N-Q 1 nqext93012.txt USAA EXTENDED MARKET INDEX FUND, 9-30-2012 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number: 811-7852 Exact Name of Registrant as Specified in Charter: USAA MUTUAL FUNDS TRUST Address of Principal Executive Offices and Zip Code: 9800 FREDERICKSBURG ROAD SAN ANTONIO, TX 78288 Name and Address of Agent for Service: ADYM W. RYGMYR USAA MUTUAL FUNDS TRUST 9800 FREDERICKSBURG ROAD SAN ANTONIO, TX 78288 Registrant's Telephone Number, Including Area Code: (210) 498-0226 Date of Fiscal Year End: DECEMBER 31 Date of Reporting Period: SEPTEMBER 30, 2012 ITEM 1. SCHEDULE OF INVESTMENTS. USAA MUTUAL FUNDS TRUST - 3RD QUARTER REPORT - PERIOD ENDED SEPTEMBER 30, 2012 [LOGO OF USAA] USAA(R) PORTFOLIO OF INVESTMENTS 3RD QUARTER USAA EXTENDED MARKET INDEX FUND SEPTEMBER 30, 2012 (Form N-Q) 48416-1112 (C)2012, USAA. All rights reserved. ================================================================================ PORTFOLIO OF INVESTMENTS September 30, 2012 (unaudited) USAA MUTUAL FUND, INC. (the Company), registered under the Investment Company Act of 1940 (the 1940 Act), as amended, is an open-end management investment company organized as a Delaware statutory trust consisting of 50 separate funds. The information presented in this quarterly report pertains only to the USAA Extended Market Index Fund (the Fund), which is classified as diversified under the 1940 Act. The Fund's primary investment objective is to seek to match, before fees and expenses, the performance of the U.S. stocks not included in the S&P 500 Index as represented by the Dow Jones U.S. Completion Total Stock Market Index. USAA Asset Management Company (the Manager), an affiliate of the Fund, attempts to achieve this objective by investing all of the Fund's investable assets in the Master Extended Market Index Series of the Quantitative Master Series, LLC (the Series), which is a separate open-end investment management company advised by BlackRock Advisors, LLC (BlackRock), with a substantially similar investment objective. FUND INVESTMENT -- At September 30, 2012, the Fund's investment in the Series was $389,607,000, at value, representing 99.99% of the Series. The Fund records its investment in the Series at fair value, which reflects its proportionate interest in the net assets of the Series. FAIR VALUE MEASUREMENTS -- Refer to the Schedule of Investments of the Series for a discussion of fair value measurements and a summary of the inputs used to value the Series' assets. The following is a summary of the inputs used to value the Fund's investment in the Series as of September 30, 2012:
Valuation Inputs Investment in the Series -------------------------------------------------------------------------------- Level 1 - Quoted Prices $- Level 2 - Other Significant Observable Inputs 389,607,000 Level 3 - Significant Unobservable Inputs - -------------------------------------------------------------------------------- TOTAL $389,607,000 --------------------------------------------------------------------------------
The Schedule of Investments of the Series follows. ================================================================================ USAA Extended Market Index Fund ================================================================================ Schedule of Investments MASTER EXTENDED MARKET INDEX SERIES September 30, 2012 (Unaudited) (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE -- 1.4% AAR Corp. 5,294 $ 86,927 Aerosonic Corp. (a) 200 618 AeroVironment, Inc. (a) 2,606 61,163 Alliant Techsystems, Inc. 4,261 213,519 Arotech Corp. (a) 4,742 4,268 Astronics Corp. (a) 1,424 43,859 Astrotech Corp. (a) 3,505 3,424 Aviation General, Inc. 1,200 -- BE Aerospace, Inc. (a) 13,896 585,021 Ceradyne, Inc. 3,072 75,049 CPI Aerostructures, Inc. (a) 1,392 15,089 Cubic Corp. 2,145 107,379 Curtiss-Wright Corp. 6,209 203,034 Ducommun, Inc. (a) 1,365 18,564 Esterline Technologies Corp. (a) 4,105 230,455 Exelis, Inc. 24,876 257,218 GenCorp, Inc. (a) 8,426 79,963 Heico Corp., Class A 6,056 184,768 Hexcel Corp. (a) 13,305 319,586 Huntington Ingalls Industries, Inc. (a) 6,621 278,413 Innovative Solutions & Support, Inc. (a) 2,908 11,574 Kratos Defense & Security Solutions, Inc. (a) 7,241 42,287 LMI Aerospace, Inc. (a) 1,409 28,800 Mantech International Corp., Class A 2,948 70,752 Moog, Inc., Class A (a) 5,964 225,857 Orbital Sciences Corp. (a) 7,828 113,976 RBC Bearings, Inc. (a) 2,999 144,252 Smith & Wesson Holding Corp. (a) 8,878 97,747 Spirit AeroSystems Holdings, Inc., Class A (a) 14,881 330,507 Sturm Ruger & Co., Inc. (b) 2,583 127,833 Taser International, Inc. (a) 7,804 47,058 Teledyne Technologies, Inc. (a)(b) 4,902 310,738 TransDigm Group, Inc. (a) 6,003 851,646 Triumph Group, Inc. 6,701 419,013 VSE Corp. 720 17,633 ------------ 5,607,990 ----------------------------------------------------------------------------------------------- ALTERNATIVE ENERGY -- 0.1% Amyris, Inc. (a)(b) 3,980 13,691 Ascent Solar Technologies, Inc. (a) 4,569 4,752 BioFuel Energy Corp. (a) 568 2,880 DayStar Technologies, Inc. (a) 334 484 FuelCell Energy, Inc. (a) 21,060 18,533 Green Plains Renewable Energy, Inc. (a) 3,197 18,734 GreenHunter Energy, Inc. (a)(b) 3,123 7,058 GT Advanced Technologies, Inc. (a)(b) 15,952 86,938 KiOR, Inc. Class A (a) 1,375 12,788 Ocean Power Technologies, Inc. (a) 1,816 5,303 Pacific Ethanol, Inc. (a) 4,744 1,850 Plug Power, Inc. (a)(b) 5,885 4,900 Rex American Resources Corp. (a) 909 16,371 Solazyme, Inc. (a) 5,255 60,327 STR Holdings, Inc. (a) 5,665 17,561 SunPower Corp. (a) 4,306 19,420 Verenium Corp. (a) 2,654 8,626 ------------ 300,216 ----------------------------------------------------------------------------------------------- AUTOMOBILES & PARTS -- 1.8% Allison Transmission Holdings, Inc. 4,102 82,532 American Axle & Manufacturing Holdings, Inc. (a) 9,197 103,650 Cooper Tire & Rubber Co. 8,276 158,734 Dana Holding Corp. 19,601 241,092 Dorman Products, Inc. (a) 3,626 114,255 Exide Technologies (a) 10,415 32,287 Federal-Mogul Corp., Class A (a) 2,419 22,134 Fuel Systems Solutions, Inc. (a) 1,979 34,019 General Motors Co. (a) 101,615 2,311,741 Gentex Corp. 19,171 326,099 Gentherm, Inc. (a) 4,113 51,166 Lear Corp. 13,155 497,128 LKQ Corp. (a) 39,474 730,269 LoJack Corp. (a) 3,917 8,813 Modine Manufacturing Co. (a) 6,139 45,306 Motorcar Parts of America, Inc. (a) 1,814 8,762 Quantum Fuel Systems Technologies Worldwide, Inc. (a) 2,934 2,318 Shiloh Industries, Inc. 848 9,515 Standard Motor Products, Inc. 2,650 48,813 Stoneridge, Inc. (a) 4,021 19,984 Strattec Security Corp. 500 10,645 Superior Industries International, Inc. 3,069 52,449 Tenneco, Inc. (a) 8,101 226,828 Tesla Motors, Inc. (a)(b) 8,968 262,583 Titan International, Inc. 5,777 102,022 TRW Automotive Holdings Corp. (a) 13,537 591,702 U.S. Auto Parts Network, Inc. (a) 3,164 10,947 Visteon Corp. (a) 6,992 310,864 WABCO Holdings, Inc. (a) 8,526 491,694 ------------ 6,908,351 ----------------------------------------------------------------------------------------------- BANKS -- 5.1% 1st Source Corp. 774 17,237 1st United Bancorp, Inc. (a) 4,861 31,353 Ameriana Bancorp 200 1,296 American National BankShares, Inc. 1,196 27,018 Ameris Bancorp (a) 3,662 46,105 Ames National Corp. 1,350 28,134 Arrow Financial Corp. 1,760 43,987 Associated Banc-Corp. 22,503 296,365 Astoria Financial Corp. 10,796 106,664 Atlantic Coast Financial Corp. (a) 451 884
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 1 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- BANKS (CONTINUED) Bancfirst Corp. 770 $ 33,079 Bancorp of New Jersey, Inc. 1,300 13,377 The Bancorp, Inc. (a) 4,490 46,112 BancorpSouth, Inc. 10,747 158,411 BancTrust Financial Group, Inc. (a) 3,128 9,415 Bank Mutual Corp. 6,240 28,392 Bank of Hawaii Corp. 6,015 274,404 Bank of Kentucky Financial Corp. 1,025 28,434 Bank of Marin Bancorp 803 34,136 Bank of the Ozarks, Inc. (c) 3,892 134,157 BankFinancial Corp. 2,716 23,874 BankUnited, Inc. 6,249 153,788 Banner Corp. 2,389 64,742 Bar Harbor Bankshares 824 29,450 BCB Bancorp, Inc. 2,031 21,813 Beneficial Mutual Bancorp, Inc. (a) 4,923 47,064 Berkshire Bancorp, Inc. (a) 1,075 8,847 Berkshire Hills Bancorp, Inc. 3,009 68,846 BofI Holding, Inc. (a) 1,663 43,321 BOK Financial Corp. 3,392 200,467 Boston Private Financial Holdings, Inc. 10,579 101,453 Bridge Bancorp, Inc. 1,260 29,371 Bridge Capital Holdings (a) 1,616 24,983 Brookline Bancorp, Inc. 9,649 85,104 Bryn Mawr Bank Corp. 1,719 38,574 California First National Bancorp 611 11,267 Camco Financial Corp. (a) 894 1,663 Camden National Corp. 1,086 40,225 Cape Bancorp, Inc. (a) 2,315 21,668 Capital Bank Financial Corp. Class A (a) 547 9,847 Capital City Bank Group, Inc. 1,563 16,630 CapitalSource, Inc. 29,706 225,171 Capitol Federal Financial, Inc. 19,032 227,623 Cardinal Financial Corp. 4,083 58,387 Cascade Bancorp (a) 1,327 7,007 Cathay General Bancorp 9,725 167,853 Center Bancorp, Inc. 2,206 26,296 Centerstate Banks, Inc. 4,087 36,456 Central Pacific Financial Corp. (a) 3,791 54,211 Century Bancorp, Inc., Class A 731 23,334 CFS Bancorp, Inc. 2,109 11,515 Chemical Financial Corp. 3,564 86,249 Chicopee Bancorp, Inc. (a) 1,749 25,273 Citizens & Northern Corp. 1,826 35,808 Citizens Republic Bancorp, Inc. (a) 5,463 105,709 Citizens South Banking Corp. 2,456 17,192 City Holding Co. 1,990 71,322 City National Corp. 6,237 321,268 Clifton Savings Bancorp, Inc. 1,775 19,525 CNB Financial Corp. 1,892 33,129 CoBiz Financial, Inc. 5,017 35,119 Colony Bankcorp, Inc. (a) 750 2,760 Columbia Banking System, Inc. 5,221 96,797 Commerce Bancshares, Inc. 9,770 394,024 Community Bank System, Inc. 5,167 145,658 Community Trust Bancorp, Inc. 1,971 70,039 Cullen/Frost Bankers, Inc. 8,056 462,656 CVB Financial Corp. 11,630 138,862 Dime Community Bancshares, Inc. 4,220 60,937 Direct Markets Holdings Corp. (a) 7,747 163 Doral Financial Corp. (a) 17,589 16,546 Eagle Bancorp, Inc. (a) 2,601 43,489 East-West Bancorp, Inc. 18,878 398,703 Eastern Virginia Bankshares, Inc. (a) 2,156 9,939 Enterprise Bancorp, Inc. 1,140 19,471 Enterprise Financial Services Corp. 2,422 32,939 ESB Financial Corp. 1,979 27,627 ESSA Bancorp, Inc. 2,145 22,287 Farmers Capital Bank Corp., (a) 1,302 13,671 Fidelity Southern Corp. 1,591 15,051 Financial Institutions, Inc. 1,802 33,589 First Bancorp, Inc. 1,404 24,640 First Bancorp, North Carolina 2,188 25,228 First Bancorp, Puerto Rico (a) 9,148 40,434 First Busey Corp. 10,122 49,395 First California Financial Group, Inc. (a) 3,647 25,383 First Citizens Banc Corp. 1,258 6,605 First Citizens BancShares, Inc., Class A 658 107,188 First Commonwealth Financial Corp. 14,043 99,003 First Community Bancshares, Inc. 2,285 34,869 First Connecticut Bancorp, Inc. 2,958 39,963 First Defiance Financial Corp. 1,557 26,874 First Federal Bancshares of Arkansas, Inc. (a) 764 7,464 First Financial Bancorp 7,832 132,439 First Financial Bankshares, Inc. 3,928 141,526 First Financial Corp. 1,477 46,289 First Financial Holdings, Inc. 2,566 33,332 First Financial Northwest, Inc. (a) 2,613 21,035 First Financial Service Corp. (a) 358 1,074 First Interstate Bancsystem, Inc. 2,429 36,338 First M&F Corp. 1,759 13,052 First Merchants Corp. 4,018 60,310 First Midwest Bancorp, Inc. 9,957 124,960 First Niagara Financial Group, Inc. 46,961 379,914 The First of Long Island Corp. 1,298 39,991 First Pactrust Bancorp, Inc. 1,762 22,043 First Republic Bank 9,105 313,758 First Security Group, Inc. (a) 108 243 First South Bancorp, Inc. (a) 1,978 9,633 First United Corp. (a) 1,435 9,801 FirstMerit Corp. 14,187 208,975 Flagstar BanCorp., Inc. (a) 27,695 30,465 Flushing Financial Corp. 4,169 65,870
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 2 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- BANKS (CONTINUED) FNB Corp. 18,312 $ 205,278 FNB United Corp. (a) 1,425 16,929 Fox Chase Bancorp., Inc. 1,899 29,662 Franklin Financial Corp. (a) 2,309 39,392 Fulton Financial Corp. 25,986 256,222 German American Bancorp, Inc. 1,772 42,741 Glacier Bancorp, Inc. 9,562 148,976 Great Southern Bancorp, Inc. 1,286 39,750 Guaranty Bancorp (a) 15,184 30,672 Hampton Roads Bankshares, Inc. (a)(b) 3,404 5,106 Hancock Holding Co. 10,987 340,048 Hanmi Financial Corp. (a) 4,278 54,801 Hawthorn Bancshares, Inc. 1,149 10,146 Heartland Financial USA, Inc. 2,008 54,758 Heritage Commerce Corp. (a) 3,604 25,012 Heritage Financial Corp. 2,255 33,893 HMN Financial, Inc. (a) 1,094 3,391 Home Bancorp, Inc. (a) 1,539 27,687 Home Bancshares, Inc. 3,108 105,952 Home Federal Bancorp, Inc. 2,462 27,870 HomeTrust Bancshares, Inc. (a) 3,179 42,122 Horizon Bancorp 788 22,521 Hudson Valley Holding Corp. 2,243 38,243 IBERIABANK Corp. 3,823 175,093 Independent Bank Corp. 2,878 86,599 Independent Bank Corp./MI (a) 1,901 5,152 International Bancshares Corp. 7,067 134,626 Intervest Bancshares Corp. (a) 3,247 12,339 Investors Bancorp, Inc. (a) 6,527 119,052 Kearny Financial Corp. 2,474 24,097 Lakeland Bancorp, Inc. 3,513 36,360 Lakeland Financial Corp. 2,160 59,616 Macatawa Bank Corp. (a) 4,611 14,340 MainSource Financial Group, Inc. 2,922 37,518 MB Financial, Inc. 7,253 143,247 Mercantile Bank Corp. (a) 1,247 21,374 Merchants Bancshares, Inc. 842 24,881 Metro Bancorp, Inc. (a) 2,216 28,077 Midsouth Bancorp, Inc. 1,426 23,087 MidwestOne Financial Group, Inc. 1,321 28,454 MutualFirst Financial, Inc. 1,313 14,942 NASB Financial, Inc. (a) 717 17,810 National Bankshares, Inc. 1,112 36,918 National Penn Bancshares, Inc. 15,810 144,029 NBT Bancorp, Inc. 4,425 97,660 New York Community Bancorp, Inc. 58,245 824,749 Newbridge Bancorp (a) 3,062 14,820 North Valley Bancorp (a) 1,108 15,058 Northfield Bancorp, Inc. 2,328 37,295 Northrim BanCorp, Inc. 1,133 22,819 Northwest Bancshares, Inc. 12,784 156,348 Norwood Financial Corp. 689 20,477 OceanFirst Financial Corp. 2,490 36,528 Ohio Valley Banc Corp. 934 17,335 Old National Bancorp 13,324 181,335 Old Second Bancorp, Inc. (a) 5,047 7,268 OmniAmerican Bancorp, Inc. (a) 1,924 43,733 Oriental Financial Group, Inc. 5,492 57,776 Oritani Financial Corp. 5,471 82,339 Orrstown Financial Service, Inc. 1,278 14,058 Pacific Capital Bancorp NA (a) 949 43,559 Pacific Continental Corp. 2,847 25,424 PacWest Bancorp 4,243 99,159 Park National Corp. 1,676 117,354 Park Sterling Corp. (a) 5,223 25,802 Peapack-Gladstone Financial Corp. 1,408 23,007 Penns Woods Bancorp, Inc. 801 35,508 Peoples Bancorp of North Carolina, Inc. 1,383 14,300 Peoples Bancorp, Inc. 1,402 32,092 Peoples Financial Corp. 1,245 10,321 Pinnacle Financial Partners, Inc. (a) 4,498 86,901 Popular, Inc. (a) 13,464 234,678 Porter Bancorp, Inc. (a) 1,044 2,004 Preferred Bank (a) 1,827 25,907 Premierwest Bancorp (a)(b) 2,866 4,012 PrivateBancorp, Inc. 7,927 126,753 Prosperity Bancshares, Inc. 5,672 241,741 Provident Financial Holdings, Inc. 1,754 24,924 Provident Financial Services, Inc. 7,279 114,935 Provident New York Bancorp 5,455 51,332 Pulaski Financial Corp. 2,347 19,363 PVF Capital Corp. (a) 5,525 11,768 Renasant Corp. 3,407 66,794 Republic Bancorp, Inc., Class A 1,556 34,154 Republic First Bancorp, Inc. (a) 4,534 9,385 Riverview Bancorp, Inc. (a) 7,170 9,464 Rockville Financial, Inc. 4,069 49,845 Roma Financial Corp. 1,497 13,323 Royal Bancshares of Pennsylvania, Class A (a) 1,265 2,846 S&T Bancorp, Inc. 3,804 66,988 Sandy Spring Bancorp, Inc. 3,398 65,411 Savannah Bancorp, Inc. (a) 1,212 12,108 SCBT Financial Corp. 2,056 82,816 Seacoast Banking Corp. of Florida (a) 11,405 18,134 Shore Bancshares, Inc. 1,363 8,205 Sierra Bancorp 1,748 21,430 Signature Bank (a)(b) 6,318 423,811 Simmons First National Corp., Class A 2,082 50,707 Southside Bancshares, Inc. 2,348 51,210 Southwest Bancorp, Inc. (a) 2,692 29,208 State Bank Financial Corp. 4,614 76,085 StellarOne Corp. 3,273 43,073 Sterling Bancorp 4,510 44,739 Sterling Financial Corp. 3,856 85,873
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 3 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- BANKS (CONCLUDED) Suffolk Bancorp (a) 1,613 $ 23,647 Summit Financial Group, Inc. (a) 785 3,752 Sun Bancorp, Inc. (a) 6,375 21,484 Susquehanna Bancshares, Inc. 24,512 256,396 SVB Financial Group (a) 5,887 355,928 SY Bancorp, Inc. 1,899 44,930 Synovus Financial Corp. 95,686 226,776 Taylor Capital Group, Inc. (a) 2,118 36,260 TCF Financial Corp. 21,404 255,564 Teche Holding Co. 464 18,704 Territorial Bancorp., Inc. 1,729 39,681 Texas Capital Bancshares, Inc. (a) 5,361 266,495 TFS Financial Corp. (a) 11,099 100,668 Tompkins Trustco, Inc. 1,492 60,456 Towne Bank 4,174 63,987 Trico Bancshares 1,982 32,762 TrustCo Bank Corp. NY 12,856 73,536 Trustmark Corp. 8,199 199,564 UMB Financial Corp. 4,188 203,872 Umpqua Holdings Corp. 14,664 189,019 Union First Market Bankshares Corp. 2,830 44,035 United Bancorp, Inc. 1,417 10,061 United Bankshares, Inc. 6,144 153,047 United Community Banks, Inc. (a) 6,288 52,756 United Community Financial Corp. (a) 4,444 15,510 United Financial Bancorp, Inc. 2,280 32,992 United Security Bancshares (a) 3,496 8,740 Univest Corp. of Pennsylvania 2,482 44,676 Valley National Bancorp 25,864 259,157 ViewPoint Financial Group 5,140 98,534 Virginia Commerce Bancorp (a) 3,954 34,597 Washington Banking Co. 2,564 36,332 Washington Federal, Inc. 13,893 231,735 Washington Trust Bancorp, Inc. 2,042 53,643 Waterstone Financial, Inc. (a) 2,121 11,008 Webster Financial Corp. 9,551 226,359 WesBanco, Inc. 3,289 68,115 West Bancorp., Inc. 2,563 30,884 West Coast Bancorp (a) 2,464 55,489 Westamerica Bancorp 3,564 167,686 Western Alliance Bancorp (a) 9,774 99,695 Westfield Financial, Inc. 4,229 31,675 Wilshire Bancorp, Inc. (a) 8,893 56,026 Wintrust Financial Corp. 4,810 180,712 WSFS Financial Corp. 1,149 47,431 Yardkin Valley Financial Corp. (a) 3,178 10,487 ------------ 19,763,403 ----------------------------------------------------------------------------------------------- BEVERAGES -- 0.1% Boston Beer Co., Inc., Class A (a) 1,079 120,816 Central European Distribution Corp. (a) 7,333 20,899 Coca-Cola Bottling Co. Consolidated 656 44,674 Craft Brew Alliance, Inc. (a) 1,511 11,861 Jamba, Inc. (a) 10,566 23,562 National Beverage Corp. (a) 1,709 25,909 Primo Water Corp. (a)(b) 3,948 4,145 Willamette Valley Vineyards, Inc. (a) 971 3,787 ------------ 255,653 ----------------------------------------------------------------------------------------------- CHEMICALS -- 2.3% A. Schulman, Inc. 3,839 91,445 Aceto Corp. 3,697 34,937 Albemarle Corp. 11,866 625,101 American Vanguard Corp. 3,233 112,508 Ashland, Inc. 9,690 693,804 Balchem Corp. 3,924 144,128 Cabot Corp. 7,872 287,879 Calgon Carbon Corp. (a) 7,591 108,627 Cambrex Corp. (a) 4,211 49,395 Celanese Corp., Series A 21,140 801,417 Chase Corp. 1,050 19,288 Chemtura Corp. (a) 13,019 224,187 Codexis, Inc. (a) 3,595 10,893 Cytec Industries, Inc. 6,115 400,655 Ferro Corp. (a) 11,456 39,294 FutureFuel Corp. 2,057 24,910 Georgia Gulf Corp. 4,631 167,735 H.B. Fuller Co. 6,525 200,187 Hawkins, Inc. 1,219 50,649 Huntsman Corp. 25,839 385,776 Innophos Holdings, Inc. 2,897 140,476 Intrepid Potash, Inc. (a) 7,087 152,229 KMG Chemicals, Inc. 1,340 24,790 Koppers Holdings, Inc. 2,764 96,547 Kraton Performance Polymers, Inc. (a) 4,392 114,631 Kronos Worldwide, Inc. 2,606 38,934 LSB Industries, Inc. (a) 2,547 111,737 Metabolix, Inc. (a) 4,583 7,654 Minerals Technologies, Inc. 2,323 164,770 NewMarket Corp. 1,427 351,727 NL Industries, Inc. 962 11,053 Olin Corp. 10,411 226,231 OM Group, Inc. (a) 4,207 77,998 Omnova Solutions, Inc. (a) 6,465 48,940 Penford Corp. (a) 1,735 12,978 PolyOne Corp. 11,833 196,073 Polypore International, Inc. (a)(b) 6,250 220,937 Quaker Chemical Corp. 1,785 83,306 Rentech, Inc. (a) 30,656 75,414 Rockwood Holdings, Inc. 10,330 481,378 RPM International, Inc. 17,476 498,765 Senomyx, Inc. (a) 5,573 10,589 Sensient Technologies Corp. 6,586 242,101
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 4 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- CHEMICALS (CONCLUDED) Spartech Corp. (a) 4,177 $ 22,347 Stepan Co. 1,099 105,636 TOR Minerals International, Inc. (a) 421 6,210 TPC Group, Inc. (a) 2,097 85,579 Tredegar Corp. 3,039 53,912 Tronox Ltd., Class A 3,357 76,036 Valhi, Inc. 2,609 31,830 W.R. Grace & Co. (a) 9,374 553,816 Westlake Chemical Corp. 2,664 194,632 Zagg, Inc. (a) 3,437 29,318 Zep, Inc. 3,058 46,237 Zoltek Cos., Inc. (a) 3,792 29,160 ------------ 9,096,786 ----------------------------------------------------------------------------------------------- CONSTRUCTION & MATERIALS -- 2.5% A.O. Smith Corp. 5,113 294,202 Aaon, Inc. 2,614 51,470 Acuity Brands, Inc. 5,601 354,487 AECOM Technology Corp. (a) 14,870 314,649 Aegion Corp. (a) 5,234 100,283 Ameresco, Inc., Class A (a) 2,678 31,627 American DG Energy, Inc. (a) 5,462 14,147 American Woodmark Corp. (a) 1,301 25,981 Apogee Enterprises, Inc. 3,829 75,125 Argan, Inc. 1,410 24,604 Armstrong World Industries, Inc. 2,857 132,479 Baran Group Ltd. (a) 102 408 BlueLinx Holdings, Inc. (a) 4,661 10,907 Builders FirstSource, Inc. (a) 7,703 39,979 Eagle Materials, Inc. 5,739 265,486 EMCOR Group, Inc. 8,748 249,668 Fortune Brands Home & Security, Inc. (a) 21,464 579,743 Foster Wheeler AG (a) 14,225 340,831 Generac Holdings, Inc. 3,491 79,909 Gibraltar Industries, Inc. (a) 4,125 52,882 Granite Construction, Inc. 4,576 131,423 Great Lakes Dredge & Dock Corp. 7,466 57,488 Griffon Corp. 6,291 64,797 Headwaters, Inc. (a) 8,688 57,167 Hill International, Inc. (a) 3,739 16,302 Insteel Industries, Inc. 2,223 26,076 Integrated Electrical Services, Inc. (a) 2,175 9,896 KBR, Inc. 19,501 581,520 L.B. Foster Co., Class A 1,361 44,015 Layne Christensen Co. (a) 2,645 51,868 Lennox International, Inc. 6,141 296,979 Louisiana-Pacific Corp. (a) 18,500 231,250 Martin Marietta Materials, Inc. 6,072 503,187 Mastec, Inc. (a) 8,073 159,038 MDU Resources Group, Inc. 24,894 548,664 Mueller Water Products, Inc., Series A 20,773 101,788 MYR Group, Inc. (a) 2,806 55,980 NCI Building Systems, Inc. (a) 2,792 28,004 Nortek, Inc. (a) 2,091 114,440 Northwest Pipe Co. (a) 1,360 33,524 Omega Flex, Inc. (a) 642 6,812 Orion Marine Group, Inc. (a) 3,669 27,261 Owens Corning, Inc. (a) 15,742 526,727 PGT, Inc. (a) 3,696 12,123 Pike Electric Corp. (a) 2,573 20,455 Primoris Services Corp. 4,130 53,896 Quanex Building Products Corp. 4,886 92,052 Shaw Group, Inc. (a) 8,845 385,819 Simpson Manufacturing Co., Inc. 5,209 149,082 Sterling Construction Co., Inc. (a) 2,322 23,174 Texas Industries, Inc. 2,778 112,926 Thermon Group Holdings, Inc. (a) 2,392 59,776 TRC Cos., Inc. (a) 2,546 19,146 Trex Co., Inc. (a) 2,027 69,161 Tutor Perini Corp. (a) 4,612 52,761 Universal Forest Products, Inc. 2,582 107,256 USG Corp. (a) 11,920 261,644 Valmont Industries, Inc. 3,132 411,858 Valspar Corp. 11,208 628,769 Watsco, Inc. 3,887 294,596 Watts Water Technologies, Inc., Class A 3,633 137,436 ------------ 9,605,003 ----------------------------------------------------------------------------------------------- ELECTRICITY -- 1.8% Allete, Inc. 4,501 187,872 Alliant Energy Corp. 14,673 636,662 Black Hills Corp. 5,858 208,369 Calpine Corp. (a) 52,281 904,461 CH Energy Group, Inc. 2,040 133,028 Cleco Corp. 7,972 334,665 Covanta Holding Corp. 17,763 304,813 El Paso Electric Co. 5,325 182,381 The Empire District Electric Co. 5,793 124,839 GenOn Energy, Inc. (a) 102,540 259,426 Great Plains Energy, Inc. 20,249 450,743 Hawaiian Electric Industries, Inc. 12,894 339,241 IDACORP, Inc. 6,473 280,087 ITC Holdings Corp. 6,931 523,845 MGE Energy, Inc. 3,072 162,785 NorthWestern Corp. 4,811 174,303 NV Energy, Inc. 31,414 565,766 Ormat Technologies, Inc. 2,301 43,144 Portland General Electric Co. 9,927 268,426 U.S. Geothermal, Inc. (a) 23,727 8,304 UIL Holdings Corp. 6,815 244,386 Unitil Corp. 2,233 60,782 UNS Energy Corp. 5,422 226,965 Westar Energy, Inc. 16,825 499,030 ------------ 7,124,323 ----------------------------------------------------------------------------------------------- ELECTRONIC & ELECTRICAL EQUIPMENT -- 3.0% A123 Systems, Inc. (a) 13,967 3,492
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 5 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- ELECTRONIC & ELECTRICAL EQUIPMENT (CONCLUDED) Active Power, Inc. (a) 16,856 $ 13,485 Adept Technology, Inc. (a) 1,899 7,501 Aeroflex Holding Corp. (a) 2,890 19,161 Allied Motion Technologies, Inc. 1,204 7,946 Altair Nanotechnologies, Inc. (a) 6,009 4,687 American Science & Engineering, Inc. 1,170 76,764 American Superconductor Corp. (a) 5,642 23,414 Ametek, Inc. 32,311 1,145,425 Anaren, Inc. (a) 2,056 41,099 Anixter International, Inc. 3,685 211,740 API Technologies Corp. (a) 4,663 13,383 Arrow Electronics, Inc. (a) 14,404 485,559 Avnet, Inc. (a) 18,710 544,274 AVX Corp. 5,975 57,300 AZZ, Inc. 3,380 128,372 Badger Meter, Inc. 1,944 70,742 Ballantyne Strong, Inc. (a) 2,537 10,554 Bel Fuse, Inc. 1,699 31,737 Belden, Inc. 5,912 218,035 Benchmark Electronics, Inc. (a) 7,537 115,090 Brady Corp. 6,074 177,847 Capstone Turbine Corp. (a)(b) 42,444 42,444 Checkpoint Systems, Inc. (a) 5,416 44,844 Cognex Corp. 5,322 184,035 Coherent, Inc. (a) 3,189 146,248 Coleman Cable, Inc. 1,534 14,788 CTS Corp. 4,722 47,551 Cyberoptics Corp. (a) 1,403 9,765 Daktronics, Inc. 5,085 48,358 Echelon Corp. (a) 5,027 19,304 Electro Rent Corp. 2,635 46,613 Electro Scientific Industries, Inc. 3,399 41,536 eMagin Corp. (a) 3,773 15,545 Encore Wire Corp. 2,456 71,863 EnerNOC, Inc. (a) 3,448 44,755 EnerSys (a) 6,377 225,044 ESCO Technologies, Inc. 3,555 138,112 Fabrinet (a) 3,095 35,871 Faro Technologies, Inc. (a) 2,341 96,730 FEI Co. 5,140 274,990 General Cable Corp. (a) 6,546 192,321 GrafTech International Ltd. (a) 16,819 151,203 Greatbatch, Inc. (a) 3,149 76,615 Houston Wire & Cable Co. 2,277 24,500 Hubbell, Inc., Class B 7,063 570,267 II-VI, Inc. (a) 7,284 138,542 Intevac, Inc. (a) 3,706 22,644 IntriCon Corp. (a) 1,324 6,686 IPG Photonics Corp. (a) 3,878 222,209 Itron, Inc. (a) 5,315 229,342 Kemet Corp. (a) 5,944 26,154 Landauer, Inc. 1,334 79,666 Lightpath Technologies, Inc., Class A (a) 3,924 3,845 Lime Energy Co. (a) 3,916 2,780 Littelfuse, Inc. 2,939 166,171 LSI Industries, Inc. 3,032 20,436 Magnetek, Inc. (a) 607 6,835 Maxwell Technologies, Inc. (a) 4,314 35,030 Measurement Specialties, Inc. (a) 2,148 70,841 Methode Electronics, Inc. 5,028 48,822 Mettler-Toledo International, Inc. (a) 4,154 709,254 Microvision, Inc. (a)(b) 3,842 8,913 MTS Systems Corp. 2,197 117,649 Multi-Fineline Electronix, Inc. (a) 1,332 30,037 Napco Security Technologies, Inc. (a) 3,820 12,950 National Instruments Corp. 12,570 316,387 Newport Corp. (a) 5,350 59,171 NVE Corp. (a) 763 45,162 Orion Energy Systems, Inc. (a) 2,807 5,502 OSI Systems, Inc. (a) 2,521 196,235 Parametric Sound Corp. (a) 865 5,614 Park Electrochemical Corp. 2,609 64,781 Planar Systems, Inc. (a) 5,103 6,889 Plexus Corp. (a) 4,762 144,241 Powell Industries, Inc. (a) 1,238 47,873 Power-One, Inc. (a) 16,533 92,585 Powerwave Technologies, Inc. (a) 4,283 2,613 Pulse Electronics Corp. 5,789 4,747 Regal-Beloit Corp. 5,525 389,402 Research Frontiers, Inc. (a) 4,006 17,827 Richardson Electronics Ltd. 1,792 21,271 Rofin-Sinar Technologies, Inc. (a) 3,811 75,191 Rogers Corp. (a) 2,172 92,006 Rubicon Technology, Inc. (a) 2,352 22,532 Sanmina-SCI Corp. (a) 11,040 93,730 SatCon Technology Corp. (a) 2,299 2,529 Servotronics, Inc. 400 3,408 Sigmatron International, Inc. (a) 1,200 5,220 SL Industries, Inc. (a) 578 8,208 Synthesis Energy Systems, Inc. (a) 7,050 9,306 Trimble Navigation Ltd. (a) 16,787 800,068 TTM Technologies, Inc. (a) 7,237 68,245 Ultralife Batteries, Inc. (a) 2,906 9,038 Universal Display Corp. (a) 5,446 187,233 UQM Technologies, Inc. (a) 5,140 5,962 Veeco Instruments, Inc. (a) 5,190 155,804 Viasystems Group, Inc. (a) 729 12,612 Vicor Corp. 2,853 19,029 Vishay Intertechnology, Inc. (a) 17,552 172,536 Vishay Precision Group, Inc. (a) 2,195 30,686 WESCO International, Inc. (a) 5,797 331,588 Zebra Technologies Corp., Class A (a) 6,884 258,425 Zygo Corp. (a) 2,705 49,474 ------------ 11,762,845 -----------------------------------------------------------------------------------------------
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 6 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- FINANCIAL SERVICES -- 2.7% Affiliated Managers Group, Inc. (a) 6,850 $ 842,550 Artio Global Investors, Inc. 6,596 19,656 Asset Acceptance Capital Corp. (a) 2,516 18,769 Asta Funding, Inc. 1,806 16,958 BBCN Bancorp, Inc. (a) 10,519 132,645 BGC Partners, Inc. 12,924 63,328 Calamos Asset Management, Inc., Class A 2,844 33,104 Cash America International, Inc. 3,909 150,770 CBOE Holdings, Inc. 11,520 338,918 CIFC Corp. (a) 949 6,947 CIT Group, Inc. (a) 26,677 1,050,807 Cohen & Steers, Inc. 2,394 70,910 Comerica, Inc. -- -- CompuCredit Holdings Corp. (a) 1,465 5,450 Cowen Group, Inc., Class A (a) 11,162 30,137 Credit Acceptance Corp. (a) 1,324 113,215 DFC Global Corp. (a) 6,027 103,363 Diamond Hill Investments Group, Inc. 419 32,129 Duff & Phelps Corp. 4,220 57,434 Eaton Vance Corp. 15,431 446,882 Encore Capital Group, Inc. (a) 3,143 88,821 Epoch Holding Corp. 2,277 52,599 Evercore Partners, Inc., Class A 3,511 94,797 Ezcorp, Inc. (a) 6,027 138,199 FBR & Co. (a) 5,608 17,329 Federal Agricultural Mortgage Corp., Class B 1,535 39,511 Fidelity National Financial, Inc., Class A 28,186 602,898 Financial Engines, Inc. (a) 5,619 133,901 First Cash Financial Services, Inc. (a) 3,534 162,599 The First Marblehead Corp. (a) 12,084 12,688 FXCM, Inc. 3,424 32,699 GAMCO Investors, Inc., Class A 597 29,701 GFI Group, Inc. 8,540 27,157 Gleacher & Co., Inc. (a) 9,785 7,143 Green Dot Corp., Class A (a) 2,941 35,968 Greenhill & Co., Inc. 3,601 186,352 Imperial Holdings, Inc. (a) 3,012 10,271 Institutional Financial Market, Inc. 2,236 2,527 Interactive Brokers Group, Inc., Class A 5,109 71,628 International FCStone, Inc. (a) 2,019 38,482 Intersections, Inc. 1,474 15,536 Investment Technology Group, Inc. (a) 5,281 45,945 Janus Capital Group, Inc. 24,906 235,113 Jefferies Group, Inc. 17,034 233,195 JMP Group, Inc. 2,564 14,076 KBW, Inc. 4,678 77,047 Knight Capital Group, Inc., Class A (a) 13,485 36,140 Ladenburg Thalmann Financial Services, Inc. (a) 17,312 22,852 LPL Financial Holdings, Inc. 4,992 142,472 MarketAxess Holdings, Inc. 4,966 156,926 Marlin Business Services, Inc. 1,403 29,758 Medallion Financial Corp. 2,817 33,269 MGIC Investment Corp. (a) 27,437 41,979 MicroFinancial, Inc. 1,948 17,824 MoneyGram International, Inc. (a) 2,824 42,190 MSCI, Inc. (a) 16,283 582,768 National Financial Partners Corp. (a) 5,462 92,308 Nelnet, Inc., Class A 3,474 82,473 Netspend Holdings, Inc. (a) 4,853 47,705 NewStar Financial, Inc. (a) 2,808 33,668 Ocwen Financial Corp. (a) 15,485 424,444 Oppenheimer Holdings, Inc. 1,335 21,293 Penson Worldwide, Inc. (a)(b) 3,976 179 Pico Holdings, Inc. (a) 3,113 71,039 Piper Jaffray Cos. (a) 2,246 57,161 Portfolio Recovery Associates, Inc. (a) 2,264 236,429 Pzena Investment Management, Inc., Class A 2,930 15,265 Radian Group, Inc. 17,922 77,781 Raymond James Financial, Inc. 14,760 540,954 Resource America, Inc., Class A 2,855 19,528 Safeguard Scientifics, Inc. (a) 2,987 46,866 SEI Investments Co. 17,993 385,950 Stewart Information Services Corp. 2,605 52,465 Stifel Financial Corp. (a)(b) 6,635 222,936 SWS Group, Inc. (a) 3,739 22,845 TD Ameritrade Holding Corp. 30,013 461,300 Tree.com, Inc. (a) 1,018 15,952 U.S. Global Investors, Inc. 2,032 12,436 Virtus Investment Partners, Inc. (a) 834 71,724 Waddell & Reed Financial, Inc., Class A 11,510 377,183 Walker & Dunlop, Inc. (a) 2,622 40,300 Westwood Holdings Group, Inc. 1,090 42,521 WisdomTree Investments, Inc. (a) 8,233 55,161 World Acceptance Corp. (a) 1,777 119,859 ------------ 10,694,057 ----------------------------------------------------------------------------------------------- FIXED LINE TELECOMMUNICATIONS -- 0.4% 8x8, Inc. (a) 9,630 63,173 Alaska Communications Systems Group, Inc. (b) 7,188 16,245 Cbeyond Communications, Inc. (a) 4,242 41,826 Cincinnati Bell, Inc. (a) 27,016 153,991 Consolidated Communications Holdings, Inc. 4,879 83,870 Fairpoint Communications, Inc. (a) 3,648 27,579 General Communication, Inc., Class A (a) 4,596 45,041
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 7 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- FIXED LINE TELECOMMUNICATIONS (CONCLUDED) Hawaiian Telcom HoldCo, Inc. (a) 1,088 $ 19,290 HickoryTech Corp. 1,959 20,726 IDT Corp., Class B 2,232 22,923 inContact, Inc. (a) 6,172 40,242 Level 3 Communications, Inc. (a) 21,353 490,478 Lumos Networks Corp. 2,200 17,292 Primus Telecommunications Group, Inc. 1,822 27,822 TW Telecom, Inc. (a) 20,129 524,763 Vonage Holdings Corp. (a) 19,630 44,756 Warwick Valley Telephone Co. 1,070 13,910 ------------ 1,653,927 ----------------------------------------------------------------------------------------------- FOOD & DRUG RETAILERS -- 0.8% Arden Group, Inc., Class A 256 24,837 Casey's General Stores, Inc. 5,073 289,871 The Chefs' Warehouse, Inc. (a) 1,573 25,766 Core-Mark Holdings Co., Inc. 1,611 77,505 The Fresh Market, Inc. (a) 5,561 333,549 GNC Holdings, Inc. Class A 10,600 413,082 Harris Teeter Supermarkets 6,414 249,120 Ingles Markets, Inc., Class A 1,922 31,425 Nash Finch Co. 1,557 31,794 Omnicare, Inc. 14,775 501,907 The Pantry, Inc. (a) 3,370 49,033 PetMed Express, Inc. 2,946 29,578 Rite Aid Corp. (a) 95,743 112,019 Spartan Stores, Inc. 2,921 44,720 SUPERVALU, Inc. (b) 28,364 68,357 United Natural Foods, Inc. (a) 6,562 383,549 Village Super Market, Inc., Class A 843 30,989 Vitamin Shoppe, Inc. (a)(b) 4,000 233,280 Weis Markets, Inc. 1,399 59,220 ------------ 2,989,601 ----------------------------------------------------------------------------------------------- FOOD PRODUCERS -- 1.6% Alico, Inc. 631 19,706 The Andersons, Inc. 2,280 85,865 B&G Foods, Inc., Class A 6,590 199,743 Bunge Ltd. 19,217 1,288,500 Cal-Maine Foods, Inc. 1,883 84,622 Calavo Growers, Inc. 1,851 46,275 Chiquita Brands International, Inc. (a) 6,109 46,673 Coffee Holding Co., Inc. (b) 905 6,389 Darling International, Inc. (a) 15,879 290,427 Diamond Foods, Inc. (b) 3,028 56,987 Dole Food Co., Inc. (a) 4,866 68,270 Farmer Bros. Co. (a) 1,270 12,078 Flowers Foods, Inc. 15,536 313,516 Fresh Del Monte Produce, Inc. 5,086 130,202 Golden Enterprises, Inc. 941 3,162 Griffin Land & Nurseries, Inc. 483 16,292 Harbinger Group, Inc. (a) 1,680 14,162 Herbalife Ltd. 14,840 703,416 Hillshire Brands Co. 15,819 423,633 HQ Sustainable Maritime Industries, Inc. (a) 4,100 225 Ingredion, Inc. 10,166 560,757 J&J Snack Foods Corp. 1,994 114,316 John B. Sanfilippo & Son, Inc. (a) 1,290 16,796 Lancaster Colony Corp. 2,539 185,982 Lifeway Foods, Inc. 1,575 14,962 Limoneira Co. 1,441 26,558 Mannatech, Inc. (a) 310 1,584 Medifast, Inc. (a) 2,022 52,875 MGP Ingredients, Inc. 1,897 7,247 Natures Sunshine Prods, Inc. 1,521 24,853 Nutraceutical International Corp. (a) 1,443 22,742 NutriSystem, Inc. 3,798 39,993 Omega Protein Corp. (a) 2,787 19,119 Overhill Farms, Inc. (a) 2,603 11,922 Pilgrims Pride Corp. (a) 7,823 39,976 Reliv International, Inc. 1,819 2,346 Rocky Mountain Chocolate Factory, Inc. 1,140 14,432 Schiff Nutrition International, Inc. (a) 1,913 46,275 Seaboard Corp. (a) 40 90,405 Seneca Foods Corp. (a) 1,301 38,848 Smart Balance, Inc. (a) 8,305 100,324 Smithfield Foods, Inc. (a) 17,943 352,580 Snyders-Lance, Inc. 6,454 161,350 Tootsie Roll Industries, Inc. 2,736 73,817 TreeHouse Foods, Inc. (a) 4,849 254,572 USANA Health Sciences, Inc. (a) 1,008 46,842 ------------ 6,131,616 ----------------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.4% Green Mountain Coffee Roasters, Inc. (a) 17,232 409,260 The Hain Celestial Group, Inc. (a) 6,002 378,126 Post Holdings, Inc. (a) 3,682 110,681 Ralcorp Holdings, Inc. (a) 7,364 537,572 Sanderson Farms, Inc. 2,682 119,000 ------------ 1,554,639 ----------------------------------------------------------------------------------------------- FORESTRY & PAPER -- 0.4% Boise, Inc. 12,240 107,223 Buckeye Technologies, Inc. 5,315 170,399 Clearwater Paper Corp. (a) 3,193 131,903 Deltic Timber Corp. 1,473 96,128 Domtar Corp. 4,759 372,582 Kapstone Paper and Packaging Corp. (a) 5,201 116,450 Neenah Paper, Inc. 2,165 62,006 P.H. Glatfelter Co. 5,544 98,739 Resolute Forest Products (a) 12,832 166,816 Verso Paper Corp. (a) 3,704 5,926
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 8 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- FORESTRY & PAPER (CONCLUDED) Wausau Paper Corp. 6,213 $ 57,532 ------------ 1,385,704 ----------------------------------------------------------------------------------------------- GAS, WATER & MULTI-UTILITIES -- 1.6% American States Water Co. 2,606 115,785 American Water Works Co., Inc. 23,321 864,276 Aqua America, Inc. 18,633 461,353 Artesian Resources Corp., Class A 1,549 35,983 Atmos Energy Corp. 11,908 426,187 Avista Corp. 7,686 197,838 Cadiz, Inc. (a) 1,970 19,129 California Water Service Group 5,748 107,200 Chesapeake Utilities Corp. 1,478 69,998 Connecticut Water Service, Inc. 1,502 47,914 Delta Natural Gas Co., Inc. 1,254 24,277 Gas Natural, Inc. 2,059 20,467 Genie Energy Ltd. 2,815 20,184 The Laclede Group, Inc. 2,785 119,755 Middlesex Water Co. 2,648 50,736 National Fuel Gas Co. 11,060 597,682 New Jersey Resources Corp. 5,343 244,282 Northwest Natural Gas Co. 3,505 172,586 Piedmont Natural Gas Co. 9,253 300,538 PNM Resources, Inc. 10,308 216,777 Questar Corp. 23,473 477,206 RGC Resources, Inc. 1,250 22,475 SJW Corp. 1,851 46,941 South Jersey Industries, Inc. 3,937 208,385 Southwest Gas Corp. 5,999 265,156 UGI Corp. 14,878 472,377 Vectren Corp. 10,952 313,227 WGL Holdings, Inc. 6,573 264,563 ------------ 6,183,277 ----------------------------------------------------------------------------------------------- GENERAL INDUSTRIALS -- 1.2% Actuant Corp., Class A 9,653 276,269 AEP Industries, Inc. (a) 611 37,020 AptarGroup, Inc. 8,732 451,532 Carlisle Cos., Inc. 8,248 428,236 Crown Holdings, Inc. (a) 19,996 734,853 Graphic Packaging Holding Co. (a) 17,455 101,414 Greif, Inc. 4,072 179,901 Harsco Corp. 10,588 217,372 Landec Corp. (a) 3,788 43,373 Multi-Color Corp. 1,748 40,484 Myers Industries, Inc. 4,177 65,245 Otter Tail Corp. 4,663 111,259 Packaging Corp. of America 13,020 472,626 Raven Industries, Inc. 4,878 143,559 Rexnord Corp. (a) 3,542 64,535 Rock-Tenn Co., Class A 9,403 678,708 Silgan Holdings, Inc. 6,575 286,078 Sonoco Products Co. 13,228 409,936 Trimas Corp. (a) 4,375 105,481 UFP Technologies, Inc. (a) 997 17,537 ------------ 4,865,418 ----------------------------------------------------------------------------------------------- GENERAL RETAILERS -- 5.1% 1-800-FLOWERS.COM, Inc., Class A (a) 4,231 15,782 Aaron's, Inc. 9,375 260,719 Amerco, Inc. 918 97,638 America's Car-Mart, Inc. (a) 1,187 53,973 American Eagle Outfitters, Inc. 23,865 503,074 American Public Education, Inc. (a) 2,475 90,164 Ancestry.com, Inc. (a) 4,108 123,569 ANN, Inc. (a) 6,348 239,510 Asbury Automotive Group, Inc. (a) 4,203 117,474 Ascena Retail Group, Inc. (a) 16,531 354,590 Autobytel, Inc. (a) 3,143 12,038 Aeropostale, Inc. (a) 10,980 148,559 Barnes & Noble, Inc. (a) 5,047 64,501 Beacon Roofing Supply, Inc. (a) 6,277 178,894 bebe Stores, Inc. 4,568 21,926 Bidz.com, Inc. (a) 5,995 4,620 Big 5 Sporting Goods Corp. 2,515 25,024 Blue Nile, Inc. (a) 1,711 63,461 Body Central Corp. (a) 2,136 22,321 The Bon-Ton Stores, Inc. 1,552 14,744 Books-A-Million, Inc. (a) 1,081 3,167 Bridgepoint Education, Inc. (a) 2,358 23,934 Brown Shoe Co., Inc. 5,418 86,851 The Buckle, Inc. (b) 3,603 163,684 Build-A-Bear Workshop, Inc. (a) 2,088 8,143 Cabela's, Inc., Class A (a) 6,158 336,719 Cache, Inc. (a) 1,918 6,080 Cambium Learning Group, Inc. (a) 2,677 2,650 Capella Education Co. (a) 1,617 56,692 Career Education Corp. (a) 6,705 25,278 Carriage Services, Inc. 2,363 22,850 Casual Male Retail Group, Inc. (a) 6,123 28,349 The Cato Corp., Class A 3,617 107,461 Chemed Corp. 2,499 173,156 Chico's FAS, Inc. 22,173 401,553 Christopher & Banks Corp. 4,700 16,497 Citi Trends, Inc. (a) 2,119 26,604 Clean Energy Fuels Corp. (a)(b) 8,994 118,451 Coldwater Creek, Inc. (a) 10,005 8,304 Collective Brands, Inc. (a) 8,271 179,563 Collectors Universe, Inc. 1,028 14,423 Conn's, Inc. (a) 2,913 64,232 Copart, Inc. (a) 14,477 401,447 Corinthian Colleges, Inc. (a) 10,420 24,800 dELiA*s, Inc. (a) 5,289 7,352 Destination Maternity Corp. 1,709 31,958 Dick's Sporting Goods, Inc. 12,916 669,695 Dillard's, Inc., Class A 4,119 297,886 DSW, Inc., Class A 4,274 285,161 Education Management Corp. (a) 2,632 8,186
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 9 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- GENERAL RETAILERS (CONCLUDED) The Finish Line, Inc., Class A 6,791 $ 154,427 Francesca's Holdings Corp. (a) 4,739 145,629 Fred's, Inc., CLass A 4,500 64,035 Gaiam, Inc. (a) 2,881 10,055 gDollar General Corp. (a) 29,652 1,528,264 Geeknet, Inc. (a) 943 18,247 Genesco, Inc. (a) 3,245 216,539 Grand Canyon Education, Inc. (a)(b) 5,755 135,415 Group 1 Automotive, Inc. 2,839 170,993 Guess?, Inc. 8,198 208,393 Haverty Furniture Cos., Inc. 2,729 37,879 hhgregg, Inc. (a) 2,292 15,815 Hibbett Sports, Inc. (a) 3,526 209,621 Hillenbrand, Inc. 8,350 151,886 Hot Topic, Inc. 5,595 48,677 HSN, Inc. 4,972 243,877 ITT Corp. 12,169 245,205 ITT Educational Services, Inc. (a) 2,103 67,780 Jos. A. Bank Clothiers, Inc. (a)(b) 3,715 180,103 K12, Inc. (a) 4,900 98,980 KAR Auction Services, Inc. (a) 10,655 210,330 Kirkland's, Inc. (a) 2,230 22,144 Learning Tree International, Inc. (a) 1,011 5,146 Liquidity Services, Inc. (a) 3,264 163,885 Lithia Motors, Inc., Class A 2,799 93,235 Mac-Gray Corp. 1,649 22,113 MarineMax, Inc. (a) 3,258 27,009 Matthews International Corp., Class A 3,759 112,093 The Men's Wearhouse, Inc. 6,321 217,632 Monro Muffler, Inc. 3,874 136,326 Navarre Corp. (a) 6,945 10,834 New York & Co. (a) 3,761 14,104 Office Depot, Inc. (a)(b) 38,160 97,690 OfficeMax, Inc. 11,449 89,417 OpenTable, Inc. (a) 3,197 132,995 Overstock.com, Inc. (a) 2,033 21,062 Pacific Sunwear of California, Inc. (a) 7,031 17,578 PC Mall, Inc. (a) 1,212 7,127 Penske Automotive Group, Inc. 5,595 168,354 The Pep Boys - Manny, Moe & Jack 6,922 70,466 Perfumania Holdings, Inc. (a) 978 7,042 PetSmart, Inc. 14,383 992,139 Pier 1 Imports, Inc. 14,505 271,824 PriceSmart, Inc. 2,454 185,817 The Providence Service Corp. (a) 2,019 26,227 RadioShack Corp. 13,377 31,837 RealNetworks, Inc. (a) 3,840 31,949 Regis Corp. 7,537 138,530 Rent-A-Center, Inc. 7,769 272,537 Rollins, Inc. 8,801 205,855 Rue21, Inc. (a) 2,152 67,035 Rush Enterprises, Inc., Class A (a) 4,466 86,015 Saks, Inc. (a) 13,819 142,474 Sally Beauty Holdings, Inc. (a) 21,024 527,492 Sears Holdings Corp. (a) 4,810 266,907 Service Corp. International 28,375 381,927 Shoe Carnival, Inc. 1,951 45,907 Shutterfly, Inc. (a) 4,252 132,322 Signet Jewelers Ltd. 10,704 521,927 Sonic Automotive, Inc. 4,922 93,420 Sotheby's 8,982 282,933 Stage Stores, Inc. 4,159 87,589 Stamps.com, Inc. (a) 2,416 55,906 Standard Parking Corp. (a) 2,235 50,131 Stein Mart, Inc. (a) 3,683 31,342 Stewart Enterprises, Inc., Class A 9,788 82,170 Strayer Education, Inc. 1,590 102,316 Susser Holdings Corp. (a) 2,417 87,423 Teavana Holdings, Inc. (a) 1,334 17,395 Titan Machinery, Inc. (a) 2,329 47,232 Tractor Supply Co. 9,453 934,807 Trans World Entertainment Corp. (a) 2,400 8,736 Tuesday Morning Corp. (a) 5,896 38,619 Ulta Salon Cosmetics & Fragrance, Inc. 7,805 751,661 ValueVision Media, Inc., Class A (a) 5,705 13,407 VCA Antech, Inc. (a)(b) 11,547 227,822 Weight Watchers International, Inc. 3,587 189,394 West Marine, Inc. (a) 2,113 22,461 The Wet Seal, Inc., Class A (a) 12,627 39,775 Williams-Sonoma, Inc. 11,541 507,458 Winmark Corp. 366 19,793 Zale Corp. (a) 3,468 23,929 Zumiez, Inc. (a) 2,964 82,192 ------------ 19,738,741 ----------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SERVICES -- 5.2% Abaxis, Inc. (a) 2,837 101,905 Abiomed, Inc. (a) 4,932 103,523 Acadia Healthcare Co., Inc. (a) 2,807 66,947 Accretive Health, Inc. (a) 7,356 82,093 Accuray, Inc. (a) 8,550 60,534 Addus HomeCare Corp. (a) 1,036 5,594 Air Methods Corp. (a) 1,575 188,008 Alere, Inc. (a) 10,151 197,843 Align Technology, Inc. (a) 9,544 352,842 Alliance Healthcare Services, Inc. (a) 8,258 11,644 Almost Family, Inc. (a) 1,318 28,047 Alphatec Holdings, Inc. (a) 9,814 16,193 Amedisys, Inc. (a) 4,157 57,408 American Caresource Holdings, Inc. (a) 2,753 4,212 AMERIGROUP Corp. (a) 6,516 595,758 Amsurg Corp. (a) 4,269 121,154 Analogic Corp. 1,635 127,808
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 10 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SERVICES (CONTINUED) AngioDynamics, Inc. (a) 4,582 $ 55,900 Anika Therapeutics, Inc. (a) 1,769 26,570 Antares Pharma, Inc. (a) 13,784 60,098 ArthroCare Corp. (a) 3,806 123,314 Assisted Living Concepts, Inc. 2,779 21,204 AtriCure, Inc. (a) 1,800 13,392 Atrion Corp. 222 49,173 Bio-Rad Laboratories, Inc., Class A (a) 2,674 285,369 Bio-Reference Labs, Inc. (a) 3,359 96,000 Biolase Technology, Inc. (a) 5,368 9,179 Bioscript, Inc. (a) 7,816 71,204 Bovie Medical Corp. (a) 3,326 11,974 Brookdale Senior Living, Inc. (a) 13,046 302,928 Bruker BioSciences Corp. (a) 12,352 161,688 BSD Medical Corp. (a) 3,756 4,920 Cantel Medical Corp. 2,936 79,507 Capital Senior Living Corp. (a) 3,876 56,086 Cardica, Inc. (a) 5,277 7,599 CardioNet, Inc. (a) 3,658 9,218 Cardiovascular Systems, Inc. (a) 2,764 31,952 Celsion Corp. (a) 4,919 26,661 Centene Corp. (a) 6,867 256,894 Cepheid, Inc. (a)(b) 8,827 304,620 Chindex International, Inc. (a) 1,763 18,212 CollabRx, Inc. (a) 409 1,448 Community Health Systems, Inc. (a) 12,055 351,283 Conceptus, Inc. (a) 4,370 88,755 CONMED Corp. 3,741 106,618 The Cooper Cos., Inc. 6,351 599,915 Corvel Corp. (a) 902 40,364 Covance, Inc. (a) 7,328 342,144 CryoLife, Inc. 4,128 27,740 Cutera, Inc. (a) 2,304 17,211 Cyberonics, Inc. (a) 3,228 169,212 Cynosure, Inc., Class A (a) 1,483 39,122 Delcath Systems, Inc. (a) 10,273 16,642 DexCom, Inc. (a)(b) 9,326 140,170 Echo Therapeutics, Inc. (a) 7,279 11,501 Emeritus Corp. (a) 4,018 84,137 Endologix, Inc. (a)(b) 7,662 105,889 The Ensign Group, Inc. 2,391 73,177 Escalon Medical Corp. (a) 1,399 488 Exactech, Inc. (a) 1,351 24,088 Five Star Quality Care, Inc. (a) 6,433 32,873 Fluidigm Corp. (a) 3,033 51,561 Fonar Corp. (a) 1,545 5,794 GenMark Diagnostics, Inc. (a) 4,228 38,940 Gentiva Health Services, Inc. (a) 4,042 45,755 Haemonetics Corp. (a)(b) 3,355 269,071 Hanger Orthopedic Group, Inc. (a) 4,647 132,579 Hansen Medical, Inc. (a) 7,724 15,062 HCA Holdings, Inc. 21,711 721,891 Health Management Associates, Inc., Class A (a) 33,980 285,092 Health Net, Inc. (a) 10,735 241,645 Healthcare Services Group, Inc. 8,953 204,755 HealthSouth Corp. (a) 12,855 309,291 HealthStream, Inc. (a) 2,719 77,383 Healthways, Inc. (a) 4,489 52,566 Henry Schein, Inc. (a) 11,723 929,282 Hill-Rom Holdings, Inc. 8,184 237,827 HMS Holdings Corp. (a) 11,525 385,281 Hologic, Inc. (a) 35,260 713,662 Hooper Holmes, Inc. (a) 9,589 6,137 ICU Medical, Inc. (a) 1,687 102,030 Idexx Laboratories, Inc. (a)(b) 7,338 729,030 Insulet Corp. (a) 6,534 141,004 Integra LifeSciences Holdings Corp. (a) 2,611 107,312 Invacare Corp. 3,832 54,184 IPC The Hospitalist Co., Inc. (a) 2,279 104,150 IRIS International, Inc. (a) 2,554 49,854 Kindred Healthcare, Inc. (a) 6,932 78,886 LCA-Vision, Inc. (a) 2,420 9,777 LHC Group, Inc. (a) 2,223 41,059 LifePoint Hospitals, Inc. (a) 6,347 271,525 Magellan Health Services, Inc. (a) 3,556 183,525 MAKO Surgical Corp. (a) 5,290 92,099 Masimo Corp. (a) 6,954 168,148 Medical Action Industries, Inc. (a) 2,313 8,072 MEDNAX, Inc. (a) 6,604 491,668 MELA Sciences, Inc. (a)(b) 5,296 17,000 Meridian Bioscience, Inc. 5,509 105,663 Merit Medical Systems, Inc. (a) 5,446 81,309 Metropolitan Health Networks, Inc. (a) 5,877 54,891 Molina Healthcare, Inc. (a) 3,962 99,644 Nanosphere, Inc. (a) 6,499 21,577 National Healthcare Corp. 1,112 53,087 Natus Medical, Inc. (a) 3,994 52,202 Navidea Biopharmaceuticals, Inc. (a)(b) 14,255 39,201 Neogen Corp. (a) 3,054 130,406 Neurometrix, Inc. (a) 655 387 NuVasive, Inc. (a) 5,954 136,406 NxStage Medical, Inc. (a) 7,262 95,931 Omnicell, Inc. (a) 4,742 65,914 OraSure Technologies, Inc. (a) 7,732 85,980 Orthofix International NV (a) 2,560 114,560 Owens & Minor, Inc. 8,154 243,641 Palomar Medical Technologies, Inc. (a) 2,610 24,638 Parexel International Corp. (a)(b) 8,112 249,525 PharMerica Corp. (a) 4,070 51,526 PSS World Medical, Inc. (a) 6,715 152,968 Psychemedics Corp. 971 11,798 Quidel Corp. (a) 4,050 76,666
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 11 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SERVICES (CONCLUDED) RadNet, Inc. (a) 4,638 $ 12,894 ResMed, Inc. 18,914 765,450 Retractable Technologies, Inc. (a) 1,898 2,164 Rochester Medical Corp. (a) 1,820 21,494 Rockwell Medical Technologies, Inc. (a) 2,896 23,660 RTI Biologics, Inc. (a) 7,930 33,068 Select Medical Holdings Corp. (a) 5,251 58,969 Sirona Dental Systems, Inc. (a) 7,425 422,928 Skilled Healthcare Group, Inc., Class A (a) 3,199 20,570 Solta Medical, Inc. (a) 6,708 21,063 Spectranetic Corp. (a) 4,932 72,747 Staar Surgical Co. (a) 3,702 27,987 Stereotaxis, Inc. (a) 980 1,392 Steris Corp. 7,549 267,763 Sun Healthcare Group, Inc. (a) 3,237 27,401 Sunrise Senior Living, Inc. (a) 7,851 112,034 SurModics, Inc. (a) 1,786 36,113 Symmetry Medical, Inc. (a) 4,954 48,995 Synergetics USA, Inc. (a) 3,470 17,142 Team Health Holdings, Inc. (a) 4,131 112,074 Teleflex, Inc. 5,388 370,910 Theragenics Corp. (a) 5,558 9,560 ThermoGenesis Corp. (a) 5,823 6,289 Thoratec Corp. (a) 7,812 270,295 Trans1, Inc. (a) 2,790 7,366 Triple-S Management Corp. (a) 2,445 51,100 Unilife Corp. (a) 11,084 34,582 Universal American Corp. (a) 4,434 40,970 Universal Health Services, Inc., Class B 11,677 533,989 Urologix, Inc. (a) 6,008 4,686 Uroplasty, Inc. (a) 3,549 13,522 US Physical Therapy, Inc. 1,742 48,131 Utah Medical Products, Inc. 671 22,807 Vanguard Health Systems, Inc. (a) 4,332 53,587 Vascular Solutions, Inc. (a) 2,430 35,988 Vision-Sciences, Inc. (a) 5,004 6,605 Volcano Corp. (a) 7,194 205,533 WellCare Health Plans, Inc. (a)(b) 5,719 323,409 West Pharmaceutical Services, Inc. 4,488 238,178 Wright Medical Group, Inc. (a) 5,321 117,647 Young Innovations, Inc. 831 32,492 ------------ 20,332,323 ----------------------------------------------------------------------------------------------- HOUSEHOLD GOODS & HOME CONSTRUCTION -- 2.1% ACCO Brands Corp. (a) 15,358 99,673 American Greetings Corp., Class A 4,439 74,575 AT Cross Co., Class A (a) 1,404 13,998 Bassett Furniture Industries, Inc. 1,804 22,460 Beazer Homes USA, Inc. (a) 17,280 61,344 Blount International, Inc. (a) 6,811 89,633 Blyth, Inc. 1,516 39,401 Briggs & Stratton Corp. 6,351 118,573 Cavco Industries, Inc. (a) 887 40,704 Central Garden & Pet Co., Class A (a) 5,730 69,218 Church & Dwight Co., Inc. 18,405 993,686 Compx International, Inc. 1,337 20,296 Comstock Homebuilding Cos., Inc., Class A (a) 4,243 5,473 Dixie Group, Inc. (a) 2,471 8,970 Energizer Holdings, Inc. 8,556 638,363 Ethan Allen Interiors, Inc. 3,500 76,720 Flexsteel Industries, Inc. 965 19,975 Forward Industries, Inc. (a) 2,823 3,303 Furniture Brands International, Inc. (a) 6,084 8,822 Herman Miller, Inc. 7,788 151,399 HNI Corp. 5,995 152,932 Hooker Furniture Corp. 1,700 22,083 Hovnanian Enterprises, Inc., Class A (a) 13,795 47,731 Interface, Inc. 7,794 102,959 iRobot Corp. (a) 3,620 82,391 Jarden Corp. 9,984 527,555 KB Home 10,237 146,901 Kid Brands, Inc. (a) 2,042 3,124 Knoll, Inc. 6,388 89,113 L.S. Starrett Co., Class A 939 12,085 La-Z-Boy, Inc. (a) 7,189 105,175 Libbey, Inc. (a) 2,986 47,119 Lifetime Brands, Inc. 1,440 17,150 M/I Homes, Inc. (a) 2,831 54,752 MDC Holdings, Inc. 5,095 196,208 Meritage Homes Corp. (a) 4,156 158,053 Middleby Corp. (a) 2,503 289,447 Mohawk Industries, Inc. (a)(b) 7,722 617,914 National Presto Industries, Inc. 666 48,538 NVR, Inc. (a) 644 543,858 Oil-Dri Corp. of America 858 19,854 Ryland Group, Inc. 6,026 180,780 The Scotts Miracle-Gro Co. 5,111 222,175 Sealy Corp. (a)(b) 8,088 17,632 Select Comfort Corp. (a) 7,588 239,401 Skyline Corp. 880 4,761 Spectrum Brands Holdings, Inc. 3,019 120,790 Standard-Pacific Corp. (a) 14,905 100,758 Stanley Furniture Co., Inc. (a) 3,010 14,659 Steelcase, Inc., Class A 10,523 103,652 Summer Infant, Inc. (a) 1,416 2,620 Tempur-Pedic International, Inc. (a) 7,986 238,701 Toll Brothers, Inc. (a) 19,975 663,769 Tupperware Corp. 7,391 396,084 Virco Manufacturing Corp. (a) 2,505 5,937 WD-40 Co. 1,959 103,122 ------------ 8,256,369 -----------------------------------------------------------------------------------------------
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 12 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- INDUSTRIAL ENGINEERING -- 3.1% Accuride Corp. (a) 6,536 $ 30,458 AGCO Corp. (a)(c) 12,915 613,204 Alamo Group, Inc. 1,237 41,786 Albany International Corp., Class A 3,840 84,365 Altra Holdings, Inc. 3,766 68,541 American Railcar Industries, Inc. (a) 1,241 35,170 Astec Industries, Inc. (a) 2,737 86,517 The Babcock & Wilcox Co. (a) 15,828 403,139 Broadwind Energy, Inc. (a) 2,362 5,149 Cascade Corp. 1,156 63,279 Ceco Environmental Corp. 1,735 16,951 Chicago Rivet & Machine Co. 352 6,526 CIRCOR International, Inc. 2,325 87,769 Clarcor, Inc. 6,554 292,505 Colfax Corp. (a)(b) 8,951 328,233 Columbus McKinnon Corp. (a) 2,620 39,588 Commercial Vehicle Group, Inc. (a) 3,771 27,717 Crane Co. 6,404 255,712 Donaldson Co., Inc. 18,193 631,479 Douglas Dynamics, Inc. 3,221 47,639 Dynamic Materials Corp. 1,846 27,727 The Eastern Co. 917 17,185 Energy Recovery, Inc. (a) 7,636 22,603 EnPro Industries, Inc. (a) 2,775 99,928 Federal Signal Corp. (a) 8,538 53,960 Flow International Corp. (a) 7,491 27,717 Franklin Electric Co., Inc. 2,508 151,709 Freightcar America, Inc. 1,642 29,211 Gardner Denver, Inc. 6,534 394,719 GATX Corp. 6,144 260,751 The Gorman-Rupp Co. 2,066 55,782 Graco, Inc. 8,105 407,519 Graham Corp. 1,551 28,027 Greenbrier Cos., Inc. (a) 3,356 54,166 H&E Equipment Services, Inc. 3,936 47,704 Hardinge, Inc. 1,772 18,163 Hurco Cos., Inc. (a) 928 21,233 IDEX Corp. 11,062 462,060 John Bean Technologies Corp. 3,875 63,279 Kadant, Inc. (a) 1,632 37,846 Kaydon Corp. 4,157 92,867 Kennametal, Inc. 10,633 394,272 Key Technology, Inc. (a) 780 7,488 Kimball International, Inc., Class B 4,154 50,762 Lincoln Electric Holdings, Inc. 11,064 432,049 Lindsay Manufacturing Co. 1,682 121,053 Lydall, Inc. (a) 2,458 34,633 Manitex International, Inc. (a) 1,640 11,857 Manitowoc Co. 17,617 235,011 Materion Corp. 2,832 67,402 Meritor, Inc. (a) 13,094 55,519 Met-Pro Corp. 2,279 20,397 MFRI, Inc. (a) 1,400 8,120 Miller Industries, Inc. 1,520 24,396 Mine Safety Appliances Co. 4,108 153,105 Mueller Industries, Inc. 5,087 231,306 NACCO Industries, Inc., Class A 827 103,714 Navistar International Corp. (a) 9,090 191,708 NN, Inc. (a) 2,599 22,065 Nordson Corp. 7,522 440,940 Oshkosh Corp. (a) 12,116 332,342 PMFG, Inc. (a) 2,383 19,278 Robbins & Myers, Inc. 5,667 337,753 Sauer-Danfoss, Inc. 1,532 61,602 Spartan Motors, Inc. 4,359 21,795 SPX Corp. 6,743 441,060 Standex International Corp. 1,694 75,298 Sun Hydraulics, Inc. 3,446 91,560 Sypris Solutions, Inc. 2,319 16,558 Tecumseh Products Co., Class A (a) 2,544 13,178 Tennant Co. 2,435 104,267 Terex Corp. (a) 14,763 333,348 Timken Co. 10,724 398,504 Toro Co. 7,836 311,716 Trinity Industries, Inc. 10,508 314,925 Twin Disc, Inc. 1,243 22,250 Wabash National Corp. (a) 9,181 65,460 Westinghouse Air Brake Technologies Corp. 6,391 513,133 Williams Controls, Inc. 1,211 12,715 Woodward, Inc. 7,938 269,733 ------------ 11,902,155 ----------------------------------------------------------------------------------------------- INDUSTRIAL METALS & MINING -- 0.7% AK Steel Holding Corp. 14,617 70,162 Ampco-Pittsburgh Corp. 1,202 22,177 Carpenter Technology Corp. 5,881 307,694 Century Aluminum Co. (a) 7,017 50,172 Cold Metal Products, Inc. (a) 1,400 -- Commercial Metals Co. 15,422 203,570 Friedman Industries, Inc. 1,680 17,119 Globe Specialty Metals, Inc. 8,642 131,531 Handy & Harman Ltd. (a) 989 14,617 Haynes International, Inc. 1,709 89,124 Horsehead Holding Corp. (a) 6,295 58,795 Kaiser Aluminum Corp. 2,262 132,078 McEwen Mining, Inc. (a) 32,651 149,868 Metals USA Holdings Corp. (a) 1,855 24,801 Noranda Aluminum Holding Corp. 9,283 62,103 Olympic Steel, Inc. 1,358 22,923 Reliance Steel & Aluminum Co. 10,046 525,908 RTI International Metals, Inc. (a) 4,083 97,747 Steel Dynamics, Inc. 29,318 329,241 Synalloy Corp. 997 13,759 TMS International Corp. (a) 2,071 20,503 Universal Stainless & Alloy Products, Inc. (a) 1,028 38,190 Uranium Energy Corp. (a) 12,021 31,375 Uranium Resources, Inc. (a)(b) 20,307 10,357
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 13 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- INDUSTRIAL METALS & MINING (CONCLUDED) USEC, Inc. (a)(b) 16,407 $ 12,798 Worthington Industries, Inc. 6,989 151,382 ------------ 2,587,994 ----------------------------------------------------------------------------------------------- INDUSTRIAL TRANSPORTATION -- 1.6% Air Lease Corp. (a) 9,073 185,089 Air Transport Services Group, Inc. (a) 7,359 32,380 Aircastle Ltd. 7,621 86,346 Arkansas Best Corp. 2,993 23,705 Atlas Air Worldwide Holdings, Inc. (a) 3,489 180,137 Baltic Trading Ltd. 2,090 6,751 CAI International, Inc. (a) 1,765 36,218 Celadon Group, Inc. 2,934 47,149 Con-way, Inc. 7,360 201,443 Covenant Transport Group, Inc., Class A (a) 1,373 6,316 Eagle Bulk Shipping, Inc. (a)(b) 2,191 7,909 Echo Global Logistics, Inc. (a) 2,128 36,495 Forward Air Corp. 3,833 116,562 Frozen Food Express Industries, Inc. (a) 2,545 5,014 Genco Shipping & Trading Ltd. (a) 5,201 19,140 Genesee & Wyoming, Inc., Class A (a) 5,275 352,686 Heartland Express, Inc. 5,704 76,205 HUB Group, Inc., Class A (a) 4,681 138,932 International Shipholding Corp. 852 14,373 J.B. Hunt Transport Services, Inc. 11,981 623,491 Kansas City Southern 14,617 1,107,676 Kirby Corp. (a) 7,444 411,504 Knight Transportation, Inc. 7,539 107,808 Landstar System, Inc. 6,242 295,122 Marten Transport Ltd. 2,036 35,773 Matson, Inc. 5,458 114,127 Old Dominion Freight Line, Inc. (a) 9,351 282,011 Overseas Shipholding Group, Inc. 3,383 22,328 P.A.M. Transportation Services, Inc. 847 8,440 Pacer International, Inc. (a) 4,839 19,259 Patriot Transportation Holding, Inc. (a) 914 25,482 PHH Corp. (a)(b) 7,580 154,253 Quality Distribution, Inc. (a) 3,133 28,980 Railamerica, Inc. (a) 2,571 70,625 Rand Logistics, Inc. (a) 2,686 20,226 Roadrunner Transportation Systems, Inc. (a) 1,860 30,095 Saia, Inc. (a) 2,185 44,006 Swift Transportation Co. (a) 11,225 96,759 TAL International Group, Inc. 4,007 136,158 Teekay Corp. 4,953 154,534 Textainer Group Holdings Ltd. 2,012 61,467 Universal Truckload Services, Inc. 676 10,796 USA Truck, Inc. (a) 1,407 5,121 UTI Worldwide, Inc. 13,622 183,488 Werner Enterprises, Inc. 5,527 118,112 Wesco Aircraft Holdings, Inc. (a) 2,855 38,999 Willis Lease Finance Corp. (a) 1,115 13,759 World Fuel Services Corp. 9,644 343,423 XPO Logistics, Inc. (a) 2,562 31,359 YRC Worldwide, Inc. (a) 1,401 9,485 ------------ 6,177,516 ----------------------------------------------------------------------------------------------- LEISURE GOODS -- 0.8% Activision Blizzard, Inc. 55,784 629,243 Arctic Cat, Inc. (a) 1,799 74,586 Black Diamond, Inc. (a) 3,283 28,792 Brunswick Corp. 12,008 271,741 Callaway Golf Co. 8,354 51,294 Drew Industries, Inc. (a) 2,555 77,187 DTS, Inc. (a) 2,584 60,155 Emerson Radio Corp. (a) 4,864 9,923 Escalade, Inc. 1,740 9,309 Glu Mobile, Inc. (a) 7,237 33,507 Jakks Pacific, Inc. 2,692 39,222 Koss Corp. 1,133 5,654 Leapfrog Enterprises, Inc. (a) 6,698 60,416 Majesco Entertainment Co. (a) 6,877 8,665 Marine Products Corp. 1,997 11,902 Meade Instruments Corp. (a) 433 1,386 Nautilus, Inc. (a) 4,489 11,761 Polaris Industries, Inc. 8,471 685,050 Pool Corp. 6,147 255,592 RealD, Inc. (a) 6,568 58,718 Skullcandy, Inc. (a)(b) 2,357 32,409 Steinway Musical Instruments, Inc. (a) 966 23,532 Take-Two Interactive Software, Inc. (a) 12,102 126,224 Thor Industries, Inc. 5,791 210,329 THQ, Inc. (a) 1,217 4,503 TiVo, Inc. (a) 16,884 176,100 Universal Electronics, Inc. (a) 2,107 37,041 Winnebago Industries, Inc. (a) 4,208 53,147 ------------ 3,047,388 ----------------------------------------------------------------------------------------------- LIFE INSURANCE -- 0.4% American Equity Investment Life Holding Co. 8,001 93,052 Amerisafe, Inc. (a) 2,646 71,812 Atlantic American Corp. 1,107 3,033 Citizens, Inc. (a) 6,275 65,825 CNO Financial Group, Inc. 30,703 296,284 eHealth, Inc. (a) 2,834 53,194 Employers Holdings, Inc. 4,300 78,819 FBL Financial Group, Inc., Class A 1,521 50,497 Independence Holding Co. 1,624 16,354 Kansas City Life Insurance Co. 499 19,226
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 14 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- LIFE INSURANCE (CONCLUDED) National Western Life Insurance Co., Class A 257 $ 36,815 The Phoenix Cos., Inc. (a) 801 24,567 Presidential Life Corp. 2,977 41,470 Primerica, Inc. 6,464 185,129 Protective Life Corp. 10,520 275,729 Stancorp Financial Group, Inc. 5,694 177,881 Symetra Financial Corp. 9,981 122,766 ------------ 1,612,453 ----------------------------------------------------------------------------------------------- MEDIA -- 3.6% Acxiom Corp. (a) 10,050 183,613 AH Belo Corp. 2,700 13,041 AMC Networks, Inc., Class A (a)(b) 7,719 335,931 Arbitron, Inc. 3,500 132,650 Ascent Capital Group, Inc., Class A (a) 1,805 97,488 Avid Technology, Inc. (a) 4,258 40,281 Bankrate, Inc. (a) 5,915 92,156 Beasley Broadcasting Group, Inc., Class A (a) 1,114 5,436 Belo Corp., Class A 12,235 95,800 Charter Communications, Inc., Class A (a) 6,010 451,171 Clear Channel Outdoor Holdings, Inc., Class A 5,342 31,945 ComScore, Inc. (a) 4,788 73,017 Constant Contact, Inc. (a) 4,239 73,759 Courier Corp. 1,599 19,540 Crown Media Holdings, Inc., Class A (a) 4,523 7,553 CSS Industries, Inc. 1,288 26,468 CTN Media Group, Inc. (a) 50 -- Cumulus Media, Inc., Class A (a) 9,483 25,983 Demand Media, Inc. (a) 5,419 58,905 Dex One Corp. (a) 7,319 9,149 Digital Generation, Inc. (a) 3,375 38,340 DISH Network Corp., Class A 30,214 924,851 Dolby Laboratories, Inc., Class A (a) 6,575 215,331 DreamWorks Animation SKG, Inc., Class A (a) 9,367 180,127 Emmis Communications Corp., Class A (a) 4,463 8,971 Entercom Communications Corp. (a) 2,909 19,956 Entravision Communications Corp., Class A 9,776 13,100 ePocrates, Inc. (a) 2,726 31,758 EW Scripps Co. (a) 3,871 41,226 FactSet Research Systems, Inc. 5,447 525,200 Fisher Communications, Inc. (a) 944 34,701 Gray Television, Inc. (a) 7,124 16,243 Groupon, Inc. (a) 36,803 175,182 Harte-Hanks, Inc. 5,635 39,051 Hollywood Media Corp. (a) 10,217 13,691 IHS, Inc., Class A (a) 6,676 649,909 John Wiley & Sons, Inc., Class A 6,180 283,971 Journal Communications, Inc., Class A (a) 5,439 28,283 Lamar Advertising Co., Class A (a) 7,402 274,318 Liberty Global, Inc., Class A (a) 33,284 2,022,003 Liberty Interactive Corp., Class A (a) 69,049 1,277,406 Liberty Media Corp. - Liberty Capital (a) 14,784 1,540,049 Liberty Ventures (a) 2,521 125,142 Lin TV Corp., Class A (a) 5,422 23,857 Live Nation Entertainment, Inc. (a)(b) 18,852 162,316 Local Corp. (a) 6,769 13,470 LodgeNet Interactive Corp. (a) 3,237 2,111 Marchex, Inc., Class B 2,688 10,268 Martha Stewart Living Omnimedia, Inc., Class A 3,881 11,915 McClatchy Co., Class A (a) 8,667 19,327 Media General, Inc., Class A (a)(b) 3,103 16,074 Meredith Corp. (b) 4,728 165,480 Morningstar, Inc. 3,208 200,949 National CineMedia, Inc. 7,739 126,687 New Frontier Media, Inc. (a) 3,965 5,273 The New York Times Co., Class A (a) 16,543 161,460 Nexstar Broadcasting Group, Inc., Class A (a) 2,051 21,782 Nielsen Holdings NV (a) 16,081 482,108 Outdoor Channel Holdings, Inc. 1,898 13,817 Pandora Media, Inc. (a) 12,693 138,988 PDI, Inc. (a) 1,936 15,430 QuinStreet, Inc. (a) 4,361 36,589 Radio One, Inc., Class D (a) 7,441 6,176 Saga Communications, Inc. (a) 550 22,286 Salem Communications Corp., Class A 1,460 7,650 Schawk, Inc. 1,635 21,337 Scholastic Corp. 3,340 106,145 Sinclair Broadcast Group, Inc., Class A 7,071 79,266 Sirius XM Radio, Inc. (a) 510,958 1,328,491 Spanish Broadcasting System, Inc. (a) 654 2,132 SPAR Group, Inc. (a) 3,165 5,286 SuperMedia, Inc. (a)(b) 2,295 6,105 TechTarget, Inc. (a) 2,801 16,554 TheStreet.com, Inc. 7,238 11,074 Valassis Communications, Inc. (a) 5,358 132,289 Value Line, Inc. 420 4,099 ValueClick, Inc. (a) 9,960 171,212 WebMD Health Corp., Class A (a)(b) 7,006 98,294 WebMediaBrands, Inc. (a) 1,442 3,302
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 15 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- MEDIA (CONCLUDED) XO Group, Inc. (a) 4,337 $ 36,214 ------------ 13,938,508 ----------------------------------------------------------------------------------------------- MINING -- 0.9% Allied Nevada Gold Corp. (a) 11,248 439,347 AMCOL International Corp. 3,425 116,039 Arch Coal, Inc. 28,191 178,449 Cloud Peak Energy, Inc. (a) 8,315 150,501 Coeur d'Alene Mines Corp. (a) 12,200 351,726 Compass Minerals International, Inc. 4,412 329,091 General Moly, Inc. (a) 8,818 27,953 Golden Minerals Co. (a) 5,722 29,869 Hecla Mining Co. 39,090 256,039 James River Coal Co. (a)(b) 4,899 14,109 Molycorp, Inc. (a)(b) 10,379 119,358 Royal Gold, Inc. 8,039 802,775 Solitario Exploration & Royalty Corp. (a) 7,850 14,523 Stillwater Mining Co. (a) 15,593 183,841 SunCoke Energy, Inc. (a) 9,532 153,656 Timberline Resources Corp. (a)(b) 15,011 6,305 Walter Industries, Inc. 8,365 271,528 Westmoreland Coal Co. (a) 2,361 23,445 ------------ 3,468,554 ----------------------------------------------------------------------------------------------- MOBILE TELECOMMUNICATIONS -- 0.5% Atlantic Tele-Network, Inc. 1,327 57,034 Globalstar, Inc. (a) 15,196 6,990 Iridium Communications, Inc. (a) 8,064 59,029 Leap Wireless International, Inc. (a) 7,397 50,448 NII Holdings, Inc. (a)(b) 22,719 178,344 NTELOS Holdings Corp. 1,992 34,601 ORBCOMM, Inc. (a) 6,188 23,143 SBA Communications Corp., Class A (a) 16,316 1,026,276 Shenandoah Telecom Co. 3,096 54,490 Telephone & Data Systems, Inc. 13,256 339,486 U.S. Cellular Corp. (a) 1,571 61,473 USA Mobility, Inc. 3,008 35,705 ------------ 1,927,019 ----------------------------------------------------------------------------------------------- NONLIFE INSURANCE -- 3.5% Alleghany Corp. (a) 2,265 781,289 Allied World Assurance Co. Holdings AG 4,786 369,718 American Financial Group, Inc. 10,433 395,411 American National Insurance Co. 768 55,165 American Safety Insurance Holdings Ltd. (a) 1,595 29,811 AmTrust Financial Services, Inc. 3,651 93,536 Arch Capital Group Ltd. (a) 17,990 749,823 Argo Group International Holdings Ltd. 3,386 109,673 Arthur J. Gallagher & Co. 15,983 572,511 Aspen Insurance Holdings Ltd. 9,347 284,990 Assured Guaranty Ltd. 25,726 350,388 Axis Capital Holdings Ltd. 15,573 543,809 Baldwin & Lyons, Inc., Class B 1,436 34,335 Brown & Brown, Inc. 15,581 406,197 CNA Financial Corp. 3,330 89,244 Donegal Group, Inc., Class A 1,498 21,032 Eastern Insurance Holdings, Inc. 1,380 23,143 EMC Insurance Group, Inc. 901 18,921 Endurance Specialty Holdings Ltd. 5,696 219,296 Enstar Group Ltd. (a) 1,106 110,213 Erie Indemnity Co., Class A 3,420 219,803 Everest Re Group Ltd. 6,757 722,729 Federated National Holding Co. (a) 1,906 11,360 First Acceptance Corp. (a) 1,327 1,526 First American Financial Corp. 14,137 306,349 Flagstone Reinsurance Holdings SA 7,562 64,958 Global Indemnity Plc (a) 1,654 36,189 Greenlight Capital Re Ltd. (a) 4,205 104,074 The Hanover Insurance Group, Inc. 5,809 216,443 HCC Insurance Holdings, Inc. 13,451 455,854 Hilltop Holdings, Inc. (a) 5,908 75,091 Horace Mann Educators Corp. 5,275 95,530 Infinity Property & Casualty Corp. 1,610 97,228 Kemper Corp. 7,086 217,611 Life Partners Holdings, Inc. 2,288 6,178 Maiden Holdings Ltd. 7,487 66,559 Markel Corp. (a) 1,218 558,441 MBIA, Inc. (a) 18,965 192,115 Meadowbrook Insurance Group, Inc. 6,607 50,808 Mercury General Corp. 3,553 137,323 Montpelier Re Holdings Ltd. 7,605 168,299 National Interstate Corp. 2,400 61,920 Navigators Group, Inc. (a) 1,497 73,690 Old Republic International Corp. 32,231 299,748 OneBeacon Insurance Group Ltd. 2,936 39,460 PartnerRe Ltd. 8,278 614,890 Platinum Underwriters Holdings Ltd. 4,411 180,278 ProAssurance Corp. 4,119 372,522 Reinsurance Group of America, Inc. 9,722 562,612 RenaissanceRe Holdings Ltd. 6,655 512,701 RLI Corp. 2,283 152,185 Safety Insurance Group, Inc. 1,798 82,492 SeaBright Holdings, Inc. 3,093 34,023 Selective Insurance Group, Inc. 7,348 139,538 State Auto Financial Corp. 2,051 33,616 Tower Group, Inc. 4,679 90,726 United Fire Group, Inc. 3,007 75,536 Universal Insurance Holdings, Inc. 4,307 16,582 Validus Holdings Ltd. 12,407 420,721 W.R. Berkley Corp. 14,754 553,127
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 16 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- NONLIFE INSURANCE (CONCLUDED) White Mountains Insurance Group, Inc. (b) 726 $ 372,685 ------------ 13,752,025 ----------------------------------------------------------------------------------------------- OIL & GAS PRODUCERS -- 3.9% Abraxas Petroleum Corp. (a) 12,503 28,757 Adams Resources & Energy, Inc. 322 9,821 Alon USA Energy, Inc. 1,857 25,441 Apco Oil and Gas International, Inc. 2,407 38,729 Approach Resources, Inc. (a) 3,955 119,164 Barnwell Industries, Inc. (a) 1,930 6,215 Berry Petroleum Co., Class A 6,238 253,450 Bill Barrett Corp. (a) 6,446 159,667 Bonanza Creek Energy, Inc. (a) 3,171 74,709 BPZ Resources, Inc. (a) 14,199 40,609 Brenham Oil+Gas Corp. (a) 5,673 397 Callon Petroleum Co. (a) 5,666 34,846 Carrizo Oil & Gas, Inc. (a) 4,998 125,000 Cheniere Energy, Inc. (a) 28,788 447,653 Cimarex Energy Co. 11,447 670,222 Clayton Williams Energy, Inc. (a) 851 44,158 Cobalt International Energy, Inc. (a) 23,668 527,086 Comstock Resources, Inc. (a) 6,112 112,339 Concho Resources, Inc. (a) 13,917 1,318,636 Contango Oil & Gas Co. (a) 1,779 87,420 Continental Resources, Inc. (a) 7,507 577,288 CREDO Petroleum Corp. (a) 1,417 20,532 CVR Energy, Inc. (a) 2,084 76,587 Delek US Holdings, Inc. 2,317 59,060 Double Eagle Pete & Mining Co. (a) 2,021 11,176 Emerald Oil, Inc. (a) 10,035 8,329 Endeavour International Corp. (a) 6,095 58,939 Energen Corp. 9,603 503,293 EPL Oil & Gas, Inc. (a) 4,762 96,621 Evolution Petroleum Corp. (a) 3,828 30,930 EXCO Resources, Inc. 19,444 155,747 Forest Oil Corp. (a) 15,811 133,603 FX Energy, Inc. (a) 7,352 54,846 Gasco Energy, Inc. (a) 5,700 827 Gastar Exploration Ltd. (a) 8,271 13,730 GeoPetro Resources Co. (a) 9,626 982 GMX Resources, Inc. (a)(b) 8,292 6,634 Goodrich Petroleum Corp. (a) 3,805 48,095 Gulfport Energy Corp. (a) 6,662 208,254 Halcon Resources Corp. (a) 11,671 85,548 Harvest Natural Resources, Inc. (a) 5,394 48,115 HollyFrontier Corp. 27,167 1,121,182 Houston American Energy Corp. (a) 5,104 4,593 Hyperdynamics Corp. (a) 19,302 14,091 Isramco, Inc. (a) 212 24,592 Kodiak Oil & Gas Corp. (a) 35,553 332,776 Laredo Petroleum Holdings, Inc. (a) 3,330 73,193 Magellan Petroleum Corp. (a) 8,484 8,908 Magnum Hunter Resources Corp. (a) 22,060 97,946 McMoRan Exploration Co. (a) 13,565 159,389 Miller Energy Resources, Inc. (a) 5,310 26,709 Northern Oil and Gas, Inc. (a) 8,135 138,214 Oasis Petroleum, Inc. (a) 9,617 283,413 Panhandle Oil & Gas, Inc. 1,132 34,718 PDC Energy, Inc. (a) 4,083 129,145 Penn Virginia Corp. 6,206 38,477 Petroquest Energy, Inc. (a) 8,167 54,801 Pioneer Energy Services Corp. (a) 8,275 64,462 Plains Exploration & Production Co. (a) 17,256 646,582 PostRock Energy Corp. (a) 1,910 3,266 Quicksilver Resources, Inc. (a) 16,252 66,471 Resolute Energy Corp. (a) 5,738 50,896 Rex Energy Corp. (a) 5,835 77,897 Rosetta Resources, Inc. (a) 7,104 340,282 SandRidge Energy, Inc. (a) 46,924 327,060 SM Energy Co. 8,714 471,515 Stone Energy Corp. (a) 6,741 169,334 Swift Energy Co. (a)(b) 5,739 119,830 Syntroleum Corp. (a) 11,960 9,090 Targa Resources, Inc. 3,903 196,477 Transocean Ltd. 47,664 2,139,637 Ultra Petroleum Corp. (a) 20,386 448,084 US Energy Corp. - Wyoming (a) 4,911 10,559 Vaalco Energy, Inc. (a) 8,158 69,751 Venoco, Inc. (a) 4,184 49,706 W&T Offshore, Inc. 4,715 88,548 Warren Resources, Inc. (a) 10,205 31,023 Western Refining, Inc. 7,997 209,362 Whiting Petroleum Corp. (a) 15,706 744,150 ZaZa Energy Corp. (a) 5,221 15,506 Zion Oil & Gas, Inc. (a)(b) 6,336 14,509 ------------ 15,229,599 ----------------------------------------------------------------------------------------------- OIL EQUIPMENT, SERVICES & DISTRIBUTION -- 2.5% Atwood Oceanics, Inc. (a) 7,690 349,510 Basic Energy Services, Inc. (a) 3,888 43,623 Bolt Technology Corp. 1,419 20,405 Bristow Group, Inc. 4,662 235,664 C&J Energy Services, Inc. (a) 1,713 34,089 Cal Dive International, Inc. (a) 12,779 19,552 CARBO Ceramics, Inc. (b) 2,609 164,158 Chart Industries, Inc. (a)(b) 3,990 294,661 Crosstex Energy, Inc. 5,968 83,731 Dawson Geophysical Co. (a) 1,228 31,019 DHT Holdings, Inc. 1,787 11,187 Dresser-Rand Group, Inc. (a) 10,145 559,091 Dril-Quip, Inc. (a) 4,851 348,690 Exterran Holdings, Inc. (a) 8,704 176,517 Flotek Industries, Inc. (a) 6,231 78,947 Forbes Energy Services Ltd. (a) 2,153 7,536 Geokinetics, Inc. (a) 3,468 1,283 Geospace Technologies Corp. (a) 872 106,742
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 17 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- OIL EQUIPMENT, SERVICES & DISTRIBUTION (CONCLUDED) Global Geophysical Services, Inc. (a) 3,029 $ 16,690 Gulf Island Fabrication, Inc. 1,954 54,458 Gulfmark Offshore, Inc., Class A (a) 3,292 108,768 Helix Energy Solutions Group, Inc. (a) 13,076 238,899 Hercules Offshore, Inc. (a) 21,217 103,539 Hornbeck Offshore Services, Inc. (a) 4,297 157,485 ION Geophysical Corp. (a)(b) 16,358 113,525 Key Energy Services, Inc. (a) 20,172 141,204 Lufkin Industries, Inc. 4,483 241,275 Matrix Service Co. (a) 3,490 36,889 McDermott International, Inc. (a) 31,127 380,372 Mitcham Industries, Inc. (a) 1,733 27,607 MRC Global, Inc. (a) 3,153 77,532 Natural Gas Services Group, Inc. (a) 1,996 29,840 Newpark Resources, Inc. (a) 12,110 89,735 Oceaneering International, Inc. 14,360 793,390 OGE Energy Corp. 13,124 727,857 Oil States International, Inc. (a) 7,314 581,170 Parker Drilling Co. (a) 16,260 68,780 Patterson-UTI Energy, Inc. 20,148 319,144 PHI, Inc. (a) 1,794 56,439 RPC, Inc. 8,725 103,740 SEACOR Holdings, Inc. (a) 2,586 215,569 SemGroup Corp. (a) 5,773 212,735 Superior Energy Services, Inc. (a) 20,985 430,612 Tesco Corp. (a) 4,332 46,266 Tetra Technologies, Inc. (a) 10,217 61,813 TGC Industries, Inc. (a) 2,499 17,993 Tidewater, Inc. 6,622 321,366 Union Drilling, Inc. (a) 2,461 15,972 Unit Corp. (a) 5,742 238,293 Weatherford International Ltd. (a) 100,715 1,277,066 Willbros Group, Inc. (a) 6,936 37,246 ------------ 9,909,674 ----------------------------------------------------------------------------------------------- PERSONAL GOODS -- 1.6% American Apparel, Inc. (a) 8,268 12,733 Carter's, Inc. (a) 6,837 368,104 Charles & Colvard Ltd. (a) 3,457 12,480 Cherokee, Inc. 1,420 20,675 Columbia Sportswear Co. 1,574 84,996 Crocs, Inc. (a) 12,001 194,536 Culp, Inc. 1,551 18,240 Deckers Outdoor Corp. (a)(b) 4,972 182,174 Delta Apparel, Inc. (a) 1,207 16,620 Elizabeth Arden, Inc. (a) 3,378 159,577 Female Health Co. 3,365 24,060 Fifth & Pacific Cos., Inc. (a) 15,228 194,614 G-III Apparel Group Ltd. (a) 2,201 79,016 Hanesbrands, Inc. (a)(b) 13,127 418,489 Heelys, Inc. (a) 4,690 8,442 Helen of Troy Ltd. (a) 4,185 133,209 Iconix Brand Group, Inc. (a) 9,133 166,586 Inter Parfums, Inc. 2,065 37,789 Joe's Jeans, Inc. (a) 9,399 10,151 The Jones Group, Inc. 10,162 130,785 K-Swiss, Inc., Class A (a)(b) 3,783 12,976 Lakeland Industries, Inc. (a) 913 5,670 Maidenform Brands, Inc. (a) 3,323 68,055 Michael Kors Holdings Ltd. (a) 15,193 807,964 Movado Group, Inc. 2,342 78,972 Nu Skin Enterprises, Inc., Class A 7,143 277,363 Orchids Paper Products Co. 1,117 20,151 Oxford Industries, Inc. 1,940 109,513 Perry Ellis International, Inc. (a) 1,659 36,581 Physicians Formula Holdings, Inc. (a) 1,994 9,711 PVH Corp. 9,408 881,718 Quiksilver, Inc. (a) 16,875 56,025 R.G. Barry Corp. 1,521 22,420 Revlon, Inc., Class A (a) 1,619 24,997 Rocky Brands, Inc. (a) 1,306 15,084 Skechers U.S.A., Inc., Class A (a) 5,170 105,468 Steven Madden Ltd. (a) 5,452 238,361 Superior Uniform Group, Inc. 938 11,237 Tandy Brands Accessories, Inc. (a) 1,401 1,919 True Religion Apparel, Inc. 3,351 71,477 Under Armour, Inc., Class A (a) 10,363 578,566 Unifi, Inc. (a) 2,216 28,409 Vera Bradley, Inc. (a) 2,945 70,238 The Warnaco Group, Inc. (a) 5,455 283,114 Weyco Group, Inc. 1,172 28,538 Wolverine World Wide, Inc. 6,508 288,760 ------------ 6,406,563 ----------------------------------------------------------------------------------------------- PHARMACEUTICALS & BIOTECHNOLOGY -- 5.0% Aastrom Biosciences, Inc. (a) 6,446 10,443 Acadia Pharmaceuticals, Inc. (a) 7,718 19,527 Achillion Pharmaceuticals, Inc. (a) 7,627 79,397 Acorda Therapeutics, Inc. (a) 5,521 141,393 Acura Pharmaceuticals, Inc. (a) 3,065 5,333 Aegerion Pharmaceuticals, Inc. (a) 2,189 32,441 Affymax, Inc. (a) 5,044 106,227 Affymetrix, Inc. (a) 9,705 42,023 Agenus, Inc. (a) 3,970 18,302 Akorn, Inc. (a) 9,198 121,598 Albany Molecular Research, Inc. (a) 3,064 10,632 Alexza Pharmaceuticals, Inc. (a) 2,308 10,155 Alkermes Plc (a) 16,244 337,063 Allos Therapeutcs, Inc. (a) 9,140 -- Alnylam Pharmaceuticals, Inc. (a) 5,737 107,798 AMAG Pharmaceuticals, Inc. (a) 2,967 52,635 Amicus Therapeutics, Inc. (a) 4,875 25,350 Ampio Pharmaceuticals, Inc. (a) 3,601 14,044 Anacor Pharmaceuticals, Inc. (a) 2,986 19,648 Anthera Pharmaceuticals, Inc. (a) 9,930 9,870
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 18 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- PHARMACEUTICALS & BIOTECHNOLOGY (CONTINUED) Apricus Biosciences, Inc. (a) 4,493 $ 14,647 ARCA Biopharma, Inc. (a) 4,416 1,524 Arena Pharmaceuticals, Inc. (a)(b) 29,176 242,744 ARIAD Pharmaceuticals, Inc. (a) 22,389 542,374 Arqule, Inc. (a) 8,469 43,277 Array Biopharma, Inc. (a) 13,002 76,192 AspenBio Pharma, Inc. (a) 1,623 4,496 Astex Pharmaceuticals (a) 12,666 38,885 Auxilium Pharmaceuticals, Inc. (a) 6,626 162,072 Avanir Pharmaceuticals, Inc. (a) 18,752 60,006 AVEO Pharmaceuticals, Inc. (a) 4,951 51,540 BioCryst Pharmaceuticals, Inc. (a) 6,352 26,932 Biodel, Inc. (a) 1,917 5,578 BioDelivery Sciences International, Inc. (a) 4,044 25,558 BioMarin Pharmaceutical, Inc. (a) 16,531 665,703 BioMimetic Therapeutics, Inc. (a) 3,485 14,323 Biosante Pharmaceuticals, Inc. (a) 4,395 8,307 BioTime, Inc. (a) 4,908 20,614 Cadence Pharmaceuticals, Inc. (a) 7,822 30,662 CEL-SCI Corp. (a) 23,000 7,935 Cell Therapeutics, Inc. (a)(b) 7,442 18,084 Celldex Therapeutics, Inc. (a) 8,336 52,517 Cerus Corp. (a) 8,453 28,740 Charles River Laboratories International, Inc. (a) 6,552 259,459 Chelsea Therapeutics International, Inc. (a) 9,668 11,602 Cleveland BioLabs, Inc. (a)(b) 5,051 13,537 Columbia Laboratories, Inc. (a) 12,022 11,902 Complete Genomics, Inc. (a) 2,684 8,347 Corcept Therapeutics, Inc. (a) 9,465 26,407 Coronado Biosciences, Inc. (a) 3,077 16,000 Cubist Pharmaceuticals, Inc. (a) 8,542 407,283 Cumberland Pharmaceuticals, Inc. (a) 2,790 18,023 Curis, Inc. (a)(b) 11,518 47,685 Cytokinetics, Inc. (a) 12,278 10,228 Cytori Therapeutics, Inc. (a) 8,052 35,509 CytRx Corp. (a) 2,795 10,146 Dendreon Corp. (a)(b) 20,564 99,324 Depomed, Inc. (a) 8,144 48,131 Discovery Laboratories, Inc. (a) 6,753 22,150 Durect Corp. (a) 12,820 18,461 Dusa Pharmaceuticals, Inc. (a) 3,824 25,965 Dyax Corp. (a) 14,302 37,185 Dynavax Technologies Corp. (a) 24,253 115,444 Emergent Biosolutions, Inc. (a) 3,581 50,886 Endo Health Solutions, Inc. (a) 15,626 495,657 Endocyte, Inc. (a) 4,089 40,767 Entremed, Inc. (a) 4,054 7,297 Enzo Biochem, Inc. (a) 5,665 11,557 Enzon Pharmaceuticals, Inc. (a) 7,087 49,326 Exact Sciences Corp. (a) 8,035 88,465 Exelixis, Inc. (a)(b) 24,735 119,223 Furiex Pharmaceuticals, Inc. (a) 1,224 23,354 Galena Biopharma, Inc. (a) 11,088 19,737 Genomic Health, Inc. (a) 2,634 91,373 GenVec, Inc. (a) 3,691 5,795 Geron Corp. (a) 17,936 30,491 GTx, Inc. (a) 4,299 19,689 Halozyme Therapeutics, Inc. (a) 11,876 89,783 Harvard Bioscience, Inc. (a) 4,267 18,049 Hemispherx Biopharma, Inc. (a) 9,683 7,746 Hi-Tech Pharmacal Co., Inc. (a) 1,524 50,460 Idenix Pharmaceuticals, Inc. (a) 13,281 60,694 Idera Pharmaceuticals, Inc. (a) 6,210 6,210 Illumina, Inc. (a) 16,393 790,143 ImmunoGen, Inc. (a) 11,337 165,520 Immunomedics, Inc. (a) 10,447 36,669 Impax Laboratories, Inc. (a)(b) 8,556 222,114 Incyte Corp. (a) 17,563 317,012 Infinity Pharmaceuticals, Inc. (a) 3,835 90,314 Inovio Pharmaceuticals, Inc. (a) 16,169 9,459 Insmed, Inc. (a) 4,112 18,710 InterMune, Inc. (a) 9,057 81,241 Ironwood Pharmaceuticals, Inc. (a) 11,258 143,877 Isis Pharmaceuticals, Inc. (a) 13,641 191,929 Jazz Pharmaceuticals Plc (a) 6,235 355,457 Keryx Biopharmaceuticals, Inc. (a)(b) 11,000 31,020 Lexicon Genetics, Inc. (a) 66,454 154,173 Ligand Pharmaceuticals, Inc. (a) 2,736 46,922 Luminex Corp. (a) 5,253 102,118 MannKind Corp. (a)(b) 16,587 47,771 MAP Pharmaceuticals, Inc. (a) 4,034 62,809 Maxygen, Inc. 5,582 14,736 The Medicines Co. (a) 7,229 186,580 Medicis Pharmaceutical Corp., Class A 7,918 342,612 Medivation, Inc. (a) 9,916 558,866 Momenta Pharmaceuticals, Inc. (a) 6,326 92,170 Myrexis, Inc. (a) 4,574 11,115 Myriad Genetics, Inc. (a) 11,338 306,013 Nabi Biopharmaceuticals (a) 6,627 11,730 Nektar Therapeutics (a) 15,605 166,661 Neuralstem, Inc. (a)(b) 7,812 9,765 Neurocrine Biosciences, Inc. (a) 8,623 68,812 Novavax, Inc. (a) 17,687 38,204 NPS Pharmaceuticals, Inc. (a) 12,128 112,184 Obagi Medical Products, Inc. (a) 2,731 33,892 OncoGenex Pharmaceutical, Inc. (a) 2,253 31,925 Oncothyreon, Inc. (a) 7,581 38,966 Onyx Pharmaceuticals, Inc. (a)(b) 8,707 735,741 Opko Health, Inc. (a)(b) 19,545 81,698 Optimer Pharmaceuticals, Inc. (a) 6,695 94,533 Orexigen Therapeutics, Inc. (a) 8,881 50,710 Osiris Therapeutics, Inc. (a) 2,486 27,470 Oxigene, Inc. (a) 2,431 1,386
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 19 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- PHARMACEUTICALS & BIOTECHNOLOGY (CONCLUDED) Pacific Biosciences of California, Inc. (a) 6,221 $ 11,384 Pain Therapeutics, Inc. (a) 5,722 28,896 Palatin Technologies, Inc. (a) 9,887 6,648 Par Pharmaceutical Cos., Inc. (a) 4,944 247,101 PDL BioPharma, Inc. 19,342 148,740 Peregrine Pharmaceuticals, Inc. (a) 13,545 13,951 Pernix Therapeutics Holdings, Inc. (a) 1,483 11,048 Pharmacyclics, Inc. (a) 6,685 431,182 Pozen, Inc. (a) 4,229 28,038 Prestige Brands Holdings, Inc. (a) 7,010 118,890 Progenics Pharmaceuticals, Inc. (a) 4,674 13,414 Questcor Pharmaceuticals, Inc. (a)(b) 8,070 149,295 Raptor Pharmaceutical Corp. (a)(b) 6,967 38,737 Regeneron Pharmaceuticals, Inc. (a)(b) 9,991 1,525,226 Repligen Corp. (a) 4,247 25,312 Repros Therapeutics, Inc. (a) 2,204 33,567 Rexahn Pharmaceuticals, Inc. (a) 17,083 8,627 Rigel Pharmaceuticals, Inc. (a) 9,830 100,757 Sagent Pharmaceuticals, Inc. (a) 1,864 29,731 Salix Pharmaceuticals Ltd. (a) 6,738 285,287 Sangamo Biosciences, Inc. (a) 7,317 44,487 Santarus, Inc. (a) 7,137 63,377 Sarepta Therapeutics, Inc. (a) 2,905 45,115 Savient Pharmaceuticals, Inc. (a)(b) 9,940 24,751 Sciclone Pharmaceuticals, Inc. (a) 7,704 42,757 Seattle Genetics, Inc. (a) 13,789 371,614 Sequenom, Inc. (a)(b) 15,507 54,740 SIGA Technologies, Inc. (a) 6,019 19,261 Somaxon Pharmaceuticals, Inc. (a) 8,130 2,353 Spectrum Pharmaceuticals, Inc. (a)(b) 7,111 83,199 StemCells, Inc. (a)(b) 5,321 10,961 Strategic Diagnostics, Inc. (a) 4,728 5,910 Sucampo Pharmaceuticals, Inc., Class A (a) 6,190 31,136 Synageva BioPharma Corp. (a) 1,277 68,230 Synta Pharmaceuticals Corp. (a) 5,546 42,261 Targacept, Inc. (a) 3,854 18,846 Techne Corp. 4,633 333,298 Telik, Inc. (a) 402 643 Theravance, Inc. (a) 9,146 236,973 Threshold Pharmaceuticals, Inc. (a) 5,581 40,406 Transcept Pharmaceuticals, Inc. (a) 2,289 12,155 Trubion Pharmaceuticals, Inc. 3,113 -- United Therapeutics Corp. (a)(b) 6,482 362,214 Vanda Pharmaceuticals, Inc. (a) 4,711 18,985 Ventrus Biosciences, Inc. (a) 2,598 9,301 Vertex Pharmaceuticals, Inc. (a) 28,750 1,608,562 Vical, Inc. (a) 9,763 42,176 ViroPharma, Inc. (a) 9,216 278,508 Vivus, Inc. (a) 13,521 240,944 Warner Chilcott Plc, Class A 23,327 314,914 Xenoport, Inc. (a) 5,941 68,084 XOMA Corp. (a) 9,793 36,136 Zalicus, Inc. (a)(b) 11,758 8,702 ZIOPHARM Oncology, Inc. (a) 11,228 61,193 ------------ 19,576,986 ----------------------------------------------------------------------------------------------- PROFESSIONAL SERVICES -- 0.3% The Corporate Executive Board Co. 4,482 240,370 CoStar Group, Inc. (a) 3,576 291,587 Hudson Global, Inc. (a) 4,534 20,221 Kforce, Inc. (a) 4,333 51,086 Korn/Ferry International (a) 6,293 96,472 Manpower, Inc. 10,435 384,008 On Assignment, Inc. (a) 5,844 116,412 Pendrell Corp. (a) 23,867 26,970 ------------ 1,227,126 ----------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT & SERVICES -- 0.5% Alexander & Baldwin, Inc. (a) 5,733 169,295 American Realty Investors, Inc. (a) 900 2,934 AV Homes, Inc. (a) 1,576 23,388 BBX Capital Corp. (a) 1,474 9,522 Consolidated-Tomoka Land Co. 927 30,489 Forest City Enterprises, Inc., Class A (a) 17,379 275,457 Forestar Group, Inc. (a) 4,822 80,335 HFF, Inc., Class A (a) 4,569 68,078 The Howard Hughes Corp. (a) 3,705 263,240 Jones Lang LaSalle, Inc. 5,875 448,556 Kennedy-Wilson Holdings, Inc. 5,678 79,322 Market Leader, Inc. (a) 4,115 27,571 Maui Land & Pineapple Co., Inc. (a) 3,389 7,761 Move, Inc. (a) 6,164 53,134 Nationstar Mortgage Holdings, Inc. (a) 2,294 76,115 Reis, Inc. (a) 1,655 18,933 The St. Joe Co. (a) 12,223 238,348 Stratus Properties, Inc. (a) 894 8,314 Tejon Ranch Co. (a) 2,035 61,131 Thomas Properties Group, Inc. 4,684 27,261 Transcontinental Realty Investors, Inc. (a) 393 2,162 Zillow, Inc. (a) 1,816 76,599 ZipRealty, Inc. (a) 3,206 9,041 ------------ 2,056,986 ----------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITs) -- 9.7% Acadia Realty Trust 6,181 153,412 Agree Realty Corp. 1,840 46,902 Alexander's, Inc. 279 119,270 Alexandria Real Estate Equities, Inc. (b) 8,291 609,554 American Assets Trust, Inc. 4,734 126,824
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 20 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITs) (CONTINUED) American Campus Communities, Inc. (b) 12,220 $ 536,214 American Capital Agency Corp. 45,490 1,573,499 American Capital Mortgage Investment Corp. 4,878 122,584 American Realty Capital Trust, Inc. 21,710 254,658 Annaly Capital Management, Inc. (b) 128,996 2,172,293 Anworth Mortgage Asset Corp. 17,686 120,265 Apollo Commercial Real Estate Finance, Inc. 3,465 60,083 Apollo Residential Mortgage, Inc. 3,510 77,360 Arbor Realty Trust, Inc. 3,199 19,098 Arlington Asset Investment Corp. 1,250 29,825 ARMOUR Residential REIT, Inc. 39,173 300,065 Ashford Hospitality Trust, Inc. 8,590 72,156 Associated Estates Realty Corp. 6,821 103,406 BioMed Realty Trust, Inc. 20,564 384,958 Brandywine Realty Trust (b) 19,007 231,695 BRE Properties 10,215 478,981 BRT Realty Trust (a) 2,288 14,872 Camden Property Trust 11,014 710,293 Campus Crest Communities, Inc. 5,334 57,607 Capital Trust, Inc. (a) 3,285 12,384 CapLease, Inc. 10,108 52,258 Capstead Mortgage Corp. 12,527 168,989 CBL & Associates Properties, Inc. 21,188 452,152 Cedar Realty Trust, Inc. 8,184 43,212 Chatham Lodging Trust 2,382 33,062 Chesapeake Lodging Trust 4,628 91,958 Chimera Investment Corp. 137,868 373,622 Colonial Properties Trust (b) 10,826 227,887 Colony Financial, Inc. 4,646 90,504 CommonWealth REIT 10,799 157,233 Coresite Realty Corp. 2,930 78,934 Corporate Office Properties Trust 9,404 225,414 Cousins Properties, Inc. 12,077 95,891 CreXus Investment Corp. 10,066 108,813 CubeSmart (b) 15,137 194,813 CYS Investments, Inc. 22,469 316,588 DCT Industrial Trust, Inc. (b) 33,121 214,293 DDR Corp. 31,399 482,289 DiamondRock Hospitality Co. 25,436 244,949 Digital Realty Trust, Inc. 16,233 1,133,875 Douglas Emmett, Inc. 17,466 402,941 Duke Realty Corp. 35,994 529,112 DuPont Fabros Technology, Inc. 8,530 215,383 Eastgroup Properties, Inc. 3,877 206,256 Education Realty Trust, Inc. 14,777 161,069 Entertainment Properties Trust 6,253 277,821 Equity Lifestyle Properties, Inc. 5,302 361,172 Equity One, Inc. 7,808 164,436 Essex Property Trust, Inc. 4,818 714,220 Excel Trust, Inc. 5,278 60,275 Extra Space Storage, Inc. 13,068 434,511 Federal Realty Investment Trust 8,500 895,050 FelCor Lodging Trust, Inc. (a) 15,489 73,418 First Industrial Realty Trust, Inc. (a) 12,013 157,851 First Potomac Realty Trust 7,186 92,556 Franklin Street Properties Corp. 9,320 103,172 General Growth Properties, Inc. (b) 59,764 1,164,203 Getty Realty Corp. 3,689 66,218 Gladstone Commercial Corp. 2,145 39,168 Glimcher Realty Trust 19,210 203,050 Government Properties Income Trust 5,251 122,873 Gramercy Capital Corp. (a) 7,168 21,576 Hatteras Financial Corp. 13,389 377,436 Healthcare Realty Trust, Inc. 10,315 237,761 Healthcare Trust of America, Inc. 8,471 82,846 Hersha Hospitality Trust 23,460 114,954 Highwoods Properties, Inc. 9,596 313,022 Home Properties, Inc. (b) 6,663 408,242 Hospitality Properties Trust 16,399 389,968 Hudson Pacific Properties, Inc. 4,087 75,610 Inland Real Estate Corp. 10,594 87,401 InvesCo. Mortgage Capital, Inc. 15,387 309,740 Investors Real Estate Trust 11,889 98,322 iStar Financial, Inc. (a) 10,028 83,032 Kilroy Realty Corp. 9,897 443,188 Kite Realty Group Trust 9,276 47,308 LaSalle Hotel Properties 11,414 304,640 Lexington Realty Trust (b) 17,947 173,368 Liberty Property Trust 15,553 563,641 LTC Properties, Inc. 4,225 134,566 The Macerich Co. 17,689 1,012,341 Mack-Cali Realty Corp. 11,066 294,356 Medical Properties Trust, Inc. 17,993 188,027 MFA Financial, Inc. 47,645 404,983 Mid-America Apartment Communities, Inc. (b) 5,578 364,299 Mission West Properties, Inc. 3,361 29,241 Monmouth Real Estate Investment Corp., Class A 5,985 66,972 MPG Office Trust, Inc. (a) 7,868 26,358 National Health Investors, Inc. 3,165 162,808 National Retail Properties, Inc. 14,379 438,560 New York Mortgage Trust, Inc. 5,481 38,641 NorthStar Realty Finance Corp. 18,376 116,871 Omega Healthcare Investors, Inc. 14,363 326,471 One Liberty Properties, Inc. 1,966 36,666 Parkway Properties, Inc. 3,064 40,966 Pebblebrook Hotel Trust 7,846 183,518 Pennsylvania Real Estate Investment Trust 7,237 114,779 PennyMac Mortgage Investment Trust (d) 5,478 128,021 Piedmont Office Realty Trust, Inc. 22,370 387,896 PMC Commercial Trust 2,432 18,240 Post Properties, Inc. 7,274 348,861
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 21 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITs) (CONCLUDED) Potlatch Corp. 5,293 $ 197,799 PS Business Parks, Inc. 2,384 159,299 RAIT Financial Trust 6,719 35,275 Ramco-Gershenson Properties Trust 6,458 80,919 Rayonier, Inc. 16,264 797,099 Realty Income Corp. 17,751 725,838 Redwood Trust, Inc. 10,577 152,943 Regency Centers Corp. 11,982 583,883 Resource Capital Corp. 12,327 72,483 Retail Opportunity Investments Corp. 6,259 80,553 RLJ Lodging Trust 13,739 259,804 Rouse Properties, Inc. 3,364 48,273 Sabra Healthcare REIT, Inc. 5,093 101,911 Saul Centers, Inc. 1,826 81,074 Senior Housing Properties Trust 23,357 508,715 SL Green Realty Corp. 11,938 955,876 Sovran Self Storage, Inc. 3,906 225,962 STAG Industrial, Inc. 5,048 82,080 Starwood Property Trust, Inc. 15,768 366,921 Strategic Hotel Capital, Inc. (a) 24,058 144,589 Sun Communities, Inc. 3,546 156,450 Sunstone Hotel Investors, Inc. (a) 18,399 202,389 Supertel Hospitality, Inc. (a) 7,885 8,279 Tanger Factory Outlet Centers, Inc. 12,676 409,815 Taubman Centers, Inc. 7,798 598,341 Terreno Realty Corp. 2,470 39,026 Two Harbors Investment Corp. 37,674 442,669 UDR, Inc. (b) 33,180 823,528 UMH Properties, Inc. 2,696 32,271 Universal Health Realty Income Trust 1,725 79,316 Urstadt Biddle Properties, Inc., Class A 3,001 60,710 Walter Investment Management Corp. (a) 3,719 137,640 Washington Real Estate Investment Trust 8,546 229,204 Weingarten Realty Investors 14,935 419,823 Winthrop Realty Trust 4,058 43,745 ------------ 37,959,747 ----------------------------------------------------------------------------------------------- SOFTWARE & COMPUTER SERVICES -- 6.8% Accelrys, Inc. (a) 7,885 68,284 ACI Worldwide, Inc. (a) 5,289 223,513 Acorn Energy, Inc. 2,740 24,441 The Active Network, Inc. (a) 5,142 64,429 Actuate Corp. (a) 7,378 51,867 Advent Software, Inc. (a) 4,326 106,290 Alliance Data Systems Corp. (a) 6,669 946,665 Allscripts Healthcare Solutions, Inc. (a) 22,866 284,224 American Software, Inc., Class A 3,519 28,715 Analysts International Corp. (a) 952 3,684 Ansys, Inc. (a)(b) 12,314 903,848 AOL, Inc. (a) 12,208 430,088 Ariba, Inc. (a) 13,188 590,822 Aspen Technology, Inc. (a) 12,579 325,167 athenahealth, Inc. (a) 4,829 443,157 Authentidate Holding Corp. (a) 6,322 8,092 Blackbaud, Inc. 6,115 146,271 Blucora, Inc. (a) 5,850 104,189 Bottomline Technologies, Inc. (a) 4,961 122,487 BroadSoft, Inc. (a) 3,747 153,702 BSQUARE Corp. (a) 2,162 6,875 CACI International, Inc., Class A (a) 3,006 155,681 Cadence Design Systems, Inc. (a)(b) 36,803 473,471 Calix, Inc. (a) 4,588 29,363 Callidus Software, Inc. (a) 5,318 26,218 Ciber, Inc. (a) 8,678 30,113 Clearwire Corp., Class A (a) 59,241 79,975 Cogent Communications Group, Inc. 6,347 145,918 CommVault Systems, Inc. (a)(b) 5,581 327,605 Computer Programs & Systems, Inc. 1,447 80,381 Computer Task Group, Inc. (a) 2,123 34,350 Compuware Corp. (a) 28,700 284,417 Comverse Technology, Inc. (a) 29,431 181,001 Concur Technologies, Inc. (a) 6,058 446,656 Cornerstone OnDemand, Inc. (a) 4,548 139,442 Crexendo, Inc. 2,713 8,139 CSG Systems International, Inc. (a) 4,622 103,949 Datalink Corp. (a) 2,530 20,948 DealerTrack Holdings, Inc. (a) 5,736 159,748 Deltek, Inc. (a) 3,284 42,758 DeVry, Inc. 7,690 175,024 Digimarc Corp. 1,169 26,010 Digital River, Inc. (a) 5,116 85,233 DST Systems, Inc. 4,084 230,991 Dynamics Research Corp. (a) 1,533 10,501 EarthLink, Inc. 15,328 109,135 Ebix, Inc. 4,409 104,096 Envestnet, Inc. (a) 3,594 42,050 EPIQ Systems, Inc. 4,426 59,397 Equinix, Inc. (a) 6,423 1,323,459 Evolving Systems, Inc. 1,901 11,710 ExactTarget, Inc. (a) 3,486 84,431 Facebook, Inc. (a) 65,856 1,425,782 Fair Isaac Corp. 4,550 201,383 FalconStor Software, Inc. (a) 5,289 12,429 Forrester Research, Inc. 1,964 56,504 Fortinet, Inc. (a) 17,623 425,419 Gartner, Inc. (a) 12,474 574,927 GSE Systems, Inc. (a) 4,471 9,121 Guidance Software, Inc. (a) 2,107 23,725 Guidewire Software, Inc. (a) 3,784 117,493 The Hackett Group, Inc. (a) 4,068 17,004
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 22 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- SOFTWARE & COMPUTER SERVICES (CONCLUDED) IAC/InterActiveCorp. 10,966 $ 570,890 ICG Group, Inc. (a) 5,703 57,942 iGate Corp. (a) 4,268 77,550 Immersion Corp. (a) 4,213 23,045 Infoblox, Inc. (a) 5,163 120,040 Informatica Corp. (a) 14,497 504,641 Innodata Corp. (a) 3,774 15,285 Interactive Intelligence Group, Inc. (a) 2,097 63,015 Internap Network Services Corp. (a) 7,295 51,430 Internet Patents Corp. 1,714 6,068 IntraLinks Holdings, Inc. (a) 5,479 35,833 Inuvo, Inc. (a) 5,901 4,308 Ipass, Inc. (a) 8,351 18,372 j2 Global, Inc. 6,077 199,447 JDA Software Group, Inc. (a) 5,815 184,801 Kenexa Corp. (a) 3,234 148,214 Keynote Systems, Inc. 2,182 31,595 The KEYW Holding Corp. (a) 2,532 31,650 KIT Digital, Inc. (a)(b) 7,788 23,364 Limelight Networks, Inc. (a) 10,747 25,148 LivePerson, Inc. (a) 7,064 127,929 LogMeIn, Inc. (a) 3,167 71,036 LookSmart Ltd. (a) 9,057 7,787 Manhattan Associates, Inc. (a) 2,724 156,003 Mastech Holdings, Inc. (a) 688 3,440 MedAssets, Inc. (a) 6,965 123,977 Medidata Solutions, Inc. (a)(b) 3,089 128,193 Mentor Graphics Corp. (a)(b) 12,569 194,568 Merge Healthcare, Inc. (a) 8,433 32,298 Meru Networks, Inc. (a) 1,589 5,434 MicroStrategy, Inc., Class A (a) 1,165 156,192 Mitek Systems, Inc. (a) 3,425 11,063 Monotype Imaging Holdings, Inc. 5,161 80,460 Motricity, Inc. (a) 6,006 2,943 Multiband Corp. (a) 3,161 6,796 NCI, Inc., Class A (a) 1,117 7,685 NetScout Systems, Inc. (a) 4,901 125,025 NetSuite, Inc. (a) 3,758 239,760 NIC, Inc. 8,641 127,887 Nuance Communications, Inc. (a)(b) 32,822 816,940 Opnet Technologies, Inc. 2,106 71,751 Parametric Technology Corp. (a) 15,825 344,985 PC-Tel, Inc. 3,124 22,024 PDF Solutions, Inc. (a) 3,461 47,277 Pegasystems, Inc. 2,407 69,899 Perficient, Inc. (a) 5,138 62,016 Premiere Global Services, Inc. (a) 6,468 60,476 Progress Software Corp. (a) 8,491 181,622 PROS Holdings, Inc. (a) 2,799 53,377 QAD, Inc., Class A (a) 153 2,078 QAD, Inc., Class B (a) 1,021 13,630 QLIK Technologies, Inc. (a) 9,922 222,352 Quality Systems, Inc. 5,279 97,925 Quest Software, Inc. (a) 7,497 209,916 Rackspace Hosting, Inc. (a) 14,579 963,526 RealPage, Inc. (a) 4,867 109,994 RigNet, Inc. (a) 1,771 32,764 Rosetta Stone, Inc. (a) 1,778 22,670 Rovi Corp. (a) 14,504 210,453 Saba Software, Inc. (a) 4,836 48,312 Sapient Corp. (a) 14,917 159,015 Scientific Learning Corp. (a) 5,893 6,070 SciQuest, Inc. (a) 2,655 48,321 Selectica, Inc. (a) 570 2,953 ServiceNow, Inc. (a) 1,792 69,315 Smith Micro Software, Inc. (a) 4,441 7,150 Softbrands, Inc. 114 -- SolarWinds, Inc. (a) 8,176 455,730 Solera Holdings, Inc. 9,353 410,316 Sourcefire, Inc. (a) 4,086 200,337 Splunk, Inc. (a) 3,612 132,633 SS&C Technologies Holdings, Inc. (a) 5,468 137,848 Support.com, Inc. (a) 7,128 30,151 Synchronoss Technologies, Inc. (a) 3,710 84,959 Synopsys, Inc. (a) 19,802 653,862 Syntel, Inc. 2,224 138,800 Tangoe, Inc. (a) 4,539 59,597 TeleCommunication Systems, Inc., Class A (a) 7,111 15,360 TeleNav, Inc. (a) 3,039 18,143 TIBCO Software, Inc. (a) 20,581 622,164 Tyler Technologies, Inc. (a) 3,595 158,252 Ultimate Software Group, Inc. (a) 3,602 367,764 Unisys Corp. (a) 5,949 123,858 United Online, Inc. 13,600 75,072 Unwired Planet, Inc. (a) 10,970 21,062 Vantiv, Inc. Class A (a) 5,848 126,024 VASCO Data Security International, Inc. (a) 4,061 38,092 Verint Systems, Inc. (a) 3,234 88,741 VirnetX Holding Corp. (a)(b) 5,731 145,739 Virtusa Corp. (a) 2,832 50,325 VMware, Inc., Class A (a) 11,349 1,097,902 Vocus, Inc. (a) 2,833 56,830 Wave Systems Corp., Class A (a) 15,303 14,400 Web.com Group, Inc. (a) 4,415 79,249 Websense, Inc. (a) 4,924 77,061 Zix Corp. (a) 9,594 27,535 Zynga, Inc. Class A (a) 63,091 179,178 ------------ 26,377,676 ----------------------------------------------------------------------------------------------- SPECIALTY RETAIL -- 0.5% Advance Auto Parts, Inc. 9,781 669,412 The Children's Place Retail Stores, Inc. (a) 3,226 193,560 Express, Inc. (a) 11,964 177,306
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 23 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- SPECIALTY RETAIL (CONCLUDED) Foot Locker, Inc. 20,106 $ 713,763 Lumber Liquidators Holdings, Inc. (a) 3,661 185,540 ------------ 1,939,581 ----------------------------------------------------------------------------------------------- SUPPORT SERVICES -- 3.9% A.M. Castle & Co. (a) 2,303 28,764 ABM Industries, Inc. 6,470 122,477 Acacia Research Corp. (a) 6,707 183,839 ADA-ES, Inc. (a) 1,470 34,707 The Advisory Board Co. (a)(b) 4,637 221,788 Alliance Financial Corp. 772 31,042 American Reprographics Co. (a) 5,284 22,563 AMN Healthcare Services, Inc. (a) 5,654 56,879 AMREP Corp. (a) 500 5,000 Applied Industrial Technologies, Inc. 5,487 227,326 Barnes Group, Inc. 6,188 154,762 Barrett Business Services, Inc. 1,011 27,398 Black Box Corp. 2,301 58,698 Booz Allen Hamilton Holding Corp. 5,054 69,998 The Brink's Co. 6,248 160,511 Broadridge Financial Solutions LLC 16,664 388,771 Cardtronics, Inc. (a)(b) 6,001 178,710 Casella Waste Systems, Inc. (a) 3,880 16,606 Cass Information Systems, Inc. 1,211 50,826 CBIZ, Inc. (a) 6,831 41,123 CDI Corp. 1,825 31,080 Cenveo, Inc. (a) 8,094 18,535 Clean Harbors, Inc. (a) 6,370 311,174 Coinstar, Inc. (a) 4,191 188,511 Comfort Systems USA, Inc. 5,075 55,470 Consolidated Graphics, Inc. (a) 1,159 30,238 Convergys Corp. 14,813 232,120 CoreLogic, Inc. (a) 14,010 371,685 Corrections Corp. of America 13,377 447,461 CRA International, Inc. (a) 1,372 23,708 Crawford & Co., Class B 4,183 20,957 Cross Country Healthcare, Inc. (a) 4,298 20,287 Deluxe Corp. 6,732 205,730 Dice Holdings, Inc. (a) 7,007 58,999 DigitalGlobe, Inc. (a) 6,343 129,334 Document Security Systems, Inc. (a)(b) 3,047 12,676 The Dolan Co. (a) 3,985 21,439 DXP Enterprises, Inc. (a) 1,346 64,298 EnergySolutions, Inc. (a) 11,073 30,229 ENGlobal Corp. (a) 3,131 1,661 Ennis, Inc. 3,495 57,353 Euronet Worldwide, Inc. (a) 6,412 120,481 ExamWorks Group, Inc. (a) 3,521 52,533 ExlService Holdings, Inc. (a) 3,534 104,253 Exponent, Inc. (a) 1,863 106,359 FleetCor Technologies, Inc. (a) 5,570 249,536 Franklin Covey Co. (a) 2,575 30,900 Frontline Capital Group (a) 300 -- FTI Consulting, Inc. (a) 5,624 150,048 Fuel Tech, Inc. (a) 2,618 10,917 Furmamite Corp. (a) 5,131 29,144 G&K Services, Inc., Class A 2,495 78,118 Genpact Ltd. 17,605 293,651 The Geo Group, Inc. 8,223 227,530 GeoEye, Inc. (a) 3,073 81,219 Global Cash Access, Inc. (a) 5,824 46,883 Global Payments, Inc. 10,549 441,265 Global Power Equipment Group, Inc. 2,352 43,488 GP Strategies Corp. (a) 2,666 51,507 Harris Interactive, Inc. (a) 7,323 10,692 Heartland Payment Systems, Inc. 5,189 164,387 Heidrick & Struggles International, Inc. 2,173 27,684 Heritage-Crystal Clean, Inc. (a) 1,181 23,443 Higher One Holdings, Inc. (a) 4,629 62,399 Huron Consulting Group, Inc. (a) 3,096 107,803 ICF International, Inc. (a) 2,716 54,592 Innerworkings, Inc. (a) 4,226 55,022 Insperity, Inc. 2,922 73,722 Jack Henry & Associates, Inc. 11,480 435,092 Kaman Corp., Class A 3,514 126,012 Kelly Services, Inc., Class A 3,486 43,924 Lawson Products, Inc. 376 2,602 Lender Processing Services, Inc. 11,321 315,743 Lincoln Educational Services Corp. 2,633 11,059 LinkedIn Corp. (a) 8,939 1,076,256 Lionbridge Technologies, Inc. (a) 8,226 28,956 Management Network Group, Inc. (a) 780 1,732 MAXIMUS, Inc. 4,558 272,204 McGrath RentCorp 3,083 80,435 Metalico, Inc. (a) 6,076 15,555 Michael Baker Corp. (a) 1,284 30,636 Mistras Group, Inc. (a) 2,217 51,434 Mobile Mini, Inc. (a) 5,130 85,722 Moduslink Global Solutions, Inc. (a) 6,550 24,169 Monster Worldwide, Inc. (a) 15,737 115,352 MSC Industrial Direct Co., Class A 6,160 415,554 MWI Veterinary Supply, Inc. (a) 1,623 173,142 Navigant Consulting, Inc. (a) 7,098 78,433 NeuStar, Inc., Class A (a) 8,785 351,664 Odyssey Marine Exploration, Inc. (a) 10,499 33,177 Official Payments Holdings, Inc. (a) 3,057 15,071 Online Resources Corp. (a) 5,364 15,717 Park-Ohio Holdings Corp. (a) 1,366 29,601 Perma-Fix Environmental Services, Inc. (a) 8,189 8,517 PowerSecure International, Inc. (a) 2,629 15,748 PRGX Global, Inc. (a) 3,174 27,169
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 24 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- SUPPORT SERVICES (CONCLUDED) Quad/Graphics, Inc. 3,220 $ 54,611 Rentrak Corp. (a) 1,590 26,919 Resources Connection, Inc. 5,593 73,324 RPX Corp. (a) 3,193 35,794 Schnitzer Steel Industries, Inc., Class A 3,201 90,108 School Specialty, Inc. (a) 2,636 6,063 ServiceSource International, Inc. (a) 6,791 69,676 Sharps Compliance Corp. (a) 2,416 6,112 The Standard Register Co. 4,550 3,230 Startek, Inc. (a) 1,933 5,799 Swisher Hygiene, Inc. (a) 16,316 22,516 SYKES Enterprises, Inc. (a) 5,193 69,794 Team, Inc. (a) 2,604 82,937 TeleTech Holdings, Inc. (a) 3,076 52,446 Tetra Tech, Inc. (a) 8,370 219,796 Towers Watson & Co. 7,583 402,278 TrueBlue, Inc. (a) 5,400 84,888 Unifirst Corp. 2,007 134,048 United Rentals, Inc. (a) 12,420 406,258 United Stationers, Inc. 5,220 135,824 Universal Technical Institute, Inc. 2,991 40,977 URS Corp. 10,219 360,833 US Ecology, Inc. 2,379 51,339 Verisk Analytics, Inc. (a) 19,321 919,873 Viad Corp. 2,658 55,446 Waste Connections, Inc. 16,256 491,744 Wright Express Corp. (a) 5,153 359,267 ------------ 15,254,885 ----------------------------------------------------------------------------------------------- TECHNOLOGY HARDWARE & EQUIPMENT -- 4.9% 3D Systems Corp. (a)(b) 6,449 211,850 Acme Packet, Inc. (a) 7,868 134,543 Adtran, Inc. 8,435 145,757 Advanced Energy Industries, Inc. (a) 4,848 59,727 Agilysys, Inc. (a) 2,279 19,599 Alliance Fiber Optic Products, Inc. (a) 1,596 14,348 Amkor Technology, Inc. (a) 10,693 47,049 Amtech Systems, Inc. (a) 1,370 4,494 Anadigics, Inc. (a)(b) 9,258 12,869 Applied Micro Circuits Corp. (a) 8,777 44,412 Arris Group, Inc. (a) 15,202 194,434 Aruba Networks, Inc. (a) 14,305 321,648 Atmel Corp. (a) 58,610 308,289 ATMI, Inc. (a) 4,218 78,328 AuthenTec, Inc. (a) 5,752 46,074 Aviat Networks, Inc. (a) 9,111 21,684 Aware, Inc. 2,073 13,060 Axcelis Technologies, Inc. (a) 14,315 15,031 AXT, Inc. (a) 4,373 14,781 Brightpoint, Inc. (a) 9,502 85,328 Brocade Communications Systems, Inc. (a)(b) 61,650 364,660 Brooks Automation, Inc. 8,594 69,010 Cabot Microelectronics Corp. 3,107 109,180 CalAmp Corp. (a) 4,047 33,226 Cavium, Inc. (a) 6,702 223,378 Ceva, Inc. (a) 3,226 46,390 Ciena Corp. (a) 13,513 183,777 Cirrus Logic, Inc. (a) 8,643 331,805 Clearfield, Inc. (a) 1,976 10,097 Cohu, Inc. 3,077 28,893 Comtech Telecommunications Corp. 2,469 68,243 Concurrent Computer Corp. 1,957 8,787 Cray, Inc. (a) 4,898 62,205 Cree, Inc. (a) 15,437 394,107 CVD Equipment Corp. (a) 784 7,605 Cymer, Inc. (a) 4,102 209,448 Cypress Semiconductor Corp. 18,098 194,011 Dataram Corp. (a) 6,622 4,106 Dialogic, Inc. (a) 1,891 4,576 Diebold, Inc. 8,356 281,681 Digi International, Inc. (a) 3,651 37,094 Diodes, Inc. (a) 4,651 79,114 Ditech Networks, Inc. (a) 8,978 12,749 Dot Hill Systems Corp. (a) 9,114 9,752 DSP Group, Inc. (a) 3,429 20,368 Dycom Industries, Inc. (a) 4,476 64,365 EchoStar Corp. Class A (a) 5,272 151,096 Electronics for Imaging, Inc. (a) 6,310 104,809 Emcore Corp. (a) 3,060 17,258 Emulex Corp. (a) 11,987 86,426 Entegris, Inc. (a) 18,355 149,226 Entropic Communications, Inc. (a) 12,118 70,527 Exar Corp. (a) 6,350 50,800 Extreme Networks, Inc. (a) 13,416 44,809 Fairchild Semiconductor International, Inc. (a) 16,783 220,193 Finisar Corp. (a) 12,341 176,476 Formfactor, Inc. (a) 7,012 39,197 FSI International, Inc. (a) 6,143 38,087 Fusion-io, Inc. (a) 9,028 273,278 Garmin Ltd. 15,367 641,419 Globecomm Systems, Inc. (a) 3,454 38,512 GSI Technology, Inc. (a) 2,896 14,335 Harmonic, Inc. (a) 16,134 73,248 Hittite Microwave Corp. (a) 3,589 199,082 Hutchinson Technology, Inc. (a) 5,295 9,213 ID Systems, Inc. (a) 2,125 12,240 Identive Group, Inc. (a) 7,272 6,254 iGO, Inc. (a) 8,187 3,193 Ikanos Communications, Inc. (a) 11,101 15,430 Imation Corp. (a) 4,049 22,634 Infinera Corp. (a) 15,414 84,469 Infosonics Corp. (a) 3,600 4,032
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 25 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- TECHNOLOGY HARDWARE & EQUIPMENT (CONTINUED) Ingram Micro, Inc., Class A (a) 19,848 $ 302,285 Inphi Corp. (a) 2,672 28,484 Insight Enterprises, Inc. (a) 5,875 102,695 Integrated Device Technology, Inc. (a) 18,989 111,655 Integrated Silicon Solutions, Inc. (a) 3,740 34,632 InterDigital, Inc. 5,699 212,459 Intermec, Inc. (a) 7,569 47,003 International Rectifier Corp. (a) 9,158 152,847 Intersil Corp., Class A 16,760 146,650 Ixia (a) 7,236 116,283 IXYS Corp. (a) 3,474 34,462 Kopin Corp. (a) 8,621 32,415 Kulicke & Soffa Industries, Inc. (a) 10,010 104,104 KVH Industries, Inc. (a) 2,117 28,558 Lantronix, Inc. (a) 3,162 5,534 Lattice Semiconductor Corp. (a) 15,956 61,111 Lexmark International, Inc., Class A 9,371 208,505 Loral Space & Communications Ltd. 1,664 118,310 LRAD Corp. (a) 6,254 8,631 LTX-Credence Corp. (a) 7,225 41,544 Marvell Technology Group Ltd. 64,097 586,488 Mattson Technology, Inc. (a) 8,585 8,327 Maxim Integrated Products, Inc. 38,676 1,029,555 MaxLinear, Inc., Class A (a) 3,820 25,556 MEMC Electronic Materials, Inc. (a) 30,647 84,279 Mercury Computer Systems, Inc. (a) 4,194 44,540 Micrel, Inc. 6,410 66,792 Micros Systems, Inc. (a)(b) 10,721 526,616 Microsemi Corp. (a) 11,826 237,348 Mindspeed Technologies, Inc. (a) 5,834 20,186 MIPS Technologies, Inc. (a) 7,524 55,602 MKS Instruments, Inc. 7,028 179,144 Monolithic Power Systems, Inc. (a) 4,254 84,016 MoSys, Inc. (a) 5,257 21,238 Nanometrics, Inc. (a) 3,115 43,018 NCR Corp. (a) 21,245 495,221 NeoPhotonics Corp. (a) 3,091 18,051 NETGEAR, Inc. (a) 5,124 195,429 NetList, Inc. (a) 4,429 5,713 Neutral Tandem, Inc. (a) 4,250 39,865 Novatel Wireless, Inc. (a) 4,683 9,272 Oclaro, Inc. (a) 12,672 34,214 OCZ Technology Group, Inc. (a) 9,856 34,200 Omnivision Technologies, Inc. (a) 7,069 98,648 ON Semiconductor Corp. (a) 60,740 374,766 Oplink Communications, Inc. (a) 2,673 44,211 Optical Cable Corp. 1,750 7,997 Overland Storage, Inc. (a) 4,647 7,993 PAR Technology Corp. (a) 1,934 10,540 ParkerVision, Inc. (a)(b) 11,726 27,439 PC Connection, Inc. 2,231 25,679 Performance Technologies, Inc. (a) 1,109 1,508 Pericom Semiconductor Corp. (a) 3,101 26,932 Photronics, Inc. (a) 8,049 43,223 Pixelworks, Inc. (a) 2,449 7,225 Plantronics, Inc. 5,659 199,932 PLX Technology, Inc. (a) 6,522 37,632 PMC-Sierra, Inc. (a) 30,744 173,396 Polycom, Inc. (a) 23,469 231,639 Power Integrations, Inc. 3,750 114,112 Preformed Line Products Co. 358 19,443 Presstek, Inc. (a) 7,696 3,771 Procera Networks, Inc. (a) 2,747 64,554 QLogic Corp. (a) 12,630 144,235 Quantum Corp. (a) 33,438 53,835 QuickLogic Corp. (a) 6,516 18,245 Radisys Corp. (a) 3,847 13,849 Rambus, Inc. (a) 14,765 81,798 Ramtron International Corp. (a) 6,093 18,766 RF Micro Devices, Inc. (a) 36,887 145,704 Rimage Corp. 1,695 11,441 Riverbed Technology, Inc. (a) 20,659 480,735 Rudolph Technologies, Inc. (a) 4,770 50,085 ScanSource, Inc. (a) 3,747 119,979 SeaChange International, Inc. (a) 3,677 28,864 Semtech Corp. (a) 8,716 219,207 Shoretel, Inc. (a) 7,526 30,781 Sigma Designs, Inc. (a) 4,522 29,890 Silicon Graphics International Corp. (a) 4,376 39,822 Silicon Image, Inc. (a) 11,129 51,082 Silicon Laboratories, Inc. (a) 5,083 186,851 Skyworks Solutions, Inc. (a) 25,433 599,329 Sonic Foundry, Inc. (a) 974 7,773 Sonus Networks, Inc. (a) 37,776 71,019 Spansion, Inc., Class A (a) 6,447 76,848 STEC, Inc. (a) 5,067 34,202 Super Micro Computer, Inc. (a) 3,733 44,908 Superconductor Technologies, Inc. (a) 7,509 3,529 Supertex, Inc. (a) 1,497 26,766 Sycamore Networks, Inc. (a) 2,814 43,336 Symmetricom, Inc. (a) 6,100 42,517 Synaptics, Inc. (a) 4,511 108,354 SYNNEX Corp. (a) 3,492 113,769 Systemax, Inc. (a) 1,213 14,326 Tech Data Corp. (a) 5,010 226,953 Tellabs, Inc. 44,883 158,886 Telular Corp. 2,742 27,146 Tessera Technologies, Inc. 6,860 93,845 TNS, Inc. (a) 3,358 50,202 Transact Technologies, Inc. (a) 1,530 11,108 Transwitch Corp. (a) 5,338 5,818 TriQuint Semiconductor, Inc. (a) 21,976 110,979 Ultra Clean Holdings, Inc. (a) 3,597 20,539 Ultratech, Inc. (a) 3,605 113,125
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 26 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- TECHNOLOGY HARDWARE & EQUIPMENT (CONCLUDED) USA Technologies, Inc. (a) 6,360 $ 8,014 VeriFone Systems, Inc. (a) 14,397 400,956 Viasat, Inc. (a)(b) 5,348 199,908 Vitesse Semiconductor Corp. (a) 4,377 10,680 Volterra Semiconductor Corp. (a) 3,449 75,430 VOXX International Corp. (a) 2,602 19,463 Westell Technologies, Inc., Class A (a) 9,091 19,455 Zhone Technologies, Inc. (a) 5,499 3,464 ------------ 18,929,468 ----------------------------------------------------------------------------------------------- TOBACCO -- 0.1% Alliance One International, Inc. (a) 11,097 35,843 Schweitzer-Mauduit International, Inc. 4,106 135,457 Star Scientific, Inc. (a)(b) 17,883 61,875 Universal Corp. 3,008 153,168 Vector Group Ltd. 7,529 124,898 ------------ 511,241 ----------------------------------------------------------------------------------------------- TRAVEL & LEISURE -- 4.2% AFC Enterprises, Inc. (a) 3,469 85,337 Alaska Air Group, Inc. (a) 9,269 324,971 Allegiant Travel Co. (a) 2,033 128,811 Ambassadors Group, Inc. 2,730 14,742 Ameristar Casinos, Inc. 4,564 81,239 Avis Budget Group, Inc. (a) 14,269 219,457 Bally Technologies, Inc. (a)(b) 5,538 273,522 Biglari Holdings, Inc. (a) 172 62,790 BJ's Restaurants, Inc. (a) 3,328 150,925 Bluegreen Corp. (a) 2,333 14,651 Bob Evans Farms, Inc. 3,720 145,564 Boyd Gaming Corp. (a) 7,553 53,324 Bravo Brio Restaurant Group, Inc. (a) 2,667 38,805 Brinker International, Inc. 9,869 348,376 Buffalo Wild Wings, Inc. (a) 2,504 214,693 Burger King Worldwide, Inc. (a) 8,681 121,013 Caribou Coffee Co., Inc. (a) 2,925 40,160 Carmike Cinemas, Inc. (a) 2,607 29,329 Carrols Restaurant Group, Inc. (a) 3,017 17,378 CEC Entertainment, Inc. 2,341 70,511 Century Casinos, Inc. (a) 3,711 9,834 The Cheesecake Factory, Inc. 6,688 239,096 Choice Hotels International, Inc. 3,801 121,594 Churchill Downs, Inc. 1,615 101,293 Cinemark Holdings, Inc. 13,419 300,988 Cosi, Inc. (a) 13,258 10,209 Cracker Barrel Old Country Store, Inc. 3,088 207,236 Delta Air Lines, Inc. (a) 113,122 1,036,197 Denny's Corp. (a) 13,533 65,635 DineEquity, Inc. (a) 2,119 118,664 Dollar Thrifty Automotive Group, Inc. (a) 3,759 326,770 Domino's Pizza, Inc. 7,703 290,403 Dover Downs Gaming & Entertainment, Inc. 3,295 8,205 Dover Motorsports, Inc. (a) 4,712 6,550 Dunkin' Brands Group, Inc. 9,894 288,855 Einstein Noah Restaurant Group, Inc. 1,014 17,938 Empire Resorts, Inc. (a) 2,676 4,442 Entertainment Gaming Asia, Inc. (a) 3,165 6,488 Famous Dave's of America, Inc. (a) 1,344 12,795 Fiesta Restaurant Group, Inc. (a) 2,239 35,533 Full House Resorts, Inc. (a) 3,528 13,230 Gaming Partners International Corp. 1,400 8,890 Hawaiian Holdings, Inc. (a) 6,791 37,962 Hertz Global Holdings, Inc. (a) 39,735 545,562 HomeAway, Inc. (a) 4,604 107,964 Hyatt Hotels Corp. (a) 7,439 298,676 International Speedway Corp., Class A 3,087 87,578 Interval Leisure Group, Inc. 5,201 98,455 Isle of Capri Casinos, Inc. (a) 3,200 22,240 Jack in the Box, Inc. (a) 5,950 167,254 JetBlue Airways Corp. (a) 29,840 142,934 Krispy Kreme Doughnuts, Inc. (a) 9,131 72,409 Las Vegas Sands Corp. 47,092 2,183,656 Life Time Fitness, Inc. (a) 5,300 242,422 Luby's, Inc. (a) 2,919 19,645 Madison Square Garden, Inc. (a) 8,042 323,851 Marcus Corp. 2,990 33,189 Marriott Vacations Worldwide Corp. (a) 3,894 140,262 MGM Resorts International (a) 49,556 532,727 Monarch Casino & Resort, Inc. (a) 1,669 14,537 Morgans Hotel Group Co. (a) 5,122 32,883 MTR Gaming Group, Inc. (a) 3,170 13,346 Multimedia Games Holding Co., Inc. (a) 3,843 60,450 Orbitz Worldwide, Inc. (a) 4,217 10,753 Orient Express Hotels Ltd., Class A (a) 12,044 107,192 Panera Bread Co., Class A (a) 3,777 645,452 Papa John's International, Inc. (a) 2,438 130,214 Peet's Coffee & Tea, Inc. (a) 1,812 132,892 Penn National Gaming, Inc. (a) 8,877 382,599 Pinnacle Entertainment, Inc. (a) 8,683 106,367 Premier Exhibitions, Inc. (a) 7,225 17,123 Reading International, Inc., Class A (a) 3,026 17,853 Red Lion Hotels Corp. (a) 3,364 21,025 Red Robin Gourmet Burgers, Inc. (a) 1,859 60,529 Regal Entertainment Group, Series A 10,549 148,424 Republic Airways Holdings, Inc. (a) 5,460 25,280 Rick's Cabaret International, Inc. (a) 1,483 12,279 Royal Caribbean Cruises Ltd. 18,926 571,754 Ruby Tuesday, Inc. (a) 8,054 58,391 Ruth's Hospitality Group, Inc. (a) 5,041 32,111
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 27 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
COMMON STOCKS SHARES VALUE ----------------------------------------------------------------------------------------------- TRAVEL & LEISURE (CONCLUDED) Ryman Hospitality Properties (a) 6,627 $ 261,965 Scientific Games Corp., Class A (a) 7,662 63,365 Shuffle Master, Inc. (a) 7,481 118,275 Six Flags Entertainment Corp. 7,100 417,480 SkyWest, Inc. 6,683 69,035 Sonic Corp. (a) 7,630 78,360 Speedway Motorsports, Inc. 1,392 21,437 Spirit Airlines, Inc. (a) 6,188 105,691 Steiner Leisure Ltd. (a) 1,878 87,421 Texas Roadhouse, Inc., Class A 7,869 134,560 Town Sports International Holdings, Inc. (a) 3,112 38,495 Travelzoo, Inc. (a) 1,341 31,607 United Continental Holdings, Inc. (a) 44,156 861,042 US Airways Group, Inc. (a) 21,839 228,436 Vail Resorts, Inc. 4,787 275,971 The Wendy's Co. 37,304 169,733 WMS Industries, Inc. (a) 7,215 118,182 World Wrestling Entertainment, Inc. 3,952 31,814 Zipcar, Inc. (a) 3,553 27,642 ------------ 16,465,194 ----------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS - 98.6% 384,468,580 =============================================================================================== =============================================================================================== BENEFICIAL INTEREST OTHER INTERESTS (e) (000) ----------------------------------------------------------------------------------------------- FIXED LINE TELECOMMUNICATIONS -- 0.0% Primus Telecommunications Escrow $ 29 1 ----------------------------------------------------------------------------------------------- LEISURE GOODS -- 0.0% H3 Enterprises, Inc. (a) 3 -- ----------------------------------------------------------------------------------------------- PHARMACEUTICALS & BIOTECHNOLOGY -- 0.0% Merck Contingent Value 3 -- ----------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITs) -- 0.0% LTC-Amerivest Liquidating Trust 4 -- ----------------------------------------------------------------------------------------------- TECHNOLOGY HARDWARE & EQUIPMENT -- 0.0% Gerber Scientific, Inc. (a) 4 -- ----------------------------------------------------------------------------------------------- TRAVEL & LEISURE -- 0.0% FRD Acquisition Co. 13 -- ----------------------------------------------------------------------------------------------- TOTAL OTHER INTERESTS - 0.0% 1 ----------------------------------------------------------------------------------------------- PAR RIGHTS (000) VALUE ----------------------------------------------------------------------------------------------- BANKS -- 0.0% Camco Financial Corp. (Expires 10/31/12) (a) $ 1 $ 98 ----------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 0.0% Liberty Ventures (Expires 10/09/12) (a) 1 18,415 ----------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.0% Motricity, Inc. (Expires 10/03/12) (a) 6 51 ----------------------------------------------------------------------------------------------- TOTAL RIGHTS -- 0.0% 18,564 =============================================================================================== =============================================================================================== WARRANTS (f) SHARES ----------------------------------------------------------------------------------------------- BANKS -- 0.0% Federal-Mogul Corp., Class A (Issued 12/27/07, 1 Share for 1 Warrant, Expires 12/27/14, Strike Price $45.82) (Expires 12/27/14) (a) 249 7 ----------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES -- 0.0% Magnum Hunter Resources Corp. (Issued 8/31/12, 1 Share for 1 Warrant, Expires 10/14/13, Strike Price $10.50) (Expires 10/14/13) (a) 1,481 -- ----------------------------------------------------------------------------------------------- TOTAL WARRANTS -- 0.0% 7 ----------------------------------------------------------------------------------------------- TOTAL LONG-TERM INVESTMENTS (COST - $279,283,566) -- 98.6% 384,487,152 ===============================================================================================
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 28 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES (PERCENTAGES SHOWN ARE BASED ON NET ASSETS)
SHORT-TERM SECURITIES SHARES VALUE ----------------------------------------------------------------------------------------------- BlackRock Liquidity Funds, TempCash, Institutional Class, 0.16% (d)(g) 4,456,299 $ 4,456,299 ----------------------------------------------------------------------------------------------- BENEFICIAL INTEREST (000) ----------------------------------------------------------------------------------------------- BlackRock Liquidity Series LLC, Money Market Series, 0.29% (d)(g)(h) $ 13,668 13,668,151 ----------------------------------------------------------------------------------------------- TOTAL SHORT-TERM SECURITIES (COST - $18,124,450) - 4.7% 18,124,450 ----------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (COST - $297,408,016*) - 103.3% 402,611,602 LIABILITIES IN EXCESS OF OTHER ASSETS - (3.3)% (13,084,444) ------------ NET ASSETS - 100.0% $389,527,158 ------------
* As of September 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: Tax cost......................................................................... $302,317,298 ============ Gross unrealized appreciation ................................................... $130,257,878 Gross unrealized depreciation ................................................... (29,963,574) ------------ Net unrealized appreciation...................................................... $100,294,304 ============
(a) Non-income producing security. (b) Security, or a portion of security, is on loan. (c) All or a portion of security has been pledged as collateral in connection with open financial futures contracts. (d) Investments in issuers considered to be an affiliate of the Series during the period ended September 30, 2012, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
---------------------------------------------------------------------------------------------------------------------------------- SHARES/ SHARES/ BENEFICIAL BENEFICIAL INTEREST SHARES/ INTEREST HELD AT BENEFICIAL SHARES/ HELD AT VALUE AT DECEMBER 31, INTEREST BENEFICIAL SEPTEMBER SEPTEMBER REALIZED AFFILIATE 2011 PURCHASED INTEREST SOLD 30, 2012 30, 2012 INCOME LOSS ---------------------------------------------------------------------------------------------------------------------------------- BlackRock Liquidity Funds, TempCash, Institutional Class 7,443,931 -- (2,987,632)(1) 4,456,299 $ 4,456,299 $ 9,264 -- BlackRock Liquidity Series LLC, Money Market Series $ 21,009,135 -- $ (7,340,984)(1) $13,668,151 $13,668,151 $279,169 -- PennyMac Mortgage Investment Trust 4,147 1,496 (165) 5,478 $ 128,021 $ 6,661 $ (186) ----------------------------------------------------------------------------------------------------------------------------------
(1) Represents net shares/beneficial Interest sold. (e) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. (f) Warrants entitle the Series to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. (g) Represents the current yield as of report date. (h) Security was purchased with the cash collateral from loaned securities. ================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 29 ================================================================================ Schedule of Investments (continued) MASTER EXTENDED MARKET INDEX SERIES o Financial futures contracts purchased as of September 30, 2012 were as follows:
-------------------------------------------------------------------------------------------------- NOTIONAL UNREALIZED CONTRACTS ISSUE EXCHANGE EXPIRATION VALUE DEPRECIATION -------------------------------------------------------------------------------------------------- 27 Russell 2000 E-Mini ICE Futures US Indices December 2012 $2,252,880 $ (10,018) 32 S&P Mid 400 E-Mini Chicago Mercantile December 2012 $3,156,800 (42,655) -------------------------------------------------------------------------------------------------- TOTAL $ (52,673) -------------
o Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: o Level 1 -- unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Series has the ability to access o Level 2 -- other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) o Level 3 -- unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series' own assumptions used in determining the fair value of investments and derivative financial instruments) The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series' policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Seriess policy regarding valuation of investments and other significant accounting policies, please refer to the Series' most recent financial statements as contained in its semi-annual report. The following tables summarize the Series' investments and derivative financial instruments categorized in the disclosure hierarchy as of September 30, 2012:
--------------------------------------------------------------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------------------- ASSETS: Investments: Common Stocks: Aerospace & Defense ................... $ 5,607,990 -- -- $ 5,607,990 Alternative Energy .................... 300,216 -- -- 300,216 Automobiles & Parts ................... 6,908,351 -- -- 6,908,351 Banks ................................. 19,763,403 -- -- 19,763,403 Beverages ............................. 255,653 -- -- 255,653 Chemicals ............................. 9,096,786 -- -- 9,096,786 Construction & Materials .............. 9,605,003 -- -- 9,605,003 Electricity ........................... 7,124,323 -- -- 7,124,323 Electronic & Electrical Equipment ..... 11,762,845 -- -- 11,762,845 Financial Services .................... 10,694,057 -- -- 10,694,057 Fixed Line Telecommunications ......... 1,653,927 -- -- 1,653,927 Food & Drug Retailers ................. 2,989,601 -- -- 2,989,601 Food Producers ........................ 6,131,391 -- $ 225 6,131,616 Food Products ......................... 1,554,639 -- -- 1,554,639 Forestry & Paper ...................... 1,385,704 -- -- 1,385,704 Gas, Water & Multi-Utilities .......... 6,183,277 -- -- 6,183,277 General Industrials ................... 4,865,418 -- -- 4,865,418 General Retailers ..................... 19,738,741 -- -- 19,738,741 Health Care Equipment & Services ...... 20,332,323 -- -- 20,332,323 Household Goods & Home Construction ... 8,256,369 -- -- 8,256,369 Industrial Engineering ................ 11,902,155 -- -- 11,902,155 Industrial Metals & Mining ............ 2,587,994 -- -- 2,587,994
================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 30 ================================================================================ Schedule of Investments (concluded) MASTER EXTENDED MARKET INDEX SERIES
-------------------------------------------------------------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------------------------------------------------------------------------------------------------------- Common Stocks (concluded): Industrial Transportation ......................... $ 6,177,516 -- -- $ 6,177,516 Leisure Goods .......................... 3,047,388 -- -- 3,047,388 Life Insurance ......................... 1,612,453 -- -- 1,612,453 Media .................................. 13,938,508 -- -- 13,938,508 Mining ................................. 3,468,554 -- -- 3,468,554 Mobile Telecommunications .............. 1,927,019 -- -- 1,927,019 Nonlife Insurance ...................... 13,752,025 -- -- 13,752,025 Oil & Gas Producers .................... 15,229,599 -- -- 15,229,599 Oil Equipment, Services & Distribution . 9,909,674 -- -- 9,909,674 Personal Goods ......................... 6,406,563 -- -- 6,406,563 Pharmaceuticals & Biotechnology......... 19,576,986 -- -- 19,576,986 Professional Services .................. 1,227,126 -- -- 1,227,126 Real Estate Investment & Services ...... 2,056,986 -- -- 2,056,986 Real Estate Investment Trusts (REITs) .. 37,959,747 -- -- 37,959,747 Software & Computer Services ........... 26,377,676 -- -- 26,377,676 Specialty Retail ....................... 1,939,581 -- -- 1,939,581 Support Services ....................... 15,254,885 -- -- 15,254,885 Technology Hardware & Equipment ........ 18,929,468 -- -- 18,929,468 Tobacco ................................ 511,241 -- -- 511,241 Travel & Leisure ....................... 16,465,194 -- -- 16,465,194 Other Interests: Fixed Line Telecommunications .......... -- -- $ 1 1 Rights: Banks .................................. 98 -- -- 98 Internet Software & Services ........... 18,415 -- -- 18,415 Wireless Telecommunication Services .... 51 -- -- 51 Warrants: Banks .................................. 7 -- -- 7 Short-Term Securities .................... 4,456,299 13,668,151 -- 18,124,450 -------------------------------------------------------------------------------------------------------------- TOTAL $ 388,943,225 $ 13,668,151 $ 226 $ 402,611,602 -------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------------------------------------------------------------------------------------------------------- Derivative Financial Instruments(1) LIABILITIES: Equity contracts ......................... $ (52,673) -- -- $ (52,673) --------------------------------------------------------------------------------------------------------------
(1) Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument. Certain of the Series' assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of September 30, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:
-------------------------------------------------------------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------------------------------------------------------------------------------------------------------- ASSETS: Cash ..................................... $ 207,191 -- -- $ 207,191 LIABILITIES: Collateral on securities loaned at value .................................... -- $ (13,668,151) -- (13,668,151) -------------------------------------------------------------------------------------------------------------- TOTAL $ 207,191 $ (13,668,151) -- $ (13,460,960) --------------------------------------------------------------------------------------------------------------
There were no transfers between levels during the period ended September 30, 2012. Certain of the Series' investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments. ================================================================================ QUANTITATIVE MASTER SERIES LLC SEPTEMBER 30, 2012 31 ITEM 2. CONTROLS AND PROCEDURES The principal executive officer and principal financial officer of USAA Mutual Funds Trust (Trust) have concluded that the Trust's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Trust in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report. There were no significant changes or corrective actions with regard to significant deficiencies or material weaknesses in the Trust's internal controls or in other factors that could significantly affect the Trust's internal controls subsequent to the date of their evaluation. ITEM 3. EXHIBITS. Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Registrant: USAA MUTUAL FUNDS TRUST - Period Ended September 30, 2012 By:* /S/ ADYM W. RYGMYR -------------------------------------------------------------- Signature and Title: Adym W. Rygmyr, Secretary Date: 11/26/2012 ------------------------------- 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/ DANIEL S. MCNAMARA -------------------------------------------------------------- Signature and Title: Daniel S. McNamara, President Date: 11/26/2012 ------------------------------ By:* /S/ ROBERTO GALINDO, JR. ----------------------------------------------------- Signature and Title: Roberto Galindo, Jr., Treasurer Date: 11/26/2012 ------------------------------ *PRINT THE NAME AND TITLE OF EACH SIGNING OFFICER UNDER HIS OR HER SIGNATURE.