.		48,000		63,712
Koito Manufacturing Company Ltd.		1,924		32,565
Komatsu Ltd.		17,600		364,567
Konami Corp.		2,000		46,214
Konica Minolta Holdings Inc.		9,000		83,970
Kubota Corp.		20,000		264,884
Kuraray Co. Ltd.		6,600		75,454
Kurita Water Industries Ltd.		2,200		47,724
Kyocera Corp.		6,200		279,500
Kyowa Hakko Kirin Co. Ltd.		4,000		42,629
Kyushu Electric Power Co. Inc. (a)		8,300		101,483
Lawson Inc.		1,300		91,944
LIXIL Group Corp.		5,100		140,625
M3 Inc.		3,200		52,520
Mabuchi Motor Co. Ltd.		500		32,747
Makita Corp.		2,100		115,361
Marubeni Corp.		31,000		208,138

	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Marui Group Co. Ltd.		4,400	$	37,727
Maruichi Steel Tube Ltd.		1,000		25,859
Mazda Motor Corp.		51,000		226,304
McDonald’s Holdings Company Ltd. (Japan)		1,300		34,977
MEDIPAL HOLDINGS CORP.		2,900		44,337
MEIJI Holdings Company Ltd.		1,068		67,361
Miraca Holdings Inc.		1,090		47,733
Mitsubishi Chemical Holdings Corp.		25,000		103,909
Mitsubishi Corp.		27,100		503,063
Mitsubishi Electric Corp.		37,000		416,548
Mitsubishi Estate Company Ltd.		24,000		568,755
Mitsubishi Gas Chemical Co. Inc.		7,000		39,471
Mitsubishi Heavy Industries Ltd.		57,000		329,690
Mitsubishi Logistics Corp.		2,000		27,825
Mitsubishi Materials Corp.		21,000		59,613
Mitsubishi Motors Corp.		11,900		124,517
Mitsubishi Tanabe Pharma Corp.		4,300		60,116
Mitsubishi UFJ Financial Group Inc.		247,300		1,358,515
Mitsubishi UFJ Lease & Finance Co. Ltd.		10,500		51,475
Mitsui & Co. Ltd.		32,900		465,059
Mitsui Chemicals Inc.		15,000		36,768
Mitsui Fudosan Co. Ltd.		16,000		488,146
Mitsui OSK Lines Ltd.		21,000		81,790
Mitsui Sumitomo Insurance Group Holdings Inc.		9,500		217,585
Mizuho Financial Group Inc.		438,229		866,141
Murata Manufacturing Co. Ltd.		3,800		358,407
Nabtesco Corp.		2,045		47,036
Namco Bandai Holdings Inc.		3,200		75,741
NEC Corp.		47,000		144,349
Nexon Co. Ltd.		2,000		16,858
NGK Insulators Ltd.		5,000		104,152
NGK Spark Plug Co. Ltd.		4,000		89,909
NHK Spring Co. Ltd.		3,000		27,816
Nidec Corp.		3,800		231,170
Nikon Corp.		6,300		101,445
Nintendo Co. Ltd.		2,000		237,562
Nippon Building Fund Inc.		26		135,775
Nippon Electric Glass Co. Ltd.		7,500		38,585
Nippon Express Co. Ltd.		16,000		78,283
Nippon Meat Packers Inc.		3,000		44,674
Nippon Paint Co. Ltd.		3,000		45,459
Nippon Prologis REIT Inc.		25		50,429
Nippon Steel Corp.		146,000		398,896
Nippon Telegraph & Telephone Corp.		7,113		387,230
Nippon Yusen KK		33,000		95,916
Nishi-Nippon City Bank Ltd., The		12,000		26,973
Nissan Motor Co. Ltd.		47,000		418,931
Nisshin Seifun Group Inc.		3,600		39,552
Nissin Foods Holdings Co. Ltd.		1,100		49,610
Nitori Holdings Co. Ltd.		1,300		56,363
Nitto Denko Corp.		3,100		148,430
NKSJ Holdings Inc.		6,200		159,302
NOK Corp.		2,000		32,650

See accompanying notes to schedules of investments. 39

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Nomura Holdings Inc.		72,900	$	467,566
Nomura Real Estate Holdings Inc.		2,300		43,899
Nomura Research Institute Ltd.		2,000		63,169
NSK Ltd.		9,000		92,603
NTT Data Corp.		2,300		89,469
NTT DoCoMo Inc.		29,300		462,146
NTT Urban Development Corp.		2,300		21,660
Obayashi Corp.		12,000		67,665
Odakyu Electric Railway Co. Ltd.		12,000		103,357
Oji Paper Co. Ltd.		16,000		71,618
Olympus Corp. (a)		4,400		140,251
Omron Corp.		3,800		156,838
Ono Pharmaceutical Co. Ltd.		1,500		129,923
Oracle Corp. Japan		700		31,706
Oriental Land Co. Ltd.		1,000		152,110
Orix Corp.		24,400		343,489
Osaka Gas Co. Ltd.		35,000		132,587
OTSUKA Corp.		300		39,180
Otsuka Holdings Co. Ltd.		6,831		204,305
Panasonic Corp.		41,800		475,041
Park24 Co. Ltd.		1,900		36,117
Rakuten Inc.		13,600		181,439
Resona Holdings Inc.		45,395		219,465
Ricoh Co. Ltd.		13,000		149,881
RINNAI Corp.		700		61,512
Rohm Co. Ltd.		1,800		80,308
Sankyo Co. Ltd.		1,000		42,097
Sanrio Co. Ltd.		800		26,973
Santen Pharmaceutical Co. Ltd.		1,400		62,123
SBI Holdings Inc.		4,000		48,210
Secom Co. Ltd.		4,100		236,192
Sega Sammy Holdings Inc.		3,426		76,742
Seiko Epson Corp.		2,700		83,970
Sekisui Chemical Co. Ltd.		8,000		83,166
Sekisui House Ltd.		10,000		124,110
Seven & I Holdings Co. Ltd.		14,280		545,660
Seven Bank Ltd.		11,000		43,162
Sharp Corp. (a)		27,000		82,139
Shikoku Electric Power Co. Inc. (a)		3,500		47,474
Shimadzu Corp.		5,000		44,422
Shimamura Co. Ltd.		400		34,607
Shimano Inc.		1,500		150,705
Shimizu Corp.		11,000		57,017
Shin-Etsu Chemical Co. Ltd.		8,100		462,857
Shinsei Bank Ltd.		31,000		60,970
Shionogi & Co. Ltd.		5,700		105,645
Shiseido Co. Ltd.		6,700		117,882
Shizuoka Bank Ltd., The		11,000		107,320
Showa Denko KK		28,000		39,607
Showa Shell Sekiyu KK		3,400		30,372
SMC Corp.		1,000		263,770
Softbank Corp.		18,500		1,398,053
Sojitz Corp.		22,100		37,684
Sony Corp.		20,400		389,757
Sony Financial Holdings Inc.		3,200		52,395
Stanley Electric Co. Ltd.		2,800		62,150

	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
SUMCO Corp.		2,300	$	17,760
Sumitomo Chemical Co. Ltd.		30,000		110,740
Sumitomo Corp.		22,100		281,135
Sumitomo Electric Industries Ltd.		14,300		212,806
Sumitomo Heavy Industries Ltd.		10,000		40,595
Sumitomo Metal Mining Co. Ltd.		10,000		125,563
Sumitomo Mitsui Financial Group Inc.		24,789		1,058,903
Sumitomo Mitsui Trust Holdings Inc.		62,000		279,921
Sumitomo Realty & Development Co. Ltd.		7,000		274,127
Sumitomo Rubber Industries Ltd.		3,100		39,465
Suntory Beverage & Food Ltd.		3,000		103,328
Suruga Bank Ltd.		4,000		70,455
Suzuken Co. Ltd.		1,280		49,543
Suzuki Motor Corp.		6,898		180,044
Sysmex Corp.		2,800		89,251
T&D Holdings Inc.		10,700		127,200
TAIHEIYO CEMENT CORP.		22,000		79,291
Taisei Corp.		19,000		84,862
Taisho Pharmaceutical Holdings Co. Ltd.		600		48,307
Taiyo Nippon Sanso Corp.		5,000		39,335
Takashimaya Co. Ltd.		5,000		46,892
Takeda Pharmaceutical Company Ltd.		15,100		715,683
TDK Corp.		2,300		96,042
Teijin Ltd.		18,000		44,645
Terumo Corp.		5,600		122,238
THK Co. Ltd.		2,200		49,386
Tobu Railway Co. Ltd.		19,000		91,857
Toho Co. Ltd.		2,200		44,100
Toho Gas Co. Ltd.		8,000		43,560
Tohoku Electric Power Co. Inc.		8,400		86,592
Tokio Marine Holdings Inc.		13,700		411,206
Tokyo Electric Power Company Inc. (a)		26,900		108,418
Tokyo Electron Ltd.		3,200		196,096
Tokyo Gas Co. Ltd.		46,000		233,532
Tokyo Tatemono Co. Ltd.		8,000		68,595
Tokyu Corp.		23,000		140,609
Tokyu Fudosan Holdings Corp.		10,200		76,094
TonenGeneral Sekiyu KK		5,000		44,131
Toppan Printing Co. Ltd.		10,000		71,598
Toray Industries Inc.		28,000		185,012
Toshiba Corp.		78,000		330,243
Toto Ltd.		5,000		69,321
Toyo Seikan Kaisha Ltd.		3,400		55,209
Toyo Suisan Kaisha Ltd.		2,000		66,754
Toyoda Gosei Co. Ltd.		1,200		23,008
Toyota Boshoku Corp.		1,400		14,147
Toyota Industries Corp.		3,000		144,165
Toyota Motor Corp.		53,100		2,997,245
Toyota Tsusho Corp.		3,900		98,997
Trend Micro Inc.		2,000		61,910
Tsumura & Co.		1,100		26,430
UBE Industries Ltd.		19,000		34,976
Unicharm Corp.		2,100		112,167

40 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
United Urban Investment Corp.		43	$	63,157
USS Co. Ltd.		4,200		58,962
West Japan Railway Co.		3,200		130,648
Yahoo Japan Corp.		27,200		133,345
Yakult Honsha Co. Ltd.		1,700		85,317
Yamada Denki Co. Ltd.		18,400		61,324
Yamaguchi Financial Group Inc.		4,000		36,041
Yamaha Corp.		2,900		37,340
Yamaha Motor Co. Ltd.		5,400		86,063
Yamato Holdings Co. Ltd.		6,900		148,676
Yamato Kogyo Co. Ltd.		800		25,074
Yamazaki Baking Co. Ltd.		2,000		23,679
Yaskawa Electric Corp.		4,000		55,302
Yokogawa Electric Corp.		4,100		66,218
Yokohama Rubber Company Ltd., The		4,000		37,591
				49,717,981
Netherlands (2.94%)
Aegon NV		33,784		310,103
Akzo Nobel NV		4,609		376,086
ArcelorMittal		18,928		304,961
ASML Holding NV		6,851		634,535
Corio NV		1,269		57,989
Delta Lloyd NV		3,593		99,617
Fugro NV CVA		1,353		83,198
Gemalto NV		1,462		170,274
Heineken Holding NV		1,893		122,219
Heineken NV		4,300		299,275
ING Groep NV CVA (a)		73,025		1,033,694
Koninklijke Ahold NV		17,670		354,931
Koninklijke Boskalis Westminster NV CVA		1,580		87,002
Koninklijke DSM NV		2,961		203,206
Koninklijke KPN NV (a)		61,916		218,791
Koninklijke Philips NV		17,729		622,943
Koninklijke Vopak NV		1,299		72,531
OCI NV (a)		1,710		77,588
Randstad Holding NV		2,386		139,717
Reed Elsevier NV		13,530		292,362
TNT Express NV		9,781		96,062
Unibail-Rodamco SE		1,852		480,940
Unilever NV CVA		30,954		1,272,277
Wolters Kluwer - CVA		5,648		159,354
Ziggo NV		2,836		126,001
				7,695,656
New Zealand (0.12%)
Auckland International Airport Ltd.		18,043		59,659
Contact Energy Ltd.		6,866		31,700
Fletcher Building Ltd.		12,554		103,720
Ryman Healthcare Ltd.		7,066		53,657
Telecom Corp. of New Zealand Ltd.		36,499		77,289
				326,025
Norway (0.80%)
Aker Solutions ASA		3,204		49,897

	Shares		Value
Common Stocks (Cont.)
Norway (Cont.)
DnB NOR ASA		18,208	$	316,552
Gjensidige Forsikring ASA		3,900		79,331
Norsk Hydro ASA		27,240		135,795
Orkla ASA		14,531		123,886
Seadrill Ltd.		7,077		249,854
Statoil ASA		21,625		610,345
Subsea 7 SA		4,998		92,903
Telenor ASA		13,126		290,895
Yara International ASA		3,486		154,046
				2,103,504
Portugal (0.18%)
Banco Espirito Santo SA Reg. (a)		33,959		63,579
Energias de Portugal SA		37,928		176,140
Galp Energia SGPS SA B Shares		6,467		111,678
Jeronimo Martins SGPS SA		4,716		79,133
Portugal Telecom SGPS SA		12,356		52,548
				483,078
Singapore (1.41%)
Ascendas Real Estate Investment Trust		40,000		71,867
CapitaCommercial Trust		35,000		41,319
Capitaland Ltd.		47,000		107,982
Capitamall Trust		48,000		72,120
CapitaMalls Asia Ltd.		26,807		38,147
City Developments Ltd.		8,000		64,234
Comfortdelgro Corp. Ltd.		36,000		56,809
DBS Group Holdings Ltd.		32,791		421,520
Genting Singapore PLC		114,000		120,987
Global Logistic Properties Ltd.		57,726		121,611
Golden Agri-Resources Ltd.		141,330		64,604
Hutchison Port Holdings Trust		100,000		65,000
Jardine Cycle & Carriage Ltd.		1,863		67,136
Keppel Corp. Ltd.		27,400		237,210
Keppel Land Ltd.		14,101		37,665
Noble Group Ltd.		82,800		78,001
Olam International Ltd.		27,798		49,059
Oversea-Chinese Banking Corporation Ltd. (b)		48,797		368,916
Sembcorp Industries Ltd.		18,220		79,520
Sembcorp Marine Ltd.		15,800		50,870
Singapore Airlines Ltd.		10,267		85,456
Singapore Exchange Ltd.		16,000		88,274
Singapore Press Holdings Ltd.		39,000		130,217
Singapore Technologies Engineering Ltd.		29,000		88,067
Singapore Telecommunications Ltd.		153,450		445,260
StarHub Ltd.		12,000		40,067
United Overseas Bank Ltd.		24,881		428,232
UOL Group Ltd.		8,639		42,992
Wilmar International Ltd.		36,000		99,022
Yangzijiang Shipbuilding Holdings Ltd.		36,548		31,379
				3,693,543

See accompanying notes to schedules of investments. 41

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
Spain (3.45%)
Abertis Infraestructuras SA		7,249	$	165,528
ACS Actividades de Construccion y
Servicios SA		3,802		149,365
Amadeus IT Holding SA A Shares		7,222		299,974
Banco Bilbao Vizcaya Argentaria SA		110,679		1,329,293
Banco Bilbao Vizcaya Argentaria SA Rights (a)		110,679		25,921
Banco de Sabadell SA		66,608		205,731
Banco Popular Espanol SA		31,920		240,981
Banco Santander SA		222,691		2,123,295
Bankia SA (a)		75,210		158,735
CaixaBank SA		33,620		216,298
Distribuidora Internacional de Alimentacion SA		11,086		101,288
Enagas SA		3,813		115,959
Ferrovial SA		7,510		162,693
Gas Natural SDG SA		6,799		191,173
Grifols SA		2,490		136,442
Grifols SA Class B		383		15,750
Iberdrola SA		91,749		641,596
Industria de Diseno Textil SA		4,115		617,357
International Consolidated Airlines Group SA (a)		20,891		145,629
Mapfre SA		21,930		92,448
Red Electrica Corporacion SA		2,041		165,895
Repsol SA		16,526		421,759
Telefonica SA		78,949		1,249,155
Zardoya Otis SA		2,973		50,623
				9,022,888
Sweden (3.20%)
Alfa Laval AB		5,972		161,565
Assa Abloy AB Class B		6,271		333,882
Atlas Copco AB Class A		12,761		368,104
Atlas Copco AB Class B		7,269		199,012
Boliden AB		5,049		76,761
Electrolux AB Series B		4,525		98,718
Elekta AB B Shares		7,055		94,015
Getinge AB B Shares		3,687		103,279
Hennes & Mauritz AB (H&M) B Shares		18,007		767,877
Hexagon AB B Shares		4,496		152,754
Husqvarna AB B Shares		8,301		57,971
Industrivarden AB C Shares		2,307		44,698
Investment AB Kinnevik B Shares		4,187		154,612
Investor AB B Shares		9,312		336,954
Lundin Petroleum AB (a)		4,181		85,980
Millicom International Cellular SA SDR		1,251		127,472
Nordea Bank AB		58,149		824,758
Sandvik AB		20,094		283,917
Scania AB Class B		5,897		173,294
Securitas AB Class B		5,922		68,577
Skandinaviska Enskilda Banken AB Class A		29,356		402,991
Skanska AB Class B		7,322		172,521
SKF AB B Shares		7,821		200,229
Svenska Cellulosa AB Class B		11,025		324,500

	Shares		Value
Common Stocks (Cont.)
Sweden (Cont.)
Svenska Handelsbanken AB A Shares		9,814	$	492,497
Swedbank AB - A Shares		17,168		460,745
Swedish Match AB		3,776		123,391
Tele2 AB B Shares		5,918		73,423
Telefonaktiebolaget LM Ericsson B Shares		58,884		784,234
TeliaSonera AB		45,878		345,912
Volvo AB B Shares		29,723		472,093
				8,366,736
Switzerland (8.99%)
ABB Ltd. Reg.		41,949		1,081,880
Actelion Ltd. Reg.		1,940		183,675
Adecco SA Reg.		2,594		215,812
Aryzta AG		1,654		146,120
Baloise Holding AG Reg.		894		112,452
Barry Callebaut AG Reg.		42		56,630
Compagnie Financiere Richemont SA Reg.		9,962		951,069
Credit Suisse Group AG Reg.		28,877		933,876
Ems-Chemie Holding AG Reg		155		58,516
Geberit AG Reg.		739		242,000
Givaudan SA Reg.		185		286,064
Holcim Ltd. Reg.		4,335		358,941
Julius Baer Group Ltd.		4,231		187,752
Kuehne & Nagel International AG Reg.		1,002		140,204
Lindt & Spruengli AG		16		79,308
Lindt & Spruengli AG Reg.		2		117,754
Lonza Group AG Reg.		1,000		101,974
Nestle SA Reg.		61,762		4,649,354
Novartis AG Reg.		44,125		3,743,425
Pargesa Holding SA		503		43,526
Partners Group Holding AG		348		97,781
Roche Holding AG		13,474		4,038,923
Schindler Holding AG		898		132,356
Schindler Holding AG Reg.		401		58,922
SGS SA Reg		102		251,409
Sika AG		40		163,611
Sonova Holding AG Reg.		994		145,269
Sulzer AG Reg.		461		63,358
Swatch Group AG Reg., The		842		97,625
Swatch Group AG, The		579		362,837
Swiss Life Holding AG Reg.		586		143,840
Swiss Prime Site AG Reg.		1,098		93,337
Swiss Re AG		6,744		625,158
Swisscom AG		437		268,414
Syngenta AG Reg.		1,802		681,419
Transocean Ltd.		6,874		283,187
UBS AG Reg.		70,021		1,446,280
Zurich Insurance Group AG		2,885		885,684
				23,529,742
United Kingdom (20.30%)
3i Group PLC		18,448		122,384
Aberdeen Asset Management PLC		17,829		116,011

42 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Admiral Group PLC		3,629	$	86,395
Aggreko PLC		5,214		130,475
AMEC PLC		5,496		102,805
Anglo American PLC		26,820		682,543
Antofagasta PLC		7,341		102,253
ARM Holdings PLC		26,531		441,427
ASOS PLC (a)		1,075		92,925
Associated British Foods PLC		6,686		309,986
AstraZeneca PLC		24,156		1,561,132
Aviva PLC		55,512		441,448
Babcock International Group PLC		6,923		155,466
BAE Systems PLC		61,190		422,538
Barclays PLC		293,644		1,142,607
BG Group PLC		65,358		1,217,646
BHP Billiton PLC		40,690		1,250,902
BP PLC		357,824		2,863,422
British American Tobacco PLC		36,388		2,023,456
British Land Co. PLC		17,906		195,232
British Sky Broadcasting Group PLC		19,341		294,391
BT Group PLC		150,651		953,144
Bunzl PLC		6,336		168,586
Burberry Group PLC		8,296		192,938
Capita PLC		12,560		229,496
Carnival PLC		3,381		128,741
Centrica PLC		97,261		534,604
Cobham PLC		20,495		102,163
Compass Group PLC		34,125		520,557
Croda International PLC		2,583		109,637
Diageo PLC		48,329		1,499,439
Direct Line Insurance Group PLC		22,127		87,611
easyJet PLC		2,904		83,030
Experian PLC		19,053		343,371
Fresnillo PLC		3,335		46,898
G4S PLC		29,967		120,652
GKN PLC		30,985		201,616
GlaxoSmithKline PLC		93,293		2,475,315
Glencore Xstrata PLC		204,072		1,050,595
Hammerson PLC		13,360		123,393
Hargreaves Lansdown PLC		4,297		104,447
HSBC Holdings PLC		358,824		3,634,147
ICAP PLC		10,458		65,835
IMI PLC		5,250		127,612
Imperial Tobacco Group PLC		18,312		739,714
Inmarsat PLC		8,616		104,356
InterContinental Hotels Group PLC		5,161		165,802
Intertek Group PLC		3,014		154,362
Intu Properties PLC		12,804		60,196
Intu Properties PLC Rights (a)		3,658		5,794
Investec PLC		10,649		86,069
ITV PLC		77,574		247,662
J Sainsbury PLC		22,870		120,522
Johnson Matthey PLC		3,807		207,605
Kingfisher PLC		44,430		312,137
Land Securities Group PLC		14,974		254,881
Legal & General Group PLC		111,805		381,552
Lloyds Banking Group PLC (a)		950,343		1,182,728

	Shares		Value
Common Stocks (Cont.)
United Kingdom (Cont.)
London Stock Exchange Group PLC		3,288	$	107,987
Marks & Spencer Group PLC		30,418		228,962
Meggitt PLC		14,614		116,922
Melrose Industries PLC		20,160		99,787
National Grid PLC		72,574		994,552
Next PLC		3,053		335,927
Old Mutual PLC		92,506		310,139
Pearson PLC		15,556		275,680
Persimmon PLC		5,648		126,740
Petrofac Ltd.		4,847		116,200
Prudential PLC		48,840		1,032,859
Randgold Resources Ltd.		1,680		126,093
Reckitt Benckiser Group PLC		12,511		1,019,317
Reed Elsevier PLC		22,326		340,942
Resolution Ltd.		29,971		149,299
Rexam PLC		15,034		122,011
Rio Tinto PLC		24,411		1,358,256
Rolls-Royce Holdings PLC		35,750		640,111
Royal Bank of Scotland Group PLC (a)		40,717		211,111
Royal Dutch Shell PLC Class A		74,038		2,704,405
Royal Dutch Shell PLC Class B		47,598		1,857,257
Royal Mail PLC (a)		12,970		121,737
RSA Insurance Group PLC		68,941		102,924
RSA Insurance Group PLC Rights (a)		25,852		14,438
SABMiller PLC		18,348		916,137
Sage Group PLC, The		22,419		156,268
Schroders PLC		1,827		79,132
SEGRO PLC		14,566		80,622
Serco Group PLC		9,463		66,418
Severn Trent PLC		4,494		136,582
Shire PLC		11,365		557,994
Smith & Nephew PLC		16,679		252,760
Smiths Group PLC		7,754		164,432
SSE PLC		18,988		465,024
Standard Chartered PLC		46,177		964,994
Standard Life PLC		46,181		290,640
Tate & Lyle PLC		8,795		97,873
Tesco PLC		154,424		760,501
Travis Perkins PLC		4,610		144,873
Tui Travel PLC		9,288		67,822
Tullow Oil PLC		17,173		214,295
Unilever PLC		24,515		1,046,685
United Utilities Group PLC		12,767		167,722
Vodafone Group PLC		506,732		1,861,091
Weir Group PLC, The		3,929		166,114
Whitbread PLC		3,447		239,176
William Hill PLC		16,117		91,625
William Morrison Supermarkets PLC		42,189		149,814
Wolseley PLC		5,021		285,527
WPP PLC		25,636		528,682
				53,149,110

See accompanying notes to schedules of investments. 43

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Shares		Value
Common Stocks (Cont.)
United States (0.04%)
Coca-Cola HBC AG Sponsored ADR		3,684	$	91,621
				91,621
Total Common Stocks
(cost $185,086,001)				250,984,665
Preferred Stocks (0.59%)
Germany (0.59%)
Bayerische Moteren Werke (BMW) AG PFD		1,028		97,096
Fuchs Petrolub SE PFD		674		67,616
Henkel AG & Co. KGaA PFD		3,441		370,327
Porsche Automobil Holding SE PFD		2,919		299,712
Volkswagen AG PFD		2,762		715,733
				1,550,484
Total Preferred Stocks
(cost $582,903)				1,550,484
Short-term Investments (1.23%)
State Street Institutional U.S. Government Money Market Fund		3,203,593		3,203,593
Total Short-term Investments
(cost $3,203,593)				3,203,593
TOTAL INVESTMENTS (97.69%)
(cost $188,872,497)				255,738,742
CASH (c) AND OTHER ASSETS, NET OF LIABILITIES (2.31%)				6,057,423
NET ASSETS (100.00%)			$	261,796,165

(a) Non-income producing security.

(b) In accordance with the Trust’s valuation procedures, State Farm Investment Management Corp. (“SFIMC”) determined the fair value for the security considering the facts and circumstances related to the particular security.

(c) At March 31, 2014, cash in the amount of $877,400 has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

SDR – Swedish Depositary Receipt

ADR – American Depositary Receipt

FOREIGN CURRENCY DENOMINATIONS
Currency	Value		%
Euro	$	79,968,013		31.27
British Pound		53,149,110		20.78
Japanese Yen		49,717,981		19.44
Swiss Franc		23,529,742		9.20
Australian Dollar		19,918,332		7.79
Swedish Krona		8,366,736		3.27
Hong Kong Dollar		6,916,800		2.71
Singapore Dollar		3,628,543		1.42
Danish Krone		3,420,629		1.34
United States Dollar		3,360,214		1.31
Norwegian Krone		2,103,504		0.82
Israeli Shekel		1,333,113		0.52
New Zealand Dollar		326,025		0.13
Total Investments	$	255,738,742		100.00	%
SECTOR CLASSIFICATIONS
Sector	Value		%
Financials	$	64,662,084		24.70
Industrials		32,633,382		12.47
Consumer Discretionary		29,631,314		11.32
Consumer Staples		27,789,465		10.61
Health Care		26,348,022		10.06
Materials		20,591,893		7.87
Energy		17,437,012		6.66
Telecommunication Services		12,547,183		4.79
Information Technology		11,447,941		4.37
Utilities		9,446,853		3.61
Total Stocks		252,535,149		96.46
Short-term Investments		3,203,593		1.23
Cash and Other Assets, Net of Liabilities		6,057,423		2.31
Net Assets	$	261,796,165		100.00	%

44 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

OPEN FUTURES CONTRACTS

Description	Contracts Purchased		Expiration		Notional Value		Market Value		Unrealized Gain (Loss)
ASX SPI 200 Index		7		June 2014	$	866,284	$	875,257	$	8,973
Euro Stoxx 50		85		June 2014		3,463,058		3,630,107		167,049
FTSE 100 Index		22		June 2014		2,377,971		2,399,979		22,008
Hang Seng Index		1		April 2014		139,251		142,719		3,468
Nikkei 225 Index		19		June 2014		1,388,708		1,355,762		(32,946	)
Topix Index		5		June 2014		578,034		582,764		4,730
Total									$	173,282

OPEN FORWARD FOREIGN CURRENCY CONTRACTS

Currency	Counterparty	Settlement Date	Foreign amount Purchased (Sold)			U.S. Dollar amount Purchased (Sold)			Unrealized Gain		Unrealized (Loss)
Australian Dollar	UBS AG	06/18/2014		108,887		$	(100,000	)	$	453	$	—
British Pound	Citibank N.A.	06/18/2014		488,000			(811,526	)		1,574		—
British Pound	UBS AG	06/18/2014		72,204			(120,000	)		305		—
Euro	Goldman Sachs Capital Markets LP	06/18/2014		919,000			(1,279,849	)		—		(13,936	)
Euro	Morgan Stanley and Co. Inc.	06/18/2014		138,031			(190,000	)		136		—
Japanese Yen	Citibank N.A.	06/18/2014		57,989,000			(570,688	)		—		(8,633	)
Japanese Yen	Morgan Stanley and Co. Inc.	06/18/2014		17,407,898			(170,000	)		—		(1,275	)
JapSwiss Franc	Morgan Stanley and Co. Inc.	06/18/2014		226,000			(259,288	)		—		(3,488	)
Australian Dollar	Morgan Stanley and Co. Inc.	04/02/2014		(108,302	)		100,000			—		(440	)
British Pound	Citibank N.A.	04/02/2014		(90,270	)		150,000			—		(494	)
Total									$	2,468	$	(28,266	)

See accompanying notes to schedules of investments. 45

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Shares		Value
Registered Investment Companies (99.71%)
State Farm Mutual Fund Trust Bond Fund Institutional Shares (a)		8,955,096	$	99,759,769
State Farm Mutual Fund Trust Equity Fund Institutional Shares (a)		18,666,122		165,195,176
Total Registered Investment Companies
(cost $ 232,491,550)				264,954,945
TOTAL INVESTMENTS (99.71%)
(cost $ 232,491,550)				264,954,945
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.29%)				757,574
NET ASSETS (100.00%)			$	265,712,519

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

46 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (63.83%)
Aerospace/Defense (1.74%)
Northrop Grumman Corp.
5.050%, 08/01/2019	$	500,000	$	552,396
Raytheon Co.
3.125%, 10/15/2020		1,500,000		1,515,350
Northrop Grumman Corp.
3.500%, 03/15/2021		500,000		504,661
Lockheed Martin Corp.
3.350%, 09/15/2021		2,000,000		2,039,106
General Dynamics Corp.
2.250%, 11/15/2022		2,000,000		1,844,380
Raytheon Co.
2.500%, 12/15/2022		2,000,000		1,869,052
Northrop Grumman Corp.
3.250%, 08/01/2023		3,000,000		2,872,602
Rockwell Collins Inc.
3.700%, 12/15/2023		500,000		507,001
				11,704,548
Agriculture, Foods, & Beverage (4.25%)
Coca-Cola Bottling Co.
5.300%, 04/01/2015		500,000		519,038
Kellogg Co.
4.450%, 05/30/2016		1,000,000		1,072,134
Hershey Co.
5.450%, 09/01/2016		500,000		552,490
General Mills Inc.
5.700%, 02/15/2017		1,000,000		1,120,128
PepsiAmericas Inc.
5.000%, 05/15/2017		500,000		555,851
Coca-Cola Co., The
5.350%, 11/15/2017		2,000,000		2,285,322
Kraft Foods Group Inc.
6.125%, 08/23/2018		369,000		428,235
Pepsico Inc.
7.900%, 11/01/2018		500,000		627,636
2.250%, 01/07/2019		2,000,000		2,008,706
Mondelez International Inc.
2.250%, 02/01/2019		1,000,000		990,855
Coca-Cola Co., The
3.150%, 11/15/2020		1,000,000		1,025,156
Kellogg Co.
4.000%, 12/15/2020		632,000		661,025
Campbell Soup Co.
4.250%, 04/15/2021		2,000,000		2,110,092
Hormel Foods Corp.
4.125%, 04/15/2021		1,000,000		1,061,435
General Mills Inc.
3.150%, 12/15/2021		2,000,000		2,009,990
Pepsico Inc.
2.750%, 03/05/2022		1,500,000		1,455,698
Kraft Foods Group Inc.
3.500%, 06/06/2022		1,500,000		1,509,042
Sysco Corp.
2.600%, 06/12/2022		2,000,000		1,898,184
Campbell Soup Co.
2.500%, 08/02/2022		1,000,000		909,604

	Principal amount		Value
Corporate Bonds (Cont.)
Agriculture, Foods, & Beverage (Cont.)
Pepsico Inc.
2.750%, 03/01/2023	$	2,000,000	$	1,895,654
Coca-Cola Co., The
2.500%, 04/01/2023		2,000,000		1,877,190
Hershey Co.
2.625%, 05/01/2023		1,100,000		1,035,989
Mondelez International Inc.
4.000%, 02/01/2024		1,000,000		1,014,745
				28,624,199
Automotive (0.75%)
American Honda Finance Corp.
2.125%, 10/10/2018		1,000,000		1,004,016
Johnson Controls Inc.
4.250%, 03/01/2021		2,000,000		2,142,770
Toyota Motor Credit Corp.
2.625%, 01/10/2023		2,000,000		1,894,298
				5,041,084
Banks (2.07%)
Mellon Funding Corp.
5.200%, 05/15/2014		500,000		502,861
US Bank NA
4.950%, 10/30/2014		500,000		513,098
Fifth Third Bank
4.750%, 02/01/2015		500,000		516,764
Wachovia Bank NA
5.600%, 03/15/2016		500,000		543,489
Wells Fargo Bank NA
5.750%, 05/16/2016		500,000		549,678
Wachovia Corp.
5.750%, 06/15/2017		500,000		568,176
Bank of New York Mellon Corp.
2.100%, 08/01/2018		1,000,000		1,001,957
Wells Fargo & Co.
2.150%, 01/15/2019		1,000,000		997,659
KFW
4.875%, 06/17/2019		1,000,000		1,141,830
Wells Fargo & Co.
3.000%, 01/22/2021		1,000,000		1,000,688
Bank of New York Mellon Corp.
3.550%, 09/23/2021		2,000,000		2,071,842
Wells Fargo & Co.
3.500%, 03/08/2022		2,000,000		2,041,082
US Bancorp
3.000%, 03/15/2022		2,000,000		1,982,586
3.700%, 01/30/2024		500,000		506,762
				13,938,472
Building Materials & Construction (0.92%)
CRH America Inc.
6.000%, 09/30/2016		500,000		555,735
5.750%, 01/15/2021		1,000,000		1,129,964
Fluor Corp.
3.375%, 09/15/2021		2,000,000		2,014,500

See accompanying notes to schedules of investments. 47

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Building Materials & Construction (Cont.)
Sonoco Products Co.
4.375%, 11/01/2021	$	1,000,000	$	1,034,911
Stanley Black & Decker Inc.
2.900%, 11/01/2022		1,500,000		1,433,310
				6,168,420
Chemicals (3.62%)
E.I. du Pont de Nemours and Co.
4.875%, 04/30/2014		500,000		501,663
Praxair Inc.
5.375%, 11/01/2016		1,000,000		1,104,843
Rohm & Haas Co.
6.000%, 09/15/2017		144,000		163,681
E.I. du Pont de Nemours and Co.
6.000%, 07/15/2018		500,000		582,104
PPG Industries Inc.
7.400%, 08/15/2019		500,000		591,098
3.600%, 11/15/2020		1,000,000		1,015,799
E.I. du Pont de Nemours and Co.
3.625%, 01/15/2021		1,000,000		1,048,447
Praxair Inc.
4.050%, 03/15/2021		1,000,000		1,057,593
3.000%, 09/01/2021		1,000,000		998,375
Dow Chemical Co., The
4.125%, 11/15/2021		1,500,000		1,570,906
Praxair Inc.
2.450%, 02/15/2022		1,000,000		945,215
Syngenta Finance NV
3.125%, 03/28/2022		2,000,000		1,979,146
Monsanto Co.
2.200%, 07/15/2022		1,300,000		1,206,539
PPG Industries Inc.
2.700%, 08/15/2022		2,000,000		1,881,380
Dow Chemical Co., The
3.000%, 11/15/2022		2,000,000		1,901,102
E.I. du Pont de Nemours and Co.
2.800%, 02/15/2023		2,000,000		1,890,448
Praxair Inc.
2.700%, 02/21/2023		2,000,000		1,904,586
International Flavors & Fragrances Inc.
3.200%, 05/01/2023		2,000,000		1,904,942
Potash Corporation of Saskatchewan Inc.
3.625%, 03/15/2024		1,500,000		1,487,656
Dow Chemical Co., The
7.375%, 11/01/2029		500,000		646,903
				24,382,426
Colleges (0.17%)
Dartmouth College
4.750%, 06/01/2019		1,000,000		1,116,933
Commercial Service/Supply (0.62%)
Pitney Bowes Inc.
5.750%, 09/15/2017		500,000		563,468

	Principal amount		Value
Corporate Bonds (Cont.)
Commercial Service/Supply (Cont.)
Cintas Corp. No. 2
6.125%, 12/01/2017	$	500,000	$	569,052
4.300%, 06/01/2021		1,000,000		1,068,254
3.250%, 06/01/2022		2,000,000		1,961,310
				4,162,084
Computer Software & Services (2.02%)
Oracle Corp.
2.375%, 01/15/2019		1,000,000		1,011,913
Texas Instruments Inc.
1.650%, 08/03/2019		1,000,000		965,019
Microsoft Corp.
3.000%, 10/01/2020		2,000,000		2,059,418
Intel Corp.
3.300%, 10/01/2021		2,000,000		2,046,162
Oracle Corp.
2.500%, 10/15/2022		2,000,000		1,881,208
Intel Corp.
2.700%, 12/15/2022		2,000,000		1,909,194
Microsoft Corp.
2.375%, 05/01/2023		2,000,000		1,867,202
Texas Instruments Inc.
2.250%, 05/01/2023		2,000,000		1,818,040
				13,558,156
Computers (1.41%)
International Business Machines Corp.
5.700%, 09/14/2017		500,000		572,125
1.875%, 05/15/2019		2,000,000		1,969,500
1.625%, 05/15/2020		1,000,000		946,189
Hewlett-Packard Co.
3.750%, 12/01/2020		1,000,000		1,015,805
4.300%, 06/01/2021		2,000,000		2,090,894
International Business Machines Corp.
1.875%, 08/01/2022		1,000,000		902,803
Hewlett-Packard Co.
4.050%, 09/15/2022		1,000,000		1,014,698
International Business Machines Corp.
3.375%, 08/01/2023		1,000,000		1,000,017
				9,512,031
Consumer & Marketing (3.82%)
Procter & Gamble Co., The
4.950%, 08/15/2014		1,000,000		1,016,911
Clorox Co.
5.000%, 01/15/2015		500,000		516,841
Procter & Gamble Co., The
3.150%, 09/01/2015		1,000,000		1,037,789
Estee Lauder Co. Inc.
5.550%, 05/15/2017		1,000,000		1,120,289

48 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Consumer & Marketing (Cont.)
Kimberly-Clark Corp.
6.125%, 08/01/2017	$	500,000	$	576,916
Danaher Corp.
5.625%, 01/15/2018		500,000		569,994
Kimberly-Clark Corp.
6.250%, 07/15/2018		1,000,000		1,167,702
Unilever Capital Corp.
2.200%, 03/06/2019		1,000,000		999,922
McDonald’s Corp.
1.875%, 05/29/2019		500,000		493,764
Colgate-Palmolive Co.
2.950%, 11/01/2020		1,000,000		1,004,063
Unilever Capital Corp.
4.250%, 02/10/2021		3,000,000		3,272,496
Clorox Co.
3.800%, 11/15/2021		1,000,000		1,030,384
McDonald’s Corp.
2.625%, 01/15/2022		1,000,000		969,078
Valspar Corp.
4.200%, 01/15/2022		2,000,000		2,048,746
Clorox Co.
3.050%, 09/15/2022		1,000,000		960,618
Colgate-Palmolive Co.
1.950%, 02/01/2023		1,000,000		902,752
2.100%, 05/01/2023		1,000,000		912,109
NIKE Inc.
2.250%, 05/01/2023		1,500,000		1,384,628
Kimberly-Clark Corp.
2.400%, 06/01/2023		3,000,000		2,793,762
Procter & Gamble Co., The
3.100%, 08/15/2023		3,000,000		2,962,788
				25,741,552
Electronic/Electrical Manufacturing (0.94%)
Emerson Electric Co.
4.750%, 10/15/2015		1,000,000		1,063,085
General Electric Co.
2.700%, 10/09/2022		2,000,000		1,938,412
Emerson Electric Co.
2.625%, 02/15/2023		3,500,000		3,344,484
				6,345,981
Financial Services (1.71%)
General Electric Capital Corp.
4.875%, 03/04/2015		500,000		520,858
JPMorgan Chase Bank NA
5.875%, 06/13/2016		500,000		551,154
General Electric Capital Corp.
5.400%, 02/15/2017		500,000		558,110
JPMorgan Chase Bank NA
6.000%, 10/01/2017		1,000,000		1,139,118
Simon Property Group Inc.
6.125%, 05/30/2018		1,000,000		1,163,275
JPMorgan Chase & Co.
2.350%, 01/28/2019		1,000,000		1,002,639

	Principal amount		Value
Corporate Bonds (Cont.)
Financial Services (Cont.)
General Electric Capital Corp.
4.650%, 10/17/2021	$	1,000,000	$	1,098,233
JPMorgan Chase & Co.
4.500%, 01/24/2022		1,000,000		1,078,082
General Electric Capital Corp.
3.150%, 09/07/2022		1,500,000		1,481,973
JPMorgan Chase & Co.
3.250%, 09/23/2022		2,000,000		1,970,182
3.200%, 01/25/2023		1,000,000		969,670
				11,533,294
Forest Products & Paper (0.17%)
International Paper Co.
5.250%, 04/01/2016		500,000		539,068
Willamette Industries Inc.
9.000%, 10/01/2021		500,000		630,005
				1,169,073
Health Care (6.06%)
GlaxoSmithKline Capital Inc.
4.375%, 04/15/2014		1,000,000		1,001,305
AstraZeneca PLC
5.400%, 06/01/2014		1,000,000		1,008,006
Amgen Inc.
4.850%, 11/18/2014		500,000		513,074
Merck & Co. Inc.
4.750%, 03/01/2015		500,000		520,134
Baxter International Inc.
4.625%, 03/15/2015		1,000,000		1,039,531
Medtronic Inc.
4.750%, 09/15/2015		500,000		530,286
Baxter International Inc.
5.900%, 09/01/2016		500,000		558,216
Eli Lilly and Co.
5.200%, 03/15/2017		2,000,000		2,235,576
Wyeth
5.450%, 04/01/2017		500,000		561,078
Amgen Inc.
5.850%, 06/01/2017		500,000		565,752
Johnson & Johnson
5.550%, 08/15/2017		500,000		570,500
AstraZeneca PLC
5.900%, 09/15/2017		500,000		574,809
Schering-Plough Corp.
6.000%, 09/15/2017		500,000		575,574
Becton Dickinson & Co.
5.000%, 05/15/2019		1,000,000		1,127,981
Baxter International Inc.
4.500%, 08/15/2019		500,000		549,350
AstraZeneca PLC
1.950%, 09/18/2019		1,500,000		1,465,539
Becton Dickinson & Co.
3.250%, 11/12/2020		1,000,000		1,025,042
CR Bard Inc.
4.400%, 01/15/2021		1,000,000		1,078,660

See accompanying notes to schedules of investments. 49

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Health Care (Cont.)
Medtronic Inc.
4.125%, 03/15/2021	$	1,000,000	$	1,067,217
Sanofi-Aventis
4.000%, 03/29/2021		1,000,000		1,073,430
Becton Dickinson & Co.
3.125%, 11/08/2021		1,000,000		1,014,926
Amgen Inc.
3.875%, 11/15/2021		1,000,000		1,043,029
Medtronic Inc.
3.125%, 03/15/2022		1,000,000		1,002,096
GlaxoSmithKline Capital Inc.
2.850%, 05/08/2022		2,000,000		1,952,560
Bristol-Myers Squibb Co.
2.000%, 08/01/2022		1,500,000		1,363,680
Merck & Co. Inc.
2.400%, 09/15/2022		2,000,000		1,870,388
Novartis Capital Corp.
2.400%, 09/21/2022		2,000,000		1,890,074
GlaxoSmithKline Capital Inc.
2.800%, 03/18/2023		2,000,000		1,917,800
Medtronic Inc.
2.750%, 04/01/2023		2,500,000		2,364,842
Merck & Co. Inc.
2.800%, 05/18/2023		2,000,000		1,899,774
Baxter International Inc.
3.200%, 06/15/2023		4,000,000		3,901,740
Pfizer Inc.
3.000%, 06/15/2023		2,000,000		1,939,598
Bristol-Myers Squibb Co.
3.250%, 11/01/2023		1,000,000		981,833
				40,783,400
Machinery & Manufacturing (5.21%)
United Technologies Corp.
4.875%, 05/01/2015		1,000,000		1,047,407
Ingersoll-Rand Co. Ltd.
4.750%, 05/15/2015		1,000,000		1,036,633
Thermo Electron Corp.
5.000%, 06/01/2015		500,000		523,858
Dover Corp.
4.875%, 10/15/2015		1,000,000		1,065,149
Honeywell International Inc.
5.400%, 03/15/2016		1,000,000		1,091,478
Caterpillar Inc.
5.700%, 08/15/2016		500,000		552,214
Eaton Corp.
5.300%, 03/15/2017		1,000,000		1,101,963
Honeywell International Inc.
5.300%, 03/15/2017		500,000		558,022
Cooper U.S. Inc.
6.100%, 07/01/2017		500,000		566,450
Caterpillar Financial Services Corp.
5.850%, 09/01/2017		500,000		567,784
John Deere Capital Corp.
2.800%, 09/18/2017		2,000,000		2,092,894

	Principal amount		Value
Corporate Bonds (Cont.)
Machinery & Manufacturing (Cont.)
Covidien International
6.000%, 10/15/2017	$	500,000	$	574,187
United Technologies Corp.
5.375%, 12/15/2017		500,000		570,267
Thermo Fisher Scientific Inc.
2.400%, 02/01/2019		1,000,000		995,818
John Deere Capital Corp.
1.700%, 01/15/2020		1,000,000		957,601
Cooper U.S. Inc.
3.875%, 12/15/2020		1,000,000		1,045,818
Dover Corp.
4.300%, 03/01/2021		1,000,000		1,071,156
Honeywell International Inc.
4.250%, 03/01/2021		1,000,000		1,090,229
Caterpillar Inc.
3.900%, 05/27/2021		1,000,000		1,063,170
Illinois Tool Works Inc.
3.375%, 09/15/2021		1,000,000		1,022,547
Bemis Company Inc.
4.500%, 10/15/2021		1,000,000		1,053,673
United Technologies Corp.
3.100%, 06/01/2022		2,000,000		1,996,458
Deere & Co.
2.600%, 06/08/2022		1,000,000		956,088
Covidien International
3.200%, 06/15/2022		2,000,000		1,968,086
3M Co.
2.000%, 06/26/2022		1,500,000		1,399,196
Parker Hannifin Corp.
3.500%, 09/15/2022		1,000,000		1,005,494
Thermo Fisher Scientific Inc.
3.150%, 01/15/2023		2,000,000		1,927,640
Caterpillar Financial Services Corp.
2.625%, 03/01/2023		2,000,000		1,878,074
Covidien International
2.950%, 06/15/2023		3,000,000		2,842,821
Total Capital Canada Ltd.
2.750%, 07/15/2023		1,500,000		1,418,943
				35,041,118
Media & Broadcasting (1.71%)
Walt Disney Co., The
5.625%, 09/15/2016		1,000,000		1,115,528
McGraw-Hill Companies Inc.
5.900%, 11/15/2017		500,000		554,625
Walt Disney Co., The
2.750%, 08/16/2021		2,000,000		1,988,808
Thomson Reuters Corp.
3.950%, 09/30/2021		1,000,000		1,019,710
Walt Disney Co., The
2.550%, 02/15/2022		1,000,000		960,193
Comcast Corp.
3.125%, 07/15/2022		2,000,000		1,976,982
Reed Elsevier Capital
3.125%, 10/15/2022		2,000,000		1,918,700

50 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Media & Broadcasting (Cont.)
Comcast Corp.
2.850%, 01/15/2023	$	1,000,000	$	964,092
Thomson Reuters Corp.
4.300%, 11/23/2023		1,000,000		1,024,208
				11,522,846
Mining & Metals (2.15%)
Alcan Inc.
5.000%, 06/01/2015		1,000,000		1,046,881
Alcoa Inc.
5.550%, 02/01/2017		500,000		546,686
BHP Billiton Finance USA Ltd.
5.400%, 03/29/2017		500,000		559,288
2.050%, 09/30/2018		500,000		501,250
Rio Tinto Finance USA PLC
2.250%, 12/14/2018		2,000,000		1,999,836
Rio Tinto Finance USA Ltd.
3.500%, 11/02/2020		1,000,000		1,024,137
4.125%, 05/20/2021		2,000,000		2,107,342
Barrick NA Finance LLC
4.400%, 05/30/2021		1,000,000		1,007,626
BHP Billiton Finance USA Ltd.
3.250%, 11/21/2021		1,500,000		1,516,744
Alcoa Inc.
5.870%, 02/23/2022		750,000		790,842
Barrick Gold Corp.
3.850%, 04/01/2022		1,000,000		955,177
4.100%, 05/01/2023		2,000,000		1,897,270
BHP Billiton Finance USA Ltd.
3.850%, 09/30/2023		500,000		512,224
				14,465,303
Oil & Gas (4.91%)
ConocoPhillips Canada
5.625%, 10/15/2016		500,000		558,370
Apache Corp.
5.625%, 01/15/2017		500,000		558,202
Shell International Finance
5.200%, 03/22/2017		500,000		558,654
Canadian National Resources
5.700%, 05/15/2017		500,000		562,742
Weatherford International Inc.
6.350%, 06/15/2017		500,000		565,765
EOG Resources Inc.
5.875%, 09/15/2017		500,000		568,954
Husky Energy Inc.
6.200%, 09/15/2017		500,000		571,842
Encana Corp.
5.900%, 12/01/2017		500,000		568,896
Chevron Corp.
1.718%, 06/24/2018		2,000,000		1,993,216
Shell International Finance
1.900%, 08/10/2018		1,500,000		1,501,140
Total Capital SA
2.125%, 08/10/2018		1,000,000		1,010,120

	Principal amount		Value
Corporate Bonds (Cont.)
Oil & Gas (Cont.)
Chevron Corp.
4.950%, 03/03/2019	$	1,000,000	$	1,134,884
ConocoPhillips
6.000%, 01/15/2020		500,000		591,848
Chevron Corp.
2.427%, 06/24/2020		2,000,000		1,985,712
Trans-Canada Pipelines
3.800%, 10/01/2020		1,000,000		1,050,415
Apache Corp.
3.625%, 02/01/2021		500,000		524,686
Occidental Petroleum Corp.
4.100%, 02/01/2021		1,000,000		1,076,745
Canadian National Resources
3.450%, 11/15/2021		1,000,000		1,009,037
Apache Corp.
3.250%, 04/15/2022		724,000		730,252
Devon Energy Corp.
3.250%, 05/15/2022		1,500,000		1,477,378
Trans-Canada Pipelines
2.500%, 08/01/2022		2,000,000		1,871,134
Chevron Corp.
2.355%, 12/05/2022		2,000,000		1,879,480
Shell International Finance
2.250%, 01/06/2023		1,500,000		1,387,040
Total Capital International SA
2.700%, 01/25/2023		1,000,000		948,206
Occidental Petroleum Corp.
2.700%, 02/15/2023		2,000,000		1,889,970
EOG Resources Inc.
2.625%, 03/15/2023		2,000,000		1,889,484
Shell International Finance
3.400%, 08/12/2023		500,000		501,006
Nabors Industries Inc. (a)
5.100%, 09/15/2023		2,000,000		2,081,314
Trans-Canada Pipelines
3.750%, 10/16/2023		1,000,000		1,007,628
Total Capital International SA
3.700%, 01/15/2024		1,000,000		1,018,538
				33,072,658
Retailers (3.60%)
Lowe’s Companies Inc.
5.000%, 10/15/2015		1,000,000		1,066,576
Target Corp.
5.875%, 07/15/2016		1,000,000		1,112,652
Lowe’s Companies Inc.
5.400%, 10/15/2016		500,000		555,694
McDonald’s Corp.
5.300%, 03/15/2017		500,000		558,793
Target Corp.
5.375%, 05/01/2017		500,000		561,128
CVS Caremark Corp.
5.750%, 06/01/2017		500,000		565,540
Home Depot Inc.
2.250%, 09/10/2018		1,000,000		1,011,145

See accompanying notes to schedules of investments. 51

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Retailers (Cont.)
CVS Caremark Corp.
2.250%, 12/05/2018	$	1,000,000	$	1,000,796
Costco Wholesale Corp.
1.700%, 12/15/2019		2,000,000		1,932,928
Home Depot Inc.
3.950%, 09/15/2020		1,000,000		1,076,506
Wal-Mart Stores Inc.
3.250%, 10/25/2020		2,000,000		2,076,520
Home Depot Inc.
4.400%, 04/01/2021		1,000,000		1,099,368
Lowe’s Companies Inc.
3.800%, 11/15/2021		1,000,000		1,054,261
3.120%, 04/15/2022		1,000,000		996,162
Walgreen Co.
3.100%, 09/15/2022		2,000,000		1,921,400
CVS Caremark Corp.
2.750%, 12/01/2022		2,000,000		1,886,642
Home Depot Inc.
2.700%, 04/01/2023		3,000,000		2,855,400
Wal-Mart Stores Inc.
2.550%, 04/11/2023		2,000,000		1,880,118
Lowe’s Companies Inc.
3.875%, 09/15/2023		1,000,000		1,030,536
				24,242,165
Telecom & Telecom Equipment (2.95%)
BellSouth Corp.
5.200%, 09/15/2014		1,000,000		1,021,447
Verizon Global Funding Corp.
4.900%, 09/15/2015		500,000		530,091
SBC Communications Inc.
5.625%, 06/15/2016		1,000,000		1,100,834
Verizon Communications Inc.
3.650%, 09/14/2018		1,000,000		1,064,532
AT&T Inc.
2.375%, 11/27/2018		1,000,000		1,004,969
Vodafone Group PLC
5.450%, 06/10/2019		500,000		571,268
Verizon Communications Inc.
4.500%, 09/15/2020		1,000,000		1,086,043
Telefonica Emisiones SAU
5.462%, 02/16/2021		1,000,000		1,099,331
Vodafone Group PLC
4.375%, 03/16/2021		2,000,000		2,142,282
AT&T Inc.
4.450%, 05/15/2021		1,000,000		1,080,657
3.000%, 02/15/2022		1,000,000		970,925
Vodafone Group PLC
2.500%, 09/26/2022		1,000,000		915,087
Verizon Communications Inc.
2.450%, 11/01/2022		2,500,000		2,278,225
AT&T Inc.
2.625%, 12/01/2022		1,000,000		929,791
Vodafone Group PLC
2.950%, 02/19/2023		1,000,000		937,554

	Principal amount		Value
Corporate Bonds (Cont.)
Telecom & Telecom Equipment (Cont.)
Verizon Communications inc.
5.150%, 09/15/2023	$	1,000,000	$	1,094,319
AT&T Inc.
3.900%, 03/11/2024		1,000,000		997,171
Verizon Communications Inc.
4.150%, 03/15/2024		1,000,000		1,015,948
				19,840,474
Transportation (2.88%)
JB Hunt Transport Services Inc.
2.400%, 03/15/2019		500,000		495,801
United Parcel Service Inc.
3.125%, 01/15/2021		1,500,000		1,537,886
Burlington North Santa Fe
3.050%, 03/15/2022		1,000,000		971,406
Norfolk Southern Corp.
3.000%, 04/01/2022		2,000,000		1,947,912
Burlington North Santa Fe
3.050%, 09/01/2022		500,000		478,977
United Parcel Service Inc.
2.450%, 10/01/2022		2,000,000		1,897,172
Canadian National Railway Co.
2.250%, 11/15/2022		2,000,000		1,838,696
Union Pacific Corp.
2.950%, 01/15/2023		2,000,000		1,910,882
Burlington North Santa Fe
3.000%, 03/15/2023		2,000,000		1,887,640
Union Pacific Corp.
2.750%, 04/15/2023		2,000,000		1,872,176
Burlington North Santa Fe
3.850%, 09/01/2023		2,000,000		2,027,122
CSX Corp.
3.700%, 11/01/2023		1,000,000		990,077
Norfolk Southern Corp.
3.850%, 01/15/2024		1,000,000		1,015,556
JB Hunt Transport Services Inc.
3.850%, 03/15/2024		500,000		498,984
				19,370,287
Utilities & Energy (10.15%)
NSTAR Electric Co.
4.875%, 04/15/2014		1,000,000		1,001,473
Union Electric Co.
5.500%, 05/15/2014		500,000		502,916
Atmos Energy Corp.
4.950%, 10/15/2014		1,000,000		1,023,414
Union Electric Co.
4.750%, 04/01/2015		500,000		521,104
Commonwealth Edison Co.
4.700%, 04/15/2015		500,000		519,925
Southwestern Electric Power
5.375%, 04/15/2015		500,000		521,582
San Diego Gas & Electric Co.
5.300%, 11/15/2015		500,000		534,974

52 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
Consolidated Edison Co. NY
5.375%, 12/15/2015	$	1,000,000	$	1,076,904
Virginia Electric & Power Co.
5.400%, 01/15/2016		500,000		541,290
Ohio Power Co.
6.000%, 06/01/2016		500,000		552,966
Commonwealth Edison Co.
5.950%, 08/15/2016		500,000		556,489
Baltimore Gas & Electric Co.
5.900%, 10/01/2016		500,000		558,629
Consolidated Edison Co. NY
5.300%, 12/01/2016		500,000		553,616
Georgia Power Co.
5.700%, 06/01/2017		500,000		566,098
Jersey Central Power & Light
5.650%, 06/01/2017		1,000,000		1,104,800
Atmos Energy Corp.
6.350%, 06/15/2017		500,000		569,098
Kansas City Power & Light Co.
5.850%, 06/15/2017		1,000,000		1,106,305
Union Electric Co.
6.400%, 06/15/2017		500,000		572,893
Florida Power Corp.
5.800%, 09/15/2017		500,000		570,230
Virginia Electric & Power Co.
5.950%, 09/15/2017		500,000		573,463
NSTAR Electric Co.
5.625%, 11/15/2017		500,000		569,323
Pacific Gas & Electric
5.625%, 11/30/2017		500,000		567,617
Equitable Resources Inc.
5.150%, 03/01/2018		500,000		541,272
Southern California Gas
5.450%, 04/15/2018		500,000		568,986
Pacificorp
5.650%, 07/15/2018		500,000		572,738
Public Service Electric and Gas Co.
2.300%, 09/15/2018		1,000,000		1,014,352
Pacific Gas & Electric
8.250%, 10/15/2018		500,000		622,453
MidAmerican Energy Co.
2.400%, 03/15/2019		1,000,000		1,006,913
Alabama Power Co.
3.375%, 10/01/2020		1,000,000		1,033,235
Pacific Gas & Electric
3.500%, 10/01/2020		1,000,000		1,027,429
Kentucky Utilities
3.250%, 11/01/2020		1,000,000		1,024,940
Public Service Company of Colorado
3.200%, 11/15/2020		1,000,000		1,026,942
Appalachian Power Co.
4.600%, 03/30/2021		500,000		547,003
Commonwealth Edison
3.400%, 09/01/2021		1,000,000		1,021,414
Pacific Gas & Electric
3.250%, 09/15/2021		1,000,000		996,422

	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
Carolina Power & Light Co.
2.800%, 05/15/2022	$	1,000,000	$	977,585
Georgia Power Co.
2.850%, 05/15/2022		2,000,000		1,946,858
Detroit Edison Co.
2.650%, 06/15/2022		500,000		481,188
CenterPoint Energy Houston LLC
2.250%, 08/01/2022		2,000,000		1,866,994
Baltimore Gas & Electric Co.
2.800%, 08/15/2022		1,500,000		1,432,329
Pacific Gas & Electric
2.450%, 08/15/2022		1,000,000		929,613
Ameren Illinois Co.
2.700%, 09/01/2022		2,000,000		1,939,056
PPL Electric Utilities
2.500%, 09/01/2022		500,000		473,495
Tampa Electric Co.
2.600%, 09/15/2022		500,000		471,734
NSTAR Electric Co.
2.375%, 10/15/2022		1,000,000		929,959
Wisconsin Power & Light
2.250%, 11/15/2022		1,600,000		1,483,498
Connecticut Light & Power
2.500%, 01/15/2023		1,000,000		938,354
Indiana Michigan Power Co.
3.200%, 03/15/2023		2,500,000		2,428,815
Kansas City Power & Light Co.
3.150%, 03/15/2023		2,000,000		1,905,872
Public Service Company of Colorado
2.500%, 03/15/2023		2,000,000		1,868,808
Virginia Electric & Power Co.
2.750%, 03/15/2023		2,000,000		1,904,202
Northern States Power Co.
2.600%, 05/15/2023		1,000,000		943,411
Public Service Electric and Gas Co.
2.375%, 05/15/2023		3,000,000		2,770,806
Florida Power & Light Co.
2.750%, 06/01/2023		2,000,000		1,931,390
Pacificorp
2.950%, 06/01/2023		1,000,000		962,939
Pacific Gas & Electric
3.250%, 06/15/2023		2,000,000		1,934,176
Baltimore Gas & Electric Co.
3.350%, 07/01/2023		3,000,000		2,958,918
Consumers Energy Co.
3.375%, 08/15/2023		1,000,000		1,001,617
Laclede Gas Co.
3.400%, 08/15/2023		1,000,000		1,000,419
Duke Energy Ohio Inc.
3.800%, 09/01/2023		1,200,000		1,242,822
San Diego Gas & Electric Co.
3.600%, 09/01/2023		2,000,000		2,057,242
DTE Electric Co.
3.650%, 03/15/2024		2,000,000		2,039,442
San Diego Gas & Electric Co.
6.000%, 06/01/2026		500,000		610,434

See accompanying notes to schedules of investments. 53

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
Northern States Power Co.
6.200%, 07/01/2037	$	1,000,000	$	1,255,834
				68,357,018
Total Corporate Bonds
(cost $425,439,844)				429,693,522
Government Agency Securities (b) (21.04%)
Agency Commercial Mortgage-Backed Securities (11.07%)
Federal Home Loan Mortgage Corp.
2.789%, 01/25/2022		10,000,000		9,927,000
2.373%, 05/25/2022		10,000,000		9,587,580
2.682%, 10/25/2022		10,000,000		9,721,290
Federal National Mortgage Association
3.044%, 01/25/2022		10,000,000		9,897,060
2.715%, 02/25/2022		7,000,000		6,853,007
2.482%, 04/25/2022		10,000,000		9,578,780
2.377%, 05/25/2022		10,000,000		9,471,320
2.509%, 11/25/2022		10,000,000		9,509,540
				74,545,577
Agency Mortgage-Backed Securities (8.81%)
Federal Home Loan Mortgage Corp.
5.000%, 07/01/2018		65,299		69,270
5.000%, 09/01/2018		92,397		98,010
5.000%, 09/01/2018		48,324		51,248
4.500%, 11/01/2018		143,636		151,767
5.500%, 11/01/2018		65,367		69,568
5.000%, 01/01/2019		67,691		71,792
5.000%, 04/01/2019		70,039		74,289
4.500%, 05/01/2019		95,036		100,534
4.000%, 05/01/2019		71,800		75,923
5.500%, 06/01/2019		109,338		116,393
5.000%, 01/01/2020		72,098		76,482
5.500%, 04/01/2020		116,062		126,185
5.500%, 07/01/2020		185,131		200,713
6.000%, 07/01/2021		176,698		193,456
4.500%, 05/01/2024		433,736		464,125
4.500%, 05/01/2024		176,087		188,343
4.500%, 09/01/2024		386,364		413,650
5.000%, 10/01/2024		587,350		631,966
4.000%, 10/01/2024		537,116		568,857
4.000%, 01/01/2025		429,540		454,986
4.000%, 07/01/2025		462,111		489,398
4.500%, 08/01/2025		436,197		467,118
3.500%, 04/01/2026		634,168		663,764
2.500%, 02/01/2027		4,773,011		4,775,707
6.000%, 11/01/2028		13,081		14,709
6.500%, 06/01/2029		23,301		26,118
7.500%, 12/01/2030		909		957
7.000%, 07/01/2031		2,909		3,178
6.500%, 09/01/2031		4,033		4,535
6.000%, 11/01/2032		40,667		45,758
6.000%, 12/01/2032		21,926		24,664
5.500%, 05/01/2033		315,996		347,568
5.500%, 07/01/2033		442,491		490,122

	Principal amount		Value
Government Agency Securities (Cont.)
Agency Mortgage-Backed Securities (Cont.)
5.000%, 08/01/2033	$	164,590	$	180,526
5.500%, 03/01/2034		78,334		86,096
5.000%, 04/01/2034		107,046		116,755
6.000%, 07/01/2034		343,851		382,336
5.500%, 05/01/2035		429,281		478,225
5.000%, 05/01/2035		369,051		404,895
4.500%, 08/01/2035		118,819		126,824
5.000%, 10/01/2035		98,482		107,074
6.500%, 08/01/2036		159,775		178,878
5.500%, 10/01/2037		183,450		201,376
5.500%, 11/01/2037		238,737		262,065
6.000%, 01/01/2038		148,209		164,329
6.000%, 01/01/2038		107,291		119,121
4.500%, 06/01/2039		762,357		813,027
5.000%, 06/01/2039		533,386		579,171
4.500%, 10/01/2039		949,648		1,012,701
5.000%, 10/01/2039		829,994		901,512
5.000%, 01/01/2040		398,756		433,225
4.500%, 02/01/2040		336,293		358,765
4.000%, 07/01/2041		1,814,596		1,883,345
Federal National Mortgage Association
5.500%, 12/01/2016		7,276		7,745
5.500%, 01/01/2017		39,542		42,086
6.500%, 01/01/2017		10,474		10,728
5.500%, 01/01/2017		8,798		9,365
5.500%, 02/01/2017		32,405		34,495
5.000%, 03/01/2017		40,360		42,902
6.000%, 04/01/2017		8,421		8,852
5.500%, 01/01/2018		31,733		33,804
5.000%, 02/01/2018		44,673		47,518
5.000%, 05/01/2018		125,955		133,997
5.000%, 05/01/2018		105,377		112,057
4.500%, 05/01/2018		91,832		97,293
4.500%, 05/01/2018		91,032		96,412
5.000%, 05/01/2018		54,817		58,122
4.500%, 03/01/2019		83,504		88,301
5.500%, 10/01/2019		249,881		268,545
5.000%, 11/01/2019		155,778		166,752
4.500%, 12/01/2019		101,760		107,886
5.000%, 06/01/2020		291,340		313,304
4.500%, 09/01/2020		132,670		140,630
5.000%, 05/01/2021		219,468		233,341
5.500%, 05/01/2021		183,670		197,556
4.500%, 04/01/2023		47,129		50,035
5.000%, 01/01/2024		230,760		248,603
4.500%, 04/01/2024		74,825		79,638
4.000%, 06/01/2024		355,791		376,763
4.500%, 11/01/2024		329,132		348,985
3.500%, 12/01/2025		575,190		603,815
3.000%, 12/01/2026		1,230,314		1,265,062
7.500%, 09/01/2029		19,246		21,893
8.000%, 03/01/2030		3,410		3,564
6.500%, 05/01/2030		17,803		20,072
6.500%, 08/01/2031		1,982		2,224

54 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal amount		Value
Government Agency Securities (Cont.)
Agency Mortgage-Backed Securities (Cont.)
7.000%, 08/01/2031	$	1,750	$	1,769
6.500%, 10/01/2031		12,927		14,514
6.000%, 11/01/2031		14,652		16,303
7.000%, 01/01/2032		22,561		26,161
3.000%, 02/01/2032		6,025,244		6,015,134
3.000%, 02/01/2032		4,249,760		4,261,001
6.000%, 03/01/2032		11,675		13,016
6.500%, 03/01/2032		6,909		7,751
6.500%, 04/01/2032		52,833		59,781
7.000%, 04/01/2032		21,437		23,294
6.500%, 05/01/2032		173,688		195,093
6.000%, 05/01/2032		12,380		13,930
7.000%, 06/01/2032		33,368		37,509
7.000%, 06/01/2032		21,411		23,255
6.500%, 06/01/2032		13,534		15,186
6.500%, 07/01/2032		29,885		33,534
6.000%, 08/01/2032		115,236		130,334
5.500%, 10/01/2032		140,188		155,682
6.500%, 10/01/2032		61,335		68,805
6.000%, 11/01/2032		82,844		93,196
6.000%, 01/01/2033		63,927		71,982
5.500%, 03/01/2033		61,658		68,518
5.500%, 03/01/2033		50,637		56,236
6.000%, 04/01/2033		170,390		189,660
5.000%, 05/01/2033		175,203		191,912
5.000%, 05/01/2033		54,930		60,207
5.000%, 08/01/2033		192,562		210,726
5.500%, 10/01/2033		186,997		207,542
5.000%, 03/01/2034		327,619		358,845
5.500%, 05/01/2034		262,394		291,544
6.000%, 07/01/2034		150,711		169,486
5.500%, 12/01/2034		409,899		455,390
5.500%, 04/01/2035		231,776		257,312
5.000%, 07/01/2035		281,873		307,558
5.500%, 07/01/2035		245,346		272,662
5.000%, 10/01/2035		207,934		226,687
5.000%, 11/01/2035		78,107		85,107
6.000%, 08/01/2036		122,244		136,135
6.000%, 12/01/2037		65,756		73,119
5.500%, 02/01/2038		201,468		222,080
5.500%, 06/01/2038		484,120		533,694
4.500%, 03/01/2039		709,728		761,079
5.000%, 05/01/2039		773,224		843,404
4.500%, 05/01/2039		559,791		599,822
5.000%, 11/01/2039		1,057,207		1,164,704
4.500%, 01/01/2040		646,597		690,120
4.500%, 09/01/2040		1,168,513		1,247,521
3.500%, 01/01/2041		1,773,305		1,785,301
4.500%, 04/01/2041		621,436		663,497
5.000%, 05/01/2041		803,746		880,507
4.000%, 11/01/2041		1,991,659		2,071,078
Government National Mortgage Association
6.000%, 05/15/2017		31,909		33,298
6.500%, 06/15/2028		34,058		39,325
6.000%, 11/15/2028		22,397		25,208

	Principal amount		Value
Government Agency Securities (Cont.)
Agency Mortgage-Backed Securities (Cont.)
6.500%, 03/15/2029	$	44,675	$	51,803
7.000%, 06/15/2029		18,269		18,664
7.500%, 08/20/2030		8,547		10,310
6.000%, 01/15/2032		14,500		16,697
5.500%, 10/15/2033		190,250		212,191
5.000%, 11/20/2033		298,618		329,817
6.000%, 12/20/2033		92,847		106,856
5.500%, 11/15/2038		370,136		410,483
5.000%, 09/15/2039		784,045		857,410
4.500%, 10/15/2039		1,233,581		1,331,400
5.000%, 12/15/2039		318,236		349,066
4.000%, 09/20/2040		2,411,613		2,540,270
4.500%, 03/20/2041		509,327		550,600
5.000%, 05/20/2041		427,788		469,431
				59,325,256
Agency Notes & Bonds (1.16%)
Federal National Mortgage Association
5.500%, 05/10/2027		5,000,000		5,595,550
7.125%, 01/15/2030		500,000		710,700
Tennessee Valley Authority
1.750%, 10/15/2018		1,500,000		1,496,646
				7,802,896
Total Government Agency Securities
(cost $142,271,424)				141,673,729

See accompanying notes to schedules of investments. 55

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal
	amount		Value
U.S. Treasury Obligations (13.69%)
U.S. Treasury Bonds
7.500%, 11/15/2016	$	500,000	$	587,812
8.125%, 08/15/2019		750,000		993,516
6.875%, 08/15/2025		1,000,000		1,396,406
U.S. Treasury Notes
2.625%, 07/31/2014		2,000,000		2,016,954
2.375%, 08/31/2014		1,000,000		1,009,414
4.250%, 11/15/2014		1,000,000		1,025,742
4.000%, 02/15/2015		2,000,000		2,067,734
4.125%, 05/15/2015		1,000,000		1,044,258
2.125%, 05/31/2015		5,000,000		5,113,670
4.250%, 08/15/2015		2,000,000		2,110,860
4.500%, 11/15/2015		10,000,000		10,680,860
4.500%, 02/15/2016		10,000,000		10,771,880
2.625%, 04/30/2016		1,000,000		1,044,688
3.250%, 07/31/2016		2,000,000		2,124,218
3.000%, 08/31/2016		1,000,000		1,057,031
2.750%, 05/31/2017		5,000,000		5,273,440
4.250%, 11/15/2017		12,000,000		13,294,692
3.500%, 02/15/2018		9,000,000		9,741,798
3.875%, 05/15/2018		2,000,000		2,199,062
3.750%, 11/15/2018		17,000,000		18,636,250
Total U.S. Treasury Obligations
(cost $87,712,347)				92,190,285
	Shares		Value
Short-term Investments (0.71%)
JPMorgan U.S. Government Money
Market Fund		4,751,867	$	4,751,867
Total Short-term Investments
(cost $4,751,867)				4,751,867
TOTAL INVESTMENTS (99.27%)
(cost $660,175,482)				668,309,403
OTHER ASSETS, NET OF LIABILITIES (0.73%)				4,909,172
NET ASSETS (100.00%)			$	673,218,575

(a) Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2014, the value of these securities amounted to $2,081,314 or 0.31% of net assets.

(b) The obligations of these U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury. On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corp. (“Freddie Mac”) into conservatorship. The United States Treasury has put in place a set of financing agreements to help ensure that these entities continue to meet their obligations to holders of bonds they have issued or guaranteed.

56 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (96.51%)
Alabama (2.01%)
City of Trussville, Alabama, General Obligation Warrants, Series 2006-A (Prerefunded to 10-01-2015 @100) (b)		5.000	%		10/01/2022		Aa2	$	1,000,000	$	1,071,590
City of Tuscaloosa, Alabama, General Obligation Warrants, Series 2010-A		4.750	%		07/01/2024		Aa1		1,025,000		1,152,326
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.250	%		02/01/2026		Aa2		500,000		554,460
City of Huntsville, Alabama, General Obligation Warrants, Series 2007-A		4.750	%		05/01/2027		Aaa		2,000,000		2,151,560
City of Florence (Alabama), Water and Sewer Revenue Warrants, Series 2011		5.000	%		08/15/2028		A1		940,000		1,039,866
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.125	%		02/01/2030		Aa2		2,305,000		2,504,083
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.250	%		02/01/2031		Aa2		1,000,000		1,087,250
											9,561,135
Alaska (1.23%)
Municipality of Anchorage, Alaska, Senior Lien Electric Revenue Bonds, 2009 Series A (Tax-Exempt)		4.000	%		12/01/2020		A+		1,000,000		1,053,810
Municipality of Anchorage, Alaska, Senior Lien Electric Revenue Bonds, 2009 Series A (Tax-Exempt)		5.000	%		12/01/2022		A+		2,220,000		2,382,504
Matanuska-Susitna Borough, Alaska, General Obligation School Bonds, 2009 Series A		5.000	%		07/01/2029		Aa2		1,035,000		1,126,328
Matanuska-Susitna Borough, Alaska, General Obligation Transportation System Bonds, 2014 Series A		5.000	%		08/01/2033		AA+		1,200,000		1,313,136
											5,875,778
Arizona (8.70%)
City of Glendale, Arizona, General Obligation Refunding Bonds, Series 2010		5.000	%		07/01/2018		BBB+		1,900,000		2,102,198
Maricopa County, Arizona, Tempe Elementary School District No. 3, School Improvement Bonds, Project of 2005, Series B (2007)		4.500	%		07/01/2021		Aa2		885,000		948,375
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		5.000	%		07/01/2021		Aa2		1,140,000		1,332,671
Tucson Unified School District No. 1 of Pima County, Arizona, School Improvement Bonds, Project of 2004, Series C (2007)		4.500	%		07/01/2021		A+		1,300,000		1,383,837
City of Phoenix, Civic Improvement Corporation, Senior Lien Wastewater System Revenue Refunding Bonds, Series 2008		5.500	%		07/01/2023		Aa2		1,000,000		1,150,960
Scottsdale Unified School District No. 48 of Maricopa County, Arizona, School Improvement Bonds, Project of 2010, Series B (2012)		4.000	%		07/01/2023		AA		1,000,000		1,061,290
Sedona-Oak Creek Joint Unified School District No. 9 of Coconino and Yavapai Counties, Arizona, School Improvement Bonds, Project of 2007, Series B (2009)		5.000	%		07/01/2023		A+		1,460,000		1,582,217
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		5.000	%		07/01/2023		Aa2		800,000		926,184
Pima County, Arizona, Sewer System Revenue Obligations, Series 2012A		5.000	%		07/01/2024		AA-		1,140,000		1,307,181
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		4.000	%		07/01/2024		Aa2		300,000		318,153
Peoria Unified School District No. 11 of Maricopa County, Arizona, Refunding Bonds, Series 2012		4.000	%		07/01/2025		Aa3		1,500,000		1,580,730
Phoenix Union High School District No. 210 of Maricopa County, Arizona, School Improvement Bonds, Project of 2011, Tax-Exempt Series A (2012)		4.000	%		07/01/2025		Aa2		1,100,000		1,163,283
Pima County, Arizona, Sewer System Revenue Obligations, Series 2012A		5.000	%		07/01/2025		AA-		2,000,000		2,282,300
Scottsdale Unified School District No. 48 of Maricopa County, Arizona, School Improvement Bonds, Project of 2010, Series B (2012)		4.250	%		07/01/2025		AA		2,000,000		2,141,420
Phoenix Union High School District No. 210 of Maricopa County, Arizona, School Improvement Bonds, Project of 2011, Tax-Exempt Series A (2012)		4.000	%		07/01/2026		Aa2		500,000		525,800
Pima County, Arizona, General Obligation Bonds, Series 2012A		4.000	%		07/01/2026		AA-		2,015,000		2,096,789
Pima County, Arizona, Sewer System Revenue Obligations, Series 2012A		5.000	%		07/01/2026		AA-		1,725,000		1,940,384
Amphitheater Unified School District No. 10 of Pima County, Arizona, School Improvement Bonds, Project of 2007, Series B (2009) (Bank Qualified)		5.000	%		07/01/2027		A+		2,000,000		2,160,400
City of Phoenix, Arizona, Various Purpose General Obligation Bonds, Series 2012A		4.000	%		07/01/2027		Aa1		2,000,000		2,112,100
Pima County, Arizona, Sewer System Revenue Obligations, Series 2012A		5.000	%		07/01/2027		AA-		1,000,000		1,118,720
Pinal County Community College District of Pinal County, Arizona, General Obligation Bonds, Project of 2008, Series B (2012)		4.500	%		07/01/2027		AA-		2,480,000		2,642,266
Paradise Valley Unified School District No. 69 of Maricopa County, Arizona, School Improvement Bonds, Project of 2011 Series A (2012)		4.000	%		07/01/2028		Aa2		4,165,000		4,337,098

See accompanying notes to schedules of investments. 57

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Arizona (Cont.)
Pima County, Arizona, General Obligation Bonds, Series 2013A		4.000	%		07/01/2028		AA-	$	3,000,000	$	3,139,200
Paradise Valley Unified School District No. 69 of Maricopa County, Arizona, School Improvement Bonds, Project of 2011 Series A (2012)		4.000	%		07/01/2029		Aa2		2,000,000		2,069,540
											41,423,096
Arkansas (1.74%)
Beaver Water District of Benton and Washington Counties, Arkansas, Water Refunding Revenue Bonds, Series 2010		4.000	%		11/15/2021		AA+		1,000,000		1,080,150
Conway School District No. 1 of Faulkner County, Arkansas Refunding Bonds (Prerefunded to 02-01-2015 @ 100) (b)		4.000	%		02/01/2022		NR		1,270,000		1,309,573
Springdale School District No. 50 of Washington County, Arkansas Refunding and Construction Bonds, Series A		4.250	%		06/01/2027		Aa2		1,500,000		1,567,635
Cabot School District No. 4 of Lonoke County, Arkansas, Refunding Bonds		3.500	%		02/01/2028		NR		655,000		659,690
Board of Trustees of the University of Arkansas, Various Facility Revenue Bonds (Fayetteville Campus), Series 2012B		5.000	%		11/01/2029		Aa2		1,935,000		2,157,815
Rogers School District No. 30 of Benton County, Arkansas Refunding Bonds		4.000	%		02/01/2031		NR		1,495,000		1,494,940
											8,269,803
California (2.32%)
Grossmont Healthcare District, San Diego County, California, General Obligation Bonds, 2006 Election, 2007 Series A		5.000	%		07/15/2020		Aa2		900,000		994,734
City of Napa (Napa County California) Water Revenue Bonds, Series 2007 (Water System Improvement Projects)		4.500	%		05/01/2022		AA-		560,000		590,923
Santa Barbara County, California, Santa Barbara Schools Financing Authority, 2007 General Obligation Revenue Bonds, Series B		4.750	%		08/01/2024		Aa3		1,000,000		1,072,380
Desert Water Agency Financing Corporation (Water System Improvement Project) Series 2007		4.750	%		05/01/2025		AA		885,000		937,374
Yosemite Community College District, (Stanislaus, Tuolumne, Calaveras, San Joaquin, Santa Clara and Merced Counties, California), Tax-Exempt General Obligation Bonds, Election of 2004, Series 2005A		5.000	%		08/01/2025		AA-		210,000		222,432
Yosemite Community College District, (Stanislaus, Tuolumne, Calaveras, San Joaquin, Santa Clara and Merced Counties, California), Tax-Exempt General Obligation Bonds, Election of 2004, Series 2005A (Prerefunded to 08-01-2015 @ 100) (b)		5.000	%		08/01/2025		Aa2		985,000		1,048,345
State of California, Various Purpose General Obligation Bonds		5.500	%		03/01/2026		A		1,300,000		1,491,984
Desert Water Agency Financing Corporation (Water System Improvement Project) Series 2007		4.750	%		05/01/2026		AA		930,000		981,764
Marin Community College District, (Marin County, California), Election of 2004 General Obligation Bonds, Series C		4.250	%		08/01/2027		AA		1,440,000		1,561,522
Ventura County Community College District (Ventura County, California) Election of 2002 General Obligation Bonds, Series C		5.500	%		08/01/2029		Aa2		1,000,000		1,115,770
Santa Clara Unified School District, (Santa Clara County, California), General Obligation Bonds, Election of 2004, Series 2008		5.000	%		07/01/2030		AA		1,000,000		1,035,120
											11,052,348
Colorado (1.77%)
City of Colorado Springs, Colorado, Utilities System Subordinate Lien Improvement Revenue Bonds, Series 2005B (Prerefunded to 11-15-2015 @ 100) (b)		4.750	%		11/15/2022		Aa2		250,000		268,350
El Paso County School District No. 20 (Academy), El Paso County, Colorado, General Obligation Refunding Bonds, Series 2012		4.000	%		12/15/2022		Aa2		1,000,000		1,092,710
Cherry Creek School District No. 5, (Arapahoe County, Colorado), General Obligation Bonds, Series 2012B		3.000	%		12/15/2024		AA		1,065,000		1,068,216
El Paso County School District No. 20 (Academy), El Paso County, Colorado, General Obligation Refunding Bonds, Series 2012		4.000	%		12/15/2024		Aa2		1,350,000		1,445,998
Jefferson County School District No. R-1, (in Jefferson and Broomfield Counties, Colorado), General Obligation Refunding Bonds, Series 2012		3.500	%		12/15/2024		AA-		395,000		416,950
Cherry Creek School District No. 5, (Arapahoe County, Colorado), General Obligation Bonds, Series 2009		5.000	%		12/15/2025		AA		1,185,000		1,372,514

58 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Colorado (Cont.)
El Paso County School District No. 20 (Academy), El Paso County, Colorado, General Obligation Refunding Bonds, Series 2012		4.000	%		12/15/2025		Aa2	$	1,385,000	$	1,469,748
City and County of Denver, Colorado, Master Resolution Water Revenue Bonds, Series 2012A		4.000	%		12/15/2026		Aa1		1,230,000		1,289,778
											8,424,264
Connecticut (1.81%)
Town of New Canaan, Connecticut, General Obligation Refunding Bonds, Series C		4.000	%		04/01/2021		Aaa		1,010,000		1,091,568
Town of Darien, Connecticut, General Obligation Refunding Bonds, Issue of 2012, Series B		2.000	%		08/01/2022		Aaa		1,250,000		1,191,362
Town of New Canaan, Connecticut, General Obligation Refunding Bonds, Issue of 2010, Series A		4.000	%		06/15/2023		Aaa		1,230,000		1,301,574
Town of Bethel, Connecticut, General Obligation Bonds, Issue of 2009, Series A		4.000	%		11/15/2026		AA+		950,000		972,990
Town of Bethel, Connecticut, General Obligation Sewer Bonds, Issue of 2009, Series B		4.000	%		11/15/2026		AA+		620,000		635,004
City of Stamford, Connecticut, General Obligation Bonds, Issue of 2013		3.000	%		02/01/2028		Aa1		1,360,000		1,316,426
City of Stamford, Connecticut, General Obligation Bonds, Issue of 2013		3.000	%		02/01/2029		Aa1		2,250,000		2,127,915
											8,636,839
Delaware (1.10%)
The Delaware River and Bay Authority, Revenue Bonds, Refunding Series 2005		5.000	%		01/01/2021		A		1,625,000		1,663,480
New Castle County, Delaware, General Obligation Bonds, Series 2012B		4.000	%		07/15/2026		Aaa		2,045,000		2,197,046
The City of Wilmington, Delaware, General Obligation Bonds, Series of 2008A (Prerefunded to 12-01-2018 @ 100) (b)		5.000	%		12/01/2028		Aa2		1,120,000		1,311,240
The City of Wilmington, Delaware, General Obligation Bonds, Series of 2008A		5.000	%		12/01/2028		AA-		50,000		54,682
											5,226,448
Florida (3.74%)
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2006A		4.200	%		07/01/2021		Aa3		1,500,000		1,603,875
JEA Florida, Electric System Revenue Bonds, Series Three D-1		4.000	%		10/01/2021		AA-		1,000,000		1,036,960
City of Fort Lauderdale, Florida, Water and Sewer Revenue Bonds, Series 2010		4.000	%		03/01/2023		Aa1		765,000		828,373
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2010B		5.000	%		07/01/2024		Aa3		3,130,000		3,577,183
City of Winter Park, Florida, Water and Sewer Refunding and Improvement Revenue Bonds, Series 2009		4.250	%		12/01/2024		AA-		1,000,000		1,047,070
Tohopekaliga Water Authority, Utility System Revenue Refunding Bonds, Series 2011A		5.000	%		10/01/2026		Aa2		400,000		452,192
Coral Springs Improvement District, Subordinate Water and Sewer Revenue Bonds, Series 2007		4.500	%		06/01/2027		NR		1,000,000		1,018,530
City of Tallahassee, Florida, Consolidated Utility Systems Revenue Bonds, Series 2007		5.000	%		10/01/2027		Aa1		1,700,000		1,910,477
State of Florida, State Board of Education, Public Education Capital Outlay Bonds, 2004 Series C		4.750	%		06/01/2029		Aa1		2,000,000		2,081,840
Palm Beach County, Florida, Water and Sewer Revenue Refunding Bonds, Series 2013		5.000	%		10/01/2029		Aaa		1,750,000		2,003,085
Palm Beach County, Florida, Water and Sewer Revenue Refunding Bonds, Series 2013		5.000	%		10/01/2030		Aaa		1,960,000		2,234,831
											17,794,416
Georgia (1.27%)
Upper Oconee Basin Water Authority, Georgia, Revenue Refunding Bonds, Series 2005		5.000	%		07/01/2023		Aa2		1,000,000		1,044,620
Cherokee County Water and Sewerage Authority (Georgia), Water and Sewerage Revenue Bonds, Series 2010		4.000	%		08/01/2023		Aa2		320,000		335,670
Fulton County, Georgia, Water and Sewerage Revenue Refunding Bonds, Series 2011		5.000	%		01/01/2025		Aa3		2,000,000		2,273,900
Spalding County Water and Sewerage Facilities Authority (Georgia), Revenue Bonds, Series 2008		6.125	%		09/01/2028		A1		1,000,000		1,114,180
Fayette County, Georgia, Water Revenue Bonds, Series 2009		4.750	%		10/01/2029		Aa2		1,205,000		1,292,146
											6,060,516
Hawaii (0.47%)
State of Hawaii, Highway Revenue Bonds, Series 2008		6.000	%		01/01/2029		Aa2		2,000,000		2,257,720

See accompanying notes to schedules of investments. 59

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Idaho (1.14%)
School District No. 271 (Coeur d’Alene), Kootenai County, State of Idaho, General Obligation Bonds, Series 2012B		4.000	%		09/15/2022		Aa2	$	2,280,000	$	2,509,824
Independent School District of Boise City, Ada and Boise Counties, Idaho, General Obligation Bonds, Series 2007		4.750	%		08/01/2024		AA		1,430,000		1,539,195
Bonneville County, State of Idaho, School District No. 91 (Idaho Falls), General Obligation Bonds, Series 2012A		5.000	%		09/15/2028		Aa3		1,220,000		1,384,346
											5,433,365
Illinois (1.08%)
The Illinois State Toll Highway Authority, Toll Highway Senior Priority Revenue Bonds, 2005 Series A (Prerefunded to 07-01-2015 @ 100) (b)		4.125	%		01/01/2020		Aa3		4,900,000		5,138,924
Indiana (0.26%)
City of Fort Wayne, Indiana, Sewage Works Revenue Bonds of 2010		4.500	%		08/01/2025		Aa3		1,000,000		1,075,680
Indiana Housing and Community Development Authority, Single Family Mortgage Revenue Bonds, 2008 Series A		6.250	%		07/01/2033		Aaa		145,000		148,113
											1,223,793
Iowa (2.36%)
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000	%		06/01/2021		Aa1		350,000		376,646
Board of Regents, State of Iowa, Academic Building Revenue Bonds, Series S.U.I. 2012 (The State University of Iowa)		3.000	%		07/01/2022		AA		1,510,000		1,578,524
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000	%		06/01/2023		Aa1		1,410,000		1,493,049
City of Des Moines, Iowa, General Obligation Bonds, Series 2008D		4.250	%		06/01/2025		Aa1		1,015,000		1,066,572
Board of Regents, State of Iowa, Academic Building Revenue Bonds, Series S.U.I. 2008 (The State University of Iowa)		4.750	%		07/01/2028		AA		1,785,000		1,921,838
Ankeny Community School District, Polk County, Iowa, General Obligation School Bonds, Series 2009		5.000	%		06/01/2029		Aa3		1,270,000		1,362,278
Des Moines Metropolitan, Wastewater Reclamation Authority, Sewer Revenue Refunding Bonds, Series 2013B		4.000	%		06/01/2030		Aa3		3,400,000		3,463,512
											11,262,419
Kansas (3.42%)
City of Wichita, Kansas, General Obligation Bonds, Series 790 (Prerefunded to 09-01-2014 @ 101) (b)		4.375	%		09/01/2020		Aa1		620,000		636,957
Unified School District No. 512, Johnson County, Kansas, (Shawnee Mission), General Obligation Refunding Bonds, Series 2012-A		2.000	%		10/01/2022		Aaa		4,365,000		4,081,537
Unified School District No. 512, Johnson County, Kansas, (Shawnee Mission), General Obligation School Bonds, Series 2005-C (Prerefunded to 10-01-2014 @ 100) (b)		4.250	%		10/01/2022		Aaa		4,265,000		4,352,475
Unified School District No. 512, Johnson County, Kansas, (Shawnee Mission), General Obligation School Bonds, Series 2005-C (Prerefunded to 10-01-2014 @ 100) (b)		5.000	%		10/01/2025		Aaa		1,000,000		1,024,220
Johnson County, Kansas, Internal Improvement Bonds, Series 2008A		4.750	%		09/01/2027		Aaa		1,840,000		1,996,621
Johnson County, Kansas, Internal Improvement Bonds, Series 2008A		4.750	%		09/01/2028		Aaa		2,460,000		2,660,884
City of Wichita, Kansas, Water and Sewer Utility Revenue Bonds, Series 2009A		5.000	%		10/01/2030		AA-		1,400,000		1,523,102
											16,275,796
Kentucky (1.67%)
Boone-Florence Water Commission (Kentucky), Water Supply System Refunding Revenue Bonds, Series 2010		3.250	%		12/01/2019		Aa3		210,000		228,917
Northern Kentucky University, General Receipts Bonds, 2007 Series A		4.300	%		09/01/2025		A1		2,700,000		2,769,687
Louisville/Jefferson County Metro Government, General Obligation Bonds, Series 2006A		4.250	%		11/01/2025		Aa1		1,000,000		1,059,870
Northern Kentucky University, General Receipts Bonds, 2007 Series A		4.300	%		09/01/2026		A1		2,545,000		2,599,183
Northern Kentucky Water District Revenue Bonds, 2013 Series A		4.125	%		02/01/2031		Aa3		1,255,000		1,274,879
											7,932,536

60 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Louisiana (0.05%)
Parish-Wide School District of Ascension Parish, Louisiana, General Obligation School Bonds, Series 2013		3.000	%		03/01/2025		AA-	$	260,000	$	261,820
Maine (0.19%)
Town of Gorham, Maine, 2012 General Obligation Refunding Bonds		4.000	%		11/01/2022		Aa2		815,000		898,912
Maryland (1.24%)
Howard County, Maryland, Consolidated Public Improvement Bonds, 2012 Series A		4.000	%		02/15/2023		Aaa		1,845,000		2,003,504
Washington Suburban Sanitary District, Maryland, Water Supply Bonds of 2005 (Prerefunded to 06-01-2015 @ 100) (b)		5.000	%		06/01/2023		Aaa		1,000,000		1,056,240
Howard County, Maryland, Metropolitan District Bonds, 2012 Series A		4.000	%		02/15/2032		Aaa		2,790,000		2,861,815
											5,921,559
Massachusetts (0.94%)
Town of Carlisle, Massachusetts, General Obligation Municipal Purpose Loan of 2012 Bonds, Unlimited Tax		3.000	%		11/15/2025		Aa1		465,000		463,633
Town of Carlisle, Massachusetts, General Obligation Municipal Purpose Loan of 2012 Bonds, Unlimited Tax		3.000	%		11/15/2026		Aa1		465,000		455,872
Town of Carlisle, Massachusetts, General Obligation Municipal Purpose Loan of 2012 Bonds, Unlimited Tax		3.000	%		11/15/2027		Aa1		290,000		275,897
The Commonwealth of Massachusetts, General Obligation Bonds, Consolidated Loan of 2014, Series A		5.000	%		12/01/2034		Aa1		1,000,000		1,107,780
The Commonwealth of Massachusetts, Commonwealth Transportation Fund Revenue Bonds, (Accelerated Bridge Program), 2013 Series A		5.000	%		06/01/2035		Aaa		2,000,000		2,191,140
											4,494,322
Michigan (4.50%)
Traverse City Area Public Schools, Counties of Grand Traverse, Leelanau and Benzie, State of Michigan, 2010 School Building and Site Bonds (General Obligation - Unlimited Tax)		3.500	%		05/01/2020		AA		1,000,000		1,068,280
City of Petoskey, County of Emmet, State of Michigan, Water Supply and Sewage Disposal System Revenue and Revenue Refunding Bonds, Series 2011		5.000	%		02/01/2023		AA-		720,000		780,955
City of Petoskey, County of Emmet, State of Michigan, Water Supply and Sewage Disposal System Revenue and Revenue Refunding Bonds, Series 2011		5.000	%		02/01/2024		AA-		225,000		242,777
East Grand Rapids Public Schools, County of Kent, State of Michigan, 2012 Refunding Bonds, (General Obligation - Unlimited Tax)		4.000	%		05/01/2024		AA		1,625,000		1,702,659
Forest Hills Public Schools County of Kent, State of Michigan, 2007 School Building and Site Bonds (General Obligation - Unlimited Tax)		4.750	%		05/01/2024		AA		1,000,000		1,068,070
Howell Public Schools, County of Livingston, State of Michigan, 2012 Refunding Bonds, (General Obligation - Unlimited Tax)		4.250	%		05/01/2025		A+		2,760,000		2,962,750
East Grand Rapids Public Schools, County of Kent, State of Michigan, 2012 Refunding Bonds, (General Obligation - Unlimited Tax)		4.000	%		05/01/2027		AA		1,600,000		1,637,248
Plymouth-Canton Community Schools, Counties of Wayne and Washtenaw, State of Michigan, 2012 Refunding Bonds, Series A, (General Obligation - Unlimited Tax)		4.000	%		05/01/2027		Aa2		4,240,000		4,307,246
Birmingham Public Schools, County of Oakland, State of Michigan, 2013 Refunding Bonds, (General Obligation - Unlimited Tax)		4.000	%		05/01/2029		AA+		3,545,000		3,738,202
Plymouth-Canton Community Schools, Counties of Wayne and Washtenaw, State of Michigan, 2013 School Building and Site Bonds, Series A, (General Obligation - Unlimited Tax)		4.000	%		05/01/2032		A+		2,900,000		2,939,643
Plymouth-Canton Community Schools, Counties of Wayne and Washtenaw, State of Michigan, 2013 School Building and Site Bonds, Series A, (General Obligation - Unlimited Tax)		4.000	%		05/01/2033		A+		1,000,000		1,008,320
											21,456,150
Minnesota (0.92%)
State of Minnesota, General Obligation State Various Purpose Bonds, Series 2009H		4.500	%		11/01/2024		Aa1		1,000,000		1,121,210
City of Rochester, Minnesota, General Obligation Waste Water Revenue Refunding Bonds, Series 2012A		4.000	%		02/01/2026		Aaa		2,500,000		2,704,000

See accompanying notes to schedules of investments. 61

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Minnesota (Cont.)
Independent School District No. 276, Minnetonka, Minnesota, General Obligation Refunding Bonds, Series 2013H		4.000	%		02/01/2026		Aaa	$	500,000	$	535,700
											4,360,910
Mississippi (0.82%)
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		5.000	%		03/01/2020		AA-		1,000,000		1,145,430
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		5.000	%		03/01/2021		AA-		1,000,000		1,134,800
Madison County School District, Madison County, Mississippi, General Obligation Refunding Bonds, Series 2012		4.000	%		04/15/2023		AA-		1,480,000		1,628,207
											3,908,437
Missouri (1.96%)
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B		5.625	%		07/01/2016		Aaa		500,000		501,745
Parkway C-2 School District, St. Louis County, Missouri, General Obligation Refundingand Improvement Bonds, Series 2009		4.625	%		03/01/2025		AAA		1,000,000		1,075,090
School District of the City of Ladue, St. Louis County, Missouri, General Obligation Refunding and Improvement Bonds, Series 2007		5.000	%		03/01/2025		AAA		1,000,000		1,095,120
The School District of Columbia, Boone County, State of Missouri, General Obligation Refunding and Improvement Bonds, Series 2012		4.000	%		03/01/2026		Aa1		2,490,000		2,667,761
Joplin Schools, Joplin, Missouri, General Obligation School Building Bonds, (Missouri Direct Deposit Program), Series 2012		4.000	%		03/01/2028		A+		2,750,000		2,859,670
The School District of Springfield R-XII, Springfield, Missouri, General Obligation School Building Bonds, (Missouri Direct Deposit Program), Series 2013		5.000	%		03/01/2032		AA		1,000,000		1,117,200
											9,316,586
Montana (0.52%)
State of Montana, General Obligation Bonds, (Drinking Water State Revolving Fund Program), Series 2005F		4.750	%		07/15/2018		AA		315,000		329,937
School District No. 7 (Bozeman), Gallatin County, Montana, General Obligation School Building Bonds, Series 2013		3.000	%		06/01/2022		Aa3		200,000		204,216
School District No. 7 (Bozeman), Gallatin County, Montana, General Obligation School Building Bonds, Series 2013		4.000	%		06/01/2023		Aa3		380,000		413,052
City of Billings, Montana, General Obligation Bonds, Series 2012		4.000	%		07/01/2026		Aa2		265,000		281,891
City of Billings, Montana, General Obligation Bonds, Series 2012		4.000	%		07/01/2027		Aa2		525,000		554,584
City of Billings, Montana, General Obligation Bonds, Series 2012		4.000	%		07/01/2028		Aa2		655,000		687,540
											2,471,220
Nebraska (1.45%)
Douglas County School District 0010, (Elkhorn Public Schools), General Obligation Refunding Bonds, Series 2011		4.000	%		12/15/2021		AA-		1,140,000		1,242,372
Douglas County School District 0010, (Elkhorn Public Schools), General Obligation Refunding Bonds, Series 2011		5.000	%		12/15/2027		AA-		1,850,000		2,034,482
Omaha Public Power District (Nebraska) Electric System Revenue Bonds, 2008 Series A		5.500	%		02/01/2028		Aa2		1,500,000		1,663,815
Douglas County School District 0010, (Elkhorn Public Schools), General Obligation Bonds, Series 2012B		4.000	%		01/15/2030		AA-		1,930,000		1,964,836
											6,905,505
New Hampshire (0.11%)
New Hampshire Municipal Bond Bank, 2007 Series B Bonds		4.750	%		08/15/2024		A1		500,000		530,770
New Jersey (4.18%)
Passaic Valley Sewer Commissioners, State of New Jersey, Sewer System Bonds, Series F		5.000	%		12/01/2018		A2		1,300,000		1,303,367
The Board of Education of the Township of South Brunswick in the County of Middlesex, New Jersey, Refunding School Bonds		3.000	%		12/01/2021		AA+		580,000		598,050

62 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
New Jersey (Cont.)
Middlesex County Improvement Authority, (County of Middlesex, State of New Jersey), County-Guaranteed Open Space Trust Fund Revenue Bonds, Series 2009A		4.000	%		12/15/2021		Aa2	$	1,205,000	$	1,287,205
The Board of Education of the Township of South Brunswick in the County of Middlesex, New Jersey, Refunding School Bonds		4.000	%		12/01/2023		AA+		175,000		188,895
The County of Morris, New Jersey, General Obligation Bonds, Series 2012 B		2.000	%		12/15/2023		Aaa		315,000		303,376
The Board of Education of the Borough of Haddon Heights in the County of Camden, New Jersey, Refunding School Bonds		3.000	%		01/01/2024		AA-		715,000		729,350
The Board of Education of the Warren Hills Regional School District in the County of Warren, New Jersey, Refunding School Bonds, Series 2012		4.000	%		02/15/2024		AA		1,390,000		1,470,717
Township of Parsippany-Troy Hills, In the County of Morris, New Jersey, General Obligation Refunding Bonds, Series 2012		4.000	%		07/15/2024		AA		370,000		393,869
The Board of Education of the Township of North Brunswick in the County of Middlesex, New Jersey, Refunding School Bonds		4.250	%		01/15/2025		AA		2,200,000		2,350,128
Township of Parsippany-Troy Hills, In the County of Morris, New Jersey, General Obligation Refunding Bonds, Series 2012		4.000	%		07/15/2025		AA		1,390,000		1,465,116
The Board of Education of the Warren Hills Regional School District in the County of Warren, New Jersey, Refunding School Bonds, Series 2012		4.000	%		02/15/2026		AA		1,485,000		1,548,083
The Board of Education of the Township of Bernards in the County of Somerset, New Jersey, Refunding School Bonds, Series 2013		4.000	%		07/15/2026		AA+		850,000		909,143
Refunding School Bonds, Series 2012 B, The Board of Education of the Borough of Madison, in the County of Morris, New Jersey		4.000	%		12/15/2026		AA		1,440,000		1,507,853
The Board of Education of the Somerset Hills School District in the County of Somerset, New Jersey, Refunding School Bonds, Series 2012		4.000	%		03/15/2027		Aa1		1,110,000		1,168,697
The Board of Education of the Township of Wyckoff in the County of Bergen, New Jersey, Refunding School Bonds		4.000	%		04/01/2027		AA+		1,415,000		1,492,669
The Board of Education of the Township of Bernards in the County of Somerset, New Jersey, Refunding School Bonds, Series 2013		4.000	%		07/15/2027		AA+		630,000		668,619
Refunding School Bonds, Series 2012 B, The Board of Education of the Borough of Madison, in the County of Morris, New Jersey		4.000	%		12/15/2027		AA		1,495,000		1,559,719
The Board of Education of the Somerset Hills School District in the County of Somerset, New Jersey, Refunding School Bonds, Series 2012		4.000	%		03/15/2028		Aa1		920,000		962,072
											19,906,928
New Mexico (1.87%)
Santa Fe Public School District, Santa Fe County, New Mexico, General Obligation Bonds, Series 2012		3.000	%		08/01/2022		AA		1,750,000		1,781,010
Las Cruces School District No. 2, General Obligation School Building Bonds, Series 2011A		4.000	%		08/01/2023		Aa2		1,700,000		1,812,404
Albuquerque Bernalillo County Water Utility Authority, Joint Water and Sewer System Improvement Revenue Bonds, Series 2005		4.400	%		07/01/2024		Aa2		1,000,000		1,029,331
City of Albuquerque, New Mexico, General Obligation General Purpose Bonds, Series 2012A		4.000	%		07/01/2024		Aa1		2,500,000		2,666,250
City of Santa Fe, New Mexico, Water Utility System / Capital Outlay Gross Receipts Tax Revenue Bonds, Series 2009A (Tax-Exempt)		5.000	%		06/01/2025		AA+		470,000		511,102
Albuquerque Bernalillo County Water Utility Authority, Joint Water and Sewer System Improvement Revenue Bonds, Series 2008A		5.000	%		07/01/2030		Aa2		1,000,000		1,105,140
											8,905,237
New York (2.78%)
New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2005B		5.000	%		04/01/2021		AA		865,000		921,805
New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2005B (Prerefunded to 10-01-2015 @ 100) (b)		5.000	%		04/01/2021		NR		135,000		144,623
County of Saratoga, New York, Public Improvement (Serial) Bonds, Series 2010B		4.000	%		07/15/2021		AA		430,000		448,400
County of Suffolk, New York, Public Improvement Serial Bonds - 2009 Series C		4.000	%		10/15/2021		A3		1,000,000		1,048,550
East Hampton Union Free School District, Suffolk County, New York, School District Serial Bonds - 2009		4.000	%		06/15/2022		Aa1		1,285,000		1,368,062
Miller Place Union Free School District in the Town of Brookhaven, Suffolk County, New York, School District Serial Bonds - 2010		4.000	%		02/15/2025		Aa2		685,000		715,421

See accompanying notes to schedules of investments. 63

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
New York (Cont.)
County of Saratoga, New York, Public Improvement (Serial) Bonds, Series 2010B		4.000	%		07/15/2025		AA	$	510,000	$	522,439
County of Suffolk, New York, Public Improvement Serial Bonds - 2008 Series B		5.000	%		11/01/2027		A3		1,000,000		1,064,220
The Port Authority of New York and New Jersey Consolidated Bonds, One Hundred Fifty-Third Series		4.750	%		07/15/2030		Aa3		1,000,000		1,078,160
County of Saratoga, New York, General Obligations, Public Improvement (Serial) Bonds, Series 2009A		4.750	%		07/15/2031		Aa2		950,000		1,019,084
County of Saratoga, New York, General Obligations, Public Improvement (Serial) Bonds, Series 2009A		4.750	%		07/15/2032		Aa2		995,000		1,064,043
The Port Authority of New York and New Jersey Consolidated Bonds, One Hundred Seventy-Ninth Series		5.000	%		12/01/2032		Aa3		1,000,000		1,116,800
New York City, Municipal Water Finance Authority, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2014 Series DD		5.000	%		06/15/2035		Aa2		2,500,000		2,733,875
											13,245,482
North Carolina (3.44%)
County of Orange, North Carolina, General Obligation Refunding Bonds, Series 2011		3.000	%		02/01/2020		Aa1		500,000		531,620
City of Fayetteville, North Carolina, Public Works Commission, Revenue Refunding Bonds, Series 2009A		5.000	%		03/01/2024		Aa2		1,355,000		1,546,949
County of Wake, North Carolina, General Obligation Public Improvement Bonds, Series 2011		4.000	%		04/01/2024		Aaa		2,000,000		2,171,340
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2009B		4.000	%		06/01/2024		Aaa		1,265,000		1,363,303
State of North Carolina, General Obligation Public Improvement Bonds, Series 2010A		4.000	%		05/01/2026		Aaa		1,000,000		1,089,970
City of Charlotte, North Carolina, Water and Sewer System Revenue Bonds, Series 2009B		4.250	%		07/01/2026		Aaa		1,500,000		1,633,635
City of Asheville, North Carolina, Water System Revenue Bonds, Series 2007		4.750	%		08/01/2026		Aa2		195,000		206,230
City of Raleigh, North Carolina, General Obligation Public Improvement Bonds, Series 2012B		4.000	%		04/01/2027		Aaa		4,000,000		4,267,800
City of Charlotte, North Carolina, Water and Sewer System Revenue Bonds, Series 2009B		5.000	%		07/01/2027		Aaa		1,500,000		1,707,135
City of Asheville, North Carolina, Water System Revenue Bonds, Series 2007		4.750	%		08/01/2027		Aa2		300,000		316,302
City of Durham, North Carolina, General Obligation Bonds, Series 2012A		3.000	%		07/01/2028		Aaa		455,000		451,333
City of Charlotte, North Carolina, Water and Sewer System Revenue Bonds, Series 2008		5.000	%		07/01/2038		Aaa		1,000,000		1,079,100
											16,364,717
North Dakota (0.28%)
West Fargo Public School District No. 6, Cass County, North Dakota, General Obligation School Building Bonds, Series 2011		4.000	%		05/01/2026		Aa3		1,300,000		1,358,669
Ohio (3.84%)
Board of Education Indian Hill Exempted Village School District, County of Hamilton, Ohio, School Improvement Refunding Bonds, Series 2006		4.375	%		12/01/2022		Aaa		750,000		793,515
Board of Education, City School District of the City of Cincinnati, County of Hamilton, Ohio, Classroom Facilities Construction and Improvement Refunding Bonds, Series 2006 (Voted General Obligation Unlimited Tax)		5.250	%		12/01/2022		AA-		1,000,000		1,189,770
Columbus City School District, Franklin County, Ohio, School Facilities Construction and Improvement Bonds, Series 2009-B (General Obligation - Unlimited Tax)		5.000	%		12/01/2023		Aa2		1,000,000		1,180,920
State of Ohio, Common Schools General Obligation Bonds, Series 2006D		4.300	%		09/15/2025		Aa1		2,500,000		2,606,975
South-Western City School District, Franklin and Pickaway Counties, Ohio, School Facilities Construction and Improvement Bonds, Series 2012 (General Obligation - Unlimited Tax)		4.000	%		12/01/2025		AA-		1,315,000		1,394,847
Miami University, (A State University of Ohio), General Receipts Revenue and Refunding Bonds, Series 2011		5.000	%		09/01/2026		Aa3		1,000,000		1,119,300
City of Columbus, Ohio, General Obligation Bonds, Various Purpose Unlimited Tax Bonds, Series 2012A		4.000	%		02/15/2027		Aaa		1,500,000		1,584,045
Plain Local School District (Stark County), Ohio, General Obligation (Unlimited Tax), School Improvement Refunding Bonds, Series 2011A		4.500	%		11/01/2027		AA-		2,000,000		2,114,320
City of Cincinnati, Ohio, Water System Revenue Bonds, Series 2012A		4.000	%		12/01/2028		Aaa		2,520,000		2,605,655
Olentangy Local School District, Delaware and Franklin Counties, Ohio, Refunding Bonds, Series 2013B, (Tax-Exempt), (General Obligation-Unlimited Tax)		4.000	%		12/01/2028		Aa1		1,870,000		1,954,935

64 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Ohio (Cont.)
Olentangy Local School District, Delaware and Franklin Counties, Ohio, Refunding Bonds, Series 2013B, (Tax-Exempt), (General Obligation-Unlimited Tax)		4.000	%		12/01/2029		Aa1	$	1,680,000	$	1,744,781
											18,289,063
Oklahoma (1.34%)
City of Tulsa, Oklahoma, General Obligation Bonds, Series 2013		4.000	%		03/01/2023		AA		2,500,000		2,703,400
Oklahoma Turnpike Authority, Oklahoma Turnpike System, Second Senior Revenue Bonds, Series 2011B		5.000	%		01/01/2026		Aa3		1,000,000		1,120,600
City of Tulsa, Oklahoma, General Obligation Bonds, Series 2008		4.750	%		05/01/2026		AA		1,165,000		1,248,006
City of Oklahoma City, Oklahoma, General Obligation Bonds, Series 2008		5.000	%		03/01/2027		Aaa		400,000		435,940
Oklahoma Turnpike Authority, Oklahoma Turnpike System, Second Senior Revenue Bonds, Series 2011B		5.000	%		01/01/2028		Aa3		770,000		857,888
											6,365,834
Oregon (2.50%)
City of Portland, Oregon, First Lien Water System Revenue and Refunding Bonds, 2010 Series A (Tax Exempt)		4.000	%		05/01/2021		Aaa		1,070,000		1,166,268
City of Portland, Oregon, Second Lien Sewer System Revenue and Refunding Bonds, 2008 Series B		5.000	%		06/15/2022		Aa3		1,825,000		2,069,678
City of Portland, Oregon, Second Lien Sewer System Revenue and Refunding Bonds, 2008 Series B		5.000	%		06/15/2023		Aa3		1,375,000		1,556,349
City of Portland, Oregon, First Lien Water System Revenue Bonds, 2011 Series A		4.000	%		05/01/2024		Aaa		1,500,000		1,603,875
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2007 Series F (Tax Exempt)		4.625	%		08/01/2024		Aa1		570,000		614,107
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2007 Refunding Series G (Tax Exempt)		4.625	%		08/01/2024		Aa1		330,000		355,535
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2009 Series A (Prerefunded to 08-01-2018 @ 100) (b)		5.750	%		08/01/2024		Aa1		575,000		687,959
Oregon Trail School District No. 46, Clackamas County, Oregon, General Obligation Bonds, Series 2009		5.000	%		06/15/2029		A+		1,000,000		1,090,050
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2009 Series A (Prerefunded to 08-01-2018 @ 100) (b)		5.750	%		08/01/2029		Aa1		940,000		1,124,663
State of Oregon, General Obligation Bonds, 2012 Series I, (ODOT Project - Tax-Exempt)		5.000	%		05/01/2037		Aa1		1,500,000		1,646,025
											11,914,509
Pennsylvania (2.83%)
County of Berks, Pennsylvania, General Obligation Bonds, Series of 2013		5.000	%		11/15/2025		Aa1		860,000		981,896
Township of Cranberry, Butler County, Pennsylvania, General Obligation Bonds, Series of 2011		4.500	%		03/01/2026		Aa2		2,575,000		2,754,632
County of Chester, Commonwealth of Pennsylvania, General Obligation Bonds, Series of 2011		4.000	%		11/15/2026		Aaa		1,465,000		1,568,180
County of Berks, Pennsylvania, General Obligation Bonds, Series of 2013		5.000	%		11/15/2027		Aa1		950,000		1,070,517
County of Berks, Pennsylvania, General Obligation Bonds, Series of 2013		5.000	%		11/15/2028		Aa1		995,000		1,114,221
Township of Hampden, (Cumberland County, Pennsylvania), General Obligation Bonds, Series of 2012		5.000	%		05/15/2029		AA		1,180,000		1,318,390
County of Northampton, Commonwealth of Pennsylvania, General Obligation Bonds, Series B of 2012 (Tax-Exempt)		5.000	%		10/01/2030		AA		1,500,000		1,672,260
Township of Hampden, (Cumberland County, Pennsylvania), General Obligation Bonds, Series of 2012		5.000	%		05/15/2031		AA		1,055,000		1,166,070
Township of Hampden, (Cumberland County, Pennsylvania), General Obligation Bonds, Series of 2012		5.000	%		05/15/2032		AA		1,660,000		1,827,494
											13,473,660
Rhode Island (0.79%)
State of Rhode Island and Providence Plantations, General Obligation Bonds, Consolidated Capital Development Loan of 2007, Series A		4.750	%		08/01/2024		Aa2		1,000,000		1,083,380
Town of Westerly, Rhode Island, General Obligation Refunding Bonds, 2012 Series B		4.000	%		08/15/2024		Aa2		2,050,000		2,143,418

See accompanying notes to schedules of investments. 65

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Rhode Island (Cont.)
Rhode Island Clean Water Finance Agency, Water Pollution Control Revolving Fund Revenue Bonds, Series 2007 A (Pooled Loan Issue)		4.750	%		10/01/2025		Aaa	$	500,000	$	545,830
											3,772,628
South Carolina (5.03%)
Renewable Water Resources, South Carolina, Sewer System Refunding Revenue Bonds, Series 2012		5.000	%		01/01/2024		Aa3		2,500,000		2,856,125
School District of Beaufort County, South Carolina, General Obligation Refunding Bonds, Series 2012B		4.000	%		03/01/2024		AA		1,800,000		1,944,324
City of Columbia, South Carolina, Waterworks and Sewer System Revenue Bonds, Series 2010		4.500	%		02/01/2025		AA		1,020,000		1,121,245
School District No. 1 of Richland County, South Carolina, General Obligation Bonds, Series 2006B		4.450	%		03/01/2025		Aa2		1,500,000		1,593,330
Fort Mill School District No. 4 of York County, South Carolina, General Obligation Advanced Refunding Bonds, Series 2012A		4.000	%		03/01/2026		AA-		2,620,000		2,825,565
South Carolina Public Service Authority, Revenue Obligations, Series 2008, Tax-Exempt Series A		5.375	%		01/01/2028		A1		3,500,000		3,907,540
Fort Mill School District No. 4 of York County, South Carolina, General Obligation Advanced Refunding Bonds, Series 2012A		4.000	%		03/01/2028		AA-		2,850,000		3,034,224
Fort Mill School District No. 4 of York County, South Carolina, General Obligation Bonds, Series 2013A		4.000	%		03/01/2028		AA-		1,525,000		1,628,670
City of Columbia, South Carolina, Waterworks and Sewer System Refunding Revenue Bonds, Series 2012		5.000	%		02/01/2030		AA		1,000,000		1,124,460
Spartanburg Sanitary Sewer District, South Carolina, Sewer System Refunding Convertible Bonds, Series 2013B		5.000	%		03/01/2032		A1		3,585,000		3,913,171
											23,948,654
South Dakota (0.12%)
Harrisburg School District No. 41-2, Lincoln County, South Dakota, General Obligation Refunding Bonds, Series 2012		2.375	%		01/15/2021		AA-		560,000		561,327
Tennessee (3.36%)
City of Knoxville, Tennessee, Water System Revenue Bonds, Series U-2009		4.000	%		03/01/2022		Aa2		175,000		188,232
Wilson County, Tennessee, General Obligation Refunding Bonds, Series 2012		5.000	%		04/01/2023		AA		2,000,000		2,314,760
Tennessee State School Bond Authority, Higher Educational Facilities, Second Program Bonds, 2008 Series B		4.750	%		05/01/2023		AA		1,000,000		1,105,090
The Hallsdale-Powell Utility District of Knox County, Tennessee, Waterworks and Sewer Revenue Refunding Bonds, Series 2013		3.000	%		04/01/2025		AA		1,785,000		1,766,829
The Metropolitan Government of Nashville and Davidson County (Tennessee), General Obligation Refunding Bonds, Series 2012		4.000	%		07/01/2025		AA		1,000,000		1,078,590
State of Tennessee, General Obligation Bonds, 2012 Refunding Series A		4.000	%		08/01/2025		AA+		5,000,000		5,446,650
State of Tennessee, General Obligation Bonds, 2007 Series A (Prerefunded to 10-01-2015 @ 100) (b)		4.500	%		10/01/2025		AA+		425,000		452,587
City of Chattanooga, Tennessee, General Obligation Refunding Bonds, Series 2007A		4.750	%		03/01/2026		AAA		2,250,000		2,371,140
The Metropolitan Government of Nashville and Davidson County (Tennessee), Electric System Revenue Bonds, 2008 Series A		4.750	%		05/15/2026		AA+		1,175,000		1,275,862
											15,999,740
Texas (2.59%)
City of Austin, Texas, (Travis and Williamson Counties), Water and Wastewater System Revenue Refunding Bonds, Series 2009A		5.000	%		11/15/2026		Aa2		2,000,000		2,222,760
Trinity River Authority of Texas, (Tarrant County Water Project) Improvement Revenue Bonds, Series 2008		5.750	%		02/01/2027		Aa3		1,500,000		1,687,350
Carrollton-Farmers Branch Independent School District (Dallas and Denton Counties, Texas), Unlimited Tax School Building and Refunding Bonds, Series 2012		4.000	%		02/15/2028		AA		2,000,000		2,059,840
New Braunfels Independent School District, (A political subdivision of the State of Texaslocated in Comal and Guadalupe Counties, Texas), Unlimited Tax School Building Bonds, Series 2008		5.000	%		02/01/2029		AA		900,000		952,677

66 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
Texas (Cont.)
Lake Travis Independent School District, Unlimited Tax School Building Bonds, Series 2012		5.000	%		02/15/2029		AA+	$	2,365,000	$	2,639,364
Carrollton-Farmers Branch Independent School District (Dallas and Denton Counties, Texas), Unlimited Tax School Building Bonds, Series 2013A		4.000	%		02/15/2030		AA		1,000,000		1,032,400
Lake Travis Independent School District, Unlimited Tax School Building Bonds, Series 2012		5.000	%		02/15/2031		AA+		1,565,000		1,737,369
											12,331,760
Utah (0.73%)
West Jordan Utah, General Obligation Bonds (Prerefunded to 04-01-2014 @ 100) (b)		5.250	%		04/01/2022		NR		680,000		680,000
Board of Education of Canyons School District, Utah, General Obligation Bonds, (Utah School Bond Guaranty Program), Series 2011		4.000	%		06/15/2023		Aaa		1,000,000		1,091,360
Board of Education of Alpine School District, Utah County, Utah, General Obligation School Building and Refunding Bonds, (Utah School Bond Guaranty Program), Series 2012B		3.000	%		03/15/2024		Aa1		500,000		508,510
Weber Basin Water Conservancy District, Water Revenue Bonds, Series 2013B		4.250	%		04/01/2033		AA+		1,195,000		1,205,683
											3,485,553
Virginia (3.77%)
Fairfax County Water Authority, Water Refunding Revenue Bonds, Series 1997		5.000	%		04/01/2021		Aaa		900,000		1,035,720
City of Salem, Virginia General Obligation Public Improvement Refunding Bonds Series 2007A		4.500	%		01/01/2023		Aa3		520,000		546,978
General Obligation Public Improvement and Refunding Bonds, Series 2007 of the City of Hampton, Virginia		4.375	%		01/15/2023		Aa1		1,550,000		1,655,400
Virginia Public School Authority, Special Obligation School Financing Bonds, Prince William County Series 2012		4.500	%		07/15/2024		Aaa		3,285,000		3,657,388
Virginia Public School Authority, School Financing Bonds (1997 Resolution), Series 2006 A		4.500	%		08/01/2024		Aa1		1,000,000		1,055,390
Loudoun County, Virginia, General Obligation Public Improvement Bonds, Series 2011A		4.000	%		12/01/2026		Aaa		1,395,000		1,480,346
City of Norfolk, Virginia, Water Revenue Bonds, Series 2013		5.000	%		11/01/2029		Aa2		1,790,000		1,996,172
City of Norfolk, Virginia, Water Revenue Bonds, Series 2013		5.000	%		11/01/2030		Aa2		1,880,000		2,086,480
City of Norfolk, Virginia, Water Revenue Bonds, Series 2013		5.000	%		11/01/2031		Aa2		1,975,000		2,180,084
City of Norfolk, Virginia, Water Revenue Bonds, Series 2013		5.000	%		11/01/2032		Aa2		2,075,000		2,280,861
											17,974,819
Washington (3.70%)
Bethel School District No. 403, Pierce County, Washington, Unlimited Tax General Obligation Bonds, 2006		5.000	%		12/01/2020		Aa2		1,420,000		1,512,115
Bellevue School District No. 405, King County, Washington, Unlimited Tax General Obligation Refunding Bonds, 2012B		3.000	%		12/01/2023		AA+		5,000,000		5,076,300
Lake Washington School District No. 414, King County, Washington, Unlimited Tax General Obligation Bonds, 2008		5.000	%		12/01/2025		AA		2,000,000		2,218,640
Bellevue School District No. 405, King County, Washington, Unlimited Tax General Obligation Bonds, 2008		4.750	%		12/01/2026		AA+		2,500,000		2,707,525
Public Utility District No. 1 of Clark County, Washington, Water System Revenue Bonds, Series 2008		5.000	%		01/01/2028		AA-		680,000		727,627
College Place School District No. 250, Walla Walla County, Washington, Unlimited Tax General Obligation Bonds, Series 2012		4.250	%		12/01/2028		A1		2,445,000		2,526,687
Public Utility District No. 1 of Clark County, Washington, Water System Revenue Bonds, Series 2008		5.125	%		01/01/2029		AA-		445,000		476,715
Public Utility District No. 1 of Douglas County, Washington, Wells Hydroelectric Revenueand Refunding Bonds, Series 2005B (Non-AMT)		5.000	%		09/01/2030		Aa3		900,000		939,420
Public Utility District No. 1 of Douglas County, Washington, Electric Distribution System Revenue and Refunding Bonds, Series 2012		5.000	%		12/01/2030		Aa3		1,325,000		1,462,959
											17,647,988

See accompanying notes to schedules of investments. 67

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Coupon rate			Maturity date		Rating (a)		Principal amount		Value
Long-term Municipal Bonds (Cont.)
West Virginia (3.26%)
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		5.000	%		10/01/2022		A+	$	2,200,000	$	2,565,574
The Board of Education of the County of Manongalia (West Virginia), Public School Refunding Bonds, Series 2012		4.250	%		05/01/2027		AA		2,260,000		2,363,734
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		4.750	%		10/01/2027		A+		2,240,000		2,471,302
The Board of Education of the County of Manongalia (West Virginia), Public School Refunding Bonds, Series 2012		4.375	%		05/01/2028		AA		2,350,000		2,461,508
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		4.750	%		10/01/2028		A+		2,595,000		2,844,821
The Board of Education of the County of Manongalia (West Virginia), Public School Refunding Bonds, Series 2012		5.000	%		05/01/2030		AA		2,555,000		2,803,729
											15,510,668
Wisconsin (1.31%)
Fox Valley Technical College District, Wisconsin, General Obligation School Facilities Bonds, Series 2012C		3.000	%		12/01/2023		Aaa		2,700,000		2,747,466
School District of Elbrook, Waukesha County, Wisconsin, General Obligation School Building and Improvement Bonds (Prerefunded to 04-01-2018 @ 100) (b)		5.000	%		04/01/2028		Aaa		850,000		984,980
City of Oshkosh, Wisconsin, Storm Water Utility Revenue Bonds, Series 2013A		4.000	%		05/01/2029		Aa3		2,495,000		2,525,289
											6,257,735
Total Long-term Municipal Bonds
(cost $455,368,065)											459,690,358

	Shares		Value
Short-term Investments (2.98%)
JPMorgan Tax Free Money Market Fund		14,213,557	$	14,213,557
Total Short-term Investments
(cost $14,213,557)				14,213,557
TOTAL INVESTMENTS (99.49%)
(cost $469,581,622)				473,903,915
OTHER ASSETS, NET OF LIABILITIES (0.51%)				2,430,017
NET ASSETS (100.00%)			$	476,333,932

(a) Ratings are not audited and represent the lower of Moody’s or S&P issuer specific ratings.

(b) Advanced Refunded Bonds are backed by an escrow or trust containing U.S. Government, U.S. Government Agency or other securities to support the timely payment of principal and interest.

NR – Not Rated

68 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS

March 31, 2014

(Unaudited)

	Principal
	amount		Value
Short-term Investments (99.26%)
Agriculture, Foods, & Beverage (10.69%)
Coca-Cola Co. (a)
0.080%, 05/15/2014	$	12,696,000	$	12,694,759
0.090%, 06/12/2014		3,000,000		2,999,460
Nestle Capital Corp. (a)
0.060%, 04/03/2014		4,000,000		3,999,987
Nestle Finance International Ltd.
0.080%, 04/22/2014		1,565,000		1,564,927
Pepsico Inc. (a)
0.060%, 05/28/2014		11,000,000		10,998,955
				32,258,088
Automotive (15.65%)
American Honda Finance Corp.
0.100%, 04/04/2014		1,730,000		1,729,986
0.080%, 05/12/2014		13,850,000		13,848,738
PACCAR Financial Corp.
0.080%, 04/03/2014		1,000,000		999,996
0.080%, 04/21/2014		2,000,000		1,999,911
0.070%, 04/24/2014		3,493,000		3,492,844
0.070%, 04/28/2014		1,300,000		1,299,932
0.100%, 05/01/2014		8,000,000		7,999,333
Toyota Motor Credit Corp.
0.100%, 04/08/2014		3,000,000		2,999,942
0.060%, 04/23/2014		2,100,000		2,099,923
0.110%, 04/30/2014		3,425,000		3,424,697
0.100%, 06/04/2014		7,344,000		7,342,694
				47,237,996
Chemicals (4.18%)
Praxair Inc.
0.080%, 05/21/2014		2,800,000		2,799,689
0.080%, 05/22/2014		9,813,000		9,811,888
				12,611,577
Consumer & Marketing (2.41%)
Procter & Gamble Co., The (a)
0.100%, 06/17/2014		7,273,000		7,271,444
Government Agency Securities (b) (29.30%)
Federal Home Loan Bank
0.060%, 04/04/2014		2,000,000		1,999,989
0.035%, 04/09/2014		14,590,000		14,589,886
0.060%, 04/09/2014		6,100,000		6,099,919
0.055%, 04/09/2014		3,300,000		3,299,960
0.060%, 04/16/2014		22,000,000		21,999,450
0.045%, 04/30/2014		3,000,000		2,999,891
0.090%, 05/07/2014		12,500,000		12,498,875
0.060%, 05/07/2014		3,500,000		3,499,790
0.050%, 05/07/2014		2,400,000		2,399,880
0.050%, 05/14/2014		2,180,000		2,179,870
0.070%, 05/16/2014		11,500,000		11,498,994
0.065%, 05/21/2014		2,350,000		2,349,788

	Principal
	amount		Value
Short-term Investments (Cont.)
Government Agency Securities (Cont.)
Federal Home Loan Mortgage Corp.
0.050%, 05/14/2014	$	2,000,000	$	1,999,881
0.050%, 06/02/2014		1,000,000		999,914
				88,416,087
Health Care (15.17%)
Merck & Co. Inc. (a)
0.080%, 06/06/2014		15,204,000		15,201,768
Pfizer Inc. (a)
0.080%, 06/09/2014		9,890,000		9,888,484
0.080%, 06/16/2014		4,900,000		4,899,172
Roche Holdings Inc. (a)
0.050%, 04/02/2014		3,600,000		3,599,995
0.070%, 04/10/2014		10,000,000		9,999,825
0.070%, 05/13/2014		2,193,000		2,192,821
				45,782,065
Machinery & Manufacturing (4.80%)
Caterpillar Finance Service Corp.
0.100%, 04/15/2014		14,490,000		14,489,436
Oil & Gas (5.23%)
Chevron Corp. (a)
0.090%, 06/03/2014		5,435,000		5,434,144
0.110%, 06/10/2014		10,338,000		10,335,789
				15,769,933
	Shares		Value
Registered Investment Companies (0.03%)
JPMorgan U.S. Government Money
Market Fund		87,685	$	87,685

See accompanying notes to schedules of investments. 69

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Principal
	amount		Value
Short-term Investments (Cont.)
Retailers (0.53%)
Wal-Mart Stores Inc. (a)
0.090%, 04/07/2014	$	1,600,000	$	1,599,976
U.S. Government Obligations (11.27%)
U.S. Treasury Bill
0.040%, 04/17/2014		5,000,000		4,999,911
0.046%, 05/08/2014		14,000,000		13,999,338
0.043%, 05/29/2014		15,000,000		14,998,973
				33,998,222
Total Short-term Investments
(cost $ 299,522,509)				299,522,509
TOTAL INVESTMENTS (99.26%)
(cost $ 299,522,509)				299,522,509
OTHER ASSETS, NET OF LIABILITIES (0.74%)				2,236,874
NET ASSETS (100.00%)			$	301,759,383

(a) Securities exempt from registration under Section 4(a)(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. These securities have been determined to be liquid.

(b) The obligations of these U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury. On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corp. (“Freddie Mac”) into conservatorship. The United States Treasury has put in place a set of financing agreements to help ensure that these entities continue to meet their obligations to holders of bonds they have issued or guaranteed.

70 See accompanying notes to schedules of investments.

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS

(Unaudited)

1. Investment Objective

State Farm Mutual Fund Trust (the “Trust”) has 15 separate investment portfolios (the “Funds”). The Trust is registered under the Investment Company Act of 1940 as an open-end, management investment company. Each Fund has its own investment objective, investment policies, restrictions, and attendant risks and is diversified as defined in the Investment Company Act of 1940. State Farm Investment Management Corp. (“SFIMC”) is the Trust’s investment adviser.

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 net assets (plus any borrowings) in common stocks and other equity securities of large capitalization companies.

The State Farm Small/Mid Cap Equity Fund (the “Small/Mid Cap Equity Fund”) seeks long-term growth of capital. The Fund primarily invests under normal circumstances at least 80% of its net assets (plus any borrowing) in common stock and other equity securities of small and mid-capitalization stocks issued by U.S. companies.

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 securities issued by foreign companies. There is no restriction on the size of the companies in which the Fund invests.

The State Farm S&P 500 Index Fund (the “S&P 500 Index Fund”) seeks to provide investment results that correspond to the total return of publicly traded common stocks in the aggregate, as represented by the S&P 500^®1 Index. The S&P 500 Index Fund pursues its investment objective by investing in substantially all of the securities that make up the S&P 500 Index. The S&P 500 Index tracks the common stock performance of 500 large U.S. companies.

The State Farm Small Cap Index Fund (the “Small Cap Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of the Russell 2000^® Small Stock Index (the “Russell 2000”)². The Small Cap Index Fund pursues its investment objective by investing 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 as closely as practicable, before fees and expenses, the performance of an international portfolio of common stocks represented by the Morgan Stanley Capital International Europe, Australasia and Far East Free Index (the “EAFE^® Free”)³. The International Index Fund selects 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 15 European countries, Australia, New Zealand, Israel, 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 in the 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 Fund typically invests 80% or more of its net assets (plus any borrowings for investment purposes) in investment grade bonds or bonds determined to be of comparable quality.

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^® Retirement Fund (the “LifePath Retirement Fund”)⁴ is managed for investors seeking income and moderate long-term growth of capital. The LifePath Retirement 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 Retirement Fund have substantially similar investment objectives.

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

71

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

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.

The State Farm LifePath 2050^® Fund (the “LifePath 2050 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2050. The LifePath 2050 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2050 Master Portfolio. The LifePath 2050 Master Portfolio and the LifePath 2050 Fund have substantially similar investment objectives.

Each LifePath Master Portfolio invests in a combination of equity, fixed income 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. The Underlying Funds include the Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio, International Tilts Master Portfolio, Master Small Cap Index Series and Russell 1000 Index Master Portfolio, collectively defined as the “Underlying Master Portfolios”.

The LifePath Retirement, LifePath 2020, LifePath 2030, LifePath 2040 and LifePath 2050 Funds are collectively defined as the “Feeder Funds”. The LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio and LifePath 2050 Master Portfolio are collectively defined as the “Master Portfolios”.

For more information about the Master Portfolios refer to the Master Investment Portfolio (“MIP”) section.

2. Significant Accounting Policies

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

Securities Valuation

All investments in securities are recorded at their fair value. For more information refer to Note 3 Securities Valuation.

Securities Transactions

For financial reporting purposes, security transactions are accounted for on trade date (date the order to buy or sell is executed).

Income Taxes

Each Fund is a separate taxpayer for federal income tax purposes. It is the Funds’ policy to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated 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.

For more information refer to Note 6 Income Taxes.

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 March 31, 2014. 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.

Investments in Master Portfolios

Each Feeder Fund records its investment in its Master Portfolio based upon each Feeder Fund’s proportionate interest in the net assets of the respective Master Portfolio.

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.

For more information refer to Note 4 Investments in Master Portfolios.

72

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

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 in order to ensure that it can meet those commitments. It is possible that the securities will never be issued and the commitment canceled. At March 31, 2014, the Tax Advantaged Bond Fund did not have any commitments for when-issued securities.

Short Sales

The S&P 500 Index Fund, Small Cap Index Fund and the International Index Fund may enter into covered short sale transactions to dispose of certain securities received as part of involuntary corporate actions (e.g., corporate mergers, spin-offs, distributions) that are no longer included in the respective benchmark indices. These transactions are designed to help minimize the impact these non-index securities have on the overall performance of the Fund.

3. Securities Valuation

Investments are valued at fair value pursuant to valuation procedures approved by the Trust’s Board of Trustees (the “Board”). The valuation procedures assign to SFIMC the responsibility for determining fair value using the processes and factors as outlined in the valuation procedures. If SFIMC cannot determine fair value based on the valuation procedures, the Board or the Executive Committee of the Board will determine fair value.

Fair value is defined as the price that the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is used to classify fair value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in three broad levels as follows:

• Level 1 - Unadjusted quoted prices in active markets that are accessible to the Funds for identical assets or liabilities.

• Level 2 - Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, quoted prices for similar instruments in active markets, interest rates, yield curves and credit spreads. For assets or liabilities with a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability.

• Level 3 - Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available. These inputs, based on the best information available in the circumstances, would include reasonably available information about the assumptions that a market participant would use in valuing the asset or liability and might include SFIMC’s own data.

To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure the fair value of an asset or liability might be categorized within different levels of the fair value hierarchy. In those cases, the fair value measurement is categorized in its entirety in the same level of the fair value hierarchy as the lowest level input that is significant to the entire measurement.

Stocks, closed-end registered investment companies and exchange-traded funds (“ETFs”) traded on securities exchanges, or in an over-the-counter (“OTC”) market in which transaction prices are reported, are valued at the last sales price 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 NASDAQ are valued at the NASDAQ Official Closing Price. Long-term debt securities and U.S. Treasury bills are generally valued using quotations provided by an independent pricing service. All of the securities 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 Non-feeder Funds are generally 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, if any, are valued at market value.

Portfolio securities that are primarily traded on foreign securities exchanges (“foreign securities”) are valued at the closing values of such securities on the respective exchange where each security is primarily traded. SFIMC may determine that a market quotation for a foreign security held by a Fund is not reliable because of events or circumstances that have occurred between the time of the market quotation and the time the net asset value of the Fund is calculated (“subsequent event”). A subsequent event might include company-specific developments, a development that might affect an entire market or region, a potentially global development or a significant change in one or more U.S. securities indices. If SFIMC determines that the market quotation for a foreign security is not reliable, SFIMC may use an independent statistical fair value service to assist in determining value, or SFIMC may determine the foreign security’s value in SFIMC’s reasonable judgment.

For securities other than foreign securities, for which market prices are not readily available or are considered unreliable, SFIMC is required to obtain bid price quotations from brokers or dealers in the securities. If SFIMC cannot obtain a quotation for the security or if SFIMC believes the quotation does not represent the security’s fair value, then SFIMC will determine the security’s value in SFIMC’s reasonable judgment.

73

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(Unaudited)

In determining a value based on reasonable judgment, 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 determining value for a security 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, the last traded price of the security, significant global or regional events such as political unrest, natural disasters, and war, and significant movements in major market indices, ETFs, index futures or other financial instruments in the U.S. or other markets. All securities valued based on SFIMC’s reasonable judgment are subsequently reported to the Board on a quarterly basis.

SFIMC reviews the pricing methodologies of the Funds’ approved pricing vendors, including reviewing a vendor’s key inputs and assumptions in valuing securities. SFIMC also engages in transaction back-testing with respect to portfolio securities sold by the Funds to compare unrealized gains and losses to realized gains and losses.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value each Fund’s assets and liabilities as of March 31, 2014:

	Investments in Securities								Derivative Instruments
Fund	Level 1		Level 2		Level 3		Total		Level 1			Level 2			Level 3		Total
Equity Fund									$	—		$	—		$	—	$	—
Common Stocks (a)	$	425,131,816	$	—	$	—	$	425,131,816
Short-term Investments		7,193,176		—		—		7,193,176
Small/Mid Cap Equity Fund										—			—			—		—
Common Stocks (a)		273,175,437		—		—		273,175,437
Short-term Investments		5,044,139		—		—		5,044,139
International Equity Fund										—			581			—		581
Common Stocks (a)		137,336,755		—		—		137,336,755
Preferred Stocks (a)		1,494,254		—		—		1,494,254
Short-term Investments		6,623,002		—		—		6,623,002
S&P 500 Index Fund										80,474			—			—		80,474
Common Stocks (a)		861,103,155		—		—		861,103,155
Short-term Investments		26,789,609		—		—		26,789,609
Small Cap Index Fund										(76,915	)		—			—		(76,915	)
Common Stocks (a)		423,358,740		81,307		12,693		423,452,740
Registered Investment Companies (a)		4,841,042		—		—		4,841,042
Short-term Investments		9,666,081		774,996		—		10,441,077
International Index Fund										173,282			(25,798	)		—		147,484
Common Stocks (a)		250,615,749		368,916		0		250,984,665
Preferred Stocks (a)		1,550,484		—		—		1,550,484
Short-term Investments		3,203,593		—		—		3,203,593
Equity and Bond Fund										—			—			—		—
Registered Investment Companies		264,954,945		—		—		264,954,945
Bond Fund										—			—			—		—
Corporate Bonds (a)		—		429,693,522		—		429,693,522
Agency Commercial
Mortgage-Backed Securities		—		74,545,577		—		74,545,577
Agency Mortgage-Backed Securities		—		59,325,256		—		59,325,256
Agency Notes & Bonds		—		7,802,896		—		7,802,896
U.S. Treasury Obligations		—		92,190,285		—		92,190,285
Short-term Investments		4,751,867		—		—		4,751,867
(a)    Industry classification and/or country is disclosed in the Schedules of Investments.

74

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

	Investments in Securities								Derivative Instruments
Fund	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Tax Advantaged Bond Fund										—		—		—		—
Long-term Municipal Bonds	$	—	$	459,690,358	$	—	$	459,690,358
Short-term Investments		14,213,557		—		—		14,213,557
Money Market Fund										—		—		—		—
Short-term Investments		87,685		299,434,824		—		299,522,509
LifePath Retirement Fund										—		—		—		—
Investments in securities in Master Portfolios		—		1,108,740,419	$	—		1,108,740,419
LifePath 2020 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		1,789,414,037		—		1,789,414,037
LifePath 2030 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		1,672,124,097		—		1,672,124,097
LifePath 2040 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		1,220,725,039		—		1,220,725,039
LifePath 2050 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		198,686,752		—		198,686,752

On December 31, 2013, Durata Therapeutics Inc. in the Small Cap Index Fund was valued at last traded price. On March 31, 2014, Durata Therapeutics Inc. halted trading and was therefore valued using Level 2 inputs. Accordingly, using the end of the reporting period method for determining when transfers between levels are recognized, $46,849 of Durata Therapeutics Inc. common stock was transferred from Level 1 to Level 2 in Small Cap Index Fund.

On December 31, 2013, Oversea-Chinese Banking Corporation Ltd. in the International Index Fund was valued at last traded price. On March 31, 2014, Oversea-Chinese Banking Corporation Ltd. halted trading and was therefore valued using Level 2 inputs. Accordingly, using the end of the reporting period method for determining when transfers between levels are recognized, $368,916 of Oversea-Chinese Banking Corporation Ltd. common stock was transferred from Level 1 to Level 2 in International Index Fund.

For the remaining Funds, there were no transfers of securities between Level 1 and Level 2 as of March 31, 2014 as compared to December 31, 2013.

The following is a reconciliation of investments in which significant unobervable inputs (Level 3) were used in determining fair value:

	Small Cap Index Fund Investments in Securities
Balance as of December 31, 2013	$	6,216
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		(3,108	)
Purchases		—
Issuances		9,585
Sales		—
Transfers in (a)		—
Transfers out (a)		—
Balance as of March 31, 2014	$	12,693
(a)    Using the end of the reporting period method for determining when transfers between levels are recognized.

The International Index Fund did not hold any Level 3 securities valued at other than zero as of December 31, 2013 or for the period ended March 31, 2014. The remaining Funds did not hold any Level 3 securities as of December 31, 2013 or for the period ended March 31, 2014.

75

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

Derivative instruments, such as futures and foreign currency contracts, are valued at the unrealized appreciation (depreciation) of the instrument. For more information, see Note 5 Derivative Instruments.

4. Investments in Master Portfolios

The Feeder Funds, through their investments in the Master Portfolios, are diversified, open-end management investment companies. The Feeder Funds invest all of their assets in the Master Portfolios.

The Master Portfolios are diversified, open-end management investment companies, each of which has an investment objective substantially similar to that of its corresponding Feeder Fund. The Schedules of Investments of each Master Portfolio are included elsewhere in this report.

The percentage ownership in the Master Portfolios held by the Feeder Funds as of March 31, 2014 is detailed below:

Feeder Fund	Invests in Master Portfolio	% ownership interest held by the Feeder  Funds
LifePath Retirement Fund	LifePath Retirement Master Portfolio	70.60%
LifePath 2020 Fund	LifePath 2020 Master Portfolio	63.68%
LifePath 2030 Fund	LifePath 2030 Master Portfolio	63.43%
LifePath 2040 Fund	LifePath 2040 Master Portfolio	59.94%
LifePath 2050 Fund	LifePath 2050 Master Portfolio	52.20%

5. Derivative Instruments

The S&P 500 Index Fund, Small Cap Index Fund and International Index Fund are subject to equity price risk in the normal course of pursuing their investment objectives. These Funds entered into stock index futures contracts to gain exposure to market fluctuations, as the use of these instruments was more efficient or cost effective than actually buying the underlying securities. These contracts obligated those Funds to make or take delivery of a derivative instrument or the cash value of a securities index at a specified future date at a specified price. Unrealized gains and losses on open futures contracts are reflected in other assets in the Schedules of Investments. Upon entering into a futures contract, these Funds bore the risk of futures contracts’ prices moving unexpectedly, in which case, the Funds might not have been able to achieve the anticipated benefits of the futures contract and might realize a loss. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearing house, as the ultimate counterparty to all exchange traded futures, guarantees the futures against default.

The International Equity and International Index Funds are subject to foreign currency exchange risk in the normal course of pursuing their investment objectives. In an attempt to decrease exposure to this risk, both Funds engaged in transaction hedging and the International Index Fund engaged in portfolio hedging with the objective to protect against variations in exchange rates. Transaction hedging involved the purchase and sale of forward foreign currency contracts between trade date and settlement date on security transactions. Portfolio hedging involved selling forward foreign currency contracts with respect to the actual or anticipated portfolio security position denominated or quoted in the particular currency. Unrealized gains and losses on forward foreign currency contracts are reflected in other assets in the Schedule of Investments. These Funds bore the market risk that arises from changes in foreign currency rates and the credit risk should a counterparty fail to perform under such contracts, and as a result, might realize a loss.

For unrealized gain (loss) of derivative instruments held by the Funds, see the Schedules of Investments.

76

STATE FARM MUTUAL FUND TRUST

NOTES TO SCHEDULES OF INVESTMENTS (continued)

(Unaudited)

6. Income Taxes

As of March 31, 2014, 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	$	329,613,417	$	105,985,978	$	(3,274,403	)	$	102,711,575
Small/Mid Cap Equity Fund		234,048,422		48,502,971		(4,331,817	)		44,171,154
International Equity Fund		117,034,312		30,592,550		(2,172,851	)		28,419,699
S&P 500 Index Fund		513,961,218		382,950,794		(9,019,248	)		373,931,546
Small Cap Index Fund		306,301,939		163,640,553		(31,207,633	)		132,432,920
International Index Fund		193,397,440		83,666,556		(21,325,254	)		62,341,302
Equity and Bond Fund		232,491,550		32,463,395		—			32,463,395
Bond Fund		660,175,482		20,568,014		(12,434,093	)		8,133,921
Tax Advantaged Bond Fund		469,581,622		12,365,893		(8,043,600	)		4,322,293
Money Market Fund		299,522,509		—		—			—

The differences, if any, between the cost of investments for federal income tax purposes and the cost of investments reflected on the Schedules of Investments are primarily related to the timing of recognition of gains and losses and investment income.

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 Schedules of Investments which are included in this report.

(1) The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by State Farm Mutual Fund Trust (“Licensee”). Standard & Poor’s^®,S&P^® and S&P 500^® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Licensee. The Licensee’s products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Index.

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

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

(4) LifePath and LifePath followed by 2020, 2030, 2040 and 2050 are registered trademarks of BlackRock Institutional Trust Company, N.A.

77

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 38.1%
Active Stock Master Portfolio	$	251,652,607	$	251,652,607
BlackRock Commodity Strategies Fund		5,883,628		57,424,205
BlackRock Emerging Markets Fund, Inc.		1,657,600		32,273,480
International Tilts Master Portfolio	$	104,317,162		104,317,162
iShares MSCI Canada ETF (b)		328,995		9,721,802
iShares MSCI EAFE Small-Cap ETF		305,069		15,924,602
Master Small Cap Index Series	$	71,208,574		71,208,574
Russell 1000® Index Master Portfolio	$	55,249,579		55,249,579
				597,772,011
Fixed Income Funds - 61.7%
CoreAlpha Bond Master Portfolio	$	819,845,594		819,845,594
iShares TIPS Bond ETF		1,335,136		149,668,746
				969,514,340
Short-Term Securities - 0.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.13% (c)(d)		2,828,149		2,828,149
BlackRock Cash Funds: Prime, SL Agency Shares, 0.10% (c)(d)		6,869,927		6,869,927
				9,698,076
Total Affiliated Investment Companies
(Cost - $1,457,754,113*) - 100.4%				1,576,984,427
Liabilities in Excess of Other Assets - (0.4)%				(6,593,416	)
Net Assets - 100.0%			$	1,570,391,011

* As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	1,459,289,765
Gross unrealized appreciation	$	122,789,595
Gross unrealized depreciation		(5,094,933	)
Net unrealized appreciation	$	117,694,662

78

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

Notes to Schedule of Investments

(a) Investments in issuers considered to be an affiliate of the LifePath Master Portfolio during the period ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2013		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2014		Value at March 31, 2014		Income		Realized Gain (Loss)
Active Stock Master Portfolio	$	301,116,371		—		$	(49,463,764	)1	$	251,652,607	$	251,652,607	$	1,229,617	$	31,600,918
ACWI ex-US Index Master Portfolio	$	21,332,804		—		$	(21,332,804	)1		—		—	$	158,363	$	3,675,324
BlackRock Cash Funds: Institutional, SL Agency Shares		24,241,785		—			(21,413,636	)1		2,828,149	$	2,828,149	$	1,180		—
BlackRock Cash Funds: Prime, SL Agency Shares		3,861,905		3,008,022	2		—			6,869,927	$	6,869,927	$	10,008		—
BlackRock Commodity Strategies Fund		6,117,587		4,128			(238,087	)		5,883,628	$	57,424,205		—	$	(234,520	)
BlackRock Emerging Markets Fund, Inc.		779,979		877,621			—			1,657,600	$	32,273,480		—		—
CoreAlpha Bond Master Portfolio	$	829,309,521		—		$	(9,463,927	)1	$	819,845,594	$	819,845,594	$	5,425,015	$	494,634
International Tilts Master Portfolio	$	52,994,384	$	51,322,778	2		—		$	104,317,162	$	104,317,162		939,994		—
iShares MSCI Canada ETF		300,512		28,483			—			328,995	$	9,721,802		—		—
iShares MSCI EAFE ETF		515,589		—			(515,589	)		—		—		—	$	12,245,156
iShares MSCI EAFE Small- Cap ETF		316,636		580			(12,147	)		305,069	$	15,924,602		—	$	87,765
iShares MSCI Emerging Markets ETF		282,562		—			(282,562	)		—		—		—	$	3,708,467
iShares TIPS Bond ETF		1,368,622		2,706			(36,192	)		1,335,136	$	149,668,746		—	$	(128,139	)
Master Small Cap Index Series	$	74,174,910		—		$	(2,966,336	)1	$	71,208,574	$	71,208,574	$	188,649	$	1,999,240
Russell 1000® Index Master Portfolio	$	11,344,510	$	43,905,069	2		—		$	55,249,579	$	55,249,579	$	147,031	$	64,178

¹  Represents net shares/beneficial interest sold.

²  Represents net shares/beneficial interest purchased.

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

(c) All or a portion of security was purchased with the cash collateral from loaned securities.

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

79

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2014

(Unaudited)

• Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 - unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the LifePath Master Portfolio has the ability to access

• Level 2 - other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the LifePath Master Portfolio’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the LifePath Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the LifePath Master Portfolio’s policy regarding valuation of investments, please refer to the LifePath Master Portfolio’s most recent financial statements as contained in its annual report.

The following table summarizes the LifePath Master Portfolio’s investments categorized in the disclosure hierarchy as of March 31, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	274,710,911	$	1,302,273,516		—	$	1,576,984,427

The carrying amount for certain of the LifePath Master Portfolio’s liabilities approximates fair value for financial reporting purposes. As of March 31, 2014, collateral on securities loaned at value of $(7,161,000) is categorized as Level 2 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2014.

80

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 50.9%
Active Stock Master Portfolio	$	630,406,268	$	630,406,268
BlackRock Commodity Strategies Fund		10,617,930		103,630,997
BlackRock Emerging Markets Fund, Inc. (b)		4,132,253		80,454,960
International Tilts Master Portfolio	$	263,094,428		263,094,428
iShares Cohen & Steers REIT ETF (b)		433,112		35,619,131
iShares International Developed Real Estate ETF		1,195,893		35,936,585
iShares MSCI Canada ETF (b)		840,072		24,824,128
iShares MSCI EAFE Small-Cap ETF		744,278		38,851,311
Master Small Cap Index Series	$	112,607,935		112,607,935
Russell 1000® Index Master Portfolio	$	104,401,839		104,401,839
				1,429,827,582
Fixed Income Funds - 49.0%
CoreAlpha Bond Master Portfolio	$	1,186,977,106		1,186,977,106
iShares TIPS Bond ETF		1,698,926		190,449,605
				1,377,426,711
Short-Term Securities - 1.1%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.13% (c)(d)		2,936,827		2,936,827
BlackRock Cash Funds: Prime, SL Agency Shares, 0.10% (c)(d)		27,266,122		27,266,122
				30,202,949
Total Affiliated Investment Companies
(Cost - $2,558,066,600*) - 101.0%				2,837,457,242
Liabilities in Excess of Other Assets - (1.0)%				(27,398,245	)
Net Assets - 100.0%			$	2,810,058,997

* As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	2,573,039,799
Gross unrealized appreciation	$	285,410,042
Gross unrealized depreciation		(20,992,599	)
Net unrealized appreciation	$	264,417,443

Notes to Schedule of Investments

(a) Investments in issuers considered to be an affiliate of the LifePath Master Portfolio during the period ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2013		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2014		Value at March 31, 2014		Income		Realized Gain (Loss)
Active Stock Master Portfolio	$	734,517,624		—		$	(104,111,356	)1	$	630,406,268	$	630,406,268	$	3,026,579	$	72,953,056
ACWI ex-US Index Master Portfolio	$	31,390,459		—		$	(31,390,459	)1		—		—		230,421	$	5,120,287
BlackRock Cash Funds: Institutional, SL Agency Shares		40,527,090		—			(37,590,263	)1		2,936,827	$	2,936,827	$	2,461		—
BlackRock Cash Funds: Prime, SL Agency Shares		6,350,735		20,915,387	2		—			27,266,122	$	27,266,122	$	27,105		—
BlackRock Commodity Strategies Fund	$	11,033,370		40,423			(455,863	)		10,617,930	$	103,630,997		—	$	(464,721	)

81

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

BlackRock Emerging Markets Fund, Inc.	$	1,998,897		2,133,356			—			4,132,253	$	80,454,960		—		—
CoreAlpha Bond Master Portfolio	$	1,188,795,466		—		$	(1,818,360	)1	$	1,186,977,106	$	1,186,977,106	$	7,759,316	$	542,387
International Tilts Master Portfolio	$	133,430,820	$	129,663,608	2		—		$	263,094,428	$	263,094,428	$	2,359.036		(979,633	)
iShares Cohen & Steers REIT ETF		440,037		17,265			(24,190	)		433,112	$	35,619,131	$	267,172	$	86,436
iShares International Developed Real Estate ETF		1,210,918		20,275			(35,300	)		1,195,893	$	35,936,585	$	223,467	$	68,212
iShares MSCI Canada ETF		851,740		4,363			(16,031	)		840,072	$	24,824,128		—	$	(80,001	)
iShares MSCI EAFE ETF		1,555,425		—			(1,555,425	)			$	—		—	$	34,762,048
iShares MSCI EAFE Small-Cap ETF		754,858		3,954			(14,534	)		744,278	$	38,851,312		—	$	102,472
iShares MSCI Emerging Markets ETF		811,846		—			(811,846	)					$	—	$	6,723,393
iShares TIPS Bond ETF		1,738,491		9,378			(48,943	)		1,698,926	$	190,449,605		—	$	(486,752	)
Master Small Cap Index Series	$	115,162,753		—		$	(2,554,818	)1	$	112,607,935	$	112,607,935	$	292,579	$	2,472,103
Russell 1000® Index Master Portfolio	$	18,841,005	$	85,560,834	2		—		$	104,401,839	$	104,401,839	$	276,434	$	140,340

¹  Represents net shares/beneficial interest purchased.

²  Represents net shares/beneficial interest sold.

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

(c) All or a portion of security was purchased with the cash collateral from loaned securities.

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

82

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2014

(Unaudited)

• Fair Value Measurements—Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 - unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the LifePath Master Portfolio has the ability to access

• Level 2 - other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the LifePath Master Portfolio’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the LifePath Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Lifepath Master Portfolio’s policy regarding valuation of investments, please refer to the LifePath Master Portfolio’s most recent financial statements as contained in its annual report.

The following table summarizes the LifePath Master Portfolio’s investments categorized in the disclosure hierarchy as of March 31, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	539,969,666	$	2,297,487,576		—	$	2,837,457,242

The carrying amount for certain of the LifePath Master Portfolio’s liabilities approximates fair value for financial reporting purposes. As of March 31, 2014, collateral on securities loaned at value of $(28,421,364) is categorized as Level 2 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2014.

83

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 66.9%
Active Stock Master Portfolio	$	749,004,944	$	749,004,944
BlackRock Commodity Strategies Fund		10,281,657		100,348,968
BlackRock Emerging Markets Fund, Inc.		5,227,951		101,788,215
International Tilts Master Portfolio	$	330,862,585		330,862,585
iShares Cohen & Steers REIT ETF (b)		954,819		78,524,315
iShares International Developed Real Estate ETF		2,514,652		75,565,293
iShares MSCI Canada ETF (b)		1,042,382		30,802,388
iShares MSCI EAFE Small-Cap ETF		970,927		50,682,389
Master Small Cap Index Series	$	85,088,437		85,088,437
Russell 1000® Index Master Portfolio	$	159,794,042		159,794,042
				1,762,461,576
Fixed Income Funds - 32.9%
CoreAlpha Bond Master Portfolio		772,439,461		772,439,461
iShares TIPS Bond ETF		842,882		94,487,072
				866,926,533
Short-Term Securities - 1.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.13% (c)(d)	$	5,555,041		5,555,041
BlackRock Cash Funds: Prime, SL Agency Shares, 0.10% (c)(d)	$	27,117,927		27,117,927
				32,672,968
Total Affiliated Investment Companies
(Cost - $ 2,349,554,328*) - 101.0%				2,662,061,077
Liabilities in Excess of Other Assets - (1.0)%				(25,987,329	)
Net Assets - 100.0%			$	2,636,073,748

* As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	2,367,847,710
Gross unrealized appreciation	$	317,581,069
Gross unrealized depreciation		(23,367,702	)
Net unrealized appreciation	$	294,213,367

Notes to Schedule of Investments

(a) Investments in issuers considered to be an affiliate of the LifePath Master Portfolio during the period ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2013		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2014		Value at March 31, 2014		Income		Realized Gain (Loss)
Active Stock Master Portfolio	$	883,697,843		—		$	(134,692,899	)1	$	749,004,944	$	749,004,944	$	3,601,645	$	89,356,626
ACWI ex-US Index Master Portfolio	$	52,940,137		—		$	(52,940,137	)1		—		—	$	379.,077	$	6,882,068
BlackRock Cash Funds: Institutional, SL Agency Shares		59,018,753		—			(53,463,712	)1	$	5,555,041	$	5,555,041	$	2,928	$	—
BlackRock Cash Funds: Prime, SL Agency Shares		9,641,041		17,476,886	2		—		$	27,117,927	$	27,117,927	$	28,309	$	—
BlackRock Commodity Strategies Fund		10,830,777		84,350			(633,470	)		10,281,657	$	100,348,968	$	—	$	(627,312	)

84

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

BlackRock Emerging Markets Fund, Inc.		2,516,085		2,711,866			—			5,227,951	$	101,788,215	$	—	$	—
CoreAlpha Bond Master Portfolio	$	777,088,211		—		$	(4,648,750	)1	$	772,439,461	$	772,439,461	$	5,053,212	$	264,441
International Tilts Master Portfolio	$	165,412,631	$	165,449,954	2		—		$	330,862,585	$	330,862,585	$	2,919,376	$	(1,210,719	)
iShares Cohen & Steers REIT ETF		951,541		43,930			(40,652	)		954,819	$	78,524,315	$	587,260	$	35,895
iShares International Developed Real Estate ETF		2,422,429		148,843			(56,620	)		2,514,652	$	75,565,293	$	452,463	$	(172,149	)
iShares MSCI Canada ETF		1,012,839		57,321			(27,778	)		1,042,382	$	30,802,388	$	—	$	(138,623	)
iShares MSCI EAFE ETF		1,843,415		—			(1,843,415	)		—	$	—	$	—	$	40,465,200
iShares MSCI EAFE Small- Cap ETF		973,793		24,341			(27,207	)		970,927	$	50,682,389	$	—	$	192,033
iShares MSCI Emerging Markets ETF		954,459		—			(954,459	)		—	$	—	$	—	$	6,364,747
iShares TIPS Bond ETF		863,157		9,272			(29,547	)		842,882	$	94,487,072	$	—	$	(309,290	)
Master Small Cap Index Series	$	87,580,909		—		$	(2,492,472	)1	$	85,088,437	$	85,088,437	$	219,927	$	1,968,074
Russell 1000® Index Master Portfolio	$	48,110,697	$	111,683,345	2		—		$	159,794,042	$	159,794,042	$	471,977	$	244,311

¹  Represents net shares/beneficial interest sold.

²  Represents net shares/beneficial interest purchased.

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

(c) All or a portion of security was purchased with the cash collateral from loaned securities.

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

85

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2014

(Unaudited)

• Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 - unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the LifePath Master Portfolio has the ability to access

• Level 2 - other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the LifePath Master Portfolio’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the LifePath Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the LifePath Master Portfolio’s policy regarding valuation of investments, please refer to the LifePath Master Portfolio’s most recent financial statements as contained in its annual report.

The following table summarizes the LifePath Master Portfolio’s investments categorized in the disclosure hierarchy as of March 31, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	564,871,608	$	2,097,189,469		—	$	2,662,061,077

The carrying amount for certain of the LifePath Master Portfolio’s liabilities approximates fair value for financial reporting purposes. As of March 31, 2014, collateral on securities loaned at value of $(28,266,890) is categorized as Level 2 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2014.

86

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 79.6%
Active Stock Master Portfolio	$	663,469,638	$	663,469,638
BlackRock Commodity Strategies Fund		8,125,239		79,302,333
BlackRock Emerging Markets Fund, Inc.		4,855,757		94,541,580
International Tilts Master Portfolio	$	305,418,395		305,418,395
iShares Cohen & Steers REIT ETF (b)		1,065,517		87,628,118
iShares International Developed Real Estate ETF		2,870,276		86,251,794
iShares MSCI Canada ETF (b)		954,139		28,194,807
iShares MSCI EAFE Small-Cap ETF		898,535		46,903,527
Master Small Cap Index Series	$	52,587,364		52,587,364
Russell 1000® Index Master Portfolio	$	177,687,937		177,687,937
				1,621,985,493
Fixed Income Funds - 20.2%
CoreAlpha Bond Master Portfolio	$	394,137,068		394,137,068
iShares TIPS Bond ETF		153,891	$	17,251,181
				411,388,249
Short-Term Securities - 2.8%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.13% (c)(d)		6,675,060		6,675,060
BlackRock Cash Funds: Prime, SL Agency Shares, 0.10% (c)(d)		49,994,976		49,994,976
				56,670,036
Total Affiliated Investment Companies
(Cost - $1,820,031,279*) - 102.6%				2,090,043,778
Liabilities in Excess of Other Assets - (2.6)%				(53,325,481	)
Net Assets - 100.0%			$	2,036,718,297

* As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	1,842,064,871
Gross unrealized appreciation	$	273,717,456
Gross unrealized depreciation		(25,738,549	)
Net unrealized appreciation	$	247,978,907

Notes to Schedule of Investments

(a) Investments in issuers considered to be an affiliate of the LifePath Master Portfolio during the period ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2013		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2014		Value at March 31, 2014		Income		Realized Gain (Loss)
Active Stock Master Portfolio	$	799,127,066		—		$	(135,657,428	)1	$	663,469,638	$	663,469,638	$	3,212,741	$	83,737,864
ACWI ex-US Index Master Portfolio	$	46,818,008		—		$	(46,818,008	)1		—		—	$	344,364	$	5,248,956
BlackRock Cash Funds:
Institutional, SL Agency Shares		33,479,740		—			(26,804,680	)2		6,675,060	$	6,675,060	$	2,779		—
BlackRock Cash Funds:
Prime, SL Agency Shares		5,267,073		44,727,903	2		—			49,994,976	$	49,994,976	$	32,745		—
BlackRock Commodity Strategies Fund		8,674,420		77,116			(626,297	)		8,125,239	$	79,302,333		—	$	(628,671	)

87

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

BlackRock Emerging Markets Fund, Inc.		2,360,437		2,495,320			—			4,855,757	$	94,541,580		—		—
CoreAlpha Bond Master Portfolio	$	401,864,037		—		$	(7,726,969	)	$	394,137,068	$	394,137,068	$	2,597,792	$	92,607
International Tilts Master Portfolio	$	154,522,993	$	150,895,402			—		$	305,418,395	$	305,418,395	$	2,452,853	$	(1,121,869	)
iShares Cohen & Steers REIT ETF		1,112,408		72,620			(119,511	)		1,065,517	$	87,628,118	$	640,026	$	450,266
iShares International Developed Real Estate ETF		2,633,592		305,913			(69,229	)		2,870,276	$	86,251,794	$	517,728	$	(264,212	)
iShares MSCI Canada ETF		958,137		30,237			(34,235	)		954,139	$	28,194,807		—	$	(170,846	)
iShares MSCI EAFE ETF		1,749,865		—			(1,749,865	)		—		—		—	$	37,379,682
iShares MSCI EAFE Small-Cap ETF		901,955		27,644			(31,064	)		898,535	$	46,903,527		—	$	219,018
iShares MSCI Emerging Markets ETF		896,775		—			(896,775	)		—		—		—	$	5,281,800
iShares TIPS Bond ETF		165,134		1,477			(12,720	)		153,891	$	17,251,181		—	$	(129,507	)
Master Small Cap Index Series	$	54,999,126		—		$	(2,411,762	)2	$	52,587,364	$	52,587,364	$	137,093	$	1,507,397
Russell 1000® Index Master Portfolio	$	66,301,350	$	111,386,587	1		—		$	177,687,937	$	177,687,937	$	532,618	$	285,936

¹  Represents net shares/beneficial interest sold.

²  Represents net shares/beneficial interest purchased.

(b) Security, or a portion of security, is on loan. (c) Represents the current yield as of report date.

(d) All or a portion of security was purchased with the cash collateral from loaned securities.

88

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2014

(Unaudited)

• Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 - unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the LifePath Master Portfolio has the ability to access

• Level 2 - other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the LifePath Master Portfolio’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the LifePath Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the LifePath Master Portfolio’s policy regarding valuation of investments, please refer to the LifePath Master Portfolio’s most recent financial statements as contained in its annual report.

The following table summarizes the LifePath Master Portfolio’s investments categorized in the disclosure hierarchy as of March 31, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	496,743,376	$	1,593,300,402		—	$	2,090,043,778

The carrying amount for certain of the LifePath Master Portfolio’s liabilities approximates fair value for financial reporting purposes. As of March 31, 2014, collateral on securities loaned at value of $(52,113,220) is categorized as Level 2 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2014.

89

LIFEPATH 2050 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Affiliated Investment Companies(a)	Shares/Beneficial Interest		Value
Equity Funds - 90.0%
Active Stock Master Portfolio	$	136,795,071	$	136,795,071
BlackRock Commodity Strategies Fund		1,469,543		14,342,741
BlackRock Emerging Markets Fund, Inc.		1,042,777		20,302,877
International Tilts Master Portfolio	$	65,075,761		65,075,761
iShares Cohen & Steers REIT ETF		245,496		20,189,591
iShares International Developed Real Estate ETF		677,824		20,368,611
iShares MSCI Canada ETF (b)		204,998		6,057,691
iShares MSCI EAFE Small-Cap ETF		192,424		10,044,533
Master Small Cap Index Series	$	7,739,437		7,739,437
Russell 1000® Index Master Portfolio	$	41,597,208		41,597,208
				342,513,521
Fixed Income Fund - 9.7%
CoreAlpha Bond Master Portfolio	$	37,158,161		37,158,161
Short-Term Securities - 1.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.13% (c)(d)		947,069	$	947,069
BlackRock Cash Funds: Prime, SL Agency Shares, 0.10% (c)(d)		4,281,343		4,281,343
				5,228,412
Total Affiliated Investment Companies
(Cost - $337,832,562*) - 101.1%				384,900,094
Liabilities in Excess of Other Assets - (1.1)%				(4,301,319	)
Net Assets - 100.0%			$	380,598,775

* As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	338,982,011
Gross unrealized appreciation	$	47,507,342
Gross unrealized depreciation		(1,589,259	)
Net unrealized appreciation	$	45,918,083

Notes to Schedule of Investments

(a) Investments in issuers considered to be an affiliate of the LifePath Master Portfolio during the period ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2013		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at March 31, 2014		Value at March 31, 2014		Income		Realized Gain (Loss)
Active Stock Master Portfolio	$	176,775,516		—		$	(39,980,445	)1	$	136,795,071	$	136,795,071	$	644,073	$	19,181,609
ACWI ex-US Index Master Portfolio	$	27,522,238		—		$	(27,522,238	)1		—		—	$	194,766	$	2,865,385
BlackRock Cash Funds: Institutional, SL Agency Shares		5,872,036		—			(4,924,967	)1		947,069	$	947,069	$	477		—
BlackRock Cash Funds: Prime, SL Agency Shares		859,378		3,421,965	2		—			4,281,343	$	4,281,343	$	4,030		—
BlackRock Commodity Strategies Fund		1,705,352		13,903			(249,712	)		1,469,543	$	14,342,741	$	—	$	(306,637	)
BlackRock Emerging Markets Fund, Inc.		539,560		503,217			—			1,042,777	$	20,302,877		—		—
CoreAlpha Bond Master Portfolio	$	40,230,315		—		$	(3,072,154	)1	$	37,158,161	$	37,158,161	$	246,977	$	(22,769	)
International Tilts Master Portfolio	$	36,382,911	$	28,692,850	2		—		$	65,075,761	$	65,075,761		—		—

90

LIFEPATH 2050 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2014

(Unaudited)

iShares Cohen & Steers REIT ETF	260,332		43,784			(58,620	)		245,496	$	20,189,591	$	140,720	$	(44,353	)
iShares International Developed Real Estate ETF	725,825		45,569			(93,570	)		677,824	$	20,368,611	$	125,000	$	(253,635	)
iShares MSCI Canada ETF	209,515		25,655			(30,172	)		204,998	$	6,057,691		—	$	(53,558	)
iShares MSCI EAFE ETF	211,392		—			(211,392	)		—	$	—		—	$	3,846,398
iShares MSCI EAFE Small-Cap ETF	203,079		16,678			(27,333	)		192,424	$	10,044,533		—	$	230,463
iShares MSCI Emerging Markets ETF	113,169		—			(113,169	)		—		—		—	$	452,035
Master Small Cap Index Series	8,543,922		—		$	(804,485	)1	$	7,739,437	$	7,739,437	$	19,648	$	394,091
Russell 1000® Index Master Portfolio	21,543,179	$	20,054,029	2		—		$	41,597,208	$	41,597,208		—	$	(2,321	)

¹  Represents net shares/beneficial interest sold.

²  Represents net shares/beneficial interest purchased.

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

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

(d) All or a portion of security was purchased with the cash collateral from loaned securitis.

• Fair Value Measurements - Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 - unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the LifePath Master Portfolio has the ability to access

• Level 2 - other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the LifePath Master Portfolio’s own assumptions used in determining the fair value of investments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the LifePath Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the LifePath Master Portfolio’s policy regarding valuation of investments, please refer to the LifePath Master Portfolio’s most recent financial statements as contained in its annual report.

The following table summarizes the LifePath Master Portfolio’s investments categorized in the disclosure hierarchy as of March 31, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	96,534,456	$	288,365,638		—	$	384,900,094

The carrying amount for certain of the LifePath Master Portfolio’s liabilities approximates fair value for financial reporting purposes. As of March 31, 2014, collateral on securities loaned at value of $(4,462,740) is categorized as Level 2 within the disclosure hierarchy.

There were no transfers between levels during the period ended March 31, 2014.

91

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks	Shares		Value
Aerospace & Defense - 4.1%
The Boeing Co.		145,298	$	18,233,446
Exelis, Inc.		213,696		4,062,361
General Dynamics Corp.		11,599		1,263,363
Honeywell International, Inc.		18,080		1,677,101
Lockheed Martin Corp.		20,300		3,313,772
Northrop Grumman Corp.		167,752		20,697,242
Precision Castparts Corp.		37,698		9,528,546
Raytheon Co.		186,836		18,457,528
Rockwell Collins, Inc.		49,260		3,924,544
Spirit Aerosystems Holdings, Inc., Class A (a)		19,083		537,950
TransDigm Group, Inc.		1,245		230,574
United Technologies Corp.		170,181		19,883,948
				101,810,375
Air Freight & Logistics - 0.4%
United Parcel Service, Inc., Class B		96,214		9,369,319
Airlines - 1.2%
Alaska Air Group, Inc.		1,560		145,564
American Airlines Group, Inc. (a)		77,004		2,818,346
Copa Holdings SA, Class A		34,221		4,968,547
Delta Air Lines, Inc.		331,433		11,484,153
Southwest Airlines Co.		36,842		869,840
United Continental Holdings, Inc. (a)		188,726		8,422,841
				28,709,291
Auto Components - 1.3%
BorgWarner, Inc.		104,240		6,407,633
Delphi Automotive PLC		77,193		5,238,317
Johnson Controls, Inc.		207,670		9,826,944
Lear Corp.		99,459		8,326,708
TRW Automotive Holdings Corp. (a)		21,400		1,746,668
				31,546,270
Automobiles - 0.3%
General Motors Co.		183,000		6,298,860
Beverages - 0.9%
The Coca-Cola Co.		255,225		9,866,998
Coca-Cola Enterprises, Inc.		17,684		844,588
Constellation Brands, Inc., Class A (a)		1,511		128,390
Diageo PLC		357,040		11,089,333
Monster Beverage Corp. (a)		4,079		283,286
				22,212,595
Biotechnology - 2.8%
Alexion Pharmaceuticals, Inc. (a)		11,840		1,801,219
Amgen, Inc.		166,074		20,483,567
Biogen Idec, Inc. (a)		41,890		12,812,894
Celgene Corp. (a)		36,595		5,108,662
Gilead Sciences, Inc. (a)		157,569		11,165,340
Regeneron Pharmaceuticals, Inc. (a)		17,597		5,284,027
United Therapeutics Corp. (a)		123,260		11,590,138
				68,245,847
Capital Markets - 1.1%
Affiliated Managers Group, Inc. (a)		9,552		1,910,878
Ameriprise Financial, Inc.		4,420		486,509
The Bank of New York Mellon Corp.		6		212
The Goldman Sachs Group, Inc.		40,664		6,662,796
Morgan Stanley		396,429		12,356,692
Raymond James Financial, Inc.		42,074		2,353,199
State Street Corp.		14,400		1,001,520
Waddell & Reed Financial, Inc., Class A		34,155		2,514,491
				27,286,297
Chemicals - 3.1%
Akzo Nobel NV - ADR (b)		132,100		3,602,367
Ashland, Inc.		25,100		2,496,948
Cabot Corp.		7,700		454,762
Celanese Corp., Series A		47,129		2,616,131
CF Industries Holdings, Inc.		8,780		2,288,419
The Dow Chemical Co.		178,440		8,670,400
E.I. du Pont de Nemours & Co.		180,920		12,139,732
Eastman Chemical Co.		78,742		6,788,348
Huntsman Corp.		6,200		151,404
International Flavors & Fragrances, Inc.		3,758		359,528
LyondellBasell Industries NV, Class A		98,942		8,799,901
Monsanto Co.		61,632		7,011,873
NewMarket Corp. (b)		2,164		845,648
PPG Industries, Inc.		87,786		16,983,079
RPM International, Inc.		1,122		46,944
The Valspar Corp.		30,819		2,222,666
Westlake Chemical Corp.		9,366		619,842
				76,097,992
Commercial Banks - 3.6%
CIT Group, Inc.		46,425		2,275,754
Fifth Third Bancorp		341,000		7,825,950
First Citizens BancShares, Inc., Class A		340		81,855
Regions Financial Corp.		305,100		3,389,661
SunTrust Banks, Inc.		238,520		9,490,711
SVB Financial Group (a)		736		94,782
US Bancorp		276,990		11,871,791
Wells Fargo & Co.		1,111,026		55,262,433
				90,292,937
Communications Equipment - 2.0%
Cisco Systems, Inc.		764,830		17,139,840

92

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Communications Equipment (cont.)
Knowles Corp. (a)		65,957	$	2,082,262
Motorola Solutions, Inc.		99,140		6,373,711
QUALCOMM, Inc.		263,717		20,796,723
Telefonaktiebolaget LM Ericsson - ADR (b)		283,000		3,772,390
Ubiquiti Networks, Inc. (a)		5,802		263,817
				50,428,743
Computers & Peripherals - 1.9%
Apple, Inc.		51,351		27,562,136
EMC Corp.		422,330		11,576,065
Lexmark International, Inc., Class A		1,077		49,854
NCR Corp. (a)		18,403		672,630
NetApp, Inc.		134,478		4,962,238
Nimble Storage, Inc. (a)		5,453		206,614
Synaptics, Inc. (a)		9,648		579,073
Western Digital Corp.		20,675		1,898,379
				47,506,989
Consumer Finance - 1.9%
American Express Co.		124,210		11,182,626
Capital One Financial Corp.		162,050		12,503,778
Discover Financial Services		402,841		23,441,318
				47,127,722
Containers & Packaging - 0.9%
Avery Dennison Corp.		87,091		4,412,901
Crown Holdings, Inc. (a)		12,500		559,250
Graphic Packaging Holding Co. (a)		13,580		137,973
MeadWestvaco Corp.		150,348		5,659,098
Packaging Corp. of America		159,743		11,241,115
				22,010,337
Distributors - 0.0%
Genuine Parts Co.		10,648		924,779
Diversified Consumer Services - 0.0%
Apollo Education Group, Inc., Class A (a)		2,595		88,853
Diversified Financial Services - 5.4%
Bank of America Corp.		742,490		12,770,828
Citigroup, Inc.		976,473		46,480,115
CME Group, Inc.		41,400		3,064,014
IntercontinentalExchange Group, Inc.		20,451		4,045,821
JPMorgan Chase & Co.		950,196		57,686,399
Leucadia National Corp.		35,220		986,160
Moody’s Corp.		52,806		4,188,572
The NASDAQ OMX Group, Inc.		140,900		5,204,846
PHH Corp. (a)		3,057		78,993
				134,505,748
Diversified Telecommunication Services - 0.7%
BCE, Inc.		30,740		1,326,124
Verizon Communications, Inc.		269,353		12,813,122
Vivendi SA		128,949		3,589,017
				17,728,263
Electric Utilities - 0.7%
American Electric Power Co., Inc.		135,839		6,881,604
Duke Energy Corp.		21,886		1,558,721
Edison International		41,150		2,329,501
FirstEnergy Corp.		10,010		340,640
ITC Holdings Corp.		27,970		1,044,679
NextEra Energy, Inc.		36,480		3,488,218
Northeast Utilities		21,580		981,890
				16,625,253
Electrical Equipment - 1.1%
Eaton Corp. PLC		122,313		9,188,153
Emerson Electric Co.		83,144		5,554,019
Rockwell Automation, Inc.		57,800		7,198,990
Roper Industries, Inc.		24,008		3,205,308
SolarCity Corp. (a)		27,195		1,702,951
				26,849,421
Electronic Equipment, Instruments & Components - 0.5%
Avnet, Inc.		20,900		972,477
Corning, Inc.		83,500		1,738,470
Flextronics International Ltd. (a)		244,235		2,256,731
Ingram Micro, Inc., Class A (a)		85,727		2,534,090
TE Connectivity Ltd.		69,340		4,174,962
				11,676,730
Energy Equipment & Services - 2.3%
FMC Technologies, Inc. (a)		117,982		6,169,279
Halliburton Co.		131,482		7,742,975
National Oilwell Varco, Inc.		46,279		3,603,746
Oceaneering International, Inc.		84,590		6,078,637
Schlumberger Ltd.		335,006		32,663,085
				56,257,722
Food & Staples Retailing - 1.2%
Costco Wholesale Corp.		8,031		896,902
CVS Caremark Corp.		253,147		18,950,584
The Kroger Co.		199,140		8,692,461
Safeway, Inc.		40,792		1,506,857
				30,046,804
Food Products - 1.6%
Archer-Daniels-Midland Co.		49,238		2,136,437

93

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Food Products (cont.)
Bunge Ltd.		31,199	$	2,480,633
ConAgra Foods, Inc.		56,100		1,740,783
Flowers Foods, Inc.		4,900		105,105
Kraft Foods Group, Inc.		194,964		10,937,480
Mondelez International, Inc., Class A		337,099		11,646,770
Sanderson Farms, Inc.		994		78,019
Unilever NV - NY Shares		164,140		6,749,437
The WhiteWave Foods Co., Class A (a)		147,703		4,215,444
				40,090,108
Gas Utilities - 0.1%
ONE Gas, Inc. (a)		12,928		464,503
UGI Corp.		58,400		2,663,624
				3,128,127
Health Care Equipment & Supplies - 2.5%
Abbott Laboratories		212,050		8,166,046
Baxter International, Inc.		144,489		10,631,501
Becton Dickinson & Co.		60,318		7,062,031
Boston Scientific Corp. (a)		98,267		1,328,570
Hologic, Inc. (a)		68,100		1,464,150
Intuitive Surgical, Inc. (a)		9,788		4,287,046
Medtronic, Inc.		211,281		13,002,233
St. Jude Medical, Inc.		152,550		9,975,244
Zimmer Holdings, Inc.		63,000		5,958,540
				61,875,361
Health Care Providers & Services - 2.2%
Aetna, Inc.		123,440		9,254,297
AmerisourceBergen Corp.		10,091		661,869
Cardinal Health, Inc.		73,866		5,169,143
Catamaran Corp. (a)		65,514		2,932,407
Express Scripts Holding Co. (a)		1,000		75,090
Health Net, Inc. (a)		22,630		769,646
McKesson Corp.		58,590		10,345,236
Quest Diagnostics, Inc. (b)		177,900		10,303,968
Universal Health Services, Inc.		92,067		7,555,939
VCA Antech, Inc. (a)		156,813		5,054,083
WellPoint, Inc.		25,841		2,572,471
				54,694,149
Hotels, Restaurants & Leisure - 2.1%
Bally Technologies, Inc. (a)		23,083		1,529,710
Chipotle Mexican Grill, Inc. (a)		1,236		702,110
Domino’s Pizza, Inc.		72,682		5,594,334
Hyatt Hotels Corp., Class A (a)		50,850		2,736,238
International Game Technology		159,766		2,246,310
Las Vegas Sands Corp.		194,102		15,679,560
Norwegian Cruise Line Holdings Ltd. (a)		2,406		77,642
Six Flags Entertainment Corp.		63,850		2,563,577
Starbucks Corp.		162,534		11,926,745
Starwood Hotels & Resorts Worldwide, Inc.		2		159
Wynn Resorts Ltd.		35,235		7,827,455
				50,883,840
Household Durables - 0.8%
Newell Rubbermaid, Inc.		137,100		4,099,290
Tupperware Brands Corp.		6,200		519,312
Whirlpool Corp.		93,385		13,957,322
				18,575,924
Household Products - 0.6%
Colgate-Palmolive Co.		15,305		992,835
Energizer Holdings, Inc.		50,800		5,117,592
The Procter & Gamble Co.		116,458		9,386,515
				15,496,942
Independent Power Producers & Energy Traders - 0.3%
The AES Corp.		464,700		6,635,916
Industrial Conglomerates - 1.5%
3M Co.		119,000		16,143,540
General Electric Co.		844,103		21,853,827
				37,997,367
Insurance - 3.5%
ACE Ltd.		23,110		2,289,277
Aflac, Inc.		42,992		2,710,216
Allied World Assurance Co. Holdings AG		3,094		319,270
The Allstate Corp.		125,771		7,116,123
American Financial Group, Inc.		1,805		104,167
Aspen Insurance Holdings Ltd.		4,011		159,237
Assurant, Inc.		720		46,771
Berkshire Hathaway, Inc., Class B (a)		40,224		5,026,793
Brown & Brown, Inc.		3,823		117,595
CNA Financial Corp.		88,692		3,788,922
Everest Re Group Ltd.		1,841		281,765
Genworth Financial, Inc., Class A (a)		354,500		6,285,285
Hartford Financial Services Group, Inc.		130,426		4,600,125
Horace Mann Educators Corp.		3,544		102,776
Kemper Corp.		3		117
Lincoln National Corp.		99,762		5,054,941
MetLife, Inc.		148,068		7,817,990
PartnerRe Ltd.		4,712		487,692
Prudential Financial, Inc.		240,147		20,328,444
The Travelers Cos., Inc.		157,261		13,382,911
White Mountains Insurance Group Ltd.		296		177,570

94

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Insurance (cont.)
Willis Group Holdings PLC		86,294	$	3,808,154
XL Group PLC		99,700		3,115,625
				87,121,766
Internet & Catalog Retail - 1.4%
Amazon.com, Inc. (a)		31,696		10,666,338
Expedia, Inc.		38,415		2,785,088
priceline.com, Inc. (a)		14,061		16,759,165
TripAdvisor, Inc. (a)		59,099		5,353,778
				35,564,369
Internet Software & Services - 4.4%
AOL, Inc. (a)		66,412		2,906,853
eBay, Inc. (a)		97,388		5,379,713
Facebook, Inc. (a)		121,148		7,297,955
Google, Inc., Class A (a)		54,521		60,764,200
LinkedIn Corp. (a)		32,094		5,935,464
Twitter, Inc. (a)(b)		44,610		2,081,949
VeriSign, Inc. (a)(b)		157,647		8,498,750
Yahoo!, Inc. (a)		306,644		11,008,520
Yelp, Inc. (a)		63,901		4,915,904
				108,789,308
IT Services - 3.8%
Alliance Data Systems Corp. (a)		65,288		17,787,716
Amdocs Ltd.		10,434		484,764
Automatic Data Processing, Inc.		33,282		2,571,367
Booz Allen Hamilton Holding Corp.		12,763		280,786
Broadridge Financial Solutions, Inc.		76,967		2,858,554
Cognizant Technology Solutions Corp., Class A (a)		128,140		6,485,165
DST Systems, Inc.		64,810		6,143,340
Genpact Ltd. (a)		56,771		988,951
International Business Machines Corp.		12,430		2,392,651
Mastercard, Inc., Class A		383,967		28,682,335
Science Applications International Corp.		1,002		37,465
Total System Services, Inc.		113,291		3,445,179
Visa, Inc., Class A (b)		90,698		19,578,070
The Western Union Co. (b)		199,280		3,260,221
				94,996,564
Life Sciences Tools & Services - 0.4%
Agilent Technologies, Inc.		160,440		8,971,805
Machinery - 1.5%
AGCO Corp.		94,896		5,234,463
CNH Industrial NV (a)(b)		119,281		1,371,731
Cummins, Inc.		40,440		6,025,156
Ingersoll-Rand PLC		85,780		4,910,047
ITT Corp.		14,655		626,648
Parker Hannifin Corp.		51,620		6,179,430
Stanley Black & Decker, Inc.		16,600		1,348,584
The Toro Co.		27,882		1,761,864
Trinity Industries, Inc.		8,184		589,821
Valmont Industries, Inc. (b)		17,451		2,597,407
WABCO Holdings, Inc. (a)		58,232		6,146,970
				36,792,121
Marine - 0.1%
Matson, Inc.		77,056		1,902,513
Media - 4.8%
CBS Outdoor Americas, Inc. (a)		15,595		456,154
Cinemark Holdings, Inc.		20,501		594,734
Comcast Corp., Class A		591,980		29,610,839
Comcast Corp., Special Class A		290,800		14,179,408
DIRECTV (a)		52,196		3,988,818
The Interpublic Group of Cos., Inc.		70,200		1,203,228
Lamar Advertising Co., Class A (a)		26,536		1,353,071
Liberty Global PLC, Class A (a)		216,997		9,027,075
Lions Gate Entertainment Corp.		108,212		2,892,507
Omnicom Group, Inc.		8,011		581,598
Regal Entertainment Group, Class A (b)		113,622		2,122,459
Time Warner Cable, Inc.		9,004		1,235,169
Time Warner, Inc.		198,260		12,952,326
Twenty-First Century Fox, Inc., Class A		351,513		11,237,871
Viacom, Inc., Class B		150,619		12,801,109
The Walt Disney Co.		190,641		15,264,625
				119,500,991
Metals & Mining - 0.6%
BHP Billiton Ltd.		420,120		14,240,070
Reliance Steel & Aluminum Co.		21,600		1,526,256
Steel Dynamics, Inc.		2,000		35,580
				15,801,906
Multi-Utilities - 0.6%
CenterPoint Energy, Inc.		95,663		2,266,257
CMS Energy Corp.		115,276		3,375,281
Dominion Resources, Inc.		56,670		4,023,003
DTE Energy Co.		24,708		1,835,557
PG&E Corp.		7,800		336,960
Sempra Energy		20,110		1,945,844
Wisconsin Energy Corp.		22,520		1,048,306
				14,831,208
Multiline Retail - 0.2%
Dollar General Corp. (a)		49,223		2,730,892
JC Penney Co., Inc. (a)(b)		3		26
Kohl’s Corp. (b)		38,700		2,198,160
Macy’s, Inc.		10,300		610,687
				5,539,765

95

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Office Electronics - 0.3%
Xerox Corp.		551,964	$	6,237,193
Zebra Technologies Corp., Class A (a)		8,077		560,625
				6,797,818
Oil, Gas & Consumable Fuels - 7.7%
Anadarko Petroleum Corp.		52,192		4,423,794
Apache Corp.		98,400		8,162,280
Chevron Corp.		126,370		15,026,657
Cobalt International Energy, Inc. (a)		105,900		1,940,088
Concho Resources, Inc. (a)		25,512		3,125,220
ConocoPhillips		72,650		5,110,927
Continental Resources, Inc. (a)		3,861		479,806
Devon Energy Corp.		81,049		5,424,610
Exxon Mobil Corp.		110,687		10,811,906
Gulfport Energy Corp. (a)		62,600		4,455,868
Laredo Petroleum, Inc. (a)(b)		127,333		3,292,831
Marathon Oil Corp.		809,235		28,744,027
Marathon Petroleum Corp.		245,220		21,343,949
Noble Energy, Inc.		104,003		7,388,373
Occidental Petroleum Corp.		177,410		16,905,399
PBF Energy, Inc.		71,737		1,850,815
Phillips 66		48,845		3,763,996
Spectra Energy Corp.		118,760		4,386,994
Suncor Energy, Inc.		459,900		16,078,104
Total SA - ADR		308,770		20,255,312
Valero Energy Corp.		126,601		6,722,513
				189,693,469
Paper & Forest Products - 0.3%
International Paper Co.		173,155		7,944,351
Personal Products - 0.2%
The Estee Lauder Cos., Inc., Class A		59,032		3,948,060
Herbalife Ltd. (b)		2,543		145,638
Nu Skin Enterprises, Inc., Class A		12,218		1,012,261
				5,105,959
Pharmaceuticals - 6.9%
AbbVie, Inc.		378,860		19,473,404
Actavis PLC (a)		24,190		4,979,511
Allergan, Inc.		29,442		3,653,752
AstraZeneca PLC - ADR		112,400		7,292,512
Bristol-Myers Squibb Co.		209,498		10,883,421
Eli Lilly & Co.		331,639		19,520,272
Hospira, Inc. (a)		86,600		3,745,450
Johnson & Johnson		312,543		30,701,099
Merck & Co., Inc.		559,023		31,735,736
Pfizer, Inc.		823,210		26,441,505
Teva Pharmaceutical Industries Ltd. - ADR		89,500		4,729,180
Valeant Pharmaceuticals International, Inc. (a)		62,860		8,286,834
				171,442,676
Professional Services - 0.4%
IHS, Inc., Class A (a)		5,011		608,837
Manpowergroup, Inc.		95,574		7,534,098
Verisk Analytics, Inc., Class A (a)		39,947		2,395,222
				10,538,157
Real Estate Investment Trusts (REITs) - 0.7%
Alexandria Real Estate Equities, Inc.		2,941		213,399
American Tower Corp.		40,040		3,278,075
Digital Realty Trust, Inc. (b)		10,478		556,172
DuPont Fabros Technology, Inc.		2,450		58,972
Equity Lifestyle Properties, Inc.		59,201		2,406,521
Gaming and Leisure Properties, Inc.		8,118		295,982
Host Hotels & Resorts, Inc.		34,832		705,000
Rayonier, Inc.		87,651		4,024,057
Weyerhaeuser Co.		135,510		3,977,218
WP Carey, Inc.		16,762		1,006,893
				16,522,289
Real Estate Management & Development - 0.1%
CBRE Group, Inc., Class A (a)		29,600		811,928
Jones Lang LaSalle, Inc.		17,700		2,097,450
Realogy Holdings Corp. (a)		4,208		182,838
				3,092,216
Road & Rail - 1.2%
Norfolk Southern Corp.		55,361		5,379,429
Union Pacific Corp.		132,802		24,921,623
				30,301,052
Semiconductors & Semiconductor Equipment - 1.7%
Altera Corp.		66,515		2,410,504
Amkor Technology, Inc. (a)		28,217		193,569
Applied Materials, Inc.		183,250		3,741,965
Intel Corp.		620,350		16,011,233
KLA-Tencor Corp.		20,500		1,417,370
Marvell Technology Group Ltd.		28,668		451,521
Maxim Integrated Products, Inc.		135,855		4,499,517
NXP Semiconductor NV (a)		126,017		7,411,060
Skyworks Solutions, Inc. (a)		58,665		2,201,111
Teradyne, Inc. (a)		145,900		2,901,951
				41,239,801

96

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Common Stocks (Cont.)	Shares		Value
Software - 4.0%
Autodesk, Inc. (a)		120,310	$	5,916,846
Microsoft Corp.		1,517,719		62,211,302
Oracle Corp.		423,850		17,339,703
PTC, Inc. (a)		29,480		1,044,476
Symantec Corp.		285,390		5,699,238
TIBCO Software, Inc. (a)		100,186		2,035,780
VMware, Inc., Class A (a)		54,228		5,857,709
				100,105,054
Specialty Retail - 2.2%
Advance Auto Parts, Inc.		17,918		2,266,627
GNC Holdings, Inc., Class A		44,700		1,967,694
The Home Depot, Inc.		107,650		8,518,344
Lowe’s Cos., Inc.		275,110		13,452,879
Lumber Liquidators Holdings, Inc. (a)		19,020		1,784,076
Murphy USA, Inc. (a)		87,431		3,548,824
Ross Stores, Inc.		99,260		7,102,053
Sears Hometown and Outlet Stores, Inc. (a)		27,401		648,034
TJX Cos., Inc.		188,325		11,421,911
Urban Outfitters, Inc. (a)		66,780		2,435,467
				53,145,909
Textiles, Apparel & Luxury Goods - 1.4%
Deckers Outdoor Corp. (a)		7,915		631,063
NIKE, Inc., Class B		238,700		17,630,382
VF Corp.		275,003		17,017,186
				35,278,631
Thrifts & Mortgage Finance - 0.0%
Ocwen Financial Corp. (a)		21,319		835,278
Tobacco - 0.4%
Lorillard, Inc.		60,764		3,286,117
Philip Morris International, Inc.		82,885		6,785,795
				10,071,912
Trading Companies & Distributors - 0.4%
Air Lease Corp.		167,680		6,252,787
MRC Global, Inc. (a)		66,853		1,802,357
United Rentals, Inc. (a)		12,347		1,172,224
Watsco, Inc.		9,695		968,628
				10,195,996
Water Utilities - 0.1%
American Water Works Co., Inc.		55,970		2,541,038
Wireless Telecommunication Services - 0.5%
Crown Castle International Corp.		9,310		686,892
Softbank Corp.		108,300		8,184,038
Telephone & Data Systems, Inc.		99,698		2,613,085
United States Cellular Corp.		15,200		623,352
				12,107,367
Total Common Stocks - 98.9%				2,449,796,170
Preferred Stocks
Machinery - 0.0%
Stanley Black & Decker, Inc., (a)(b)		2,300		248,262
Software - 0.1%
Palantir Technologies, Inc.		402,138		2,465,106
Total Preferred Stocks - 0.1%				2,713,368
Total Long-Term Investments
(Cost - $ 2,071,730,805) - 99.0%				2,452,509,538
Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.13% (c)(d)(e)		57,539,004		57,539,004
BlackRock Cash Funds: Prime, SL Agency Shares, 0.10% (c)(d)(e)		16,453,408		16,453,408
Total Short-Term Securities
(Cost - $ 73,992,412) - 3.0%				73,992,412
Total Investments
(Cost - $ 2,145,723,217*) - 102.0%				2,526,501,950
Liabilities in Excess of Other Assets - (2.0)%				(48,757,845	)
Net Assets - 100.0%			$	2,477,744,105

* As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	2,181,230,011
Gross unrealized appreciation	$	388,374,307
Gross unrealized depreciation		(43,102,368	)
Net unrealized appreciation	$	345,271,939

97

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

Notes to Schedule of Investments

(a) Non-income producing security.

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

(c) All or a portion of security was purchased with the cash collateral from loaned securities.

(d) Investments in issuers considered to be an affiliate of the Master Portfolio during the period ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2013		Net Activity1			Shares Held at March 31, 2014		Income
BlackRock Cash Funds: Prime, SL Agency Shares		31,618,522		(15,165,114	)		16,453,408	$	50,411
BlackRock Cash Funds: Institutional, SL Agency Shares		226,864,969		(169,325,965	)		57,539,004	$	15,688

¹  Represents net shares sold.

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

Portfolio Abbreviations

ADR	American Depositary Receipts
JPY	Japanese Yen
USD	U.S. Dollar

• Financial futures contracts outstanding as of March 31, 2014 were as follows:

Contracts Purchased	Issue	Exchange	Expiration		Notional Value		Unrealized Appreciation
118	S&P 500 E-Mini Index	Chicago Mercantile		June 2014	$	11,001,140	$	168,862

• Forward foreign currency exchange contracts as of March 31, 2014 were as follows:

Currency Purchased	Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation
USD 5,347,445		JPY 546,775,196	Royal Bank of Scotland Group PLC	5/28/14	$	48,425

98

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

• For Master Portfolio compliance purposes, the Master Portfolio‘s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease

• Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 - unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

• Level 2 - other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy as of March 31, 2014:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments1	$	2,412,941,974	$	37,102,458	$	2,465,106	$	2,452,509,538
Short-Term Securities		73,992,412		—		—		73,992,412
Total	$	2,486,934,386	$	37,102,458	$	2,465,106	$	2,526,501,950

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

	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments 2
Assets:
Equity contracts	$	168,862		—		—	$	168,862
Forward foreign currency exchange contracts		—	$	48,425		—		48,425
Total	$	168,862	$	48,425		—	$	217,287

²  Derivative financial instruments are financial futures contracts and forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

99

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

The carrying amount for certain of the Master Portfolio’s assets and/or liabilities approximates fair value for financial reporting purposes. As of March 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for financial future contracts	$	559,000		—			—	$	559,000
Foreign currency at value		3,493		—			—		3,493
Liabilities:
Collateral on securities loaned at value		—	$	(17,150,524	)		—		(17,150,524	)
Total	$	562,493	$	(17,150,524	)		—	$	(16,588,031	)

There were no transfers between levels during the period ended March 31, 2014.

100

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Asset-Backed Securities	Par (000)		Value
Access Group, Inc., Class A2 (a):
Series 2005-1, 0.34%, 3/23/20	USD	1,762	$	1,758,897
Series 2005-A, 0.46%, 4/27/26		1,811		1,801,676
Series 2007-1, 0.27%, 4/25/17		3,693		3,676,991
ACE Securities Corp. Home Equity Loan Trust (a):
Series 2005-AG1, Class A2D, 0.51%, 8/25/35		1,875		1,776,433
Series 2005-HE2, Class M3, 0.87%, 4/25/35		2,866		2,852,261
Series 2005-HE4, Class M2, 0.67%, 7/25/35		3,400		3,371,287
American Credit Acceptance Receivables Trust, Series 2014- 1, Class A, 1.14%, 3/12/18 (b)		2,634		2,634,745
American Express Credit Account Master Trust, Class C (b):
Series 2005-2, 0.65%, 10/16/17 (a)		700		699,255
Series 2012-2, 1.29%, 3/15/18		3,230		3,235,924
AmeriCredit Automobile Receivables Trust:
Series 2010-1, Class C, 5.19%, 8/17/15		823		826,937
Series 2010-1, Class D, 6.65%, 7/17/17		1,500		1,511,211
Series 2010-4, Class D, 4.20%, 11/08/16		2,600		2,691,187
Series 2011-1, Class C, 2.85%, 8/08/16		2,820		2,857,390
Series 2011-2, Class D, 4.00%, 5/08/17		1,700		1,756,787
Series 2011-3, Class C, 2.86%, 1/09/17		1,900		1,930,341
Series 2012-5, Class B, 1.12%, 11/08/17		3,040		3,051,367
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, Series 2005-R6, Class A2, 0.35%, 8/25/35 (a)		198		196,242
Bank One Issuance Trust, Series 2004-C2, Class C2, 0.96%, 2/15/17 (a)		2,635		2,637,411
Bear Stearns Asset-Backed Securities I Trust (a):
Series 2004-BO1, Class 2A1, 0.47%, 10/25/34		572		571,540
Series 2006-HE1, Class 1A3, 0.48%, 12/25/35		3,565		3,508,566
BNC Mortgage Loan Trust, Series 2007-4, Class A3A, 0.40%, 11/25/37 (a)		486		481,303
Carfinance Capital Auto Trust, Class A (b):
Series 2013-1A, 1.65%, 7/17/17		2,024		2,031,536
Series 2013-2A, 1.75%, 11/15/17		2,625		2,631,899
Series 2014-1A, 1.46%, 12/17/18		4,300		4,270,708
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-5, Class 1A4, 4.40%, 2/25/30		23		23,206
CIT Mortgage Loan Trust, Series 2007-1, Class 2A2, 1.40%, 10/25/37 (a)(b)		6,569		6,547,145
Citigroup Mortgage Loan Trust, Series 2007-WFH2, Class A2, 0.30%, 3/25/37 (a)		215		215,177
Countrywide Asset-Backed Certificates (a):
Series 2005-4, Class MV1, 0.61%, 10/25/35		628		627,728
Series 2005-8, Class M1, 0.62%, 12/25/35		3,075		3,026,885
CPS Auto Receivables Trust, Series 2011-B, Class B, 5.68%, 9/17/18 (b)		1,165		1,213,558
Credit Suisse Mortgage Capital Certificates, Series 2006-CF3, Class A1, 0.42%, 10/25/36 (a)(b)		2,055		2,013,750
DT Auto Owner Trust, Series 2012- 2A (b):
Class C, 2.72%, 4/17/17		2,300		2,313,448
Class D, 4.35%, 3/15/19		3,400		3,484,983
Exeter Automobile Receivables Trust (b):
Series 2013-1A, Class A, 1.29%, 10/16/17		2,680		2,684,014
Series 2013-1A, Class B, 2.41%, 5/15/18		2,300		2,320,084
Series 2014-1A, Class A, 1.29%, 5/15/18		13,780		13,797,752
First Franklin Mortgage Loan Trust (a):
Series 2004-FF10, Class A3, 0.69%, 9/25/34		43		43,414
Series 2005-FF2, Class M2, 0.81%, 3/25/35		1,080		1,078,537
Series 2005-FF4, Class M1, 0.58%, 5/25/35		3,194		3,179,960
Series 2005-FF10, Class A4, 0.47%, 11/25/35		1,171		1,113,355

101

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SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Asset-Backed Securities (Cont.)	Par (000)		Value
First Investors Auto Owner Trust, Class A2 (b):
Series 2013-1A, 0.90%, 10/15/18	USD	2,424	$	2,426,705
Series 2013-3A, 0.89%, 9/15/17		1,800		1,802,124
HLSS Servicer Advance Receivables Backed Notes (b):
Series 2012-T2, Class A2, 1.99%, 10/15/45		1,115		1,122,805
Series 2012-T2, Class B2, 2.48%, 10/15/45		100		100,940
Series 2012-T2, Class C2, 3.96%, 10/15/45		3,726		3,806,854
Series 2012-T2, Class D2, 4.94%, 10/15/45		870		890,706
Series 2013-T1, Class A2, 1.50%, 1/16/46		11,220		11,197,560
Series 2013-T1, Class D2, 3.23%, 1/16/46		1,810		1,824,480
Series 2013-T2, Class A2, 1.15%, 5/16/44		8,200		8,172,120
Series 2013-T2, Class C2, 1.84%, 5/16/44		1,000		997,800
Series 2013-T2, Class D2, 2.39%, 5/16/44		1,350		1,345,545
Series 2013-T4, Class C, 1.78%, 8/15/44		1,150		1,150,000
Series 2013-T6, Class A, 1.29%, 9/15/44		3,000		3,004,500
Series 2013-T6, Class C, 1.73%, 9/15/44		900		899,730
Series 2014-T1, Class A, 1.24%, 1/17/45		1,200		1,200,720
Series 2014-T1, Class B, 1.54%, 1/17/45		2,100		2,100,630
Series 2014-T1, Class C, 1.79%, 1/17/45		2,000		2,000,600
HSI Asset Securitization Corp. Trust, Series 2006-OPT4, Class 2A5, 0.00%, 3/25/36 (c)		4,500		4,027,851
Iowa Student Loan Liquidity Corp., Series 2005-1, Class A2, 0.33%, 3/25/22 (a)		8,023		6,406,963
IXIS Real Estate Capital Trust, Series 2005-HE2, Class M3, 0.87%, 9/25/35 (a)		314		309,758
JPMorgan Mortgage Acquisition Corp. (a):
Series 2005-OPT2, Class A1B, 0.44%, 12/25/35		1,330		1,290,450
Series 2007-CH1, Class AV4, 0.28%, 11/25/36		1,237		1,224,847
KeyCorp Student Loan Trust, Class 2A3 (a):
Series 2005-A, 0.46%, 9/28/26		1,107		1,107,304
Series 2006-A, 0.42%, 6/27/29		9,446		9,324,449
MASTR Asset-Backed Securities Trust, Series 2006-FRE1, Class A3, 0.33%, 12/25/35 (a)		682		679,648
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE3, Class M2, 0.93%, 7/25/35 (a)		809		805,219
The National Collegiate Student Loan Trust (a):
Series 2004-1, Class A2, 0.49%, 6/25/27		2,900		2,825,339
Series 2005-2, Class A3, 0.34%, 2/25/28		4,163		4,087,079
Series 2005-3, Class A3, 0.39%, 7/25/28		7,109		7,007,508
Series 2005-3, Class A4, 0.43%, 4/25/29		2,258		2,150,311
Series 2006-1, Class A3, 0.34%, 5/25/26		935		922,086
Series 2006-2, Class A2, 0.30%, 7/25/26		9,022		8,880,708
Series 2007-4, Class A2A3, 3.70%, 12/26/25		1,950		1,939,893
Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1, 1.00%, 2/15/45 (b)		1,650		1,646,106
Nationstar Mortgage Advance Receivables Trust, Series 2013-T2A, Class A2, 1.68%, 6/20/46 (b)		4,770		4,747,629
New Residential Advance Receivables Trust, Series 2014- T1 (b):
Class A1, 1.27%, 3/15/45		3,700		3,700,252
Class B1, 1.67%, 3/15/45		1,300		1,300,057
Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 2006-WF1, Class A3, 0.29%, 3/25/36 (a)		826		823,286
ORES NPL LLC, Series 2014-LV3, Class A, 3.00%, 3/27/24 (b)		4,000		4,000,000

102

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SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Asset-Backed Securities (Cont.)	Par (000)		Value
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (a):
Series 2004-MHQ1, Class M1, 1.20%, 12/25/34	USD	144	$	143,787
Series 2004-WWF1, Class M2, 1.17%, 12/25/34		1,787		1,783,522
Series 2005-WCW3, Class A2C, 0.53%, 8/25/35		4,050		3,963,570
RAMP Trust (a):
Series 2005-RS6, Class M1, 0.65%, 6/25/35		3,582		3,524,228
Series 2005-RZ4, Class A2, 0.41%, 11/25/35		225		224,243
RASC Trust, Series 2005-AHL3, Class A2, 0.39%, 11/25/35 (a)		3,215		3,121,025
Santander Consumer Acquired Receivables Trust, Series 2011-WO, Class C, 3.19%, 10/15/15 (b)		8,688		8,725,216
Santander Drive Auto Receivables Trust:
Series 2010-2, Class C, 3.89%, 7/17/17		993		1,005,318
Series 2010-3, Class C, 3.06%, 11/15/17		4,130		4,204,681
Series 2010-B, Class C, 3.02%, 10/17/16 (b)		4,459		4,481,143
Series 2011-1, Class C, 3.11%, 5/16/16		5,000		5,068,260
Series 2011-1, Class D, 4.01%, 2/15/17		14,720		15,242,619
Series 2011-3, Class B, 2.50%, 12/15/15		386		386,883
Series 2011-3, Class D, 4.23%, 5/15/17		3,900		4,086,833
Series 2011-4, Class C, 3.82%, 8/15/17		3,490		3,579,731
Series 2011-4, Class D, 4.74%, 9/15/17		1,220		1,289,485
Series 2011-S2A, Class C, 2.86%, 6/15/17 (b)		7		6,793
Series 2012-1, Class C, 3.78%, 11/15/17		300		308,911
Series 2012-2, Class B, 2.09%, 8/15/16		3,400		3,423,066
Series 2012-2, Class D, 3.87%, 2/15/18		2,000		2,090,140
Series 2012-3, Class D, 3.64%, 5/15/18		12,400		12,969,234
Series 2012-4, Class B, 1.83%, 3/15/17		2,800		2,831,262
Series 2013-1, Class C, 1.76%, 1/15/19		2,821		2,832,766
Series 2013-2, Class B, 1.33%, 3/15/18		3,005		3,017,227
Series 2013-3 Class C, 1.81%, 4/15/19		2,590		2,598,721
Series 2013-A, Class B, 1.89%, 10/15/19 (b)		2,300		2,323,925
Series 2013-A, Class C, 3.12%, 10/15/19 (b)		4,100		4,213,746
Series 2014-1, Class B, 1.59%, 10/15/18		4,320		4,325,219
Series 2014-1, Class C, 2.36%, 4/15/20		3,020		3,046,023
SLM Private Credit Student Loan Trust (a):
Series 2003-A, Class A2, 0.67%, 9/15/20		10,908		10,762,151
Series 2003-B, Class A2, 0.63%, 3/15/22		2,995		2,930,644
Series 2004-A, Class A2, 0.43%, 3/16/20		5,725		5,697,748
Series 2004-B, Class A2, 0.43%, 6/15/21		9,246		9,158,464
Series 2005-A, Class A2, 0.37%, 12/15/20		2,279		2,273,630
Series 2005-B, Class A2, 0.41%, 3/15/23		6,886		6,795,277
Series 2006-B, Class A4, 0.41%, 3/15/24		687		677,311
Series 2006-C, Class A3, 0.36%, 6/15/21		1,572		1,571,017
SLM Private Education Loan Trust (a)(b):
Series 2009-CT, Class 1A, 2.35%, 4/15/39		335		335,209
Series 2010-A, Class 1A, 3.20%, 5/16/44		4,231		4,390,468
Series 2011-A, Class A1, 1.16%, 10/15/24		11,062		11,114,805
Series 2011-B, Class A1, 1.01%, 12/16/24		1,431		1,435,345
Series 2011-C, Class A1, 1.56%, 12/15/23		1,567		1,578,523
Series 2012-A, Class A1, 1.56%, 8/15/25		2,622		2,656,480
Series 2012-B, Class A1, 1.26%, 12/15/21		5,770		5,795,485
Series 2012-C, Class A1, 1.26%, 8/15/23		2,997		3,015,124
Series 2012-D, Class A1, 1.21%, 6/15/23		2,194		2,208,441
Series 2012-E, Class A1, 0.91%, 10/16/23		12,907		12,930,763

103

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SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Asset-Backed Securities (Cont.)	Par (000)		Value
SLM Private Education Loan Trust (a)(b) (cont):
Series 2013-A, Class A1, 0.76%, 8/15/22	USD	6,876	$	6,889,339
Series 2013-B, Class A1, 0.81%, 7/15/22		9,999		10,018,769
Series 2013-C, Class A1, 1.01%, 2/15/22		5,262		5,290,283
Soundview Home Loan Trust, Series 2005-OPT4, Class 2A3, 0.41%, 12/25/35 (a)		4,353		4,209,656
Terwin Mortgage Trust, Series 2006-5, Class 2A2, 0.36%, 6/25/37 (a)(b)		4,553		4,432,519
Trade MAPS 1 Ltd., Series 2013-1A, Class A, 0.85%, 12/10/18 (a)(b)		9,690		9,720,233
Vericrest Opportunity Loan Trust XIX LLC, Series 2013-NPL5, Class A1, 3.63%, 4/25/55 (b)		2,406		2,414,700
Vericrest Opportunity Loan Trust XXI LLC, Series 2013-NPL7, Class A1, 3.63%, 11/25/53 (b)		3,229		3,245,699
Total Asset-Backed Securities - 13.2%				446,061,112
Corporate Bonds
Aerospace & Defense - 0.9%
Crane Co.:
2.75%, 12/15/18		688		690,052
4.45%, 12/15/23		1,550		1,595,260
Eaton Corp., 0.95%, 11/02/15		3,000		3,010,347
L-3 Communications Corp.:
3.95%, 11/15/16		1,250		1,330,601
4.75%, 7/15/20		2,400		2,515,102
4.95%, 2/15/21		7,468		7,998,572
Lockheed Martin Corp.:
3.35%, 9/15/21		8,439		8,604,008
4.85%, 9/15/41		2,000		2,101,198
4.07%, 12/15/42		1,592		1,492,925
Raytheon Co., 4.70%, 12/15/41		2,100		2,198,078
				31,536,143
Air Freight & Logistics - 0.0%
United Parcel Service, Inc., 4.88%, 11/15/40		400		430,521
Airlines - 0.1%
United Airlines Pass-Through Trust, Series 2013-1, Class A, 4.30%, 2/15/27		4,400		4,534,772
Auto Components - 0.3%
Delphi Corp.:
5.00%, 2/15/23		850		901,000
4.15%, 3/15/24		3,200		3,196,138
Lear Corp.:
4.75%, 1/15/23 (b)		1,000		975,000
5.38%, 3/15/24		3,775		3,841,062
				8,913,200
Beverages - 0.6%
Bottling Group LLC, 5.13%, 1/15/19		1,100		1,240,941
Diageo Capital PLC, 0.63%, 4/29/16		2,800		2,787,081
Diageo Finance BV, 3.25%, 1/15/15		2,000		2,044,944
Dr Pepper Snapple Group, Inc., 2.90%, 1/15/16		1,250		1,295,698
PepsiCo, Inc.:
7.90%, 11/01/18		2,000		2,510,544
2.75%, 3/01/23		3,400		3,222,612
3.60%, 3/01/24		4,000		4,005,060
4.88%, 11/01/40		1,000		1,056,792
3.60%, 8/13/42		2,000		1,734,500
				19,898,172
Biotechnology - 0.8%
Amgen, Inc., 2.30%, 6/15/16		3,240		3,332,833
Biogen Idec, Inc., 6.88%, 3/01/18		5,328		6,271,434
Celgene Corp.:
2.30%, 8/15/18		4,700		4,703,534
3.95%, 10/15/20		3,900		4,075,508
3.25%, 8/15/22		1,900		1,851,683
Gilead Sciences, Inc.:
3.05%, 12/01/16		1,400		1,472,142
2.05%, 4/01/19		5,000		4,954,915
				26,662,049
Capital Markets - 2.6%
The Bank of New York Mellon Corp., 0.70%, 3/04/16		4,600		4,592,120
The Bear Stearns Cos. LLC:
5.70%, 11/15/14		800		825,669
6.40%, 10/02/17		2,500		2,885,437
The Goldman Sachs Group, Inc.:
5.95%, 1/18/18		3,700		4,190,202
6.15%, 4/01/18		1,500		1,714,788
2.90%, 7/19/18		4,700		4,793,032
2.63%, 1/31/19		2,700		2,693,083
7.50%, 2/15/19		1,200		1,451,746
6.00%, 6/15/20		3,500		4,019,081

104

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SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Capital Markets (cont.)
The Goldman Sachs Group, Inc. (cont.):
5.75%, 1/24/22	USD	1,400	$	1,587,487
3.63%, 1/22/23		11,500		11,312,619
6.75%, 10/01/37		5,350		6,128,527
6.25%, 2/01/41		3,050		3,621,707
Morgan Stanley:
2.88%, 7/28/14		3,400		3,424,408
1.75%, 2/25/16		3,000		3,038,706
6.25%, 8/28/17		1,500		1,716,718
2.50%, 1/24/19		3,800		3,789,417
5.63%, 9/23/19		10,000		11,374,230
3.75%, 2/25/23		7,500		7,452,457
4.10%, 5/22/23		2,900		2,870,603
6.38%, 7/24/42		2,700		3,293,652
				86,775,689
Chemicals - 0.9%
CF Industries, Inc.:
5.15%, 3/15/34		1,100		1,131,022
5.38%, 3/15/44		2,025		2,111,200
Ecolab, Inc., 1.00%, 8/09/15		2,900		2,908,932
LYB International Finance BV:
4.00%, 7/15/23		4,150		4,232,348
4.88%, 3/15/44		2,200		2,196,029
LyondellBasell Industries NV:
5.00%, 4/15/19		5,300		5,901,333
6.00%, 11/15/21		7,300		8,550,870
RPM International, Inc., 6.13%, 10/15/19		2,453		2,770,193
				29,801,927
Commercial Banks - 2.0%
ANZ New Zealand International Ltd., 1.13%, 3/24/16 (b)		2,500		2,508,048
Bank of Nova Scotia:
0.95%, 3/15/16		4,200		4,225,183
1.10%, 12/13/16		5,000		5,021,210
Discover Bank, 4.20%, 8/08/23		290		297,334
Export-Import Bank of Korea:
4.00%, 1/29/21		1,446		1,520,476
4.00%, 1/14/24		2,500		2,587,065
Fifth Third Bancorp:
0.90%, 2/26/16		2,900		2,903,642
2.30%, 3/01/19		3,800		3,773,468
HSBC Bank USA NA, 5.88%, 11/01/34		1,700		1,926,126
HSBC Holdings PLC:
6.50%, 9/15/37		1,700		2,011,345
5.25%, 3/14/44		525		530,857
Royal Bank of Canada:
0.85%, 3/08/16		4,600		4,610,552
1.13%, 7/21/17		19,650		19,697,612
U.S. Bancorp, 2.20%, 11/15/16		4,000		4,128,784
Wachovia Bank NA, 6.00%, 11/15/17		5,400		6,221,534
Wells Fargo & Co., 3.00%, 1/22/21		4,700		4,703,234
				66,666,470
Commercial Services & Supplies - 0.1%
Catholic Health Initiatives, 4.35%, 11/01/42		1,600		1,463,987
GATX Corp., 2.50%, 7/30/19		1,500		1,482,167
RR Donnelley & Sons Co., 6.00%, 4/01/24		1,600		1,612,000
				4,558,154
Communications Equipment - 0.2%
Cisco Systems, Inc., 2.13%, 3/01/19		5,000		4,977,630
Computer Services Software & Systems - 0.0%
Perrigo Co. PLC., 2.30%, 11/08/18 (b)		550		544,029
Computers & Peripherals - 0.5%
Apple, Inc.:
2.40%, 5/03/23		4,400		4,080,023
3.85%, 5/04/43		3,000		2,660,400
EMC Corp., 2.65%, 6/01/20		4,500		4,479,242
Hewlett-Packard Co.:
4.75%, 6/02/14		2,900		2,920,239
2.75%, 1/14/19		4,000		4,026,452
				18,166,356
Consumer Finance - 0.2%
Capital One Bank USA NA, 2.15%, 11/21/18		2,150		2,132,929
Caterpillar Financial Services Corp., 0.70%, 2/26/16		3,600		3,599,993
MasterCard, Inc., 2.00%, 4/01/19		1,955		1,946,556
				7,679,478
Containers & Packaging - 0.1%
Packaging Corp. of America, 4.50%, 11/01/23		2,000		2,070,232
Rock-Tenn Co., 4.90%, 3/01/22		1,900		2,031,622
				4,101,854
Diversified Financial Services - 4.9%
American Express Credit Corp.:
2.75%, 9/15/15		2,600		2,679,045
2.38%, 3/24/17		3,000		3,107,277
2.13%, 3/18/19		5,000		4,979,770
American Honda Finance Corp., 1.13%, 10/07/16		4,635		4,664,289

105

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Diversified Financial Services (cont.)
Associates Corp. of North America, 6.95%, 11/01/18	USD	964	$	1,147,454
Bank of America Corp.:
5.49%, 3/15/19		1,500		1,666,115
5.63%, 7/01/20		4,500		5,120,766
5.70%, 1/24/22		8,000		9,178,600
3.30%, 1/11/23		11,200		10,797,797
4.13%, 1/22/24		5,000		5,056,345
5.88%, 2/07/42		2,150		2,486,002
4.88%, 4/01/44		4,575		4,595,816
BNP Paribas SA:
1.38%, 3/17/17		5,000		4,995,110
2.40%, 12/12/18		4,000		3,999,664
Citigroup, Inc.:
6.38%, 8/12/14		712		726,949
4.45%, 1/10/17		4,200		4,536,113
2.50%, 9/26/18		3,000		3,016,287
8.50%, 5/22/19		1,600		2,038,528
5.38%, 8/09/20		5,000		5,625,885
3.50%, 5/15/23		2,700		2,547,315
6.13%, 8/25/36		800		875,218
8.13%, 7/15/39		3,300		4,772,810
5.88%, 1/30/42		350		401,737
Ford Motor Credit Co. LLC:
3.88%, 1/15/15		2,900		2,969,237
1.70%, 5/09/16		2,800		2,831,265
General Electric Capital Corp.:
2.25%, 11/09/15		2,000		2,053,110
2.30%, 1/14/19		4,000		4,035,872
4.38%, 9/16/20		4,000		4,344,520
4.63%, 1/07/21		1,600		1,761,635
6.75%, 3/15/32		500		642,866
6.88%, 1/10/39		2,800		3,687,435
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (b):
4.88%, 3/15/19		1,525		1,551,688
6.00%, 8/01/20		1,725		1,828,500
IntercontinentalExchange Group, Inc., 2.50%, 10/15/18		3,000		3,031,941
Jefferies Group LLC, 5.13%, 1/20/23		940		987,955
JPMorgan Chase & Co.:
1.13%, 2/26/16		4,500		4,517,298
2.00%, 8/15/17		4,100		4,156,367
4.25%, 10/15/20		6,000		6,415,632
3.25%, 9/23/22		2,600		2,561,237
3.20%, 1/25/23		10,900		10,569,403
3.38%, 5/01/23		1,800		1,703,914
5.60%, 7/15/41		1,000		1,133,139
JPMorgan Chase Bank NA, 6.00%, 10/01/17		800		911,294
Leucadia National Corp., 5.50%, 10/18/23		8,075		8,412,818
Merrill Lynch & Co., Inc.:
6.88%, 4/25/18		3,550		4,186,550
6.11%, 1/29/37		1,300		1,453,889
				164,762,457
Diversified Telecommunication Services - 1.4%
AT&T, Inc.:
2.40%, 8/15/16		1,250		1,287,850
2.38%, 11/27/18		5,565		5,592,652
3.00%, 2/15/22		2,400		2,330,220
5.35%, 9/01/40		1,231		1,258,001
5.55%, 8/15/41		5,000		5,249,055
British Telecommunications PLC, 1.25%, 2/14/17		1,550		1,545,503
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 4/15/23		4,250		4,134,277
Verizon Communications, Inc.:
3.65%, 9/14/18		4,500		4,790,394
4.50%, 9/15/20		4,500		4,887,194
5.05%, 3/15/34		3,200		3,282,797
6.90%, 4/15/38		900		1,114,826
7.35%, 4/01/39		1,700		2,206,321
4.75%, 11/01/41		2,100		2,026,063
6.55%, 9/15/43		4,675		5,689,171
				45,394,324
Electric Utilities - 1.6%
Commonwealth Edison Co.:
4.70%, 4/15/15		1,000		1,039,850
4.70%, 1/15/44		2,101		2,199,161
Series 100, 5.88%, 2/01/33		3,500		4,152,981
Duke Energy Corp.:
2.15%, 11/15/16		2,100		2,156,706
5.05%, 9/15/19		2,000		2,230,082
Duke Energy Florida, Inc., 3.85%, 11/15/42		2,500		2,275,050
MidAmerican Energy Holdings Co., 5.75%, 4/01/18		6,550		7,455,629
Mississippi Power Co., 4.25%, 3/15/42		1,700		1,567,703
NextEra Energy Capital Holdings, Inc., 2.70%, 9/15/19		3,500		3,485,622
Nisource Finance Corp., 4.80%, 2/15/44		1,125		1,077,444
Northern States Power Co., 5.25%, 7/15/35		2,500		2,826,547
Pacific Gas & Electric Co.:
5.63%, 11/30/17		1,500		1,702,851
3.25%, 9/15/21		2,900		2,889,624
3.75%, 8/15/42		3,000		2,608,380

106

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Electric Utilities (cont.)
PacifiCorp:
5.50%, 1/15/19	USD	1,300	$	1,490,442
6.25%, 10/15/37		1,000		1,263,276
Progress Energy, Inc.:
4.88%, 12/01/19		3,100		3,439,366
4.40%, 1/15/21		3,700		3,962,966
3.15%, 4/01/22		950		933,209
The Southern Co., 4.15%, 5/15/14		900		903,950
Tampa Electric Co., 2.60%, 9/15/22		2,000		1,886,934
Xcel Energy, Inc., 0.75%, 5/09/16		3,200		3,191,354
				54,739,127
Electrical Equipment - 0.1%
Roper Industries, Inc., 2.05%, 10/01/18		3,500		3,442,005
Electronic Equipment, Instruments & Components - 0.1%
Tyco Electronics Group SA, 6.55%, 10/01/17		2,900		3,353,490
Food & Staples Retailing - 0.6%
CVS Caremark Corp.:
6.13%, 8/15/16		2,300		2,556,057
2.25%, 12/05/18		3,125		3,127,487
The Kroger Co., 3.30%, 1/15/21		5,000		4,995,400
Wal-Mart Stores, Inc.:
1.13%, 4/11/18		2,000		1,960,716
5.63%, 4/01/40		3,500		4,138,204
5.63%, 4/15/41		3,800		4,507,351
				21,285,215
Food Products - 0.5%
The Hershey Co., 4.13%, 12/01/20		1,550		1,680,685
Kellogg Co.:
4.45%, 5/30/16		100		107,213
3.25%, 5/21/18		1,550		1,618,845
Mead Johnson Nutrition Co., 4.90%, 11/01/19		4,500		4,916,327
Mondelez International, Inc.:
4.13%, 2/09/16		2,000		2,113,876
2.25%, 2/01/19		4,000		3,963,420
Unilever Capital Corp., 2.20%, 3/06/19		3,400		3,399,735
				17,800,101
Gas Utilities - 0.1%
Southern California Gas Co., 3.75%, 9/15/42		1,800		1,661,708
Health Care Equipment & Supplies - 0.7%
Baxter International, Inc., 1.85%, 6/15/18		1,650		1,640,618
Boston Scientific Corp., 2.65%, 10/01/18		2,000		2,015,096
Covidien International Finance SA:
4.20%, 6/15/20		5,045		5,378,671
3.20%, 6/15/22		6,600		6,494,684
2.95%, 6/15/23		4,400		4,169,471
St. Jude Medical, Inc., 3.25%, 4/15/23		2,600		2,521,651
				22,220,191
Health Care Providers & Services - 1.5%
Aetna, Inc., 2.75%, 11/15/22		3,500		3,287,557
AmerisourceBergen Corp.:
5.88%, 9/15/15		2,000		2,143,608
4.88%, 11/15/19		900		1,007,256
3.50%, 11/15/21		6,250		6,399,294
Cardinal Health, Inc., 1.70%, 3/15/18		2,200		2,180,710
CHS/Community Health Systems, Inc., 5.13%, 8/01/21 (b)		5,075		5,201,875
DaVita HealthCare Partners, Inc., 6.38%, 11/01/18		3,550		3,731,937
Express Scripts Holding Co., 3.13%, 5/15/16		3,000		3,125,445
HCA, Inc., 3.75%, 3/15/19		3,370		3,382,638
Humana, Inc., 6.45%, 6/01/16		4,100		4,554,022
McKesson Corp.:
1.40%, 3/15/18		4,500		4,387,617
2.85%, 3/15/23		2,700		2,539,393
UnitedHealth Group, Inc.:
4.70%, 2/15/21		3,100		3,419,802
4.25%, 3/15/43		2,600		2,476,708
WellPoint, Inc., 5.25%, 1/15/16		2,890		3,104,906
				50,942,768
Hotels, Restaurants & Leisure - 0.4%
Brinker International, Inc., 2.60%, 5/15/18		1,200		1,187,414
McDonald’s Corp.:
6.30%, 10/15/37		1,000		1,258,593
4.88%, 7/15/40		1,600		1,708,246
Starbucks Corp., 0.88%, 12/05/16		2,450		2,440,007
Wyndham Worldwide Corp.:
4.25%, 3/01/22		1,550		1,567,771
3.90%, 3/01/23		1,550		1,518,575
Yum! Brands, Inc.:
4.25%, 9/15/15		2,000		2,096,294
5.30%, 9/15/19		2,241		2,482,708
6.88%, 11/15/37		542		655,693
				14,915,301

107

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March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Household Durables - 0.0%
Tupperware Brands Corp., 4.75%, 6/01/21	USD	700	$	733,819
Household Products - 0.1%
Kimberly-Clark Corp., 2.40%, 3/01/22		1,250		1,195,434
Whirlpool Corp., 1.35%, 3/01/17		2,525		2,519,329
				3,714,763
Independent Power Producers & Energy Traders - 0.2%
Constellation Energy Group, Inc., 5.15%, 12/01/20		3,200		3,494,950
Exelon Generation Co. LLC, 5.75%, 10/01/41		500		524,470
PSEG Power LLC:
2.45%, 11/15/18		400		400,142
4.15%, 9/15/21		1,150		1,193,705
Southern Power Co., 5.15%, 9/15/41		1,000		1,052,106
				6,665,373
Industrial Conglomerates - 0.1%
General Electric Co.:
4.13%, 10/09/42		1,200		1,153,072
4.50%, 3/11/44		1,650		1,675,596
				2,828,668
Insurance - 1.1%
Aflac, Inc.:
8.50%, 5/15/19		1,500		1,927,888
3.63%, 6/15/23		4,000		4,031,236
American International Group, Inc.:
6.40%, 12/15/20		1,200		1,429,730
8.18%, 5/15/58 (a)		500		656,875
Berkshire Hathaway, Inc.:
1.90%, 1/31/17		2,400		2,456,025
3.00%, 2/11/23		3,500		3,437,182
Fidelity National Financial, Inc., 5.50%, 9/01/22		1,225		1,304,259
Genworth Holdings, Inc., 4.80%, 2/15/24		3,195		3,323,659
Markel Corp.:
5.35%, 6/01/21		1,300		1,427,413
3.63%, 3/30/23		1,300		1,264,019
Marsh & McLennan Cos., Inc.:
5.75%, 9/15/15		192		205,297
4.80%, 7/15/21		1,600		1,749,074
Protective Life Corp., 8.45%, 10/15/39		800		1,106,898
Prudential Financial, Inc., 4.75%, 9/17/15		3,900		4,120,128
Willis Group Holdings PLC:
4.13%, 3/15/16		2,600		2,730,143
5.75%, 3/15/21		2,700		2,988,584
XLIT Ltd., 5.75%, 10/01/21		1,400		1,613,609
				35,772,019
Internet & Catalog Retail - 0.1%
Amazon.com, Inc., 1.20%, 11/29/17		2,600		2,574,281
Internet Software & Services - 0.3%
Baidu, Inc., 3.25%, 8/06/18		7,000		7,147,476
eBay, Inc., 2.60%, 7/15/22		850		806,900
VeriSign, Inc., 4.63%, 5/01/23		1,325		1,272,000
				9,226,376
IT Services - 0.5%
Fiserv, Inc., 3.50%, 10/01/22		4,000		3,906,636
International Business Machines Corp.:
2.00%, 1/05/16		8,600		8,820,582
7.63%, 10/15/18		2,050		2,544,187
				15,271,405
Leisure Equipment & Products - 0.1%
Mattel, Inc., 2.50%, 11/01/16		750		774,090
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22		3,654		3,745,350
				4,519,440
Life Sciences Tools & Services - 0.2%
Thermo Fisher Scientific, Inc.:
3.25%, 11/20/14		1,600		1,627,454
3.20%, 3/01/16		2,800		2,919,014
2.40%, 2/01/19		325		323,641
5.30%, 2/01/44		2,000		2,155,328
				7,025,437
Machinery - 0.3%
Danaher Corp., 2.30%, 6/23/16		450		465,037
Dover Corp., 4.30%, 3/01/21		2,400		2,570,774
Illinois Tool Works, Inc., 1.95%, 3/01/19		4,000		3,944,180

108

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SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Machinery (cont.)
Ingersoll-Rand Global Holding Co. Ltd. (b):
2.88%, 1/15/19	USD	400	$	398,811
5.75%, 6/15/43		1,500		1,657,841
Trinity Acquisition PLC, 6.13%, 8/15/43		1,100		1,161,944
				10,198,587
Media - 1.3%
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. (b):
5.25%, 2/15/22		800		820,000
5.63%, 2/15/24		800		820,000
Comcast Corp.:
5.70%, 5/15/18		2,450		2,813,622
3.13%, 7/15/22		2,550		2,520,652
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
3.55%, 3/15/15		3,600		3,698,705
4.45%, 4/01/24		2,600		2,607,335
5.15%, 3/15/42		4,500		4,254,259
DISH DBS Corp.:
7.88%, 9/01/19		2,700		3,192,750
6.75%, 6/01/21		1,200		1,344,000
NBCUniversal Enterprise, Inc. (b):
1.97%, 4/15/19		2,700		2,640,543
Scripps Networks Interactive, Inc., 2.70%, 12/15/16		2,300		2,387,000
Thomson Reuters Corp.:
0.88%, 5/23/16		1,600		1,594,088
1.30%, 2/23/17		350		348,235
Viacom, Inc.:
4.38%, 9/15/14		1,300		1,322,255
2.50%, 9/01/18		4,300		4,348,203
2.20%, 4/01/19		5,000		4,957,430
4.38%, 3/15/43		1,400		1,244,156
Virgin Media Secured Finance PLC, 5.38%, 4/15/21 (b)		1,225		1,264,812
				42,178,045
Metals & Mining - 0.1%
Reliance Steel & Aluminum Co., 4.50%, 4/15/23		2,000		2,002,266
Xstrata Canada Corp., 6.20%, 6/15/35		600		621,103
Xstrata Finance Canada Ltd., 6.00%, 11/15/41 (b)		650		656,557
				3,279,926
Multi-Utilities - 0.3%
Consolidated Edison Co. of New York, Inc., Series 12-A, 4.20%, 3/15/42		2,400		2,294,885
Dominion Resources, Inc.:
6.40%, 6/15/18		4,050		4,719,558
4.45%, 3/15/21		2,100		2,261,788
4.05%, 9/15/42		1,700		1,521,169
SCANA Corp., 4.13%, 2/01/22		500		503,995
				11,301,395
Multiline Retail - 0.1%
Nordstrom, Inc.:
4.00%, 10/15/21		1,200		1,264,000
5.00%, 1/15/44 (b)		791		827,649
				2,091,649
Oil, Gas & Consumable Fuels - 3.1%
BP Capital Markets PLC:
3.13%, 10/01/15		700		726,363
3.20%, 3/11/16		1,500		1,572,383
2.24%, 5/10/19		6,400		6,361,920
3.56%, 11/01/21		1,900		1,952,968
Buckeye Partners LP:
2.65%, 11/15/18		4,900		4,861,682
4.88%, 2/01/21		550		579,337
4.15%, 7/01/23		3,100		3,091,729
Canadian Natural Resources Ltd., 3.80%, 4/15/24		1,675		1,683,373
Chevron Corp.:
2.43%, 6/24/20		4,950		4,914,637
2.36%, 12/05/22		4,200		3,946,908
CNOOC Finance 2013 Ltd., 1.75%, 5/09/18		875		853,529
ConocoPhillips Canada Funding Co. I, 5.63%, 10/15/16		500		558,370
DCP Midstream Operating LP:
3.25%, 10/01/15		2,000		2,062,654
2.70%, 4/01/19		2,900		2,893,017
Encana Corp., 6.50%, 5/15/19		400		468,385
Energy Transfer Equity LP, 7.50%, 10/15/20		5,998		6,860,212
Energy Transfer Partners LP:
9.70%, 3/15/19		842		1,087,936
9.00%, 4/15/19		373		468,062
4.15%, 10/01/20		3,950		4,076,258
Enterprise Products Operating LLC:
3.20%, 2/01/16		3,000		3,121,995

109

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Oil, Gas & Consumable Fuels (cont.)
Enterprise Products Operating LLC (cont.):
5.20%, 9/01/20	USD	500	$	558,101
5.75%, 3/01/35		1,500		1,672,704
5.95%, 2/01/41		900		1,030,421
Husky Energy, Inc.:
3.95%, 4/15/22		5,300		5,437,890
4.00%, 4/15/24		1,625		1,652,586
6.80%, 9/15/37		1,000		1,270,333
Kinder Morgan Energy Partners LP:
3.50%, 3/01/21		850		846,646
3.95%, 9/01/22		4,400		4,376,715
Marathon Oil Corp., 0.90%, 11/01/15		1,300		1,302,439
Petrobras International Finance Co.:
5.38%, 1/27/21		3,100		3,135,095
6.75%, 1/27/41		500		484,542
Petroleos Mexicanos:
5.50%, 1/21/21		1,100		1,201,750
4.88%, 1/24/22		1,300		1,358,500
6.50%, 6/02/41		4,800		5,256,000
6.38%, 1/23/45 (b)		3,900		4,207,125
Plains All American Pipeline LP/PAA Finance Corp., 8.75%, 5/01/19		600		766,834
Statoil ASA, 1.95%, 11/08/18		2,840		2,842,278
Sunoco Logistics Partners Operations LP:
3.45%, 1/15/23		4,400		4,183,018
6.10%, 2/15/42		900		985,193
4.95%, 1/15/43		900		852,913
TransCanada PipeLines Ltd.:
6.50%, 8/15/18		2,850		3,361,190
3.80%, 10/01/20		4,200		4,411,743
Williams Partners LP, 3.80%, 2/15/15		800		821,605
				104,157,339
Paper & Forest Products - 0.1%
International Paper Co., 9.38%, 5/15/19		1,600		2,089,120
Pharmaceuticals - 1.3%
AbbVie, Inc., 1.20%, 11/06/15		1,300		1,311,094
Allergan, Inc., 1.35%, 3/15/18		2,950		2,885,053
AstraZeneca PLC:
6.45%, 9/15/37		2,500		3,139,988
4.00%, 9/18/42		3,400		3,144,898
Eli Lilly & Co.:
5.55%, 3/15/37		1,700		1,960,156
4.65%, 6/15/44		3,700		3,810,282
GlaxoSmithKline Capital PLC, 2.85%, 5/08/22		4,500		4,393,260
GlaxoSmithKline Capital, Inc.:
0.70%, 3/18/16		2,500		2,500,483
5.65%, 5/15/18		1,200		1,376,762
6.38%, 5/15/38		500		636,547
Johnson & Johnson, 4.38%, 12/05/33		4,000		4,195,992
Novartis Capital Corp., 3.40%, 5/06/24		4,600		4,594,429
Pfizer, Inc., 6.20%, 3/15/19		1,500		1,775,940
Sanofi, 1.25%, 4/10/18		2,900		2,837,145
Sanofi-Aventis SA, 2.63%, 3/29/16		2,400		2,493,996
Zoetis, Inc., 1.15%, 2/01/16		3,000		3,011,922
				44,067,947
Professional Services - 0.0%
The Dun & Bradstreet Corp., 2.88%, 11/15/15		600		614,772
Real Estate Investment Trusts (REITs) - 0.6%
American Tower Corp.:
4.63%, 4/01/15		4,000		4,143,932
4.50%, 1/15/18		2,100		2,264,718
3.40%, 2/15/19		1,768		1,811,733
5.05%, 9/01/20		1,300		1,399,194
4.70%, 3/15/22		2,900		3,030,109
Corrections Corp. of America:
4.13%, 4/01/20		2,900		2,863,750
4.63%, 5/01/23		2,425		2,340,125
Host Hotels & Resorts LP, 3.75%, 10/15/23		525		508,421
Simon Property Group LP:
5.65%, 2/01/20		1,000		1,159,015
4.75%, 3/15/42		1,900		1,969,494
				21,490,491
Road & Rail - 0.3%
Burlington Northern Santa Fe LLC:
3.00%, 3/15/23		2,000		1,887,640
5.40%, 6/01/41		2,700		2,976,575
Canadian Pacific Railway Co., 7.13%, 10/15/31		1,000		1,272,650
Norfolk Southern Corp., 5.75%, 1/15/16		2,425		2,623,544
Union Pacific Corp.:
2.25%, 2/15/19		1,100		1,099,891
6.13%, 2/15/20		1,300		1,500,248
				11,360,548
Semiconductors & Semiconductor Equipment - 0.9%
Altera Corp., 2.50%, 11/15/18		7,900		7,913,067

110

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Corporate Bonds (Cont.)	Par (000)		Value
Semiconductors & Semiconductor Equipment (cont.)
Intel Corp.:
3.30%, 10/01/21	USD	2,100	$	2,148,470
2.70%, 12/15/22		3,000		2,863,791
4.80%, 10/01/41		2,650		2,738,083
Maxim Integrated Products, Inc.:
2.50%, 11/15/18		1,220		1,216,209
3.38%, 3/15/23		2,000		1,895,940
Seagate HDD Cayman (b):
3.75%, 11/15/18		7,500		7,725,000
4.75%, 6/01/23		3,100		3,061,250
Xilinx, Inc., 2.13%, 3/15/19		1,400		1,383,315
				30,945,125
Software - 0.2%
Microsoft Corp., 2.13%, 11/15/22		2,700		2,499,436
Oracle Corp.:
5.25%, 1/15/16		1,500		1,623,804
5.75%, 4/15/18		550		633,188
3.63%, 7/15/23		950		961,988
5.38%, 7/15/40		800		905,053
				6,623,469
Specialty Retail - 1.3%
Advance Auto Parts, Inc., 4.50%, 1/15/22		3,100		3,215,367
AutoZone, Inc., 1.30%, 1/13/17		3,850		3,841,734
The Gap, Inc., 5.95%, 4/12/21		5,635		6,344,565
The Home Depot, Inc.:
5.88%, 12/16/36		2,500		3,011,253
5.40%, 9/15/40		2,000		2,261,224
5.95%, 4/01/41		3,300		4,004,530
L Brands, Inc.:
6.90%, 7/15/17		2,167		2,478,506
8.50%, 6/15/19		4,000		4,840,000
O’Reilly Automotive, Inc., 4.63%, 9/15/21		5,300		5,633,555
QVC, Inc., 4.38%, 3/15/23		4,275		4,212,876
The Sherwin-Williams Co., 3.13%, 12/15/14		3,300		3,358,565
				43,202,175
Tobacco - 1.2%
Altria Group, Inc.:
4.13%, 9/11/15		2,600		2,724,569
5.38%, 1/31/44		7,600		7,944,994
Lorillard Tobacco Co., 3.50%, 8/04/16		650		684,947
Philip Morris International, Inc.:
5.65%, 5/16/18		4,300		4,930,130
1.88%, 1/15/19		3,550		3,503,900
2.90%, 11/15/21		7,700		7,598,968
6.38%, 5/16/38		2,500		3,085,225
4.88%, 11/15/43		1,000		1,031,671
Reynolds American, Inc.:
1.05%, 10/30/15		2,000		1,998,438
3.25%, 11/01/22		2,300		2,163,842
4.85%, 9/15/23		2,900		3,037,791
4.75%, 11/01/42		1,700		1,590,085
6.15%, 9/15/43		1,000		1,128,243
				41,422,803
Wireless Telecommunication Services - 0.0%
Vodafone Group PLC, 5.63%, 2/27/17		950		1,066,583
Total Corporate Bonds - 35.0%				1,180,184,686
Foreign Agency Obligations
Brazilian Government International Bond, 5.63%, 1/07/41		1,500		1,519,500
Kreditanstalt für Wiederaufbau, 2.75%, 10/01/20		7,900		8,043,464
Mexico Government International Bond:
3.50%, 1/21/21		2,915		2,951,438
6.75%, 9/27/34		2,400		2,928,000
6.05%, 1/11/40		1,300		1,478,750
Total Foreign Agency Obligations - 0.5%				16,921,152
Municipal Bonds
Bay Area Toll Authority, RB, San Francisco Toll Bridge:
Build America Bonds, Series S-1, 7.04%, 4/01/50		800		1,086,072
Series F-2, 6.26%, 4/01/49		425		549,504
Brazos Higher Education Authority, Series 2004-I, Class A2, 0.39%, 6/27/22 (a)		748		746,083
Chicago Transit Authority, RB, Series B, 6.90%, 12/01/40		450		536,454
City & County of Denver Colorado School District No. 1, COP, Refunding, Series B, 4.24%, 12/15/37		875		822,229
City & County of San Francisco California Public Utilities Commission Water Revenue, RB, Build America Bonds, Sub-Series G, 6.95%, 11/01/50		900		1,202,553

111

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Municipal Bonds (Cont.)	Par (000)		Value
City of Chicago Illinois Waterworks Transmission, RB, Build America Bonds, 2nd Lien, Series B, 6.74%, 11/01/40	USD	150	$	174,989
City of Los Angeles California Department of Water & Power, RB, Build America Bonds, Series D, 6.57%, 7/01/45		1,320		1,749,581
City of New York New York Transitional Finance Authority, RB, Build America Bonds, Future Tax Secured, Sub-Series B-1, 5.57%, 11/01/38		450		526,599
City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Build America Bonds, Fiscal 2010, Series EE, 6.01%, 6/15/42		1,000		1,227,080
Commonwealth of Massachusetts, RB, Build America Bonds, Recovery Zone, Series A, 5.73%, 6/01/40		150		179,258
County of Orange California Local Transportation Authority, Refunding RB, Build America Bonds, Series A, 6.91%, 2/15/41		450		595,314
County of San Diego California Regional Transportation Commission, RB, Build America Bonds, Series A, 5.91%, 4/01/48		600		744,096
Florida Hurricane Catastrophe Fund Finance Corp., RB, Series A, 1.30%, 7/01/16		1,725		1,742,957
Metropolitan Water District of Southern California, RB, Build America Bonds, Series A, 6.95%, 7/01/40		1,200		1,366,020
New Jersey State Turnpike Authority, RB, Build America Bonds:
Series A, 7.10%, 1/01/41		700		951,118
Series F, 7.41%, 1/01/40		700		982,688
Port Authority of New York & New Jersey, RB, 164th Series, 5.65%, 11/01/40		800		922,296
Port Authority of New York & New Jersey, Refunding RB, 174th Series, 4.46%, 10/01/62		700		653,891
State of California, GO, Build America Bonds, Various Purpose:
7.55%, 4/01/39		1,150		1,603,330
7.63%, 3/01/40		1,150		1,604,928
7.60%, 11/01/40		250		352,082
State of Illinois, GO:
Build America Bonds, 7.35%, 7/01/35		650		756,658
Pension, 5.10%, 6/01/33		1,000		987,350
State of Mississippi, GO, Refunding Build America Bonds, Series F, 5.25%, 11/01/34		600		667,920
State of New York Dormitory Authority, RB, Build America Bonds, General Purpose, Series H, 5.39%, 3/15/40		675		770,094
State of Oregon Department of Transportation, RB, Sub-Lien, Series A, 5.83%, 11/15/34		400		488,304
State of Texas, GO, Build America Bonds, Series A, 5.52%, 4/01/39		1,000		1,195,670
University of California, Refunding RB, Series AJ, 4.60%, 5/15/31		1,000		1,075,780
University of Missouri, RB, Build America Bonds, Series A, 5.79%, 11/01/41		300		370,764
Total Municipal Bonds - 0.8%				26,631,662
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations - 1.6%
Adjustable Rate Mortgage Trust, Series 2005-3, Class 8A11, 0.38%, 7/25/35 (a)		468		465,070
Citicorp Mortgage Securities Trust, Series 2006-1, Class 2A1, 5.00%, 2/25/21		273		283,957
Citigroup Mortgage Loan Trust, Series 2014-A, Class A, 4.00%, 1/25/35 (a)(b)		1,660		1,724,708
Connecticut Avenue Securities Series, Series 2014-C01, Class M1, 1.75%, 1/25/24 (a)		4,614		4,663,159
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 1A6, 5.25%, 8/25/35		450		466,976
CSMC Trust (a)(b):
Series 2009-13R, Class 5A1, 0.67%, 1/26/35		6,727		6,661,049
Series 2010-20R, Class 7A6, 3.50%, 3/27/37		4,822		4,859,527

112

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Non-Agency Mortgage-Backed Securities (Cont.)	Par (000)			Value
Collateralized Mortgage Obligations (cont.)
CSMC Trust (a)(b) (cont.):
Series 2011-4R, Class 4A6, 4.00%, 8/27/37	USD	1,884		$	1,934,653
Series 2013-8R, Class 7A1, 0.32%, 4/27/37		1,619			1,537,753
Series 2013-8R, Class 8A1, 0.39%, 5/27/37		6,063			5,814,439
GreenPoint Mortgage Funding Trust, Class A1A (a):
Series 2006-AR4, 0.25%, 9/25/46		—	(d)		9
Series 2006-AR5, 0.23%, 10/25/46		—	(d)		29
HSI Asset Securitization Corp. Trust, Series 2005-NC2, Class 2A4, 0.93%, 8/25/35 (a)		110			109,620
MASTR Asset Securitization Trust, Series 2005-2, Class 1A1, 5.25%, 11/25/35		29			29,127
National RMBS Trust, Series 2006-3, Class A1, 0.31%, 10/20/37 (a)(b)		3,014			3,012,074
Nomura Resecuritization Trust, Series 2014-1R, Class 5A1, 0.30%, 10/25/36 (a)(b)		5,825			5,697,578
Puma Finance Property Ltd., Series G5, Class A1, 0.37%, 2/21/38 (a)(b)		826			815,269
RALI Trust:
Series 2004-QS4, Class A7, 4.00%, 3/25/34		81			84,164
Series 2004-QS5, Class A5, 4.75%, 4/25/34		812			838,796
Series 2004-QS9, Class A1, 5.00%, 6/25/19		322			322,697
RBSSP Resecuritization Trust, Series 2009-6, Class 13A4, 2.40%, 8/26/35 (a)(b)		2,175			2,197,819
Structured Agency Credit Risk Debt Notes, Class M1 (a):
Series 2013-DN1, 3.55%, 7/25/23		3,766			3,925,648
Series 2013-DN2, 1.60%, 11/25/23		9,071			9,122,133
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-4, Class 1A8, 5.75%, 4/25/36		68			68,273
					54,634,527
Commercial Mortgage-Backed Securities - 8.3%
Banc of America Commercial Mortgage Trust:
Series 2006-5, Class AM, 5.45%, 9/10/47		1,520			1,628,121
Series 2006-6, Class A4, 5.36%, 10/10/45		3,580			3,806,399
Series 2007-4, Class A4, 5.95%, 2/10/51 (a)		3,027			3,365,746
Series 2007-5, Class A4, 5.49%, 2/10/51		3,440			3,743,835
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.35%, 9/10/47 (a)		2,790			2,944,825
Bear Stearns Commercial Mortgage Securities Trust:
Series 2005-PW10, Class AM, 5.45%, 12/11/40 (a)		2,710			2,879,299
Series 2005-PWR8, Class A4, 4.67%, 6/11/41		4,876			5,044,641
CD Commercial Mortgage Trust, Series 2007-CD4, Class AMFX, 5.37%, 12/11/49 (a)		500			524,242
CD Mortgage Trust, Series 2007- CD5, Class A4, 5.89%, 11/15/44 (a)		2,211			2,478,845
Citigroup Commercial Mortgage Trust, Series 2010-RR2, Class CA3A, 5.31%, 12/19/39 (a)(b)		640			692,553
Commercial Mortgage Trust:
Series 2005-GG3, Class A4, 4.80%, 8/10/42 (a)		2,496			2,537,748
Series 2006-C7, Class AM, 5.97%, 6/10/46 (a)		3,150			3,390,332
Series 2007-C9, Class A4, 5.99%, 12/10/49 (a)		3,244			3,643,549
Series 2007-GG9, Class AM, 5.48%, 3/10/39		1,980			2,130,017
Series 2013-CR7, Class A4, 3.21%, 3/10/46		1,700			1,659,193
Series 2013-CR9, Class A4, 4.24%, 7/10/45 (a)		600			634,871
Series 2013-CR12, Class A3, 3.77%, 10/10/46		990			1,000,733
Series 2013-CR12, Class A4, 4.05%, 10/10/46		1,600			1,652,722
Series 2013-LC6, Class AM, 3.28%, 1/10/46		1,290			1,252,025
Credit Suisse Commercial Mortgage Trust:
Series 2006-C3, Class A3, 5.79%, 6/15/38 (a)		9,981			10,815,442

113

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March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Non-Agency Mortgage-Backed Securities (Cont.)	Par (000)		Value
Commercial Mortgage-Backed Securities (cont.)
Credit Suisse Commercial Mortgage Trust (cont.):
Series 2006-C3, Class AM, 5.79%, 6/15/38 (a)	USD	2,368	$	2,571,944
Series 2006-C5, Class A3, 5.31%, 12/15/39		4,485		4,858,802
Series 2007-C1, Class A3, 5.38%, 2/15/40		2,528		2,724,317
Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)		2,250		2,459,097
Series 2007-C2, Class AM, 5.55%, 1/15/49 (a)		950		1,024,533
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C5, Class AJ, 5.10%, 8/15/38 (a)		4,154		4,347,838
DBRR Trust, Class A (b):
Series 2012-EZ1, 0.95%, 9/25/45		1,301		1,303,283
Series 2013-EZ2, 0.85%, 2/25/45 (a)		5,795		5,765,234
GE Capital Commercial Mortgage Corp. (a):
Series 2005-C2, Class A4, 4.98%, 5/10/43		5,686		5,871,835
Series 2005-C3, Class AJ, 5.07%, 7/10/45		700		731,189
Series 2006-C1, Class A4, 5.46%, 3/10/44		5,986		6,365,163
GE Commercial Mortgage Corp. Trust, Series 2007-C1, Class A2, 5.42%, 12/10/49		773		773,087
GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, 5.24%, 11/10/45 (a)		5,343		5,594,663
GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.40%, 8/10/38 (a)		887		888,967
GS Mortgage Securities Trust:
Series 2006-GG6, Class AM, 5.62%, 4/10/38 (a)		4,100		4,402,900
Series 2012-GCJ7, Class AS, 4.09%, 5/10/45		930		961,493
Series 2013-GC14, Class A5, 4.24%, 8/10/46		1,620		1,706,626
Series 2013-GC16, Class A3, 4.24%, 11/10/46		1,580		1,665,405
Series 2013-GC16, Class A4, 4.27%, 11/10/46		2,160		2,279,033
GSMS Trust, Series 2009-RR1, Class GGA, 5.99%, 7/12/38 (a)(b)		1,803		1,921,125
JPMBB Commercial Mortgage Securities Trust:
Series 2013-C14, Class A4, 4.13%, 8/15/46 (a)		1,400		1,461,943
Series 2013-C14, Class AS, 4.41%, 8/15/46 (a)		760		797,200
Series 2013-C15, Class B, 4.93%, 11/15/45		1,730		1,829,617
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2004-CB8, Class A4, 4.40%, 1/12/39		62		62,308
Series 2004-CB9, Class A4, 5.89%, 6/12/41 (a)		3,636		3,660,350
Series 2005-CB11, Class A4, 5.34%, 8/12/37 (a)		3,569		3,678,620
Series 2005-CB13, Class AM, 5.46%, 1/12/43 (a)		2,060		2,179,791
Series 2005-LDP1, Class C, 5.42%, 3/15/46 (a)		2,300		2,354,278
Series 2005-LDP3, Class AJ, 5.17%, 8/15/42 (a)		7,383		7,666,109
Series 2005-LDP5, Class AM, 5.45%, 12/15/44 (a)		5,070		5,423,643
Series 2006-CB14, Class AM, 5.62%, 12/12/44 (a)		6,526		6,972,006
Series 2006-CB16, Class A4, 5.55%, 5/12/45		856		924,719
Series 2006-LDP8, Class AM, 5.44%, 5/15/45		7,004		7,645,692
Series 2011-C5, Class A3, 4.17%, 8/15/46		1,100		1,166,973
Series 2012-CBX, Class AS, 4.27%, 6/15/45		1,110		1,163,259
LB Commercial Mortgage Trust, Series 2007-C3 (a):
Class A4, 5.87%, 7/15/44		2,059		2,299,563
Class AM, 5.87%, 7/15/44		2,450		2,736,336
LB-UBS Commercial Mortgage Trust:
Series 2004-C6, Class C, 5.11%, 8/15/36 (a)		600		609,526
Series 2005-C3, Class AM, 4.79%, 7/15/40		6,770		7,045,627
Series 2006-C1, Class AM, 5.22%, 2/15/31 (a)		740		791,424
Series 2006-C4, Class AM, 5.85%, 6/15/38 (a)		3,376		3,686,373
Series 2006-C7, Class A2, 5.30%, 11/15/38		3,097		3,205,450

114

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SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

Non-Agency Mortgage-Backed Securities (Cont.)	Par (000)		Value
Commercial Mortgage-Backed Securities (cont.)
LB-UBS Commercial Mortgage Trust (cont.):
Series 2006-C7, Class AM, 5.38%, 11/15/38	USD	1,000	$	1,087,666
Series 2007-C1, Class A4, 5.42%, 2/15/40		4,320		4,741,321
Series 2007-C2, Class AM, 5.49%, 2/15/40 (a)		1,800		1,912,649
Series 2007-C7, Class A3, 5.87%, 9/15/45 (a)		2,993		3,382,015
ML-CFC Commercial Mortgage Trust, Class A4 (a):
Series 2006-1, 5.65%, 2/12/39		2,751		2,924,927
Series 2006-2, 6.07%, 6/12/46		3,500		3,803,551
Monty Parent Issuer 1 LLC, Series 2013-LTR1, Class B, 4.25%, 10/20/15		3,363		3,367,335
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.08%, 7/15/46 (a)		1,560		1,629,525
Morgan Stanley Capital I Trust:
Series 2005-IQ9, Class A5, 4.70%, 7/15/56		1,903		1,933,901
Series 2005-IQ10, Class AJ, 5.35%, 9/15/42 (a)		1,200		1,253,554
Series 2006-HQ8, Class A4, 5.60%, 3/12/44 (a)		4,475		4,750,618
Series 2006-T21, Class A4, 5.16%, 10/12/52 (a)		1,355		1,435,446
Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (a)		2,961		3,256,887
Series 2007-IQ16, Class A4, 5.81%, 12/12/49		6,280		6,984,798
Series 2007-T25, Class A3, 5.51%, 11/12/49 (a)		3,650		4,023,121
Series 2007-T27, Class A4, 5.83%, 6/11/42 (a)		5,450		6,099,329
Series 2007-T27, Class AM, 5.83%, 6/11/42 (a)		2,080		2,330,838
Series 2012-C4, Class A4, 3.24%, 3/15/45		2,220		2,217,156
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.24%, 4/10/46		1,880		1,834,077
Wachovia Bank Commercial Mortgage Trust:
Series 2005-C19, Class A6, 4.70%, 5/15/44		1,988		2,056,770
Series 2005-C19, Class B, 4.89%, 5/15/44		3,186		3,278,024
Series 2005-C20, Class A7, 5.12%, 7/15/42 (a)		3,160		3,301,543
Series 2005-C20, Class AJ, 5.16%, 7/15/42 (a)		4,110		4,316,010
Series 2005-C20, Class AMFX, 5.18%, 7/15/42 (a)		3,630		3,815,232
Series 2006-C23, Class A4, 5.42%, 1/15/45 (a)		174		184,413
Series 2006-C27, Class A3, 5.77%, 7/15/45 (a)		4,884		5,252,711
Series 2006-C28, Class AM, 5.60%, 10/15/48 (a)		2,430		2,638,633
Series 2007-C34, Class A3, 5.68%, 5/15/46		3,720		4,126,473
WF-RBS Commercial Mortgage Trust:
Series 2012-C10, Class A3, 2.88%, 12/15/45		1,870		1,792,685
Series 2012-C10, Class AS, 3.24%, 12/15/45		1,520		1,467,546
Series 2012-C8, Class AS, 3.66%, 8/15/45		2,160		2,167,057
Series 2013-C15, Class A4, 4.15%, 8/15/46 (a)		1,580		1,650,800
Series 2013-C18, Class A5, 4.16%, 12/15/46 (a)		1,880		1,955,431
				278,374,521
Total Non-Agency Mortgage-Backed Securities - 9.9%				333,009,048
U.S. Government Sponsored Agency Securities
Agency Obligations - 1.6%
Fannie Mae:
0.00%, 6/01/17 - 5/15/30 (c)		24,600		19,638,960
2.32%, 8/01/33 (a)		1,774		1,883,714
Federal Farm Credit Banks:
1.69%, 4/09/20		8,000		7,694,680
2.00%, 4/04/22		2,977		2,795,885
Federal Home Loan Bank:
2.88%, 9/11/20		3,805		3,925,044
3.38%, 6/12/20 - 12/08/23		7,800		8,178,218
4.00%, 9/01/28		1,625		1,627,399
FICO STRIPS, Series 12, 0.00%, 12/06/16 (c)		3,000		2,913,510
Sallie Mae, Inc., 0.00%, 10/03/22 (c)		5,700		4,254,018

115

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

U.S. Government Sponsored Agency Securities (Cont.)	Par (000)		Value
Agency Obligations (cont.)
Tennessee Valley Authority:
3.50%, 12/15/42	USD	250	$	213,820
5.88%, 4/01/36		1,125		1,375,903
				54,501,151
Collateralized Mortgage Obligations - 0.3%
Fannie Mae REMICS (a):
Series 2007-54, Class PF, 0.37%, 6/25/37		3,187		3,176,808
Series 2010-35, Class EF, 0.70%, 4/25/40		2,352		2,367,165
Series 2010-89, Class CF, 0.60%, 2/25/38		2,257		2,264,731
Freddie Mac REMICS (a):
Series 3667, Class FW, 0.71%, 2/15/38		1,386		1,396,428
Series 3807, Class FN, 0.66%, 2/15/41		1,377		1,384,806
				10,589,938
Commercial Mortgage-Backed Securities - 0.1%
Freddie Mac, Series K037, Class A2, 3.49%, 1/25/24		2,580		2,630,356
Mortgage-Backed Securities - 42.5%
Fannie Mae Mortgage-Backed Securities:
1.93%, 4/01/43 (a)		848		856,544
1.95%, 5/01/43 (a)		1,241		1,257,893
2.09%, 6/01/43 (a)		1,448		1,449,537
2.21%, 1/01/36 (a)		940		1,001,472
2.32%, 1/01/35 (a)		1,163		1,230,011
2.34%, 5/01/33 (a)		2,260		2,384,162
2.44%, 2/01/42 (a)		31		32,132
2.50%, 9/01/28 - 4/01/44 (e)		38,465		38,140,769
2.75%, 1/01/42 (a)		743		767,404
2.80%, 8/01/41 (a)		2,051		2,148,336
3.00%, 1/01/27 - 4/01/44 (e)		232,048		225,904,010
3.31%, 9/01/41 (a)		1,098		1,150,285
3.34%, 4/01/40 (a)		240		253,582
3.50%, 2/01/26 - 4/01/44 (e)		73,708		75,094,159
4.00%, 8/01/25 - 4/01/44 (e)		126,020		131,268,513
4.50%, 10/01/24 - 4/01/44 (e)		275,161		293,527,642
5.00%, 1/01/18 - 4/01/44 (e)		56,723		61,878,662
5.50%, 9/01/19 - 4/01/44 (e)		22,242		24,606,397
6.00%, 11/01/22 - 8/01/38		21,348		23,955,960
6.50%, 12/01/30 - 12/01/32		9,110		10,312,821
Freddie Mac Mortgage-Backed Securities:
1.80%, 6/01/43 (a)		418		420,417
2.21%, 10/01/33 (a)		1,116		1,184,883
2.48%, 5/01/43 (a)		1,016		1,011,927
2.49%, 4/01/38 (a)		1,278		1,348,384
2.50%, 4/01/29 - 4/01/43 (e)		22,959		22,875,304
2.51%, 11/01/36 - 8/01/43 (a)		1,474		1,546,630
2.61%, 1/01/42 (a)		21		22,361
3.00%, 3/01/27 - 6/01/43 (e)		66,206		65,529,269
3.25%, 8/01/41 (a)		1,227		1,296,024
3.33%, 7/01/41 (a)		820		861,708
3.40%, 2/01/40 (a)		1,514		1,596,392
3.50%, 12/01/25 - 4/01/44 (e)		53,999		54,690,567
4.00%, 3/01/26 - 4/01/44 (e)		44,088		45,901,064
4.50%, 8/01/20 - 1/01/42 (e)		42,934		45,815,099
5.00%, 10/01/20 - 4/01/44 (e)		21,346		23,147,755
5.50%, 5/01/34 - 8/01/38		8,604		9,465,270
6.00%, 12/01/28 - 1/01/38		7,201		8,056,565
6.50%, 5/01/21 - 7/01/32		2,687		3,064,610
Ginnie Mae Mortgage-Backed Securities:
3.00%, 5/15/43 - 4/01/44 (e)		34,810		34,229,273
3.50%, 1/15/41 - 4/01/44 (e)		60,543		61,865,348
4.00%, 9/15/40 - 4/01/44 (e)		44,672		46,973,482
4.50%, 3/15/39 - 9/20/43		55,556		59,949,155
5.00%, 9/15/39 - 5/20/41		27,871		30,736,031
5.50%, 6/15/34 - 7/20/40		9,504		10,585,145
6.00%, 9/20/38 - 10/20/38		3,266		3,699,785
				1,433,092,739
Total U.S. Government Sponsored Agency Securities - 44.5%				1,500,814,184
U.S. Treasury Obligations
U.S. Treasury Bonds:
6.38%, 8/15/27		24,068		33,025,821
6.25%, 5/15/30		26,586		36,896,092
5.00%, 5/15/37		21,563		27,081,791
4.50%, 8/15/39		24,000		28,230,000
4.38%, 5/15/40		11,922		13,768,050
3.88%, 8/15/40		15,149		16,147,895
3.63%, 8/15/43		43,630		44,161,763
U.S. Treasury Inflation Indexed Bond, 0.63%, 1/15/24		62,555		44,938,734
U.S. Treasury Notes:
0.75%, 1/15/17		24,146		24,110,167

116

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Percentages shown are based on Net Assets)

(Unaudited)

U.S. Treasury Obligations (Cont.)	Par (000)		Value
U.S. Treasury Notes (cont.):
0.88%, 4/30/17	USD	48,051	$	47,942,116
1.00%, 8/31/19		143,993		137,378,250
1.13%, 3/31/20		42,437		40,182,534
Total U.S. Treasury Obligations - 14.7%				493,863,213
Preferred Securities
Capital Trusts
Capital Markets - 0.0%
The Bank of New York Mellon Corp., Series D, 4.50% (a)(f)		1,264		1,150,240
Diversified Financial Services - 0.1%
JPMorgan Chase & Co., Series Q, 5.15% (a)(f)		1,825		1,710,938
Insurance - 0.1%
The Chubb Corp.
6.00%, 5/11/37		800		977,020
6.38%, 3/29/67 (a)		2,550		2,830,500
				3,807,520
Media - 0.1%
NBCUniversal Enterprise, Inc., 5.25% (b)(f)		2,200		2,222,000
Total Capital Trusts - 0.3%				8,890,698
Preferred Stocks - 0.1%	Shares
Diversified Telecommunication Services - 0.1%
Qwest Corp., 7.38%		196,000		5,125,400
Total Preferred Securities - 0.4%				14,016,098
Total Long-Term Investments
(Cost - $ 3,988,852,864) - 119.0%				4,011,501,155
Short-Term Securities
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.13% (g)(h)		16,745,229		16,745,229
Total Short-Term Securities
(Cost - $ 16,745,229) - 0.5%				16,745,229
Options Purchased
(Cost - $214,444) - 0.0%				2,544
Total Investments Before TBA Sale Commitments and Options Written
(Cost - $4,005,812,537*) - 119.5%				4,028,248,928
TBA Sale Commitments (e)	Par (000)
Fannie Mae Mortgage-Backed Securities:
3.00%, 4/01/44		37,900		(36,591,266	)
3.50%, 4/01/29 - 4/01/44		24,700		(25,101,656	)
4.00%, 4/01/44		85,300		(88,658,687	)
4.50%, 4/01/44		25,400		(27,094,656	)
5.00%, 4/01/29 - 04/01/44		106,200		(115,705,422	)
6.00%, 04/01/44		13,000		(14,490,938	)
Freddie Mac Mortgage-Backed Securities:
3.00%, 4/01/29		9,000		(9,236,250	)
4.50%, 4/01/29 - 4/01/44		5,400		(5,747,469	)
5.00%, 4/01/29		1,500		(1,599,375	)
Ginnie Mae Mortgage-Backed Securities:
4.50%, 04/01/44		14,000		(15,091,562	)
5.00%, 04/01/44		8,000		(8,737,500	)
Total TBA Sales Commitments
(Proceeds - $348,528,285) - (10.3)%				(348,054,781	)
Options Written
(Premiums Received - $162,031) - (0.0)%				(2,544	)
Total Investments, Net of TBA Sale Commitments and Options Written - 109.2%				3,680,191,603
Liabilities in Excess of Other Assets - (9.2)%				(310,288,625	)
Net Assets - 100.0%			$	3,369,902,978

* As of March 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	4,006,075,917
Gross unrealized appreciation	$	60,743,506
Gross unrealized depreciation		(38,570,495	)
Net unrealized appreciation	$	22,173,011

117

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

Notes to Schedule of Investments

(a) Variable rate security. Rate shown is as of report date.

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

(c) Zero-coupon bond.

(d) Amount is less than $500.

(e) Represents or includes a TBA transaction. Unsettled TBA transactions as of March 31, 2014 were as follows:

Counterparty	Value			Unrealized Appreciation (Depreciation)
Barclays Capital, Inc.	$	29,888,609		$	(87,259	)
BNP Paribas Securities Corp.	$	(18,025,000	)	$	33,260
Citigroup Global Markets, Inc.	$	26,234,422		$	36,177
Credit Suisse Securities (USA) LLC	$	58,201,203		$	(225,010	)
Deutsche Bank Securities Inc.	$	105,714,491		$	146,345
Goldman Sachs & Co.	$	42,355,375		$	(28,818	)
J.P. Morgan Securities LLC	$	4,740,578		$	272,145
Merrill Lynch, Pierce, Fenner & Smith, Inc.	$	(6,258,469	)	$	(8,910	)
Morgan Stanley & Co. LLC	$	9,815,094		$	(128,320	)
Nomura Securities International, Inc.	$	18,321,703		$	28,653
RBC Capital Markets LLC	$	2,816,625		$	11,375
RBS Securities Inc.	$	26,771,930		$	62,166
Wells Fargo Securities LLC	$	87,426,836		$	273,971

(f) Security is perpetual in nature and has no stated maturity date.

(g) Investments in issuers considered to be an affiliate of the Master Portfolio during the period ended March 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2013		Net Activity			Shares Held at March 31, 2014		Income
BlackRock Cash Funds:
Institutional, SL Agency Shares		538,812,448		(522,067,219	)		16,745,229	$	64,175
BlackRock Cash Funds: Prime,
SL Agency Shares		68,186,051		(68,186,051	)		—	$	25,188

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

118

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SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

Portfolio Abbreviations

AUD	Australian Dollar
CAD	Canadian Dollar
COP	Certificates of Participation
EUR	Euro
EURIBOR	Euro Interbank Offered Rate
GBP	British Pound
GO	General Obligation Bonds
JPY	Japanese Yen
LIBOR	London Interbank Offered Rate
NOK	Norwegian Krone
NYSE	New York Stock Exchange
NZD	New Zealand Dollar
OTC	Over-the-Counter
RB	Revenue Bonds
REMICS	Real Estate Mortgage Investment Conduits
SEK	Swedish Krona
STRIPS	Separate Trading of Registered Interest and Principal Securities
USD	U.S. Dollar

Ÿ For Master Portfolio compliance purposes, the Master Portfolio‘s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Ÿ Financial futures contracts outstanding as of March 31, 2014 were as follows:

Contracts Purchased (Sold)	Issue	Exchange	Expiration	Notional Value			Unrealized Appreciation (Depreciation)
1,312	2-Year U.S. Treasury Note	Chicago Board of Trade	June 2014		USD	288,066,000	$	(381,570	)
52	5-Year U.S. Treasury Note	Chicago Board of Trade	June 2014		USD	6,185,563		113
745	10-Year Australian T-Bond	Sydney Futures Exchange	June 2014		USD	79,833,657		301,802
788	Euro-Bund Future	Eurex	June 2014		USD	155,651,587		632,583
342	U.S. Long Bond	Chicago Board of Trade	June 2014		USD	45,560,812		(14,947	)
959	90-Day Euro-Dollar	Chicago Mercantile	December 2014		USD	238,982,800		16,620
(548)	10-Year Canada Bond Future	Montreal	June 2014		USD	64,406,730		(207,784	)
(1,639)	10-Year U.S. Treasury Note	Chicago Board of Trade	June 2014		USD	202,416,500		620,967
(377)	U.K. Long Gilt Bond	NYSE Liffe	June 2014		USD	68,841,314		6,875
(373)	Ultra Long-Term U.S. Treasury Bond	Chicago Board of Trade	June 2014		USD	53,886,844		(465,328	)
(959)	90-Day Euro-Dollar	Chicago Mercantile	December 2015		USD	236,980,888		451,357
Total							$	960,688

119

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

Ÿ Forward foreign currency exchange contracts outstanding as of March 31, 2014 were as follows:

	Currency Purchased	Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD	4,239,000		USD	3,887,057	Barclays Bank PLC		6/11/14	$	25,436
AUD	10,937,000		USD	9,802,341	Citibank N.A.		6/11/14		292,242
AUD	7,779,120		USD	6,977,778	Credit Suisse International		6/11/14		202,160
AUD	8,084,561		USD	7,251,755	Credit Suisse International		6/11/14		210,098
AUD	8,520,000		USD	7,607,849	Credit Suisse International		6/11/14		255,903
AUD	16,896,000		USD	15,232,150	Credit Suisse International		6/11/14		362,445
AUD	5,585,000		USD	5,048,946	HSBC Bank PLC		6/11/14		105,872
AUD	1,325,000		USD	1,199,334	JPMorgan Chase Bank N.A.		6/11/14		23,608
AUD	348,000		USD	314,995	JPMorgan Chase Bank N.A.		6/11/14		6,200
AUD	310,000		USD	284,983	JPMorgan Chase Bank N.A.		6/11/14		1,139
AUD	2,124,000		USD	1,949,269	UBS AG		6/11/14		11,131
AUD	5,462,000		USD	5,031,840	UBS AG		6/11/14		9,452
AUD	10,524,000		USD	9,392,828	UBS AG		6/11/14		320,566
AUD	4,235,000		USD	3,877,092	Westpac Banking Corp.		6/11/14		31,710
AUD	5,590,000		USD	5,044,830	Westpac Banking Corp.		6/11/14		114,603
CAD	5,575,000		USD	4,955,564	Citibank N.A.		6/11/14		79,005
CAD	2,629,000		USD	2,328,774	Deutsche Bank AG		6/11/14		45,375
CAD	1,999,000		USD	1,783,189	Goldman Sachs International		6/11/14		22,031
CAD	14,937,000		USD	13,448,639	Royal Bank of Canada		6/11/14		40,394
CAD	7,666,000		USD	6,902,140	Royal Bank of Canada		6/11/14		20,731
CAD	433,000		USD	387,918	State Street Bank and Trust Co.		6/11/14		3,107
EUR	30,972,000		USD	42,522,636	Deutsche Bank AG		6/11/14		141,095
EUR	6,026,000		USD	8,327,149	Goldman Sachs International		6/11/14		(26,372	)
EUR	2,334,000		USD	3,215,106	HSBC Bank PLC		6/11/14		(36	)
EUR	3,928,000		USD	5,413,275	JPMorgan Chase Bank N.A.		6/11/14		(2,480	)
EUR	829,000		USD	1,140,465	JPMorgan Chase Bank N.A.		6/11/14		1,477
EUR	5,740,000		USD	7,965,737	JPMorgan Chase Bank N.A.		6/11/14		(58,924	)
EUR	5,617,000		USD	7,754,325	UBS AG		6/11/14		(16,943	)
GBP	3,961,000		USD	6,584,370	Goldman Sachs International		6/11/14		15,749
GBP	8,598,000		USD	14,351,653	HSBC Bank PLC		6/11/14		(25,011	)
GBP	3,971,000		USD	6,616,814	HSBC Bank PLC		6/11/14		(31	)
GBP	224,000		USD	373,641	HSBC Bank PLC		6/11/14		(395	)
GBP	2,216,000		USD	3,696,379	HSBC Bank PLC		6/11/14		(3,911	)
GBP	17,381,000		USD	28,862,106	UBS AG		6/11/14		99,439
JPY	1,173,500,000		USD	11,500,730	Barclays Bank PLC		6/11/14		(127,054	)
JPY	599,550,000		USD	5,838,844	Barclays Bank PLC		6/11/14		(27,947	)
JPY	599,550,000		USD	5,838,838	BNP Paribas S.A.		6/11/14		(27,941	)
JPY	197,800,000		USD	1,921,412	Citibank N.A.		6/11/14		(4,316	)
JPY	1,570,500,000		USD	15,271,059	Credit Suisse International		6/11/14		(49,620	)
JPY	647,250,000		USD	6,300,856	Credit Suisse International		6/11/14		(27,645	)
JPY	596,300,000		USD	5,829,789	Deutsche Bank AG		6/11/14		(50,392	)
JPY	143,200,000		USD	1,391,369	Goldman Sachs International		6/11/14		(3,461	)
JPY	358,200,000		USD	3,532,409	Goldman Sachs International		6/11/14		(60,699	)
JPY	681,900,000		USD	6,737,210	Goldman Sachs International		6/11/14		(128,169	)
JPY	647,250,000		USD	6,295,471	Goldman Sachs International		6/11/14		(22,261	)
JPY	161,000,000		USD	1,587,710	Goldman Sachs International		6/11/14		(27,282	)
JPY	681,900,000		USD	6,737,923	HSBC Bank PLC		6/11/14		(128,881	)
JPY	147,800,000		USD	1,449,031	JPMorgan Chase Bank N.A.		6/11/14		(16,539	)
JPY	590,050,000		USD	5,826,883	JPMorgan Chase Bank N.A.		6/11/14		(108,061	)
JPY	596,300,000		USD	5,808,834	UBS AG		6/11/14		(29,436	)
NOK	47,206,000		USD	7,889,099	Barclays Bank PLC		6/11/14		(26,692	)
NOK	2,447,000		USD	408,524	Barclays Bank PLC		6/11/14		(964	)

120

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Currency Purchased	Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
NOK	2,252,000		USD	374,461	Deutsche Bank AG		6/11/14	$	621
NOK	4,640,000		USD	773,359	HSBC Bank PLC		6/11/14		(543	)
NOK	26,735,000		USD	4,484,196	JPMorgan Chase Bank N.A.		6/11/14		(31,342	)
NZD	5,175,000		USD	4,403,744	Barclays Bank PLC		6/11/14		62,230
NZD	3,194,000		USD	2,668,331	HSBC Bank PLC		6/11/14		88,059
NZD	20,833,000		USD	17,404,305	HSBC Bank PLC		6/11/14		574,370
NZD	3,172,000		USD	2,690,300	Westpac Banking Corp.		6/11/14		47,105
NZD	9,441,000		USD	8,023,018	Westpac Banking Corp.		6/11/14		124,472
SEK	2,598,000		USD	406,132	BNP Paribas S.A.		6/11/14		(5,172	)
SEK	20,456,000		USD	3,182,389	Deutsche Bank AG		6/11/14		(25,330	)
SEK	12,328,000		USD	1,939,585	Deutsche Bank AG		6/11/14		(36,953	)
SEK	21,984,000		USD	3,461,406	Deutsche Bank AG		6/11/14		(68,524	)
SEK	11,528,000		USD	1,783,947	Deutsche Bank AG		6/11/14		(4,783	)
SEK	237,643,000		USD	36,786,130	HSBC Bank PLC		6/11/14		(109,704	)
SEK	17,184,000		USD	2,688,109	HSBC Bank PLC		6/11/14		(36,031	)
SEK	69,749,000		USD	10,755,021	JPMorgan Chase Bank N.A.		6/11/14		9,631
SEK	14,141,000		USD	2,223,987	UBS AG		6/11/14		(41,548	)
USD	4,452,743		AUD	4,848,000	Bank of America N.A.		6/11/14		(21,843	)
USD	3,953,366		AUD	4,403,000	Barclays Bank PLC		6/11/14		(110,496	)
USD	3,845,115		AUD	4,185,000	Barclays Bank PLC		6/11/14		(17,537	)
USD	4,297,179		AUD	4,672,000	BNP Paribas S.A.		6/11/14		(14,962	)
USD	756,042		AUD	835,000	Deutsche Bank AG		6/11/14		(14,642	)
USD	3,795,846		AUD	4,195,000	Deutsche Bank AG		6/11/14		(76,037	)
USD	3,794,699		AUD	4,191,000	Deutsche Bank AG		6/11/14		(73,491	)
USD	4,378,916		AUD	4,881,000	Royal Bank of Canada		6/11/14		(126,128	)
USD	6,997,554		AUD	7,586,000	UBS AG		6/11/14		(4,138	)
USD	14,815,279		AUD	16,618,000	UBS AG		6/11/14		(522,728	)
USD	32,512,843		AUD	36,469,000	UBS AG		6/11/14		(1,147,151	)
USD	3,210,732		CAD	3,555,000	Royal Bank of Canada		6/11/14		348
USD	390,861		CAD	433,000	State Street Bank and Trust Co.		6/11/14		(165	)
USD	1,691,891		EUR	1,224,000	Bank of America N.A.		6/11/14		5,839
USD	10,335,968		EUR	7,458,000	Barclays Bank PLC		6/11/14		62,621
USD	870,275		EUR	631,000	Barclays Bank PLC		6/11/14		1,077
USD	2,643,071		EUR	1,914,000	Citibank N.A.		6/11/14		6,549
USD	1,532,885		EUR	1,116,500	Deutsche Bank AG		6/11/14		(5,086	)
USD	395,346		EUR	288,000	Deutsche Bank AG		6/11/14		(1,372	)
USD	10,329,690		EUR	7,460,000	Deutsche Bank AG		6/11/14		53,588
USD	3,859,472		EUR	2,772,000	Deutsche Bank AG		6/11/14		41,060
USD	3,478,210		EUR	2,525,000	HSBC Bank PLC		6/11/14		39
USD	7,576,632		EUR	5,509,000	JPMorgan Chase Bank N.A.		6/11/14		(11,980	)
USD	3,553,045		EUR	2,550,000	Royal Bank of Scotland PLC		6/11/14		40,436
USD	19,946,286		EUR	14,391,000	UBS AG		6/11/14		122,776
USD	4,253,588		EUR	3,086,000	UBS AG		6/11/14		2,643
USD	1,156,630		EUR	842,000	UBS AG		6/11/14		(3,219	)
USD	8,853,278		GBP	5,320,000	Deutsche Bank AG		6/11/14		(11,311	)
USD	8,009,976		GBP	4,821,000	Deutsche Bank AG		6/11/14		(23,141	)
USD	4,208,015		GBP	2,521,000	HSBC Bank PLC		6/11/14		7,333
USD	8,003,008		GBP	4,820,000	HSBC Bank PLC		6/11/14		(28,443	)
USD	4,274,577		GBP	2,574,000	HSBC Bank PLC		6/11/14		(14,417	)
USD	370,345		GBP	223,000	HSBC Bank PLC		6/11/14		(1,234	)
USD	2,715,020		GBP	1,640,000	State Street Bank and Trust Co.		6/11/14		(17,673	)
USD	3,870,369		GBP	2,331,000	State Street Bank and Trust Co.		6/11/14		(13,721	)
USD	807,030		GBP	486,000	UBS AG		6/11/14		(2,780	)

121

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

	Currency Purchased	Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	44,040,869		JPY	4,508,085,000	BNP Paribas S.A.		6/11/14	$	348,069
USD	16,889,667		JPY	1,728,850,000	BNP Paribas S.A.		6/11/14		133,485
USD	8,238,436		JPY	841,300,000	Citibank N.A.		6/11/14		84,474
USD	728,562		JPY	74,400,000	Citibank N.A.		6/11/14		7,470
USD	3,765,168		JPY	385,700,000	Credit Suisse International		6/11/14		26,926
USD	11,527,861		JPY	1,192,850,000	Deutsche Bank AG		6/11/14		(33,358	)
USD	11,533,813		JPY	1,192,850,000	Deutsche Bank AG		6/11/14		(27,406	)
USD	3,852,134		JPY	393,950,000	Deutsche Bank AG		6/11/14		33,932
USD	3,847,995		JPY	393,950,000	Deutsche Bank AG		6/11/14		29,793
USD	1,560,452		JPY	158,600,000	HSBC Bank PLC		6/11/14		23,286
USD	6,747,036		JPY	686,550,000	JPMorgan Chase Bank N.A.		6/11/14		92,926
USD	1,937,398		JPY	197,800,000	State Street Bank and Trust Co.		6/11/14		20,301
USD	7,773,068		JPY	795,900,000	UBS AG		6/11/14		59,128
USD	6,934,488		JPY	705,700,000	UBS AG		6/11/14		94,775
USD	1,551,814		JPY	158,600,000	UBS AG		6/11/14		14,647
USD	26,447,921		NOK	159,256,000	BNP Paribas S.A.		6/11/14		(77,000	)
USD	3,455,455		NOK	20,807,000	BNP Paribas S.A.		6/11/14		(10,060	)
USD	780,705		NOK	4,727,000	Deutsche Bank AG		6/11/14		(6,601	)
USD	1,574,959		NOK	9,542,000	JPMorgan Chase Bank N.A.		6/11/14		(14,311	)
USD	397,411		NOK	2,385,000	UBS AG		6/11/14		177
USD	3,150,427		NZD	3,751,000	Barclays Bank PLC		6/11/14		(86,649	)
USD	1,947,710		NZD	2,276,000	Barclays Bank PLC		6/11/14		(16,456	)
USD	186,456		NZD	222,000	Barclays Bank PLC		6/11/14		(5,128	)
USD	16,079,090		NZD	19,130,000	Credit Suisse International		6/11/14		(429,912	)
USD	13,919,252		NZD	16,360,000	Credit Suisse International		6/11/14		(199,268	)
USD	787,850		NZD	926,000	Credit Suisse International		6/11/14		(11,279	)
USD	3,917,922		NZD	4,620,000	Royal Bank of Canada		6/11/14		(69,093	)
USD	184,976		NZD	220,000	UBS AG		6/11/14		(4,882	)
USD	3,153,000		NZD	3,750,000	UBS AG		6/11/14		(83,213	)
USD	3,920,506		NZD	4,625,000	Westpac Banking Corp.		6/11/14		(70,823	)
USD	12,515,409		SEK	80,205,000	Deutsche Bank AG		6/11/14		137,040
USD	1,543,778		SEK	9,973,000	HSBC Bank PLC		6/11/14		4,604
USD	4,988,894		SEK	31,892,000	HSBC Bank PLC		6/11/14		66,870
USD	2,757,225		SEK	17,645,000	JPMorgan Chase Bank N.A.		6/11/14		33,999
USD	9,775,324		SEK	62,561,000	JPMorgan Chase Bank N.A.		6/11/14		120,026
USD	3,512,699		SEK	22,502,000	JPMorgan Chase Bank N.A.		6/11/14		39,873
Total								$	293,039

Ÿ Exchange-traded options purchased as of March 31, 2014 were as follows:

Description	Put/ Call		Strike Price			Expiration Date		Contracts		Market Value
Eurodollar 1-Year Mid-Curve Options		Put		USD	98.50		6/13/14		407	$	2,544

122

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

Ÿ Exchange-traded options written as of March 31, 2014 were as follows:

Description

Put/ Call

Strike Price

Expiration Date

Contracts

Market Value

Eurodollar 1-Year Mid-Curve Options

Put

USD

98.25

6/13/14

407

$

(2,544

)

Ÿ Centrally cleared credit default swaps – sold protection outstanding as of March 31, 2014 were as follows:

Index

Receive Fixed Rate

Clearinghouse

Expiration Date

Credit Rating1

Notional Amount (000)2

Unrealized Appreciation

Dow Jones CDX North America High Yield Series 20, Version 1

5.00

%

Chicago Mercantile

6/20/18

B+

USD

16,200

$

901,013

Dow Jones CDX North America High Yield Series 21, Version 1

5.00

%

Chicago Mercantile

12/20/18

B+

USD

56,700

14,178

Total

$

915,191

¹  Using Standard and Poor’s rating of the underlying securities of the index.

²  The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement.

Ÿ Centrally cleared interest rate swaps outstanding as of March 31, 2014 were as follows:

Fixed Rate	Floating Rate	Clearinghouse	Effective Date	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
2.27%3	3-Month LIBOR	Chicago Mercantile	N/A	11/15/20	USD	51,153	$	(5,137	)
2.38%3	3-Month LIBOR	Chicago Mercantile	6/30/145	2/15/21	USD	51,930		101,495
1.73%3	6-Month EURIBOR	Chicago Mercantile	6/10/145	2/15/23	EUR	22,340		(170,448	)
1.71%3	6-Month EURIBOR	Chicago Mercantile	6/10/145	2/15/23	EUR	10,320		(53,558	)
4.20%4	3-Month LIBOR	Chicago Mercantile	2/07/195	2/07/24	USD	22,400		169,811
4.23%4	3-Month LIBOR	Chicago Mercantile	2/11/195	2/11/24	USD	22,700		196,829
4.07%4	3-Month LIBOR	Chicago Mercantile	3/18/195	3/18/24	USD	22,700		29,462
3.63%4	3-Month LIBOR	Chicago Mercantile	N/A	8/15/39	USD	19,632		473,652
3.65%3	3-Month LIBOR	Chicago Mercantile	N/A	2/07/44	USD	5,400		(117,561	)
3.67%3	3-Month LIBOR	Chicago Mercantile	N/A	2/10/44	USD	5,850		(150,213	)
3.56%3	3-Month LIBOR	Chicago Mercantile	N/A	3/18/44	USD	5,850		(17,680	)
Total							$	456,652

Ÿ OTC interest rate swaps outstanding as of March 31, 2014 were as follows:

Fixed Rate

Floating Rate

Counterparty

Effective Date

Expiration Date

Notional Amount (000)

Market Value

Premiums Paid

Unrealized Appreciation

2.84%3

3-Month LIBOR

Royal Bank of Scotland PLC

2/08/195

2/08/24

USD

32,100

$

87,494

—

$

87,494

³  Master Portfolio pays the floating rate and receives the fixed rate.

⁴  Master Portfolio pays the fixed rate and receives the floating rate.

⁵  Forward swap.

123

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

March 31, 2014

(Unaudited)

• Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 - unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access

• Level 2 - other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, please refer to the Master Portfolio’s most recent financial statements as contained in its annual report.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy as of March 31, 2014:

	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	432,790,095		$	13,271,017	$	446,061,112
Corporate Bonds		—		1,180,184,686			—		1,180,184,686
Foreign Agency Obligations		—		16,921,152			—		16,921,152
Municipal Bonds		—		26,631,662			—		26,631,662
Non-Agency Mortgage-Backed Securities		—		333,009,048			—		333,009,048
U.S. Government Sponsored Agency Securities		—		1,500,814,184			—		1,500,814,184
U.S. Treasury Obligations		—		493,863,213			—		493,863,213
Preferred Securities	$	5,125,400		8,890,698			—		14,016,098
Short-Term Securities		16,745,229		—			—		16,745,229
Options Purchased:
Interest Rate Contracts		2,544		—			—		2,544
Liabilities:
Investments:
TBA Sale Commitments		—		(348,054,781	)		—		(348,054,781	)
Total	$	21,873,173	$	3,645,049,957		$	13,271,017	$	3,680,194,147

124

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2014

(Unaudited)

	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments 1
Assets:
Credit contracts		—		$	915,191			—	$	915,191
Forward foreign currency exchange contracts		—			5,063,566			—		5,063,566
Interest rate contracts	$	2,030,317			1,058,743			—		3,089,060
Liabilities:
Forward foreign currency exchange contracts		—			(4,770,527	)		—		(4,770,527	)
Interest rate contracts		(1,072,173	)		(514,597	)		—		(1,586,770	)
Total	$	958,144		$	1,752,376			—	$	2,710,520

¹  Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.

The carrying amount for certain of the Master Portfolio’s assets and/or liabilities approximates fair value for financial statement purposes. As of March 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	5,246,015		—			—	$	5,246,015
Cash pledged for financial futures contracts		11,848,000		—			—		11,848,000
Cash pledged for centrally cleared swaps		5,054,000		—			—		5,054,000
Liabilities:
Bank overdraft		—	$	(18,091,913	)		—		(18,091,913	)
Cash received as collateral for TBA transactions		—		(530,000	)		—		(530,000	)
Total	$	22,148,015	$	(18,621,913	)		—	$	3,526,102

There were no transfers between levels during the period ended March 31, 2014.

125

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 Schedules of Investments included as Item 1 on this Form N-Q, includes the schedules of investments and notes to schedules of investments of seven series of Master Investment Portfolio (MIP). MIP is unaffiliated with registrant and neither registrant nor the certifying officers to this Form N-Q have any control over the preparation or content of the information included in MIP’s schedules of investments and notes to schedules of investments included herein.

ITEM 2. 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 registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

A 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.

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/ Michael L. Tipsord
	Michael L. Tipsord
	President

Date May 29, 2014

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/ Michael L. Tipsord
	Michael L. Tipsord
	President

Date May 29, 2014

By	/s/ Paul J. Smith
	Paul J. Smith
	Senior Vice President and Treasurer

Date May 29, 2014