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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22320

Russell Exchange Traded Funds Trust

(Exact name of registrant as specified in charter)

1301 2nd Avenue 18^th Floor, Seattle Washington 98101

(Address of principal executive offices) (Zip code)

Mary Beth Rhoden, Secretary and Chief Legal Officer

1301 2nd Avenue

18^th Floor

Seattle, Washington 98101

206-505-4846

(Name and address of agent for service)

Registrant’s telephone number, including area code: 206-505-7877

Date of fiscal year end: March 31

Date of reporting period: April 1, 2012 – June 30, 2012

Item 1. Schedule of Investments

2012 QUARTERLY REPORT

Russell Exchange Traded Funds Trust

Russell Equity ETF^™

JUNE 30, 2012

FUND

Russell Equity ETF

Russell Exchange Traded

Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. This quarterly report reports on the Russell Equity ETF.

Russell Exchange Traded Funds Trust

Russell Equity ETF^™

Quarterly Report

June 30, 2012 (Unaudited)

Table of Contents

	Page
Russell Equity ETF		3
Notes to Quarterly Report		5
Shareholder Requests for Additional Information		8

Russell Exchange Traded Funds Trust

Russell Equity ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Shares			Market Value $
Investments in Other ETFs - 99.7%
iShares MSCI Canada Index Fund		2,657			69
iShares MSCI EAFE Small Capital Index Fund		3,090			112
iShares Russell 1000 Growth Index Fund		2,159			137
iShares Russell 1000 Index Fund		25,092			1,886
Russell 1000 Low Volatility ETF Fund		3,602			186
Vanguard MSCI EAFE ETF		25,372			801
Vanguard MSCI Emerging Markets ETF		5,054			202
Vanguard MSCI European ETF		3,624			155
Vanguard MSCI Pacific ETF		3,931			197
Vanguard Russell 2000		4,755			302
Total Investments in Other ETFs (cost $4,165)					4,047
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund (cost $5)		5,457	(¥)		5
Total Investments - 99.8% (identified cost $4,170)					4,052
Other Assets and Liabilities, Net - 0.2%					9
Net Assets - 100.0%					4,061

(¥) Unrounded units.

See accompanying notes which are an integral part of this quarterly report.

Russell Equity ETF 3

Russell Investment Company

Russell Equity ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Investments in Other ETFs	$	—	$	4,047	$	—	$	4,047
Short-Term Investments		—		5		—		5
Total Investments		—		4,052		—		4,052

For a description of the levels see note 2 in the Notes to Financial Statements.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

4 Russell Equity ETF

Russell Exchange Traded Funds Trust

Russell Equity ETF

Notes to Financial Statements — June 30, 2012 (Unaudited)

1. Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET” or “Trust”) is a series investment company comprised of 26 different investment portfolios that were in operation as of June 30, 2012. This Quarterly Report reports on the Russell Equity ETF (the “Fund”). The Investment Company is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. It is organized and operates as a Delaware statutory trust. Prior to April 15, 2011, the name of the Trust was U.S. One Trust and the Fund name was One Fund ETF.

The Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. The Fund is a “fund of funds,” which means that the Fund seeks to achieve its investment objective by investing primarily in shares of other exchange-traded funds (“Underlying ETFs”).

Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors. Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day. The date the shares began trading on the secondary market is the “commencement of operations” date.

The Fund issues and redeems shares at their respective NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Fund at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to the Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of this Quarterly Report. These policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) for investment companies. The presentation of these schedules of investments in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the Quarterly Report. Actual results could differ from those estimates.

Security Valuation

The Fund values portfolio securities according to Board-approved securities valuation procedures which include market and fair value procedures. In addition, the Fund values the shares of the Underlying ETFs at the last reported sale or settlement price. Money market fund securities are priced using the amortized cost method of valuation unless the Board determines that amortized cost does not represent market value of short-term debt obligations. The Board has delegated the responsibility for administration of the securities valuation procedures to Russell Funds Services Company (“RFSC”).

U.S. GAAP defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but are 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 non-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 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Exchange traded funds that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Notes to Financial Statements 5

Russell Exchange Traded Funds Trust

Russell Equity ETF

Notes to Financial Statements, continued — June 30, 2012 (Unaudited)

Investments in other mutual funds (including unregistered collective vehicles) are valued at their net asset value per share, and are categorized as Level 2 of the fair value hierarchy.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes). When RFSC applies fair valuation methods that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund, if considered material.

In 2011, the Financial Accounting Standards Board (“FASB”) issued an update to requirements relating to fair valuation measurements which represent amendments to achieve common fair value measurements and disclosure requirements in U.S. GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurements and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. Management does not believe the adoption of this update will have a material impact on the Funds’ financial statements.

Investment Transactions

Investment transactions are reflected as of the trade date for financial reporting purposes. This may cause the NAV stated in the financial statements to be different from the NAV at which shareholders may transact. Realized gains and losses from securities transactions, if any, are recorded on the basis of specific identified cost.

Investment Income

Distributions of income and capital gains from the Underlying ETFs are recorded on the ex-dividend date.

Guarantees

In the normal course of business the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund expects the risk of loss to be remote.

Market, Credit and Counterparty Risk

In the normal course of business, the Underlying ETFs trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to the credit risk, the Underlying ETFs may also be exposed to counterparty risk or risk that an institution or other entity with which the Fund has unsettled or open transactions will default. The potential loss could exceed the value of the

6 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Equity ETF

Notes to Financial Statements, continued — June 30, 2012 (Unaudited)

relevant assets recorded in the Underlying ETFs’ financial statements (the “Assets”). The Assets, which potentially expose the Fund to credit risk, consist principally of cash due from counterparties and investments. The extent of the Fund’s exposure to credit and counterparty risks with respect to the Assets approximates their carrying value as recorded in the Fund’s Statement of Assets and Liabilities.

ETF Specific Risk

The Fund is a “fund of funds”. The Fund seeks to achieve its investment objective by investing primarily in shares of other exchange-traded funds. The Adviser employs an asset allocation strategy that seeks to provide exposure to multiple asset classes in a variety of domestic and foreign markets. The Adviser’s asset allocation strategy establishes a target asset allocation for the Fund and the Adviser then implements the strategy by selecting Underlying ETFs that represent each of the desired asset classes, sectors and strategies.

The Adviser employs an active management strategy, meaning that it buys and holds Underlying ETFs based on its asset allocation views, not based on time period dependent rebalancing policies.

3. Related Party Transactions, Fees and Expenses

Russell Investment Management Company (“RIMCo”) advises the Fund and RFSC is the Fund’s administrator. RFSC is a wholly-owned subsidiary of RIMCo. RIMCo is a wholly-owned subsidiary of Frank Russell Company (a subsidiary of The Northwestern Mutual Life Insurance Company). Frank Russell Company provides ongoing money manager research and trade placement services to RET and RIMCo.

The Fund may also invest its cash reserves (the “Cash Balances”) in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of June 30, 2012, the Fund has invested $5,457 in the Russell U.S. Cash Management Fund.

4. Federal Income Taxes

At June 30, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:

	Russell Equity ETF
Cost of Investments	$	4,169,883
Unrealized Appreciation	$	104,463
Unrealized Depreciation		(222,246	)
Net Unrealized Appreciation (Depreciation)	$	(117,783	)

5. Subsequent Events

Management has evaluated events and transactions that may have occurred since June 30, 2012, through the date the Quarterly Report was issued, that would merit recognition or additional disclosure in the Quarterly Report. During this review, nothing was discovered, except for the following, which would require disclosure within the Quarterly Report.

On August 16, 2012, the Board of Trustees of Russell Exchange Traded Funds Trust (the “Trust”), has approved an orderly liquidation of 25 of the 26 different investment portfolios referred to as the Funds. They are; of Russell 1000 Low Beta ETF, Russell 1000 High Beta ETF, Russell 1000 Low Volatility ETF, Russell 1000 High Volatility ETF, Russell 1000 High Momentum ETF, Russell 2000 Low Beta ETF, Russell 2000 High Beta ETF, Russell 2000 Low Volatility ETF, Russell 2000 High Volatility ETF, Russell 2000 High Momentum ETF, Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF, Russell Developed ex-U.S. High Momentum ETF, Russell Aggressive Growth ETF, Russell Consistent Growth ETF, Russell Growth at a Reasonable Price ETF, Russell Contrarian ETF, Russell Equity Income ETF, Russell Low P/E ETF, Russell Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF, Russell Small Cap Contrarian ETF, Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF, each a series of the Trust (collectively, the “Funds”). The Funds’ Board of Trustees determined that closing and liquidating each Fund was in the best interests of the Fund and its shareholders.

Notes to Financial Statements 7

Russell Exchange Traded Funds Trust

Russell Equity ETF

Shareholder Requests for Additional Information — June 30, 2012 (Unaudited)

A complete unaudited schedule of investments is made available generally no later than 60 days after the end of the first and third quarters of each fiscal year. These reports are available (i) free of charge, upon request, by calling the Fund at (888) 775-3837, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, and (iii) at the Securities and Exchange Commission’s public reference room.

The Board has delegated to RIMCo, as RET’s investment adviser, the primary responsibility for monitoring, evaluating and voting proxies solicited by or with respect to issuers of securities in which assets of the Fund may be invested. RIMCo has established a proxy voting committee (“Committee”) and has adopted written proxy voting policies and procedures (“P&P”) and proxy voting guidelines (“Guidelines”). The Fund maintains a Portfolio Holdings Disclosure Policy that governs the timing and circumstances of disclosure to shareholders and third parties of information regarding the portfolio investments held by the Fund. A description of the P&P, Guidelines, Portfolio Holdings Disclosure Policy and additional information about Fund Trustees are contained in the Fund’s Statement of Additional Information (“SAI”). The SAI is available (i) free of charge, upon request, by calling the Fund at (888) 775-3837, (ii) at www.russelletfs.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please contact your financial institution.

Some Financial Intermediaries may offer electronic delivery of the Fund’s prospectus and annual and semiannual reports. Please contact your Financial Intermediary for further details.

8 Shareholder Requests for Additional Information

Russell Exchange Traded Funds Trust	1301 Second Avenue	888-775-3837
	Seattle, Washington 98101	www.russelletfs.com

2012 QUARTERLY REPORT

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

JUNE 30, 2012

FUND

Russell 1000 Low Beta ETF

Russell 1000 High Beta ETF

Russell 1000 Low Volatility ETF

Russell 1000 High Volatility ETF

Russell 1000 High Momentum ETF

Russell 2000 Low Beta ETF

Russell 2000 High Beta ETF

Russell 2000 Low Volatility ETF

Russell 2000 High Volatility ETF

Russell 2000 High Momentum ETF

Russell Developed ex-U.S. Low Beta ETF

Russell Developed ex-U.S. Low Volatility ETF

Russell Developed ex-U.S. High Momentum ETF

Russell Exchange Traded Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. This quarterly report reports on 13 of these Funds.

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Quarterly Report

June 30, 2012 (Unaudited)

Table of Contents

	Page
Russell 1000 Low Beta ETF		3
Russell 1000 High Beta ETF		6
Russell 1000 Low Volatility ETF		9
Russell 1000 High Volatility ETF		12
Russell 1000 High Momentum ETF		15
Russell 2000 Low Beta ETF		18
Russell 2000 High Beta ETF		23
Russell 2000 Low Volatility ETF		26
Russell 2000 High Volatility ETF		29
Russell 2000 High Momentum ETF Russell Developed ex-U.S. Low Beta ETF Russell Developed ex-U.S. Low Volatility ETF Russell Developed ex-U.S. High Momentum ETF		34 39 44 49
Notes to Schedules of Investments		54
Notes to Quarterly Report		55
Shareholder Requests for Additional Information		60

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 13.0%
Apollo Group, Inc. Class A (Æ)		6,332		229
Avon Products, Inc.		4,768		77
Best Buy Co., Inc.		3,466		73
Chico’s FAS, Inc.		5,219		77
Costco Wholesale Corp.		5,159		490
Dollar General Corp. (Æ)		4,807		261
Family Dollar Stores, Inc.		4,765		317
Gap, Inc. (The)		6,250		171
H&R Block, Inc.		8,580		137
ITT Educational Services, Inc. (Æ)		1,137		69
JC Penney Co., Inc.		4,679		109
Las Vegas Sands Corp.		209		9
McDonald’s Corp.		1,218		108
MGM Resorts International (Æ)		1,952		22
priceline.com, Inc. (Æ)		602		400
Royal Caribbean Cruises, Ltd.		5,145		134
Sears Holdings Corp. (Æ)		543		32
Starwood Hotels & Resorts Worldwide, Inc.		660		35
Tractor Supply Co.		265		22
TripAdvisor, Inc. (Æ)		2,269		101
Wal-Mart Stores, Inc.		7,643		534
Wynn Resorts, Ltd.		200		21
				3,428
Consumer Staples - 27.7%
Altria Group, Inc.		15,380		532
Archer-Daniels-Midland Co.		9,055		267
Clorox Co. (The)		980		71
Coca-Cola Co. (The)		6,644		520
Coca-Cola Enterprises, Inc.		4,523		127
Colgate-Palmolive Co.		3,529		367
ConAgra Foods, Inc.		11,954		310
CVS Caremark Corp.		3,276		153
Dr Pepper Snapple Group, Inc.		305		13
Flowers Foods, Inc.		3,031		70
General Mills, Inc.		9,270		357
Herbalife, Ltd.		723		35
Hershey Co. (The)		2,524		182
HJ Heinz Co.		5,610		305
Kellogg Co.		5,574		275
Kimberly-Clark Corp.		6,086		510
Kraft Foods, Inc. Class A		3,835		148
Kroger Co. (The)		5,919		137
Lorillard, Inc.		3,478		459
Mead Johnson Nutrition Co. Class A		2,234		180
Molson Coors Brewing Co. Class B		2,134		89
PepsiCo, Inc.		7,093		501
Philip Morris International, Inc.		5,907		515
Procter & Gamble Co. (The)		6,925		424
Ralcorp Holdings, Inc. (Æ)		1,822		122
Reynolds American, Inc.		11,560		519
Safeway, Inc.		1,477		27
Sysco Corp.		1,937		58
Walgreen Co.		940		28
				7,301

	Principal Amount ($) or Shares		Market Value $
Energy - 2.6%
CONSOL Energy, Inc.		35		1
EOG Resources, Inc.		881		79
Exxon Mobil Corp.		5,434		465
Occidental Petroleum Corp.		935		80
Southwestern Energy Co. (Æ)		2,056		66
				691
Financial Services - 10.3%
Aflac, Inc.		5,550		236
American International Group, Inc. (Æ)		4,574		147
Apartment Investment & Management Co. Class A (ö)		1,499		41
Assurant, Inc.		644		22
AvalonBay Communities, Inc. (ö)		177		25
Berkshire Hathaway, Inc. Class B (Æ)		3,597		301
CBRE Group, Inc. Class A (Æ)		682		11
Fifth Third Bancorp		27,200		365
First Republic Bank (Æ)		15,315		515
Hartford Financial Services Group, Inc.		2,799		49
Host Hotels & Resorts, Inc. (ö)		4,561		72
Jefferies Group, Inc.		5,026		65
JPMorgan Chase & Co.		670		24
Macerich Co. (The) (ö)		3,213		190
Morgan Stanley		2,387		35
Prologis, Inc. (ö)		5,927		197
Public Storage (ö)		79		11
St. Joe Co. (The) (Æ)		10,051		159
Visa, Inc. Class A		918		113
Wells Fargo & Co.		4,111		137
				2,715
Health Care - 25.0%
Abbott Laboratories		7,736		499
Aetna, Inc.		970		38
Alere, Inc. (Æ)		483		9
Alexion Pharmaceuticals, Inc. (Æ)		1,694		168
Allergan, Inc.		5,336		494
Amylin Pharmaceuticals, Inc. (Æ)		3,953		112
Baxter International, Inc.		5,169		275
Biogen Idec, Inc. (Æ)		3,680		532
Bristol-Myers Squibb Co.		14,104		507
Celgene Corp. (Æ)		115		7
Cigna Corp.		820		36
Eli Lilly & Co.		8,316		357
Endo Health Solutions, Inc. (Æ)		4,839		150
Express Scripts Holding Co. (Æ)		1,335		75
Forest Laboratories, Inc. (Æ)		7,272		254
Gilead Sciences, Inc. (Æ)		2,456		126
Human Genome Sciences, Inc. (Æ)		2,756		36
Illumina, Inc. (Æ)		622		25
Incyte Corp., Ltd. (Æ)		403		9
Johnson & Johnson		7,389		499
Merck & Co., Inc.		12,318		514
Mylan, Inc. (Æ)		4,351		93
Myriad Genetics, Inc. (Æ)		3,506		83

Russell 1000 Low Beta ETF 3

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Perrigo Co.		3,300		389
Pfizer, Inc.		22,769		525
Regeneron Pharmaceuticals, Inc. (Æ)		867		99
Stryker Corp.		724		40
SXC Health Solutions Corp. (Æ)		583		58
UnitedHealth Group, Inc.		7,256		424
VCA Antech, Inc. (Æ)		2,472		54
Vertex Pharmaceuticals, Inc. (Æ)		330		18
WellPoint, Inc.		80		5
Zimmer Holdings, Inc.		1,327		85
				6,595
Materials and Processing - 2.8%
Allied Nevada Gold Corp. (Æ)		5,524		157
Polypore International, Inc. (Æ)		279		11
Royal Gold, Inc.		2,062		162
Southern Copper Corp.		5,352		169
Tahoe Resources, Inc. (Æ)		12,490		173
Westlake Chemical Corp.		1,340		70
				742
Producer Durables - 1.6%
Delta Air Lines, Inc. (Æ)		22,207		243
Goodrich Corp.		1,015		129
Terex Corp. (Æ)		2,814		50
				422
Technology - 4.7%
Apple, Inc. (Æ)		689		402
Atmel Corp. (Æ)		925		6
Google, Inc. Class A (Æ)		360		209
Groupon, Inc. Class A (Æ)		203		2
International Business Machines Corp.		2,527		495
LinkedIn Corp. Class A (Æ)		734		78
Micron Technology, Inc. (Æ)		1,150		7
NetApp, Inc. (Æ)		1,143		36
				1,235
Utilities - 12.1%
AT&T, Inc.		14,663		523
CenturyLink, Inc.		1,384		55
Clearwire Corp. Class A (Æ)		59,936		67
Entergy Corp.		2,964		201
Exelon Corp.		3,235		122
FirstEnergy Corp.		9,407		463
Frontier Communications Corp.		7,683		29
MetroPCS Communications, Inc. (Æ)		8,656		52
NextEra Energy, Inc.		2,940		202
NII Holdings, Inc. (Æ)		1,086		11
PPL Corp.		15,953		444
Southern Co.		10,519		487

	Principal Amount ($) or Shares			Market Value $
Sprint Nextel Corp. (Æ)		1,165			4
Verizon Communications, Inc.		11,881			528
					3,188
Total Common Stocks (cost $25,744)					26,317
Short-Term Investments - 0.0%
Russell U.S. Cash Management Fund		11,517	(¥)		12
Total Short-Term Investments (cost $12)					12
Total Investments - 99.8% (identified cost $25,756)					26,329
Other Assets and Liabilities, Net - 0.2%					47
Net Assets - 100.0%					26,376

See accompanying notes which are an integral part of this quarterly report.

4 Russell 1000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	3,428	$	—	$	—	$	3,428
Consumer Staples		7,301		—		—		7,301
Energy		691		—		—		691
Financial Services		2,715		—		—		2,715
Health Care		6,595		—		—		6,595
Materials and Processing		742		—		—		742
Producer Durables		422		—		—		422
Technology		1,235		—		—		1,235
Utilities		3,188		—		—		3,188
Short-Term Investments		—		12		—		12
Total Investments	$	26,317	$	12	$	—	$	26,329

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell 1000 Low Beta ETF 5

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 13.6%
BorgWarner, Inc. (Æ)		791		52
Ford Motor Co.		8,484		81
Fortune Brands Home & Security, Inc. (Æ)		584		13
Garmin, Ltd.		685		26
General Motors Co. (Æ)		4,095		81
Harley-Davidson, Inc.		1,735		79
Home Depot, Inc.		210		11
Jarden Corp.		1,805		76
Johnson Controls, Inc.		1,426		40
Lennar Corp. Class A		792		24
Newell Rubbermaid, Inc.		441		8
Toll Brothers, Inc. (Æ)		2,311		69
TRW Automotive Holdings Corp. (Æ)		931		34
WABCO Holdings, Inc. (Æ)		208		11
Whirlpool Corp.		307		19
				624
Energy - 13.5%
Chevron Corp.		873		92
ConocoPhillips		1,426		80
Exxon Mobil Corp.		1,093		94
Halliburton Co.		2,337		66
Marathon Petroleum Corp.		121		5
National Oilwell Varco, Inc.		895		58
Oil States International, Inc. (Æ)		56		4
Pioneer Natural Resources Co.		395		35
Schlumberger, Ltd.		1,222		79
SEACOR Holdings, Inc. (Æ)		361		32
Spectra Energy Corp.		1,421		41
Williams Cos., Inc. (The)		1,085		31
				617
Financial Services - 13.2%
Bank of America Corp.		11,027		90
Berkshire Hathaway, Inc. Class B (Æ)		397		33
Citigroup, Inc.		3,189		87
Discover Financial Services		2,752		95
Goldman Sachs Group, Inc. (The)		644		62
JPMorgan Chase & Co.		2,617		94
KeyCorp		2,396		19
Lender Processing Services, Inc.		187		5
Mastercard, Inc. Class A		44		19
US Bancorp		259		8
Wells Fargo & Co.		2,784		93
				605
Materials and Processing - 13.4%
Alcoa, Inc.		6,375		56
CF Industries Holdings, Inc.		181		35
Dow Chemical Co. (The)		922		29
Ecolab, Inc.		1,349		92
EI du Pont de Nemours & Co.		1,795		91
Freeport-McMoRan Copper & Gold, Inc.		442		15
Nucor Corp.		2,306		87

	Principal Amount ($) or Shares		Market Value $
Owens Corning (Æ)		831		24
Praxair, Inc.		284		31
Sherwin-Williams Co. (The)		614		81
Solutia, Inc.		1,481		42
Timken Co.		642		29
				612
Producer Durables - 28.0%
3M Co.		1,035		93
Boeing Co. (The)		211		16
Caterpillar, Inc.		1,042		88
Chicago Bridge & Iron Co. NV		1,879		71
Cooper Industries PLC		153		10
Cummins, Inc.		960		93
Danaher Corp.		1,708		89
Deere & Co.		1,194		98
Eaton Corp.		2,290		91
General Electric Co.		4,587		96
Goodrich Corp.		713		90
Illinois Tool Works, Inc.		1,660		88
Ingersoll-Rand PLC		1,190		50
Lincoln Electric Holdings, Inc.		425		19
PACCAR, Inc.		64		3
Pentair, Inc.		297		11
SPX Corp.		101		7
Stanley Black & Decker, Inc.		256		16
Tyco International, Ltd.		1,097		58
Union Pacific Corp.		766		91
United Rentals, Inc. (Æ)		443		15
Xerox Corp.		7,779		61
Xylem, Inc.		1,103		28
				1,282
Technology - 17.8%
Activision Blizzard, Inc.		1,034		12
Apple, Inc. (Æ)		155		91
CA, Inc.		1,895		51
Corning, Inc.		3,855		50
Intel Corp.		3,293		88
International Business Machines Corp.		456		89
KLA-Tencor Corp.		963		47
Lam Research Corp. (Æ)		2,398		91
Maxim Integrated Products, Inc.		1,517		39
Microchip Technology, Inc.		1,866		62
Microsoft Corp.		3,033		92
QUALCOMM, Inc.		1,579		88
Texas Instruments, Inc.		230		7
Western Digital Corp. (Æ)		170		5
				812
Utilities - 0.3%
AT&T, Inc.		356		13
Total Common Stocks (cost $4,699)				4,565

6 Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		2,358	(¥)		2
Total Short-Term Investments (cost $2)					2
Total Investments - 99.9% (identified cost $4,701)					4,567
Other Assets and Liabilities, Net - 0.1%					5
Net Assets - 100.0%					4,572

See accompanying notes which are an integral part of this quarterly report.

Russell 1000 High Beta ETF 7

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	624	$	—	$	—	$	624
Energy		617		—		—		617
Financial Services		605		—		—		605
Materials and Processing		612		—		—		612
Producer Durables		1,282		—		—		1,282
Technology		812		—		—		812
Utilities		13		—		—		13
Short-Term Investments		—		2		—		2
Total Investments	$	4,565	$	2	$	—	$	4,567

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

8 Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.7%
Consumer Discretionary - 8.7%
Cablevision Systems Corp. Class A		33,679		448
Costco Wholesale Corp.		8,658		823
Discovery Communications, Inc. Class A (Æ)		586		32
Genuine Parts Co.		10,690		644
Interpublic Group of Cos., Inc. (The)		5,898		64
Macy’s, Inc.		972		33
Marriott International, Inc. Class A		16,403		643
McDonald’s Corp.		13,798		1,222
News Corp. Class A		20,536		458
PVH Corp.		3,409		265
Sears Holdings Corp. (Æ)		1,043		62
Time Warner, Inc.		4,004		154
TRW Automotive Holdings Corp. (Æ)		5,629		207
Walt Disney Co. (The)		25,905		1,255
				6,310
Consumer Staples - 20.8%
Altria Group, Inc.		42,057		1,454
Clorox Co. (The)		6,397		464
Coca-Cola Co. (The)		18,547		1,450
Colgate-Palmolive Co.		6,063		631
ConAgra Foods, Inc.		18,977		492
CVS Caremark Corp.		16,547		773
General Mills, Inc.		35,697		1,376
HJ Heinz Co.		24,788		1,348
Kellogg Co.		21,055		1,039
Kimberly-Clark Corp.		17,195		1,440
Kraft Foods, Inc. Class A		9,522		368
PepsiCo, Inc.		19,121		1,351
Philip Morris International, Inc.		16,153		1,410
Procter & Gamble Co. (The)		20,392		1,249
Sysco Corp.		6,153		183
				15,028
Energy - 5.1%
Anadarko Petroleum Corp.		6,951		460
Apache Corp.		5,960		524
Exxon Mobil Corp.		16,394		1,403
Marathon Oil Corp.		14,694		376
Murphy Oil Corp.		2,522		127
Occidental Petroleum Corp.		9,063		777
Spectra Energy Corp.		1,073		31
Williams Cos., Inc. (The)		320		9
				3,707
Financial Services - 6.2%
Aon PLC		7,754		363
Franklin Resources, Inc.		2,180		242
Hartford Financial Services Group, Inc.		85,350		1,504
Host Hotels & Resorts, Inc. (ö)		71,537		1,131
Invesco, Ltd.		2,665		60
Jones Lang LaSalle, Inc.		6,348		446
Lender Processing Services, Inc.		12,007		304

	Principal Amount ($) or Shares		Market Value $
MetLife, Inc.		8,963		277
Prudential Financial, Inc.		1,606		78
Taubman Centers, Inc. (ö)		836		65
				4,470
Health Care - 16.0%
Abbott Laboratories		22,705		1,463
Baxter International, Inc.		16,328		868
Becton Dickinson and Co.		13,414		1,003
Bristol-Myers Squibb Co.		34,831		1,252
CR Bard, Inc.		5,916		636
Dentsply International, Inc.		35,595		1,346
Eli Lilly & Co.		33,772		1,449
Henry Schein, Inc. (Æ)		14,844		1,165
Johnson & Johnson		21,473		1,450
Merck & Co., Inc.		8,233		344
Mylan, Inc. (Æ)		8,873		190
Pfizer, Inc.		11,205		258
Stryker Corp.		2,512		138
				11,562
Materials and Processing - 7.3%
Ball Corp.		959		39
Dow Chemical Co. (The)		6,694		211
Eastman Chemical Co.		7,419		374
Owens-Illinois, Inc. (Æ)		38,056		730
Rockwood Holdings, Inc.		27,518		1,220
Solutia, Inc.		50,636		1,420
WR Grace & Co. (Æ)		24,699		1,246
				5,240
Producer Durables - 12.0%
3M Co.		14,965		1,341
Accenture PLC Class A		1,213		73
Automatic Data Processing, Inc.		14,166		788
Caterpillar, Inc.		12,240		1,039
Cintas Corp.		33,729		1,302
General Electric Co.		18,846		393
Goodrich Corp.		11,233		1,425
Manitowoc Co., Inc. (The)		28,508		334
Paychex, Inc.		5,280		166
United Parcel Service, Inc. Class B		18,044		1,421
United Technologies Corp.		4,722		357
				8,639
Technology - 5.7%
Cadence Design Systems, Inc. (Æ)		3,953		43
Cisco Systems, Inc.		44,319		761
EMC Corp. (Æ)		3,099		79
Freescale Semiconductor, Ltd. (Æ)		12,916		132
International Business Machines Corp.		6,993		1,369
Jabil Circuit, Inc.		23,269		473
Microsoft Corp.		33,321		1,019
QUALCOMM, Inc.		3,260		182
SBA Communications Corp. Class A (Æ)		574		33
				4,091

Russell 1000 Low Volatility ETF 9

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Utilities - 17.9%
American Electric Power Co., Inc.		408			16
AT&T, Inc.		39,955			1,425
CenturyLink, Inc.		17,756			701
Consolidated Edison, Inc.		14,119			878
Dominion Resources, Inc.		19,770			1,068
Duke Energy Corp.		61,151			1,410
Edison International		2,543			117
Entergy Corp.		4,051			275
Great Plains Energy, Inc.		14,564			312
ONEOK, Inc.		18,436			780
Pepco Holdings, Inc.		34,161			669
Public Service Enterprise Group, Inc.		1,464			48
SCANA Corp.		3,448			165
Sempra Energy		3,586			247
Southern Co.		29,479			1,365
Verizon Communications, Inc.		32,488			1,443
Windstream Corp.		13,299			128
Wisconsin Energy Corp.		12,075			478
Xcel Energy, Inc.		49,054			1,394
					12,919
Total Common Stocks (cost $70,734)					71,966
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		65,061	(¥)		65
Total Short-Term Investments (cost $65)					65
Total Investments - 99.8% (identified cost $70,799)					72,031
Other Assets and Liabilities, Net - 0.2%					124
Net Assets - 100.0%					72,155

See accompanying notes which are an integral part of this quarterly report.

10 Russell 1000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	6,310	$	—	$	—	$	6,310
Consumer Staples		15,028		—		—		15,028
Energy		3,707		—		—		3,707
Financial Services		4,470		—		—		4,470
Health Care		11,562		—		—		11,562
Materials and Processing		5,240		—		—		5,240
Producer Durables		8,639		—		—		8,639
Technology		4,091		—		—		4,091
Utilities		12,919		—		—		12,919
Short-Term Investments		—		65		—		65
Total Investments	$	71,966	$	65	$	—	$	72,031

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell 1000 Low Volatility ETF 11

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 14.7%
Amazon.com, Inc. (Æ)		417		95
Apollo Group, Inc. Class A (Æ)		285		10
Avon Products, Inc.		1,457		24
Bed Bath & Beyond, Inc. (Æ)		156		10
Dollar General Corp. (Æ)		727		40
DR Horton, Inc.		68		1
Fortune Brands Home & Security, Inc. (Æ)		1,192		27
General Motors Co. (Æ)		3,676		72
HomeAway, Inc. (Æ)		655		14
Las Vegas Sands Corp.		691		30
Lowe’s Cos., Inc.		1,676		48
Michael Kors Holdings, Ltd. (Æ)		418		17
Netflix, Inc. (Æ)		68		5
Pandora Media, Inc. (Æ)		3,678		40
Sirius XM Radio, Inc. (Æ)		20,256		37
Starbucks Corp.		1,683		90
Tesla Motors, Inc. (Æ)		704		22
TJX Cos., Inc.		309		13
Tractor Supply Co.		134		11
Ulta Salon Cosmetics & Fragrance, Inc.		260		24
Wal-Mart Stores, Inc.		701		49
Yum! Brands, Inc.		163		11
				690
Consumer Staples - 1.7%
Fresh Market, Inc. (The) (Æ)		103		6
Monster Beverage Corp. (Æ)		621		44
Walgreen Co.		1,053		31
				81
Energy - 15.6%
Baker Hughes, Inc.		572		24
Cabot Oil & Gas Corp.		1,617		64
Chesapeake Energy Corp.		1,735		32
Chevron Corp.		883		93
CONSOL Energy, Inc.		170		5
EQT Corp.		91		5
EXCO Resources, Inc.		2,821		21
Exxon Mobil Corp.		1,008		86
FMC Technologies, Inc. (Æ)		299		12
HollyFrontier Corp.		828		29
Kinder Morgan, Inc.		1,943		63
Kosmos Energy, Ltd. (Æ)		2,826		31
Laredo Petroleum Holdings, Inc. (Æ)		705		15
National Oilwell Varco, Inc.		37		2
Occidental Petroleum Corp.		639		55
Phillips 66 Class W (Æ)		50		2
Range Resources Corp.		605		37
RPC, Inc.		757		9
SandRidge Energy, Inc. (Æ)		571		4
Schlumberger, Ltd.		1,389		90
Southwestern Energy Co. (Æ)		263		8
Ultra Petroleum Corp. (Æ)		1,046		24
Valero Energy Corp.		521		13
Walter Energy, Inc. Class A		103		5
				729

	Principal Amount ($) or Shares		Market Value $
Financial Services - 20.4%
American International Group, Inc. (Æ)		501		16
Bank of America Corp.		5,272		43
Bank of New York Mellon Corp. (The)		3,739		82
Berkshire Hathaway, Inc. Class B (Æ)		448		37
BOK Financial Corp.		351		20
Citigroup, Inc.		2,707		74
CME Group, Inc. Class A		71		19
Fifth Third Bancorp		2,028		27
Goldman Sachs Group, Inc. (The)		707		68
Howard Hughes Corp. (The) (Æ)		97		6
JPMorgan Chase & Co.		2,680		96
Mastercard, Inc. Class A		208		89
MBIA, Inc. (Æ)		1,378		15
Morgan Stanley		2,487		36
PNC Financial Services Group, Inc.		1,174		72
St. Joe Co. (The) (Æ)		1,263		20
Thomson Reuters Corp.		153		4
US Bancorp		1,167		38
Visa, Inc. Class A		768		95
Wells Fargo & Co.		2,847		95
				952
Health Care - 7.0%
Aetna, Inc.		1,416		55
Alexion Pharmaceuticals, Inc. (Æ)		406		40
Amylin Pharmaceuticals, Inc. (Æ)		846		24
Cooper Cos., Inc. (The)		55		4
Health Net, Inc. (Æ)		62		2
Human Genome Sciences, Inc. (Æ)		559		7
Illumina, Inc. (Æ)		138		6
Regeneron Pharmaceuticals, Inc. (Æ)		54		6
SXC Health Solutions Corp. (Æ)		713		71
UnitedHealth Group, Inc.		1,234		72
Vertex Pharmaceuticals, Inc. (Æ)		534		30
Watson Pharmaceuticals, Inc. Class B (Æ)		144		11
				328
Materials and Processing - 10.3%
Allied Nevada Gold Corp. (Æ)		1,592		45
Fastenal Co.		1,645		66
LyondellBasell Industries NV Class A		71		3
Molycorp, Inc. (Æ)		1,446		31
Monsanto Co.		1,165		96
Newmont Mining Corp.		1,825		89
Polypore International, Inc. (Æ)		301		12
Royal Gold, Inc.		1,168		92
Southern Copper Corp.		910		29
Tahoe Resources, Inc. (Æ)		1,320		18
				481
Producer Durables - 9.8%
Caterpillar, Inc.		275		23
CNH Global NV (Æ)		571		22
Danaher Corp.		607		32
Delta Air Lines, Inc. (Æ)		2,902		32

12 Russell 1000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Emerson Electric Co.		1,893			88
General Electric Co.		4,699			99
Union Pacific Corp.		782			93
United Continental Holdings, Inc. (Æ)		2,278			55
Vantiv, Inc. Class A (Æ)		615			14
					458
Technology - 18.7%
Apple, Inc. (Æ)		158			92
Brocade Communications Systems, Inc. (Æ)		2,021			10
EMC Corp. (Æ)		2,636			68
Facebook, Inc. Class A (Æ)		1,318			41
Fortinet, Inc. (Æ)		47			1
Google, Inc. Class A (Æ)		135			78
Groupon, Inc. Class A (Æ)		56			1
Hewlett-Packard Co.		1,737			35
Intel Corp.		3,230			86
International Business Machines Corp.		129			25
Lambda TD Software, Inc. (Æ)		1,322			13
Micron Technology, Inc. (Æ)		194			1
Microsoft Corp.		3,027			93
NetApp, Inc. (Æ)		1,009			32
Nuance Communications, Inc. (Æ)		774			18
Oracle Corp.		3,408			101
Red Hat, Inc. (Æ)		457			26
Salesforce.com, Inc. (Æ)		179			25
VeriFone Systems, Inc. (Æ)		537			18
VMware, Inc. Class A (Æ)		655			60
Western Digital Corp. (Æ)		470			14
Zynga, Inc. Class A (Æ)		6,365			35
					873
Utilities - 1.7%
Calpine Corp. (Æ)		915			15
Clearwire Corp. Class A (Æ)		15,597			17
NII Holdings, Inc. (Æ)		1,620			17
Sprint Nextel Corp. (Æ)		9,657			32
					81
Total Common Stocks (cost $4,668)					4,673
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		3,189	(¥)		3
Total Short-Term Investments (cost $3)					3
Total Investments - 100.0% (identified cost $4,671)					4,676
Other Assets and Liabilities, Net - 0.0%					2
Net Assets - 100.0%					4,678

See accompanying notes which are an integral part of this quarterly report.

Russell 1000 High Volatility ETF 13

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	690	$	—	$	—	$	690
Consumer Staples		81		—		—		81
Energy		729		—		—		729
Financial Services		952		—		—		952
Health Care		328		—		—		328
Materials and Processing		481		—		—		481
Producer Durables		458		—		—		458
Technology		873		—		—		873
Utilities		81		—		—		81
Short-Term Investments		—		3		—		3
Total Investments	$	4,673	$	3	$	—	$	4,676

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

14 Russell 1000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 26.3%
AutoZone, Inc. (Æ)		58		21
Carter’s, Inc. (Æ)		170		9
CBS Corp. Class B		1,862		61
Chipotle Mexican Grill, Inc. Class A (Æ)		106		40
Comcast Corp. Class A		3,038		98
Dollar Tree, Inc. (Æ)		974		52
Estee Lauder Cos., Inc. (The) Class A		141		8
Expedia, Inc.		490		24
Foot Locker, Inc.		74		2
GateHouse Media, Inc. Class A (Æ)		138		7
Home Depot, Inc.		994		53
Hyatt Hotels Corp. Class A (Æ)		554		21
Interpublic Group of Cos., Inc. (The)		835		9
Liberty Media Corp. - Class A (Æ)		80		7
Liberty Media Corp. - Interactive (Æ)		915		16
Limited Brands, Inc.		1,081		46
LKQ Corp. (Æ)		2,804		94
Lowe’s Cos., Inc.		94		3
Macy’s, Inc.		1,513		52
McDonald’s Corp.		934		83
News Corp. Class A		3,329		74
O’Reilly Automotive, Inc. (Æ)		812		68
priceline.com, Inc. (Æ)		109		72
PVH Corp.		4		—	±
Ralph Lauren Corp. Class A		80		11
Sally Beauty Holdings, Inc. (Æ)		469		12
Starbucks Corp.		1,575		84
TJX Cos., Inc.		1,594		68
Tractor Supply Co.		181		15
TripAdvisor, Inc. (Æ)		111		5
Ulta Salon Cosmetics & Fragrance, Inc.		29		3
VF Corp.		392		52
Viacom, Inc. Class B		238		11
Wal-Mart Stores, Inc.		1,074		75
Walt Disney Co. (The)		1,140		55
Wyndham Worldwide Corp.		374		20
Yum! Brands, Inc.		374		24
				1,355
Consumer Staples - 9.8%
Altria Group, Inc.		3,032		104
Archer-Daniels-Midland Co.		481		14
CVS Caremark Corp.		1,105		52
GNC Holdings, Inc. Class A		149		6
Kraft Foods, Inc. Class A		771		30
Lorillard, Inc.		459		61
Monster Beverage Corp. (Æ)		1,304		93
Philip Morris International, Inc.		1,165		101
Procter & Gamble Co. (The)		542		33
Ralcorp Holdings, Inc. (Æ)		53		4
Reynolds American, Inc.		93		4
				502

	Principal Amount ($) or Shares		Market Value $
Energy - 1.6%
Cabot Oil & Gas Corp.		31		1
Chevron Corp.		435		46
Marathon Oil Corp.		475		12
Occidental Petroleum Corp.		21		2
Plains Exploration & Production Co. (Æ)		253		9
Tesoro Corp. (Æ)		121		3
Williams Cos., Inc. (The)		324		9
				82
Financial Services - 15.7%
Alliance Data Systems Corp. (Æ)		232		31
Allied World Assurance Co. Holdings AG		842		67
American Express Co.		441		26
American International Group, Inc. (Æ)		343		11
Arch Capital Group, Ltd. (Æ)		894		35
Berkshire Hathaway, Inc. Class B (Æ)		278		23
Capital One Financial Corp.		59		3
Discover Financial Services		1,517		52
Duke Realty Corp. (ö)		374		5
Equity Residential (ö)		195		12
Everest Re Group, Ltd.		78		8
Franklin Resources, Inc.		143		16
General Growth Properties, Inc. (ö)		625		11
Health Care REIT, Inc. (ö)		171		10
JPMorgan Chase & Co.		198		7
Kimco Realty Corp. (ö)		239		5
Mastercard, Inc. Class A		237		102
Morgan Stanley		460		7
Prologis, Inc. (ö)		395		13
Prudential Financial, Inc.		11		1
Public Storage (ö)		80		12
Simon Property Group, Inc. (ö)		260		40
Taubman Centers, Inc. (ö)		325		25
Travelers Cos., Inc. (The)		754		48
US Bancorp		752		24
Ventas, Inc. (ö)		216		14
Visa, Inc. Class A		685		85
Wells Fargo & Co.		3,161		107
XL Group PLC Class A		482		10
				810
Health Care - 16.4%
Abbott Laboratories		1,151		74
Alexion Pharmaceuticals, Inc. (Æ)		1,083		107
Allergan, Inc.		681		63
Biogen Idec, Inc. (Æ)		463		67
Bristol-Myers Squibb Co.		2,244		81
Cerner Corp. (Æ)		17		1
Covidien PLC		15		1
Gilead Sciences, Inc. (Æ)		232		12
Intuitive Surgical, Inc. (Æ)		73		40
Johnson & Johnson		616		42
Merck & Co., Inc.		2,511		105
Pfizer, Inc.		3,983		92
Regeneron Pharmaceuticals, Inc. (Æ)		448		51

Russell 1000 High Momentum ETF 15

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
SXC Health Solutions Corp. (Æ)		524		52
UnitedHealth Group, Inc.		972		57
				845
Materials and Processing - 1.5%
Airgas, Inc.		44		4
Brown-Forman Corp. Class B - ADR		259		25
Fastenal Co.		380		15
LyondellBasell Industries NV Class A		299		12
Praxair, Inc.		181		20
				76
Producer Durables - 4.3%
Accenture PLC Class A		471		28
Automatic Data Processing, Inc.		651		37
Copa Holdings SA Class A		72		6
Goodrich Corp.		554		71
Kansas City Southern		303		21
Northrop Grumman Corp.		397		25
TransDigm Group, Inc. (Æ)		31		4
Trimble Navigation, Ltd. (Æ)		93		4
WW Grainger, Inc.		132		25
				221
Technology - 14.3%
Apple, Inc. (Æ)		175		102
Cisco Systems, Inc.		2,934		50
Dell, Inc. (Æ)		2,159		27
EchoStar Corp. Class A (Æ)		981		26
EMC Corp. (Æ)		845		22
Equinix, Inc. (Æ)		517		91
IAC/InterActiveCorp		344		16
Intel Corp.		3,743		100
International Business Machines Corp.		517		101
Intuit, Inc.		242		14
Microsoft Corp.		3,440		105
Motorola Solutions, Inc.		48		2
NCR Corp. (Æ)		696		16
Nuance Communications, Inc. (Æ)		43		1
QUALCOMM, Inc.		723		40
SolarWinds, Inc. (Æ)		321		14
Teradyne, Inc. (Æ)		137		2
Western Digital Corp. (Æ)		19		1
Xilinx, Inc.		239		8
				738
Utilities - 10.0%
AES Corp. (The) (Æ)		1,177		15
AT&T, Inc.		2,879		103
Consolidated Edison, Inc.		686		43
Duke Energy Corp.		3,694		85
NiSource, Inc.		1,777		44
ONEOK, Inc.		210		9
Sempra Energy		313		22

	Principal Amount ($) or Shares			Market Value $
Southern Co.		1,988			92
Verizon Communications, Inc.		2,341			103
					516
Total Common Stocks (cost $4,624)					5,145
Short-Term Investments - 0.0%
Russell U.S. Cash Management Fund		52	(¥)		—	±
Total Short-Term Investments (cost $—±)					—	±
Total Investments - 99.9% (identified cost $4,624)					5,145
Other Assets and Liabilities, Net - 0.1%					5
Net Assets - 100.0%					5,150

See accompanying notes which are an integral part of this quarterly report.

16 Russell 1000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2			Level 3		Total
Common Stocks
Consumer Discretionary	$	1,355	$	—		$	—	$	1,355
Consumer Staples		502		—			—		502
Energy		82		—			—		82
Financial Services		810		—			—		810
Health Care		845		—			—		845
Materials and Processing		76		—			—		76
Producer Durables		221		—			—		221
Technology		738		—			—		738
Utilities		516		—			—		516
Short-Term Investments		—		—	±		—		—	±
Total Investments	$	5,145	$	—	±	$	—	$	5,145

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell 1000 High Momentum ETF 17

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 100.3%
Consumer Discretionary - 9.3%
AFC Enterprises, Inc. (Æ)		387		9
Barnes & Noble, Inc. (Æ)		548		9
Bon-Ton Stores, Inc. (The)		2,510		20
Bridgepoint Education, Inc. (Æ)		1,021		22
Buckle, Inc. (The)		119		5
Capella Education Co. (Æ)		125		4
Caribou Coffee Co., Inc. (Æ)		41		1
Cato Corp. (The) Class A		132		4
Children’s Place Retail Stores, Inc. (The) (Æ)		644		32
Citi Trends, Inc. (Æ)		354		5
Coinstar, Inc. (Æ)		386		27
Conn’s, Inc. (Æ)		822		12
Courier Corp.		454		6
Elizabeth Arden, Inc. (Æ)		88		3
Francesca’s Holdings Corp. (Æ)		469		13
Fred’s, Inc. Class A		1,354		21
Fuel Systems Solutions, Inc. (Æ)		138		2
Gordmans Stores, Inc. (Æ)		206		3
HealthStream, Inc. (Æ)		563		15
hhgregg, Inc. (Æ)		384		4
Hot Topic, Inc.		1,408		14
HSN, Inc.		78		3
LeapFrog Enterprises, Inc. Class A (Æ)		664		7
Lincoln Educational Services Corp.		753		5
Lions Gate Entertainment Corp. (Æ)		692		10
Marchex, Inc. Class A		2,346		8
MarineMax, Inc. (Æ)		3,359		32
Matthews International Corp. Class A		439		14
Mattress Firm Holding Corp. (Æ)		402		12
Monro Muffler Brake, Inc.		234		8
New York & Co., Inc. (Æ)		625		2
Nutrisystem, Inc.		115		1
Orbitz Worldwide, Inc. (Æ)		1,877		7
QuinStreet, Inc. (Æ)		304		3
Regis Corp.		261		5
Rent-A-Center, Inc. Class A		63		2
Saks, Inc. (Æ)		1,004		11
Sinclair Broadcast Group, Inc. Class A		2,336		21
Stamps.com, Inc. (Æ)		693		17
Stein Mart, Inc. (Æ)		4,885		39
Stewart Enterprises, Inc. Class A		359		3
Teavana Holdings, Inc. (Æ)		247		3
Town Sports International Holdings, Inc. (Æ)		435		6
Universal Technical Institute, Inc.		1,303		18
Valassis Communications, Inc. (Æ)		46		1
Viad Corp.		109		2
Wolverine World Wide, Inc.		181		7
				478
Consumer Staples - 14.5%
Andersons, Inc. (The)		383		16
B&G Foods, Inc. Class A		1,022		27
Casey’s General Stores, Inc.		702		41

	Principal Amount ($) or Shares		Market Value $
Chiquita Brands International, Inc. (Æ)		122		1
Fresh Del Monte Produce, Inc.		978		23
Hain Celestial Group, Inc. (The) (Æ)		1,311		72
Harris Teeter Supermarkets, Inc.		232		10
J&J Snack Foods Corp.		378		22
Lancaster Colony Corp.		573		41
Medifast, Inc. (Æ)		367		7
Nash Finch Co.		491		11
National Beverage Corp. (Æ)		1,384		21
Peet’s Coffee & Tea, Inc. (Æ)		367		22
PetMed Express, Inc.		1,661		20
Rite Aid Corp. (Æ)		1,488		2
Sanderson Farms, Inc.		1,504		69
Schiff Nutrition International, Inc. (Æ)		949		17
Smart Balance, Inc. (Æ)		4,217		40
Snyders-Lance, Inc.		332		8
Spartan Stores, Inc.		195		4
Star Scientific, Inc. (Æ)		3,639		17
TreeHouse Foods, Inc. (Æ)		69		4
United Natural Foods, Inc. (Æ)		629		34
Universal Corp.		1,586		73
USANA Health Sciences, Inc. (Æ)		408		17
Vector Group, Ltd.		5,418		92
WD-40 Co.		638		32
				743
Energy - 0.5%
BPZ Resources, Inc. (Æ)		4,328		11
Crimson Exploration, Inc. (Æ)		1,767		8
Rex Energy Corp. (Æ)		326		4
Venoco, Inc. (Æ)		518		5
				28
Financial Services - 20.9%
Amtrust Financial Services, Inc.		961		29
Argo Group International Holdings, Ltd.		104		3
ARMOUR Residential REIT, Inc. (ö)		847		6
Ashford Hospitality Trust, Inc. (ö)		4,157		35
Beneficial Mutual Bancorp, Inc. (Æ)		868		8
BofI Holding, Inc. (Æ)		11		—	±
Capstead Mortgage Corp. (ö)		3,930		55
Cardtronics, Inc. (Æ)		2,405		73
Centerstate Banks, Inc.		2,575		18
City Holding Co.		95		3
Colony Financial, Inc. (ö)		1,581		27
Columbia Banking System, Inc.		30		1
Coresite Realty Corp. Class A (ö)		129		3
CreXus Investment Corp. (ö)		2,201		22
DCT Industrial Trust, Inc. (ö)		4,070		26
DiamondRock Hospitality Co. (ö)		1,260		13
DuPont Fabros Technology, Inc. (ö)		675		19
Dynex Capital, Inc. (ö)		3,463		36
eHealth, Inc. (Æ)		518		8
Employers Holdings, Inc.		832		15
Entertainment Properties Trust (ö)		138		6
Excel Trust, Inc. (ö)		1,653		20

18 Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Federal Agricultural Mortgage Corp. Class C		56		1
FelCor Lodging Trust, Inc. (Æ)(ö)		530		3
First Community Bancshares, Inc.		601		9
First Financial Bancorp		309		5
First Financial Bankshares, Inc.		966		33
Getty Realty Corp. (ö)		286		5
Glacier Bancorp, Inc.		1,068		17
Gladstone Commercial Corp. (ö)		114		2
Glimcher Realty Trust (ö)		1,495		15
Government Properties Income Trust (ö)		990		22
Greenlight Capital Re, Ltd. Class A (Æ)		47		1
Hancock Holding Co.		830		25
Higher One Holdings, Inc. (Æ)		742		9
Hilltop Holdings, Inc. (Æ)		514		5
Inland Real Estate Corp. (ö)		259		2
Investors Bancorp, Inc. (Æ)		934		14
Meadowbrook Insurance Group, Inc.		723		6
MoneyGram International, Inc. (Æ)		141		2
Monmouth Real Estate Investment Corp. Class A (ö)		4,539		53
National Health Investors, Inc. (ö)		732		37
Nationstar Mortgage Holdings, Inc. (Æ)		3,117		67
NBT Bancorp, Inc.		122		3
Northwest Bancshares, Inc.		1,255		15
Ocwen Financial Corp. Class A (Æ)		338		6
Oritani Financial Corp.		807		12
Pacific Capital Bancorp (Æ)		195		9
Pacific Continental Corp.		153		1
Pebblebrook Hotel Trust (ö)		635		15
Pennsylvania Real Estate Investment Trust (ö)		866		13
PennyMac Mortgage Investment Trust (ö)		328		6
Potlatch Corp. (ö)		803		26
Prosperity Bancshares, Inc.		1,188		50
RAIT Financial Trust (ö)		645		3
Ramco-Gershenson Properties Trust (ö)		238		3
Resource Capital Corp. (ö)		2,434		13
RLJ Lodging Trust (ö)		597		11
Sabra Health Care REIT, Inc. (ö)		939		16
Saul Centers, Inc. (ö)		102		4
Sterling Financial Corp. (Æ)		948		18
Strategic Hotels & Resorts, Inc. (Æ)(ö)		5,814		38
Sunstone Hotel Investors, Inc. (Æ)(ö)		170		2
UMB Financial Corp.		107		6
Urstadt Biddle Properties, Inc. Class A(ö)		1,014		20
ViewPoint Financial Group, Inc.		357		6
Wilshire Bancorp, Inc. (Æ)		857		5
World Acceptance Corp. (Æ)		181		12
				1,072
Health Care - 28.0%
Accelrys, Inc. (Æ)		1,232		10
Accretive Health, Inc. (Æ)		305		3
Accuray, Inc. (Æ)		755		5
Achillion Pharmaceuticals, Inc. (Æ)		79		1
Acorda Therapeutics, Inc. (Æ)		426		10

	Principal Amount ($) or Shares		Market Value $
Aegerion Pharmaceuticals, Inc. (Æ)		85		1
Air Methods Corp. (Æ)		101		10
Akorn, Inc. (Æ)		1,592		25
Alkermes PLC (Æ)		1,695		29
Allos Therapeutics, Inc. (Æ)		1,296		2
Alnylam Pharmaceuticals, Inc. (Æ)		285		3
AMN Healthcare Services, Inc. (Æ)		1,164		7
Ampio Pharmaceuticals, Inc. (Æ)		2,887		15
Amsurg Corp. Class A (Æ)		2,529		76
AngioDynamics, Inc. (Æ)		659		8
Antares Pharma, Inc. (Æ)		5,482		20
Arena Pharmaceuticals, Inc. (Æ)		4,291		43
Arqule, Inc. (Æ)		877		5
Array BioPharma, Inc. (Æ)		3,070		11
athenahealth, Inc. (Æ)		37		3
Auxilium Pharmaceuticals, Inc. (Æ)		264		7
AVEO Pharmaceuticals, Inc. (Æ)		653		8
Bio-Reference Labs, Inc. (Æ)		3,240		85
BioScrip, Inc. (Æ)		333		3
BioTime, Inc. (Æ)		2,657		12
Cadence Pharmaceuticals, Inc. Class A (Æ)		234		1
Cambrex Corp. (Æ)		138		1
Centene Corp. (Æ)		1,197		36
Cerus Corp. (Æ)		2,550		8
Computer Programs & Systems, Inc.		261		15
Corcept Therapeutics, Inc. (Æ)		3,802		17
Corvel Corp. (Æ)		975		48
Cubist Pharmaceuticals, Inc. (Æ)		833		32
Cynosure, Inc. Class A (Æ)		187		4
Cytori Therapeutics, Inc. (Æ)		4,747		13
Depomed, Inc. (Æ)		4,432		25
Dyax Corp. (Æ)		1,099		2
Emeritus Corp. (Æ)		185		3
Ensign Group, Inc. (The)		25		1
Enzon Pharmaceuticals, Inc. (Æ)		1,184		8
Epocrates, Inc. (Æ)		238		2
Exact Sciences Corp. (Æ)		2,703		29
ExamWorks Group, Inc. (Æ)		273		4
Exelixis, Inc. (Æ)		1,833		10
Furiex Pharmaceuticals, Inc. (Æ)		355		7
Genomic Health, Inc. (Æ)		331		11
Greatbatch, Inc. (Æ)		93		2
Greenway Medical Technologies (Æ)		260		4
Hansen Medical, Inc. (Æ)		1,439		3
HeartWare International, Inc. (Æ)		128		11
Immunogen, Inc. (Æ)		322		5
Impax Laboratories, Inc. (Æ)		205		4
Infinity Pharmaceuticals, Inc. (Æ)		407		6
Integra LifeSciences Holdings Corp. (Æ)		22		1
Invacare Corp.		85		1
IPC The Hospitalist Co., Inc. (Æ)		266		12
IRIS International, Inc. (Æ)		473		5
Isis Pharmaceuticals, Inc. (Æ)		232		3
Jazz Pharmaceuticals PLC (Æ)		483		22
Landauer, Inc.		170		10
Lexicon Pharmaceuticals, Inc. (Æ)		12,029		27

Russell 2000 Low Beta ETF 19

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
LHC Group, Inc. (Æ)		331		6
Luminex Corp. (Æ)		435		11
Magellan Health Services, Inc. (Æ)		1,606		73
MannKind Corp. (Æ)		2,952		7
MAP Pharmaceuticals, Inc. (Æ)		208		3
Masimo Corp. (Æ)		1,238		28
Maxygen, Inc. (Æ)		1,015		6
Medicis Pharmaceutical Corp. Class A		1,332		46
Merge Healthcare, Inc. (Æ)		1,128		3
Merit Medical Systems, Inc. (Æ)		62		1
Merrimack Pharmaceuticals, Inc. (Æ)		271		2
Molina Healthcare, Inc. (Æ)		754		18
Momenta Pharmaceuticals, Inc. (Æ)		183		2
MWI Veterinary Supply, Inc. (Æ)		172		18
Natus Medical, Inc. (Æ)		193		2
NewLink Genetics Corp. (Æ)		139		2
NPS Pharmaceuticals, Inc. (Æ)		1,535		13
NxStage Medical, Inc. (Æ)		104		2
Omeros Corp. (Æ)		3,371		34
Oncothyreon, Inc. (Æ)		1,119		5
Owens & Minor, Inc.		1,843		56
Par Pharmaceutical Cos., Inc. (Æ)		653		24
PAREXEL International Corp. (Æ)		92		3
PDL BioPharma, Inc.		220		1
Pozen, Inc. (Æ)		653		4
Providence Service Corp. (The) (Æ)		51		1
Quality Systems, Inc.		665		18
Questcor Pharmaceuticals, Inc. (Æ)		776		41
Raptor Pharmaceutical Corp. (Æ)		202		1
Repros Therapeutics, Inc. (Æ)		878		8
Santarus, Inc. (Æ)		2,209		16
Sciclone Pharmaceuticals, Inc. (Æ)		1,709		12
Seattle Genetics, Inc. (Æ)		192		5
Spectranetics Corp. (Æ)		238		3
Staar Surgical Co. (Æ)		2,801		22
Steris Corp.		146		5
Sunesis Pharmaceuticals, Inc. (Æ)		1,528		4
SurModics, Inc. (Æ)		892		15
Symmetry Medical, Inc. (Æ)		1,202		10
Theravance, Inc. (Æ)		131		3
Trius Therapeutics, Inc. (Æ)		861		5
Unilife Corp. (Æ)		6,195		21
Vical, Inc. (Æ)		1,727		6
Volcano Corp. (Æ)		1,026		29
Wright Medical Group, Inc. (Æ)		1,037		22
XenoPort, Inc. (Æ)		234		1
ZIOPHARM Oncology, Inc. (Æ)		3,358		20
				1,433
Materials and Processing - 0.4%
Schweitzer-Mauduit International, Inc.		280		19
Producer Durables - 6.3%
Allegiant Travel Co. Class A (Æ)		1,444		101
Corporate Executive Board Co. (The)		632		26
Geo Group, Inc. (The) (Æ)		120		3
Heartland Express, Inc.		1,747		25

	Principal Amount ($) or Shares		Market Value $
HEICO Corp.		34		1
Huron Consulting Group, Inc. (Æ)		116		4
InnerWorkings, Inc. (Æ)		907		12
Inventure Foods, Inc. (Æ)		2,994		19
JetBlue Airways Corp. (Æ)		492		2
Knight Transportation, Inc.		1,056		17
Liquidity Services, Inc. (Æ)		93		5
MasTec, Inc. (Æ)		66		1
Mine Safety Appliances Co.		1,617		65
Navigant Consulting, Inc. (Æ)		585		7
Teledyne Technologies, Inc. (Æ)		163		10
US Airways Group, Inc. (Æ)		196		3
Werner Enterprises, Inc.		846		20
				321
Technology - 7.0%
AboveNet, Inc. (Æ)		308		26
Carbonite, Inc. (Æ)		729		6
comScore, Inc. (Æ)		256		4
Comtech Telecommunications Corp.		305		9
Deltek, Inc. (Æ)		1,155		13
Demand Media, Inc. (Æ)		1,216		14
Digital River, Inc. (Æ)		129		2
EarthLink, Inc.		1,686		13
EPIQ Systems, Inc.		389		5
Finisar Corp. (Æ)		405		6
JDA Software Group, Inc. (Æ)		374		11
Kenexa Corp. (Æ)		145		4
Loral Space & Communications, Inc.		232		16
Monolithic Power Systems, Inc. (Æ)		245		5
Multi-Fineline Electronix, Inc. (Æ)		203		5
Oclaro, Inc. (Æ)		312		1
OpenTable, Inc. (Æ)		101		5
Parkervision, Inc. (Æ)		10,919		26
Pegasystems, Inc.		159		5
Plantronics, Inc.		412		14
Quest Software, Inc. (Æ)		938		26
Sycamore Networks, Inc. (Æ)		406		6
Synaptics, Inc. (Æ)		469		13
Sypris Solutions, Inc. (Æ)		4,237		29
TNS, Inc. (Æ)		674		12
Ubiquiti Networks, Inc. (Æ)		52		1
Ultratech, Inc. (Æ)		17		—	±
Unwired Planet, Inc. (Æ)		2,813		6
ViaSat, Inc. (Æ)		105		4
Vocus, Inc. (Æ)		2,987		56
Websense, Inc. (Æ)		517		10
Zix Corp. (Æ)		1,878		5
				358
Utilities - 13.4%
8x8, Inc. (Æ)		2,578		11
ALLETE, Inc.		578		24
Avista Corp.		1,407		38
Black Hills Corp.		932		30
Boingo Wireless, Inc. (Æ)		809		9

20 Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
California Water Service Group		2,022			37
Cbeyond, Inc. (Æ)		98			1
CH Energy Group, Inc.		465			31
Cleco Corp.		196			8
Cogent Communications Group, Inc. (Æ)		195			4
Consolidated Communications Holdings, Inc.		384			6
Consolidated Water Co., Ltd.		1,363			11
Fairpoint Communications, Inc. (Æ)		2,849			18
Idacorp, Inc.		907			38
IDT Corp. Class B		101			1
Iridium Communications, Inc. (Æ)		1,250			11
Lumos Networks Corp.		4,540			43
magicJack VocalTec, Ltd. (Æ)		65			1
MGE Energy, Inc.		852			40
Neutral Tandem, Inc. (Æ)		646			8
New Jersey Resources Corp.		391			17
Northwest Natural Gas Co.		300			14
NorthWestern Corp.		209			8
NTELOS Holdings Corp.		67			1
Pendrell Corp. (Æ)		2,863			3
PNM Resources, Inc.		1,160			23
Portland General Electric Co.		2,357			63
Premiere Global Services, Inc. (Æ)		1,764			15
South Jersey Industries, Inc.		648			33
UIL Holdings Corp.		520			19
UNS Energy Corp.		2,419			93
WGL Holdings, Inc.		629			25
					684
Total Common Stocks (cost $4,917)					5,136
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,998	(¥)		5
Total Short-Term Investments (cost $5)					5
Total Investments - 100.4% (identified cost $4,922)					5,141
Other Assets and Liabilities, Net - (0.4%)					(20	)
Net Assets - 100.0%					5,121

See accompanying notes which are an integral part of this quarterly report.

Russell 2000 Low Beta ETF 21

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	478	$	—	$	—	$	478
Consumer Staples		743		—		—		743
Energy		28		—		—		28
Financial Services		1,072		—		—		1,072
Health Care		1,433		—		—		1,433
Materials and Processing		19		—		—		19
Producer Durables		321		—		—		321
Technology		358		—		—		358
Utilities		684		—		—		684
Short-Term Investments		—		5		—		5
Total Investments	$	5,136	$	5	$	—	$	5,141

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

22 Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 12.4%
American Greetings Corp. Class A		3,157		46
Beazer Homes USA, Inc. (Æ)		10,668		35
Cooper Tire & Rubber Co.		2,234		39
Dana Holding Corp.		6,129		79
Dollar Thrifty Automotive Group, Inc. (Æ)		330		27
MDC Holdings, Inc.		2,875		93
Meritage Homes Corp. (Æ)		892		30
Meritor, Inc. (Æ)		452		2
Perry Ellis International, Inc. (Æ)		96		2
Ruby Tuesday, Inc. (Æ)		638		4
Ryland Group, Inc. (The)		1,914		49
Standard Pacific Corp. (Æ)		3,158		20
Steven Madden, Ltd. (Æ)		687		22
Tenneco, Inc. (Æ)		1,482		40
Universal Electronics, Inc. (Æ)		26		—	±
Winnebago Industries, Inc. (Æ)		3,905		40
				528
Energy - 13.0%
Ameresco, Inc. Class A (Æ)		4,581		55
Basic Energy Services, Inc. (Æ)		1,756		18
Bonanza Creek Energy, Inc. (Æ)		706		12
Callon Petroleum Co. (Æ)		448		2
Dril-Quip, Inc. (Æ)		1,261		84
Endeavour International Corp. (Æ)		3,798		32
Energy XXI Bermuda, Ltd.		1,965		61
Exterran Holdings, Inc. (Æ)		4,822		61
Forest Oil Corp. (Æ)		190		1
Global Geophysical Services, Inc. (Æ)		2,135		13
Gulf Island Fabrication, Inc.		29		1
Helix Energy Solutions Group, Inc. (Æ)		3,441		56
Hercules Offshore, Inc. (Æ)		8,067		29
Hornbeck Offshore Services, Inc. (Æ)		1,651		64
Key Energy Services, Inc. (Æ)		2,865		22
Mitcham Industries, Inc. (Æ)		235		4
Newpark Resources, Inc. (Æ)		1,902		11
OYO Geospace Corp. (Æ)		152		14
Tesco Corp. (Æ)		187		2
Tetra Technologies, Inc. (Æ)		1,311		9
				551
Financial Services - 4.1%
Fifth Street Finance Corp.		2,200		22
Global Cash Access Holdings, Inc. (Æ)		419		3
Investment Technology Group, Inc. (Æ)		2,797		26
Knight Capital Group, Inc. Class A (Æ)		430		5
Medallion Financial Corp.		2,545		27
New Mountain Finance Corp.		2,071		29
Pacific Capital Bancorp (Æ)		209		10
PennantPark Investment Corp.		1,273		13
Solar Capital, Ltd.		1,694		38
				173

	Principal Amount ($) or Shares		Market Value $
Materials and Processing - 26.3%
Aceto Corp.		3,766		34
Acuity Brands, Inc.		1,023		52
Ampco-Pittsburgh Corp.		600		11
Apogee Enterprises, Inc.		1,684		27
Belden, Inc.		958		32
Builders FirstSource, Inc. (Æ)		2,311		11
Century Aluminum Co. (Æ)		2,637		19
Clarcor, Inc.		1,643		79
Eagle Materials, Inc.		1,361		51
Ferro Corp. (Æ)		5,614		27
Georgia Gulf Corp.		614		16
Gibraltar Industries, Inc. (Æ)		1,077		11
Globe Specialty Metals, Inc.		874		12
Griffon Corp.		1,306		11
Innospec, Inc. (Æ)		106		3
Interline Brands, Inc. (Æ)		10		—	±
Kaiser Aluminum Corp.		1,190		62
Kaydon Corp.		2,159		46
Kraton Performance Polymers, Inc. (Æ)		4,357		96
LB Foster Co. Class A		591		17
Louisiana-Pacific Corp. (Æ)		998		11
Mueller Industries, Inc.		594		25
Noranda Aluminum Holding Corp.		3,359		27
Olin Corp.		1,660		35
Olympic Steel, Inc.		637		10
OM Group, Inc. (Æ)		1,178		22
PolyOne Corp.		1,010		14
Quanex Building Products Corp.		4,654		83
RBC Bearings, Inc. (Æ)		582		28
RTI International Metals, Inc. (Æ)		434		10
Simpson Manufacturing Co., Inc.		1,192		35
Texas Industries, Inc.		796		31
U.S. Silica Holdings, Inc. (Æ)		1,247		14
Universal Forest Products, Inc.		240		9
Universal Stainless & Alloy (Æ)		791		33
USG Corp. (Æ)		4,498		86
Worthington Industries, Inc.		1,387		28
				1,118
Producer Durables - 32.7%
Actuant Corp. Class A		3,121		85
Aegion Corp. Class A (Æ)		2,315		41
Aircastle, Ltd.		7,249		87
Albany International Corp. Class A		2,307		43
AM Castle & Co. (Æ)		451		5
AO Smith Corp.		551		27
Arkansas Best Corp.		236		3
Barnes Group, Inc.		2,129		52
Briggs & Stratton Corp.		4,799		84
Bristow Group, Inc.		251		10
Chart Industries, Inc. (Æ)		522		36
Commercial Vehicle Group, Inc. (Æ)		620		5
Douglas Dynamics, Inc.		394		6
DXP Enterprises, Inc. (Æ)		193		8
EMCOR Group, Inc.		48		1
EnerSys (Æ)		1,225		43

Russell 2000 High Beta ETF 23

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
EnPro Industries, Inc. (Æ)		2,192		82
ESCO Technologies, Inc.		2,291		83
FARO Technologies, Inc. (Æ)		927		39
Franklin Electric Co., Inc.		91		5
Frontline, Ltd.		71		—	±
Genesee & Wyoming, Inc. Class A (Æ)		582		31
Global Power Equipment Group, Inc.		160		3
Great Lakes Dredge & Dock Corp.		1,238		9
Greenbrier Cos., Inc. (Æ)		3,727		66
Gulfmark Offshore, Inc. Class A (Æ)		798		27
Hurco Cos., Inc. (Æ)		260		5
Middleby Corp. (Æ)		248		25
Modine Manufacturing Co. (Æ)		1,598		11
OSI Systems, Inc. (Æ)		621		39
Robbins & Myers, Inc.		853		36
Rush Enterprises, Inc. Class A (Æ)		229		4
Saia, Inc. (Æ)		231		5
Sauer-Danfoss, Inc.		1,589		56
Standex International Corp.		216		9
Swift Transportation Co. Class A (Æ)		2,752		26
Titan International, Inc.		3,788		93
Titan Machinery, Inc. (Æ)		265		8
Tutor Perini Corp. (Æ)		2,774		35
Twin Disc, Inc.		325		6
Wabash National Corp. (Æ)		3,163		21
Watts Water Technologies, Inc. Class A		2,070		69
Woodward, Inc.		907		36
Zygo Corp. (Æ)		1,474		26
				1,391
Technology - 11.4%
Anadigics, Inc. (Æ)		7,934		14
Anixter International, Inc.		233		12
Aruba Networks, Inc. (Æ)		22		—	±
Axcelis Technologies, Inc. (Æ)		287		—	±
Cavium, Inc. (Æ)		625		18
Cirrus Logic, Inc. (Æ)		872		26
DSP Group, Inc. (Æ)		871		6
Entegris, Inc. (Æ)		5,524		47
Hittite Microwave Corp. (Æ)		1,388		71
iRobot Corp. (Æ)		2,752		61
Microsemi Corp. (Æ)		954		18
Monolithic Power Systems, Inc. (Æ)		294		6
OmniVision Technologies, Inc. (Æ)		1,380		18
Photronics, Inc. (Æ)		2,293		14
RF Micro Devices, Inc. (Æ)		2,011		9
Rudolph Technologies, Inc. (Æ)		391		3
Semtech Corp. (Æ)		3,393		83

	Principal Amount ($) or Shares			Market Value $
Silicon Image, Inc. (Æ)		1,932			8
Tessera Technologies, Inc.		2,877			44
TriQuint Semiconductor, Inc. (Æ)		3,453			19
Universal Display Corp. (Æ)		188			7
					484
Total Common Stocks (cost $4,555)					4,245
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		3,080	(¥)		3
Total Short-Term Investments (cost $3)					3
Total Investments - 100.0% (identified cost $4,558)					4,248
Other Assets and Liabilities, Net - 0.0%					1
Net Assets - 100.0%					4,249

See accompanying notes which are an integral part of this quarterly report.

24 Russell 2000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	528	$	—	$	—	$	528
Energy		551		—		—		551
Financial Services		173		—		—		173
Materials and Processing		1,118		—		—		1,118
Producer Durables		1,391		—		—		1,391
Technology		484		—		—		484
Short-Term Investments		—		3		—		3
Total Investments	$	4,245	$	3	$	—	$	4,248

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell 2000 High Beta ETF 25

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 101.7%
Consumer Discretionary - 12.3%
Belo Corp. Class A		1,493		10
CEC Entertainment, Inc.		24		1
Central European Media Enterprises, Ltd. Class A (Æ)		4,463		23
Dana Holding Corp.		1,005		13
Destination Maternity Corp.		965		21
Exide Technologies (Æ)		1,484		5
Gaylord Entertainment Co. (Æ)		2,496		96
Gerber Scientific, Inc. (Å)(Æ)		245		—	±
Jack in the Box, Inc. (Æ)		109		3
Jones Group, Inc. (The)		173		2
La-Z-Boy, Inc. Class Z (Æ)		1,869		23
Matthews International Corp. Class A		129		4
Meritor, Inc. (Æ)		18,130		95
Pep Boys-Manny Moe & Jack (The)		6,537		65
Pool Corp.		2,689		109
Shutterfly, Inc. (Æ)		207		6
Sinclair Broadcast Group, Inc. Class A		150		1
Sotheby’s Class A		3,302		109
Stoneridge, Inc. (Æ)		308		2
Warnaco Group, Inc. (The) (Æ)		85		4
Wolverine World Wide, Inc.		795		31
				623
Consumer Staples - 5.7%
Boston Beer Co., Inc. Class A (Æ)		50		6
Cal-Maine Foods, Inc.		1,371		54
Casey’s General Stores, Inc.		555		33
Hain Celestial Group, Inc. (The) (Æ)		117		6
Harris Teeter Supermarkets, Inc.		909		37
Lancaster Colony Corp.		556		40
Snyders-Lance, Inc.		109		3
Tootsie Roll Industries, Inc.		31		1
Universal Corp.		490		23
Vector Group, Ltd.		4,369		74
Weis Markets, Inc.		231		10
				287
Energy - 1.1%
Energy XXI Bermuda, Ltd.		654		20
Gulfport Energy Corp. (Æ)		175		4
PDC Energy, Inc. (Æ)		36		1
Pioneer Drilling Co. (Æ)		2,807		23
Triangle Petroleum Corp. (Æ)		1,228		7
Willbros Group, Inc. (Æ)		375		2
				57
Financial Services - 26.3%
Apollo Commercial Real Estate Finance, Inc. (ö)		310		5
ARMOUR Residential REIT, Inc. (ö)		14,757		104
Ashford Hospitality Trust, Inc. (ö)		4,872		41
BofI Holding, Inc. (Æ)		1,389		27
Capstead Mortgage Corp. (ö)		117		2

	Principal Amount ($) or Shares		Market Value $
Cash America International, Inc.		1,096		48
Cohen & Steers, Inc.		2,667		91
Colony Financial, Inc. (ö)		1,670		29
DiamondRock Hospitality Co. (ö)		1,983		20
Dynex Capital, Inc. (ö)		360		4
Euronet Worldwide, Inc. (Æ)		467		8
FelCor Lodging Trust, Inc. (Æ)(ö)		9,697		46
First Financial Bancorp		1,996		32
First Industrial Realty Trust, Inc. (Æ)(ö)		328		4
Franklin Financial Corp. (Æ)		1,019		17
Glimcher Realty Trust (ö)		1,525		16
Healthcare Realty Trust, Inc. (ö)		637		15
LaSalle Hotel Properties (ö)		943		27
Medical Properties Trust, Inc. (ö)		700		7
Navigators Group, Inc. (The) (Æ)		632		32
Pacific Capital Bancorp (Æ)		1,109		51
Parkway Properties, Inc. (ö)		4,255		49
Pebblebrook Hotel Trust (ö)		2,772		65
PennantPark Investment Corp.		1,489		15
Pennsylvania Real Estate Investment Trust (ö)		3,529		53
PennyMac Mortgage Investment Trust (ö)		2,465		49
Platinum Underwriters Holdings, Ltd.		3		—	±
Primerica, Inc.		2,004		54
Prospect Capital Corp.		1,095		12
Prosperity Bancshares, Inc.		43		2
PS Business Parks, Inc. (ö)		296		20
Resource Capital Corp. (ö)		10,114		54
Retail Opportunity Investments Corp. (ö)		3,954		48
RLI Corp.		910		62
Starwood Property Trust, Inc. (ö)		3,238		69
Strategic Hotels & Resorts, Inc. (Æ)(ö)		5,593		36
Sunstone Hotel Investors, Inc. (Æ)(ö)		8,279		90
Universal Health Realty Income Trust (ö)		35		1
Wright Express Corp. (Æ)		397		25
				1,330
Health Care - 10.1%
Abaxis, Inc. (Æ)		56		2
Allos Therapeutics, Inc. (Æ)		31,703		57
Amsurg Corp. Class A (Æ)		749		22
Analogic Corp.		60		4
Chemed Corp.		420		25
CONMED Corp.		2,782		78
eResearchTechnology, Inc. (Æ)		6,849		55
Greatbatch, Inc. (Æ)		350		8
Haemonetics Corp. (Æ)		465		34
HealthSouth Corp. (Æ)		266		6
Integra LifeSciences Holdings Corp. (Æ)		370		14
Invacare Corp.		132		2
Magellan Health Services, Inc. (Æ)		952		43
Owens & Minor, Inc.		2,334		72
STERIS Corp.		187		6
Sunrise Senior Living, Inc. (Æ)		5,271		38
West Pharmaceutical Services, Inc.		840		42
				508

26 Russell 2000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Materials and Processing - 5.8%
Acuity Brands, Inc.		1,545		79
AMCOL International Corp.		340		10
Boise, Inc.		3,637		24
Century Aluminum Co. (Æ)		1,405		10
HB Fuller Co.		117		4
Innospec, Inc. (Æ)		1,207		36
Kaydon Corp.		1,015		22
Koppers Holdings, Inc.		602		20
Kraton Performance Polymers, Inc. (Æ)		362		8
Minerals Technologies, Inc.		505		32
Olin Corp.		51		1
Sensient Technologies Corp.		84		3
U.S. Silica Holdings, Inc. (Æ)		1,449		16
Watsco, Inc.		289		21
Worthington Industries, Inc.		152		3
Zoltek Cos., Inc. (Æ)		418		4
				293
Producer Durables - 9.6%
AAR Corp.		225		3
Aircastle, Ltd.		1,600		19
Applied Industrial Technologies, Inc.		1,595		59
Atlas Air Worldwide Holdings, Inc. (Æ)		26		1
Commercial Vehicle Group, Inc. (Æ)		8,574		73
CoStar Group, Inc. (Æ)		450		37
EMCOR Group, Inc.		257		7
Esterline Technologies Corp. (Æ)		347		22
Forward Air Corp.		38		1
Genesee & Wyoming, Inc. Class A (Æ)		124		7
Greenbrier Cos., Inc. (Æ)		1,121		20
Gulfmark Offshore, Inc. Class A (Æ)		15		1
HEICO Corp.		267		11
Heidrick & Struggles International, Inc.		61		1
Kaman Corp. Class A		624		19
Knight Transportation, Inc.		40		1
MAXIMUS, Inc.		915		47
Middleby Corp. (Æ)		128		13
Moog, Inc. Class A (Æ)		20		1
Orbital Sciences Corp. (Æ)		267		3
Teledyne Technologies, Inc. (Æ)		127		8
Titan Machinery, Inc. (Æ)		1,261		38
UniFirst Corp.		276		18
United Stationers, Inc.		2,183		58
US Ecology, Inc.		180		3
Wabash National Corp. (Æ)		608		4
Werner Enterprises, Inc.		170		4
Woodward, Inc.		132		5
				484
Technology - 11.6%
AboveNet, Inc. (Æ)		1,191		100
Anixter International, Inc.		76		4
Arris Group, Inc. (Æ)		192		3

	Principal Amount ($) or Shares			Market Value $
ATMI, Inc. (Æ)		86			2
Blackbaud, Inc.		932			24
CACI International, Inc. Class A (Æ)		906			50
Cognex Corp.		136			4
Coherent, Inc. (Æ)		270			12
Hittite Microwave Corp. (Æ)		1,158			59
II-VI, Inc. (Æ)		175			3
Jive Software, Inc. (Æ)		146			3
Microsemi Corp. (Æ)		2,316			43
Netscout Systems, Inc. (Æ)		192			4
Power Integrations, Inc.		123			5
Progress Software Corp. (Æ)		2,769			58
Quest Software, Inc. (Æ)		661			18
Syntel, Inc.		1,354			82
Universal Display Corp. (Æ)		3,109			111
					585
Utilities - 19.2%
Avista Corp.		117			3
Black Hills Corp.		645			21
CH Energy Group, Inc.		1,291			85
Cleco Corp.		2,461			102
Empire District Electric Co. (The)		3,112			66
Idacorp, Inc.		2,311			97
Laclede Group, Inc. (The)		901			36
Middlesex Water Co.		307			6
New Jersey Resources Corp.		1,697			74
Northwest Natural Gas Co.		2,021			96
NorthWestern Corp.		1,256			46
PNM Resources, Inc.		76			1
Portland General Electric Co.		1,216			32
South Jersey Industries, Inc.		796			41
SureWest Communications		4,797			101
UIL Holdings Corp.		1,995			72
UNS Energy Corp.		2,285			88
					967
Total Common Stocks (cost $5,243)					5,134
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,944	(¥)		5
Total Short-Term Investments (cost $5)					5
Total Investments - 101.8% (identified cost $5,248)					5,139
Other Assets and Liabilities, Net - (1.8%)					(93	)
Net Assets - 100.0%					5,046

See accompanying notes which are an integral part of this quarterly report.

Russell 2000 Low Volatility ETF 27

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	623	$	—	$	—	$	623
Consumer Staples		287		—		—		287
Energy		57		—		—		57
Financial Services		1,330		—		—		1,330
Health Care		508		—		—		508
Materials and Processing		293		—		—		293
Producer Durables		484		—		—		484
Technology		585		—		—		585
Utilities		967		—		—		967
Short-Term Investments		—		5		—		5
Total Investments	$	5,134	$	5	$	—	$	5,139

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

28 Russell 2000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 100.0%
Consumer Discretionary - 13.4%
Amerco, Inc.		30		3
Ancestry.com, Inc. (Æ)		91		3
Arctic Cat, Inc. (Æ)		182		7
Avis Budget Group, Inc. (Æ)		1,083		16
Barnes & Noble, Inc. (Æ)		1,601		26
Blyth, Inc.		298		10
Boyd Gaming Corp. (Æ)		958		7
Brunswick Corp.		280		6
Buckle, Inc. (The)		505		20
Cabela’s, Inc. (Æ)		434		16
Casual Male Retail Group, Inc. (Æ)		1,035		4
Coinstar, Inc. (Æ)		301		21
Collective Brands, Inc. (Æ)		695		15
Conn’s, Inc. (Æ)		472		7
Cooper Tire & Rubber Co.		1,321		23
Crocs, Inc. (Æ)		1,177		19
Digital Generation, Inc. (Æ)		806		10
Dorman Products, Inc. (Æ)		506		13
Drew Industries, Inc. (Æ)		515		14
Express, Inc. (Æ)		92		2
Finish Line, Inc. (The) Class A		731		15
Fuel Systems Solutions, Inc. (Æ)		513		9
Group 1 Automotive, Inc.		127		6
hhgregg, Inc. (Æ)		672		8
HSN, Inc.		80		3
Jones Group, Inc. (The)		687		7
KB Home		467		5
Lions Gate Entertainment Corp. (Æ)		1,057		16
Live Nation Entertainment, Inc. (Æ)		1,239		11
Marchex, Inc. Class A		320		1
Men’s Wearhouse, Inc. (The)		408		11
Meritage Homes Corp. (Æ)		497		17
Monro Muffler Brake, Inc.		617		21
Penske Automotive Group, Inc.		108		2
Pier 1 Imports, Inc.		1,680		28
Pinnacle Entertainment, Inc. (Æ)		1,402		13
RealD, Inc. (Æ)		722		11
Ryland Group, Inc. (The)		1,268		31
Skechers U.S.A., Inc. Class A (Æ)		1,280		26
Stamps.com, Inc. (Æ)		45		1
Standard Pacific Corp. (Æ)		476		3
Strayer Education, Inc.		20		2
Sturm Ruger & Co., Inc.		273		11
Teavana Holdings, Inc. (Æ)		38		1
TiVo, Inc. (Æ)		170		1
Tower International Inc (Æ)		818		9
Tuesday Morning Corp. (Æ)		438		2
Vera Bradley, Inc. (Æ)		74		2
Wet Seal, Inc. (The) Class A (Æ)		1,995		6
Zagg, Inc. (Æ)		1,968		21
Zipcar, Inc. (Æ)		282		3
				545

	Principal Amount ($) or Shares		Market Value $
Consumer Staples - 1.7%
Central European Distribution Corp. (Æ)		369		1
Diamond Foods, Inc.		789		14
Pilgrim’s Pride Corp. (Æ)		3,297		23
Star Scientific, Inc. (Æ)		2,531		12
Susser Holdings Corp. (Æ)		554		21
				71
Energy - 13.5%
Alon USA Energy, Inc.		917		8
Ameresco, Inc. Class A (Æ)		232		3
Amyris, Inc. (Æ)		1,850		8
Approach Resources, Inc. (Æ)		56		1
Arabian American Development Co. (Æ)		602		6
Berry Petroleum Co. Class A		257		10
Bill Barrett Corp. (Æ)		210		4
BPZ Resources, Inc. (Æ)		4,418		11
C&J Energy Services, Inc. (Æ)		34		1
Cal Dive International, Inc. (Æ)		3,310		10
Capstone Turbine Corp. (Æ)		6,318		6
Carrizo Oil & Gas, Inc. (Æ)		51		1
Clean Energy Fuels Corp. (Æ)		784		12
Comstock Resources, Inc. (Æ)		116		2
Crosstex Energy, Inc.		524		7
CVR Energy, Inc. (Æ)		1,243		33
Delek US Holdings, Inc.		1,872		33
DHT Holdings, Inc. (Æ)		39		5
Dril-Quip, Inc. (Æ)		468		31
FuelCell Energy, Inc. (Æ)		26,182		26
Goodrich Petroleum Corp. (Æ)		264		4
GT Advanced Technologies, Inc. (Æ)		3,353		18
Heckmann Corp. (Æ)		172		1
Helix Energy Solutions Group, Inc. (Æ)		96		2
Hercules Offshore, Inc. (Æ)		1,120		4
Hornbeck Offshore Services, Inc. (Æ)		762		30
Key Energy Services, Inc. (Æ)		1,716		13
KiOR, Inc. Class A (Æ)		6,072		53
Kodiak Oil & Gas Corp. (Æ)		2,523		21
Lufkin Industries, Inc.		831		44
McMoRan Exploration Co. (Æ)		1,275		16
Newpark Resources, Inc. (Æ)		1,457		9
Oasis Petroleum, Inc. (Æ)		494		12
Parker Drilling Co. (Æ)		1,474		7
Patriot Coal Corp. (Æ)		6,335		8
Penn Virginia Corp.		652		5
Rosetta Resources, Inc. (Æ)		497		18
Solazyme, Inc. (Æ)		46		1
STR Holdings, Inc. (Æ)		598		3
SunCoke Energy, Inc. (Æ)		394		6
Swift Energy Co. (Æ)		562		10
Vantage Drilling Co. (Æ)		10,856		16
W&T Offshore, Inc.		92		1
Western Refining, Inc.		1,427		32
				552

Russell 2000 High Volatility ETF 29

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Financial Services - 9.7%
Astoria Financial Corp.		4,884		48
Cathay General Bancorp		241		4
CNO Financial Group, Inc.		864		7
CVB Financial Corp.		953		11
First Commonwealth Financial Corp.		4,522		30
First Midwest Bancorp, Inc.		803		9
FNB Corp.		1,229		13
FNB United Corp. (Æ)		1,955		25
Global Cash Access Holdings, Inc. (Æ)		955		7
Higher One Holdings, Inc. (Æ)		145		2
Hudson Valley Holding Corp.		137		2
International Bancshares Corp.		443		9
Intersections, Inc.		719		11
iStar Financial, Inc. (Æ)(ö)		2,269		15
Knight Capital Group, Inc. Class A (Æ)		1,016		12
Lexington Realty Trust (ö)		1,813		15
MB Financial, Inc.		123		3
National Penn Bancshares, Inc.		1,196		11
Netspend Holdings, Inc. (Æ)		393		4
Park National Corp.		253		18
Piper Jaffray Cos. (Æ)		182		4
Radian Group, Inc.		3,051		10
Sterling Financial Corp. (Æ)		3,125		60
Strategic Hotels & Resorts, Inc. (Æ)(ö)		816		5
Susquehanna Bancshares, Inc.		1,648		17
Umpqua Holdings Corp.		487		6
United Community Banks, Inc. (Æ)		1,746		15
Zillow, Inc. Class A (Æ)		568		22
				395
Health Care - 15.9%
Achillion Pharmaceuticals, Inc. (Æ)		1,532		9
Affymax, Inc. (Æ)		5,403		70
Akorn, Inc. (Æ)		1,732		27
Alkermes PLC (Æ)		165		3
Ampio Pharmaceuticals, Inc. (Æ)		1,454		7
Arena Pharmaceuticals, Inc. (Æ)		6,075		61
Array BioPharma, Inc. (Æ)		3,284		11
AVEO Pharmaceuticals, Inc. (Æ)		1,059		13
Cadence Pharmaceuticals, Inc. Class A (Æ)		980		3
Cambrex Corp. (Æ)		1,436		14
Clovis Oncology, Inc. (Æ)		26		1
Cubist Pharmaceuticals, Inc. (Æ)		90		3
Curis, Inc. (Æ)		695		4
Cytori Therapeutics, Inc. (Æ)		208		1
Endologix, Inc. (Æ)		827		13
Exelixis, Inc. (Æ)		4,053		22
Horizon Pharma, Inc. (Æ)		5,672		40
Idenix Pharmaceuticals, Inc. (Æ)		2,567		26
InterMune, Inc. Class A (Æ)		772		9
Jazz Pharmaceuticals PLC (Æ)		58		3
Keryx Biopharmaceuticals, Inc. (Æ)		104		—	±
Lexicon Pharmaceuticals, Inc. (Æ)		14,589		33
MAKO Surgical Corp. (Æ)		310		8

	Principal Amount ($) or Shares		Market Value $
MannKind Corp. (Æ)		12,267		28
Merge Healthcare, Inc. (Æ)		1,479		4
Merrimack Pharmaceuticals, Inc. (Æ)		2,866		21
Metropolitan Health Networks, Inc. (Æ)		554		5
MModal, Inc. (Æ)		582		8
Momenta Pharmaceuticals, Inc. (Æ)		510		7
NxStage Medical, Inc. (Æ)		226		4
Oncothyreon, Inc. (Æ)		164		1
Optimer Pharmaceuticals, Inc. (Æ)		1,457		23
Osiris Therapeutics, Inc. (Æ)		1,007		11
Pacific Biosciences of California, Inc. (Æ)		941		2
Pacira Pharmaceuticals, Inc. (Æ)		366		6
Pharmacyclics, Inc. (Æ)		1,422		79
Questcor Pharmaceuticals, Inc. (Æ)		511		27
Rigel Pharmaceuticals, Inc. (Æ)		1,155		11
Sangamo Biosciences, Inc. (Æ)		501		3
Sequenom, Inc. (Æ)		1,468		6
Skilled Healthcare Group, Inc. Class A (Æ)		1,802		11
Sunesis Pharmaceuticals, Inc. (Æ)		171		—	±
Synta Pharmaceuticals Corp. (Æ)		191		1
Tornier NV (Æ)		41		1
Transcept Pharmaceuticals, Inc. (Æ)		719		4
Vanguard Health Systems, Inc. (Æ)		348		3
WellCare Health Plans, Inc. (Æ)		47		2
				649
Materials and Processing - 9.6%
AMCOL International Corp.		288		8
American Vanguard Corp.		825		22
Calgon Carbon Corp. (Æ)		1,008		14
Coeur d’Alene Mines Corp. (Æ)		1,677		29
General Moly, Inc. (Æ)		827		3
Gibraltar Industries, Inc. (Æ)		155		2
Globe Specialty Metals, Inc.		101		1
Gold Reserve, Inc. Class A (Æ)		2,661		9
Gold Resource Corp.		802		21
Golden Minerals Co. (Æ)		151		1
Golden Star Resources, Ltd. (Æ)		11,196		13
Graphic Packaging Holding Co. (Æ)		2,139		12
Griffon Corp.		384		3
Headwaters, Inc. (Æ)		1,655		9
Hecla Mining Co.		7,071		34
McEwen Mining, Inc. (Æ)		10,338		31
Midway Gold Corp. (Æ)		9,008		13
NCI Building Systems, Inc. (Æ)		584		6
Olin Corp.		99		2
Omnova Solutions, Inc. (Æ)		717		5
Paramount Gold and Silver Corp. (Æ)		550		1
Rentech, Inc. (Æ)		10,545		22
RTI International Metals, Inc. (Æ)		50		1
Schweitzer-Mauduit International, Inc.		207		14
Simpson Manufacturing Co., Inc.		1,394		41
Stillwater Mining Co. (Æ)		1,499		13
Texas Industries, Inc.		597		23
Universal Forest Products, Inc.		144		6

See accompanying notes which are an integral part of this quarterly report.

30 Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Uranium Energy Corp. (Æ)		1,268		3
Vista Gold Corp. (Æ)		9,545		28
Zep, Inc.		223		3
				393
Producer Durables - 13.4%
A123 Systems, Inc. (Æ)		4,251		5
ACCO Brands Corp. (Æ)		738		8
Advisory Board Co. (The) (Æ)		47		2
Alaska Air Group, Inc. (Æ)		559		20
AM Castle & Co. (Æ)		930		10
American Superconductor Corp. (Æ)		3,356		16
Angie’s List, Inc. (Æ)		40		1
Brady Corp. Class A		395		11
Briggs & Stratton Corp.		571		10
Bristow Group, Inc.		147		6
CAI International, Inc. (Æ)		873		17
Chart Industries, Inc. (Æ)		61		4
CRA International, Inc. (Æ)		237		3
DXP Enterprises, Inc. (Æ)		406		17
Energy Recovery, Inc. (Æ)		1,705		4
EnergySolutions, Inc. (Æ)		5,449		9
ESCO Technologies, Inc.		461		17
Frontline, Ltd.		1,607		7
Genco Shipping & Trading, Ltd. (Æ)		2,036		6
Generac Holdings, Inc. (Æ)		291		7
Gorman-Rupp Co. (The)		28		1
Graham Corp.		412		8
Great Lakes Dredge & Dock Corp.		700		5
Herman Miller, Inc.		454		8
Hub Group, Inc. Class A (Æ)		237		9
InnerWorkings, Inc. (Æ)		1,110		15
Kimball International, Inc. Class B		1,717		13
Liquidity Services, Inc. (Æ)		194		10
MasTec, Inc. (Æ)		188		3
Measurement Specialties, Inc. (Æ)		245		8
Mistras Group, Inc. (Æ)		150		4
Modine Manufacturing Co. (Æ)		721		5
Old Dominion Freight Line, Inc. (Æ)		1,319		57
Overseas Shipholding Group, Inc.		1,104		12
PMFG, Inc. (Æ)		634		5
Power-One, Inc. (Æ)		2,133		10
Quad/Graphics, Inc.		1,287		19
Raven Industries, Inc.		14		1
Robbins & Myers, Inc.		43		2
RPX Corp. Class A (Æ)		146		2
Sauer-Danfoss, Inc.		58		2
ServiceSource International, Inc. (Æ)		140		2
Standex International Corp.		739		31
Swift Transportation Co. Class A (Æ)		1,459		14
Swisher Hygiene, Inc. (Æ)(Þ)		6,548		17
Trimas Corp. (Æ)		883		18
US Airways Group, Inc. (Æ)		5,213		69
Vicor Corp.		154		1
Wesco Aircraft Holdings, Inc. (Æ)		322		4
Woodward, Inc.		252		10
				545

	Principal Amount ($) or Shares		Market Value $
Technology - 19.7%
3D Systems Corp. (Æ)		1,271		43
Acacia Research Corp. (Æ)		49		2
ADTRAN, Inc.		75		2
Aruba Networks, Inc. (Æ)		713		11
Bankrate, Inc. (Æ)		1,518		28
BroadSoft, Inc. (Æ)		632		18
Carbonite, Inc. (Æ)		4,034		36
CIBER, Inc. (Æ)		3,318		14
Cohu, Inc.		503		5
CommVault Systems, Inc. (Æ)		139		7
Computer Task Group, Inc. (Æ)		905		14
Cymer, Inc. (Æ)		42		2
Deltek, Inc. (Æ)		1,923		22
Demand Media, Inc. (Æ)		1,772		20
Echelon Corp. (Æ)		860		3
Emulex Corp. (Æ)		3,802		27
Entropic Communications, Inc. (Æ)		1,337		8
Envestnet, Inc. (Æ)		1,172		14
Finisar Corp. (Æ)		586		9
GeoEye, Inc. (Æ)		213		3
iGATE Corp. (Æ)		409		7
Insight Enterprises, Inc. (Æ)		261		4
InterDigital, Inc.		1,022		30
Intevac, Inc. (Æ)		341		3
IntraLinks Holdings, Inc. (Æ)		262		1
InvenSense, Inc. Class A (Æ)		36		—	±
KEYW Holding Corp. (Æ)		1,040		10
KIT Digital, Inc. (Æ)		146		1
Kopin Corp. (Æ)		4,213		14
LogMeIn, Inc. (Æ)		48		1
MeetMe, Inc. (Æ)		1,620		4
Mercury Computer Systems, Inc. (Æ)		651		8
OCZ Technology Group, Inc. (Æ)		157		1
OmniVision Technologies, Inc. (Æ)		1,306		17
OpenTable, Inc. (Æ)		356		16
Parkervision, Inc. (Æ)		21,683		53
Photronics, Inc. (Æ)		912		6
Plexus Corp. (Æ)		310		9
PROS Holdings, Inc. (Æ)		560		9
QLIK Technologies, Inc. (Æ)		2,609		59
Quantum Corp. (Æ)		2,018		4
Radisys Corp. (Æ)		307		2
RealPage, Inc. (Æ)		523		12
RF Micro Devices, Inc. (Æ)		5,144		22
Rogers Corp. (Æ)		154		6
Rubicon Technology, Inc. (Æ)		1,098		11
SciQuest, Inc. (Æ)		237		4
Sonus Networks, Inc. (Æ)		3,994		9
Sourcefire, Inc. (Æ)		175		9
STEC, Inc. (Æ)		1,532		12
Synacor, Inc. (Æ)		699		10
Synchronoss Technologies, Inc. (Æ)		46		1
Take-Two Interactive Software, Inc. (Æ)		1,158		11
Tangoe, Inc. (Æ)		719		15
TeleNav, Inc. (Æ)		147		1
Travelzoo, Inc. (Æ)		387		9
TriQuint Semiconductor, Inc. (Æ)		1,502		8

Russell 2000 High Volatility ETF 31

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Ubiquiti Networks, Inc. (Æ)		1,733			25
Unwired Planet, Inc. (Æ)		2,073			5
Veeco Instruments, Inc. (Æ)		728			25
VirnetX Holding Corp. (Æ)		1,353			48
Web.com Group, Inc. (Æ)		845			15
					805
Utilities - 3.1%
8x8, Inc. (Æ)		4,376			18
Boingo Wireless, Inc. (Æ)		2,696			31
Fairpoint Communications, Inc. (Æ)		1,425			9
IDT Corp. Class B		572			6
Leap Wireless International, Inc. (Æ)		210			1
Lumos Networks Corp.		3,541			34
magicJack VocalTec, Ltd. (Æ)		955			18
Pendrell Corp. (Æ)		7,213			8
					125
Total Common Stocks (cost $4,378)					4,080
Warrants & Rights - 0.0%
Magnum Hunter Resources, Inc. (Å)(Æ) 2012 Warrants		442			—	±
Total Warrants & Rights (cost $—±)					—	±
Short-Term Investments - 0.0%
Russell U.S. Cash Management Fund		2,337	(¥)		2
Total Short-Term Investments (cost $2)					2
Total Investments - 100.0% (identified cost $4,380)					4,082
Other Assets and Liabilities, Net - (0.0%)					(—	)±
Net Assets - 100.0%					4,082

See accompanying notes which are an integral part of this quarterly report.

32 Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2			Level 3		Total
Common Stocks
Consumer Discretionary	$	545	$	—		$	—	$	545
Consumer Staples		71		—			—		71
Energy		547		—			5		552
Financial Services		395		—			—		395
Health Care		649		—			—		649
Materials and Processing		393		—			—		393
Producer Durables		545		—			—		545
Technology		805		—			—		805
Utilities		125		—			—		125
Warrants & Rights		—		—	±		—		—	±
Short-Term Investments		—		2			—		2
Total Investments	$	4,075	$	2		$	5	$	4,082

For a description of the levels see note 2 in the Notes to Quarterly Report.

Investments in which significant unobservable inputs (Level 3) used in determining a value for the period ending June 30, 2012 were less than 1% of net assets.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell 2000 High Volatility ETF 33

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 19.3%
Amerco, Inc.		175		16
American Greetings Corp. Class A		308		5
America’s Car-Mart, Inc. (Æ)		358		14
Ameristar Casinos, Inc.		322		6
Arctic Cat, Inc. (Æ)		503		18
Asbury Automotive Group, Inc. (Æ)		691		16
Avis Budget Group, Inc. (Æ)		130		2
Benihana, Inc. Class A		51		1
BJ’s Restaurants, Inc. (Æ)		165		6
Buffalo Wild Wings, Inc. (Æ)		198		17
Callaway Golf Co.		785		5
Caribou Coffee Co., Inc. (Æ)		1,117		14
Carmike Cinemas, Inc. (Æ)		247		4
Carrols Restaurant Group, Inc. (Æ)		290		2
Central Garden and Pet Co. Class A (Æ)		599		7
Cheesecake Factory, Inc. (The) (Æ)		851		27
Churchill Downs, Inc.		14		1
Conn’s, Inc. (Æ)		643		10
Cracker Barrel Old Country Store, Inc.		99		6
Crocs, Inc. (Æ)		2,022		33
DineEquity, Inc. (Æ)		216		10
Dollar Thrifty Automotive Group, Inc. (Æ)		953		76
Domino’s Pizza, Inc.		2,922		89
Elizabeth Arden, Inc. (Æ)		825		32
EW Scripps Co. Class A (Æ)		1,963		19
Genesco, Inc. (Æ)		459		28
Grand Canyon Education, Inc. (Æ)		44		1
HealthStream, Inc. (Æ)		1,310		34
Hibbett Sports, Inc. (Æ)		947		55
Iconix Brand Group, Inc. (Æ)		237		4
Inter Parfums, Inc.		467		8
Jos A Bank Clothiers, Inc. (Æ)		138		6
Kirkland’s, Inc. (Æ)		717		8
Knology, Inc. (Æ)		39		1
Krispy Kreme Doughnuts, Inc. (Æ)		302		2
LeapFrog Enterprises, Inc. Class A (Æ)		2,528		26
Libbey, Inc. (Æ)		491		8
Lions Gate Entertainment Corp. (Æ)		1,600		24
Lithia Motors, Inc. Class A		1,056		24
Lumber Liquidators Holdings, Inc. (Æ)		39		1
Marchex, Inc. Class A		518		2
Marriott Vacations Worldwide Corp. (Æ)		34		1
Men’s Wearhouse, Inc. (The)		379		11
Monro Muffler Brake, Inc.		499		17
Movado Group, Inc.		135		3
Multimedia Games Holding Co., Inc. (Æ)		121		2
New York & Co., Inc. (Æ)		1,026		4
PF Chang’s China Bistro, Inc.		102		5
Pool Corp.		323		13
Pricesmart, Inc.		1,318		88
Rent-A-Center, Inc. Class A		421		14
Ruby Tuesday, Inc. (Æ)		1,019		7
Ruth’s Hospitality Group, Inc. (Æ)		2,127		14
Shuffle Master, Inc. (Æ)		86		1
Six Flags Entertainment Corp.		839		45

	Principal Amount ($) or Shares		Market Value $
Smith & Wesson Holding Corp. (Æ)		254		2
Sotheby’s Class A		154		5
Standard Motor Products, Inc.		533		8
Steiner Leisure, Ltd. (Æ)		171		8
Steven Madden, Ltd. (Æ)		647		21
Sturm Ruger & Co., Inc.		468		19
Town Sports International Holdings, Inc. (Æ)		380		5
Vitacost.com, Inc. (Æ)		1,096		6
VOXX International Corp. Class A (Æ)		563		5
Zagg, Inc. (Æ)		215		2
				974
Consumer Staples - 5.5%
Boston Beer Co., Inc. Class A (Æ)		118		14
Calavo Growers, Inc.		33		1
Casey’s General Stores, Inc.		547		32
Hain Celestial Group, Inc. (The) (Æ)		21		1
J&J Snack Foods Corp.		391		23
Lancaster Colony Corp.		360		26
National Beverage Corp. (Æ)		1,140		17
Omega Protein Corp. (Æ)		1,260		9
Peet’s Coffee & Tea, Inc. (Æ)		105		6
Schiff Nutrition International, Inc. (Æ)		586		11
Smart Balance, Inc. (Æ)		3,778		36
Susser Holdings Corp. (Æ)		887		33
TreeHouse Foods, Inc. (Æ)		243		15
United Natural Foods, Inc. (Æ)		411		23
Vector Group, Ltd.		1,885		32
				279
Energy - 4.7%
Approach Resources, Inc. (Æ)		882		23
Arabian American Development Co. (Æ)		112		1
Berry Petroleum Co. Class A		308		12
Capstone Turbine Corp. (Æ)		2,778		3
CVR Energy, Inc. (Æ)		1,347		36
Delek US Holdings, Inc.		373		7
Dril-Quip, Inc. (Æ)		113		7
Energy XXI Bermuda, Ltd.		85		3
Gulfport Energy Corp. (Æ)		679		14
Hornbeck Offshore Services, Inc. (Æ)		108		4
Kodiak Oil & Gas Corp. (Æ)		5,980		49
Lufkin Industries, Inc.		41		2
Mitcham Industries, Inc. (Æ)		204		3
Northern Oil and Gas, Inc. (Æ)		485		8
Oasis Petroleum, Inc. (Æ)		97		2
REX American Resources Corp. (Æ)		1,524		30
Rosetta Resources, Inc. (Æ)		497		18
Stone Energy Corp. (Æ)		100		3
Targa Resources Corp.		21		1
Western Refining, Inc.		543		12
				238

34 Russell 2000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Financial Services - 22.1%
Advent Software, Inc. (Æ)		399		11
American Capital Mortgage Investment Corp. (ö)		33		1
Ameris Bancorp (Æ)		273		3
Amtrust Financial Services, Inc.		146		4
Anworth Mortgage Asset Corp. (ö)		1,547		11
Apollo Investment Corp.		834		6
Ashford Hospitality Trust, Inc. (ö)		1,648		14
Associated Estates Realty Corp. (ö)		552		8
Bank of the Ozarks, Inc.		151		5
BGC Partners, Inc. Class A		1,313		8
BlackRock Kelso Capital Corp.		2,230		22
Bridge Capital Holdings (Æ)		45		1
Cardtronics, Inc. (Æ)		2,090		63
Citizens Republic Bancorp, Inc. (Æ)		5,831		100
Colonial Properties Trust (ö)		624		14
Coresite Realty Corp. Class A (ö)		1,263		33
DuPont Fabros Technology, Inc. (ö)		702		20
Dynex Capital, Inc. (ö)		2,016		21
Education Realty Trust, Inc. Class A (ö)		75		1
Entertainment Properties Trust (ö)		751		31
Epoch Holding Corp.		1,829		42
Evercore Partners, Inc. Class A		254		6
Ezcorp, Inc. Class A (Æ)		633		15
Financial Engines, Inc. (Æ)		115		2
First California Financial Group, Inc. (Æ)		171		1
First Cash Financial Services, Inc. (Æ)		537		22
First Industrial Realty Trust, Inc. (Æ)(ö)		295		4
First Interstate Bancsystem, Inc. Class A		1,097		16
First Merchants Corp.		770		10
First Midwest Bancorp, Inc.		451		5
Firsthand Technology Value Fund, Inc.		81		1
Getty Realty Corp. (ö)		188		4
Gladstone Commercial Corp. (ö)		475		8
Glimcher Realty Trust (ö)		3,627		37
Global Cash Access Holdings, Inc. (Æ)		6,336		46
Government Properties Income Trust (ö)		398		9
Greenlight Capital Re, Ltd. Class A (Æ)		330		8
Heartland Payment Systems, Inc.		31		1
Hersha Hospitality Trust Class A (ö)		3,258		17
HFF, Inc. Class A (Æ)		228		3
Homeowners Choice, Inc.		141		2
Hudson Valley Holding Corp.		146		3
Intersections, Inc.		487		8
iStar Financial, Inc. (Æ)(ö)		1,507		10
Kennedy-Wilson Holdings, Inc.		874		12
Kohlberg Capital Corp.		337		2
LaSalle Hotel Properties (ö)		400		12
MarketAxess Holdings, Inc.		534		14
MCG Capital Corp.		3,670		17
Meadowbrook Insurance Group, Inc.		1,093		10
Medical Properties Trust, Inc. (ö)		518		5
Mercantile Bank Corp. (Æ)		147		3
MetroCorp Bancshares, Inc. (Æ)		137		1
National Financial Partners Corp. (Æ)		361		5
National Health Investors, Inc. (ö)		426		22

	Principal Amount ($) or Shares		Market Value $
Nelnet, Inc. Class A		278		6
New Mountain Finance Corp.		957		14
NewStar Financial, Inc. (Æ)		2,538		33
NorthStar Realty Finance Corp. (ö)		2,205		12
Ocwen Financial Corp. Class A (Æ)		452		8
Omega Healthcare Investors, Inc. (ö)		445		10
OmniAmerican Bancorp, Inc. (Æ)		43		1
OneBeacon Insurance Group, Ltd. Class A		330		4
Oriental Financial Group, Inc.		944		10
PennantPark Investment Corp.		1,978		20
Peoples Bancorp, Inc.		1,296		28
Preferred Bank (Æ)		98		1
Presidential Life Corp.		336		3
Resource Capital Corp. (ö)		836		4
Retail Opportunity Investments Corp. (ö)		1,960		24
RLI Corp.		563		38
Sovran Self Storage, Inc. (ö)		105		5
Stewart Information Services Corp.		70		1
Strategic Hotels & Resorts, Inc. (Æ)(ö)		909		6
Sun Communities, Inc. (ö)		599		26
Susquehanna Bancshares, Inc.		519		5
Taylor Capital Group, Inc. (Æ)		92		2
Texas Capital Bancshares, Inc. (Æ)		23		1
TICC Capital Corp.		1,609		16
Trustmark Corp.		811		20
Two Harbors Investment Corp. (ö)		298		3
Virginia Commerce Bancorp, Inc. (Æ)		102		1
Walter Investment Management Corp.		104		2
Webster Financial Corp.		529		11
Wilshire Bancorp, Inc. (Æ)		2,613		14
Wintrust Financial Corp.		251		9
World Acceptance Corp. (Æ)		252		17
Wright Express Corp. (Æ)		48		3
				1,118
Health Care - 21.5%
Air Methods Corp. (Æ)		57		6
Akorn, Inc. (Æ)		2,427		38
Align Technology, Inc. (Æ)		84		3
Alkermes PLC (Æ)		222		4
Anika Therapeutics, Inc. (Æ)		153		2
Antares Pharma, Inc. (Æ)		8,091		29
Arena Pharmaceuticals, Inc. (Æ)		345		3
Array BioPharma, Inc. (Æ)		243		1
athenahealth, Inc. (Æ)		174		14
Cambrex Corp. (Æ)		215		2
Cantel Medical Corp.		606		17
Cardiovascular Systems, Inc. (Æ)		1,942		19
Computer Programs & Systems, Inc.		282		16
Cyberonics, Inc. (Æ)		23		1
Cynosure, Inc. Class A (Æ)		47		1
DexCom, Inc. (Æ)		183		2
Dynavax Technologies Corp. (Æ)		1,059		5
Endologix, Inc. (Æ)		2,394		37
Ensign Group, Inc. (The)		2,756		78
Exact Sciences Corp. (Æ)		1,391		15
Halozyme Therapeutics, Inc. (Æ)		116		1

Russell 2000 High Momentum ETF 35

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
HeartWare International, Inc. (Æ)		461		41
Hi-Tech Pharmacal Co., Inc. (Æ)		855		28
HMS Holdings Corp. (Æ)		923		31
Idenix Pharmaceuticals, Inc. (Æ)		415		4
Infinity Pharmaceuticals, Inc. (Æ)		5,322		72
IPC The Hospitalist Co., Inc. (Æ)		60		3
Jazz Pharmaceuticals PLC (Æ)		1,301		59
Ligand Pharmaceuticals, Inc. Class B (Æ)		509		9
MAKO Surgical Corp. (Æ)		937		24
Merit Medical Systems, Inc. (Æ)		242		3
Metropolitan Health Networks, Inc. (Æ)		3,295		32
MWI Veterinary Supply, Inc. (Æ)		33		3
NxStage Medical, Inc. (Æ)		1,228		21
Obagi Medical Products, Inc. (Æ)		581		9
Omeros Corp. (Æ)		67		1
Oncothyreon, Inc. (Æ)		1,531		7
Opko Health, Inc. (Æ)		899		4
OraSure Technologies, Inc. (Æ)		1,352		15
Pain Therapeutics, Inc. (Æ)		3,853		18
PDL BioPharma, Inc.		473		3
Pharmacyclics, Inc. (Æ)		1,754		95
PhotoMedex, Inc. (Æ)		102		1
Quality Systems, Inc.		589		16
Questcor Pharmaceuticals, Inc. (Æ)		1,474		78
Repligen Corp. (Æ)		1,302		6
RTI Biologics, Inc. (Æ)		1,162		4
Santarus, Inc. (Æ)		185		1
Sciclone Pharmaceuticals, Inc. (Æ)		3,066		21
Spectranetics Corp. (Æ)		1,672		19
Spectrum Pharmaceuticals, Inc. (Æ)		4,405		69
Synageva BioPharma Corp. (Æ)		180		7
Theravance, Inc. (Æ)		241		5
Universal American Corp. (Æ)		395		4
ViroPharma, Inc. (Æ)		1,002		24
Vivus, Inc. (Æ)		650		19
WellCare Health Plans, Inc. (Æ)		622		33
Wright Medical Group, Inc. (Æ)		41		1
ZIOPHARM Oncology, Inc. (Æ)		327		2
				1,086
Materials and Processing - 7.7%
Acuity Brands, Inc.		224		11
American Vanguard Corp.		1,614		43
Beacon Roofing Supply, Inc. (Æ)		678		17
Belden, Inc.		385		13
Boise, Inc.		2,791		18
Buckeye Technologies, Inc.		513		15
Clearwater Paper Corp. (Æ)		1,456		51
Haynes International, Inc.		96		5
Hexcel Corp. (Æ)		750		19
Innospec, Inc. (Æ)		417		12
Interface, Inc. Class A		162		2
Interline Brands, Inc. (Æ)		1,445		36
KapStone Paper and Packaging Corp. (Æ)		815		13
Kraton Performance Polymers, Inc. (Æ)		69		2
LSB Industries, Inc. (Æ)		106		3
Myers Industries, Inc.		74		1

	Principal Amount ($) or Shares		Market Value $
Nortek, Inc. (Æ)		32		2
Patrick Industries, Inc. (Æ)		572		7
PolyOne Corp.		2,560		35
Quaker Chemical Corp.		103		5
Quanex Building Products Corp.		252		5
Rentech, Inc. (Æ)		10,391		21
Schweitzer-Mauduit International, Inc.		666		45
Trex Co., Inc. (Æ)		225		7
				388
Producer Durables - 8.0%
Acorn Energy, Inc.		445		4
Actuant Corp. Class A		155		4
Advisory Board Co. (The) (Æ)		256		13
Alamo Group, Inc.		435		14
Alaska Air Group, Inc. (Æ)		762		26
Allegiant Travel Co. Class A (Æ)		12		1
Astronics Corp. (Æ)		278		8
Blount International, Inc. (Æ)		325		5
Briggs & Stratton Corp.		514		9
Bristow Group, Inc.		212		9
CAI International, Inc. (Æ)		223		4
CalAmp Corp. (Æ)		205		2
Ceradyne, Inc.		86		2
Chart Industries, Inc. (Æ)		354		24
CoStar Group, Inc. (Æ)		45		4
Cubic Corp.		314		15
Darling International, Inc. (Æ)		314		5
Douglas Dynamics, Inc.		303		4
DXP Enterprises, Inc. (Æ)		44		2
Electronics for Imaging, Inc. (Æ)		233		4
EnPro Industries, Inc. (Æ)		411		15
Flexsteel Industries, Inc.		48		1
Generac Holdings, Inc. (Æ)		59		1
Global Power Equipment Group, Inc.		183		4
Gorman-Rupp Co. (The)		207		6
Huron Consulting Group, Inc. (Æ)		156		5
Insperity, Inc.		308		8
Inventure Foods, Inc. (Æ)		147		1
Kaman Corp. Class A		415		13
Kforce, Inc. (Æ)		1,205		16
Liquidity Services, Inc. (Æ)		426		22
Littelfuse, Inc.		55		3
MasTec, Inc. (Æ)		230		3
Measurement Specialties, Inc. (Æ)		114		4
Middleby Corp. (Æ)		109		11
Miller Industries, Inc.		624		10
Mistras Group, Inc. (Æ)		434		11
Odyssey Marine Exploration, Inc. (Æ)		1,493		6
Pacer International, Inc. (Æ)		352		2
Primoris Services Corp.		307		4
Quality Distribution, Inc. (Æ)		186		2
Sauer-Danfoss, Inc.		487		17
Spirit Airlines, Inc. (Æ)		920		18
Standex International Corp.		43		2
Sun Hydraulics Corp.		84		2
Sykes Enterprises, Inc. (Æ)		181		3

36 Russell 2000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Textainer Group Holdings, Ltd.		185		7
Thermon Group Holdings, Inc. (Æ)		224		5
Titan International, Inc.		328		8
Trimas Corp. (Æ)		1,332		26
Twin Disc, Inc.		470		9
Zygo Corp. (Æ)		57		1
				405
Technology - 8.9%
3D Systems Corp. (Æ)		110		4
Acacia Research Corp. (Æ)		209		8
ACI Worldwide, Inc. (Æ)		75		3
ADTRAN, Inc.		64		2
Anixter International, Inc.		50		3
Arris Group, Inc. (Æ)		1,905		26
Bankrate, Inc. (Æ)		48		1
Cavium, Inc. (Æ)		49		1
Ceva, Inc. (Æ)		198		3
Checkpoint Systems, Inc. (Æ)		305		3
CIBER, Inc. (Æ)		925		4
Cirrus Logic, Inc. (Æ)		733		22
CommVault Systems, Inc. (Æ)		797		41
Computer Task Group, Inc. (Æ)		1,298		19
Comtech Telecommunications Corp.		104		3
Datalink Corp. (Æ)		127		1
Digital River, Inc. (Æ)		458		8
EasyLink Services International Corp. Class A (Æ)		141		1
Ebix, Inc.		614		12
Ellie Mae, Inc. (Æ)		217		4
Entegris, Inc. (Æ)		214		2
Fabrinet (Æ)		334		4
FEI Co.		70		3
Finisar Corp. (Æ)		932		14
GeoEye, Inc. (Æ)		198		3
II-VI, Inc. (Æ)		350		6
Innodata, Inc. (Æ)		126		1
Insight Enterprises, Inc. (Æ)		1,030		17
IntraLinks Holdings, Inc. (Æ)		301		1
Kenexa Corp. (Æ)		148		4
Lattice Semiconductor Corp. (Æ)		3,415		13
LeCroy Corp. (Æ)		93		1
LogMeIn, Inc. (Æ)		284		9
Manhattan Associates, Inc. (Æ)		17		1
Market Leader, Inc. (Æ)		427		2
MicroStrategy, Inc. Class A (Æ)		16		2
NETGEAR, Inc. (Æ)		55		2
Netscout Systems, Inc. (Æ)		92		2
NIC, Inc.		266		3
Opnet Technologies, Inc.		536		14
Parametric Technology Corp. (Æ)		564		12
Procera Networks, Inc. (Æ)		43		1
PROS Holdings, Inc. (Æ)		182		3
QLIK Technologies, Inc. (Æ)		172		4
Quest Software, Inc. (Æ)		815		23
RealPage, Inc. (Æ)		85		2
Richardson Electronics, Ltd.		521		6

	Principal Amount ($) or Shares			Market Value $
Semtech Corp. (Æ)		220			5
Sourcefire, Inc. (Æ)		701			37
SPS Commerce, Inc. (Æ)		47			1
Stratasys, Inc. (Æ)		19			1
Sycamore Networks, Inc. (Æ)		152			2
Synaptics, Inc. (Æ)		361			10
Synchronoss Technologies, Inc. (Æ)		278			5
Syntel, Inc.		228			14
Take-Two Interactive Software, Inc. (Æ)		187			2
Tessco Technologies, Inc.		108			2
Tyler Technologies, Inc. (Æ)		484			20
Ultimate Software Group, Inc. (Æ)		9			1
Virtusa Corp. (Æ)		270			4
Web.com Group, Inc. (Æ)		1,148			21
					449
Utilities - 2.2%
8x8, Inc. (Æ)		527			2
Atlantic Power Corp.		310			4
CH Energy Group, Inc.		13			1
Cogent Communications Group, Inc. (Æ)		420			8
El Paso Electric Co.		126			4
IDT Corp. Class B		798			8
Middlesex Water Co.		651			12
Neutral Tandem, Inc. (Æ)		220			3
NorthWestern Corp.		609			22
PNM Resources, Inc.		1,917			38
Portland General Electric Co.		147			4
UIL Holdings Corp.		118			4
					110
Total Common Stocks (cost $4,730)					5,047
Warrants & Rights - 0.0%
Warrants and Rights - 0.0%
Magnum Hunter Resources, Inc. (Å)(Æ) 2012 Warrants		430			—	±
Total Warrants & Rights (cost $—±)					—	±
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		5,698	(¥)		6
Total Short-Term Investments (cost $6)					6
Total Investments - 100.0% (identified cost $4,736)					5,053
Other Assets and Liabilities, Net - 0.0%					2
Net Assets - 100.0%					5,055

See accompanying notes which are an integral part of this quarterly report.

Russell 2000 High Momentum ETF 37

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2			Level 3		Total
Common Stocks
Consumer Discretionary	$	974	$	—		$	—	$	974
Consumer Staples		279		—			—		279
Energy		238		—			—		238
Financial Services		1,118		—			—		1,118
Health Care		1,086		—			—		1,086
Materials and Processing		388		—			—		388
Producer Durables		405		—			—		405
Technology		449		—			—		449
Utilities		110		—			—		110
Warrants & Rights		—		—	±		—		—	±
Short-Term Investments		—		6			—		6
Total Investments	$	5,047	$	6		$	—	$	5,053

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

38 Russell 2000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 98.5%
Australia - 0.4%
AGL Energy, Ltd.		542		8
Telstra Corp., Ltd.		2,814		11
				19
Austria - 0.7%
EVN AG		238		3
Oesterreichische Post AG		45		2
Raiffeisen Bank International AG (Æ)		22		1
Telekom Austria AG - ADR		2,788		27
Verbund AG Class A		96		2
				35
Belgium - 2.3%
Anheuser-Busch InBev NV		1,027		80
Delhaize Group SA		74		3
Elia System Operator SA		131		5
KBC Groep NV		697		15
UCB SA		199		10
				113
Bermuda - 2.3%
Cheung Kong Infrastructure Holdings, Ltd.		4,000		23
Dairy Farm International Holdings, Ltd.		900		10
Esprit Holdings, Ltd.		2,000		3
Genting Hong Kong, Ltd. (Æ)		43,000		14
Guoco Group, Ltd.		1,000		8
Hongkong Land Holdings, Ltd.		2,000		11
Kerry Properties, Ltd.		3,000		13
Li & Fung, Ltd.		8,000		15
VTech Holdings, Ltd.		1,400		17
				114
Canada - 12.5%
Agrium, Inc.		64		6
Aimia, Inc.		180		2
Alimentation Couche Tard, Inc. Class B		233		10
ARC Resources, Ltd.		92		2
Atco, Ltd. Class I		190		13
BCE, Inc.		1,771		72
Bell Aliant, Inc.		922		23
Bombardier, Inc. Class B		2,972		12
Brookfield Asset Management, Inc. Class A		326		11
Brookfield Office Properties, Inc.		601		11
Cameco Corp.		38		1
Canadian National Railway Co.		472		39
Canadian Pacific Railway, Ltd.		195		14
Canadian Utilities, Ltd. Class A		470		31
Celestica, Inc. (Æ)		826		6
Centerra Gold, Inc.		1,620		11
Emera, Inc.		229		8
Empire Co., Ltd. Class A		62		3
Encana Corp.		125		3
Fortis, Inc.		1,154		36
George Weston, Ltd.		81		5

	Principal Amount ($) or Shares		Market Value $
IAMGOLD Corp. (Æ)		585		7
IGM Financial, Inc.		149		6
InterOil Corp. (Æ)		62		4
Ivanhoe Mines, Ltd. (Æ)		424		4
Jean Coutu Group PJC, Inc. (The) Class A		810		12
Katanga Mining, Ltd. (Æ)		6,879		4
Loblaw Cos., Ltd.		143		5
Magna International, Inc. Class A		221		9
Manitoba Telecom Services, Inc. - ADR		767		25
Metro, Inc. Class A		398		20
Nexen, Inc.		188		3
Niko Resources, Ltd.		18		—	±
Open Text Corp. (Æ)		151		8
Osisko Mining Corp. (Æ)(Þ)		721		5
Potash Corp. of Saskatchewan, Inc.		130		6
Research In Motion, Ltd. (Æ)		674		5
Rogers Communications, Inc. Class B		683		25
Royal Bank of Canada - GDR		304		16
Saputo, Inc. - ADR		351		15
Shaw Communications, Inc. Class B		334		6
Shoppers Drug Mart Corp.		272		11
Talisman Energy, Inc.		981		11
TELUS Corp. Class A		462		27
TELUS Corp.		329		20
Tim Hortons, Inc.		104		5
Tourmaline Oil Corp. (Æ)		314		8
TransAlta Corp.		519		9
Valeant Pharmaceuticals International, Inc. (Æ)		659		30
				625
Cayman Islands - 0.5%
MGM China Holdings, Ltd.		2,400		4
Sands China, Ltd.		5,200		16
Wynn Macau, Ltd.		1,600		4
				24
Denmark - 0.1%
Novo Nordisk A/S Class B		44		6
Finland - 0.3%
Elisa OYJ Class A		119		2
Fortum OYJ		127		2
Nokia OYJ		650		1
Orion OYJ Class B		384		8
				13
France - 2.1%
Alcatel-Lucent - ADR (Æ)		1,238		2
Cie Generale d’Optique Essilor International SA		134		12
Faurecia		129		2
France Telecom SA - ADR		2,093		28
Iliad SA		12		2
Ipsen SA		139		3
Pernod-Ricard SA		110		12

Russell Developed ex-U.S. Low Beta ETF 39

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Safran SA		174		6
Sanofi - ADR		429		33
Suez Environnement Co.		313		3
Veolia Environnement SA		81		1
Vivendi SA - ADR		99		2
				106
Germany - 5.7%
Bayer AG		389		28
Beiersdorf AG (Æ)		23		1
Celesio AG		301		5
Continental AG		221		18
Daimler AG		168		8
Deutsche Telekom AG		2,646		29
E.ON AG		33		1
Fresenius Medical Care AG & Co. KGaA		388		27
Fresenius SE & Co. KGaA		138		14
Henkel AG & Co. KGaA		539		30
Linde AG		20		3
Merck KGaA		108		11
Metro AG		180		5
MTU Aero Engines Holding AG		379		28
Rhoen Klinikum AG		526		13
RWE AG		340		14
SAP AG - ADR		542		33
Sky Deutschland AG (Æ)		1,923		7
Stada Arzneimittel AG		9		—	±
United Internet AG		659		11
				286
Greece - 0.3%
Coca Cola Hellenic Bottling Co. SA - ADR (Æ)		939		17
Hong Kong - 9.2%
AIA Group, Ltd.		5,800		20
Bank of East Asia, Ltd.		2,600		9
Cathay Pacific Airways, Ltd.		3,000		5
Champion REIT (Æ)(ö)		34,000		14
Cheung Kong Holdings, Ltd.		3,000		37
CLP Holdings, Ltd.		4,500		38
Galaxy Entertainment Group, Ltd. (Æ)		3,000		7
Hang Lung Group, Ltd.		2,000		12
Hang Lung Properties, Ltd. - ADR		5,000		17
Hang Seng Bank, Ltd.		700		10
Henderson Land Development Co., Ltd.		3,000		16
HKT Trust / HKT, Ltd.		1,717		1
Hong Kong & China Gas Co., Ltd.		18,700		41
Hong Kong Aircraft Engineering Co., Ltd.		400		5
Hysan Development Co., Ltd.		5,000		19
MTR Corp., Ltd.		3,000		10
New World Development Co., Ltd.		19,000		22
PCCW, Ltd.		92,000		34
Power Assets Holdings, Ltd.		4,500		34
Sino Land Co., Ltd.		10,000		15
SJM Holdings, Ltd.		5,000		9
Sun Hung Kai Properties, Ltd.		3,000		35

	Principal Amount ($) or Shares		Market Value $
Swire Pacific, Ltd. Class A		500		6
Television Broadcasts, Ltd.		1,000		7
Wharf Holdings, Ltd.		3,000		16
Wheelock & Co., Ltd.		2,000		8
Wing Hang Bank, Ltd.		1,500		14
				461
Ireland - 0.4%
Elan Corp. PLC (Æ)		216		3
Kerry Group PLC Class A		356		16
				19
Israel - 1.1%
Bezeq The Israeli Telecommunication Corp., Ltd.		4,063		4
Check Point Software Technologies, Ltd. (Æ)		46		2
Teva Pharmaceutical Industries, Ltd.		1,242		49
				55
Italy - 0.2%
A2A SpA		14,502		8
Japan - 27.8%
Acom Co., Ltd. (Æ)		480		9
Advantest Corp.		200		3
Aeon Co., Ltd.		1,200		15
Aeon Credit Service Co., Ltd.		1,600		30
Aisin Seiki Co., Ltd.		400		13
Ajinomoto Co., Inc.		1,000		14
Alfresa Holdings Corp.		200		11
Asahi Group Holdings, Ltd.		400		9
Astellas Pharma, Inc.		700		30
Bridgestone Corp.		400		9
Canon, Inc.		1,400		55
Chubu Electric Power Co., Inc.		900		15
Chugai Pharmaceutical Co., Ltd.		300		6
Chugoku Electric Power Co., Inc. (The)		1,200		20
Citizen Holdings Co., Ltd.		2,100		12
Credit Saison Co., Ltd.		1,200		26
Daiichi Sankyo Co., Ltd.		1,100		18
Dena Co., Ltd.		100		3
Denso Corp.		600		20
Eisai Co., Ltd.		700		31
Electric Power Development Co., Ltd.		100		3
FamilyMart Co., Ltd.		300		14
FANUC Corp.		100		16
FUJIFILM Holdings Corp.		400		8
Fujitsu, Ltd.		3,000		14
Gree, Inc. (Æ)		200		4
Hirose Electric Co., Ltd.		200		20
Hitachi High-Technologies Corp.		100		2
Hitachi, Ltd.		4,000		24
Hokkaido Electric Power Co., Inc.		800		10
Hokuriku Electric Power Co.		500		8
Honda Motor Co., Ltd.		1,200		41

40 Russell Developed ex-U.S. Low Beta ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Hoya Corp.		500		11
Japan Tobacco, Inc.		1,600		47
Kansai Electric Power Co., Inc. (The)		1,100		13
Kirin Holdings Co., Ltd.		1,000		12
Kyocera Corp.		100		9
Kyowa Hakko Kirin Co., Ltd.		1,000		10
Kyushu Electric Power Co., Inc.		1,000		12
Lawson, Inc.		100		7
Mitsubishi Estate Co., Ltd.		1,000		18
Mitsubishi Motors Corp. (Æ)		2,000		2
Mitsubishi UFJ Financial Group, Inc.		6,700		32
Mizuho Financial Group, Inc.		9,700		16
Murata Manufacturing Co., Ltd.		300		16
NEC Corp.		2,000		3
Nintendo Co., Ltd.		100		12
Nippon Meat Packers, Inc.		1,000		13
Nippon Telegraph & Telephone Corp.		1,200		55
Nissan Motor Co., Ltd.		1,500		14
Nisshin Seifun Group, Inc.		500		6
Nissin Foods Holdings Co., Ltd.		200		8
NOK Corp.		100		2
Nomura Research Institute, Ltd.		200		4
NTT DoCoMo, Inc.		20		33
Olympus Corp.		100		2
Omron Corp.		200		4
Oracle Corp. Japan		400		17
Osaka Gas Co., Ltd.		4,000		17
Otsuka Holdings Co., Ltd.		200		6
Panasonic Corp.		100		1
Secom Co., Ltd.		200		9
Seiko Epson Corp.		300		3
Seven & I Holdings Co., Ltd.		1,000		30
Shikoku Electric Power Co., Inc.		600		13
Shin-Etsu Chemical Co., Ltd.		200		11
Shionogi & Co., Ltd.		1,300		18
Softbank Corp.		1,200		44
Stanley Electric Co., Ltd.		800		12
Sumco Corp. (Æ)		400		4
Sumitomo Mitsui Financial Group, Inc.		700		23
Suzuken Co., Ltd.		100		3
Suzuki Motor Corp.		400		8
Sysmex Corp.		100		4
Takeda Pharmaceutical Co., Ltd.		1,700		76
TDK Corp.		100		4
Terumo Corp.		300		12
Toho Gas Co., Ltd.		1,000		6
Tohoku Electric Power Co., Inc.		1,800		18
Tokyo Electric Power Co., Inc. (The) (Æ)		3,500		7
Tokyo Gas Co., Ltd.		5,000		26
Toshiba Corp.		4,000		15
Toyoda Gosei Co., Ltd.		200		5
Toyota Industries Corp.		100		3
Toyota Motor Corp.		2,300		91
Trend Micro, Inc.		400		12
Unicharm Corp.		100		6
Yahoo! Japan Corp.		39		13
				1,391

	Principal Amount ($) or Shares		Market Value $
Jersey - 0.3%
Polyus Gold International, Ltd. (Æ)		5,178		16
Luxembourg - 0.6%
L’Occitane International SA		2,500		7
Samsonite International SA		8,100		13
Ternium SA - ADR		460		9
				29
Netherlands - 2.9%
ASML Holding NV Class G		136		7
Heineken Holding NV		207		9
Heineken NV		411		21
Koninklijke Ahold NV		2,252		28
Koninklijke KPN NV		1,530		15
Nutreco NV		66		5
NXP Semiconductor NV (Æ)		69		2
Unilever NV		1,684		56
				143
New Zealand - 0.4%
Contact Energy, Ltd. (Æ)		1,976		8
Telecom Corp. of New Zealand, Ltd.		5,444		10
				18
Portugal - 0.1%
Banco Espirito Santo SA Class C (Æ)		4,011		3
Singapore - 2.3%
CapitaLand, Ltd.		3,000		6
CapitaMalls Asia, Ltd.		4,000		5
City Developments, Ltd.		1,000		9
Cosco Corp. Singapore, Ltd. (Æ)		4,000		3
Singapore Technologies Engineering, Ltd.		5,000		12
Singapore Telecommunications, Ltd.		23,000		60
StarHub, Ltd.		8,000		22
				117
Switzerland - 11.8%
Actelion, Ltd. (Æ)		986		41
Adecco SA (Æ)		176		8
Aryzta AG (Æ)		103		5
Cie Financiere Richemont SA		339		19
Clariant AG (Æ)		745		7
Dufry AG (Æ)		26		3
Logitech International SA (Æ)		903		10
Lonza Group AG (Æ)		377		16
Nestle SA		1,646		98
Novartis AG		1,797		101
Panalpina Welttransport Holding AG (Æ)		16		1
Roche Holding AG		557		96
Sonova Holding AG (Æ)		82		8
Straumann Holding AG		240		35
Sulzer AG		5		1
Swatch Group AG (The)		122		8
Swatch Group AG (The) Class B		28		11

Russell Developed ex-U.S. Low Beta ETF 41

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Swiss Prime Site AG Class A (Æ)		194		16
Swisscom AG		214		86
Syngenta AG		41		14
UBS AG (Æ)		300		4
				588
United Kingdom - 14.0%
African Barrick Gold, Ltd.		661		4
AstraZeneca PLC - ADR (Æ)		1,391		62
British American Tobacco PLC		1,955		99
BT Group PLC		1,022		3
Cable & Wireless Worldwide PLC		4,434		3
Carnival PLC		141		5
Cobham PLC		1,814		7
Diageo PLC		885		23
Firstgroup PLC		1,313		5
GlaxoSmithKline PLC - ADR		4,239		96
Imperial Tobacco Group PLC		1,352		52
Inmarsat PLC		414		3
Lloyds Banking Group PLC (Æ)		10,004		5
Logica PLC		1,000		2
Meggitt PLC		1,891		11
National Grid PLC		1,955		21
Pennon Group PLC		1,278		15
Provident Financial PLC		782		15
Reckitt Benckiser Group PLC		532		28
Rolls-Royce Holdings PLC (Æ)		1,868		25
Royal Bank of Scotland Group PLC (Æ)		2,801		9
SABMiller PLC - ADR		274		11
Scottish & Southern Energy PLC		695		15
Severn Trent PLC Class H		1,344		35
Shire PLC - ADR (Æ)		599		17
Smith & Nephew PLC		238		2
United Utilities Group PLC		2,590		27
Vodafone Group PLC - ADR (Æ)		35,466		101
				701
United States - 0.2%
Lululemon Athletica, Inc. Class 3		100		6
Talk America Holdings, Inc. (Æ)		1,448		4
				10
Total Common Stocks (cost $4,805)				4,917
Preferred Stocks - 0.8%
Germany - 0.8%
Bayerische Motoren Werke AG		64		3
Henkel AG & Co. KGaA		540		36
				39
Total Preferred Stocks (cost $35)				39

	Principal Amount ($) or Shares			Market Value $
Warrants & Rights - 0.0%
Canada - 0.0%
Ivanhoe Mines, Ltd. Class W (Æ) 2012 Rights		313			—	±
Total Warrants & Rights (cost $ —±)					—	±
Short-Term Investments - 0.2%
United States - 0.2%
Russell U.S. Cash Management Fund		10,936	(¥)		11
Total Short-Term Investments (cost $11)					11
Total Investments - 99.5% (identified cost $4,851)					4,967
Other Assets and Liabilities, Net - 0.5%					27
Net Assets - 100.0%					4,994

See accompanying notes which are an integral part of this quarterly report.

42 Russell Developed ex-U.S. Low Beta ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands

Foreign Currency Exchange Contracts
Counterparty	Amount Sold			Amount Bought			Settlement Date		Unrealized Appreciation (Depreciation) $
Brown Brothers Harriman & Co.		CAD	2		USD	2		07/02/12		—	±
State Street Bank & Trust Co.		HKD	37		USD	5		07/02/12		—	±
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts										—	±

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

	Market Value
Portfolio Summary	Level 1			Level 2			Level 3		Total
Common Stocks
Australia	$	19		$	—		$	—	$	19
Austria		35			—			—		35
Belgium		113			—			—		113
Bermuda		114			—			—		114
Canada		625			—			—		625
Cayman Islands		24			—			—		24
Denmark		6			—			—		6
Finland		13			—			—		13
France		106			—			—		106
Germany		286			—			—		286
Greece		17			—			—		17
Hong Kong		461			—			—		461
Ireland		19			—			—		19
Israel		55			—			—		55
Italy		8			—			—		8
Japan		1,391			—			—		1,391
Jersey		16			—			—		16
Luxembourg		29			—			—		29
Netherlands		143			—			—		143
New Zealand		18			—			—		18
Portugal		3			—			—		3
Singapore		117			—			—		117
Switzerland		588			—			—		588
United Kingdom		701			—			—		701
United States		10			—			—		10
Preferred Stocks		39			—			—		39
Warrants & Rights		—			—	±		—		—	±
Short-Term Investments		—			11			—		11
Total Investments		4,956			11			—		4,967
Other Financial Instruments
Foreign Currency Exchange Contracts		—	±		—			—		—	±
Total Other Financial Instruments*	$	—	±	$	—		$	—	$	—	±

* Other financial instruments reflected, such as futures, forwards, interest rate swaps, and credit default swaps are valued at the unrealized appreciation/depreciation on the instruments.

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell Developed ex-U.S. Low Beta ETF 43

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 98.9%
Australia - 10.3%
AGL Energy, Ltd.		590		9
Amcor, Ltd. (Æ)		636		5
ASX, Ltd. - ADR		197		6
Australia & New Zealand Banking Group, Ltd. - ADR		1,985		45
BHP Billiton, Ltd. - ADR		320		10
Centro Retail Australia (ö)		4,560		9
CFS Retail Property Trust Group (ö)		3,581		7
Coca-Cola Amatil, Ltd.		998		14
Commonwealth Bank of Australia - ADR		1,773		97
CSL, Ltd.		579		23
Dexus Property Group (ö)		4,918		5
Echo Entertainment Group, Ltd.		951		4
Fairfax Media, Ltd.		5,608		3
GPT Group (ö)		1,467		5
Insurance Australia Group, Ltd.		462		2
Lend Lease Group		939		7
Metcash, Ltd.		1,847		6
National Australia Bank, Ltd. - ADR		1,564		38
Orica, Ltd.		127		3
Origin Energy, Ltd.		236		3
Qantas Airways, Ltd. (Æ)		3		—	±
Rio Tinto, Ltd. - ADR		93		5
TABCORP Holdings, Ltd.		2,123		6
Telstra Corp., Ltd.		7,580		29
Toll Holdings, Ltd.		334		1
Transurban Group - ADR (Æ)		946		6
Wesfarmers, Ltd.		821		25
Westfield Group (ö)		2,046		20
Westfield Retail Trust (ö)		2,429		7
Westpac Banking Corp.		2,530		55
Woolworths, Ltd.		2,071		57
				512
Belgium - 1.0%
Anheuser-Busch InBev NV		450		36
Belgacom SA		188		5
Colruyt SA		92		4
Delhaize Group SA		59		2
Groupe Bruxelles Lambert SA		21		1
Mobistar SA		63		2
				50
Canada - 14.5%
Agrium, Inc.		33		3
Astral Media, Inc. Class A (Æ)		98		5
Atco, Ltd. Class I		16		1
Bank of Montreal		684		38
Bank of Nova Scotia		994		51
BCE, Inc.		990		41
Bell Aliant, Inc.		689		17
Brookfield Asset Management, Inc. Class A		50		2
Brookfield Office Properties, Inc.		61		1
Canadian Imperial Bank of Commerce		575		40
Canadian National Railway Co.		295		25
Canadian Natural Resources, Ltd.		22		1

	Principal Amount ($) or Shares		Market Value $
Canadian Pacific Railway, Ltd.		28		2
Canadian Utilities, Ltd. Class A		132		9
Crescent Point Energy Corp.		192		7
Emera, Inc.		235		8
Empire Co., Ltd. Class A		101		5
Enbridge, Inc.		1,267		51
Enerplus Corp.		115		1
First Capital Realty, Inc. Class A		775		14
Fortis, Inc.		276		9
Genworth MI Canada, Inc.		370		7
George Weston, Ltd.		99		6
Great-West Lifeco, Inc.		324		7
Husky Energy, Inc.		93		2
Imperial Oil, Ltd.		222		9
Industrial Alliance Insurance & Financial Services, Inc. (Þ)		81		2
Intact Financial Corp. Class Common Subscription Recei		65		4
Loblaw Cos., Ltd.		352		11
Magna International, Inc. Class A		189		7
Manitoba Telecom Services, Inc. - ADR		266		9
Manulife Financial Corp.		639		7
Metro, Inc. Class A		510		26
National Bank of Canada		208		15
Potash Corp. of Saskatchewan, Inc.		116		5
Research In Motion, Ltd. (Æ)		53		—	±
RioCan Real Estate Investment Trust Class Trust Unit (ö)		52		1
Rogers Communications, Inc. Class B		405		15
Royal Bank of Canada - GDR		1,408		72
Saputo, Inc. - ADR		365		15
Shaw Communications, Inc. Class B		157		3
Shoppers Drug Mart Corp.		371		15
Sun Life Financial, Inc.		214		5
Suncor Energy, Inc.		74		2
TELUS Corp.		261		16
TELUS Corp. Class A		18		1
Toronto-Dominion Bank (The)		996		78
TransCanada Corp.		998		42
Valeant Pharmaceuticals International, Inc. (Æ)		21		1
Viterra, Inc. Class Common Subscription Recei		469		7
				721
Denmark - 0.3%
Coloplast A/S Class B		8		1
FLSmidth & Co. A/S		34		2
Novo Nordisk A/S Class B		87		13
TDC A/S		197		1
				17
Finland - 0.1%
Fortum OYJ		182		3
Orion OYJ Class B		161		3
Stora Enso OYJ Class R		117		1
				7

44 Russell Developed ex-U.S. Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
France - 4.1%
BioMerieux		34		3
Casino Guichard Perrachon SA (Æ)		60		5
Cie Generale d’Optique Essilor International SA		344		32
Danone SA		151		9
France Telecom SA - ADR		2,228		29
Iliad SA		5		1
L’Oreal SA		169		20
Pernod-Ricard SA		91		10
Sanofi - ADR		1,047		80
Societe BIC SA		30		3
Total SA		113		5
Unibail-Rodamco SE (ö)		35		6
Vivendi SA - ADR		60		1
				204
Germany - 5.4%
Adidas AG		24		2
BASF SE		196		14
Bayer AG		73		5
Beiersdorf AG (Æ)		262		17
Daimler AG		46		2
Deutsche Lufthansa AG		434		5
Deutsche Telekom AG		2,469		27
E.ON AG		24		1
Fresenius Medical Care AG & Co. KGaA		111		8
Fresenius SE & Co. KGaA		11		1
Henkel AG & Co. KGaA		198		11
Infineon Technologies AG - ADR		600		4
K+S AG		7		—	±
Linde AG		52		8
Merck KGaA		178		18
Metro AG		42		1
MTU Aero Engines Holding AG		86		6
Rhoen Klinikum AG		538		13
RWE AG		20		1
SAP AG - ADR		854		50
Siemens AG		873		74
				268
Hong Kong - 3.2%
AIA Group, Ltd.		1,800		6
Champion REIT (Æ)(ö)		49,000		20
CLP Holdings, Ltd.		4,000		34
Hang Seng Bank, Ltd.		400		5
Hong Kong & China Gas Co., Ltd.		9,900		21
Link REIT (The) (ö)		2,000		8
MTR Corp., Ltd.		5,000		17
Power Assets Holdings, Ltd.		2,500		19
Swire Pacific, Ltd.		10,000		23
Wheelock & Co., Ltd.		1,000		4
				157
Ireland - 0.1%
Kerry Group PLC Class A		108		5

	Principal Amount ($) or Shares		Market Value $
Isle of Man - 0.0%
Genting Singapore PLC		2,000		2
Israel - 1.2%
Check Point Software Technologies, Ltd. (Æ)		92		5
Teva Pharmaceutical Industries, Ltd.		1,381		53
				58
Italy - 0.3%
Autogrill SpA		389		4
Edison SpA -ADR (Æ)		4,311		4
Snam Rete Gas SpA		1,039		5
Terna Rete Elettrica Nazionale SpA		750		3
				16
Japan - 14.4%
Aeon Co., Ltd.		1,900		24
Ajinomoto Co., Inc.		1,000		14
Asahi Group Holdings, Ltd.		600		13
Asahi Kasei Corp.		1,000		5
Astellas Pharma, Inc.		800		35
Canon, Inc.		100		4
Chugai Pharmaceutical Co., Ltd.		600		11
Coca-Cola West Co., Ltd.		200		3
Daiichi Sankyo Co., Ltd.		200		3
Dentsu, Inc.		100		3
East Japan Railway Co.		200		13
Eisai Co., Ltd.		800		35
FamilyMart Co., Ltd.		300		14
Hisamitsu Pharmaceutical Co., Inc.		100		5
Isuzu Motors, Ltd.		1,000		5
Kao Corp.		1,400		39
Kirin Holdings Co., Ltd.		1,000		12
Lawson, Inc.		200		14
McDonald’s Holdings Co. Japan, Ltd.		1,100		31
Medipal Holdings Corp.		100		1
MEIJI Holdings Co., Ltd.		100		5
Nagoya Railroad Co., Ltd.		2,000		5
Namco Bandai Holdings, Inc.		100		1
Nippon Telegraph & Telephone Corp.		600		28
Nisshin Seifun Group, Inc.		1,000		12
Nissin Foods Holdings Co., Ltd.		600		23
Nitori Holdings Co., Ltd.		50		5
NTT DoCoMo, Inc.		35		59
Odakyu Electric Railway Co., Ltd.		1,000		10
Oriental Land Co., Ltd.		100		11
Osaka Gas Co., Ltd.		4,000		17
Otsuka Holdings Co., Ltd.		600		18
Secom Co., Ltd.		300		14
Seven & I Holdings Co., Ltd.		900		27
Shin-Etsu Chemical Co., Ltd.		100		5
Shiseido Co., Ltd.		1,100		17
Sumitomo Mitsui Financial Group, Inc.		100		3
Suzuken Co., Ltd.		200		7
Takeda Pharmaceutical Co., Ltd.		1,300		60
Terumo Corp.		100		4
Tobu Railway Co., Ltd.		3,000		16

Russell Developed ex-U.S. Low Volatility ETF 45

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Toho Co., Ltd.		600		10
Tokyo Electric Power Co., Inc. (The) (Æ)		1,100		2
Tokyo Gas Co., Ltd.		4,000		20
TonenGeneral Sekiyu KK		1,000		9
Tsumura & Co.		500		13
Unicharm Corp.		200		11
USS Co., Ltd.		70		8
West Japan Railway Co.		200		8
Yamato Holdings Co., Ltd.		100		2
				714
Jersey - 0.5%
Experian PLC		1,153		16
United Business Media, Ltd.		329		3
WPP PLC		252		3
				22
Luxembourg - 0.0%
Oriflame Cosmetics SA		43		1
Netherlands - 3.1%
Akzo Nobel NV		129		6
Heineken Holding NV		155		7
Heineken NV		287		15
Koninklijke Ahold NV		1,637		20
Koninklijke DSM NV (Æ)		63		3
Koninklijke KPN NV		1,014		10
Nutreco NV		12		1
Reed Elsevier NV (Æ)		334		4
Unilever NV		2,429		81
Wolters Kluwer NV		447		7
				154
New Zealand - 0.0%
Fletcher Building, Ltd.		344		2
Norway - 0.1%
Marine Harvest ASA (Æ)		1,449		1
Orkla ASA		315		2
Statoil ASA Class N		130		3
				6
Singapore - 2.2%
Ascendas Real Estate Investment Trust (ö)		9,000		15
DBS Group Holdings, Ltd.		1,000		11
Keppel Land, Ltd.		2,000		5
Oversea-Chinese Banking Corp., Ltd.		1,000		7
Singapore Press Holdings, Ltd.		9,000		27
Singapore Technologies Engineering, Ltd.		1,000		2
Singapore Telecommunications, Ltd.		4,000		11
SMRT Corp., Ltd.		11,000		15
United Overseas Bank, Ltd.		1,000		15
				108
Spain - 0.6%
Bankia SA (Æ)		143		—	±
Ebro Foods SA		49		1
Enagas SA		50		1
Iberdrola SA		998		5

	Principal Amount ($) or Shares		Market Value $
Red Electrica Corp. SA		41		2
Telefonica SA - ADR		1,650		21
				30
Sweden - 0.3%
Getinge AB Class B		16		—	±
Holmen AB Class B		137		4
Securitas AB Class B		250		2
Svenska Cellulosa AB Class A		30		—	±
Svenska Cellulosa AB Class B		29		—	±
Swedish Match AB		65		3
TeliaSonera AB		658		5
				14
Switzerland - 10.5%
ABB, Ltd. (Æ)		167		3
Actelion, Ltd. (Æ)		189		8
Adecco SA (Æ)		9		—	±
Aryzta AG (Æ)		58		3
Bank Sarasin & Cie AG (Æ)		405		11
Cie Financiere Richemont SA		89		5
Clariant AG (Æ)		85		1
Geberit AG (Æ)		62		12
Givaudan SA (Æ)		5		5
Kuehne + Nagel International AG		11		1
Lonza Group AG (Æ)		64		3
Nestle SA		1,634		98
Novartis AG		1,784		100
Partners Group Holding AG		5		1
PSP Swiss Property AG (Æ)		39		3
Roche Holding AG		581		101
Sonova Holding AG (Æ)		102		10
Straumann Holding AG		7		1
Swiss Life Holding AG (Æ)		163		15
Swiss Prime Site AG Class A (Æ)		228		19
Swisscom AG		134		54
Syngenta AG		68		23
Transocean, Ltd.		11		—	±
Zurich Insurance Group AG (Æ)		187		42
				519
United Kingdom - 26.7%
AMEC PLC - GDR		315		5
Associated British Foods PLC		1,509		30
AstraZeneca PLC - ADR (Æ)		1,999		89
BAE Systems PLC		562		3
BG Group PLC		528		11
BP PLC		4,831		32
British American Tobacco PLC		1,920		99
British Land Co. PLC (ö)		119		1
British Sky Broadcasting Group PLC		1,783		19
BT Group PLC		1,765		6
Bunzl PLC		314		5
Capita PLC		412		4
Capital Shopping Centres Group PLC Class H (ö)		157		1
Centrica PLC		4,077		20
Cobham PLC		762		3

46 Russell Developed ex-U.S. Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Compass Group PLC		2,252		24
Diageo PLC		2,536		65
G4S PLC		2,176		10
GlaxoSmithKline PLC - ADR		4,244		96
HSBC Holdings PLC		8,748		77
Imperial Tobacco Group PLC		1,009		39
Inchcape PLC		67		—	±
Inmarsat PLC		309		2
InterContinental Hotels Group PLC		250		6
J Sainsbury PLC		2,790		13
Marks & Spencer Group PLC		183		1
National Grid PLC		4,046		43
Next PLC		91		5
Pearson PLC		1,722		34
Reckitt Benckiser Group PLC		780		41
Reed Elsevier PLC		1,401		11
Rexam PLC		535		4
Royal Dutch Shell PLC Class A		2,882		97
Royal Dutch Shell PLC Class B		2,542		89
RSA Insurance Group PLC		507		1
SABMiller PLC - ADR		385		15
Scottish & Southern Energy PLC		1,742		38
Serco Group PLC		591		5
Severn Trent PLC Class H		599		16
Shire PLC - ADR (Æ)		480		14
Smith & Nephew PLC		782		8
Smiths Group PLC		278		4
Tate & Lyle PLC		523		5
Tesco PLC		5,190		25
Unilever PLC		1,642		55
United Utilities Group PLC		1,810		19
Vodafone Group PLC - ADR (Æ)		35,206		100
Whitbread PLC		353		11
William Hill PLC		159		1
WM Morrison Supermarkets PLC		4,900		20
				1,322
United States - 0.0%
AdStar, Inc. (Æ)		50		1
Total Common Stocks (cost $4,795)				4,910
Preferred Stocks - 0.4%
Germany - 0.4%
Henkel AG & Co. KGaA		251		17
Porsche Automobil Holding SE (Æ)		30		1
RWE AG		22		1
				19
Total Preferred Stocks (cost $17)				19
Warrants & Rights - 0.0%
Australia - 0.0%
AGL Energy, Ltd. (Æ)
2012 Rights		1		—	±

	Principal Amount ($) or Shares			Market Value $
Echo Entertainment Group Ltd (Æ)
2012 Rights		190			—	±
Total Warrants & Rights (cost $—±)					—	±
Short-Term Investments - 0.1%
United States - 0.1%
Russell U.S. Cash Management Fund		7,191	(¥)		7
Total Short-Term Investments (cost $7)					7
Total Investments - 99.4% (identified cost $4,819)					4,936
Other Assets and Liabilities, Net - 0.6%					29
Net Assets - 100.0%					4,965

See accompanying notes which are an integral part of this quarterly report.

Russell Developed ex-U.S. Low Volatility ETF 47

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands

Foreign Currency Exchange Contracts
Counterparty	Amount Sold			Amount Bought			Settlement Date		Unrealized Appreciation (Depreciation) $
Brown Brothers Harriman & Co.		HKD	12		USD	2		07/05/12		—	±
Citibank		CAD	2		USD	2		07/02/12		—	±
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts										—	±

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

	Market Value
Portfolio Summary	Level 1			Level 2			Level 3		Total
Common Stocks
Australia	$	512		$	—		$	—	$	512
Belgium		50			—			—		50
Canada		721			—			—		721
Denmark		17			—			—		17
Finland		7			—			—		7
France		204			—			—		204
Germany		268			—			—		268
Hong Kong		157			—			—		157
Ireland		5			—			—		5
Isle of Man		2			—			—		2
Israel		58			—			—		58
Italy		16			—			—		16
Japan		714			—			—		714
Jersey		22			—			—		22
Luxembourg		1			—			—		1
Netherlands		154			—			—		154
New Zealand		2			—			—		2
Norway		6			—			—		6
Singapore		108			—			—		108
Spain		30			—			—		30
Sweden		14			—			—		14
Switzerland		519			—			—		519
United Kingdom		1,322			—			—		1,322
United States		1			—			—		1
Preferred Stocks		19			—			—		19
Warrants & Rights		—			—	±		—		—	±
Short-Term Investments		—			7			—		7
Total Investments		4,929			7			—		4,936
Other Financial Instruments
Foreign Currency Exchange Contracts		—	±		—			—		—	±
Total Other Financial Instruments*	$	—		$	—		$	—	$	—

* Other financial instruments reflected, such as futures, forwards, interest rate swaps, and credit default swaps are valued at the unrealized appreciation/depreciation on the instruments.

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

48 Russell Developed ex-U.S. Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 98.4%
Australia - 5.7%
AGL Energy, Ltd.		587		9
Australia & New Zealand Banking Group, Ltd. - ADR		1,119		25
Campbell Brothers, Ltd.		244		14
CFS Retail Property Trust Group (ö)		2,320		5
Coca-Cola Amatil, Ltd.		930		13
Commonwealth Bank of Australia - ADR		726		40
GPT Group (ö)		5,441		18
Iluka Resources, Ltd.		634		7
Mirvac Group Class REIT (ö)		874		1
National Australia Bank, Ltd. - ADR		88		2
New Hope Corp., Ltd.		1,018		4
QR National, Ltd.		3,426		12
Tatts Group, Ltd.		3,588		10
Telstra Corp., Ltd.		14,009		52
Treasury Wine Estates, Ltd.		2,397		11
Washington H Soul Pattinson & Co., Ltd.		326		5
Wesfarmers, Ltd.		857		26
Westfield Group (ö)		261		3
Westpac Banking Corp.		153		3
Woolworths, Ltd.		692		19
				279
Belgium - 1.3%
Anheuser-Busch InBev NV		702		55
Colruyt SA		58		3
Delhaize Group SA		39		1
D’ieteren SA		65		3
KBC Groep NV		23		—	±
				62
Bermuda - 1.3%
Dairy Farm International Holdings, Ltd.		900		10
First Pacific Co., Ltd.		18,000		19
Jardine Matheson Holdings, Ltd.		400		19
Jardine Strategic Holdings, Ltd.		500		15
				63
Canada - 10.9%
Atco, Ltd. Class I		10		1
Bank of Montreal		390		22
Bank of Nova Scotia		621		32
BCE, Inc.		1,960		80
Bell Aliant, Inc.		824		21
Boardwalk Real Estate Investment Trust Class Trust Unit (ö)		673		38
Canadian Imperial Bank of Commerce		37		3
Canadian National Railway Co.		149		13
Canadian Utilities, Ltd. Class A		127		8
CGI Group, Inc. Class A (Æ)		548		13
Dollarama, Inc.		227		14
Empire Co., Ltd. Class A		207		11
Genworth MI Canada, Inc.		141		3
H&R Real Estate Investment Trust (ö)		1,084		26

	Principal Amount ($) or Shares		Market Value $
Jean Coutu Group PJC, Inc. (The) Class A		5,331		78
Keyera Corp.		32		1
Manitoba Telecom Services, Inc. - ADR		236		8
National Bank of Canada		330		24
New Gold, Inc. (Æ)		132		1
Power Corp. of Canada		81		2
Royal Bank of Canada - GDR		852		43
TELUS Corp.		806		48
Tim Hortons, Inc.		36		2
Toronto-Dominion Bank (The)		344		27
TransCanada Corp.		99		4
Trilogy Energy Corp.		246		6
Valeant Pharmaceuticals International, Inc. (Æ)		78		3
				532
Cayman Islands - 0.3%
Sands China, Ltd.		4,400		14
Denmark - 2.6%
Carlsberg A/S Class B		93		7
Coloplast A/S Class B		117		21
Novo Nordisk A/S Class B		663		97
Novozymes A/S Class B		53		1
				126
Finland - 0.3%
Fortum OYJ		8		—	±
Kone OYJ Class B		26		2
Nokian Renkaat OYJ		89		3
Sampo OYJ Class A		365		10
				15
France - 7.1%
Air Liquide SA Class A		116		13
Arkema SA		61		4
Christian Dior SA		46		6
Cie Generale d’Optique Essilor International SA		81		8
Danone SA		357		22
France Telecom SA - ADR		1,710		23
GDF Suez		135		3
Hermes International		218		67
L’Oreal SA		71		8
LVMH Moet Hennessy Louis Vuitton SA - ADR		129		20
Pernod-Ricard SA		139		15
Remy Cointreau SA		79		9
Sanofi - ADR		676		51
SCOR SE - ADR		118		3
Sodexo		81		6
Total SA		859		39
Unibail-Rodamco SE (ö)		19		3
Vivendi SA - ADR		144		3
Zodiac Aerospace		424		43
				346

Russell Developed ex-U.S. High Momentum ETF 49

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Germany - 5.1%
BASF SE		499		35
Bayer AG		203		15
Bayerische Motoren Werke AG		504		35
Continental AG		12		1
Deutsche Telekom AG		239		3
E.ON AG		266		6
Fresenius Medical Care AG & Co. KGaA		212		15
Fresenius SE & Co. KGaA		88		9
Henkel AG & Co. KGaA		317		18
Infineon Technologies AG - ADR		839		6
Merck KGaA		280		28
MTU Aero Engines Holding AG		74		5
Muenchener Rueckversicherungs AG		66		9
SAP AG - ADR		298		18
Siemens AG		348		29
Volkswagen AG		112		17
				249
Guernsey - 0.1%
Resolution, Ltd.		2,299		7
Hong Kong - 1.2%
Galaxy Entertainment Group, Ltd. (Æ)		6,000		15
Hang Lung Group, Ltd.		1,000		6
Hang Lung Properties, Ltd. - ADR		1,000		3
Link REIT (The) (ö)		3,000		12
SJM Holdings, Ltd.		6,000		11
Sun Hung Kai Properties, Ltd.		1,000		12
				59
Ireland - 1.8%
CRH PLC		491		9
Elan Corp. PLC(AE)		3,270		48
Seagate Technology PLC		1,171		29
				86
Israel - 0.7%
Check Point Software Technologies, Ltd. (Æ)		322		16
Mellanox Technologies, Ltd. (Æ)		281		19
				35
Italy - 1.3%
Banca Monte dei Paschi di Siena SpA (Æ)		631		—	±
ENI SpA - ADR		1,105		23
Lottomatica Group SpA		110		2
Pirelli & C. SpA - ADR		1,000		11
Prada SpA		1,600		11
Salvatore Ferragamo Italia SpA		777		16
				63
Japan - 16.2%
Acom Co., Ltd. (Æ)		1,790		35
Aozora Bank, Ltd.		4,000		9

	Principal Amount ($) or Shares		Market Value $
Bridgestone Corp.		300		7
Coca-Cola West Co., Ltd.		100		2
Dainippon Sumitomo Pharma Co., Ltd.		1,300		13
East Japan Railway Co.		100		6
Eisai Co., Ltd.		500		22
Fast Retailing Co., Ltd.		200		40
Fukuoka Financial Group, Inc.		1,000		4
Gree, Inc.		200		4
Hino Motors, Ltd.		5,000		36
Hisamitsu Pharmaceutical Co., Inc.		300		15
Hitachi, Ltd.		3,000		18
Isuzu Motors, Ltd.		10,000		53
Itochu Techno-Solutions Corp.		200		10
J Front Retailing Co., Ltd.		1,000		5
Japan Tobacco, Inc.		1,200		36
JX Holdings, Inc.		500		3
Keisei Electric Railway Co., Ltd.		1,000		8
Kintetsu Corp.		1,000		4
Konami Corp.		900		20
Lawson, Inc.		400		28
Medipal Holdings Corp.		3,900		54
Mitsubishi UFJ Financial Group, Inc.		3,700		18
Mitsubishi UFJ Lease & Finance Co., Ltd.		60		2
Namco Bandai Holdings, Inc.		700		10
Nikon Corp.		800		24
Nippon Paper Group, Inc.		100		2
Nippon Telegraph & Telephone Corp.		300		14
Nissan Motor Co., Ltd.		300		3
Nitori Holdings Co., Ltd.		50		5
NOK Corp.		300		6
NTT DoCoMo, Inc.		8		13
Ono Pharmaceutical Co., Ltd.		1,000		62
Otsuka Holdings Co., Ltd.		1,000		31
Rakuten, Inc.		2,100		22
Santen Pharmaceutical Co., Ltd.		400		16
Secom Co., Ltd.		100		5
Sega Sammy Holdings, Inc.		200		4
Seven & I Holdings Co., Ltd.		300		9
Taisho Pharmaceutical Holdings Co., Ltd.		100		8
Takeda Pharmaceutical Co., Ltd.		500		23
Tobu Railway Co., Ltd.		5,000		26
Tokyo Gas Co., Ltd.		2,000		10
Toray Industries, Inc.		1,000		7
Unicharm Corp.		600		34
Yamato Holdings Co., Ltd.		200		3
				789
Jersey - 0.6%
Experian PLC		1,001		14
Petrofac, Ltd.		215		5
Randgold Resources, Ltd.		49		4
Wolseley PLC		166		6
				29
Netherlands - 2.9%
ASML Holding NV Class G		1,025		53
European Aeronautic Defence and Space Co. NV		92		3

50 Russell Developed ex-U.S. High Momentum ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Gemalto NV		341		24
Koninklijke Ahold NV		831		10
Koninklijke Boskalis Westminster NV		95		3
Koninklijke DSM NV (Æ)		65		3
Nutreco NV		29		2
NXP Semiconductor NV (Æ)		112		3
Unilever NV		1,139		38
				139
New Zealand - 0.8%
Telecom Corp. of New Zealand, Ltd.		19,280		37
Norway - 0.2%
Statoil ASA Class N		422		10
Singapore - 0.1%
Keppel Land, Ltd.		2,000		5
Spain - 1.1%
Acciona SA		50		3
Endesa SA - ADR		141		2
Gas Natural SDG SA		1,552		21
Iberdrola SA		884		4
Inditex SA		156		16
Mapfre SA		2,150		4
Repsol YPF SA - ADR		134		2
Telefonica SA - ADR		238		3
				55
Sweden - 1.3%
Assa Abloy AB Class B		108		3
Atlas Copco AB Class A		290		6
Elekta AB Class B		5		—	±
Hennes & Mauritz AB Class B		733		27
Lundin Petroleum AB (Æ)		772		15
Meda AB Class A		412		4
Svenska Handelsbanken AB Class A		30		1
Swedish Match AB		160		6
TeliaSonera AB		341		2
				64
Switzerland - 6.7%
ABB, Ltd. (Æ)		503		8
Cie Financiere Richemont SA		181		10
Nestle SA		1,607		97
Novartis AG		1,216		68
Roche Holding AG		544		94
Swiss Re AG (Æ)		563		35
Syngenta AG		10		3
Zurich Insurance Group AG (Æ)		45		10
				325
United Kingdom - 28.3%
Aggreko PLC		1,381		45
AMEC PLC - GDR		291		5
Amlin PLC		2,066		11
Anglo American PLC		499		16
Associated British Foods PLC		535		11
AstraZeneca PLC - ADR (Æ)		505		23
Aviva PLC		600		3

	Principal Amount ($) or Shares		Market Value $
BAE Systems PLC		661		3
BG Group PLC		2,485		51
BHP Billiton PLC		541		15
BP PLC		6,532		43
British American Tobacco PLC		1,909		98
British Land Co. PLC (ö)		1,539		12
Burberry Group PLC		1,212		25
Carnival PLC		17		1
Compass Group PLC		3,127		33
Diageo PLC		1,269		33
Drax Group PLC		2,056		18
easyJet PLC		1,548		13
GlaxoSmithKline PLC - ADR		4,175		95
Hammerson PLC (ö)		342		2
HSBC Holdings PLC		5,381		47
IMI PLC - ADR		854		11
Imperial Tobacco Group PLC		1,024		39
Inchcape PLC		1,049		5
Investec PLC		434		3
J Sainsbury PLC		1,376		7
Johnson Matthey PLC Class H		38		1
Kingfisher PLC		4,418		20
Land Securities Group PLC (ö)		715		8
Meggitt PLC		954		6
Mondi PLC		3,106		27
National Grid PLC		1,464		16
Next PLC		284		14
Old Mutual PLC		18,249		43
Ophir Energy PLC Class W (Æ)		2,300		21
Pearson PLC		932		19
Provident Financial PLC		14		—	±
Prudential PLC		541		6
Reed Elsevier PLC		1,602		13
Rexam PLC		792		5
Rolls-Royce Holdings PLC (Æ)		1,371		18
Royal Bank of Scotland Group PLC (Æ)		937		3
Royal Dutch Shell PLC Class A		2,771		94
Royal Dutch Shell PLC Class B		2,517		88
RSA Insurance Group PLC		5,544		9
SABMiller PLC - ADR		1,172		47
Sage Group PLC (The)		498		2
Scottish & Southern Energy PLC		1,098		24
Shire PLC - ADR (Æ)		1,103		32
Smith & Nephew PLC		1,048		10
Standard Chartered PLC		1,023		22
Standard Life PLC		942		3
Tate & Lyle PLC		276		3
Tesco PLC		905		4
Travis Perkins PLC		841		13
TUI Travel PLC		348		1
Tullow Oil PLC		400		9
Unilever PLC		1,079		36
Vodafone Group PLC - ADR (Æ)		34,704		99
				1,384

Russell Developed ex-U.S. High Momentum ETF 51

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
United States - 0.5%
Lululemon Athletica, Inc. Class 3		402			24
Total Common Stocks (cost $4,670)					4,797
Preferred Stocks - 1.1%
Germany - 1.1%
Henkel AG & Co. KGaA		349			23
Porsche Automobil Holding SE		82			4
Volkswagen AG		182			29
					56
Total Preferred Stocks (cost $58)					56
Warrants & Rights - 0.0%
Australia - 0.0%
AGL Energy, Ltd. (Æ) 2012 Rights		1			—	±
Spain - 0.0%
Repsol YPF SA (Æ) 2012 Rights		134			—	±
Total Warrants & Rights (cost $ —±)					—	±
Short-Term Investments - 0.1%
United States - 0.1%
Russell U.S. Cash Management Fund		6,151	(¥)		6
Total Short-Term Investments (cost $6)					6
Total Investments - 99.6% (identified cost $4,734)					4,859
Other Assets and Liabilities, Net - 0.4%					18
Net Assets - 100.0%					4,877

See accompanying notes which are an integral part of this quarterly report.

52 Russell Developed ex-U.S. High Momentum ETF

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands

Foreign Currency Exchange Contracts
Counterparty	Amount Sold			Amount Bought			Settlement Date		Unrealized Appreciation (Depreciation) $
Brown Brothers Harriman & Co.		HKD	12		USD	2		07/03/12		—	±
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts										—	±

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

	Market Value
Portfolio Summary	Level 1			Level 2			Level 3		Total
Common Stocks
Australia	$	279		$	—		$	—	$	279
Belgium		62			—			—		62
Bermuda		63			—			—		63
Canada		532			—			—		532
Cayman Islands		14			—			—		14
Denmark		126			—			—		126
Finland		15			—			—		15
France		346			—			—		346
Germany		249			—			—		249
Guernsey		7			—			—		7
Hong Kong		59			—			—		59
Ireland		86			—			—		86
Israel		35			—			—		35
Italy		63			—			—		63
Japan		789			—			—		789
Jersey		29			—			—		29
Netherlands		139			—			—		139
New Zealand		37			—			—		37
Norway		10			—			—		10
Singapore		5			—			—		5
Spain		55			—			—		55
Sweden		64			—			—		64
Switzerland		325			—			—		325
United Kingdom		1,384			—			—		1,384
United States		24			—			—		24
Preferred Stocks		56			—			—		56
Warrants & Rights		—			—	±		—		—±
Short-Term Investments		—			6			—		6
Total Investments		4,853			6			—		4,859
Other Financial Instruments
Foreign Currency Exchange Contracts		—	±		—			—		—	±
Total Other Financial Instruments*	$	—	±	$	—		$	—	$	—	±

* Other financial instruments reflected, such as futures, forwards, interest rate swaps, and credit default swaps are valued at the unrealized appreciation/depreciation on the instruments.

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell Developed ex-U.S. High Momentum ETF 53

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Schedules of Investments — June 30, 2012

Footnotes:

(Æ) Non-income producing security.

(ö) Real Estate Investment Trust (REIT).

(Þ) Restricted security. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.

(¥) Unrounded units.

(Å) Illiquid and restricted security.

± Less than $500.

Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

54 Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Quarterly Report — June 30, 2012 (Unaudited)

1. Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET”) is a series investment company comprised of 26 different investment portfolios that were in operation as of June 30, 2012. This Quarterly Report reports on 13 of these Funds (each a “Fund” and collectively, the “Funds”). The Investment Company is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. It is organized and operates as a Delaware statutory trust under an Amended and Restated Agreement and Declaration of Trust dated August 31, 2011 (“Master Trust Agreement”). The Investment Company’s Master Trust Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of shares of beneficial interest.

Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. The investment objective of the Funds is to seek investment results that correspond generally to the price and yield performance, before fees and expenses, of its underlying index. The investment adviser uses a “passive” or index approach to try to achieve each Fund’s investment objective.

Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of a Fund may be directly purchased from and redeemed by a Fund at NAV solely by certain large institutional investors. Also unlike shares of a mutual fund, shares of each Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day. The date the shares began trading on the secondary market is the “commencement of operations” date.

The Funds issue and redeem shares at their respective NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from a Fund.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of this Quarterly Report. These policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) for investment companies. The presentation of these schedules of investments in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the Quarterly Report. Actual results could differ from those estimates.

Security Valuation

The Funds value portfolio securities according to Board-approved securities valuation procedures which include market and fair value procedures. The Board has delegated the responsibility for administration of the securities valuation procedures to Russell Fund Services Company (“RFSC”).

U.S. GAAP defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but are 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 non-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 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Notes to Quarterly Report 55

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

Common stocks, exchange traded funds and derivatives that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Financial over-the-counter derivative instruments are instruments such as foreign currency contracts, futures contracts, options contracts, or swap agreements that derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Investments in other mutual funds (including unregistered collective vehicles) are valued at their net asset value per share, and are categorized as Level 2 of the fair value hierarchy.

Events or circumstances affecting the values of Fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of Fund shares is determined may be reflected in the calculation of NAVs for each applicable Fund when the Funds deem that the particular event or circumstance would materially affect such Fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Examples of events that could trigger fair value pricing of one or more securities are: a company development; a natural disaster; or an armed conflict.

Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

The NAV of a Fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem fund shares, since foreign securities can trade on non-business days.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes). When RFSC applies fair valuation methods that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund, if considered material.

In 2011, the Financial Accounting Standards Board (“FASB”) issued an update to requirements relating to fair valuation measurements which represent amendments to achieve common fair value measurements and disclosure requirements in U.S. GAAP and International Financial Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurements and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

56 Notes to Quarterly Report

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. Management does not believe the adoption of this update will have a material impact on the Funds’ financial statements.

Investment Transactions

Investment transactions are reflected as of the trade date for financial reporting purposes. This may cause the NAV stated in the financial statements to be different from the NAV at which shareholders may transact. Realized gains and losses from securities transactions, if any, are recorded on the basis of specific identified cost.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon thereafter as the Funds are informed of the ex-dividend date.

Foreign Currency Translations

In connection with investment transactions consistent with the Funds’ investment objectives and strategies, certain Funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts (“FX contracts”). From time to time the Funds may enter into FX contracts to hedge certain foreign currency-denominated assets. FX contracts are recorded at market value. Certain risks may arise upon entering into these FX contracts from the potential inability of counterparties to meet the terms of their FX contracts and are generally limited to the amount of unrealized gain on the FX contracts, if any, that are disclosed in the Statements of Assets and Liabilities. Realized gains or losses arising from such transactions are included in net realized gain (or loss) from foreign currency-related transactions.

For the period ended June 30, 2012, the following Funds entered into foreign currency exchange contracts primarily for the strategies listed below:

Funds	Strategies
Russell Developed ex-U.S. Low Beta ETF	Trade Settlement
Russell Developed ex-U.S. Low Volatility ETF	Trade Settlement
Russell Developed ex-U.S. High Momentum ETF	Trade Settlement

The Funds’ period end foreign currency exchange contracts, as presented in the tables following the Schedule of Investments, generally are indicative of the volume of their derivative activity during the period ended June 30, 2012.

Guarantees

In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

Market, Credit and Counterparty Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to the credit risk, the Funds may also be exposed to counterparty risk or risk that an institution or other entity with which the Funds have unsettled or open transactions will default. The potential loss could exceed the value of the relevant assets recorded in the Funds’ financial statements (the “Assets”). The Assets, which potentially expose the Funds to credit risk, consist principally of cash due from counterparties and investments. The extent of the Funds’ exposure to credit and counterparty risks with respect to the Assets approximates their carrying value as recorded in the Funds’ Statements of Assets and Liabilities.

ETF Specific Risk

The Funds are managed with a passive investment strategy, attempting to track the performance of an unmanaged index of securities. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the Funds may hold constituent securities of the Index regardless of the current or projected performance of a specific security or a particular industry, market sector, country or currency. Maintaining investments in securities regardless of market conditions or

Notes to Quarterly Report 57

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

the performance of individual securities could cause the Funds’ return to be lower or higher than if the Fund employed an active strategy.

3. Related Party Transactions

Russell Investment Management Company (“RIMCo”) advises the Funds and RFSC is the Funds’ administrator. RFSC is a wholly-owned subsidiary of RIMCo. RIMCo is a wholly-owned subsidiary of Frank Russell Company (a subsidiary of The Northwestern Mutual Life Insurance Company). Frank Russell Company provides ongoing money manager research and trade placement services to RET and RIMCo.

The Funds may also invest their cash reserves (the “Cash Balances”) in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of June 30, 2012, the Funds presented herein have invested $127,512 in the Russell U.S. Cash Management Fund.

4. Federal Income Taxes

At June 30, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:

	Russell 1000 Low Beta ETF			Russell 1000 High Beta ETF			Russell 1000 Low Volatility ETF			Russell 1000 High Volatility ETF			Russell 1000 High Momentum ETF
Cost of Investments	$	25,759,643		$	4,720,721		$	70,937,189		$	4,681,483		$	4,627,386
Unrealized Appreciation	$	1,358,854		$	217,454		$	2,861,380		$	277,725		$	572,838
Unrealized Depreciation		(789,599	)		(371,234	)		(1,767,341	)		(282,964	)		(55,470	)
Net Unrealized Appreciation (Depreciation)	$	569,255		$	(153,780	)	$	1,094,039		$	(5,239	)	$	517,368
	Russell 2000 Low Beta ETF			Russell 2000 High Beta ETF			Russell 2000 Low Volatility ETF			Russell 2000 High Volatility ETF			Russell 2000 High Momentum ETF
Cost of Investments	$	4,935,522		$	4,602,073		$	5,298,379		$	4,416,952		$	4,753,042
Unrealized Appreciation	$	471,206		$	167,648		$	284,750		$	574,164		$	553,889
Unrealized Depreciation		(266,140	)		(521,989	)		(444,055	)		(908,973	)		(254,258	)
Net Unrealized Appreciation (Depreciation)	$	205,066		$	(354,341	)	$	(159,305	)	$	(334,809	)	$	299,631
	Russell Developed ex-U.S. Low Beta ETF			Russell Developed ex-U.S. Low Volatility ETF			Russell Developed ex-U.S. High Momentum ETF
Cost of Investments	$	4,856,868		$	4,823,248		$	4,737,212
Unrealized Appreciation	$	268,856		$	240,024		$	285,667
Unrealized Depreciation		(158,449	)		(127,276	)		(164,152	)
Net Unrealized Appreciation (Depreciation)	$	110,407		$	112,748		$	121,515

5. Restricted Securities

Restricted securities are subject to contractual limitations on resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933 (the “Act”). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act.

A Fund may invest a portion of its net assets not to exceed 15% in securities that are illiquid. This limitation is applied at the time of purchase. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

58 Notes to Quarterly Report

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

The following table lists restricted securities held by a Fund that are illiquid. The following table does not include (1) securities deemed liquid by RIMCo or a money manager pursuant to Board approved policies and procedures or (2) illiquid securities that are not restricted securities as designated on a Fund’s Schedule of Investments.

Fund - % of Net Assets Securities	Acquisition Date		Principal Amount ($) or Shares		Cost per Unit $		Cost (000) $		Market Value (000) $
Russell 2000 Low Volatility ETF - 0.0%
Gerber Scientific, Inc.		08/23/11		245		—		—		—
										—
Russell 2000 High Volatility ETF - 0.0%
Magnum Hunter Resources, Inc.		08/29/11		442		—		—		—
										—
Russell 2000 High Momentum ETF - 0.0%
Magnum Hunter Resources, Inc.		08/29/11		430		—		—		—
										—

7. Subsequent Events

Management has evaluated events and transactions that may have occurred since June 30, 2012, through the date the Quarterly Report was issued, that would merit recognition or additional disclosure in the Quarterly Report. During this review, nothing was discovered, except for the following, which would require further disclosure within the Quarterly Report.

On August 16, 2012, the Board of Trustees of Russell Exchange Traded Funds Trust (the “Trust”), has approved an orderly liquidation of 25 of the 26 different investment portfolios referred to as the Funds. They are; of Russell 1000 Low Beta ETF, Russell 1000 High Beta ETF, Russell 1000 Low Volatility ETF, Russell 1000 High Volatility ETF, Russell 1000 High Momentum ETF, Russell 2000 Low Beta ETF, Russell 2000 High Beta ETF, Russell 2000 Low Volatility ETF, Russell 2000 High Volatility ETF, Russell 2000 High Momentum ETF, Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF, Russell Developed ex-U.S. High Momentum ETF, Russell Aggressive Growth ETF, Russell Consistent Growth ETF, Russell Growth at a Reasonable Price ETF, Russell Contrarian ETF, Russell Equity Income ETF, Russell Low P/E ETF, Russell Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF, Russell Small Cap Contrarian ETF, Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF, each series of the Trust (collectively, the “Funds”). The Funds’ Board of Trustees determined that closing and liquidating each Fund was in the best interests of the Fund and its shareholders.

Notes to Quarterly Report 59

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Shareholder Requests for Additional Information — June 30, 2012 (Unaudited)

A complete unaudited schedule of investments is made available generally no later than 60 days after the end of the first and third quarters of each year. These reports are available (i) free of charge, upon request, by calling the Funds at (888) 775-3837, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, and (iii) at the Securities and Exchange Commission’s public reference room.

The Board has delegated to RIMCo, as RET’s investment adviser, the primary responsibility for monitoring; evaluating and voting proxies solicited by or with respect to issuers of securities in which assets of the Funds may be invested. RIMCo has established a proxy voting committee (“Committee”) and has adopted written proxy voting policies and procedures (“P&P”) and proxy voting guidelines (“Guidelines”). The Funds maintain a Portfolio Holdings Disclosure Policy that governs the timing and circumstances of disclosure to shareholders and third parties of information regarding the portfolio investments held by the Funds. A description of the P&P, Guidelines, Portfolio Holdings Disclosure Policy and additional information about Fund Trustees are contained in the Funds’ Statement of Additional Information (“SAI”). The SAI is available (i) free of charge, upon request, by calling the Funds at (888) 775-3837; (ii) at www.russelletfs.com; and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

To reduce expenses, we may mail only one copy of the Funds’ prospectuses and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please contact your financial institution.

Some Financial Intermediaries may offer electronic delivery of the Funds’ prospectuses and annual and semiannual reports. Please contact your Financial Intermediary for further details.

60 Shareholder Requests for Additional Information

Russell Exchange Traded Funds Trust	1301 Second Avenue	888-775-3837
	Seattle, Washington 98101	www.russelletfs.com

2012 QUARTERLY REPORT

Russell Exchange Traded Funds Trust

Russell High Yield ETFs^™

JUNE 30, 2012

FUND

Russell High Dividend Yield ETF

Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded

Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. This quarterly report reports on 2 of these Funds.

Russell Exchange Traded Funds Trust

Russell High Yield ETFs^™

Quarterly Report

June 30, 2012 (Unaudited)

Table of Contents

	Page
Russell High Dividend Yield ETF		3
Russell Small Cap High Dividend Yield ETF		5
Notes to Schedule of Investments		8
Notes to Quarterly Report		9
Shareholder Requests for Additional Information		13

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 0.7%
Hasbro, Inc.		1,858		63
Leggett & Platt, Inc.		2,287		48
				111
Consumer Staples - 8.0%
ConAgra Foods, Inc.		6,641		172
HJ Heinz Co.		5,215		284
Kimberly-Clark Corp.		6,371		533
Reynolds American, Inc.		5,429		244
				1,233
Energy - 6.9%
ConocoPhillips		9,710		542
Diamond Offshore Drilling, Inc.		1,109		66
Phillips 66 Class W(Æ)		4,846		161
Spectra Energy Corp.		10,531		306
				1,075
Financial Services - 9.8%
Ares Capital Corp.		3,383		54
Arthur J Gallagher & Co.		1,695		59
Capitol Federal Financial, Inc.		2,561		30
Chimera Investment Corp. (ö)		6,061		14
Cincinnati Financial Corp.		2,257		86
Cullen/Frost Bankers, Inc.		816		47
Digital Realty Trust, Inc. (ö)		594		45
Equity Residential (ö)		1,752		109
HCP, Inc. (ö)		2,415		107
Health Care REIT, Inc. (ö)		1,136		66
Kimco Realty Corp. (ö)		2,405		46
Liberty Property Trust (ö)		678		25
M&T Bank Corp.		1,942		160
Macerich Co. (The) (ö)		774		46
Mack-Cali Realty Corp. (ö)		510		15
Mercury General Corp.		408		17
NYSE Euronext		4,030		103
Old Republic International Corp.		3,960		33
PartnerRe, Ltd. - ADR		1,038		79
People’s United Financial, Inc.		5,783		67
Piedmont Office Realty Trust, Inc. Class A (ö)		1,021		18
Rayonier, Inc. (ö)		720		32
Realty Income Corp. (ö)		786		33
Regency Centers Corp. (ö)		528		25
Senior Housing Properties Trust (ö)		961		21
Ventas, Inc. (ö)		1,507		95
Vornado Realty Trust (ö)		1,095		92
				1,524
Health Care - 20.2%
Bristol-Myers Squibb Co.		23,113		832
Eli Lilly & Co.		16,579		711
Johnson & Johnson		11,424		772
Merck & Co., Inc.		19,479		813
				3,128
Materials and Processing - 8.8%
EI du Pont de Nemours & Co.		14,621		739

	Principal Amount ($) or Shares			Market Value $
Greif, Inc. Class A		612			25
International Paper Co.		7,080			205
Nucor Corp.		5,117			194
RPM International, Inc.		2,099			57
Sonoco Products Co.		1,597			48
Southern Copper Corp.		2,785			88
					1,356
Producer Durables - 4.8%
Paychex, Inc.		5,249			165
Raytheon Co.		5,772			326
Waste Management, Inc.		7,682			257
					748
Technology - 0.9%
Diebold, Inc.		1,045			39
Microchip Technology, Inc.		3,078			101
					140
Utilities - 39.7%
AGL Resources, Inc.		1,878			73
Alliant Energy Corp.		1,790			82
Ameren Corp.		3,900			131
American Electric Power Co., Inc.		7,808			312
AT&T, Inc.		24,307			866
CenturyLink, Inc.		9,916			392
Consolidated Edison, Inc.		4,741			295
DTE Energy Co.		2,749			163
Exelon Corp.		10,738			404
FirstEnergy Corp.		6,778			333
Hawaiian Electric Industries, Inc.		1,525			43
Integrys Energy Group, Inc.		1,262			72
NextEra Energy, Inc.		6,841			471
Pinnacle West Capital Corp.		1,760			91
PPL Corp.		9,350			260
Public Service Enterprise Group, Inc.		8,196			266
Southern Co.		13,771			638
TECO Energy, Inc.		3,463			63
UGI Corp.		1,789			53
Vectren Corp.		1,309			39
Verizon Communications, Inc.		19,510			866
Xcel Energy, Inc.		7,842			223
					6,136
Total Common Stocks (cost $15,046)					15,451
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		11,625	(¥)		12
Total Short-Term Investments (cost $12)					12
Total Investments - 99.9% (identified cost $15,058)					15,463
Other Assets and Liabilities, Net - 0.1%					19
Net Assets - 100.0%					15,482

See accompanying notes which are an integral part of this quarterly report.

Russell High Dividend Yield ETF 3

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	111	$	—	$	—	$	111
Consumer Staples		1,233		—		—		1,233
Energy		1,075		—		—		1,075
Financial Services		1,524		—		—		1,524
Health Care		3,128		—		—		3,128
Materials and Processing		1,356		—		—		1,356
Producer Durables		748		—		—		748
Technology		140		—		—		140
Utilities		6,136		—		—		6,136
Short-Term Investments		—		12		—		12
Total Investments	$	15,451	$	12	$	—	$	15,463

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

4 Russell High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.6%
Consumer Discretionary - 6.2%
Bob Evans Farms, Inc.		541		22
Cato Corp. (The) Class A		493		15
Cinemark Holdings, Inc.		1,678		37
CSS Industries, Inc.		144		3
Hillenbrand, Inc.		1,119		21
Marcus Corp.		362		5
Meredith Corp.		649		21
Nutrisystem, Inc.		479		6
Speedway Motorsports, Inc.		210		4
Stage Stores, Inc.		563		10
Stewart Enterprises, Inc. Class A		1,414		10
				154
Consumer Staples - 3.8%
Calavo Growers, Inc.		210		5
Cal-Maine Foods, Inc.		256		10
Lancaster Colony Corp.		338		25
Snyders-Lance, Inc.		852		21
Universal Corp.		413		19
WD-40 Co.		284		14
				94
Financial Services - 55.7%
Agree Realty Corp. (ö)		175		4
Alterra Capital Holdings, Ltd.		1,638		38
American Campus Communities, Inc. (ö)		1,226		54
Arrow Financial Corp.		180		4
Bancfirst Corp.		119		5
Berkshire Hills Bancorp, Inc.		368		8
BioMed Realty Trust, Inc. (ö)		2,777		52
BlackRock Kelso Capital Corp.		1,299		13
Brookline Bancorp, Inc.		1,203		11
Bryn Mawr Bank Corp.		193		4
Chemical Financial Corp.		497		11
Citizens & Northern Corp.		216		4
City Holding Co.		271		9
Community Bank System, Inc.		664		18
CVB Financial Corp.		1,608		19
Entertainment Properties Trust (ö)		842		35
Epoch Holding Corp.		262		6
Equity One, Inc. (ö)		960		20
Extra Space Storage, Inc. (ö)		1,694		52
Financial Institutions, Inc.		245		4
First Community Bancshares, Inc.		282		4
First Financial Bancorp		1,051		17
First Financial Bankshares, Inc.		567		20
First Financial Corp.		198		6
FirstMerit Corp.		1,954		32
Flushing Financial Corp.		558		8
FNB Corp.		2,429		26
GAMCO Investors, Inc. Class A		121		5
Glacier Bancorp, Inc.		1,283		20
Hancock Holding Co.		1,378		42
Hercules Technology Growth Capital, Inc.		792		9

	Principal Amount ($) or Shares		Market Value $
Highwoods Properties, Inc. (ö)		1,302		44
Horace Mann Educators Corp.		709		12
Iberiabank Corp.		528		27
Independent Bank Corp.		381		11
Inland Real Estate Corp. (ö)		1,370		11
International Bancshares Corp.		956		19
Kohlberg Capital Corp.		340		2
Lakeland Financial Corp.		288		8
LTC Properties, Inc. (ö)		541		20
Main Street Capital Corp. Class A		407		10
Medical Properties Trust, Inc. (ö)		2,016		19
Montpelier Re Holdings, Ltd.		1,114		24
MVC Capital, Inc.		426		6
National Health Investors, Inc. (ö)		436		22
National Retail Properties, Inc. (ö)		1,885		53
NBT Bancorp, Inc.		613		13
Northwest Bancshares, Inc.		1,758		21
OceanFirst Financial Corp.		260		4
Old National Bancorp		1,709		21
Omega Healthcare Investors, Inc. (ö)		1,835		41
OneBeacon Insurance Group, Ltd. Class A		394		5
Park National Corp.		233		16
PennantPark Investment Corp.		810		8
Peoples Bancorp, Inc.		188		4
Prospect Capital Corp.		1,947		22
Provident Financial Services, Inc.		1,081		17
Provident New York Bancorp		676		5
PS Business Parks, Inc. (ö)		336		23
Ramco-Gershenson Properties Trust (ö)		697		9
Renasant Corp.		445		7
RLI Corp.		326		22
Rockville Financial, Inc.		524		6
S&T Bancorp, Inc.		507		9
Safety Insurance Group, Inc.		224		9
Sandy Spring Bancorp, Inc.		428		8
SCBT Financial Corp.		253		9
Selective Insurance Group, Inc.		975		17
Simmons First National Corp. Class A		308		7
Sovran Self Storage, Inc. (ö)		499		25
State Auto Financial Corp.		260		4
Sterling Bancorp		549		5
TICC Capital Corp.		573		6
Tompkins Financial Corp.		144		5
Triangle Capital Corp.		393		9
Trico Bancshares		250		4
TrustCo Bank Corp. NY		1,683		9
Trustmark Corp.		1,156		28
UMB Financial Corp.		578		30
Umpqua Holdings Corp.		2,072		27
United Bankshares, Inc.		897		23
United Financial Bancorp, Inc.		286		4
Univest Corp. of Pennsylvania		298		5
Urstadt Biddle Properties, Inc. Class A (ö)		409		8
WesBanco, Inc.		418		9
Westamerica Bancorporation		516		24
Westfield Financial, Inc.		498		4
				1,380

Russell Small Cap High Dividend Yield ETF 5

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Health Care - 3.3%
Computer Programs & Systems, Inc.		200		11
Landauer, Inc.		167		10
Meridian Bioscience, Inc.		733		15
National Healthcare Corp.		182		8
National Research Corp.		32		2
Owens & Minor, Inc.		1,151		35
				81
Materials and Processing - 5.5%
A Schulman, Inc.		559		11
Aceto Corp.		473		4
Innophos Holdings, Inc.		392		22
Kaydon Corp.		589		13
Olin Corp.		1,440		30
PH Glatfelter Co.		776		13
Quaker Chemical Corp.		232		11
Sensient Technologies Corp.		904		33
				137
Producer Durables - 7.8%
ABM Industries, Inc.		956		19
Applied Industrial Technologies, Inc.		758		27
Brady Corp. Class A		859		24
Briggs & Stratton Corp.		911		16
Granite Construction, Inc.		697		18
Healthcare Services Group, Inc.		1,188		23
Houston Wire & Cable Co.		316		3
Insperity, Inc.		407		11
Kaman Corp. Class A		474		15
Mine Safety Appliances Co.		490		20
MTS Systems Corp.		282		11
US Ecology, Inc.		325		6
				193
Technology - 0.4%
American Software, Inc. Class A (Æ)		404		3
United Online, Inc.		1,574		7
				10
Utilities - 16.9%
Allete, Inc.		570		24
Avista Corp.		1,041		28
CH Energy Group, Inc.		280		18
Chesapeake Utilities Corp.		170		7
Cleco Corp.		1,101		45
Empire District Electric Co. (The)		744		16
Laclede Group, Inc. (The)		399		16
MGE Energy, Inc.		417		20
New Jersey Resources Corp.		747		33
Northwest Natural Gas Co.		482		23
NorthWestern Corp.		648		24
Otter Tail Corp.		642		15

	Principal Amount ($) or Shares			Market Value $
Piedmont Natural Gas Co., Inc.		1,296			42
Portland General Electric Co.		1,360			36
Southwest Gas Corp.		828			36
WGL Holdings, Inc.		925			37
					420
Total Common Stocks (cost $2,480)					2,469
Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		3,521	(¥)		4
Total Short-Term Investments (cost $4)					4
Total Investments - 99.8% (identified cost $2,484)					2,473
Other Assets and Liabilities, Net - 0.2%					6
Net Assets - 100.0%					2,479

See accompanying notes which are an integral part of this quarterly report.

6 Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	154	$	—	$	—	$	154
Consumer Staples		94		—		—		94
Financial Services		1,380		—		—		1,380
Health Care		81		—		—		81
Materials and Processing		137		—		—		137
Producer Durables		193		—		—		193
Technology		10		—		—		10
Utilities		420		—		—		420
Short-Term Investments		—		4		—		4
Total Investments	$	2,469	$	4	$	—	$	2,473

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell Small Cap High Dividend Yield ETF 7

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Schedules of Investments — June 30, 2012 (Unaudited)

Footnotes:

(Æ) Nonincome-producing security.

(ö) Real Estate Investment Trust (REIT).

(¥) Unrounded units.

Abbreviations:

ADR - American Depositary Receipt

8 Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Quarterly Report — June 30, 2012 (Unaudited)

1. Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET”) is a series investment company comprised of 26 different investment portfolios that were in operation as of June 30, 2012. This Quarterly Report reports on 2 of these Funds (each a “Fund” and collectively, the “Funds”). The Investment Company is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. It is organized and operates as a Delaware statutory trust.

Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. The investment objective of the Funds is to seek investment results that correspond generally to the price and yield performance, before fees and expenses, of its underlying index. The investment adviser uses a “passive” or index approach to try to achieve each Fund’s investment objective.

Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of a Fund may be directly purchased from and redeemed by a Fund at NAV solely by certain large institutional investors. Also unlike shares of a mutual fund, shares of each Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day. The date the shares began trading on the secondary market is the “commencement of operations” date.

The Funds issue and redeem shares at their respective NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Unites, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from a Fund.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of this Quarterly Report. These policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) for investment companies. The presentation of these schedules of investments in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the Quarterly Report. Actual results could differ from those estimates.

Security Valuation

The Funds value portfolio securities according to Board-approved securities valuation procedures which include market and fair value procedures. The Board has delegated the administration responsibility of the securities valuation procedures to Russell Funds Services Company (“RFSC”).

U.S. GAAP defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but are 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 non-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 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board of Trustees (the “Board”) or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Common stocks and exchange traded funds that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Notes to Quarterly Report 9

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

Events or circumstances affecting the values of Fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of Fund shares is determined may be reflected in the calculation of NAVs for each applicable Fund when the Funds deem that the particular event or circumstance would materially affect such Fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will generally be readily available. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Examples of events that could trigger fair value pricing of one or more securities are: a company development; a natural disaster; or an armed conflict.

Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Level 3 Trading Assets and Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes). When RFSC applies fair valuation methods that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund, if considered material.

In 2011, the Financial Accounting Standards Board (“FASB”) issued an update to requirements relating to fair valuation measurements which represent amendments to achieve common fair value measurements and disclosure requirements in U.S. GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurements and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. Management does not believe the adoption of this update will have a material impact on the Funds’ financial statements.

Investment Transactions

Investment transactions are reflected as of the trade date for financial reporting purposes. This may cause the NAV stated in the financial statements to be different from the NAV at which shareholders may transact. Realized gains and losses from securities transactions, if any, are recorded on the basis of specific identified cost.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date.

10 Notes to Quarterly Report

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to the credit risk, the Funds may also be exposed to counterparty risk or risk that an institution or other entity with which the Funds have unsettled or open transactions will default. The potential loss could exceed the value of the relevant assets recorded in the Funds’ financial statements (the “Assets”). The Assets, which potentially expose the Funds to credit risk, consist principally of cash due from counterparties and investments. The extent of the Funds’ exposure to credit and counterparty risks with respect to the Assets approximates their carrying value as recorded in the Funds’ Statements of Assets and Liabilities.

ETF Specific Risk

The Funds are managed with a passive investment strategy, attempting to track the performance of an unmanaged index of securities. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the Funds may hold constituent securities of the Index regardless of the current or projected performance of a specific security or a particular industry, market sector, country or currency. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause the Funds’ return to be lower or higher than if the Fund employed an active strategy.

3. Related Party Transactions

Russell Investment Management Company (“RIMCo”) advises the Funds and RFSC is the Funds’ administrator. RFSC is a wholly-owned subsidiary of RIMCo. RIMCo is a wholly-owned subsidiary of Frank Russell Company (a subsidiary of The Northwestern Mutual Life Insurance Company). Frank Russell Company provides ongoing money manager research and trade placement services to RET and RIMCo.

The Funds may also invest their cash reserves (the “Cash Balances”) in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of June 30, 2012, the Funds have invested $15,146 in the Russell U.S. Cash Management Fund.

Concentration of Secondary Market Shareholder Interests

As of June 30, 2012, the Russell Equity I Fund, a Russell Trust Company Fund and a related party to the Funds, holds investments in the secondary market of the following fund and amount:

Fund	$
Russell High Dividend Yield ETF		7,740,950

Such concentration of shareholder interests could have a material impact on the Funds.

4. Federal Income Taxes

At June 30, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:

	Russell High Dividend Yield ETF			Russell Small Cap High Dividend Yield ETF
Cost of Investments	$	15,060,598		$	2,484,951
Unrealized Appreciation	$	525,855		$	82,294
Unrealized Depreciation		(123,889	)		(94,403	)
Net Unrealized Appreciation (Depreciation)	$	401,966		$	(12,109	)

Notes to Quarterly Report 11

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

5. Subsequent Events

Management has evaluated events and transactions that may have occurred since June 30, 2012, through the date the Quarterly Report was issued, that would merit recognition or additional disclosure in the Quarterly Report. During this review, nothing was discovered, except for the following, which would require disclosure within the Quarterly Report.

On August 16, 2012, the Board of Trustees of Russell Exchange Traded Funds Trust (the “Trust”), has approved an orderly liquidation of 25 of the 26 different investment portfolios referred to as the Funds. They are; of Russell 1000 Low Beta ETF, Russell 1000 High Beta ETF, Russell 1000 Low Volatility ETF, Russell 1000 High Volatility ETF, Russell 1000 High Momentum ETF, Russell 2000 Low Beta ETF, Russell 2000 High Beta ETF, Russell 2000 Low Volatility ETF, Russell 2000 High Volatility ETF, Russell 2000 High Momentum ETF, Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF, Russell Developed ex-U.S. High Momentum ETF, Russell Aggressive Growth ETF, Russell Consistent Growth ETF, Russell Growth at a Reasonable Price ETF, Russell Contrarian ETF, Russell Equity Income ETF, Russell Low P/E ETF, Russell Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF, Russell Small Cap Contrarian ETF, Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF, each series of the Trust (collectively, the “Funds”). The Funds’ Board of Trustees determined that closing and liquidating each Fund was in the best interests of the Fund and its shareholders.

12 Notes to Quarterly Report

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Shareholder Requests for Additional Information — June 30, 2012 (Unaudited)

A complete unaudited schedule of investments is made available generally no later than 60 days after the end of the first and third quarters of each year. These reports are available (i) free of charge, upon request, by calling the Funds at (888) 775-3837, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, and (iii) at the Securities and Exchange Commission’s public reference room.

The Board has delegated to RIMCo, as RET’s investment adviser, the primary responsibility for monitoring, evaluating and voting proxies solicited by or with respect to issuers of securities in which assets of the Funds may be invested. RIMCo has established a proxy voting committee (“Committee”) and has adopted written proxy voting policies and procedures (“P&P”) and proxy voting guidelines (“Guidelines”). The Funds maintain a Portfolio Holdings Disclosure Policy that governs the timing and circumstances of disclosure to shareholders and third parties of information regarding the portfolio investments held by the Funds. A description of the P&P, Guidelines, Portfolio Holdings Disclosure Policy and additional information about Fund Trustees are contained in the Funds’ Statement of Additional Information (“SAI”). The SAI is available (i) free of charge, upon request, by calling the Funds at (888) 775-3837, (ii) at www.russelletfs.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

To reduce expenses, we may mail only one copy of the Funds’ prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copes of these documents, please contact your financial institution.

Some Financial Intermediaries may offer electronic delivery of the Funds’ prospectus and annual and semi-annual reports. Please contact your Financial Intermediary for further details.

Shareholder Requests for Additional Information 13

Russell Exchange Traded Funds Trust	1301 Second Avenue	888-775-3837
	Seattle, Washington 98101	www.russelletfs.com

2012 QUARTERLY REPORT

Russell Exchange

Traded Funds Trust

Russell Investment Discipline ETFs^™

JUNE 30, 2012

FUND

Russell Aggressive Growth ETF

Russell Consistent Growth ETF

Russell Growth at a Reasonable Price ETF

Russell Contrarian ETF

Russell Equity Income ETF

Russell Low P/E ETF

Russell Small Cap Aggressive Growth ETF

Russell Small Cap Consistent Growth ETF

Russell Small Cap Low P/E ETF

Russell Small Cap Contrarian ETF

Russell Exchange Traded

Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. This quarterly report reports on 10 of these Funds.

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Quarterly Report

June 30, 2012 (Unaudited)

Table of Contents

	Page
Russell Aggressive Growth ETF		3
Russell Consistent Growth ETF		7
Russell Growth at a Reasonable Price ETF		11
Russell Contrarian ETF		15
Russell Equity Income ETF Russell Low P/E ETF		19 23
Russell Small Cap Aggressive Growth ETF		28
Russell Small Cap Consistent Growth ETF		33
Russell Small Cap Low P/E ETF Russell Small Cap Contrarian ETF		37 42
Notes to Schedules of Investments		46
Notes to Quarterly Report		47
Shareholder Requests for Additional Information		51

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 23.1%
Abercrombie & Fitch Co. Class A		155		5
Advance Auto Parts, Inc.		101		7
Amazon.com, Inc. (Æ)		272		62
Bed Bath & Beyond, Inc. (Æ)		242		15
BorgWarner, Inc. (Æ)		128		8
CarMax, Inc. (Æ)		284		7
Chipotle Mexican Grill, Inc. Class A (Æ)		32		12
Coach, Inc.		259		15
Comcast Corp. Class A		2,043		65
Costco Wholesale Corp.		348		33
Discovery Communications, Inc. Class A (Æ)		269		15
Dollar Tree, Inc. (Æ)		262		14
eBay, Inc. (Æ)		910		38
Estee Lauder Cos., Inc. (The) Class A		227		12
Family Dollar Stores, Inc.		158		11
Foot Locker, Inc.		250		8
Fossil, Inc. (Æ)		70		5
Gap, Inc. (The)		413		11
Gentex Corp.		280		6
Harley-Davidson, Inc.		253		12
Harman International Industries, Inc.		143		6
Hertz Global Holdings, Inc. (Æ)		465		6
Home Depot, Inc.		1,186		63
Interpublic Group of Cos., Inc. (The)		708		8
Jarden Corp.		174		7
Johnson Controls, Inc.		610		17
Kohl’s Corp.		263		12
Las Vegas Sands Corp.		346		15
Liberty Media Corp. - Liberty Capital Class A (Æ)		131		12
Limited Brands, Inc.		264		11
LKQ Corp. (Æ)		250		8
McDonald’s Corp.		758		67
Netflix, Inc. (Æ)		77		5
Nike, Inc. Class B		287		25
Nordstrom, Inc.		186		9
Omnicom Group, Inc.		286		14
O’Reilly Automotive, Inc. (Æ)		137		11
Panera Bread Co. Class A (Æ)		48		7
PetSmart, Inc.		156		11
Polaris Industries, Inc.		106		8
priceline.com, Inc. (Æ)		40		27
PVH Corp.		91		7
Ralph Lauren Corp. Class A		69		10
Ross Stores, Inc.		238		15
Signet Jewelers, Ltd.		154		7
Starbucks Corp.		598		32
Target Corp.		553		32
Tempur-Pedic International, Inc. (Æ)		97		2
Tiffany & Co.		153		8
Time Warner Cable, Inc.		273		22
TJX Cos., Inc.		646		28
Tractor Supply Co.		99		8
TripAdvisor, Inc. (Æ)		192		9

	Principal Amount ($) or Shares		Market Value $
Tupperware Brands Corp.		110		6
Ulta Salon Cosmetics & Fragrance, Inc.		79		7
Under Armour, Inc. Class A (Æ)		73		7
VF Corp.		92		12
Viacom, Inc. Class B		478		22
Virgin Media, Inc.		370		9
WABCO Holdings, Inc. (Æ)		120		6
Wal-Mart Stores, Inc.		1,288		91
Walt Disney Co. (The)		1,331		65
Williams-Sonoma, Inc.		191		7
Wyndham Worldwide Corp.		196		10
Yum! Brands, Inc.		385		25
				1,157
Consumer Staples - 3.7%
Coca-Cola Co. (The)		1,413		110
Energizer Holdings, Inc. (Æ)		108		8
Green Mountain Coffee Roasters, Inc. (Æ)		180		4
Herbalife, Ltd.		147		7
Ingredion, Inc.		133		7
Kroger Co. (The)		576		13
Monster Beverage Corp. (Æ)		168		12
Walgreen Co.		768		23
				184
Energy - 8.3%
Anadarko Petroleum Corp.		402		26
Cabot Oil & Gas Corp.		287		11
Cameron International Corp. (Æ)		252		11
Cimarex Energy Co.		118		7
Concho Resources, Inc. (Æ)		117		10
CONSOL Energy, Inc.		286		9
Continental Resources, Inc. (Æ)		81		5
Core Laboratories NV		67		8
Dresser-Rand Group, Inc. (Æ)		148		7
EOG Resources, Inc.		224		20
EQT Corp.		185		10
FMC Technologies, Inc. (Æ)		253		10
Halliburton Co.		767		22
Helmerich & Payne, Inc.		148		6
Hubbell, Inc. Class B (Æ)		98		8
Marathon Petroleum Corp.		347		16
National Oilwell Varco, Inc.		350		23
Noble Energy, Inc.		169		14
Occidental Petroleum Corp.		606		51
Oceaneering International, Inc.		157		8
Oil States International, Inc. (Æ)		95		6
Pioneer Natural Resources Co.		120		11
Plains Exploration & Production Co. (Æ)		201		7
QEP Resources, Inc.		268		8
Range Resources Corp.		187		12
Schlumberger, Ltd.		995		64
SM Energy Co.		107		5
Southwestern Energy Co. (Æ)		386		12
Walter Energy, Inc. Class A		121		5
Whiting Petroleum Corp. (Æ)		163		7
				419

Russell Aggressive Growth ETF 3

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Financial Services - 5.8%
Affiliated Managers Group, Inc. (Æ)		76		8
Alliance Data Systems Corp. (Æ)		72		10
American Tower Corp. Class A (ö)		342		24
Aon PLC		323		15
Boston Properties, Inc. (ö)		142		15
CBRE Group, Inc. Class A (Æ)		424		7
Eaton Vance Corp.		238		6
FactSet Research Systems, Inc.		77		7
Fiserv, Inc. (Æ)		163		12
Franklin Resources, Inc.		135		15
Global Payments, Inc.		154		7
IntercontinentalExchange, Inc. (Æ)		83		11
Jones Lang LaSalle, Inc.		83		6
Marsh & McLennan Cos., Inc.		520		17
Mastercard, Inc. Class A		84		36
MSCI, Inc. Class A (Æ)		204		7
Raymond James Financial, Inc.		197		7
T Rowe Price Group, Inc.		246		15
TD Ameritrade Holding Corp.		376		6
Visa, Inc. Class A		397		50
Western Union Co. (The)		698		12
				293
Health Care - 10.8%
Aetna, Inc.		349		14
Alexion Pharmaceuticals, Inc. (Æ)		174		17
Allergan, Inc.		258		24
Amgen, Inc.		615		45
Biogen Idec, Inc. (Æ)		203		29
Celgene Corp. (Æ)		362		23
Cerner Corp. (Æ)		156		13
Cooper Cos., Inc. (The)		89		7
CR Bard, Inc.		104		11
DaVita, Inc. (Æ)		115		11
Dentsply International, Inc.		208		8
Edwards Lifesciences Corp. (Æ)		141		15
Endo Health Solutions, Inc. (Æ)		195		6
Express Scripts Holding Co. (Æ)		696		39
Gilead Sciences, Inc. (Æ)		634		33
Henry Schein, Inc. (Æ)		122		10
Humana, Inc.		166		13
IDEXX Laboratories, Inc. (Æ)		90		9
Illumina, Inc. (Æ)		169		7
Intuitive Surgical, Inc. (Æ)		35		19
Laboratory Corp. of America Holdings (Æ)		119		11
MEDNAX, Inc. (Æ)		96		7
Perrigo Co.		101		12
Quest Diagnostics, Inc.		181		11
ResMed, Inc. (Æ)		243		8
St. Jude Medical, Inc.		326		13
Stryker Corp.		295		16
SXC Health Solutions Corp. (Æ)		102		10
UnitedHealth Group, Inc.		821		47
Universal Health Services, Inc. Class B		171		7
Varian Medical Systems, Inc. (Æ)		145		9

	Principal Amount ($) or Shares		Market Value $
Vertex Pharmaceuticals, Inc. (Æ)		254		14
Watson Pharmaceuticals, Inc. Class B (Æ)		153		11
Zimmer Holdings, Inc.		192		12
				541
Materials and Processing - 6.3%
Air Products & Chemicals, Inc.		194		16
Airgas, Inc.		104		9
Albemarle Corp.		133		8
Allegheny Technologies, Inc.		181		6
Aptargroup, Inc.		132		7
Ball Corp.		211		9
Celanese Corp. Class A		204		7
CF Industries Holdings, Inc.		70		14
Cliffs Natural Resources, Inc.		164		8
Ecolab, Inc.		278		19
Fastenal Co.		284		11
FMC Corp.		188		10
Monsanto Co.		426		34
Mosaic Co. (The)		268		15
Newmont Mining Corp.		426		21
PPG Industries, Inc.		155		16
Praxair, Inc.		248		27
Precision Castparts Corp.		124		20
Rockwood Holdings, Inc.		133		6
Royal Gold, Inc.		109		9
Sherwin-Williams Co. (The)		103		14
Sigma-Aldrich Corp.		145		11
Timken Co.		148		7
Valspar Corp.		158		8
WR Grace & Co. (Æ)		128		6
				318
Producer Durables - 15.9%
3M Co.		540		48
Accenture PLC Class A		516		31
Agilent Technologies, Inc.		345		14
Ametek, Inc.		202		10
Automatic Data Processing, Inc.		428		24
BE Aerospace, Inc. (Æ)		163		7
Caterpillar, Inc.		484		41
CH Robinson Worldwide, Inc.		182		11
Chicago Bridge & Iron Co. NV		172		7
Cintas Corp.		192		7
Cooper Industries PLC		183		12
CSX Corp.		975		22
Cummins, Inc.		173		17
Danaher Corp.		461		24
Deere & Co.		346		28
Donaldson Co., Inc.		230		8
Dover Corp.		199		11
FedEx Corp.		267		24
Flir Systems, Inc.		286		6
Flowserve Corp.		77		9
Fluor Corp.		194		10
Gardner Denver, Inc.		107		6
Goodrich Corp.		123		16

4 Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Graco, Inc.		126		6
Honeywell International, Inc.		617		34
IDEX Corp.		163		6
IHS, Inc. Class A (Æ)		83		9
JB Hunt Transport Services, Inc.		145		9
Joy Global, Inc.		135		8
Kennametal, Inc.		157		5
Kirby Corp. (Æ)		105		5
Lincoln Electric Holdings, Inc.		157		7
Mettler-Toledo International, Inc. (Æ)		46		7
MSC Industrial Direct Co., Inc. Class A		84		6
Nordson Corp.		124		6
Norfolk Southern Corp.		294		21
Pall Corp.		155		8
Pentair, Inc.		161		6
Robert Half International, Inc.		250		7
Rockwell Automation, Inc.		155		10
Roper Industries, Inc.		111		11
SPX Corp.		93		6
Stanley Black & Decker, Inc.		173		11
Stericycle, Inc. (Æ)		112		10
Towers Watson & Co. Class A		107		6
TransDigm Group, Inc. (Æ)		73		10
Trimble Navigation, Ltd. (Æ)		166		8
Union Pacific Corp.		380		45
United Parcel Service, Inc. Class B		561		44
United Technologies Corp.		683		52
Wabtec Corp.		94		7
Waste Connections, Inc.		222		7
Waters Corp. (Æ)		111		9
WW Grainger, Inc.		60		11
Xylem, Inc.		287		7
				797
Technology - 25.6%
Adobe Systems, Inc. (Æ)		484		16
Akamai Technologies, Inc. (Æ)		250		8
Amdocs, Ltd.		269		8
Amphenol Corp. Class A		188		10
Ansys, Inc. (Æ)		132		8
Apple, Inc. (Æ)		641		373
Applied Materials, Inc.		1,261		14
Atmel Corp. (Æ)		767		5
Autodesk, Inc. (Æ)		263		9
Avago Technologies, Ltd.		246		9
BMC Software, Inc. (Æ)		224		10
Cisco Systems, Inc.		3,986		68
Citrix Systems, Inc. (Æ)		185		16
Cognizant Technology Solutions Corp. Class A (Æ)		266		16
Crown Castle International Corp. (Æ)		287		17
EMC Corp. (Æ)		1,565		40
Equinix, Inc. (Æ)		62		11
F5 Networks, Inc. (Æ)		89		9
Fortinet, Inc. (Æ)		244		6

	Principal Amount ($) or Shares			Market Value $
Gartner, Inc. (Æ)		172			7
Google, Inc. Class A (Æ)		179			104
IAC/InterActiveCorp		143			7
International Business Machines Corp.		851			166
Intuit, Inc.		286			17
Jabil Circuit, Inc.		310			6
JDS Uniphase Corp. (Æ)		464			5
KLA-Tencor Corp.		197			10
Lam Research Corp. (Æ)		348			13
Marvell Technology Group, Ltd.		632			7
MICROS Systems, Inc. (Æ)		136			7
NCR Corp. (Æ)		315			7
NetApp, Inc. (Æ)		351			11
Nuance Communications, Inc. (Æ)		347			8
ON Semiconductor Corp. (Æ)		801			6
Oracle Corp.		2,783			83
Polycom, Inc. (Æ)		355			4
QUALCOMM, Inc.		1,211			67
Rackspace Hosting, Inc. (Æ)		148			7
Red Hat, Inc. (Æ)		207			12
Riverbed Technology, Inc. (Æ)		264			4
Rovi Corp. (Æ)		215			4
Salesforce.com, Inc. (Æ)		122			17
SanDisk Corp. (Æ)		253			9
Skyworks Solutions, Inc. (Æ)		291			8
Teradata Corp. (Æ)		181			13
TIBCO Software, Inc. (Æ)		260			8
VeriFone Systems, Inc. (Æ)		156			5
VMware, Inc. Class A (Æ)		98			9
					1,284
Utilities - 0.4%
ONEOK, Inc.		256			11
Time Warner Telecom, Inc. Class A (Æ)		305			8
					19
Total Common Stocks (cost $4,829)					5,012
Short-Term Investments - 0.0%
Russell U.S. Cash Management Fund		2,134	(¥)		2
Total Short-Term Investments (cost $2)					2
Total Investments - 99.9% (identified cost $4,831)					5,014
Other Assets and Liabilities, Net - 0.1%					3
Net Assets - 100.0%					5,017

See accompanying notes which are an integral part of this quarterly report.

Russell Aggressive Growth ETF 5

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,157	$	—	$	—	$	1,157
Consumer Staples		184		—		—		184
Energy		419		—		—		419
Financial Services		293		—		—		293
Health Care		541		—		—		541
Materials and Processing		318		—		—		318
Producer Durables		797		—		—		797
Technology		1,284		—		—		1,284
Utilities		19		—		—		19
Short-Term Investments		—		2		—		2
Total Investments	$	5,012	$	2	$	—	$	5,014

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

6 Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 15.4%
Advance Auto Parts, Inc.		755		52
Amazon.com, Inc. (Æ)		1,566		358
Bed Bath & Beyond, Inc. (Æ)		1,577		97
BorgWarner, Inc. (Æ)		913		60
CarMax, Inc. (Æ)		2,070		54
Chipotle Mexican Grill, Inc. Class A (Æ)		218		83
Coach, Inc.		1,646		96
Discovery Communications, Inc. Class A (Æ)		1,826		99
Dollar Tree, Inc. (Æ)		1,812		97
eBay, Inc. (Æ)		5,447		229
Estee Lauder Cos., Inc. (The) Class A		1,529		83
Family Dollar Stores, Inc.		1,128		75
Fossil, Inc. (Æ)		517		40
Harley-Davidson, Inc.		1,748		80
Home Depot, Inc.		6,809		361
Limited Brands, Inc.		1,817		77
McDonald’s Corp.		4,329		383
McGraw-Hill Cos., Inc. (The)		1,915		86
Netflix, Inc. (Æ)		576		39
News Corp. Class A		10,211		228
Nike, Inc. Class B		1,742		153
Nordstrom, Inc.		1,338		66
Omnicom Group, Inc.		1,889		92
O’Reilly Automotive, Inc. (Æ)		944		79
PetSmart, Inc.		1,166		79
priceline.com, Inc. (Æ)		247		164
Ralph Lauren Corp. Class A		478		67
Ross Stores, Inc.		1,609		101
Starbucks Corp.		3,551		189
Starwood Hotels & Resorts Worldwide, Inc. (¨)		1,482		79
Tiffany & Co.		1,092		58
TJX Cos., Inc.		3,942		169
Tractor Supply Co.		739		61
VF Corp.		616		82
Viacom, Inc. Class B		2,957		139
Walt Disney Co. (The)		7,695		373
Yum! Brands, Inc.		2,362		152
				4,780
Consumer Staples - 8.7%
Church & Dwight Co., Inc.		1,398		78
Coca-Cola Co. (The)		7,984		624
Colgate-Palmolive Co.		2,256		235
Herbalife, Ltd.		1,063		51
Hillshire Brands Co.		831		24
Kraft Foods, Inc. Class A		7,281		281
McCormick & Co., Inc.		1,277		77
Monster Beverage Corp. (Æ)		1,207		86
PepsiCo, Inc.		6,543		462
Procter & Gamble Co. (The)		11,097		680
Whole Foods Market, Inc.		1,088		104
				2,702

	Principal Amount ($) or Shares		Market Value $
Energy - 11.1%
Cabot Oil & Gas Corp.		2,144		84
Cameron International Corp. (Æ)		1,720		73
Cimarex Energy Co.		883		49
CONSOL Energy, Inc.		2,094		63
Core Laboratories NV		493		57
EOG Resources, Inc.		1,385		125
EQT Corp.		1,384		74
Exxon Mobil Corp.		18,910		1,619
FMC Technologies, Inc. (Æ)		1,740		68
Halliburton Co.		4,696		133
National Oilwell Varco, Inc.		2,139		138
Noble Energy, Inc.		1,093		93
Occidental Petroleum Corp.		3,501		300
Pioneer Natural Resources Co.		817		72
Schlumberger, Ltd.		5,703		371
Southwestern Energy Co. (Æ)		2,688		86
Whiting Petroleum Corp. (Æ)		1,222		50
				3,455
Financial Services - 6.8%
Alliance Data Systems Corp. (Æ)		528		71
American Express Co.		4,652		271
American Tower Corp. Class A (ö)		2,154		151
Aon PLC		2,100		98
AvalonBay Communities, Inc. (ö)		652		92
Discover Financial Services		3,312		115
Fiserv, Inc. (Æ)		1,150		83
Franklin Resources, Inc.		883		98
Marsh & McLennan Cos., Inc.		3,343		108
Mastercard, Inc. Class A		501		215
Public Storage (ö)		832		120
Simon Property Group, Inc. (ö)		1,384		215
T Rowe Price Group, Inc.		1,620		102
Visa, Inc. Class A		2,311		287
Western Union Co. (The)		4,776		80
				2,106
Health Care - 9.9%
Abbott Laboratories		6,528		420
Alexion Pharmaceuticals, Inc. (Æ)		1,145		114
Allergan, Inc.		1,583		147
Amgen, Inc.		3,593		262
Baxter International, Inc.		2,839		151
Becton Dickinson and Co.		1,364		102
Biogen Idec, Inc. (Æ)		1,236		178
Celgene Corp. (Æ)		2,187		140
Cerner Corp. (Æ)		1,090		90
Covidien PLC		2,628		141
CR Bard, Inc.		750		81
DaVita, Inc. (Æ)		828		81
Edwards Lifesciences Corp. (Æ)		1,013		105
Gilead Sciences, Inc. (Æ)		3,799		195
Intuitive Surgical, Inc. (Æ)		226		125
Laboratory Corp. of America Holdings (Æ)		838		78
Life Technologies Corp. (Æ)		1,538		69
Perrigo Co.		721		85

Russell Consistent Growth ETF 7

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Quest Diagnostics, Inc.		1,283		77
St. Jude Medical, Inc.		2,188		87
Stryker Corp.		1,937		107
Varian Medical Systems, Inc. (Æ)		1,055		64
Watson Pharmaceuticals, Inc. Class B (Æ)		1,106		82
Zimmer Holdings, Inc.		1,331		86
				3,067
Materials and Processing - 5.6%
Air Products & Chemicals, Inc.		1,254		101
Airgas, Inc.		772		65
Celanese Corp. Class A		1,505		52
CF Industries Holdings, Inc.		478		93
Eastman Chemical Co.		1,354		68
Ecolab, Inc.		1,808		124
EI du Pont de Nemours & Co.		4,263		215
Fastenal Co.		1,886		76
FMC Corp.		1,339		72
Monsanto Co.		2,528		209
Mosaic Co. (The)		1,798		98
PPG Industries, Inc.		1,034		110
Praxair, Inc.		1,504		164
Precision Castparts Corp.		781		128
Sherwin-Williams Co. (The)		726		96
Sigma-Aldrich Corp.		1,037		77
				1,748
Producer Durables - 15.2%
3M Co.		3,148		283
Accenture PLC Class A		3,061		184
Agilent Technologies, Inc.		2,255		88
Ametek, Inc.		1,477		74
Automatic Data Processing, Inc.		2,635		147
Boeing Co. (The)		3,323		247
Caterpillar, Inc.		2,823		240
CH Robinson Worldwide, Inc.		1,267		74
Cooper Industries PLC		1,282		87
CSX Corp.		6,091		136
Cummins, Inc.		1,086		105
Danaher Corp.		2,809		146
DE Master Blenders 1753 NV		4,159		47
Deere & Co.		2,092		169
Dover Corp.		1,373		74
Eaton Corp.		2,126		84
Emerson Electric Co.		3,658		170
Expeditors International of Washington, Inc.		1,708		66
Flowserve Corp.		576		66
Goodrich Corp.		805		102
Honeywell International, Inc.		3,627		203
Illinois Tool Works, Inc.		2,410		127
Joy Global, Inc.		971		55
Kansas City Southern		1,003		70
Norfolk Southern Corp.		1,878		135

	Principal Amount ($) or Shares		Market Value $
PACCAR, Inc.		2,273		89
Pall Corp.		1,146		63
Rockwell Automation, Inc.		1,073		71
Rockwell Collins, Inc.		1,285		63
Roper Industries, Inc.		787		78
Stanley Black & Decker, Inc.		1,181		76
Stericycle, Inc. (Æ)		829		76
Trimble Navigation, Ltd. (Æ)		1,240		57
Union Pacific Corp.		2,224		265
United Parcel Service, Inc. Class B		3,266		257
United Technologies Corp.		3,951		299
Waters Corp. (Æ)		802		64
WW Grainger, Inc.		410		78
				4,715
Technology - 27.1%
Adobe Systems, Inc. (Æ)		3,121		101
Akamai Technologies, Inc. (Æ)		1,855		59
Altera Corp.		2,271		77
Amphenol Corp. Class A		1,331		73
Analog Devices, Inc.		2,172		82
Apple, Inc. (Æ)		3,529		2,062
Applied Materials, Inc.		8,338		96
Autodesk, Inc. (Æ)		1,862		65
Avago Technologies, Ltd.		1,805		65
BMC Software, Inc. (Æ)		1,673		71
Broadcom Corp. Class A (Æ)		3,083		104
Cisco Systems, Inc.		22,540		387
Citrix Systems, Inc. (Æ)		1,241		104
Cognizant Technology Solutions Corp. Class A (Æ)		1,688		101
EMC Corp. (Æ)		9,089		233
F5 Networks, Inc. (Æ)		618		62
Google, Inc. Class A (Æ)		1,007		584
Intel Corp.		21,398		570
International Business Machines Corp.		4,731		926
KLA-Tencor Corp.		1,409		69
Linear Technology Corp.		2,112		66
Marvell Technology Group, Ltd.		4,600		52
Maxim Integrated Products, Inc.		2,590		66
Microsoft Corp.		29,055		890
NetApp, Inc. (Æ)		2,322		74
NVIDIA Corp. (Æ)		5,004		69
Oracle Corp.		15,871		471
QUALCOMM, Inc.		6,898		384
Red Hat, Inc. (Æ)		1,430		81
Teradata Corp. (Æ)		1,254		90
Texas Instruments, Inc.		5,661		162
VMware, Inc. Class A (Æ)		695		63
Xilinx, Inc.		2,159		72
				8,431
Total Common Stocks (cost $30,248)				31,004

8 Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		20,991	(¥)		21
Total Short-Term Investments (cost $21)					21
Total Investments - 99.9% (identified cost $30,269)					31,025
Other Assets and Liabilities, Net - 0.1%					27
Net Assets - 100.0%					31,052

See accompanying notes which are an integral part of this quarterly report.

Russell Consistent Growth ETF 9

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	4,780	$	—	$	—	$	4,780
Consumer Staples		2,702		—		—		2,702
Energy		3,455		—		—		3,455
Financial Services		2,106		—		—		2,106
Health Care		3,067		—		—		3,067
Materials and Processing		1,748		—		—		1,748
Producer Durables		4,715		—		—		4,715
Technology		8,431		—		—		8,431
Short-Term Investments		—		21		—		21
Total Investments	$	31,004	$	21	$	—	$	31,025

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

10 Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 16.1%
Advance Auto Parts, Inc.		327		22
American Eagle Outfitters, Inc.		1,332		26
Apollo Group, Inc. Class A (Æ)		639		23
Autoliv, Inc.		416		23
AutoZone, Inc. (Æ)		92		34
Bed Bath & Beyond, Inc. (Æ)		737		46
CarMax, Inc. (Æ)		908		24
Coach, Inc.		773		45
Costco Wholesale Corp.		1,013		96
Darden Restaurants, Inc.		568		29
Dollar Tree, Inc. (Æ)		816		44
Family Dollar Stores, Inc.		494		33
Fossil, Inc. (Æ)		225		17
Gap, Inc. (The)		1,306		36
Garmin, Ltd.		557		21
Gentex Corp.		946		20
Genuine Parts Co.		563		34
Home Depot, Inc.		3,395		180
International Game Technology		1,555		24
Kohl’s Corp.		813		37
Lowe’s Cos., Inc.		3,001		85
McDonald’s Corp.		2,159		191
Nike, Inc. Class B		831		73
Nordstrom, Inc.		590		29
NVR, Inc. (Æ)		32		27
Omnicom Group, Inc.		863		42
O’Reilly Automotive, Inc. (Æ)		425		36
Panera Bread Co. Class A (Æ)		158		22
PetSmart, Inc.		505		34
Polaris Industries, Inc.		353		25
Ralph Lauren Corp. Class A		215		30
Ross Stores, Inc.		732		46
Snap-on, Inc.		382		24
Staples, Inc.		2,380		31
Starbucks Corp.		1,722		92
Target Corp.		1,594		93
Tiffany & Co.		482		26
TJX Cos., Inc.		1,883		81
Tupperware Brands Corp.		369		20
Urban Outfitters, Inc. (Æ)		774		21
VF Corp.		279		37
Wal-Mart Stores, Inc.		3,657		255
Walt Disney Co. (The)		3,814		185
Whirlpool Corp.		360		22
Yum! Brands, Inc.		1,116		72
				2,413
Consumer Staples - 7.0%
Church & Dwight Co., Inc.		608		34
Colgate-Palmolive Co.		1,100		115
Energizer Holdings, Inc. (Æ)		348		26
General Mills, Inc.		1,629		63
Herbalife, Ltd.		467		23
HJ Heinz Co.		923		50
Hormel Foods Corp.		821		25

	Principal Amount ($) or Shares		Market Value $
Kellogg Co.		777		38
McCormick & Co., Inc.		556		34
PepsiCo, Inc.		3,266		230
Procter & Gamble Co. (The)		5,577		341
Walgreen Co.		2,230		66
				1,045
Energy - 13.9%
Atwood Oceanics, Inc. (Æ)		476		18
Baker Hughes, Inc.		1,222		50
Cameron International Corp. (Æ)		779		33
Chevron Corp.		3,994		422
Consol Energy, Inc.		917		28
EQT Corp.		599		32
Exxon Mobil Corp.		9,606		823
FMC Technologies, Inc. (Æ)		785		31
Halliburton Co.		2,233		63
Helmerich & Payne, Inc.		488		21
Hubbell, Inc. Class B (Æ)		326		25
Marathon Oil Corp.		1,879		48
National Oilwell Varco, Inc.		1,010		65
Occidental Petroleum Corp.		1,723		148
Oceaneering International, Inc.		513		25
Oil States International, Inc. (Æ)		309		20
Peabody Energy Corp.		1,086		27
QEP Resources, Inc.		879		26
Schlumberger, Ltd.		2,840		184
				2,089
Financial Services - 7.0%
ACE, Ltd.		865		64
Aflac, Inc.		1,251		53
Alliance Data Systems Corp. (Æ)		229		31
American Express Co.		2,288		133
Arch Capital Group, Ltd. (Æ)		695		28
Arthur J Gallagher & Co.		673		24
Brown & Brown, Inc.		916		25
Chubb Corp. (The)		770		56
Eaton Vance Corp.		804		22
Equifax, Inc.		608		28
FactSet Research Systems, Inc.		254		24
Fiserv, Inc. (Æ)		512		37
Franklin Resources, Inc.		410		46
Global Payments, Inc.		500		22
HCC Insurance Holdings, Inc.		733		23
IntercontinentalExchange, Inc. (Æ)		260		35
Northern Trust Corp.		762		35
SEI Investments Co.		1,076		21
T Rowe Price Group, Inc.		749		47
Torchmark Corp.		532		27
Total System Services, Inc.		1,025		25
Travelers Cos., Inc. (The)		1,024		65
US Bancorp		4,193		135
Waddell & Reed Financial, Inc. Class A		674		20
WR Berkley Corp.		675		26
				1,052

Russell Growth at a Reasonable Price ETF 11

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Health Care - 12.9%
Abbott Laboratories		3,235		208
Aetna, Inc.		1,053		41
AmerisourceBergen Corp. Class A		909		36
Amgen, Inc.		1,760		129
Baxter International, Inc.		1,359		72
Becton Dickinson and Co.		630		47
Biogen Idec, Inc. (Æ)		590		85
Cardinal Health, Inc.		1,052		44
Catalyst Health Solutions, Inc. (Æ)		341		32
Cigna Corp.		880		39
Covance, Inc. (Æ)		462		22
Coventry Health Care, Inc.		746		24
CR Bard, Inc.		331		36
DaVita, Inc. (Æ)		365		36
Dentsply International, Inc.		680		26
Edwards Lifesciences Corp. (Æ)		446		46
Endo Health Solutions, Inc. (Æ)		649		20
Express Scripts Holding Co. (Æ)		1,231		69
Gilead Sciences, Inc. (Æ)		1,858		95
Henry Schein, Inc. (Æ)		395		31
Humana, Inc.		500		39
IDEXX Laboratories, Inc. (Æ)		299		29
Laboratory Corp. of America Holdings (Æ)		371		34
McKesson Corp.		666		62
Mednax, Inc. (Æ)		314		22
Medtronic, Inc.		2,457		95
Patterson Cos., Inc.		671		23
Perrigo Co.		318		38
Quest Diagnostics, Inc.		570		34
ResMed, Inc. (Æ)		809		25
St. Jude Medical, Inc.		1,000		40
Stryker Corp.		896		49
Techne Corp.		306		23
UnitedHealth Group, Inc.		2,345		137
Universal Health Services, Inc. Class B		566		24
Varian Medical Systems, Inc. (Æ)		463		28
WellPoint, Inc.		883		56
Zimmer Holdings, Inc.		599		39
				1,935
Materials and Processing - 3.7%
Air Products & Chemicals, Inc.		584		47
Airgas, Inc.		335		28
Albemarle Corp.		434		26
Aptargroup, Inc.		430		22
Ball Corp.		683		28
Eastman Chemical Co.		590		30
Ecolab, Inc.		852		58
PPG Industries, Inc.		474		50
Praxair, Inc.		731		79
Precision Castparts Corp.		374		62
Reliance Steel & Aluminum Co.		435		22
Sherwin-Williams Co. (The)		323		43
Sigma-Aldrich Corp.		458		34
Valmont Industries, Inc.		184		22
				551

	Principal Amount ($) or Shares		Market Value $
Producer Durables - 20.9%
3M Co.		1,539		138
Accenture PLC Class A		1,503		90
Ametek, Inc.		647		32
Automatic Data Processing, Inc.		1,247		69
Boeing Co. (The)		1,628		121
Carlisle Cos., Inc.		448		24
Caterpillar, Inc.		1,383		117
CH Robinson Worldwide, Inc.		568		33
Cooper Industries PLC		573		39
Copart, Inc. (Æ)		846		20
CSX Corp.		2,857		64
Cummins, Inc.		512		50
Danaher Corp.		1,337		70
Deere & Co.		1,001		81
Donaldson Co., Inc.		753		25
Dover Corp.		618		33
Eaton Corp.		983		39
Emerson Electric Co.		1,745		81
Expeditors International of Washington, Inc.		760		29
Flir Systems, Inc.		957		19
Flowserve Corp.		250		29
Fluor Corp.		608		30
General Dynamics Corp.		859		57
General Electric Co.		21,085		440
Goodrich Corp.		370		47
Graco, Inc.		427		20
Honeywell International, Inc.		1,768		99
IDEX Corp.		550		21
IHS, Inc. Class A (Æ)		271		29
Illinois Tool Works, Inc.		1,135		60
Jacobs Engineering Group, Inc. (Æ)		614		23
JB Hunt Transport Services, Inc.		478		28
Joy Global, Inc.		425		24
KBR, Inc.		753		19
Kirby Corp. (Æ)		353		17
Landstar System, Inc.		377		19
Lincoln Electric Holdings, Inc.		525		23
Lockheed Martin Corp.		699		61
Mettler-Toledo International, Inc. (Æ)		151		24
MSC Industrial Direct Co., Inc. Class A		283		19
Norfolk Southern Corp.		876		63
PACCAR, Inc.		1,050		41
Pall Corp.		498		27
Parker Hannifin Corp.		484		37
Paychex, Inc.		1,149		36
Raytheon Co.		987		56
Regal-Beloit Corp.		326		20
Robert Half International, Inc.		824		24
Rockwell Collins, Inc.		566		28
Roper Industries, Inc.		350		35
Stericycle, Inc. (Æ)		362		33
Tidewater, Inc.		404		19
Towers Watson & Co. Class A		359		22
Union Pacific Corp.		1,088		130
United Technologies Corp.		1,944		147

12 Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Wabtec Corp.		311			24
Waste Management, Inc.		1,377			46
Waters Corp. (Æ)		353			28
WESCO International, Inc. (Æ)		335			19
WW Grainger, Inc.		185			35
					3,133
Technology - 18.0%
Adobe Systems, Inc. (Æ)		1,443			47
Altera Corp.		1,029			35
Amphenol Corp. Class A		593			33
Analog Devices, Inc.		980			37
Autodesk, Inc. (Æ)		828			29
Cisco Systems, Inc.		11,276			194
Cognizant Technology Solutions Corp. Class A (Æ)		795			48
Dell, Inc. (Æ)		4,121			52
F5 Networks, Inc. (Æ)		278			28
Google, Inc. Class A (Æ)		506			293
Hewlett-Packard Co.		4,528			91
Intel Corp.		10,718			285
International Business Machines Corp.		2,393			467
Linear Technology Corp.		924			29
Microchip Technology, Inc.		807			27
MICROS Systems, Inc. (Æ)		453			23
Microsoft Corp.		14,691			448
NetApp, Inc. (Æ)		1,071			34
Oracle Corp.		7,898			235
QUALCOMM, Inc.		3,428			191
Teradata Corp. (Æ)		564			41
Western Digital Corp. (Æ)		842			26
					2,693
Utilities - 0.3%
Sempra Energy		732			50
Total Common Stocks (cost $15,324)					14,961
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		10,445	(¥)		10
Total Short-Term Investments (cost $10)					10
Total Investments - 99.9% (identified cost $15,334)					14,971
Other Assets and Liabilities, Net - 0.1%					15
Net Assets - 100.0%					14,986

See accompanying notes which are an integral part of this quarterly report.

Russell Growth at a Reasonable Price ETF 13

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	2,413	$	—	$	—	$	2,413
Consumer Staples		1,045		—		—		1,045
Energy		2,089		—		—		2,089
Financial Services		1,052		—		—		1,052
Health Care		1,935		—		—		1,935
Materials and Processing		551		—		—		551
Producer Durables		3,133		—		—		3,133
Technology		2,693		—		—		2,693
Utilities		50		—		—		50
Short-Term Investments		—		10		—		10
Total Investments	$	14,961	$	10	$	—	$	14,971

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

14 Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 10.7%
Abercrombie & Fitch Co. Class A		248		8
American Eagle Outfitters, Inc.		724		14
Apollo Group, Inc. Class A (Æ)		275		10
Avon Products, Inc.		911		15
Best Buy Co., Inc.		614		13
Carnival Corp.		713		24
DISH Network Corp. Class A		519		15
GameStop Corp. Class A		464		9
Gap, Inc. (The)		790		22
Goodyear Tire & Rubber Co. (The) (Æ)		775		9
Hanesbrands, Inc. (Æ)		396		11
Harley-Davidson, Inc.		468		21
Harman International Industries, Inc.		255		10
Hertz Global Holdings, Inc. (Æ)		916		12
JC Penney Co., Inc.		412		10
Marriott International, Inc. Class A		533		21
MGM Resorts International (Æ)		1,088		12
Mohawk Industries, Inc. (Æ)		197		14
Newell Rubbermaid, Inc.		794		14
News Corp. Class A		3,110		69
Orchard Supply Hardware Stores Corp. Class A (Æ)		7		—	±
Penn National Gaming, Inc. (Æ)		271		12
Royal Caribbean Cruises, Ltd.		408		11
Sears Holdings Corp. (Æ)		161		10
Service Corp. International		950		12
Staples, Inc.		1,319		17
Starwood Hotels & Resorts Worldwide, Inc. (ö)		380		20
Target Corp.		945		55
Whirlpool Corp.		235		14
				484
Consumer Staples - 7.4%
Archer-Daniels-Midland Co.		1,030		30
Bunge, Ltd.		285		18
Campbell Soup Co.		420		14
Constellation Brands, Inc. Class A (Æ)		567		15
Energizer Holdings, Inc. (Æ)		179		13
Kroger Co. (The)		1,016		24
PepsiCo, Inc.		1,978		140
Safeway, Inc.		762		14
Sysco Corp.		932		28
Walgreen Co.		1,285		38
				334
Energy - 2.1%
Arch Coal, Inc.		660		5
Baker Hughes, Inc.		641		27
Chesapeake Energy Corp.		1,046		19
CONSOL Energy, Inc.		441		13
Nabors Industries, Ltd. (Æ)		723		10
Peabody Energy Corp.		500		12
Superior Energy Services, Inc. (Æ)		323		7
				93

	Principal Amount ($) or Shares		Market Value $
Financial Services - 36.5%
Aflac, Inc.		713		30
Allstate Corp. (The)		875		31
American Express Co.		1,386		81
American International Group, Inc. (Æ)		406		13
Assurant, Inc.		295		10
Axis Capital Holdings, Ltd.		367		12
Bank of New York Mellon Corp. (The)		1,829		40
BB&T Corp.		1,120		35
Berkshire Hathaway, Inc. Class B (Æ)		2,159		180
Capital One Financial Corp.		697		38
Cincinnati Financial Corp.		404		15
Citigroup, Inc.		3,688		101
Comerica, Inc.		519		16
Duke Realty Corp. (ö)		450		7
E*Trade Financial Corp. (Æ)		521		4
Everest Re Group, Ltd.		133		14
Fifth Third Bancorp		1,654		22
First Niagara Financial Group, Inc.		1,168		9
Goldman Sachs Group, Inc. (The)		684		66
Hartford Financial Services Group, Inc.		914		16
HCC Insurance Holdings, Inc.		396		12
Hudson City Bancorp, Inc.		1,800		11
Huntington Bancshares, Inc.		2,338		15
Jones Lang LaSalle, Inc.		161		11
JPMorgan Chase & Co.		4,924		176
KeyCorp		2,072		16
Lazard, Ltd. Class A		400		10
Legg Mason, Inc.		438		12
Lincoln National Corp.		724		16
Loews Corp.		554		23
Markel Corp. (Æ)		29		13
MetLife, Inc.		1,189		37
Morgan Stanley		2,296		33
NASDAQ OMX Group, Inc. (The)		419		9
NYSE Euronext		555		14
Old Republic International Corp.		1,150		10
PartnerRe, Ltd. - ADR		188		14
PNC Financial Services Group, Inc.		749		46
Principal Financial Group, Inc.		666		17
Raymond James Financial, Inc.		354		12
Regions Financial Corp.		3,167		21
Reinsurance Group of America, Inc. Class A		221		12
SLM Corp.		1,156		18
State Street Corp.		773		35
SunTrust Banks, Inc.		1,022		25
Thomson Reuters Corp.		700		20
Unum Group		667		13
Wells Fargo & Co.		6,087		204
Weyerhaeuser Co. (ö)		1,048		23
White Mountains Insurance Group, Ltd.		24		13
Zions Bancorporation		643		12
				1,643

Russell Contrarian ETF 15

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Health Care - 7.1%
Aetna, Inc.		614		24
Boston Scientific Corp. (Æ)		2,977		17
Covance, Inc. (Æ)		227		11
Coventry Health Care, Inc.		396		13
Eli Lilly & Co.		1,391		60
Health Net, Inc. (Æ)		328		8
Hospira, Inc. (Æ)		445		16
Patterson Cos., Inc.		352		12
PerkinElmer, Inc.		500		13
Thermo Fisher Scientific, Inc.		600		31
UnitedHealth Group, Inc.		1,423		82
WellPoint, Inc.		533		34
				321
Materials and Processing - 4.4%
Alcoa, Inc.		1,945		17
Allegheny Technologies, Inc.		263		8
Cytec Industries, Inc.		206		12
Dow Chemical Co. (The)		1,639		52
International Paper Co.		762		22
Martin Marietta Materials, Inc.		144		11
Masco Corp.		1,145		16
Nucor Corp.		547		21
Owens-Illinois, Inc. (Æ)		550		11
Sealed Air Corp.		621		10
Steel Dynamics, Inc.		781		9
United States Steel Corp.		207		4
Vulcan Materials Co.		182		7
				200
Producer Durables - 10.2%
Corrections Corp. of America		461		14
Expeditors International of Washington, Inc.		411		16
FedEx Corp.		458		41
General Dynamics Corp.		496		33
Illinois Tool Works, Inc.		679		36
Ingersoll-Rand PLC		601		25
Iron Mountain, Inc.		445		15
Jacobs Engineering Group, Inc. (Æ)		314		12
L-3 Communications Holdings, Inc. Class 3		229		17
Lexmark International, Inc. Class A		300		8
Lockheed Martin Corp.		426		36
Manpower, Inc.		290		11
Northrop Grumman Corp.		449		29
PACCAR, Inc.		603		24
Pitney Bowes, Inc.		586		9
Quanta Services, Inc. (Æ)		587		14
Raytheon Co.		574		32
Republic Services, Inc. Class A		640		17
Rockwell Collins, Inc.		309		15
RR Donnelley & Sons Co.		679		8

	Principal Amount ($) or Shares		Market Value $
Southwest Airlines Co.		1,759		16
URS Corp.		290		10
Xerox Corp.		2,501		20
				458
Technology - 6.1%
Advanced Micro Devices, Inc. (Æ)		1,945		11
Amdocs, Ltd.		466		14
Applied Materials, Inc.		2,193		25
Arrow Electronics, Inc. (Æ)		327		11
Avnet, Inc. (Æ)		410		13
Brocade Communications Systems, Inc. (Æ)		1,846		9
Computer Sciences Corp.		471		12
Dell, Inc. (Æ)		2,379		30
Harris Corp.		338		14
Hewlett-Packard Co.		2,594		51
Ingram Micro, Inc. Class A (Æ)		574		10
Micron Technology, Inc. (Æ)		2,187		14
Molex, Inc.		439		11
Motorola Solutions, Inc.		504		24
NCR Corp. (Æ)		580		13
SAIC, Inc.		933		11
				273
Utilities - 15.3%
AES Corp. (The) (Æ)		1,343		17
Ameren Corp.		490		16
American Electric Power Co., Inc.		745		30
AT&T, Inc.		7,246		259
Edison International		562		26
Entergy Corp.		309		21
Exelon Corp.		1,304		50
FirstEnergy Corp.		649		32
Frontier Communications Corp.		2,389		9
Great Plains Energy, Inc.		490		10
Level 3 Communications, Inc. (Æ)		250		6
NextEra Energy, Inc.		626		44
NII Holdings, Inc. (Æ)		502		5
NRG Energy, Inc. (Æ)		636		11
NV Energy, Inc.		737		13
Pepco Holdings, Inc.		618		12
PG&E Corp.		647		29
PPL Corp.		910		25
Public Service Enterprise Group, Inc.		808		26
Sempra Energy		412		28
Sprint Nextel Corp. (Æ)		3,010		10
Telephone & Data Systems, Inc.		393		8
				687
Total Common Stocks (cost $4,643)				4,493

16 Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		3,994	(¥)		4
Total Short-Term Investments (cost $4)					4
Total Investments - 99.9% (identified cost $4,647)					4,497
Other Assets and Liabilities, Net - 0.1%					4
Net Assets - 100.0%					4,501

See accompanying notes which are an integral part of this quarterly report.

Russell Contrarian ETF 17

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	484	$	—	$	—	$	484
Consumer Staples		334		—		—		334
Energy		93		—		—		93
Financial Services		1,643		—		—		1,643
Health Care		321		—		—		321
Materials and Processing		200		—		—		200
Producer Durables		458		—		—		458
Technology		273		—		—		273
Utilities		687		—		—		687
Short-Term Investments		—		4		—		4
Total Investments	$	4,493	$	4	$	—	$	4,497

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

18 Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 9.6%
American Eagle Outfitters, Inc.		4,303		85
Autoliv, Inc.		1,316		72
Best Buy Co., Inc.		3,838		80
Carnival Corp.		3,964		136
Costco Wholesale Corp.		2,859		272
Darden Restaurants, Inc.		1,786		90
Dick’s Sporting Goods, Inc.		1,685		81
Foot Locker, Inc.		2,645		81
Garmin, Ltd.		1,780		68
Genuine Parts Co.		1,735		105
Hasbro, Inc.		2,166		73
Home Depot, Inc.		9,259		490
International Game Technology		4,906		77
Jarden Corp.		1,898		80
JC Penney Co., Inc.		2,398		56
Kohl’s Corp.		2,494		113
Lear Corp.		1,772		67
Leggett & Platt, Inc.		3,345		71
Lowe’s Cos., Inc.		8,423		240
Mattel, Inc.		3,480		113
Newell Rubbermaid, Inc.		4,883		89
Omnicom Group, Inc.		2,544		124
PVH Corp.		952		74
Signet Jewelers, Ltd.		1,693		75
Staples, Inc.		7,191		94
Starwood Hotels & Resorts Worldwide, Inc. (ö)		2,016		107
Target Corp.		4,465		260
VF Corp.		830		111
Viacom, Inc. Class B		4,012		189
Wal-Mart Stores, Inc.		9,916		690
Walt Disney Co. (The)		10,409		504
Williams-Sonoma, Inc.		2,122		74
				4,841
Consumer Staples - 7.6%
Archer-Daniels-Midland Co.		5,247		155
Beam, Inc.		1,752		109
Bunge, Ltd.		1,592		100
Church & Dwight Co., Inc.		1,924		107
Coca-Cola Enterprises, Inc.		3,558		100
ConAgra Foods, Inc.		4,247		110
CVS Caremark Corp.		8,159		381
Dr Pepper Snapple Group, Inc.		2,617		114
General Mills, Inc.		4,696		181
Hormel Foods Corp.		2,732		83
JM Smucker Co. (The)		1,286		97
Kraft Foods, Inc. Class A		9,950		384
Kroger Co. (The)		5,251		122
McCormick & Co., Inc.		1,758		107
Molson Coors Brewing Co. Class B		1,941		81
Procter & Gamble Co. (The)		15,042		922
Reynolds American, Inc.		3,076		138
Safeway, Inc.		4,664		85
Sysco Corp.		4,878		145

	Principal Amount ($) or Shares		Market Value $
Tyson Foods, Inc. Class A		4,555		86
Walgreen Co.		6,358		188
				3,795
Energy - 10.9%
Apache Corp.		2,515		221
Chevron Corp.		10,707		1,130
ConocoPhillips		7,462		417
CONSOL Energy, Inc.		2,839		86
Diamond Offshore Drilling, Inc.		1,218		72
Exxon Mobil Corp.		27,112		2,320
Helmerich & Payne, Inc.		1,549		67
Hubbell, Inc. Class B (Æ)		1,044		81
Marathon Oil Corp.		5,478		140
Occidental Petroleum Corp.		4,753		408
Peabody Energy Corp.		3,365		83
Phillips 66 Class W (Æ)		3,733		124
Spectra Energy Corp.		5,108		148
Valero Energy Corp.		5,134		124
Walter Energy, Inc. Class A		1,286		57
				5,478
Financial Services - 19.1%
ACE, Ltd.		2,487		184
Aflac, Inc.		3,637		155
Allstate Corp. (The)		4,405		155
American Capital Agency Corp. (ö)		3,089		104
American Express Co.		6,302		367
Ameriprise Financial, Inc.		2,137		112
Annaly Capital Management, Inc. (ö)		8,473		142
Aon PLC		2,826		132
Ares Capital Corp.		4,608		74
Arthur J Gallagher & Co.		2,208		77
Assurant, Inc.		1,981		69
Axis Capital Holdings, Ltd.		2,379		77
Bank of New York Mellon Corp. (The)		8,675		190
BB&T Corp.		5,367		166
BlackRock, Inc. Class A		715		121
Boston Properties, Inc. (ö)		1,280		139
BRE Properties, Inc. Class A (ö)		1,569		78
Capital One Financial Corp.		3,546		194
Charles Schwab Corp. (The)		9,330		121
Chubb Corp. (The)		2,252		164
Cincinnati Financial Corp.		2,391		91
CME Group, Inc. Class A		539		145
Comerica, Inc.		2,801		86
Digital Realty Trust, Inc. (ö)		1,278		96
Discover Financial Services		4,497		156
East West Bancorp, Inc.		3,267		77
Equifax, Inc.		1,909		89
Everest Re Group, Ltd.		848		88
Fidelity National Financial, Inc. Class A		4,342		84
Fidelity National Information Services, Inc.		3,078		105
First Niagara Financial Group, Inc.		7,497		57
Franklin Resources, Inc.		1,200		133
Global Payments, Inc.		1,642		71
Goldman Sachs Group, Inc. (The)		3,079		295

Russell Equity Income ETF 19

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
HCC Insurance Holdings, Inc.		2,364		74
HCP, Inc. (ö)		3,523		156
Invesco, Ltd.		4,512		102
Jones Lang LaSalle, Inc.		905		64
JPMorgan Chase & Co.		21,444		765
Kimco Realty Corp. (ö)		5,063		96
Liberty Property Trust (ö)		2,199		81
M&T Bank Corp.		1,289		106
Marsh & McLennan Cos., Inc.		4,623		149
MetLife, Inc.		5,701		176
Morgan Stanley		10,755		157
New York Community Bancorp, Inc.		6,287		79
Northern Trust Corp.		2,320		107
NYSE Euronext		3,211		82
PartnerRe, Ltd. - ADR		1,200		91
PNC Financial Services Group, Inc.		3,607		220
Progressive Corp. (The)		5,638		117
Raymond James Financial, Inc.		2,145		73
Rayonier, Inc. (ö)		1,924		86
Realty Income Corp. (ö)		2,143		90
RenaissanceRe Holdings, Ltd.		1,003		76
Senior Housing Properties Trust (ö)		3,409		76
State Street Corp.		3,877		173
TD Ameritrade Holding Corp.		4,048		69
Torchmark Corp.		1,672		85
Total System Services, Inc.		3,337		80
Travelers Cos., Inc. (The)		2,953		189
Unum Group		3,849		74
US Bancorp		11,611		373
Ventas, Inc. (ö)		2,296		145
Wells Fargo & Co.		26,569		887
WR Berkley Corp.		2,182		85
				9,577
Health Care - 13.8%
Abbott Laboratories		8,838		570
Aetna, Inc.		3,075		119
AmerisourceBergen Corp. Class A		2,775		109
Amgen, Inc.		4,913		359
Becton Dickinson and Co.		1,828		137
Bristol-Myers Squibb Co.		10,419		375
Cardinal Health, Inc.		3,106		130
Cigna Corp.		2,620		115
Cooper Cos., Inc. (The)		945		75
Covidien PLC		3,565		191
Dentsply International, Inc.		2,126		80
Eli Lilly & Co.		6,602		283
Humana, Inc.		1,469		114
Johnson & Johnson		14,741		997
McKesson Corp.		1,964		184
Medtronic, Inc.		6,898		267
Merck & Co., Inc.		17,110		714
Pfizer, Inc.		42,504		978
Quest Diagnostics, Inc.		1,736		104
St. Jude Medical, Inc.		2,971		119
Stryker Corp.		2,672		147
UnitedHealth Group, Inc.		6,470		378

	Principal Amount ($) or Shares		Market Value $
Universal Health Services, Inc. Class B		1,876		81
WellPoint, Inc.		2,586		165
Zimmer Holdings, Inc.		1,808		116
				6,907
Materials and Processing - 5.2%
Air Products & Chemicals, Inc.		1,703		137
Airgas, Inc.		1,035		87
Albemarle Corp.		1,372		82
Aptargroup, Inc.		1,396		71
Bemis Co., Inc.		2,368		74
CF Industries Holdings, Inc.		648		126
Eastman Chemical Co.		1,842		93
Ecolab, Inc.		2,456		168
Freeport-McMoRan Copper & Gold, Inc.		6,403		218
International Flavors & Fragrances, Inc.		1,376		75
Martin Marietta Materials, Inc.		891		70
Monsanto Co.		3,427		285
Mosaic Co. (The)		2,441		134
Nucor Corp.		2,970		113
Precision Castparts Corp.		1,058		174
Reliance Steel & Aluminum Co.		1,406		71
Rock-Tenn Co. Class A		1,210		66
Royal Gold, Inc.		1,179		92
RPM International, Inc.		2,908		79
Sealed Air Corp.		3,897		60
Sigma-Aldrich Corp.		1,410		104
Sonoco Products Co.		2,179		66
Timken Co.		1,577		72
Valspar Corp.		1,687		89
				2,606
Producer Durables - 13.6%
3M Co.		4,276		384
Agilent Technologies, Inc.		3,063		120
Ametek, Inc.		1,987		99
Automatic Data Processing, Inc.		3,576		199
Cintas Corp.		2,022		78
Cooper Industries PLC		1,742		119
CSX Corp.		8,375		187
Cummins, Inc.		1,476		143
Danaher Corp.		3,809		198
Dover Corp.		1,882		101
Eaton Corp.		2,859		113
Emerson Electric Co.		4,965		231
FedEx Corp.		2,251		206
Fluor Corp.		1,847		91
General Dynamics Corp.		2,506		165
General Electric Co.		56,525		1,179
Goodrich Corp.		1,094		139
Honeywell International, Inc.		4,969		278
IDEX Corp.		1,766		69
Illinois Tool Works, Inc.		3,268		173
Iron Mountain, Inc.		2,859		94
KBR, Inc.		2,399		59
Kennametal, Inc.		1,718		57
L-3 Communications Holdings, Inc. Class 3		1,328		98

20 Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Lincoln Electric Holdings, Inc.		1,699		74
Manpower, Inc.		1,642		60
Norfolk Southern Corp.		2,536		182
Northrop Grumman Corp.		2,246		143
Pall Corp.		1,552		85
Parker Hannifin Corp.		1,478		114
Pentair, Inc.		1,717		66
Raytheon Co.		2,914		165
Republic Services, Inc. Class A		3,607		95
Roper Industries, Inc.		1,058		104
Southwest Airlines Co.		11,049		102
SPX Corp.		1,007		66
Stanley Black & Decker, Inc.		1,605		103
Towers Watson & Co. Class A		1,211		73
United Technologies Corp.		5,342		404
Wabtec Corp.		1,034		81
Waste Management, Inc.		4,049		135
Xerox Corp.		14,265		112
Xylem, Inc.		3,016		76
				6,820
Technology - 10.5%
Activision Blizzard, Inc.		6,608		79
Altera Corp.		3,086		104
Analog Devices, Inc.		2,922		110
Applied Materials, Inc.		11,227		129
Broadcom Corp. Class A (Æ)		4,185		141
CA, Inc.		4,046		110
Cisco Systems, Inc.		30,519		524
Computer Sciences Corp.		2,725		68
Corning, Inc.		12,065		156
Harris Corp.		1,887		79
Hewlett-Packard Co.		12,466		251
Intel Corp.		28,880		770
KLA-Tencor Corp.		1,892		93
Maxim Integrated Products, Inc.		3,597		92
Microchip Technology, Inc.		2,461		81
Microsoft Corp.		47,807		1,463
Molex, Inc.		2,740		66
Oracle Corp.		21,492		638
Texas Instruments, Inc.		7,562		217
Xilinx, Inc.		2,900		97
				5,268
Utilities - 9.5%
AES Corp. (The) (Æ)		7,753		99
AGL Resources, Inc.		2,069		80
Alliant Energy Corp.		1,946		89
Ameren Corp.		3,054		102
American Electric Power Co., Inc.		3,937		157
AT&T, Inc.		31,808		1,135
CenterPoint Energy, Inc.		5,192		107
CenturyLink, Inc.		4,568		180
CMS Energy Corp.		3,884		91

	Principal Amount ($) or Shares			Market Value $
Consolidated Edison, Inc.		2,471			154
DTE Energy Co.		1,901			113
FirstEnergy Corp.		3,381			166
Integrys Energy Group, Inc.		1,527			87
MDU Resources Group, Inc.		3,524			76
NextEra Energy, Inc.		3,077			212
NV Energy, Inc.		4,741			83
ONEOK, Inc.		2,486			105
Pinnacle West Capital Corp.		1,748			90
PPL Corp.		4,968			138
Public Service Enterprise Group, Inc.		4,452			145
Questar Corp.		3,914			82
Southern Co.		5,578			259
TECO Energy, Inc.		4,397			79
Verizon Communications, Inc.		15,815			704
Wisconsin Energy Corp.		2,816			111
Xcel Energy, Inc.		4,638			132
					4,776
Total Common Stocks (cost $46,978)					50,068
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		39,036	(¥)		39
Total Short-Term Investments (cost $39)					39
Total Investments - 99.9% (identified cost $47,017)					50,107
Other Assets and Liabilities, Net - 0.1%					58
Net Assets - 100.0%					50,165

See accompanying notes which are an integral part of this quarterly report.

Russell Equity Income ETF 21

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	4,841	$	—	$	—	$	4,841
Consumer Staples		3,795		—		—		3,795
Energy		5,478		—		—		5,478
Financial Services		9,577		—		—		9,577
Health Care		6,907		—		—		6,907
Materials and Processing		2,606		—		—		2,606
Producer Durables		6,820		—		—		6,820
Technology		5,268		—		—		5,268
Utilities		4,776		—		—		4,776
Short-Term Investments		—		39		—		39
Total Investments	$	50,068	$	39	$	—	$	50,107

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

22 Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 9.4%
Aaron’s, Inc. Class A		139		4
Autoliv, Inc.		120		7
Best Buy Co., Inc.		373		8
Brinker International, Inc.		120		4
Career Education Corp. (Æ)		443		3
CarMax, Inc. (Æ)		244		6
CBS Corp. Class B		546		18
Clear Channel Outdoor Holdings, Inc. Class A (Æ)		430		3
Comcast Corp. Class A		1,370		44
DeVry, Inc.		104		3
Dillard’s, Inc. Class A		79		5
DR Horton, Inc.		444		8
DSW, Inc. Class A		61		3
Education Management Corp. (Æ)		263		2
Expedia, Inc.		126		6
Federal-Mogul Corp. (Æ)		194		2
Foot Locker, Inc.		230		7
Ford Motor Co.		1,560		15
GameStop Corp. Class A		260		5
Gannett Co., Inc.		411		6
General Motors Co. (Æ)		730		14
Harman International Industries, Inc.		84		3
Hyatt Hotels Corp. Class A (Æ)		106		4
Interpublic Group of Cos., Inc. (The)		512		6
Jarden Corp.		156		7
JC Penney Co., Inc.		224		5
Johnson Controls, Inc.		501		14
KAR Auction Services, Inc. (Æ)		221		4
Kohl’s Corp.		95		4
Lear Corp.		154		6
Leggett & Platt, Inc.		167		3
Liberty Media Corp. - Interactive (Æ)		641		11
Macy’s, Inc.		376		13
MGM Resorts International (Æ)		455		5
Mohawk Industries, Inc. (Æ)		94		7
Newell Rubbermaid, Inc.		414		7
Penn National Gaming, Inc. (Æ)		132		6
RadioShack Corp.		591		2
Regal Entertainment Group Class A		277		4
Royal Caribbean Cruises, Ltd.		156		4
Signet Jewelers, Ltd.		137		6
Snap-on, Inc.		90		6
Staples, Inc.		774		10
Target Corp.		587		34
Thor Industries, Inc.		136		4
Time Warner, Inc.		897		34
Toll Brothers, Inc. (Æ)		258		8
TRW Automotive Holdings Corp. (Æ)		156		6
Wal-Mart Stores, Inc.		399		28
Washington Post Co. (The) Class B		13		5
Wendy’s Co. (The)		875		4
Whirlpool Corp.		103		6
				439

	Principal Amount ($) or Shares		Market Value $
Consumer Staples - 4.8%
Beam, Inc.		176		11
Bunge, Ltd.		135		9
Campbell Soup Co.		129		4
Coca-Cola Enterprises, Inc.		172		5
ConAgra Foods, Inc.		402		10
Constellation Brands, Inc. Class A (Æ)		269		7
CVS Caremark Corp.		1,175		55
Dean Foods Co. (Æ)		410		7
Energizer Holdings, Inc. (Æ)		96		7
Hormel Foods Corp.		160		5
Ingredion, Inc.		67		3
Kraft Foods, Inc. Class A		1,427		55
Kroger Co. (The)		247		6
Molson Coors Brewing Co. Class B		179		7
Ralcorp Holdings, Inc. (Æ)		87		6
Safeway, Inc.		444		8
Smithfield Foods, Inc. (Æ)		279		6
SUPERVALU, Inc.		727		4
Tyson Foods, Inc. Class A		410		8
Walgreen Co.		136		4
				227
Energy - 12.3%
Alpha Natural Resources, Inc. (Æ)		289		3
Apache Corp.		254		22
Arch Coal, Inc.		449		3
Baker Hughes, Inc.		283		12
Cameron International Corp. (Æ)		112		5
Chesapeake Energy Corp.		659		12
Chevron Corp.		1,576		166
ConocoPhillips		1,125		63
Denbury Resources, Inc. (Æ)		234		4
Devon Energy Corp.		389		23
EXCO Resources, Inc.		488		4
Exxon Mobil Corp.		1,091		93
Forest Oil Corp. (Æ)		281		2
Hess Corp.		295		13
Marathon Oil Corp.		680		17
McDermott International, Inc. (Æ)		264		3
Murphy Oil Corp.		189		9
Nabors Industries, Ltd. (Æ)		414		6
Newfield Exploration Co. (Æ)		138		4
Occidental Petroleum Corp.		503		43
Oil States International, Inc. (Æ)		47		3
Patterson-UTI Energy, Inc.		295		4
Phillips 66		556		18
Plains Exploration & Production Co. (Æ)		189		7
QEP Resources, Inc.		135		4
Quicksilver Resources, Inc. (Æ)		718		4
SEACOR Holdings, Inc. (Æ)		51		5
Tesoro Corp. (Æ)		235		6
Unit Corp. (Æ)		108		4
Valero Energy Corp.		576		14
				576

Russell Low P/E ETF 23

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Financial Services - 32.1%
ACE, Ltd.		318		24
Aflac, Inc.		450		19
Alleghany Corp. (Æ)		22		7
Allied World Assurance Co. Holdings AG		77		6
Allstate Corp. (The)		522		18
American Capital, Ltd. (Æ)		652		7
American Financial Group, Inc.		144		6
American International Group, Inc. (Æ)		455		15
Ameriprise Financial, Inc.		235		12
Annaly Capital Management, Inc. (ö)		959		16
Aon PLC		329		15
Arch Capital Group, Ltd. (Æ)		192		8
Aspen Insurance Holdings, Ltd.		171		5
Assurant, Inc.		157		5
Assured Guaranty, Ltd.		341		5
Axis Capital Holdings, Ltd.		200		7
Bank of America Corp.		8,606		70
Bank of New York Mellon Corp. (The)		1,144		25
Berkshire Hathaway, Inc. Class B (Æ)		1,469		122
BlackRock, Inc. Class A		51		9
BOK Financial Corp.		77		4
Capital One Financial Corp.		464		25
CapitalSource, Inc.		688		5
Capitol Federal Financial, Inc.		403		5
Chimera Investment Corp. (ö)		1,953		5
Cincinnati Financial Corp.		210		8
CIT Group, Inc. (Æ)		239		9
Citigroup, Inc.		2,460		67
City National Corp.		98		5
CME Group, Inc. Class A		65		17
CNA Financial Corp.		130		4
Comerica, Inc.		261		8
CommonWealth REIT (ö)		238		5
CoreLogic, Inc. (Æ)		270		5
Discover Financial Services		488		17
E*Trade Financial Corp. (Æ)		517		4
Endurance Specialty Holdings, Ltd.		111		4
Equity Residential (ö)		269		17
Fidelity National Financial, Inc. Class A		357		7
Fidelity National Information Services, Inc.		302		10
Fifth Third Bancorp		956		13
First Horizon National Corp.		509		4
First Niagara Financial Group, Inc.		604		5
Fulton Financial Corp.		463		5
Genworth Financial, Inc. Class A (Æ)		784		4
Goldman Sachs Group, Inc. (The)		446		43
Hanover Insurance Group, Inc. (The)		114		4
Hartford Financial Services Group, Inc.		511		9
HCC Insurance Holdings, Inc.		192		6
HCP, Inc. (ö)		405		18
Hudson City Bancorp, Inc.		779		5
Huntington Bancshares, Inc.		1,191		8
Invesco, Ltd.		484		11
Janus Capital Group, Inc.		507		4
Jefferies Group, Inc.		282		4
JPMorgan Chase & Co.		3,313		118

	Principal Amount ($) or Shares		Market Value $
Kemper Corp.		145		4
KeyCorp		1,144		9
Legg Mason, Inc.		227		6
Leucadia National Corp.		282		6
Liberty Property Trust (ö)		182		7
Lincoln National Corp.		373		8
Loews Corp.		331		14
LPL Financial Holdings, Inc. (Æ)		88		3
M&T Bank Corp.		136		11
Macerich Co. (The) (ö)		123		7
Marsh & McLennan Cos., Inc.		544		18
MetLife, Inc.		754		23
Morgan Stanley		1,420		21
NASDAQ OMX Group, Inc. (The)		210		5
New York Community Bancorp, Inc.		582		7
NYSE Euronext		252		6
Old Republic International Corp.		511		4
PartnerRe, Ltd. - ADR		101		8
People’s United Financial, Inc.		488		6
PNC Financial Services Group, Inc.		478		29
Popular, Inc. (Æ)		237		4
Principal Financial Group, Inc.		355		9
Protective Life Corp.		175		5
Prudential Financial, Inc.		446		22
Regions Financial Corp.		1,513		10
Reinsurance Group of America, Inc. Class A		113		6
SLM Corp.		629		10
StanCorp Financial Group, Inc.		114		4
State Street Corp.		480		21
SunTrust Banks, Inc.		557		13
Synovus Financial Corp.		2,183		4
TFS Financial Corp. (Æ)		398		4
Thomson Reuters Corp.		271		8
Travelers Cos., Inc. (The)		374		24
Unum Group		367		7
US Bancorp		1,668		54
Validus Holdings, Ltd.		156		5
Valley National Bancorp		414		4
Visa, Inc. Class A		315		39
Washington Federal, Inc.		281		5
Wells Fargo & Co.		3,825		128
Weyerhaeuser Co. (ö)		455		10
XL Group PLC Class A		397		8
Zions Bancorporation		297		6
				1,505
Health Care - 9.5%
Aetna, Inc.		366		14
Alere, Inc. (Æ)		191		4
Allscripts Healthcare Solutions, Inc. (Æ)		221		2
Bio-Rad Laboratories, Inc. Class A (Æ)		47		5
Boston Scientific Corp. (Æ)		1,707		10
Bristol-Myers Squibb Co.		1,482		53
Cardinal Health, Inc.		216		9
CareFusion Corp. (Æ)		247		6
Cigna Corp.		292		13

24 Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Community Health Systems, Inc. (Æ)		229		6
Cooper Cos., Inc. (The)		66		5
Coventry Health Care, Inc.		209		7
Covidien PLC		241		13
Forest Laboratories, Inc. (Æ)		302		11
Health Net, Inc. (Æ)		146		4
Hill-Rom Holdings, Inc.		100		3
Hologic, Inc. (Æ)		359		6
Hospira, Inc. (Æ)		107		4
Humana, Inc.		168		13
Life Technologies Corp. (Æ)		197		9
LifePoint Hospitals, Inc. (Æ)		119		5
Medtronic, Inc.		200		8
Omnicare, Inc.		183		6
Pfizer, Inc.		6,586		151
Qiagen NV (Æ)		393		7
Teleflex, Inc.		84		5
Tenet Healthcare Corp. (Æ)		930		5
Thermo Fisher Scientific, Inc.		369		19
VCA Antech, Inc. (Æ)		207		5
Warner Chilcott PLC Class A (Æ)		196		3
WellPoint, Inc.		326		21
Zimmer Holdings, Inc.		192		12
				444
Materials and Processing - 3.7%
Alcoa, Inc.		1,156		10
Armstrong World Industries, Inc.		80		4
Ashland, Inc.		116		8
Bemis Co., Inc.		184		6
Cabot Corp.		132		5
CF Industries Holdings, Inc.		27		5
Commercial Metals Co.		307		4
Domtar Corp.		63		5
Dow Chemical Co. (The)		1,050		33
Huntsman Corp.		352		5
International Paper Co.		363		11
Newmont Mining Corp.		458		22
Nucor Corp.		325		12
Owens Corning (Æ)		193		6
Owens-Illinois, Inc. (Æ)		269		5
Reliance Steel & Aluminum Co.		108		5
Schnitzer Steel Industries, Inc. Class A		92		3
Sealed Air Corp.		320		5
Sonoco Products Co.		176		5
Steel Dynamics, Inc.		266		3
Timken Co.		75		3
Titanium Metals Corp.		266		3
United States Steel Corp.		224		5
				173
Producer Durables - 12.4%
AECOM Technology Corp. (Æ)		195		3
AGCO Corp. (Æ)		144		7
Air Lease Corp. Class A (Æ)		160		3
Alexander & Baldwin Holdings, Inc.		102		5
Alliant Techsystems, Inc.		89		4

	Principal Amount ($) or Shares		Market Value $
Avery Dennison Corp.		186		5
BE Aerospace, Inc. (Æ)		75		3
Boeing Co. (The)		110		8
Booz Allen Hamilton Holding Corp. Class A		196		3
Carlisle Cos., Inc.		109		6
Chicago Bridge & Iron Co. NV		108		4
CNH Global NV (Æ)		101		4
Con-way, Inc.		141		5
Corrections Corp. of America		203		6
Covanta Holding Corp.		281		5
Delta Air Lines, Inc. (Æ)		610		7
Eaton Corp.		235		9
FedEx Corp.		277		25
General Cable Corp. (Æ)		129		3
General Dynamics Corp.		310		20
General Electric Co.		8,812		184
Genpact, Ltd. (Æ)		224		4
GrafTech International, Ltd. (Æ)		364		3
Harsco Corp.		203		4
Illinois Tool Works, Inc.		79		4
Ingersoll-Rand PLC		129		5
Itron, Inc. (Æ)		101		4
Jacobs Engineering Group, Inc. (Æ)		174		7
KBR, Inc.		208		5
Kennametal, Inc.		129		4
L-3 Communications Holdings, Inc.		126		9
Lexmark International, Inc. Class A		156		4
Manpower, Inc.		134		5
Monster Worldwide, Inc. (Æ)		430		4
Navistar International Corp. (Æ)		105		3
Norfolk Southern Corp.		317		23
Northrop Grumman Corp.		261		17
Oshkosh Corp. (Æ)		216		5
Pitney Bowes, Inc.		329		5
Quanta Services, Inc. (Æ)		327		8
Raytheon Co.		345		20
Regal-Beloit Corp.		83		5
Republic Services, Inc. Class A		364		10
RR Donnelley & Sons Co.		408		5
Ryder System, Inc.		102		4
Shaw Group, Inc. (The) (Æ)		153		4
Southwest Airlines Co.		914		8
Spirit Aerosystems Holdings, Inc. Class A (Æ)		202		5
SPX Corp.		72		5
Stanley Black & Decker, Inc.		174		11
Teekay Corp.		128		4
Terex Corp. (Æ)		230		4
Textron, Inc.		334		8
Towers Watson & Co. Class A		85		5
Trinity Industries, Inc.		161		4
United Continental Holdings, Inc. (Æ)		193		5
URS Corp.		137		5
UTi Worldwide, Inc.		192		3
Verisk Analytics, Inc. Class A (Æ)		83		4
Waste Connections, Inc.		109		3
WESCO International, Inc. (Æ)		67		4
Xerox Corp.		1,502		12
				580

Russell Low P/E ETF 25

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Technology - 8.4%
Activision Blizzard, Inc.		591		7
Akamai Technologies, Inc. (Æ)		100		3
Amdocs, Ltd.		242		7
AOL, Inc. (Æ)		252		7
Applied Materials, Inc.		1,238		14
Arrow Electronics, Inc. (Æ)		156		5
Avnet, Inc. (Æ)		202		6
AVX Corp.		278		3
Brocade Communications Systems, Inc. (Æ)		934		5
Computer Sciences Corp.		236		6
Corning, Inc.		1,504		20
Cree, Inc. (Æ)		184		5
Dell, Inc. (Æ)		542		7
Diebold, Inc.		138		5
EchoStar Corp. Class A (Æ)		155		4
Fairchild Semiconductor International, Inc. Class A (Æ)		325		5
Harris Corp.		144		6
Hewlett-Packard Co.		1,746		35
Ingram Micro, Inc. Class A (Æ)		301		5
Intel Corp.		4,442		118
International Rectifier Corp. (Æ)		203		4
Intersil Corp. Class A		334		4
Jabil Circuit, Inc.		153		3
KLA-Tencor Corp.		89		4
LSI Corp. (Æ)		689		4
Marvell Technology Group, Ltd.		613		7
MEMC Electronic Materials, Inc. (Æ)		954		2
Micron Technology, Inc. (Æ)		1,095		7
Molex, Inc.		227		5
Motorola Solutions, Inc.		287		14
NCR Corp. (Æ)		186		4
PMC - Sierra, Inc. (Æ)		642		4
QLogic Corp. (Æ)		185		3
SAIC, Inc.		399		5
SanDisk Corp. (Æ)		257		9
Tech Data Corp. (Æ)		94		5
Teradyne, Inc. (Æ)		338		5
Vishay Intertechnology, Inc. (Æ)		401		4
Western Digital Corp. (Æ)		265		8
Yahoo!, Inc. (Æ)		1,270		20
				394
Utilities - 7.2%
AGL Resources, Inc.		175		7
Alliant Energy Corp.		163		7
Ameren Corp.		293		10
American Electric Power Co., Inc.		468		19
Aqua America, Inc.		243		6
Atmos Energy Corp.		174		6
CenterPoint Energy, Inc.		496		10
CenturyLink, Inc.		581		23
DTE Energy Co.		192		11

	Principal Amount ($) or Shares			Market Value $
Duke Energy Corp.		1,236			28
Entergy Corp.		188			13
FirstEnergy Corp.		405			20
Frontier Communications Corp.		1,567			6
GenOn Energy, Inc. (Æ)		2,150			4
Great Plains Energy, Inc.		267			6
Hawaiian Electric Industries, Inc.		202			6
Integrys Energy Group, Inc.		123			7
National Fuel Gas Co.		123			6
NextEra Energy, Inc.		396			27
NII Holdings, Inc. (Æ)		190			2
NiSource, Inc.		357			9
NRG Energy, Inc. (Æ)		398			7
NV Energy, Inc.		388			7
Pepco Holdings, Inc.		351			7
PG&E Corp.		391			18
Pinnacle West Capital Corp.		155			8
PPL Corp.		573			16
Public Service Enterprise Group, Inc.		508			16
TECO Energy, Inc.		355			6
Telephone & Data Systems, Inc.		217			5
Time Warner Telecom, Inc. Class A (Æ)		161			4
US Cellular Corp. (Æ)		89			3
Westar Energy, Inc.		206			6
					336
Total Common Stocks (cost $4,998)					4,674
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,311	(¥)		4
Total Short-Term Investments (cost $4)					4
Total Investments - 99.9% (identified cost $5,002)					4,678
Other Assets and Liabilities, Net - 0.1%					6
Net Assets - 100.0%					4,684

See accompanying notes which are an integral part of this quarterly report.

26 Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	439	$	—	$	—	$	439
Consumer Staples		227		—		—		227
Energy		576		—		—		576
Financial Services		1,505		—		—		1,505
Health Care		444		—		—		444
Materials and Processing		173		—		—		173
Producer Durables		580		—		—		580
Technology		394		—		—		394
Utilities		336		—		—		336
Short-Term Investments		—		4		—		4
Total Investments	$	4,674	$	4	$	—	$	4,678

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell Low P/E ETF 27

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 100.2%
Consumer Discretionary - 18.3%
Amerco, Inc.		146		13
American Public Education, Inc. (Æ)		397		13
Ameristar Casinos, Inc.		809		14
ANN, Inc. (Æ)		533		14
Arctic Cat, Inc. (Æ)		657		24
Asbury Automotive Group, Inc. (Æ)		554		13
BJ’s Restaurants, Inc. (Æ)		563		21
Body Central Corp. (Æ)		970		9
Bravo Brio Restaurant Group, Inc. (Æ)		764		14
Bridgepoint Education, Inc. (Æ)		609		13
Brunswick Corp.		581		13
Cabela’s, Inc. (Æ)		400		15
Caribou Coffee Co., Inc. (Æ)		1,521		20
Carter’s, Inc. (Æ)		565		30
Cheesecake Factory, Inc. (The) (Æ)		510		16
Chico’s FAS, Inc.		1,011		15
Children’s Place Retail Stores, Inc. (The) (Æ)		292		15
Churchill Downs, Inc.		270		16
Coinstar, Inc. (Æ)		237		16
Collective Brands, Inc. (Æ)		776		17
Constant Contact, Inc. (Æ)		945		17
Crocs, Inc. (Æ)		1,344		22
Dick’s Sporting Goods, Inc.		317		15
Drew Industries, Inc. (Æ)		548		15
Elizabeth Arden, Inc. (Æ)		436		17
Ethan Allen Interiors, Inc.		595		12
Express, Inc. (Æ)		603		11
Gentex Corp.		610		13
Grand Canyon Education, Inc. (Æ)		1,584		32
Hanesbrands, Inc. (Æ)		510		14
Harman International Industries, Inc.		322		13
HealthStream, Inc. (Æ)		1,213		32
Hibbett Sports, Inc. (Æ)		515		30
HSN, Inc.		404		16
Interval Leisure Group, Inc.		866		16
Knology, Inc. (Æ)		843		17
Krispy Kreme Doughnuts, Inc. (Æ)		2,065		13
Lamar Advertising Co. Class A (Æ)		465		13
LeapFrog Enterprises, Inc. Class A (Æ)		1,833		19
Madison Square Garden Co. (The) Class A (Æ)		822		31
Monro Muffler Brake, Inc.		683		23
Penske Automotive Group, Inc.		619		13
Polaris Industries, Inc.		389		28
Pool Corp.		403		16
Red Robin Gourmet Burgers, Inc. (Æ)		405		12
rue21 inc (Æ)		520		13
Sally Beauty Holdings, Inc. (Æ)		615		16
Select Comfort Corp. (Æ)		869		18
Six Flags Entertainment Corp.		328		18
Smith & Wesson Holding Corp. (Æ)		3,613		30
Stamps.com, Inc. (Æ)		1,009		25
Steven Madden, Ltd. (Æ)		350		11
Tesla Motors, Inc. (Æ)		756		24

	Principal Amount ($) or Shares		Market Value $
Ulta Salon Cosmetics & Fragrance, Inc.		303		28
Under Armour, Inc. Class A (Æ)		301		28
Vail Resorts, Inc.		349		17
ValueClick, Inc. (Æ)		772		13
Vitamin Shoppe, Inc. (Æ)		636		34
WABCO Holdings, Inc. (Æ)		249		13
Warnaco Group, Inc. (The) (Æ)		256		11
Weight Watchers International, Inc.		195		10
Zagg, Inc. (Æ)		2,634		29
Zumiez, Inc. (Æ)		417		17
				1,136
Consumer Staples - 2.4%
Casey’s General Stores, Inc.		277		16
Dean Foods Co. (Æ)		1,245		21
Fresh Market, Inc. (The) (Æ)		586		32
Hain Celestial Group, Inc. (The) (Æ)		350		19
Ingredion, Inc.		261		13
Peet’s Coffee & Tea, Inc. (Æ)		382		23
Susser Holdings Corp. (Æ)		595		22
				146
Energy - 5.0%
Ameresco, Inc. Class A (Æ)		1,112		13
Approach Resources, Inc. (Æ)		767		20
Capstone Turbine Corp. (Æ)		27,558		28
Dresser-Rand Group, Inc. (Æ)		325		14
FuelCell Energy, Inc. (Æ)		9,631		10
GeoResources, Inc. (Æ)		866		31
Goodrich Petroleum Corp. (Æ)		1,491		21
Key Energy Services, Inc. (Æ)		968		7
Kodiak Oil & Gas Corp. (Æ)		2,846		23
Lufkin Industries, Inc.		351		19
Mitcham Industries, Inc. (Æ)		666		11
Northern Oil and Gas, Inc. (Æ)		1,357		22
Oasis Petroleum, Inc. (Æ)		908		22
Oil States International, Inc. (Æ)		192		13
OYO Geospace Corp. (Æ)		267		24
SM Energy Co.		398		20
Vaalco Energy, Inc. (Æ)		1,595		14
				312
Financial Services - 4.7%
Advent Software, Inc. (Æ)		600		16
Broadridge Financial Solutions, Inc.		630		13
Cardtronics, Inc. (Æ)		573		17
eHealth, Inc. (Æ)		1,724		29
Extra Space Storage, Inc. (ö)		524		16
Financial Engines, Inc. (Æ)		1,259		27
FXCM, Inc. Class A		1,160		14
Heartland Payment Systems, Inc.		532		16
HFF, Inc. Class A (Æ)		915		13
Higher One Holdings, Inc. (Æ)		1,880		23
Investors Bancorp, Inc. (Æ)		1,022		15
MarketAxess Holdings, Inc.		755		20
MSCI, Inc. Class A (Æ)		418		14

28 Russell Small Cap Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Raymond James Financial, Inc.		421		14
Signature Bank NY (Æ)		244		15
SVB Financial Group (Æ)		234		14
Wright Express Corp. (Æ)		231		14
				290
Health Care - 23.1%
Abaxis, Inc. (Æ)		966		36
Abiomed, Inc. (Æ)		1,267		29
Accuray, Inc. (Æ)		4,019		27
Acorda Therapeutics, Inc. (Æ)		1,060		25
Air Methods Corp. (Æ)		176		17
Akorn, Inc. (Æ)		2,420		38
Align Technology, Inc. (Æ)		1,029		34
Alkermes PLC (Æ)		1,527		26
AMERIGROUP Corp. Class A (Æ)		224		15
Antares Pharma, Inc. (Æ)		8,711		32
Arqule, Inc. (Æ)		2,132		13
athenahealth, Inc. (Æ)		382		30
Auxilium Pharmaceuticals, Inc. (Æ)		1,515		41
AVANIR Pharmaceuticals, Inc. Class A (Æ)		8,288		32
BioMarin Pharmaceutical, Inc. (Æ)		821		32
BioScrip, Inc. (Æ)		4,167		31
Cepheid, Inc. (Æ)		673		30
Conceptus, Inc. (Æ)		1,969		39
Cubist Pharmaceuticals, Inc. (Æ)		651		25
Curis, Inc. (Æ)		5,875		32
Cyberonics, Inc. (Æ)		743		33
DexCom, Inc. (Æ)		2,715		35
Endo Health Solutions, Inc. (Æ)		386		12
Endologix, Inc. (Æ)		1,911		30
Gen-Probe, Inc. (Æ)		231		19
HeartWare International, Inc. (Æ)		428		38
HMS Holdings Corp. (Æ)		903		30
Insulet Corp. (Æ)		1,480		32
Ironwood Pharmaceuticals, Inc. Class A (Æ)		1,133		16
Jazz Pharmaceuticals PLC (Æ)		578		26
Luminex Corp. (Æ)		1,199		29
MAKO Surgical Corp. (Æ)		672		17
MedAssets, Inc. (Æ)		1,145		15
Medidata Solutions, Inc. (Æ)		1,056		34
Merge Healthcare, Inc. (Æ)		4,882		14
Molina Healthcare, Inc. (Æ)		458		11
Neurocrine Biosciences, Inc. (Æ)		1,891		15
NxStage Medical, Inc. (Æ)		1,471		25
Onyx Pharmaceuticals, Inc. (Æ)		751		49
Optimer Pharmaceuticals, Inc. (Æ)		2,023		31
Orthofix International NV (Æ)		406		17
PAREXEL International Corp. (Æ)		1,050		30
Prestige Brands Holdings, Inc. (Æ)		862		14
Questcor Pharmaceuticals, Inc. (Æ)		752		40
Quidel Corp. (Æ)		1,532		24
Salix Pharmaceuticals, Ltd. (Æ)		540		29
Savient Pharmaceuticals, Inc. (Æ)		12,898		7
Spectrum Pharmaceuticals, Inc. (Æ)		1,213		19
SXC Health Solutions Corp. (Æ)		374		37

	Principal Amount ($) or Shares		Market Value $
Team Health Holdings, Inc. (Æ)		742		18
Tornier NV (Æ)		1,096		25
ViroPharma, Inc. (Æ)		512		12
Volcano Corp. (Æ)		999		29
XenoPort, Inc. (Æ)		6,250		38
				1,434
Materials and Processing - 4.8%
Allied Nevada Gold Corp. (Æ)		871		25
American Vanguard Corp.		1,295		33
Beacon Roofing Supply, Inc. (Æ)		581		15
Calgon Carbon Corp. (Æ)		966		14
Carpenter Technology Corp.		542		26
Haynes International, Inc.		236		12
Mueller Industries, Inc.		332		14
Myers Industries, Inc.		1,033		18
NCI Building Systems, Inc. (Æ)		1,335		14
Rockwood Holdings, Inc.		293		13
Royal Gold, Inc.		432		34
Simpson Manufacturing Co., Inc.		467		14
TPC Group, Inc. (Æ)		636		24
Universal Stainless & Alloy (Æ)		658		27
Valspar Corp.		318		17
				300
Producer Durables - 15.4%
Advisory Board Co. (The) (Æ)		638		32
Allegiant Travel Co. Class A (Æ)		519		35
American Railcar Industries, Inc. (Æ)		649		18
AO Smith Corp.		335		16
Barnes Group, Inc.		568		14
Carlisle Cos., Inc.		300		16
Chart Industries, Inc. (Æ)		384		26
Clean Harbors, Inc. (Æ)		418		24
Colfax Corp. (Æ)		804		22
Copa Holdings SA Class A		194		16
Darling International, Inc. (Æ)		1,616		27
DXP Enterprises, Inc. (Æ)		644		27
Dycom Industries, Inc. (Æ)		640		12
EnPro Industries, Inc. (Æ)		371		14
ESCO Technologies, Inc.		410		15
FARO Technologies, Inc. (Æ)		480		20
Federal Signal Corp. (Æ)		2,712		16
Forward Air Corp.		408		13
Genesee & Wyoming, Inc. Class A (Æ)		276		15
Gorman-Rupp Co. (The)		517		15
Graco, Inc.		282		13
H&E Equipment Services, Inc. (Æ)		806		12
Hub Group, Inc. Class A (Æ)		418		15
Huron Consulting Group, Inc. (Æ)		749		24
InnerWorkings, Inc. (Æ)		2,415		33
Insperity, Inc.		488		13
JB Hunt Transport Services, Inc.		277		17
Kaman Corp. Class A		444		14
Lincoln Electric Holdings, Inc.		330		14
Littelfuse, Inc.		240		14
Maxwell Technologies, Inc. (Æ)		1,512		10

Russell Small Cap Aggressive Growth ETF 29

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Measurement Specialties, Inc. (Æ)		444		14
Mistras Group, Inc. (Æ)		1,181		31
National Instruments Corp.		539		14
Nordson Corp.		282		14
Old Dominion Freight Line, Inc. (Æ)		314		14
On Assignment, Inc. (Æ)		1,610		26
OSI Systems, Inc. (Æ)		457		29
RailAmerica, Inc. (Æ)		1,311		32
Roadrunner Transportation Systems, Inc. (Æ)		1,622		27
Robert Half International, Inc.		494		14
Ryder System, Inc.		282		10
ServiceSource International, Inc. (Æ)		1,813		25
SPX Corp.		194		13
Team, Inc. (Æ)		496		15
Tennant Co.		340		14
Titan Machinery, Inc. (Æ)		544		17
Toro Co. (The)		216		16
Trimas Corp. (Æ)		681		14
Triumph Group, Inc.		239		13
TrueBlue, Inc. (Æ)		843		13
Wabash National Corp. (Æ)		1,486		10
Watts Water Technologies, Inc. Class A		370		12
				959
Technology - 24.7%
3D Systems Corp. (Æ)		650		22
AboveNet, Inc. (Æ)		181		15
Acacia Research Corp. (Æ)		678		25
ACI Worldwide, Inc. (Æ)		699		31
Actuate Corp. (Æ)		4,475		31
Anixter International, Inc.		206		11
Ariba, Inc. (Æ)		468		21
Aspen Technology, Inc. (Æ)		1,371		32
ATMI, Inc. (Æ)		1,205		25
Cadence Design Systems, Inc. (Æ)		2,392		26
Cavium, Inc. (Æ)		918		26
Ceva, Inc. (Æ)		664		12
Cirrus Logic, Inc. (Æ)		1,182		36
Cognex Corp.		664		21
Coherent, Inc. (Æ)		256		11
CommVault Systems, Inc. (Æ)		564		28
comScore, Inc. (Æ)		1,325		22
Concur Technologies, Inc. (Æ)		488		33
DealerTrack Holdings, Inc. (Æ)		936		28
Ebix, Inc.		1,216		24
Entegris, Inc. (Æ)		1,614		14
Extreme Networks (Æ)		7,393		25
Fabrinet (Æ)		851		11
FEI Co.		307		15
Finisar Corp. (Æ)		748		11
Fortinet, Inc. (Æ)		1,018		24
Gartner, Inc. (Æ)		660		28
IAC/InterActiveCorp		577		26
iGATE Corp. (Æ)		917		16
II-VI, Inc. (Æ)		1,191		20
Interactive Intelligence Group, Inc. (Æ)		922		26

	Principal Amount ($) or Shares		Market Value $
IPG Photonics Corp. (Æ)		287		13
Ixia (Æ)		1,223		15
Jabil Circuit, Inc.		600		12
Kenexa Corp. (Æ)		900		26
Kulicke & Soffa Industries, Inc. (Æ)		2,252		20
Lattice Semiconductor Corp. (Æ)		4,329		16
LogMeIn, Inc. (Æ)		804		25
Microsemi Corp. (Æ)		1,321		24
MicroStrategy, Inc. Class A (Æ)		202		26
Nanometrics, Inc. (Æ)		1,520		23
NETGEAR, Inc. (Æ)		395		14
NetSuite, Inc. (Æ)		563		31
NeuStar, Inc. Class A (Æ)		413		14
NIC, Inc.		2,322		29
ON Semiconductor Corp. (Æ)		1,673		12
Opnet Technologies, Inc.		516		14
Parametric Technology Corp. (Æ)		1,010		21
Park Electrochemical Corp.		499		13
Pegasystems, Inc.		734		24
PROS Holdings, Inc. (Æ)		1,504		25
QLIK Technologies, Inc. (Æ)		880		19
Quest Software, Inc. (Æ)		648		18
RealPage, Inc. (Æ)		1,469		35
Riverbed Technology, Inc. (Æ)		1,011		16
Sapient Corp.		2,275		23
Semtech Corp. (Æ)		989		24
Silicon Laboratories, Inc. (Æ)		348		13
Skyworks Solutions, Inc. (Æ)		545		15
SolarWinds, Inc. (Æ)		733		32
Sonus Networks, Inc. (Æ)		5,157		11
Sourcefire, Inc. (Æ)		584		30
Stratasys, Inc. (Æ)		419		21
Super Micro Computer, Inc. (Æ)		1,603		25
Take-Two Interactive Software, Inc. (Æ)		1,842		17
TIBCO Software, Inc. (Æ)		918		27
TNS, Inc. (Æ)		688		12
Ultimate Software Group, Inc. (Æ)		387		35
Ultratech, Inc. (Æ)		970		31
Universal Display Corp. (Æ)		769		28
VeriFone Systems, Inc. (Æ)		288		10
				1,535
Utilities - 1.8%
8x8, Inc. (Æ)		6,741		28
Cogent Communications Group, Inc. (Æ)		1,484		29
Time Warner Telecom, Inc. Class A (Æ)		1,270		32
Towerstream Corp. (Æ)		5,962		25
				114
Total Common Stocks (cost $6,035)				6,226

30 Russell Small Cap Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,367	(¥)		4
Total Short-Term Investments (cost $4)					4
Total Investments - 100.3% (identified cost $6,039)					6,230
Other Assets and Liabilities, Net - (0.3%)					(18	)
Net Assets - 100.0%					6,212

See accompanying notes which are an integral part of this quarterly report.

Russell Small Cap Aggressive Growth ETF 31

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,136	$	—	$	—	$	1,136
Consumer Staples		146		—		—		146
Energy		312		—		—		312
Financial Services		290		—		—		290
Health Care		1,434		—		—		1,434
Materials and Processing		300		—		—		300
Producer Durables		959		—		—		959
Technology		1,535		—		—		1,535
Utilities		114		—		—		114
Short-Term Investments		—		4		—		4
Total Investments	$	6,226	$	4	$	—	$	6,230

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

32 Russell Small Cap Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 100.0%
Consumer Discretionary - 21.1%
Aaron’s, Inc. Class A		656		19
American Public Education, Inc. (Æ)		852		27
Ancestry.com, Inc. (Æ)		1,423		40
Arbitron, Inc.		461		16
Ascena Retail Group, Inc. (Æ)		1,462		27
Bally Technologies, Inc. (Æ)		692		32
bebe stores inc		3,509		21
BJ’s Restaurants, Inc. (Æ)		643		24
Blue Nile, Inc. (Æ)		517		15
Body Central Corp. (Æ)		1,116		10
Brinker International, Inc.		636		20
Buffalo Wild Wings, Inc. (Æ)		357		31
Capella Education Co. (Æ)		482		17
Carter’s, Inc. (Æ)		343		18
Chico’s FAS, Inc.		2,144		32
Coinstar, Inc. (Æ)		509		35
Deckers Outdoor Corp. (Æ)		507		22
Dorman Products, Inc. (Æ)		1,280		32
Drew Industries, Inc. (Æ)		1,185		33
Ethan Allen Interiors, Inc.		671		13
Fuel Systems Solutions, Inc. (Æ)		1,224		20
Grand Canyon Education, Inc. (Æ)		1,823		39
Guess?, Inc.		554		17
HealthStream, Inc. (Æ)		1,396		36
Hibbett Sports, Inc. (Æ)		593		34
HomeAway, Inc. (Æ)		1,261		27
Inter Parfums, Inc.		1,113		19
Interval Leisure Group, Inc.		980		19
Jos A Bank Clothiers, Inc. (Æ)		338		14
K12, Inc. (Æ)		1,370		32
Life Time Fitness, Inc. (Æ)		336		16
Lumber Liquidators Holdings, Inc. (Æ)		1,271		44
Madison Square Garden Co. (The) Class A (Æ)		946		35
Maidenform Brands, Inc. (Æ)		757		15
Matthews International Corp. Class A		537		17
Monro Muffler Brake, Inc.		780		26
rue21 inc (Æ)		1,103		28
Shuffle Master, Inc. (Æ)		1,840		25
Stamps.com, Inc. (Æ)		1,147		28
Steven Madden, Ltd. (Æ)		757		24
Sturm Ruger & Co., Inc.		659		26
Texas Roadhouse, Inc. Class A		1,049		19
True Religion Apparel, Inc.		1,165		34
Vera Bradley, Inc. (Æ)		1,074		23
VistaPrint NV (Æ)		837		27
Vitamin Shoppe, Inc. (Æ)		722		41
Warnaco Group, Inc. (The) (Æ)		292		12
WMS Industries, Inc. (Æ)		718		14
Wolverine World Wide, Inc.		457		18
XO Group, Inc. (Æ)		3,448		31
Zagg, Inc. (Æ)		3,003		33
Zumiez, Inc. (Æ)		884		35
				1,312

	Principal Amount ($) or Shares		Market Value $
Consumer Staples - 4.3%
Fresh Market, Inc. (The) (Æ)		675		36
GNC Holdings, Inc. Class A		917		36
Hain Celestial Group, Inc. (The) (Æ)		389		21
J&J Snack Foods Corp.		334		20
Medifast, Inc. (Æ)		1,853		37
Peet’s Coffee & Tea, Inc. (Æ)		439		26
Snyders-Lance, Inc.		679		17
TreeHouse Foods, Inc. (Æ)		291		18
USANA Health Sciences, Inc. (Æ)		867		36
WD-40 Co.		375		19
				266
Energy - 3.9%
Ameresco, Inc. Class A (Æ)		2,391		29
Atwood Oceanics, Inc. (Æ)		709		27
CARBO Ceramics, Inc.		303		23
Dril-Quip, Inc. (Æ)		498		33
GeoResources, Inc. (Æ)		977		35
Key Energy Services, Inc. (Æ)		1,099		8
Lufkin Industries, Inc.		395		21
Mitcham Industries, Inc. (Æ)		757		13
Newpark Resources, Inc. (Æ)		2,081		12
OYO Geospace Corp. (Æ)		307		28
Vaalco Energy, Inc. (Æ)		1,804		16
				245
Financial Services - 7.9%
Advent Software, Inc. (Æ)		666		18
Amtrust Financial Services, Inc.		634		19
CBOE Holdings, Inc.		598		17
Duff & Phelps Corp. Class A		1,097		16
Extra Space Storage, Inc. (ö)		592		18
Ezcorp, Inc. Class A (Æ)		999		23
Fair Isaac Corp.		388		16
First Cash Financial Services, Inc. (Æ)		755		30
FleetCor Technologies, Inc. (Æ)		835		29
Green Dot Corp. Class A (Æ)		1,221		27
HFF, Inc. Class A (Æ)		1,031		14
Higher One Holdings, Inc. (Æ)		2,139		26
Jack Henry & Associates, Inc.		498		17
LPL Financial Holdings, Inc. (Æ)		448		15
Morningstar, Inc.		513		30
Netspend Holdings, Inc. (Æ)		4,110		39
SEI Investments Co.		821		16
Signature Bank NY (Æ)		274		17
Stifel Financial Corp. (Æ)		449		14
SVB Financial Group (Æ)		264		16
Texas Capital Bancshares, Inc. (Æ)		500		20
TFS Financial Corp. (Æ)		1,847		18
UMB Financial Corp.		380		19
Wright Express Corp. (Æ)		263		16
				490

Russell Small Cap Consistent Growth ETF 33

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Health Care - 11.8%
Abaxis, Inc. (Æ)		1,098		41
Align Technology, Inc. (Æ)		1,158		39
Bio-Reference Labs, Inc. (Æ)		1,360		36
Bruker Corp. (Æ)		1,114		15
Cantel Medical Corp.		1,275		35
Chemed Corp.		272		16
Computer Programs & Systems, Inc.		563		32
Covance, Inc. (Æ)		357		17
Cubist Pharmaceuticals, Inc. (Æ)		749		28
Cyberonics, Inc. (Æ)		838		38
Ensign Group, Inc. (The)		630		18
Gen-Probe, Inc. (Æ)		263		22
Haemonetics Corp. (Æ)		245		18
Hanger Orthopedic Group, Inc. (Æ)		780		20
Impax Laboratories, Inc. (Æ)		1,317		27
IPC The Hospitalist Co., Inc. (Æ)		867		39
Lincare Holdings, Inc.		675		23
Masimo Corp. (Æ)		1,385		31
Medicis Pharmaceutical Corp. Class A		460		16
Metropolitan Health Networks, Inc. (Æ)		1,812		17
Myriad Genetics, Inc. (Æ)		731		17
Omnicell, Inc. (Æ)		1,121		16
PAREXEL International Corp. (Æ)		632		18
Patterson Cos., Inc.		518		18
Quality Systems, Inc.		741		20
Sirona Dental Systems, Inc. (Æ)		331		15
Thoratec Corp. (Æ)		504		17
United Therapeutics Corp. (Æ)		687		34
VCA Antech, Inc. (Æ)		735		16
ViroPharma, Inc. (Æ)		578		14
West Pharmaceutical Services, Inc.		406		20
				733
Materials and Processing - 5.9%
Acuity Brands, Inc.		271		14
American Vanguard Corp.		786		21
Armstrong World Industries, Inc.		351		17
Balchem Corp.		564		18
Cabot Corp.		398		16
Cabot Microelectronics Corp.		834		24
Carpenter Technology Corp.		619		30
Clarcor, Inc.		346		17
Dynamic Materials Corp.		804		14
Globe Specialty Metals, Inc.		2,138		29
Haynes International, Inc.		269		14
Hexcel Corp. (Æ)		729		19
Intrepid Potash, Inc. (Æ)		701		16
LSB Industries, Inc. (Æ)		440		14
RBC Bearings, Inc. (Æ)		369		17
Schweitzer-Mauduit International, Inc.		246		17
Simpson Manufacturing Co., Inc.		527		16
Titanium Metals Corp.		2,387		27
Universal Stainless & Alloy (Æ)		757		30
				370

	Principal Amount ($) or Shares		Market Value $
Producer Durables - 23.8%
Aerovironment, Inc. (Æ)		1,209		32
Allegiant Travel Co. Class A (Æ)		587		42
American Railcar Industries, Inc. (Æ)		723		20
AO Smith Corp.		379		19
Applied Industrial Technologies, Inc.		413		15
Astec Industries, Inc. (Æ)		467		14
Babcock & Wilcox Co. (The) (Æ)		660		16
Barnes Group, Inc.		648		16
Carlisle Cos., Inc.		342		18
Cascade Corp.		339		16
Chart Industries, Inc. (Æ)		435		30
Colfax Corp. (Æ)		919		25
Copa Holdings SA Class A		215		18
Copart, Inc. (Æ)		664		16
Corporate Executive Board Co. (The)		403		16
Corrections Corp. of America		627		18
Cubic Corp.		362		17
Darling International, Inc. (Æ)		1,859		31
Dice Holdings, Inc. (Æ)		1,827		17
DXP Enterprises, Inc. (Æ)		742		31
ESCO Technologies, Inc.		462		17
ExlService Holdings, Inc. (Æ)		1,180		29
Exponent, Inc. (Æ)		350		18
FARO Technologies, Inc. (Æ)		555		23
Forrester Research, Inc.		999		34
Forward Air Corp.		466		15
Franklin Electric Co., Inc.		353		18
Genesee & Wyoming, Inc. Class A (Æ)		593		31
Genpact, Ltd. (Æ)		1,986		33
Gorman-Rupp Co. (The)		582		17
HEICO Corp.		775		31
InnerWorkings, Inc. (Æ)		2,741		38
Knight Transportation, Inc.		1,804		29
Landstar System, Inc.		561		29
Lindsay Corp.		257		17
Liquidity Services, Inc. (Æ)		722		37
Littelfuse, Inc.		271		15
MAXIMUS, Inc.		429		22
Measurement Specialties, Inc. (Æ)		960		31
Middleby Corp. (Æ)		320		32
Mine Safety Appliances Co.		421		17
National Instruments Corp.		1,136		31
Old Dominion Freight Line, Inc. (Æ)		679		29
On Assignment, Inc. (Æ)		976		16
OSI Systems, Inc. (Æ)		528		33
RailAmerica, Inc. (Æ)		1,508		36
Raven Industries, Inc.		279		19
Regal-Beloit Corp.		260		16
Resources Connection, Inc.		1,209		15
Rollins, Inc.		798		18
RPX Corp. Class A (Æ)		1,909		27
Spirit Airlines, Inc. (Æ)		873		17
Sun Hydraulics Corp.		1,238		30
Team, Inc. (Æ)		1,047		33
TeleTech Holdings, Inc. (Æ)		1,055		17
Tennant Co.		736		29

34 Russell Small Cap Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Tetra Tech, Inc. (Æ)		647		17
Thermon Group Holdings, Inc. (Æ)		1,563		32
Toro Co. (The)		240		18
Triumph Group, Inc.		271		15
Watts Water Technologies, Inc. Class A		417		14
Werner Enterprises, Inc.		683		16
Woodward, Inc.		756		30
Zebra Technologies Corp. Class A (Æ)		414		14
				1,482
Technology - 20.8%
Actuate Corp. (Æ)		5,092		35
ADTRAN, Inc.		1,038		31
American Science & Engineering, Inc.		258		15
Blackbaud, Inc.		975		25
Ceva, Inc. (Æ)		1,427		25
Cognex Corp.		402		13
Coherent, Inc. (Æ)		295		13
Compuware Corp. (Æ)		1,858		17
Cymer, Inc. (Æ)		349		21
Diodes, Inc. (Æ)		1,372		26
DTS, Inc. (Æ)		1,058		28
Fabrinet (Æ)		959		12
FEI Co.		347		17
Hittite Microwave Corp. (Æ)		587		30
II-VI, Inc. (Æ)		1,371		23
Interactive Intelligence Group, Inc. (Æ)		1,061		30
IPG Photonics Corp. (Æ)		622		27
iRobot Corp. (Æ)		1,189		26
JDA Software Group, Inc. (Æ)		623		18
Manhattan Associates, Inc. (Æ)		364		17
Micrel, Inc.		3,156		30
Microsemi Corp. (Æ)		795		15
Monolithic Power Systems, Inc. (Æ)		1,646		33
Monotype Imaging Holdings, Inc. (Æ)		1,140		19
Multi-Fineline Electronix, Inc. (Æ)		631		16
NETGEAR, Inc. (Æ)		848		29
Netscout Systems, Inc. (Æ)		838		18
NeuStar, Inc. Class A (Æ)		458		15
NIC, Inc.		2,630		33
NVE Corp. (Æ)		603		32
OpenTable, Inc. (Æ)		790		36
Opnet Technologies, Inc.		1,103		29
Park Electrochemical Corp.		562		15
Power Integrations, Inc.		872		33
QLogic Corp. (Æ)		960		13
Quest Software, Inc. (Æ)		733		20
Responsys, Inc. (Æ)		2,704		33
Rofin-Sinar Technologies, Inc. (Æ)		646		12
Rogers Corp. (Æ)		823		33
Sapient Corp.		2,554		26
Semtech Corp. (Æ)		1,138		28
Silicon Laboratories, Inc. (Æ)		740		28
SS&C Technologies Holdings, Inc. (Æ)		728		18
Stratasys, Inc. (Æ)		884		43

	Principal Amount ($) or Shares			Market Value $
Super Micro Computer, Inc. (Æ)		1,853			29
Synaptics, Inc. (Æ)		888			25
Synchronoss Technologies, Inc. (Æ)		1,015			19
Syntel, Inc.		578			35
Tyler Technologies, Inc. (Æ)		842			34
Ultratech, Inc. (Æ)		1,104			35
VASCO Data Security International, Inc. (Æ)		3,003			25
ViaSat, Inc. (Æ)		354			13
Volterra Semiconductor Corp. (Æ)		941			22
					1,293
Utilities - 0.5%
8x8, Inc. (Æ)		7,560			32
Total Common Stocks (cost $6,018)					6,223
Short-Term Investments - 0.0%
Russell U.S. Cash Management Fund		3,000	(¥)		3
Total Short-Term Investments (cost $3)					3
Total Investments - 100.0% (identified cost $6,021)					6,226
Other Assets and Liabilities, Net - (0.0%)					(2	)
Net Assets - 100.0%					6,224

See accompanying notes which are an integral part of this quarterly report.

Russell Small Cap Consistent Growth ETF 35

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,312	$	—	$	—	$	1,312
Consumer Staples		266		—		—		266
Energy		245		—		—		245
Financial Services		490		—		—		490
Health Care		733		—		—		733
Materials and Processing		370		—		—		370
Producer Durables		1,482		—		—		1,482
Technology		1,293		—		—		1,293
Utilities		32		—		—		32
Short-Term Investments		—		3		—		3
Total Investments	$	6,223	$	3	$	—	$	6,226

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

36 Russell Small Cap Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 100.2%
Consumer Discretionary - 15.2%
American Greetings Corp. Class A		890		13
ANN, Inc. (Æ)		656		17
Ascena Retail Group, Inc. (Æ)		1,118		21
Biglari Holdings, Inc. (Æ)		45		17
Brinker International, Inc.		640		20
Carter’s, Inc. (Æ)		388		20
Cato Corp. (The) Class A		598		18
Chico’s FAS, Inc.		1,479		22
Children’s Place Retail Stores, Inc. (The) (Æ)		281		14
Churchill Downs, Inc.		317		19
Cinemark Holdings, Inc.		787		18
Clear Channel Outdoor Holdings, Inc. Class A (Æ)		1,363		8
DeVry, Inc.		452		14
Dorman Products, Inc. (Æ)		798		20
DR Horton, Inc.		1,285		24
Drew Industries, Inc. (Æ)		707		20
Ethan Allen Interiors, Inc.		754		15
Finish Line, Inc. (The) Class A		738		15
Foot Locker, Inc.		653		20
Fred’s, Inc. Class A		1,137		17
GameStop Corp. Class A		677		12
Helen of Troy, Ltd. (Æ)		513		17
Iconix Brand Group, Inc. (Æ)		878		15
Inter Parfums, Inc.		884		15
International Speedway Corp. Class A		633		17
Jack in the Box, Inc. (Æ)		747		21
JAKKS Pacific, Inc.		802		13
Jarden Corp.		495		21
John Wiley & Sons, Inc. Class A		324		16
Kirkland’s, Inc. (Æ)		1,235		14
Leggett & Platt, Inc.		697		15
Live Nation Entertainment, Inc. (Æ)		1,772		16
Matthews International Corp. Class A		470		15
Men’s Wearhouse, Inc. (The)		553		16
Meredith Corp.		537		17
New York Times Co. (The) Class A (Æ)		2,139		17
NVR, Inc. (Æ)		23		20
Oxford Industries, Inc.		406		18
Penske Automotive Group, Inc.		760		16
Pep Boys-Manny Moe & Jack (The)		1,355		13
Pier 1 Imports, Inc.		1,133		19
Regis Corp.		951		17
Ryland Group, Inc. (The)		1,019		27
Scholastic Corp.		568		16
Service Corp. International		1,494		18
Shoe Carnival, Inc.		970		21
Snap-on, Inc.		299		19
Stage Stores, Inc.		1,229		23
Steiner Leisure, Ltd. (Æ)		327		15
Stewart Enterprises, Inc. Class A		2,461		18
Texas Roadhouse, Inc. Class A		1,151		21
Toll Brothers, Inc. (Æ)		759		23
Tupperware Brands Corp.		263		14

	Principal Amount ($) or Shares		Market Value $
Vail Resorts, Inc.		344		17
WABCO Holdings, Inc. (Æ)		328		17
Warnaco Group, Inc. (The) (Æ)		308		13
Wolverine World Wide, Inc.		419		16
				990
Consumer Staples - 4.1%
Boston Beer Co., Inc. Class A (Æ)		156		19
Casey’s General Stores, Inc.		287		17
Constellation Brands, Inc. Class A (Æ)		800		22
Core-Mark Holding Co., Inc.		397		19
Flowers Foods, Inc.		774		18
Fresh Del Monte Produce, Inc.		620		15
Hain Celestial Group, Inc. (The) (Æ)		413		22
Harris Teeter Supermarkets, Inc.		391		16
J&J Snack Foods Corp.		295		17
Snyders-Lance, Inc.		729		18
Spartan Stores, Inc.		849		15
Tootsie Roll Industries, Inc.		654		16
TreeHouse Foods, Inc. (Æ)		236		15
United Natural Foods, Inc. (Æ)		400		22
WD-40 Co.		373		19
				270
Energy - 3.4%
Atwood Oceanics, Inc. (Æ)		373		14
Basic Energy Services, Inc. (Æ)		798		8
Dawson Geophysical Co. (Æ)		440		10
Energy Partners, Ltd. (Æ)		1,115		20
Energy XXI Bermuda, Ltd.		488		15
Helix Energy Solutions Group, Inc. (Æ)		863		14
Key Energy Services, Inc. (Æ)		996		8
Matrix Service Co. (Æ)		1,635		19
McMoRan Exploration Co. (Æ)		978		12
OYO Geospace Corp. (Æ)		169		15
Petroquest Energy, Inc. (Æ)		2,280		11
RPC, Inc.		1,199		14
SEACOR Holdings, Inc. (Æ)		177		16
Tesco Corp. (Æ)		1,156		14
Unit Corp. (Æ)		310		11
Vaalco Energy, Inc. (Æ)		2,447		22
				223
Financial Services - 15.7%
Advent Software, Inc. (Æ)		567		15
Allied World Assurance Co. Holdings AG		259		21
Alterra Capital Holdings, Ltd.		669		16
American Capital, Ltd. (Æ)		2,210		22
American Financial Group, Inc.		425		17
Ares Capital Corp.		984		16
Associated Banc-Corp.		1,473		19
Banner Corp.		952		21
BBCN Bancorp, Inc. (Æ)		1,630		18
BGC Partners, Inc. Class A		2,441		14
Boston Private Financial Holdings, Inc.		1,984		18
Brookline Bancorp, Inc.		1,904		17

Russell Small Cap Low P/E ETF 37

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Capitol Federal Financial, Inc.		1,353		16
Cash America International, Inc.		314		14
Cathay General Bancorp		1,110		18
Cohen & Steers, Inc.		565		19
Cousins Properties, Inc. (ö)		2,572		20
Credit Acceptance Corp. (Æ)		187		16
DuPont Fabros Technology, Inc. (ö)		684		20
Eaton Vance Corp.		642		17
Encore Capital Group, Inc. (Æ)		702		21
Euronet Worldwide, Inc. (Æ)		857		15
Ezcorp, Inc. Class A (Æ)		537		13
First Citizens BancShares, Inc. Class A (Æ)		91		15
First Financial Bancorp		964		15
First Potomac Realty Trust (ö)		1,203		14
FirstMerit Corp.		1,048		17
GFI Group, Inc.		3,676		13
Global Payments, Inc.		349		15
Heartland Payment Systems, Inc.		683		21
Hercules Technology Growth Capital, Inc.		1,628		18
Independent Bank Corp.		587		17
Infinity Property & Casualty Corp.		264		15
Jack Henry & Associates, Inc.		461		16
Main Street Capital Corp. Class A		790		19
Meadowbrook Insurance Group, Inc.		1,482		13
NASDAQ OMX Group, Inc. (The)		595		13
National Financial Partners Corp. (Æ)		1,110		15
Navigators Group, Inc. (The) (Æ)		328		16
NBT Bancorp, Inc.		720		16
Northwest Bancshares, Inc.		1,256		15
Old National Bancorp		1,364		16
Oritani Financial Corp.		1,186		17
PacWest Bancorp		820		19
Park National Corp.		251		18
Provident Financial Services, Inc.		1,170		18
RAIT Financial Trust (ö)		3,430		16
St. Joe Co. (The) (Æ)		1,065		17
StanCorp Financial Group, Inc.		434		16
Sterling Financial Corp. (Æ)		964		18
Susquehanna Bancshares, Inc.		1,948		20
TFS Financial Corp. (Æ)		1,654		16
TICC Capital Corp.		1,724		17
Total System Services, Inc.		769		18
Triangle Capital Corp.		845		19
TrustCo Bank Corp.		2,905		16
Waddell & Reed Financial, Inc. Class A		564		17
Washington Federal, Inc.		1,178		20
Wintrust Financial Corp.		552		20
Zions Bancorporation		959		19
				1,023
Health Care - 11.2%
Affymetrix, Inc. (Æ)		3,387		16
AMERIGROUP Corp. Class A (Æ)		268		18
AMN Healthcare Services, Inc. (Æ)		3,353		20
Amsurg Corp. Class A (Æ)		587		18
Analogic Corp.		273		17
AngioDynamics, Inc. (Æ)		1,034		12

	Principal Amount ($) or Shares		Market Value $
ArthroCare Corp. (Æ)		508		15
Bio-Rad Laboratories, Inc. Class A (Æ)		161		16
Chemed Corp.		286		17
CONMED Corp.		587		16
Cooper Cos., Inc. (The)		251		20
Covance, Inc. (Æ)		339		16
Greatbatch, Inc. (Æ)		692		16
Haemonetics Corp. (Æ)		260		19
Hanger Orthopedic Group, Inc. (Æ)		957		26
Health Net, Inc. (Æ)		492		12
ICU Medical, Inc. (Æ)		350		19
LifePoint Hospitals, Inc. (Æ)		390		16
Lincare Holdings, Inc.		646		22
Magellan Health Services, Inc. (Æ)		308		14
Medicis Pharmaceutical Corp. Class A		469		16
Merit Medical Systems, Inc. (Æ)		1,120		15
Molina Healthcare, Inc. (Æ)		701		16
Myriad Genetics, Inc. (Æ)		726		17
Orthofix International NV (Æ)		450		19
Owens & Minor, Inc.		492		15
PAREXEL International Corp. (Æ)		768		22
Patterson Cos., Inc.		507		17
PerkinElmer, Inc.		809		21
Prestige Brands Holdings, Inc. (Æ)		1,549		25
PSS World Medical, Inc. (Æ)		620		13
Qiagen NV (Æ)		1,027		17
Sciclone Pharmaceuticals, Inc. (Æ)		3,407		24
Sirona Dental Systems, Inc. (Æ)		341		15
STERIS Corp.		509		16
Symmetry Medical, Inc. (Æ)		1,955		17
Techne Corp.		227		17
Teleflex, Inc.		252		15
Thoratec Corp. (Æ)		503		17
Universal Health Services, Inc. Class B		381		16
VCA Antech, Inc. (Æ)		783		17
West Pharmaceutical Services, Inc.		400		20
				732
Materials and Processing - 12.1%
A Schulman, Inc.		746		15
Acuity Brands, Inc.		305		16
AMCOL International Corp.		456		13
Aptargroup, Inc.		304		16
Beacon Roofing Supply, Inc. (Æ)		784		20
Belden, Inc.		464		15
Bemis Co., Inc.		519		16
Calgon Carbon Corp. (Æ)		1,048		15
Coeur d’Alene Mines Corp. (Æ)		514		9
Comfort Systems USA, Inc.		1,468		15
Commercial Metals Co.		1,114		14
Compass Minerals International, Inc.		200		15
Cytec Industries, Inc.		327		19
Eagle Materials, Inc.		665		24
Encore Wire Corp.		595		16
Georgia Gulf Corp.		797		20
Gibraltar Industries, Inc. (Æ)		1,131		12
HB Fuller Co.		664		20

38 Russell Small Cap Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Innospec, Inc. (Æ)		527		16
Interface, Inc. Class A		1,341		18
Jaguar Mining, Inc. (Æ)		2,104		2
Kaiser Aluminum Corp.		329		17
KapStone Paper and Packaging Corp. (Æ)		929		15
LB Foster Co. Class A		527		15
Louisiana-Pacific Corp. (Æ)		1,919		21
LSB Industries, Inc. (Æ)		493		15
Martin Marietta Materials, Inc.		196		15
Minerals Technologies, Inc.		265		17
Mueller Industries, Inc.		402		17
Myers Industries, Inc.		1,254		22
Neenah Paper, Inc.		818		22
Packaging Corp. of America		589		17
PH Glatfelter Co.		1,056		17
PolyOne Corp.		1,421		19
Quaker Chemical Corp.		393		18
Reliance Steel & Aluminum Co.		312		16
RPM International, Inc.		653		18
Sensient Technologies Corp.		405		15
Silgan Holdings, Inc.		394		17
Simpson Manufacturing Co., Inc.		464		14
Sonoco Products Co.		471		14
Stepan Co.		189		18
Tredegar Corp.		689		10
Universal Stainless & Alloy (Æ)		408		17
Valmont Industries, Inc.		181		22
Wausau Paper Corp.		1,997		19
Worthington Industries, Inc.		870		18
Zoltek Cos., Inc. (Æ)		1,869		17
				788
Producer Durables - 18.9%
ABM Industries, Inc.		709		14
Actuant Corp. Class A		672		18
AECOM Technology Corp. (Æ)		730		12
Alaska Air Group, Inc. (Æ)		437		16
Allegiant Travel Co. Class A (Æ)		294		20
Altra Holdings, Inc.		863		14
Applied Industrial Technologies, Inc.		443		16
Astec Industries, Inc. (Æ)		467		14
AZZ, Inc.		362		22
BE Aerospace, Inc. (Æ)		396		17
Brady Corp. Class A		512		14
Briggs & Stratton Corp.		1,023		18
Brink’s Co. (The)		632		15
Bristow Group, Inc.		338		14
Carlisle Cos., Inc.		344		18
Cascade Corp.		352		17
Cintas Corp.		507		20
Consolidated Graphics, Inc. (Æ)		295		9
Convergys Corp.		1,185		18
Copa Holdings SA Class A		238		20
Corrections Corp. of America		734		22
Covanta Holding Corp.		1,026		18
Curtiss-Wright Corp.		472		15
Electronics for Imaging, Inc. (Æ)		1,041		17

	Principal Amount ($) or Shares		Market Value $
EMCOR Group, Inc.		597		17
EnerSys (Æ)		640		23
Ennis, Inc.		1,049		16
EnPro Industries, Inc. (Æ)		459		17
Forward Air Corp.		472		15
Franklin Electric Co., Inc.		330		17
FTI Consulting, Inc. (Æ)		351		10
G&K Services, Inc. Class A		514		16
Genpact, Ltd. (Æ)		983		16
Granite Construction, Inc.		620		16
Great Lakes Dredge & Dock Corp.		2,548		18
Greenbrier Cos., Inc. (Æ)		705		12
Harsco Corp.		734		15
Heartland Express, Inc.		1,113		16
Heidrick & Struggles International, Inc.		734		13
HNI Corp.		578		15
Hub Group, Inc. Class A (Æ)		518		19
ICF International, Inc. (Æ)		592		14
Kadant, Inc. (Æ)		755		18
Kelly Services, Inc. Class A		1,044		13
Kennametal, Inc.		408		14
Korn/Ferry International (Æ)		929		13
Lindsay Corp.		272		18
MasTec, Inc. (Æ)		956		14
MAXIMUS, Inc.		368		19
Measurement Specialties, Inc. (Æ)		537		17
Moog, Inc. Class A (Æ)		372		15
Navigant Consulting, Inc. (Æ)		1,368		17
Old Dominion Freight Line, Inc. (Æ)		397		17
Pentair, Inc.		403		15
Regal-Beloit Corp.		293		18
RR Donnelley & Sons Co.		1,041		12
Rush Enterprises, Inc. Class A (Æ)		799		13
Ryder System, Inc.		288		10
SPX Corp.		242		16
Standex International Corp.		480		20
Steelcase, Inc. Class A		1,965		18
Sykes Enterprises, Inc. (Æ)		941		15
Teledyne Technologies, Inc. (Æ)		271		17
TeleTech Holdings, Inc. (Æ)		859		14
Tetra Tech, Inc. (Æ)		689		18
Textainer Group Holdings, Ltd.		569		21
Towers Watson & Co. Class A		235		14
Trinity Industries, Inc.		537		13
Triumph Group, Inc.		257		14
Tutor Perini Corp. (Æ)		949		12
UniFirst Corp.		265		17
United Stationers, Inc.		466		13
URS Corp.		424		15
Waste Connections, Inc.		467		14
Watts Water Technologies, Inc. Class A		396		13
Werner Enterprises, Inc.		663		16
WESCO International, Inc. (Æ)		301		17
Zebra Technologies Corp. Class A (Æ)		404		14
				1,237

Russell Small Cap Low P/E ETF 39

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Technology - 12.8%
AboveNet, Inc. (Æ)		257		22
Acacia Research Corp. (Æ)		440		16
ACI Worldwide, Inc. (Æ)		512		23
ADTRAN, Inc.		458		14
Anaren, Inc. (Æ)		915		18
Anixter International, Inc.		251		13
Arris Group, Inc. (Æ)		1,434		20
ATMI, Inc. (Æ)		732		15
Benchmark Electronics, Inc. (Æ)		1,108		15
Brightpoint, Inc. (Æ)		1,506		8
Brocade Communications Systems, Inc. (Æ)		2,849		14
Brooks Automation, Inc.		1,615		15
CACI International, Inc. Class A (Æ)		277		15
Compuware Corp. (Æ)		1,860		17
Comtech Telecommunications Corp.		505		14
CSG Systems International, Inc. (Æ)		1,009		17
DealerTrack Holdings, Inc. (Æ)		591		18
Extreme Networks (Æ)		5,117		18
GSI Group, Inc. (Æ)		1,389		16
Harmonic, Inc. (Æ)		2,912		12
II-VI, Inc. (Æ)		783		13
Ingram Micro, Inc. Class A (Æ)		850		15
Insight Enterprises, Inc. (Æ)		1,051		18
Integrated Silicon Solution, Inc. (Æ)		1,653		17
Intersil Corp. Class A		1,440		15
JDA Software Group, Inc. (Æ)		495		15
JDS Uniphase Corp. (Æ)		1,404		15
Kulicke & Soffa Industries, Inc. (Æ)		1,682		15
LeCroy Corp. (Æ)		1,692		24
LSI Corp. (Æ)		2,720		17
Mentor Graphics Corp. (Æ)		1,210		18
Micrel, Inc.		1,472		14
Microsemi Corp. (Æ)		868		16
Molex, Inc.		619		15
Monotype Imaging Holdings, Inc. (Æ)		1,050		18
Multi-Fineline Electronix, Inc. (Æ)		736		18
NCR Corp. (Æ)		881		20
Netgear, Inc. (Æ)		398		14
Plantronics, Inc.		439		15
Plexus Corp. (Æ)		564		16
Progress Software Corp. (Æ)		752		16
QLogic Corp. (Æ)		1,026		14
RF Micro Devices, Inc. (Æ)		2,415		10
Rogers Corp. (Æ)		386		15
Sanmina-SCI Corp. (Æ)		1,808		15
ScanSource, Inc. (Æ)		437		13
Solera Holdings, Inc.		329		14
Super Micro Computer, Inc. (Æ)		1,126		18
Synaptics, Inc. (Æ)		472		14
SYNNEX Corp. (Æ)		524		18
VASCO Data Security International, Inc. (Æ)		1,796		15
Websense, Inc. (Æ)		851		16
Xyratex, Ltd.		1,131		13
				839

	Principal Amount ($) or Shares			Market Value $
Utilities - 6.8%
AGL Resources, Inc.		598			22
ALLETE, Inc.		391			16
Aqua America, Inc.		699			17
Atlantic Tele-Network, Inc.		372			13
Atmos Energy Corp.		455			16
Black Hills Corp.		467			15
California Water Service Group		831			15
CH Energy Group, Inc.		274			18
Chesapeake Utilities Corp.		356			16
Empire District Electric Co. (The)		720			15
Great Plains Energy, Inc.		728			16
Hawaiian Electric Industries, Inc.		591			17
IDT Corp. Class B		1,204			12
j2 Global, Inc.		575			15
Laclede Group, Inc. (The)		388			15
Northwest Natural Gas Co.		331			16
NorthWestern Corp.		439			16
NV Energy, Inc.		998			18
Otter Tail Corp.		706			16
Piedmont Natural Gas Co., Inc.		473			15
Premiere Global Services, Inc. (Æ)		1,851			16
South Jersey Industries, Inc.		278			14
Southwest Gas Corp.		379			17
UGI Corp.		511			15
UIL Holdings Corp.		447			16
Vectren Corp.		526			16
Westar Energy, Inc.		554			17
WGL Holdings, Inc.		364			14
					444
Total Common Stocks (cost $6,007)					6,546
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		6,265	(¥)		6
Total Short-Term Investments
(cost $6)					6
Total Investments - 100.3% (identified cost $6,013)					6,552
Other Assets and Liabilities, Net - (0.3%)					(21	)
Net Assets - 100.0%					6,531

See accompanying notes which are an integral part of this quarterly report.

40 Russell Small Cap Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	990	$	—	$	—	$	990
Consumer Staples		270		—		—		270
Energy		223		—		—		223
Financial Services		1,023		—		—		1,023
Health Care		732		—		—		732
Materials and Processing		788		—		—		788
Producer Durables		1,237		—		—		1,237
Technology		839		—		—		839
Utilities		444		—		—		444
Short-Term Investments		—		6		—		6
Total Investments	$	6,546	$	6	$	—	$	6,552

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

See accompanying notes which are an integral part of this quarterly report.

Russell Small Cap Low P/E ETF 41

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Schedule of Investments — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 13.7%
American Eagle Outfitters, Inc.		1,927		38
American Greetings Corp. Class A		1,592		23
Brown Shoe Co., Inc.		3,224		42
Citi Trends, Inc. (Æ)		3,027		46
Collective Brands, Inc. (Æ)		1,923		41
Corinthian Colleges, Inc. (Æ)		10,332		30
Dolan Co. (The) (Æ)		2,980		20
DreamWorks Animation SKG, Inc. Class A (Æ)		1,444		28
Drew Industries, Inc. (Æ)		1,234		34
Fred’s, Inc. Class A		1,995		31
Fuel Systems Solutions, Inc. (Æ)		1,508		25
GameStop Corp. Class A		1,159		21
Harte-Hanks, Inc.		2,972		27
Helen of Troy, Ltd. (Æ)		896		30
International Speedway Corp. Class A		1,100		29
PF Chang’s China Bistro, Inc.		885		46
RadioShack Corp.		2,335		9
Regis Corp.		1,668		30
Rent-A-Center, Inc. Class A		743		25
Scientific Games Corp. Class A (Æ)		3,161		27
Service Corp. International		2,612		32
Skechers U.S.A., Inc. Class A (Æ)		1,993		41
Stewart Enterprises, Inc. Class A		4,309		31
Superior Industries International, Inc.		1,661		27
Thor Industries, Inc.		1,118		31
Vail Resorts, Inc.		601		30
Viad Corp.		1,442		29
Washington Post Co. (The) Class B		75		28
WMS Industries, Inc. (Æ)		1,297		26
				877
Consumer Staples - 3.4%
Cal-Maine Foods, Inc.		790		31
Core-Mark Holding Co., Inc.		696		34
Diamond Foods, Inc.		975		17
Fresh Del Monte Produce, Inc.		1,078		25
Harris Teeter Supermarkets, Inc.		671		28
Nash Finch Co.		975		21
Pantry, Inc. (The) (Æ)		2,163		32
Spartan Stores, Inc.		1,500		27
				215
Energy - 2.4%
Basic Energy Services, Inc. (Æ)		1,423		15
Bill Barrett Corp. (Æ)		687		15
Cal Dive International, Inc. (Æ)		11,509		33
Dawson Geophysical Co. (Æ)		775		18
SEACOR Holdings, Inc. (Æ)		313		28
Tesco Corp. (Æ)		2,041		24
Unit Corp. (Æ)		530		20
				153

	Principal Amount ($) or Shares		Market Value $
Financial Services - 24.7%
Allied World Assurance Co. Holdings AG		450		36
American Equity Investment Life Holding Co.		2,423		27
American Financial Group, Inc.		743		29
Anworth Mortgage Asset Corp. (ö)		4,227		30
Argo Group International Holdings, Ltd.		923		27
Aspen Insurance Holdings, Ltd.		1,020		29
Associated Banc-Corp.		2,601		34
Astoria Financial Corp.		3,554		35
BancorpSouth, Inc.		2,736		41
BBCN Bancorp, Inc. (Æ)		2,902		32
BGC Partners, Inc. Class A		4,300		25
BlackRock Kelso Capital Corp.		3,076		30
Capstead Mortgage Corp. (ö)		2,151		30
City National Corp.		641		31
Dime Community Bancshares, Inc.		2,261		30
Dynex Capital, Inc. (ö)		3,008		31
East West Bancorp, Inc.		1,368		32
Endurance Specialty Holdings, Ltd.		740		28
Euronet Worldwide, Inc. (Æ)		1,511		26
Fidelity National Financial, Inc. Class A		1,704		33
First Citizens BancShares, Inc. Class A (Æ)		156		26
First Commonwealth Financial Corp.		5,765		39
First Niagara Financial Group, Inc.		3,046		23
Flagstone Reinsurance Holdings SA		3,307		26
GFI Group, Inc.		6,365		23
Glacier Bancorp, Inc.		2,252		35
Hercules Technology Growth Capital, Inc.		2,866		33
Horace Mann Educators Corp.		2,196		38
Hudson City Bancorp, Inc.		4,788		30
Iberiabank Corp.		543		27
Infinity Property & Casualty Corp.		467		27
Investment Technology Group, Inc. (Æ)		2,540		23
Jefferies Group, Inc.		2,348		31
KBW, Inc.		1,985		33
Kemper Corp.		982		30
Knight Capital Group, Inc. Class A (Æ)		2,122		25
MB Financial, Inc.		1,593		34
Montpelier Re Holdings, Ltd.		1,589		34
NASDAQ OMX Group, Inc. (The)		1,021		23
Navigators Group, Inc. (The) (Æ)		573		29
Park National Corp.		444		31
Piper Jaffray Cos. (Æ)		1,293		30
Platinum Underwriters Holdings, Ltd.		777		30
Provident Financial Services, Inc.		2,067		32
Safety Insurance Group, Inc.		641		26
Selective Insurance Group, Inc.		1,629		28
Susquehanna Bancshares, Inc.		3,416		35
TCF Financial Corp.		2,689		31
Umpqua Holdings Corp.		2,164		28
Validus Holdings, Ltd.		889		28
Washington Federal, Inc.		2,079		35
Wintrust Financial Corp.		973		35
				1,574

42 Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Health Care - 7.7%
Almost Family, Inc. (Æ)		1,807		40
Community Health Systems, Inc. (Æ)		1,348		38
CONMED Corp.		1,035		29
Greatbatch, Inc. (Æ)		1,212		28
Hanger Orthopedic Group, Inc. (Æ)		1,676		43
Kindred Healthcare, Inc. (Æ)		2,162		21
Magellan Health Services, Inc. (Æ)		529		24
Molina Healthcare, Inc. (Æ)		1,238		29
Natus Medical, Inc. (Æ)		3,210		37
Owens & Minor, Inc.		868		27
PerkinElmer, Inc.		1,430		37
Prestige Brands Holdings, Inc. (Æ)		2,747		43
Symmetry Medical, Inc. (Æ)		3,455		30
Triple-S Management Corp. Class B (Æ)		1,389		25
Wright Medical Group, Inc. (Æ)		1,826		39
				490
Materials and Processing - 9.4%
A Schulman, Inc.		1,298		26
Apogee Enterprises, Inc.		2,530		40
Beacon Roofing Supply, Inc. (Æ)		1,372		35
Cabot Corp.		815		33
Comfort Systems USA, Inc.		2,561		26
Commercial Metals Co.		1,935		24
Cytec Industries, Inc.		576		34
Encore Wire Corp.		1,044		28
HB Fuller Co.		1,173		36
Interline Brands, Inc. (Æ)		1,714		42
Minerals Technologies, Inc.		469		30
Mueller Industries, Inc.		713		30
OM Group, Inc. (Æ)		1,178		22
PH Glatfelter Co.		1,866		31
Quanex Building Products Corp.		1,775		32
Schnitzer Steel Industries, Inc. Class A		577		16
Sealed Air Corp.		1,543		24
Tredegar Corp.		1,239		18
Universal Forest Products, Inc.		963		38
Wausau Paper Corp.		3,468		34
				599
Producer Durables - 18.0%
ABM Industries, Inc.		1,234		24
AECOM Technology Corp. (Æ)		1,250		21
Albany International Corp. Class A		1,105		21
Alexander & Baldwin Holdings, Inc.		717		38
Brady Corp. Class A		903		25
Brink’s Co. (The)		1,099		25
Bristow Group, Inc.		582		24
Ceradyne, Inc.		901		23
CIRCOR International, Inc.		832		28
Convergys Corp.		2,094		31
EMCOR Group, Inc.		1,055		29
EnergySolutions, Inc. (Æ)		8,499		14
EnPro Industries, Inc. (Æ)		808		30
G&K Services, Inc. Class A		910		28

	Principal Amount ($) or Shares		Market Value $
Genco Shipping & Trading, Ltd. (Æ)		3,536		11
General Cable Corp. (Æ)		1,026		27
Granite Construction, Inc.		1,086		28
Great Lakes Dredge & Dock Corp.		4,496		32
H&E Equipment Services, Inc. (Æ)		2,137		32
Harsco Corp.		1,311		27
Heidrick & Struggles International, Inc.		1,270		22
ICF International, Inc. (Æ)		1,043		25
Kadant, Inc. (Æ)		1,310		31
Kelly Services, Inc. Class A		1,851		24
Korn/Ferry International (Æ)		1,592		23
Layne Christensen Co. (Æ)		1,071		22
Metalico, Inc. (Æ)		7,664		17
Mobile Mini, Inc. (Æ)		1,486		21
MYR Group, Inc. (Æ)		1,542		26
Orbital Sciences Corp. (Æ)		1,805		23
Orion Marine Group, Inc. (Æ)		4,453		31
Powell Industries, Inc. (Æ)		883		33
Republic Airways Holdings, Inc. (Æ)		7,063		40
RR Donnelley & Sons Co.		1,784		21
Rush Enterprises, Inc. Class A (Æ)		1,412		23
Ryder System, Inc.		518		19
SkyWest, Inc.		2,213		14
SPX Corp.		422		28
Sykes Enterprises, Inc. (Æ)		1,645		26
Teekay Tankers, Ltd. Class A		7,149		33
Tetra Tech, Inc. (Æ)		1,196		31
Trinity Industries, Inc.		946		24
Tutor Perini Corp. (Æ)		1,625		21
URS Corp.		752		26
Werner Enterprises, Inc.		1,144		27
				1,149
Technology - 8.8%
Acxiom Corp. (Æ)		2,175		33
Anaren, Inc. (Æ)		1,600		31
Arris Group, Inc. (Æ)		2,531		36
AVX Corp.		2,091		22
Benchmark Electronics, Inc. (Æ)		1,959		27
Brocade Communications Systems, Inc. (Æ)		5,028		25
CACI International, Inc. Class A (Æ)		483		27
Checkpoint Systems, Inc. (Æ)		2,219		19
Comtech Telecommunications Corp.		885		25
CSG Systems International, Inc. (Æ)		1,783		31
Digital River, Inc. (Æ)		1,702		28
EarthLink, Inc.		4,294		32
Harmonic, Inc. (Æ)		4,991		21
Ingram Micro, Inc. Class A (Æ)		1,502		26
International Rectifier Corp. (Æ)		1,275		25
Multi-Fineline Electronix, Inc. (Æ)		1,293		32
Plexus Corp. (Æ)		996		28
Sigma Designs, Inc. (Æ)		3,845		25
TeleCommunication Systems, Inc. Class A (Æ)		9,964		12

Russell Small Cap Contrarian ETF 43

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Schedule of Investments, continued — June 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
TriQuint Semiconductor, Inc. (Æ)		6,236			35
United Online, Inc.		5,124			22
					562
Utilities - 11.7%
AGL Resources, Inc.		656			25
ALLETE, Inc.		679			28
Atlantic Tele-Network, Inc.		648			22
Atmos Energy Corp.		791			28
Avista Corp.		1,082			29
Black Hills Corp.		826			27
CH Energy Group, Inc.		482			31
Chesapeake Utilities Corp.		624			27
Cleco Corp.		741			31
El Paso Electric Co.		776			26
Empire District Electric Co. (The)		1,285			27
Energen Corp.		529			24
Great Plains Energy, Inc.		1,286			28
Hawaiian Electric Industries, Inc.		1,033			29
Laclede Group, Inc. (The)		668			27
NorthWestern Corp.		775			28
NV Energy, Inc.		1,763			31
Ormat Technologies, Inc.		1,410			30
Otter Tail Corp.		1,248			29
Portland General Electric Co.		1,080			29
Southwest Gas Corp.		669			29
UGI Corp.		903			27
UIL Holdings Corp.		767			28
UNS Energy Corp.		725			28
US Cellular Corp. (Æ)		613			24
Vectren Corp.		929			27
Westar Energy, Inc.		979			29
					748
Total Common Stocks (cost $5,783)					6,367
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		5,005	(¥)		5
Total Short-Term Investments (cost $5)					5
Total Investments - 99.9% (identified cost $5,788)					6,372
Other Assets and Liabilities, Net - 0.1%					4
Net Assets - 100.0%					6,376

See accompanying notes which are an integral part of this quarterly report.

44 Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Presentation of Portfolio Holdings — June 30, 2012 (Unaudited)

Amounts in thousands

	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	877	$	—	$	—	$	877
Consumer Staples		215		—		—		215
Energy		153		—		—		153
Financial Services		1,574		—		—		1,574
Health Care		490		—		—		490
Materials and Processing		599		—		—		599
Producer Durables		1,149		—		—		1,149
Technology		562		—		—		562
Utilities		748		—		—		748
Short-Term Investments		—		5		—		5
Total Investments	$	6,367	$	5	$	—	$	6,372

For a description of the levels see note 2 in the Notes to Quarterly Report.

There were no significant transfers in and out of Levels 1, 2 and 3 during the period ended June 30, 2012.

Russell Small Cap Contrarian ETF 45

See accompanying notes which are an integral part of this quarterly report.

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Schedules of Investments — June 30, 2012 (Unaudited)

Footnotes:

(Æ) Nonincome-producing security.

(ö) Real Estate Investment Trust (REIT).

(¥) Unrounded units.

± Less than 500.

Abbreviations:

ADR - American Depositary Receipt

46 Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Quarterly Report — June 30, 2012 (Unaudited)

1. Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET”) is a series investment company comprised of 26 different investment portfolios that were in operation as of June 30, 2012. This Quarterly Report reports on 10 of these Funds (each a “Fund” and collectively, the “Funds”). The Investment Company is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. It is organized and operated as a Delaware statutory trust under an Amended and Restated Agreement and Declaration of Trust dated August 31, 2011 (“Master Trust Agreement”). The Investment Company’s Master Trust Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of shares of beneficial interest.

Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. The investment objective of the Funds is to seek investment results that correspond generally to the price and yield performance, before fees and expenses, of its underlying index. The investment adviser uses a “passive” or index approach to try to achieve each Fund’s investment objective.

Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of a Fund may be directly purchased from and redeemed by a Fund at NAV solely by certain large institutional investors. Also unlike shares of a mutual fund, shares of each Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day. The date the shares began trading on the secondary market is the “commencement of operations” date.

The Funds issue and redeem shares at their respective NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from a Fund.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of this Quarterly Report. These policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) for investment companies. The presentation of these schedules of investments in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the Quarterly Report. Actual results could differ from those estimates.

Security Valuation

The Funds value portfolio securities according to Board-approved securities valuation procedures which include market and fair value procedures. The Board has delegated the responsibility for administration of the securities valuation procedures to Russell Funds Services Company (“RFSC”).

U.S. GAAP defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but are 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 non-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 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

Notes to Quarterly Report 47

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Common stocks and exchange traded funds that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Investments in other mutual funds (including unregistered collective vehicles) are valued at their net asset value per share, and are categorized as Level 2 of the fair value hierarchy.

Events or circumstances affecting the values of Fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of Fund shares is determined may be reflected in the calculation of NAVs for each applicable Fund when the Funds deem that the particular event or circumstance would materially affect such Fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Examples of events that could trigger fair value pricing of one or more securities are: a company development; a natural disaster; or an armed conflict.

Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

The NAV of a Fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem fund shares, since foreign securities can trade on non-business days.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes). When RFSC applies fair valuation methods that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund, if considered material.

In 2011, the Financial Accounting Standards Board (“FASB”) issued an update to requirements relating to fair valuation measurements which represent amendments to achieve common fair value measurements and disclosure requirements in U.S. GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurements and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. Management does not believe the adoption of this update will have a material impact on the Funds’ financial statements.

48 Notes to Quarterly Report

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

Investment Transactions

Investment transactions are reflected as of the trade date for financial reporting purposes. This may cause the NAV stated in the financial statements to be different from the NAV at which shareholders may transact. Realized gains and losses from securities transactions, if any, are recorded on the basis of specific identified cost.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date.

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to a transaction to perform (credit risk). Similar to the credit risk, the Funds may also be exposed to counterparty risk or risk that an institution or other entity with which the Funds have unsettled or open transactions will default. The potential loss could exceed the value of the relevant assets recorded in the Funds’ financial statements (the “Assets”). The Assets, which potentially expose the Funds to credit risk, consist principally of cash due from counterparties and investments. The extent of the Funds’ exposure to credit and counterparty risks with respect to the Assets approximates their carrying value as recorded in the Funds’ Statements of Assets and Liabilities.

ETF Specific Risk

The Funds are managed with a passive investment strategy, attempting to track the performance of an unmanaged index of securities. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the Funds may hold constituent securities of the Index regardless of the current or projected performance of a specific security or a particular industry, market sector, country or currency. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause the Funds’ return to be lower or higher than if the Fund employed an active strategy.

3. Related Party Transactions

Russell Investment Management Company (“RIMCo”) advises the Funds and RFSC is the Funds’ administrator. RFSC is a wholly-owned subsidiary of RIMCo. RIMCo is a wholly-owned subsidiary of Frank Russell Company (a subsidiary of The Northwestern Mutual Life Insurance Company). Frank Russell Company provides ongoing money manager research and trade placement services to RET and RIMCo.

The Funds may also invest their cash reserves (the “Cash Balances”) in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of June 30, 2012, the Funds presented herein have invested $99,548 in the Russell U.S. Cash Management Fund.

Concentration of Secondary Market Shareholder Interests

As of June 30, 2012, the Russell Equity I Fund, a Russell Trust Company Fund and a related party to the Funds, holds investments in the secondary market of the following fund and amounts:

Fund	$
Russell Growth at a Reasonable Price ETF		10,039,737
Russell Consistent Growth ETF		25,374,654
Russell Equity Income ETF		44,814,461

Such concentration of shareholder interests could have a material impact on the Funds.

Notes to Quarterly Report 49

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Quarterly Report, continued — June 30, 2012 (Unaudited)

4. Federal Income Taxes

At June 30, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:

	Russell Aggressive Growth ETF			Russell Consistent Growth ETF			Russell Growth at a Reasonable Price ETF			Russell Contrarian ETF			Russell Equity Income ETF
Cost of Investments	$	4,832,719		$	30,275,205		$	15,341,855		$	4,651,989		$	47,032,855
Unrealized Appreciation	$	492,421		$	1,654,356		$	495,082		$	337,328		$	3,902,269
Unrealized Depreciation		(310,963	)		(904,192	)		(866,118	)		(491,918	)		(828,602	)
Net Unrealized Appreciation (Depreciation)	$	181,458		$	750,164		$	(371,036	)	$	(154,590	)	$	3,073,667
	Russell Low P/E ETF			Russell Small Cap Aggressive Growth ETF			Russell Small Cap Consistent Growth ETF			Russell Small Cap Low P/E ETF			Russell Small Cap Contrarian ETF
Cost of Investments	$	5,008,252		$	6,039,755		$	6,021,764		$	6,014,079		$	5,789,590
Unrealized Appreciation	$	224,867		$	636,762		$	570,266		$	748,069		$	877,521
Unrealized Depreciation		(555,463	)		(446,436	)		(366,295	)		(210,276	)		(295,204	)
Net Unrealized Appreciation (Depreciation)	$	(330,596	)	$	190,326		$	203,971		$	537,793		$	582,317

5. Restricted Securities

Restricted securities are subject to contractual limitations on resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933, as amended (the “Act”). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act.

A Fund may invest a portion of its net assets not to exceed 15% in securities that are illiquid. This limitation is applied at the time of purchase. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

As of June 30, 2012, there were no restricted securities held by a fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.

6. Subsequent Events

Management has evaluated events or transactions that may have occurred since June 30, 2012, through the date the Quarterly Report was issued, that would merit recognition or additional disclosure in the Quarterly Report. During this review, nothing was discovered, except for the following, which would require disclosure within the Quarterly Report.

On August 16, 2012, the Board of Trustees of Russell Exchange Traded Funds Trust (the “Trust”), has approved an orderly liquidation of 25 of the 26 different investment portfolios referred to as the Funds. They are; of Russell 1000 Low Beta ETF, Russell 1000 High Beta ETF, Russell 1000 Low Volatility ETF, Russell 1000 High Volatility ETF, Russell 1000 High Momentum ETF, Russell 2000 Low Beta ETF, Russell 2000 High Beta ETF, Russell 2000 Low Volatility ETF, Russell 2000 High Volatility ETF, Russell 2000 High Momentum ETF, Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF, Russell Developed ex-U.S. High Momentum ETF, Russell Aggressive Growth ETF, Russell Consistent Growth ETF, Russell Growth at a Reasonable Price ETF, Russell Contrarian ETF, Russell Equity Income ETF, Russell Low P/E ETF, Russell Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF, Russell Small Cap Contrarian ETF, Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF, each series of the Trust (collectively, the “Funds”). The Funds’ Board of Trustees determined that closing and liquidating each Fund was in the best interests of the Fund and its shareholders.

50 Notes to Quarterly Report

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Shareholder Requests for Additional Information – June 30, 2012 (Unaudited)

A complete unaudited schedule of investments is made available generally no later than 60 days after the end of the first and third quarters of each year. These reports are available (i) free of charge, upon request, by calling the Funds at (888) 775-7837, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, and (iii) at the Securities and Exchange Commission’s public reference room.

The Board has delegated to RIMCo, as RET’s investment adviser, the primary responsibility for monitoring, evaluating and voting proxies solicited by or with respect to issuers of securities in which assets of the Funds may be invested. RIMCo has established a proxy voting committee (“Committee”) and has adopted written proxy voting policies and procedures (“P&P”) and proxy voting guidelines (“Guidelines”). The Funds maintain a Portfolio Holdings Disclosure Policy that governs the timing and circumstances of disclosure to shareholders and third parties of information regarding the portfolio investments held by the Funds. A description of the P&P, Guidelines, Portfolio Holdings Disclosure Policy and additional information about Fund Trustees are contained in the Funds’ Statement of Additional Information (“SAI”). The SAI is available (i) free of charge, upon request, by calling the Funds at (888) 775-3837, (ii) at www.russelletfs.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

To reduce expenses, we may mail only one copy of the Funds’ prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copes of these documents, please contact your financial institution.

Some Financial Intermediaries may offer electronic delivery of the Funds’ prospectus and annual and semi-annual reports. Please contact your Financial Intermediary for further details.

Shareholder Requests for Additional Information 51

Russell Exchange Traded Funds Trust	1301 Second Avenue	888-775-3837
	Seattle, Washington 98101	www.russelletfs.com

Item 2. Controls and Procedures

(a) Registrant’s principal executive officer and principal financial officer have concluded that Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rule 13a-15(b) or 15d-15(b) under the Exchange Act as of a date within 90 days of the date this report is filed with the Securities and Exchange Commission.

(b) There were no material changes in Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3. Exhibits

(a) Certification for principal executive officer of Registrant as required by Rule 30a-2(a) under the Act and certification for principal financial officer of Registrant as required by Rule 30a-2(a) under the Act.

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.

Russell Exchange Traded Funds Trust

By:	/s/ James G. Polisson
	James G. Polisson   Principal Executive Officer and Chief Executive Officer

Date:    August 29, 2012

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/ James G. Polisson
	James G. Polisson   Principal Executive Officer and Chief Executive Officer

Date:    August 29, 2012

By:	/s/ Mark E. Swanson
	Mark E. Swanson   Principal Financial Officer, Principal Accounting Officer and Treasurer

Date:    August 29, 2012