Quantitative Master Series N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07885

Name of Fund:	Quantitative Master Series LLC
	Master Core Bond Enhanced Index Series
	Master Enhanced S&P 500 Series
	Master Extended Market Index Series
	Master Mid Cap Index Series

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, Quantitative Master Series LLC, 55 East 52^nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 441-7762

Date of fiscal year end: 12/31/2011

Date of reporting period: 12/31/2011

Item 1 – Report to Stockholders

Master Core Bond Enhanced Index Series of Quantitative Master Series LLC
Annual Report, December 31, 2011

How did the Series perform?
	•	For the 12-month period ended December 31, 2011, the Master Core Bond Enhanced Index Series (the “Series”), a series of Quantitative Master Series LLC, returned 7.72%, underperforming its benchmark, the Barclays Capital US Aggregate Bond Index, which returned 7.84% for the same period.
What factors influenced performance?
	•	Most spread sectors underperformed US Treasury securities during the period as weaker-than-expected economic data and European sovereign debt concerns drove investors toward relatively safer assets. As such, the Series’ underweight to US Treasuries detracted from relative performance. Additionally, the Series’ short duration bias (lower sensitivity to interest rates) during the months of July and August had a negative impact as interest rates moved lower in the volatile, risk-averse environment. Security selection within foreign agency debt also detracted modestly during the period.
	•	Contributing positively to the Series’ performance was security selection and relative value trading within agency mortgage-backed securities (“MBS”), which proved to be a safe haven for investors given their government support and a relatively subdued prepayment environment. In particular, interest-only mortgages performed well as interest rates generally trended lower throughout the period. Also benefiting performance was a yield curve-flattening bias at certain times during the year.
Describe recent portfolio activity.
	•	During the 12-month period, the Series reduced the level of risk in the portfolio by decreasing exposure to foreign sovereign debt, non-agency residential MBS and commercial mortgage-backed securities (“CMBS”). The Series increased portfolio liquidity by adding exposure to US Treasuries, agency debt and asset-backed securities (“ABS”). The Series modestly trimmed corporate credit exposure in the second half of the period by reducing holdings of financial names. Within its MBS allocation, the Series shifted its holdings toward lower-coupon MBS with more favorable prepayment dynamics. The Series tactically managed yield curve and duration positioning throughout the period.
Describe portfolio positioning at period end.
	•	At period end, the Series’ duration positioning was neutral relative to the benchmark Barclays Capital US Aggregate Bond Index, while its yield curve positioning reflected a flattening bias via an underweight to the front end of the curve (short-term interest rates) versus the belly (intermediate-term interest rates). In spread sectors, the Series was overweight in CMBS and ABS and underweight in investment grade credit. Within government-related sectors, the Series was underweight in US Treasuries, agency debentures and agency MBS. The Series also held small allocations to non-agency residential MBS, high yield debt and US Treasury Inflation-Protected securities, none of which are represented in the benchmark index.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 1

Portfolio Information as of December 31, 2011 Master Core Bond Enhanced Index Series

Credit Quality Allocation1	Percent of Long-Term Investments
AAA/Aaa2		79	%
AA/Aa		4
A		8
BBB/Baa		8
BB/Ba		1

1	Using the higher of Standard & Poor’s or Moody’s Investors Service ratings.
2	Includes US Government Sponsored Agency Securities and US Treasury Obligations, which are deemed AAA/Aaa by the investment advisor.

The Benefits and Risks of Leveraging

The Series may utilize leverage to seek to enhance the yield. However, these objectives cannot be achieved in all interest rate environments.

The Series may utilize leverage by entering into treasury rolls transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by the Series on its longer-term portfolio investments. To the extent that the total assets of the Series (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Series’ investors will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Series had not used leverage.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the [Fund/Trust] pays higher short-term interest rates whereas the Series’ total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Series’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of the portfolio investments. Changes in interest rates can influence the Series positively or negatively in addition to the impact on the Series’ performance from leverage.

The use of leverage may enhance opportunities for increased income to the Series, but as described above, it also creates risks as short- or long-term interest rates fluctuate. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Series’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, the Series’ net income will be less than if leverage had not been used, and therefore the amount available for distribution will be reduced. The Series may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Series to incur losses. The use of leverage may limit the Series’ ability to invest in certain types of securities or use certain types of hedging strategies. The Series will incur expenses in connection with the use of leverage, all of which are borne by the Series and may reduce investment income.

2 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Master Core Bond Enhanced Index Series

Derivative Financial Instruments

The Series may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, interest rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Series’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment, or may cause the Series to hold an investment that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 3

Schedule of Investments December 31, 2011 Master Core Bond Enhanced Index Series
(Percentages shown are based on Net Assets)

Asset-Backed Securities	Par (000)		Value
321 Henderson Receivables I LLC (a):
Series 2010-1A, Class A, 5.56%, 7/15/59	$	649	$	701,771
Series 2010-3A, Class A, 3.82%, 12/15/48		750		738,851
ARES CLO Funds, Series 2007- 3RA, Class A2, 0.62%, 4/16/21 (a)(b)		1,517		1,377,060
AmeriCredit Automobile Receivables Trust, Series 2011- 2, Class A2, 0.90%, 9/08/14		1,053		1,052,001
Citibank Omni Master Trust, Series 2009-A17, Class A17, 4.90%, 11/15/18 (a)		780		848,354
Credit Acceptance Auto Loan Trust, Series 2010-1, Class A, 2.06%, 4/16/18 (a)		405		403,522
DT Auto Owner Trust, Series 2011- 2A, Class A, 0.96%, 1/15/14 (a)		614		613,188
Option One Mortgage Loan Trust, Series 2007-5, Class 2A1, 0.38%, 5/25/37 (b)		89		87,586
Santander Consumer Acquired Receivables Trust (a):
Series 2011-S1A, Class B, 1.66%, 8/15/16		419		415,410
Series 2011-S1A, Class C, 2.01%, 8/15/16		492		483,794
Santander Drive Auto Receivables Trust:
Series 2010-3, Class A3, 1.20%, 6/16/14		805		804,861
Series 2011-1, Class A3, 1.28%, 1/15/15		625		624,251
Series 2011-3, Class B, 2.50%, 12/15/15		1,400		1,399,769
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)		279		277,176
Scholar Funding Trust, Series 2011-A, Class A, 1.32%, 10/28/43 (a)(b)		588		563,481
SLM Student Loan Trust (b):
Series 2008-5, Class A4, 2.12%, 7/25/23		1,200		1,231,529
Series 2010-C, Class A1, 1.93%, 12/15/17 (a)		314		315,349
Total Asset-Backed Securities – 7.6%				11,937,953
Corporate Bonds
Capital Markets — 2.4%
CDP Financial, Inc., 3.00%, 11/25/14 (a)		1,065		1,107,511
The Goldman Sachs Group, Inc.:
3.63%, 2/07/16		700		676,356
6.15%, 4/01/18		250		258,022

Corporate Bonds	Par (000)		Value
Capital Markets (concluded)
The Goldman Sachs Group, Inc. (concluded):
5.25%, 7/27/21	$	570	$	556,058
Morgan Stanley:
2.95%, 5/14/13 (b)		440		422,498
3.80%, 4/29/16		100		92,131
5.95%, 12/28/17		105		100,037
5.63%, 9/23/19		275		254,672
5.50%, 7/28/21		40		36,985
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a)		281		286,277
				3,790,547
Chemicals — 0.3%
The Dow Chemical Co., 4.13%, 11/15/21		395		405,159
Commercial Banks — 3.5%
Barclays Bank Plc, 6.05%, 12/04/17 (a)		445		402,395
DnB NOR Boligkreditt (a):
2.10%, 10/14/15		430		426,516
2.90%, 3/29/16		1,130		1,148,753
Eksportfinans ASA:
3.00%, 11/17/14		370		329,436
5.50%, 5/25/16		585		539,407
HSBC Bank Plc, 3.10%, 5/24/16 (a)		575		575,034
Nordea Eiendomskreditt, 2.13%, 9/22/16 (a)		1,245		1,250,658
Swedbank Hypotek AB, 2.95%, 3/28/16 (a)		865		886,735
				5,558,934
Diversified Financial Services — 2.1%
Bank of America Corp.:
3.75%, 7/12/16		590		546,292
5.63%, 10/14/16		205		196,673
5.00%, 5/13/21		110		100,192
Citigroup, Inc., 4.59%, 12/15/15		950		956,077
JPMorgan Chase & Co.:
6.63%, 3/15/12		329		332,304
4.35%, 8/15/21		605		610,994
JPMorgan Chase Bank NA, 6.00%, 7/05/17		485		520,407
				3,262,939
Diversified Telecommunication Services — 0.8%
Qwest Communications International, Inc.:
8.00%, 10/01/15		147		156,613
7.13%, 4/01/18		372		386,880
Telefonica Emisiones SAU, 4.95%, 1/15/15		725		721,186
				1,264,679

See Notes to Financial Statements.
4	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued) Master Core Bond Enhanced Index Series
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Electric Utilities — 1.0%
The Cleveland Electric Illuminating Co., 7.88%, 11/01/17	$	200	$	251,331
Florida Power & Light Co.:
5.63%, 4/01/34		45		55,596
5.95%, 2/01/38		100		131,116
Florida Power Corp., 6.40%, 6/15/38		225		305,190
LG&E and KU Energy LLC, Series WI, 3.75%, 11/15/20		450		454,285
Ohio Power Co., Series K, 6.00%, 6/01/16		325		375,307
				1,572,825
Energy Equipment & Services — 0.3%
Transocean, Inc., 6.50%, 11/15/20		445		459,681
Food Products — 0.3%
Kraft Foods, Inc.:
4.13%, 2/09/16		195		211,717
6.13%, 2/01/18		24		28,132
5.38%, 2/10/20		75		86,539
6.50%, 11/01/31		125		155,400
7.00%, 8/11/37		10		13,359
				495,147
Health Care Equipment & Supplies — 0.2%
Stryker Corp., 2.00%, 9/30/16		350		358,166
Health Care Providers & Services — 0.2%
UnitedHealth Group, Inc.:
3.88%, 10/15/20		175		185,861
3.38%, 11/15/21		90		93,082
				278,943
Hotels, Restaurants & Leisure — 0.2%
Wyndham Worldwide Corp., 6.00%, 12/01/16		350		377,440
Independent Power Producers & Energy Traders — 0.4%
Constellation Energy Group Inc., 5.15%, 12/01/20		574		622,009
Insurance — 2.6%
American International Group, Inc., 5.45%, 5/18/17		100		95,564
Berkshire Hathaway, Inc., 2.20%, 8/15/16		115		118,378
Manulife Financial Corp., 3.40%, 9/17/15		380		382,119
MetLife, Inc., 5.00%, 11/24/13		231		246,083
Metropolitan Life Global Funding I (a):
5.13%, 4/10/13		965		1,008,071
2.00%, 1/10/14		935		940,519
5.13%, 6/10/14		735		791,395
Prudential Financial, Inc., 4.75%, 9/17/15		525		554,344
				4,136,473

Corporate Bonds	Par (000)		Value
Media — 1.9%
Comcast Corp., 6.40%, 3/01/40	$	310	$	385,349
Cox Communications, Inc., 8.38%, 3/01/39 (a)		405		542,279
DIRECTV Holdings LLC:
3.50%, 3/01/16		775		798,966
5.88%, 10/01/19		147		165,466
Discovery Communications LLC,
3.70%, 6/01/15		270		283,970
News America, Inc.:
7.25%, 5/18/18		339		408,385
7.28%, 6/30/28		175		198,563
Virgin Media Secured Finance Plc,
6.50%, 1/15/18		250		265,625
				3,048,603
Metals & Mining — 0.3%
Barrick North America Finance LLC, 4.40%, 5/30/21		312		337,895
Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17		60		63,750
				401,645
Multi-Utilities — 0.1%
Dominion Resources, Inc., Series C, 4.90%, 8/01/41		155		167,369
Oil, Gas & Consumable Fuels — 4.6%
Anadarko Petroleum Corp.:
5.95%, 9/15/16		475		538,436
6.38%, 9/15/17		560		649,115
BP Capital Markets Plc, 3.13%, 3/10/12		940		944,312
El Paso Pipeline Partners Operating Co., LLC:
4.10%, 11/15/15		300		307,118
6.50%, 4/01/20		82		90,374
Enterprise Products Operating LLC:
6.13%, 10/15/39		250		279,242
Series L, 6.30%, 9/15/17		175		204,947
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)		78		95,159
Marathon Petroleum Corp., 6.50%, 3/01/41 (a)		162		183,583
MidAmerican Energy Holdings Co.:
5.95%, 5/15/37		208		245,795
6.50%, 9/15/37		110		138,119
Nexen, Inc.:
6.40%, 5/15/37		225		238,333
7.50%, 7/30/39		175		209,788
Petrobras International Finance Co.:
3.88%, 1/27/16		360		370,876
5.88%, 3/01/18		40		43,775
5.75%, 1/20/20		955		1,021,965
Rockies Express Pipeline LLC, 3.90%, 4/15/15 (a)		390		385,395
Southwestern Energy Co., 7.50%, 2/01/18		495		570,488

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	5

Schedule of Investments (continued) Master Core Bond Enhanced Index Series
(Percentages shown are based on Net Assets)

Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Western Gas Partners LP, 5.38%, 6/01/21	$	375	$	397,564
Williams Partners LP, 4.00%, 11/15/21		285		292,644
				7,207,028
Paper & Forest Products — 0.3%
International Paper Co.:
7.95%, 6/15/18		180		219,101
4.75%, 2/15/22		200		212,591
				431,692
Specialty Retail — 0.5%
Best Buy Co., Inc., 5.50%, 3/15/21		604		577,775
Lowe’s Cos., Inc., 5.13%, 11/15/41		242		268,136
				845,911
Thrifts & Mortgage Finance — 0.1%
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (a)		216		226,681
Tobacco — 0.2%
Philip Morris International, Inc., 2.50%, 5/16/16		233		240,930
Trading Companies & Distributors — 0.3%
Xylem, Inc., 3.55%, 9/20/16 (a)		423		436,181
Wireless Telecommunication Services — 1.9%
America Movil SAB de CV, 2.38%, 9/08/16		450		448,746
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)		550		606,837
SBA Tower Trust, 4.25%, 4/15/40 (a)		550		565,418
Vodafone Group Plc, 4.15%, 6/10/14		1,205		1,277,680
				2,898,681
Total Corporate Bonds – 24.5%				38,487,663
Foreign Agency Obligations
Poland Government International Bond, 5.00%, 10/19/15		112		118,317
Republic of Italy, 6.88%, 9/27/23		155		149,327
Russian Foreign Bond Eurobond, 7.50%, 3/31/30		409		475,125
Total Foreign Agency Obligations – 0.5%				742,769

Non-Agency Mortgage-Backed Securities	Par (000)		Value
Collateralized Mortgage Obligations — 2.0%
Arkle Master Issuer Plc (a)(b):
Series 2010-1A, Class 2A, 1.62%, 5/17/60	$	820	$	816,593
Series 2010-2A, Class 1A1, 1.87%, 5/17/60		685		683,334
Arran Residential Mortgages Funding Plc, Series 2011-1A, Class A1C, 1.68%, 11/19/47 (a)(b)		126		126,028
Holmes Master Issuer Plc, Series 2010-1A, Class A2, 0.97%, 10/15/54 (a)(b)		820		817,998
Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, 0.47%, 11/25/36 (b)		1,376		627,702
WaMu Mortgage Pass-Through Certificates, Series 2007-0A4, Class 1A, 0.98%, 5/25/47 (b)		294		167,638
				3,239,293
Commercial Mortgage-Backed Securities — 5.7%
Banc of America Commercial Mortgage, Inc.:
Series 2004-5, Class A3, 4.56%, 11/10/41		58		57,753
Series 2005-4, Class A5A, 4.93%, 7/10/45		461		501,576
Series 2006-3, Class AM, 6.05%, 7/10/44 (b)		275		265,444
Series 2006-4, Class AM, 5.68%, 7/10/46		230		236,136
Banc of America Large Loan, Inc., Series 2010-UB4, Class A4A, 5.01%, 12/20/41 (a)(b)		420		440,201
Bear Stearns Commercial Mortgage Securities, Series 2005-PW10, Class AM, 5.45%, 12/11/40 (b)		70		66,382
DBRR Trust, Series 2011-C32, Class A3A, 5.74%, 6/17/49 (a)		1,205		1,291,175
DBUBS Mortgage Trust:
Series 2011-LC1A, Class A1, 3.74%, 11/10/46 (a)		486		509,451
Series 2011-LC3A, Class A2, 3.64%, 8/10/44		625		658,403
Extended Stay America Trust, Series 2010-ESHA, Class A, 2.95%, 11/05/27 (a)		69		68,726
GS Mortgage Securities Corp. II (b):
Series 2004-GG2, Class A5, 5.28%, 8/10/38		993		1,046,267
Series 2007-GG10, Class A4, 5.98%, 8/10/45		109		118,812
Greenwich Capital Commercial Funding Corp., Series 2006- GG7, Class AJ, 6.08%, 7/10/38 (b)		60		42,000

See Notes to Financial Statements.
6	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued) Master Core Bond Enhanced Index Series
(Percentages shown are based on Net Assets)

Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (concluded)
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2003-ML1A, Class A2, 4.77%, 3/12/39	$	610	$	626,566
Series 2006-CB16, Class AJ, 5.62%, 5/12/45		150		114,027
Series 2008-C2, Class ASB, 6.13%, 2/12/51 (b)		770		834,436
Series 2011-PLSD, Class A2, 3.36%, 11/13/44 (a)		300		303,024
LB-UBS Commercial Mortgage Trust:
Series 2006-C4, Class AM, 5.89%, 6/15/38 (b)		155		157,917
Series 2006-C7, Class AM, 5.38%, 11/15/38		255		246,621
Series 2007-C6, Class AM, 6.11%, 7/15/40 (b)		155		145,302
Morgan Stanley Capital I:
Series 2007-HQ12, Class A5, 5.78%, 4/12/49 (b)		540		566,484
Series 2007-HQ13, Class A1, 5.36%, 12/15/44		651		654,038
				8,950,741
Total Non-Agency Mortgage-Backed Securities – 7.7%				12,190,034
Preferred Securities
Capital Markets — 0.3%
Credit Suisse Guernsey Ltd., 5.86% (b)(c)		547		444,437
Lehman Brothers Holdings Capital Trust VII, 5.86% (c)(d)(e)		85		9
				444,446
Total Preferred Securities – 0.3%				444,446
Taxable Municipal Bonds
Municipal Electric Authority of Georgia, Refunding RB, Build America Bonds, 7.06%, 4/01/57		80		82,543
Total Taxable Municipal Bonds – 0.1%				82,543
US Government Sponsored Agency Securities
Agency Obligations — 4.9%
Fannie Mae, 3.43%, 10/09/19 (f)		605		465,163
Federal Home Loan Bank of Chicago, 5.63%, 6/13/16		560		634,753

US Government Sponsored Agency Securities	Par (000)		Value
Agency Obligations (concluded)
Freddie Mac:
5.50%, 7/18/16	$	100	$	119,251
3.53%, 9/30/19 (g)		4,410		4,441,655
Tennessee Valley Authority:
5.25%, 9/15/39		950		1,212,685
Series E, 6.25%, 12/15/17		710		903,139
				7,776,646
Mortgage-Backed Securities — 49.6%
Fannie Mae Mortgage-Backed Securities:
3.00%, 2/01/27 (h)		1,000		1,029,531
3.23%, 7/01/41		698		727,821
3.50%, 11/01/26 - 1/01/42 (h)		10,583		10,921,829
4.00%, 1/01/42 (h)		4,800		5,054,844
4.50%, 4/01/39 - 2/01/42 (h)		9,156		9,773,379
5.00%, 1/01/23 - 4/01/40		5,381		5,908,880
5.50%, 2/01/35 - 1/01/42 (h)		14,140		15,432,090
6.00%, 2/01/13 - 2/01/42 (h)		4,414		4,866,575
8.00%, 9/01/15 - 8/01/31		24		26,332
9.50%, 7/01/17		10		11,481
10.00%, 10/01/18 - 5/01/22		4		4,882
10.50%, 12/01/16		1		853
Freddie Mac Mortgage-Backed Securities:
4.00%, 1/01/42 (h)		400		419,500
4.50%, 7/01/12 - 1/01/42 (h)		2,870		3,044,228
5.00%, 2/01/22 - 1/01/42 (h)		5,839		6,279,595
5.50%, 12/01/16 - 1/01/42 (g)(h)		2,390		2,595,105
6.00%, 4/01/16 - 10/01/17		465		503,916
6.50%, 7/01/15 - 5/01/17		78		85,494
7.00%, 8/01/12 - 7/01/17		35		37,968
7.50%, 1/01/12 - 11/01/15		9		8,923
8.00%, 11/01/24 - 3/01/32		118		138,034
8.50%, 5/01/28 - 8/01/30		10		12,518
9.00%, 9/01/14		1		1,486
9.50%, 2/01/19		13		12,933
10.00%, 9/01/17		2		1,760
10.50%, 4/01/16		4		3,983
11.00%, 9/01/16		1		1,181
11.50%, 8/01/15		1		627
12.50%, 2/01/14		2		1,718
Ginnie Mae Mortgage-Backed Securities:
4.00%, 1/01/42 (h)		1,400		1,499,844
4.50%, 9/15/35 - 1/01/42 (h)		3,383		3,689,042
5.00%, 4/15/35 - 1/01/42 (h)		3,800		4,220,271
6.50%, 2/15/14 - 12/15/38		1,142		1,309,830
7.00%, 4/15/13		2		2,511
7.50%, 3/15/24 - 3/15/32		116		133,141
8.00%, 12/15/22 - 6/15/31		72		83,692
8.50%, 11/15/17 - 3/15/31		13		14,894
9.00%, 4/15/18 - 11/15/24		15		15,152
				77,875,843
Total US Government Sponsored Agency Securities – 54.5%				85,652,489

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	7

Schedule of Investments (continued)	Master Core Bond Enhanced Index Series
	(Percentages shown are based on Net Assets)

US Treasury Obligations	Par (000)		Value
US Treasury Bonds:
6.50%, 11/15/26	$	2,345	$	3,557,806
6.63%, 2/15/27(l)		6,550		10,078,812
4.50%, 2/15/36		1,920		2,512,500
4.63%, 2/15/40		250		337,188
4.38%, 5/15/40 (i)		3,165		4,111,531
3.88%, 8/15/40		2,450		2,936,937
4.75%, 2/15/41		200		275,212
3.13%, 11/15/41		1,598		1,674,154
US Treasury Inflation Indexed Bonds:
2.00%, 4/15/12		4,207		4,225,903
0.13%, 4/15/16		3,026		3,154,597
2.13%, 2/15/41		1,256		1,696,738
US Treasury Notes:
0.38%, 11/15/14(l)		2,910		2,911,819
1.00%, 9/30/16		665		671,857
0.88%, 11/30/16(l)		305		305,929
0.88%, 12/31/16		690		691,240
2.38%, 6/30/18		525		562,570
1.38%, 11/30/18		1,445		1,449,968
0.63%, 7/15/21		1,351		1,445,411
2.00%, 11/15/21(l)		9,190		9,294,821
Total US Treasury Obligations – 33.0%				51,894,993
Total Long-Term Investments (Cost – $197,329,586) – 128.2%				201,432,890
Short-Term Securities		Shares
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (j)(k)		5,940,329		5,940,329
Total Short-Term Securities (Cost – $5,940,329) – 3.8%				5,940,329
Options Purchased		Contracts
Exchange-Traded Call Options — 0.0%
10-Year US Treasury Note, Strike Price USD 133.00, Expires 1/27/12		28		4,812
Exchange-Traded Put Options — 0.0%
10-Year US Treasury Note, Strike Price USD 127.00, Expires 1/27/12		33		1,547
Options Purchased	Notional Amount (000)		Value
Over-the-Counter Call Swaptions — 0.1%
Receive a fixed rate of 3.15% and pay a floating rate based on 3- month LIBOR, Expires 6/25/12, Citibank NA	$	3,000	$	281,056
Over-the-Counter Put Swaptions — 0.1%
Pay a fixed rate of 2.50% and receive a floating rate based on 3-month LIBOR, Expires 1/26/12, Broker Deutsche Bank AG		2,100		0
Pay a fixed rate of 2.70% and receive a floating rate based on 3-month LIBOR, Expires 1/27/12, Broker Deutsche Bank AG		2,600		315
Pay a fixed rate of 3.25% and receive a floating rate based on 3-month LIBOR, Expires 8/11/14, Broker JPMorgan Chase Bank NA		25,800		102,406
				102,721
Total Options Purchased (Cost – $311,616) – 0.2%				390,136
Total Investments Before TBA Sale Commitments and Outstanding Options Written (Cost – $203,581,531) – 132.2%				207,763,355
TBA Sale Commitments (h)		Par (000)
Fannie Mae Mortgage-Backed Securities:
3.50%, 1/01/42		8,400		(8,619,250	)
4.00%, 1/01/42		800		(842,813	)
4.50%, 1/01/42		1,600		(1,701,625	)
5.00%, 1/01/42		3,200		(3,449,906	)
5.50%, 1/01/42		10,500		(11,416,656	)
6.00%, 1/01/42		500		(550,547	)
Freddie Mac Mortgage-Backed Securities:
4.50%, 1/01/42		400		(423,812	)
5.00%, 1/01/42		2,400		(2,578,875	)
5.50%, 1/01/42		600		(649,969	)
Government National Mortgage Association:
4.50%, 1/01/42		800		(871,531	)
5.00%, 1/01/42		1,100		(1,218,422	)
Total TBA Sale Commitments (Proceeds – $32,204,597) – (20.6)%				(32,323,406	)

See Notes to Financial Statements.
8	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Core Bond Enhanced Index Series
	(Percentages shown are based on Net Assets)

Options Written	Notional Amount (000)		Value
Over-the-Counter Call Swaptions — (0.2)%
Receive a fixed rate of 2.65% and pay a floating rate based on 3- month LIBOR, Expires 6/25/12, Broker Citibank NA		3,000	$	(163,590	)
Receive a fixed rate of 2.90% and pay a floating rate based on 3- month LIBOR, Expires 6/25/12, Broker Citibank NA		3,000		(219,973	)
				(383,563	)
Total Options Written (Premiums Received – $73,200) – (0.2)%				(383,563	)
Total Investments, Net of TBA Sale Commitments and Outstanding Options Written - 111.4%				175,056,386
Liabilities in Excess of Other Assets – (11.4)%				(17,941,936	)
Net Assets – 100.0%			$	157,114,450

*
As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	203,585,808
Gross unrealized appreciation	$	5,920,769
Gross unrealized depreciation		(1,743,222	)
Net unrealized appreciation	$	4,177,547

(a)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)	Variable rate security. Rate shown is as of report date.
(c)	Security is perpetual in nature and has no stated maturity date.
(d)	Non-income producing security.
(e)	Issuer filed for bankruptcy and/or is in default of interest payments.
(f)	Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(g)	All or a portion of security has been pledged as collateral in connection with swaps.
(h)	Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:

Counterparty	Value			Unrealized Appreciation (Depreciation)
Citigroup Global Markets, Inc.	$	(333,109	)	$	(2,703	)
Credit Suisse Securities (USA) LLC	$	306,094		$	21,754
Deutsche Bank Securities, Inc.	$	1,989,703		$	13,078
Goldman Sachs & Co.	$	5,536,421		$	19,257
Greenwich Capital Markets	$	(2,053,813	)	$	(10,812	)
JPMorgan Securities, Inc.	$	(7,875,187	)	$	(4,281	)
Morgan Stanley & Co., Inc.	$	(1,719,250	)	$	(11,375	)
UBS Securities	$	(316,531	)	$	(547	)

(i)	All or a portion of security has been pledged as collateral in connection with open financial futures contracts.
(j)	Investments in companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares Held at December 31, 2010		NetActivity		Shares Held at December 31, 2011		Income
BlackRock Liquidity Funds,TempFund, Institutional Class		5,735,032		205,297		5,940,329	$	18,965

(k)	Represents the current yield as of report date.
(l)	All or a portion of security serves as collateral in a financing transaction.
•	For Series compliance purposes, the Series’ industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

Fannie Mae	Federal National Mortgage Association
Freddie Mac	Federal Home Loan Mortgage Corporation
Ginnie Mae	Government National Mortgage Association
LIBOR	London Interbank Offered Rate
RB	Revenue Bonds
TBA	To Be Announced
USD	US Dollar

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	9

Schedule of Investments (continued)	Master Core Bond Enhanced Index Series
	(Percentages shown are based on Net Assets)

• Financial futures contracts purchased as of December 31, 2011 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation
69	10-Year US Treasury Note	Chicago Board of Trade	March 2012	$	9,047,625	$	122,416
32	5-Year US Treasury Note	Chicago Board of Trade	March 2012	$	3,944,250		17,805
Total						$	140,221

• Financial futures contracts sold as of December 31, 2011 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
42	30-Year US Treasury Bond	Chicago Board of Trade	March 2012	$	6,082,125	$	(85,725	)
37	Ultra Long Term US Treasury Bond	Chicago Board of Trade	March 2012	$	5,926,938		(38,805	)
76	2-Year US Treasury Note	Chicago Board of Trade	March 2012	$	16,761,563		12
Total						$	(124,518	)

• Credit default swaps on single-name issues - buy protection outstanding as of December 31, 2011 were as follows:

Index	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)		Unrealized Appreciation
Best Buy Co., Inc.	1.00%	Citibank NA	6/20/16	$	1,500	$	115,047

• Interest rate swaps outstanding as of December 31, 2011 were as follows:

Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
0.81% (a)	3-month LIBOR	Citibank NA	11/30/13	$	8,000	$	13,100
0.73% (a)	3-month LIBOR	Citibank NA	12/22/13	$	6,500		831
0.74% (a)	3-month LIBOR	Credit Suisse Securities (USA) LLC	12/22/13	$	7,900		2,351
2.06% (b)	3-month LIBOR	Citibank NA	5/20/16	$	1,700		(69,353	)
2.25% (a)	3-month LIBOR	JPMorgan Chase & Co.	8/13/16	$	5,200		59,171
2.43% (b)	3-month LIBOR	Credit Suisse Securities (USA) LLC	10/18/21	$	2,900		(108,369	)
2.24% (b)	3-month LIBOR	Deutsche Bank AG	12/05/21	$	3,800		(75,192	)
2.04% (a)	3-month LIBOR	Credit Suisse Securities (USA) LLC	12/21/21	$	1,600		1,106
4.27% (b)	3-month LIBOR	Citibank NA	4/19/41	$	400		(139,956	)
2.96% (b)	3-month LIBOR	Credit Suisse Securities (USA) LLC	10/14/41	$	400		(30,415	)
Total						$	(346,726	)

(a)	Pays floating interest rate and receives fixed rate.
(b)	Pays fixed interest rate and receives floating rate.

See Notes to Financial Statements.
10	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued) Master Core Bond Enhanced Index Series

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

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Series’ perceived risk of investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of December 31, 2011 in determining the fair valuation of the Series’ investments and derivative financial instruments:

Valuation Inputs	Level 1			Level 2			Level 3		Total
Assets:
Investments in Securities:
Long Term Investments
Asset-Backed Securities		—		$	8,821,032		$	3,116,921	$	11,937,953
Corporate Bonds		—			38,487,663			—		38,487,663
Foreign Agency Obligations		—			742,769			—		742,769
Non-Agency Mortgage-Backed Securities		—			10,898,859			1,291,175		12,190,034
Preferred Securities		—			444,446			—		444,446
Taxable Municipal Bonds		—			82,543			—		82,543
US Government Sponsored Agency Securities		—			85,652,489			—		85,652,489
Valuation Inputs	Level 1			Level 2			Level 3		Total
US Treasury Obligations		—		$	51,894,993			—	$	51,894,993
Short-Term Securities	$	5,940,329			—			—		5,940,329
Liabilities:
Investments in Securities:
TBA Sale Commitments		—			(32,323,406	)		—		(32,323,406	)
Total	$	5,940,329		$	164,701,388		$	4,408,096	$	175,049,813
Valuation Inputs	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Credit Contracts		—		$	115,047			—	$	115,047
Interest Rate Contracts	$	146,592			460,336			—		606,928
Liabilities:
Interest Rate Contracts		(124,530	)		(806,848	)		—		(931,378	)
Total	$	22,062		$	(231,465	)		—	$	(209,403	)

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

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	11

Schedule of Investments (concluded) Master Core Bond Enhanced Index Series

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Asset-Backed Securities			Corporate Bonds			Non-Agency Mortgage-Backed Securities			Total
Assets:
Balance, as of December 31, 2010	$	1,826,586		$	835,000		$	684,041		$	3,345,627
Accrued discounts/premiums		8,418			—			(78	)		8,340
Net realized gain (loss)		392			—			—			392
Net change in unrealized appreciation (depreciation)2		(72,166	)		—			(10,900	)		(83,066	)
Purchases		3,576,177			—			1,302,153			4,878,330
Sales		(1,431,064	)		(835,000	)		—			(2,266,064	)
Transfers in3		—			—			—			—
Transfers out3		(791,422	)		—			(684,041	)		(1,475,463	)
Balance, as of December 31, 2011	$	3,116,921		$	—		$	1,291,175		$	4,408,096

2	Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held at December 31, 2011 was $(82,880).
3	The Series’ policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Series had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.

See Notes to Financial Statements.
12	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Statement of Assets and Liabilities Master Core Bond Enhanced Index Series

December 31, 2011

Assets
Investments at value - unaffiliated (cost — $197,641,202)	$	201,823,026
Investments at value - affiliated (cost — $5,940,329)		5,940,329
Cash		732
Investments sold receivable		43,936,679
TBA sale commitments receivable		32,204,597
Interest receivable		1,134,961
Unrealized appreciation on swaps		191,606
Contributions receivable from investors		65,849
Swaps premiums paid		62,303
Swaps receivable		16,626
Principal paydown receivable		445
Prepaid expenses		25,628
Total assets		285,402,781
Liabilities
Investments purchased payable		72,437,155
TBA sale commitments at value (proceeds — $32,204,597)		32,323,406
Treasury rolls payable		22,557,055
Unrealized depreciation on swaps		423,285
Options written at value (premiums received — $73,200)		383,563
Interest expense payable		52,443
Swaps payable		39,970
Margin variation payable		14,969
Directors’ fees payable		1,478
Investment advisory fees payable		586
Other affiliates payable		519
Other accrued expenses payable		53,902
Total liabilities		128,288,331
Net Assets	$	157,114,450
Net Assets Consist of
Investors’ capital	$	153,577,774
Net unrealized appreciation/depreciation		3,536,676
Net Assets	$	157,114,450

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	13

Statement of Operations Master Core Bond Enhanced Index Series

Year Ended December 31, 2011

Investment Income
Interest	$	5,509,147
Dividends - affiliated		18,965
Total income		5,528,112
Expenses
Investment advisory		19,168
Professional		101,100
Accounting services		82,717
Custodian		30,271
Directors		8,777
Printing		3,885
Miscellaneous		30,028
Total expenses excluding interest expense		275,946
Interest expense		1,335
Total expenses		277,281
Less fees waived by advisor		(13,326	)
Total expenses after fees waived		263,955
Net investment income		5,264,157
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		7,986,125
Financial futures contracts		412,763
Foreign currency transactions		(52,935	)
Swaps		(2,479,176	)
		5,866,777
Net change in unrealized appreciation/depreciation on:
Investments		3,299,891
Financial futures contracts		99,227
Option written		(310,363	)
Swaps		269,856
		3,358,611
Total realized and unrealized gain		9,225,388
Net Increase in Net Assets Resulting from Operations	$	14,489,545

See Notes to Financial Statements.
14	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Statements of Changes in Net Assets Master Core Bond Enhanced Index Series

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2011	2010

Operations
Net investment income	$	5,264,157		$	7,142,627
Net realized gain		5,866,777			9,712,384
Net change in unrealized appreciation/depreciation		3,358,611			(2,918,052	)
Net increase in net assets resulting from operations		14,489,545			13,936,959
Capital Transactions
Proceeds from contributions		50,531,667			37,155,035
Value of withdrawals		(80,173,646	)		(76,682,425	)
Net decrease in net assets derived from capital transactions		(29,641,979	)		(39,527,390	)
Net Assets
Total decrease in net assets		(15,152,434	)		(25,590,431	)
Beginning of year		172,266,884			197,857,315
End of year	$	157,114,450		$	172,266,884

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	15

Financial Highlights Master Core Bond Enhanced Index Series

	Year Ended December 31,
	2011			2010			2009			2008			2007
Total Investment Return
Total investment return		7.72	%		7.22	%		8.28	%		1.59	%		6.83	%
Ratios to Average Net Assets
Total expenses		0.14	%		0.20	%		0.19	%		0.14	%		0.11	%
Total expenses after fees waived and paid indirectly		0.14	%		0.20	%		0.19	%		0.14	%		0.11	%
Total expenses after fees waived and paid indirectly excluding interest expense		0.14	%		0.18	%		0.18	%		0.11	%		0.11	%
Net investment income		2.74	%		3.86	%		4.74	%		4.92	%		5.12	%
Supplemental Data
Net assets, end of year (000)	$	157,114		$	172,267		$	197,857		$	218,127		$	386,012
Portfolio turnover		770	%1		1,207	%2		1,036	%3		464	%4		193	%

1	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 415%.
2	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 859%.
3	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 685%.
4	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 298%.

See Notes to Financial Statements.

16 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements Master Core Bond Enhanced Index Series

1. Organization and Significant Accounting Policies:

Master Core Bond Enhanced Index Series (the “Series”), a diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests in the Master LLC subject to certain limitations. The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Series:

Valuation: US GAAP defines fair value as the price the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Series fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Series values its bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Series’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Asset-Backed and Mortgage-Backed Securities: The Series may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Series has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

The Series may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Inflation-Indexed Bonds: The Series may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 17

Notes to Financial Statements (continued) Master Core Bond Enhanced Index Series

reduced, respectively. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of US Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

Multiple Class Pass-Through Securities: The Series may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Series may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: The Series may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Series also may invest in stripped mortgage-backed securities that are privately issued.

Capital Trusts: The Series may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities.

Borrowed Bond Agreements: The Series may enter into borrowed bond agreements. In a borrowed bond agreement, the Series borrows a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Series, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Series and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Series may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Series may also experience delays in gaining access to the collateral.

TBA Commitments: The Series may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Series generally enters into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: The Series may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Series will not be entitled to receive interest and principal payments on the securities sold. The Series accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Series’ portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Series is required to purchase may decline below the agreed upon repurchase price of those securities.

Treasury Roll Transactions: The Series may enter into treasury roll transactions. In a treasury roll transaction, the Series sells a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Series receives cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Series and the counterparty over the term of the borrowing. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Series on an accrual basis. The Series will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Series. If the interest expense exceeds the income earned, the Series’ net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Series is

18 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements (continued) Master Core Bond Enhanced Index Series

required to repurchase may decline below the agreed upon repurchase price of those securities.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Series either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, swaps and options written), or certain borrowings (e.g., treasury roll transactions), the Series will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required.

The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2011. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statement of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and to economically hedge, or protect, its exposure to certain risks such as interest rate risk or other risk (inflation risk). These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Series’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Series bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Series do not give rise to counterparty credit risk, as options written obligate the Series to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Series may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between the Series and each of its respective counterparties. An ISDA Master Agreement allows the Series to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Series from its counterparties are not fully collateralized contractually or otherwise, the Series bears the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Series manages counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Series’ net assets decline by a stated percentage or the

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 19

Notes to Financial Statements (continued) Master Core Bond Enhanced Index Series

Series fails to meet the terms of its ISDA Master Agreements, which would cause the Series to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quality of an underlying instrument at a specified price and a specified date.

Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Series as unrealized appreciation or depreciation. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Foreign Currency Exchange Contracts: The Series enters into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Series, help to manage the overall exposure to the currencies in which some of the investments held by the Series are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized gain or loss. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Options: The Series purchases and writes call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or commodity price risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Series purchases (writes) an option, an amount equal to the premium paid (received) by the Series is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Series enters into a closing transaction), the Series realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Series writes a call option, such option is “covered,” meaning that the Series holds the underlying instrument subject to being called by the option counterparty. When the Series writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

In purchasing and writing options, the Series bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Series may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Series purchasing or selling a security at a price different from the current market value.

Swaps: The Series enters into swap agreements, in which the Series and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Series are recorded in the Statement of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Series will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Series’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

• Total return swaps — The Series enters into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Series will receive a payment from or make a payment to the counterparty.

• Interest rate swaps — The Series enters into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the

20 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements (continued) Master Core Bond Enhanced Index Series

yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 21

Notes to Financial Statements (continued) Master Core Bond Enhanced Index Series

Derivative Financial Instruments Categorized by Risk Exposure:

Fair Values of Derivative Financial Instruments as of December 31, 2011
	Asset Derivatives				Liability Derivatives
		Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Interest rate contracts		Net unrealized appreciation/depreciation*; Unrealized appreciation on swaps; Investments at value - unaffiliated**	$	606,928	Net unrealized appreciation/depreciation*; Unrealized depreciation on swaps; Options written at value; Investments at value - unaffiliated**	$	931,378
Credit contracts		Unrealized appreciation on swaps		115,047	Unrealized depreciation on swaps		—
Total			$	721,975		$	931,378

* Includes cumulative appreciation/depreciation on financial futures contracts as reported in Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

** Includes options purchased at value as reported in the Schedule of Investments.

The Effect of Derivative Financial Instruments in the Statement of Operations
Year Ended December 31, 2011

Net Realized Gain (Loss) from
	Financial Futures Contracts		Swaps			Options**			Foreign Currency Exchange Contracts
Foreign currency exchange contracts		—		—			—		$	(49,171	)
Credit contracts		—	$	(22,165	)		—			—
Interest rate contracts	$	412,763		(2,626,548	)	$	(108,915	)		—
Other contracts		—		169,537			—			—
Total	$	412,763	$	(2,479,176	)	$	(108,915	)	$	(49,171	)

Net Change in Unrealized Appreciation/Depreciation on
	Financial Futures Contracts		Swaps		Options**
Credit contracts		—	$	115,047		—
Interest rate contracts	$	99,227		94,979	$	(231,843	)
Other contracts		—		59,830		—
Total	$	99,227	$	269,856	$	(231,843	)
** Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

22 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements (continued) Master Core Bond Enhanced Index Series

For the year ended December 31, 2011 the average quarterly balances of
outstanding derivative financial instruments were as follows:
Financial futures contracts:
Average number of contracts purchased		206
Average number of contracts sold		81
Average notional value of contracts purchased	$	34,069,856
Average notional value of contracts sold	$	12,909,035
Foreign currency exchange contracts:
Average number of contracts – US dollars purchased		1
Average number of contracts – US dollars sold		1
Average US dollar amounts purchased	$	988,617
Average US dollar amounts sold	$	1,001,851
Options:
Average number of option contracts purchased		2,625,064
Average notional value of option contracts purchased	$	2,693,125
Average number of swaption contracts purchased		4
Average notional value of swaption contracts purchased	$	21,025,000
Average number of swaption contracts written		2
Average notional value of swaption contracts written	$	4,500,000
Credit default swaps:
Average number of contracts-buy protection		1
Average notional value-buy protection	$	1,500,000
Interest rate swaps:
Average number of contracts-pays fixed rate		10
Average number of contracts-receives fixed rate		3
Average notional value-pays fixed rate	$	32,270,000
Average notional value-receives fixed rate	$	10,975,000

3. Administration Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of Series’ average daily net assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Series’ investment in other affiliated investment companies, if any. These amounts are included in fees waived by the advisor in the Statement of Operations.

For the year ended December 31, 2011, the Series reimbursed the Manager $1,943 for certain accounting services, which is included in accounting services in the Statement of Operations.

Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 23

Notes to Financial Statements (concluded) Master Core Bond Enhanced Index Series

4. Investments:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the fund for the year ended December 31, 2011, were $1,191,626,989 and $1,129,167,925, respectively.

For the year ended December 31, 2011, purchases and sales of US government securities were $436,771,285 and $419,455,793, respectively.

For the year ended December 31, 2011, purchases and sales of mortgage dollar rolls were $712,954,366 and $713,867,432, respectively.

5. Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2011. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. Effective November 2011, the credit agreement was renewed until November 2012 with the following terms: a commitment fee of 0.065% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2011. The Series did not borrow under the credit agreement during the year ended December 31, 2011.

For the year ended December 31, 2011, the average amount of transactions considered as borrowings and the daily weighted average interest rates from treasury roll transactions for the Series were $2,799,328 and 0.05%, respectively.

6. Concentration, Market and Credit Risk:

In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

24 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Investors of Master Core Bond Enhanced Index Series and Board of Directors of Quantitative Master Series LLC:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Core Bond Enhanced Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Core Bond Enhanced Index Series of Quantitative Master Series LLC as of December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
February 27, 2012

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 25

Officers and Directors
Name, Address and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as a Director 2	Principal Occupation(s) During Past Five Years	Number of BlackRock – Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors 1
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chairman of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	33 RICs consisting of 107 Portfolios	None
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chairman of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. since 1987; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006; Director, Fox Chase Cancer Center from 2004 to 2010.	33 RICs consisting of 107 Portfolios	None
David O. Beim 55 East 52nd Street New York, NY 10055 1940	Director	Since 2007	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural	33 RICs consisting of 107 Portfolios	None

26 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

			center) from 1990 to 2006.
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 107 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005; Director, Cybersettle (dispute resolution technology) since 2009.	33 RICs consisting of 107 Portfolios	AIMS Worldwide, Inc. (marketing)

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 27

Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, McLean Hospital since 2005; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 107 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Director, WQED Multi- Media (public broadcasting not- for-profit) since 2001; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 107 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 107 Portfolios	None
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of	33 RICs consisting of 107 Portfolios	None

28 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

			California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to	33 RICs consisting of 107 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 29

			2007.
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005. Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 107 Portfolios	None

1

Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved extensions in terms of Directors who turn 72 prior to December 31, 2013.

2

Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Master LLC’s board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.

30 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Interested Directors 3
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953	Director	Since 2011	Senior Managing Director, BlackRock, and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.	159 RICs consisting of 286 Portfolios	None
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Consultant, BlackRock, from 2007 to 2008; Managing Director, BlackRock, from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock	159 RICs consisting of 286 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 31

Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

³ Mr. Audet is an “interested person”, as defined in the 1940 Act, of the Master LLC based on his position with BlackRock, and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directors of other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

32 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Name, Address and Year of Birth	Position(s) Held with the Master LLC	Length of Time Served	Principal Occupation(s) During Past Five Years
Master LLC Officers 1
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock, since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of BlackRock Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 33

Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer and Anti-Money Laundering Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Ira P. Shapiro 55 East 52nd Street New York, NY 10055 1963	Secretary	Since 2010	Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.

¹ Officers of the Master LLC serve at the pleasure of the Board.

Effective September 22, 2011, Richard S. Davis resigned as Director of the Corporation and the Master LLC, and Paul L.Audet became Director of the Corporation and the Master LLC.

34 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Additional Information

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisor

BlackRock Investment Management, LLC

Princeton, NJ 08540

Custodian

JPMorgan Chase Bank

Brooklyn, NY 11245

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Address of the Series

100 Bellevue Parkway

Wilmington, DE 19809

Availability of Quarterly Schedule of Investments

The Series files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Series’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Series uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Series voted proxies relating to securities held in the Series’ portfolio during the most recent 12-month period ended June 30 is available (1) at http://www.blackrock.com; and (2) on the SEC’s website at http://www.sec.gov.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 35

Master Enhanced S&P 500 Series of Quantitative Master Series LLC
Annual Report, December 31, 2011

PORTFOLIO MANAGEMENT COMMENTARY

How did the Series perform?
	•	For the 12-month period ended December 31, 2011, the Master Enhanced S&P 500 Series (the “Series”), a series of Quantitative Master Series LLC, returned 2.50%, outperforming its benchmark, the Standard & Poor’s (“S&P”) 500® Index (the “Index”), which returned 2.11% for the same period. Positive performance relative to the benchmark resulted from the Series’ stock-selection strategies, while the Series’ stock-substitution strategies detracted.
	•	The return for the Series includes series expenses. The Index has no expenses associated with performance.
Describe the market environment.
	•	Early in the year, stocks moved unevenly higher despite political upheaval spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters in Japan, resulting in global supply chain disruptions. But equity markets were remarkably resilient as the global economic recovery appeared to be on track and investors were gradually increasing their appetite for risk. After peaking in late April, equities were met with a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading in Europe. In the United States, a prolonged debt ceiling debate ultimately led to S&P’s decision to downgrade the US government’s credit rating in early August. This announcement spurred one of the most volatile periods in trading history. Stock markets across the world whipsawed on hopes and fears driven by news flow. Equities swooned as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.
	•	US stocks staged a strong rebound in October as the domestic labor market improved and corporate profits continued to beat analyst expectations. Encouraging news from Europe also contributed to the rally. After months of deliberation, European leaders agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan soon raised doubts among investors and thwarted the rally at the end of October. In November, political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. In the United States, bickering lawmakers failed to reach an agreement on reducing the US budget deficit, further undermining investors’ confidence in policymakers on both sides of the Atlantic. Market volatility softened in December with the support of global central bank actions and continued improvement in economic data.
	•	For the year, US stocks outperformed most international markets given their relative safety during a time of heightened uncertainty overseas. Dividend-paying stocks performed particularly well as investors sought yield in a low interest rate environment. From a sector perspective, utilities (+19.91%) led the Index for 2011. The defensive consumer staples sector (+13.99%) performed well amid high volatility, as did health care stocks (+12.73%), which benefited from increased merger and acquisition activity during the year. Battered by the world’s debt problems, financials (-17.06%) saw the largest losses. The more cyclical materials (-9.75%) and industrials (-0.59%) sectors also declined amid heightened uncertainty about the global economy.
Describe recent portfolio activity.
	•	During the 12-month period, the Series continued to be managed without any significant changes to the investment process. Throughout the period, as changes were made to the composition of the Index, the Series purchased and sold securities to maintain its objective of tracking the risks and return of the Index. The Series continued to use its quantitative stock-selection and stock-substitution strategies in an effort to generate returns above those offered by the Index.
Describe portfolio positioning at period end.
	•	As of period end, the Series maintains its diversified approach to stock selection and remains positioned to match the risk characteristics of the Index, irrespective of the market’s future direction.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 1

Portfolio Information as of December 31, 2011 Master Enhanced S&P 500 Series

Sector Allocations	Percent of Long-Term Investments
Information Technology	18	%
Financials	14
Health Care	13
Energy	12
Consumer Staples	11
Industrials	10
Consumer Discretionary	10
Utilities	5
Telecommunication Services	4
Materials	3

For Series compliance purposes, the Series’ sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

Derivative Financial Instruments

The Series may invest in various derivative financial instruments, including financial futures contracts and foreign currency exchange contracts, as specified in Note 2 of the Notes to Financial Statements, which constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or equity risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Series’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment or may cause the Series to hold an investment that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

2 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments December 31, 2011	Master Enhanced S&P 500 Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Aerospace & Defense — 3.7%
Boeing Co.		1,528	$	112,079
General Dynamics Corp.		3,430		227,786
Goodrich Corp.		454		56,160
Honeywell International, Inc.		1,422		77,286
Huntington Ingalls Industries, Inc. (a)		2		62
L-3 Communications Holdings, Inc.		190		12,669
Lockheed Martin Corp.		33		2,670
Northrop Grumman Corp.		2,821		164,972
Precision Castparts Corp.		9		1,483
Raytheon Co.		4,602		222,645
Textron, Inc.		638		11,797
United Technologies Corp.		1,751		127,980
				1,017,589
Air Freight & Logistics — 0.9%
C.H. Robinson Worldwide, Inc.		308		21,492
Expeditors of International Washington, Inc.		4,600		188,416
FedEx Corp.		494		41,254
				251,162
Airlines — 0.1%
Southwest Airlines Co.		1,700		14,552
Automobiles — 0.3%
Ford Motor Co.		6,825		73,437
Harley-Davidson, Inc.		172		6,686
				80,123
Beverages — 2.8%
Brown-Forman Corp., Class B		200		16,102
The Coca-Cola Co.		2,402		168,068
Coca-Cola Enterprises, Inc.		6,760		174,273
Constellation Brands, Inc., Class A (a)		3,630		75,032
Dr. Pepper Snapple Group, Inc.		2,043		80,657
Molson Coors Brewing Co., Class B		4,400		191,576
PepsiCo, Inc.		779		51,687
				757,395
Biotechnology — 0.6%
Amgen, Inc.		1		64
Celgene Corp. (a)		800		54,080
Gilead Sciences, Inc. (a)		1,342		54,928
Pharmasset, Inc. (a)		434		55,639
				164,711
Building Products — 0.3%
Fortune Brands Home & Security, Inc. (a)		5,132		87,398
Capital Markets — 0.7%
Ameriprise Financial, Inc.		200		9,928
The Charles Schwab Corp.		1,300		14,638
E*Trade Financial Corp. (a)		500		3,980
Eaton Vance Corp.		2,200		52,008
Federated Investors, Inc., Class B		100		1,515
Common Stocks	Shares		Value
Capital Markets (concluded)
Franklin Resources, Inc.		492	$	47,261
Invesco Ltd.		317		6,369
Legg Mason, Inc.		300		7,215
Morgan Stanley		2,500		37,825
				180,739
Chemicals — 1.2%
Air Products & Chemicals, Inc.		271		23,087
Airgas, Inc.		4		312
CF Industries Holdings, Inc.		33		4,784
The Dow Chemical Co.		2,069		59,504
E.I. du Pont de Nemours & Co.		1,612		73,797
Ecolab, Inc.		775		44,803
FMC Corp.		164		14,111
International Flavors & Fragrances, Inc.		196		10,274
The Mosaic Co.		500		25,215
PPG Industries, Inc.		328		27,385
Praxair, Inc.		44		4,704
The Sherwin-Williams Co.		398		35,529
				323,505
Commercial Banks — 3.0%
BB&T Corp.		875		22,024
Bank of Montreal		240		13,154
Fifth Third Bancorp		1,981		25,198
First Horizon National Corp.		500		4,000
KeyCorp		2,002		15,395
M&T Bank Corp.		103		7,863
The PNC Financial Services Group, Inc. (a)(b)		641		36,967
Regions Financial Corp.		2,617		11,253
SunTrust Banks, Inc.		1,174		20,780
U.S. Bancorp		3,539		95,730
Wells Fargo & Co.		20,106		554,121
Zions Bancorporation		373		6,073
				812,558
Commercial Services & Supplies — 0.1%
Iron Mountain, Inc.		446		13,737
Pitney Bowes, Inc.		450		8,343
Waste Management, Inc.		500		16,355
				38,435
Communications Equipment — 2.5%
Cisco Systems, Inc.		19,545		353,374
F5 Networks, Inc. (a)		13		1,380
Juniper Networks, Inc. (a)		1,200		24,492
Motorola Mobility Holdings, Inc. (a)		2,785		108,058
QUALCOMM, Inc.		3,577		195,662
Tellabs, Inc.		738		2,981
				685,947
Computers & Peripherals — 4.6%
Apple, Inc. (a)		1,934		783,270
Dell, Inc. (a)		11,598		169,679
EMC Corp. (a)		3,860		83,144

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	3

Schedule of Investments (continued)	Master Enhanced S&P 500 Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Computers & Peripherals (concluded)
Hewlett-Packard Co.		7,668	$	197,528
Lexmark International, Inc., Class A		200		6,614
NetApp, Inc. (a)		22		798
SanDisk Corp. (a)		300		14,763
Western Digital Corp. (a)		209		6,468
				1,262,264
Construction & Engineering — 0.1%
Fluor Corp.		341		17,135
Consumer Finance — 1.1%
American Express Co.		46		2,170
Capital One Financial Corp.		3,908		165,269
Discover Financial Services		5,747		137,928
				305,367
Containers & Packaging — 0.5%
Sealed Air Corp.		1,009		17,365
Temple-Inland, Inc.		3,531		111,968
				129,333
Distributors — 0.1%
Genuine Parts Co.		291		17,809
Diversified Consumer Services — 0.5%
Apollo Group, Inc., Class A (a)		2,550		137,369
DeVry, Inc.		100		3,846
				141,215
Diversified Financial Services — 2.2%
Bank of America Corp.		21,865		121,569
Citigroup, Inc.		6,367		167,516
CME Group, Inc.		88		21,443
JPMorgan Chase & Co.		8,044		267,463
The NASDAQ OMX Group, Inc. (a)		699		17,132
NYSE Euronext		458		11,954
				607,077
Diversified Telecommunication Services — 3.5%
AT&T, Inc. (c)		13,096		396,023
CenturyLink, Inc.		3,549		132,023
Verizon Communications, Inc.		10,559		423,627
				951,673
Electric Utilities — 2.3%
American Electric Power Co., Inc.		644		26,604
Edison International		5,100		211,140
Entergy Corp.		2,803		204,759
Exelon Corp.		1,162		50,396
FirstEnergy Corp.		684		30,301
Pepco Holdings, Inc.		431		8,749
Progress Energy, Inc.		378		21,176
The Southern Co.		1,501		69,481
				622,606
Electrical Equipment — 0.2%
Cooper Industries Plc		100		5,415
Emerson Electric Co.		1,322		61,592
Common Stocks	Shares		Value
Electrical Equipment (concluded)
Rockwell Automation, Inc.		31	$	2,275
				69,282
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp., Class A		4		182
Corning, Inc.		4,250		55,165
Jabil Circuit, Inc.		367		7,215
TE Connectivity Ltd.		600		18,486
				81,048
Energy Equipment & Services — 1.2%
Cameron International Corp. (a)		14		689
Diamond Offshore Drilling, Inc.		41		2,266
Halliburton Co.		1,553		53,594
Helmerich & Payne, Inc.		60		3,502
Nabors Industries Ltd. (a)		754		13,074
National Oilwell Varco, Inc.		855		58,131
Noble Corp. (a)		119		3,596
Schlumberger Ltd.		2,642		180,475
				315,327
Food & Staples Retailing — 4.6%
Costco Wholesale Corp.		2,981		248,377
CVS Caremark Corp.		2,498		101,868
The Kroger Co.		8,339		201,971
Safeway, Inc.		6,202		130,490
SUPERVALU, Inc.		400		3,248
SYSCO Corp.		4,700		137,851
Wal-Mart Stores, Inc.		3,829		228,821
Walgreen Co.		6,009		198,657
Whole Foods Market, Inc.		29		2,018
				1,253,301
Food Products — 1.1%
ConAgra Foods, Inc.		979		25,846
Dean Foods Co. (a)		300		3,360
General Mills, Inc.		982		39,683
H.J. Heinz Co.		360		19,454
Hormel Foods Corp.		901		26,390
The J.M. Smucker Co.		10		782
Kellogg Co.		200		10,114
Mead Johnson Nutrition Co.		200		13,746
Sara Lee Corp.		645		12,203
Tyson Foods, Inc., Class A		6,700		138,288
				289,866
Gas Utilities — 0.1%
AGL Resources, Inc.		133		5,621
Oneok, Inc.		126		10,923
				16,544
Health Care Equipment & Supplies — 1.8%
Baxter International, Inc.		846		41,860
Becton Dickinson & Co.		8		598
Boston Scientific Corp. (a)		3,226		17,227
C.R. Bard, Inc.		2,164		185,022
CareFusion Corp. (a)		522		13,264
Covidien Plc		700		31,507

See Notes to Financial Statements.
4	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Enhanced S&P 500 Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Health Care Equipment & Supplies (concluded)
Medtronic, Inc.		4,020	$	153,765
Stryker Corp.		300		14,913
Varian Medical Systems, Inc. (a)		100		6,713
Zimmer Holdings, Inc.		671		35,845
				500,714
Health Care Providers & Services — 3.4%
Aetna, Inc.		1,901		80,203
AmerisourceBergen Corp.		589		21,905
Cardinal Health, Inc.		700		28,427
Cigna Corp.		632		26,544
Coventry Health Care, Inc. (a)		348		10,569
DaVita, Inc. (a)		200		15,162
Express Scripts, Inc. (a)		465		20,781
Humana, Inc.		2,122		185,908
Laboratory Corp. of America Holdings (a)		48		4,127
McKesson Corp.		2,007		156,365
Medco Health Solutions, Inc. (a)		1,514		84,633
Quest Diagnostics, Inc.		100		5,806
Tenet Healthcare Corp. (a)		900		4,617
UnitedHealth Group, Inc.		2,385		120,872
WellPoint, Inc.		2,633		174,436
				940,355
Health Care Technology — 0.0%
Cerner Corp. (a)		35		2,144
Hotels, Restaurants & Leisure — 1.0%
Carnival Corp.		584		19,062
McDonald’s Corp.		2,088		209,489
Starbucks Corp.		26		1,196
Starwood Hotels & Resorts Worldwide, Inc.		200		9,594
Wynn Resorts Ltd.		196		21,656
				260,997
Household Durables — 0.1%
Garmin Ltd.		300		11,943
Leggett & Platt, Inc.		622		14,331
Whirlpool Corp.		200		9,490
				35,764
Household Products — 1.6%
The Clorox Co.		300		19,968
Colgate-Palmolive Co.		23		2,125
Kimberly-Clark Corp.		637		46,858
The Procter & Gamble Co.		5,654		377,178
				446,129
Independent Power Producers & Energy Traders — 0.1%
The AES Corp. (a)		1,412		16,718
Constellation Energy Group, Inc.		266		10,552
				27,270
Industrial Conglomerates — 1.9%
3M Co.		1,304		106,576
General Electric Co.		22,507		403,101
Common Stocks	Shares		Value
Industrial Conglomerates (concluded)
Tyco International Ltd.		16	$	747
				510,424
Insurance — 3.0%
ACE Ltd.		1,045		73,275
Aflac, Inc.		4,419		191,166
American International Group, Inc. (a)		505		11,716
Assurant, Inc.		157		6,447
Berkshire Hathaway, Inc., Class B (a)		1,565		119,410
Cincinnati Financial Corp.		429		13,067
Fidelity National Financial, Inc., Class A		8,600		136,998
Hartford Financial Services Group, Inc.		1,001		16,266
HCC Insurance Holdings, Inc.		641		17,628
Lincoln National Corp.		700		13,594
Loews Corp.		243		9,149
Marsh & McLennan Cos., Inc.		626		19,794
MetLife, Inc.		2,229		69,500
Principal Financial Group, Inc.		200		4,920
The Progressive Corp.		1,408		27,470
Prudential Financial, Inc.		1,065		53,378
Torchmark Corp.		560		24,298
Unum Group		648		13,653
				821,729
Internet & Catalog Retail — 0.5%
Amazon.com, Inc. (a)		766		132,595
Internet Software & Services — 2.1%
Akamai Technologies, Inc. (a)		100		3,228
eBay, Inc. (a)		2,097		63,602
Google, Inc., Class A (a)		567		366,225
IAC/InterActiveCorp.		3,500		149,100
Monster Worldwide, Inc. (a)		200		1,586
				583,741
IT Services — 1.8%
Accenture Plc, Class A		1,151		61,268
Cognizant Technology Solutions Corp. (a)		463		29,776
Computer Sciences Corp.		372		8,816
Fidelity National Information Services, Inc.		963		25,606
Fiserv, Inc. (a)		319		18,738
International Business Machines Corp.		1,703		313,148
Paychex, Inc.		1		30
SAIC, Inc. (a)		500		6,145
Teradata Corp. (a)		100		4,851
Visa, Inc., Class A		182		18,478
				486,856
Leisure Equipment & Products — 0.5%
Hasbro, Inc.		4,076		129,984

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	5

Schedule of Investments (continued)	Master Enhanced S&P 500 Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Leisure Equipment & Products (concluded)
Mattel, Inc.		35	$	971
				130,955
Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc. (a)		359		12,540
Life Technologies Corp. (a)		32		1,245
PerkinElmer, Inc.		214		4,280
Thermo Fisher Scientific, Inc. (a)		523		23,519
Waters Corp. (a)		81		5,998
				47,582
Machinery — 2.2%
Caterpillar, Inc.		1,523		137,984
Cummins, Inc.		284		24,998
Danaher Corp.		1,563		73,524
Deere & Co.		924		71,471
Dover Corp.		179		10,391
Eaton Corp.		427		18,587
Illinois Tool Works, Inc.		748		34,939
Ingersoll-Rand Plc		33		1,006
Joy Global, Inc.		90		6,747
PACCAR, Inc.		4,268		159,922
Pall Corp.		515		29,432
Parker Hannifin Corp.		448		34,160
				603,161
Media — 3.9%
AMC Networks, Inc. (a)		372		13,980
DIRECTV, Class A (a)		1,231		52,637
Discovery Communications, Inc., Class A (a)		48		1,967
Gannett Co., Inc.		484		6,471
The McGraw-Hill Cos., Inc.		390		17,538
News Corp., Class A		4,157		74,161
Omnicom Group, Inc.		311		13,864
Time Warner Cable, Inc.		3,410		216,774
Time Warner, Inc.		7,164		258,907
Viacom, Inc., Class B		4,439		201,575
Walt Disney Co.		4,810		180,375
The Washington Post Co., Class B		37		13,942
				1,052,191
Metals & Mining — 0.6%
Alcoa, Inc.		2,273		19,661
Allegheny Technologies, Inc.		17		813
Cliffs Natural Resources, Inc.		200		12,470
Freeport-McMoRan Copper & Gold, Inc., Class B		3,163		116,367
Nucor Corp.		700		27,699
				177,010
Multi-Utilities — 2.1%
Ameren Corp.		5,787		191,723
CenterPoint Energy, Inc.		100		2,009
Consolidated Edison, Inc.		857		53,160
DTE Energy Co.		100		5,445
Integrys Energy Group, Inc.		188		10,186
PG&E Corp.		1,713		70,610
Common Stocks	Shares		Value
Multi-Utilities (concluded)
Public Service Enterprise Group, Inc.		600	$	19,806
Sempra Energy		3,800		209,000
				561,939
Multiline Retail — 0.4%
99 Cents Only Stores (a)		652		14,311
Dollar Tree, Inc. (a)		185		15,375
Family Dollar Stores, Inc.		80		4,613
Macy’s, Inc.		528		16,991
Target Corp.		1,149		58,852
				110,142
Office Electronics — 0.1%
Xerox Corp.		2,951		23,490
Oil, Gas & Consumable Fuels — 10.6%
Alpha Natural Resources, Inc. (a)		3,044		62,189
Anadarko Petroleum Corp.		926		70,681
Apache Corp.		24		2,174
Chesapeake Energy Corp.		1,068		23,806
Chevron Corp.		6,023		640,847
ConocoPhillips		5,328		388,251
Devon Energy Corp.		668		41,416
El Paso Corp.		1,200		31,884
EOG Resources, Inc.		500		49,255
Exxon Mobil Corp.		10,306		873,536
Hess Corp.		25		1,420
Marathon Oil Corp.		903		26,431
Marathon Petroleum Corp.		1,401		46,639
Murphy Oil Corp.		3,013		167,945
Newfield Exploration Co. (a)		300		11,319
Noble Energy, Inc.		200		18,878
Occidental Petroleum Corp.		1,721		161,258
Peabody Energy Corp.		600		19,866
Pioneer Natural Resources Co.		100		8,948
QEP Resources, Inc.		27		791
Southwestern Energy Co. (a)		400		12,776
Spectra Energy Corp.		9		277
Sunoco, Inc.		3,598		147,590
Tesoro Corp. (a)		327		7,639
Valero Energy Corp.		2,739		57,656
				2,873,472
Paper & Forest Products — 0.4%
International Paper Co.		3,810		112,776
MeadWestvaco Corp.		329		9,854
				122,630
Personal Products — 0.0%
Avon Products, Inc.		300		5,241
Pharmaceuticals — 5.9%
Abbott Laboratories		3,111		174,932
Eli Lilly & Co.		6,575		273,257
Forest Laboratories, Inc. (a)		231		6,990
Johnson & Johnson		5,766		378,134
Merck & Co., Inc.		11,463		432,155
Mylan, Inc. (a)		400		8,584

See Notes to Financial Statements.
6	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Enhanced S&P 500 Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Pharmaceuticals (concluded)
Novartis AG		11	$	629
Pfizer, Inc.		8,610		186,320
Watson Pharmaceuticals, Inc. (a)		2,380		143,609
				1,604,610
Professional Services — 0.1%
Equifax, Inc.		254		9,840
Robert Half International, Inc.		340		9,676
				19,516
Real Estate Investment Trusts (REITs) — 1.4%
Boston Properties, Inc.		177		17,629
Equity Residential		328		18,706
Health Care REIT, Inc.		311		16,959
Host Marriott Corp.		753		11,122
Kimco Realty Corp.		4,750		77,140
ProLogis		9		257
Public Storage		15		2,017
Ventas, Inc.		351		19,351
Vornado Realty Trust		170		13,066
Weyerhaeuser Co.		10,400		194,168
				370,415
Real Estate Management & Development — 0.0%
The Howard Hughes Corp. (a)		241		10,645
Semiconductors & Semiconductor Equipment — 2.1%
Advanced Micro Devices, Inc. (a)		1,220		6,588
Altera Corp.		300		11,130
Analog Devices, Inc.		4		143
Applied Materials, Inc.		1,400		14,994
Intel Corp.		12,035		291,849
LSI Corp. (a)		1,204		7,164
Microchip Technology, Inc.		160		5,861
Micron Technology, Inc. (a)		400		2,516
Netlogic Microsystems, Inc. (a)		720		35,690
NVIDIA Corp. (a)		7,659		106,154
Texas Instruments, Inc.		1,955		56,910
Xilinx, Inc.		657		21,063
				560,062
Software — 3.1%
Adobe Systems, Inc. (a)		594		16,792
Autodesk, Inc. (a)		1,847		56,020
Compuware Corp. (a)		400		3,328
Electronic Arts, Inc. (a)		6,529		134,497
Intuit, Inc.		310		16,303
Microsoft Corp.		15,961		414,348
Oracle Corp.		8,028		205,918
Symantec Corp. (a)		700		10,955
				858,161
Specialty Retail — 2.0%
AutoNation, Inc. (a)		36		1,327
Bed Bath & Beyond, Inc. (a)		11		638
Best Buy Co., Inc.		600		14,022
GameStop Corp., Class A (a)		300		7,239
The Gap, Inc.		700		12,985
Common Stocks	Shares		Value
Specialty Retail (concluded)
Home Depot, Inc.		2,903	$	122,042
Lowe’s Cos., Inc.		2,131		54,085
O’Reilly Automotive, Inc. (a)		100		7,995
Ross Stores, Inc.		2,121		100,811
Staples, Inc.		7,282		101,147
TJX Cos., Inc.		1,097		70,811
Urban Outfitters, Inc. (a)		1,700		46,852
				539,954
Textiles, Apparel & Luxury Goods — 0.3%
Coach, Inc.		42		2,564
NIKE, Inc., Class B		618		59,557
Ralph Lauren Corp.		100		13,808
VF Corp.		42		5,333
				81,262
Tobacco — 0.9%
Altria Group, Inc.		41		1,215
Lorillard, Inc.		521		59,394
Philip Morris International, Inc.		1,614		126,667
Reynolds American, Inc.		1,200		49,704
				236,980
Trading Companies & Distributors — 0.1%
W.W. Grainger, Inc.		100		18,719
Wireless Telecommunication Services — 0.1%
American Tower Corp., Class A		19		1,140
MetroPCS Communications, Inc. (a)		552		4,792
Sprint Nextel Corp. (a)		6,400		14,976
				20,908
Total Common Stocks – 92.9%				25,271,724
Exchange Traded Funds
SPDR S&P 500 ETF Trust		3,242		406,871
Total Exchange Traded Funds –1.5%				406,871
Other Interests	Beneficial Interest (000)
Specialty Retail — 0.0%
J. Crew Group, Inc. Escrow (a)		58		1
Total Other Interests – 0.0%				1

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	7

Schedule of Investments (continued)	Master Enhanced S&P 500 Series
	(Percentages shown are based on Net Assets)

Warrants (d)	Shares		Value
Automobiles — 0.1%
Ford Motor Co. (Expires 1/01/13) (a)		5,988	$	14,371
Total Warrants – 0.1%				14,371
Total Long-Term Investments (Cost – $18,498,013) – 94.5%				25,692,967
Short-Term Securities
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.07% (b)(e)		923,192		923,192
Total Short-Term Securities (Cost - $923,192) – 3.4%				923,192
Total Investments (Cost — $19,421,205*) - 97.9%				26,616,159
Other Assets Less Liabilities – 2.1%				577,834
Net Assets – 100.0%			$	27,193,993

* As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	21,388,850
Gross unrealized appreciation	$	5,444,697
Gross unrealized depreciation		(217,388	)
Net unrealized appreciation	$	5,227,309

(a)	Non-income producing security.
(b)	Investments in companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2010		Shares/ Beneficial Interest Purchased		Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2011		Value at December 31, 2011		Realized Gain		Income
BlackRock Liquidity Funds, TempCash, Institutional Class		44,756,970		—		43,833,778	1		923,192	$	923,192		—	$	52,979
BlackRock Liquidity Series, LLC Money Market Series		—		614,525,070		614,525,070			—		—		—	$	12,224
The PNC Financial Services Group, Inc.		15,798		—		15,157			641	$	36,967	$	1,076	$	18,168

¹ Represents net shares sold.

(c) All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

See Notes to Financial Statements.
8	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Enhanced S&P 500 Series
	(Percentages shown are based on Net Assets)

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

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

ETF	Exchange-Traded Fund
SPDR	Standard & Poor’s Depository Receipts

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	9

Schedule of Investments (concluded) Master Enhanced S&P 500 Series

• Financial futures contracts purchased as of December 31, 2011 were as follows:

Contracts	Issue	Exchange	Expiration		Notional Value		Unrealized Appreciation
31	S&P 500 E Mini	Chicago Mercantile	March 2012	$	1,941,530	$	34,577

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

• Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Series’ perceived risk of investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of December 31, 2011 in determining the fair valuation of the Series’ investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Long-Term Investments2	$	25,692,966	$	1		—	$	25,692,967
Short-Term Securities		923,192		—		—		923,192
Total	$	26,616,158	$	1		—	$	26,616,159

² See above Schedule of Investments for values in each industry.

Valuation Inputs	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments3
Assets:
Equity contracts	$	34,577		—		—	$	34,577

³ Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.
10	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Statement of Assets and Liabilities Master Enhanced S&P 500 Series

December 31, 2011
Assets
Investments at value - unaffiliated (cost — $18,471,213)	$	25,656,000
Investments at value - affiliated (cost — $949,992)		960,159
Foreign currency at value (cost — $3,380)		3,317
Investments sold receivable		594,645
Dividends receivable		89,650
Securities lending income receivable — affiliated		1,970
Prepaid expenses		18,841
Total assets		27,324,582
Liabilities
Margin variation payable		7,440
Other affiliates payable		2,889
Directors’ fees payable		715
Investment advisory fees payable		477
Other accrued expenses payable		119,068
Total liabilities		130,589
Net Assets	$	27,193,993
Net Assets Consist of
Investors’ capital	$	19,964,525
Net unrealized appreciation/depreciation		7,229,468
Net Assets	$	27,193,993

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	11

Statement of Operations Master Enhanced S&P 500 Series

Year Ended December 31, 2011
Investment Income
Dividends - unaffiliated	$	18,420,740
Foreign taxes withheld		(50,324	)
Dividends - affiliated		71,147
Securities lending - affiliated		12,224
Total income		18,453,787
Expenses
Accounting services		209,563
Investment advisory		96,408
Professional		88,453
Custodian		63,983
Directors		30,355
Printing		7,930
Miscellaneous		19,358
Total expenses		516,050
Less fees waived by advisor		(37,133	)
Less fees paid indirectly		(4,617	)
Total expenses after fees waived and paid indirectly		474,300
Net investment income		17,979,487
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments - unaffiliated		55,738,174
Investment - affiliated		1,076
Redemption in-kind transactions		132,772,857
Financial futures contracts		1,007,868
Foreign currency transactions		(170	)
		189,519,805
Net change in unrealized appreciation/depreciation on:
Investments		(188,504,317	)
Financial futures contracts		(1,135,120	)
Foreign currency transactions		(108	)
		(189,639,545	)
Total realized and unrealized loss		(119,740	)
Net Increase in Net Assets Resulting from Operations	$	17,859,747

See Notes to Financial Statements.
12	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Statements of Changes in Net Assets Master Enhanced S&P 500 Series

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2011			2010
Operations
Net investment income	$	17,979,487		$	19,188,693
Net realized gain		56,746,948			67,833,997
Net realized gain from redemptions in-kind		132,772,857			—
Net change in unrealized appreciation/depreciation		(189,639,545	)		56,136,160
Net increase in net assets resulting from operations		17,859,747			143,158,850
Capital Transactions
Proceeds from contributions		33,970,774			938,363,321
Value of withdrawals		(1,142,117,643	)		(833,629,989	)
Net increase (decrease) in net assets derived from capital transactions		(1,108,146,869	)		104,733,332
Net Assets
Total increase (decrease) in net assets		(1,090,287,122	)		247,892,182
Beginning of year		1,117,481,115			869,588,933
End of year	$	27,193,993		$	1,117,481,115

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	13

Financial Highlights Master Enhanced S&P 500 Series

	Year Ended December 31,
	2011			2010			2009			2008			2007
Total Investment Return
Total investment return		2.50	%		15.88	%		26.62	%		(36.39	)%		5.67	%
Ratios to Average Net Assets
Total expenses		0.05	%		0.05	%		0.07	%		0.08	%		0.06	%
Total expenses after fees waived		0.05	%		0.05	%		0.06	%		0.08	%		0.06	%
Net investment income		1.86	%		2.11	%		2.38	%		2.30	%		1.89	%
Supplemental Data
Net assets, end of year (000)	$	27,194		$	1,117,481		$	869,589		$	442,104		$	635,222
Portfolio turnover		186	%		135	%		150	%		206	%		196	%

See Notes to Financial Statements.
14	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Notes to Financial Statements Master Enhanced S&P 500 Series

1. Organization and Significant Accounting Policies:

Master Enhanced S&P 500 Series (the “Series”), a diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests in the Master LLC, subject to certain limitations. The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Series:

Valuation: US GAAP defines fair value as the price the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Series fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

The Series values its investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Fund may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Foreign Currency Transactions: The Series’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Series’ investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Series does not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Series reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Series either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts), the Series will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Series is informed of the ex-dividend date. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

Redemptions-In-Kind: The Series transferred securities and cash to shareholders in connection with a redemption-in-kind transaction. For purposes of US GAAP, these transactions were treated as a sale of

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 15

Notes to Financial Statements (continued) Master Enhanced S&P 500 Series

securities and the resulting gains and losses were recognized based on the market value of the securities on the date of the transfer. For tax purposes, no gains or losses were recognized. Gains and losses resulting from such redemptions-in-kind are shown as redemption-in-kind transactions in the Statements of Operations.

Securities Lending: The Series may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Series earns dividend and interest on the securities loaned but does not receive dividend or interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required.

The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2011. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statement of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Foreign Currency Exchange Contracts: The Series enters into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Series, help to manage the overall exposure to the currencies, in which some of the investments held by the Series are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized gain or loss.When the contract is closed, the Series records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

16 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements (continued) Master Enhanced S&P 500 Series

Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Series as unrealized appreciation or depreciation. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of December 31, 2011
	Asset Derivatives
	Statement of Assets And Liabilities Location	Value
Equity contracts	Net unrealized appreciation*	$	34,577

* Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

The Effect of Derivative Financial Instruments in the Statement of Operations Year Ended December 31, 2011
	Net Realized Gain From
Equity contracts:
Financial futures contracts		$	1,007,868
	Net Change in Unrealized Appreciation/Depreciation on
Equity contracts:
Financial futures contracts		$	(1,135,120	)

For the year ended December 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:

Financial futures contracts:
Average number of contracts purchased		155
Average notional value of contracts purchased	$	46,800,008

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Series’ investment in other affiliated investment companies, if any. This amount is shown as, or included in, fees waived by advisor in the Statement of Operations.

The Manager entered into a sub-advisory agreement with BlackRock Investment Management LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.

For the year ended December 31, 2011, the Series reimbursed the Manager $12,602 for certain accounting services, which is included in accounting services in the Statement of Operations.

The Master LLC, on behalf of Series, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. As securities lending agent, BIM is responsible for all transaction fees and all other operational costs relating to securities lending activities, other than extraordinary expenses. BIM does not receive any fees for managing the cash collateral. The market value of securities on loan and the value of the related collateral, if applicable, are shown in the Statement of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Series retains 65% of securities lending income and pays a fee to BIM equal to 35% of such income. The share of income earned by the Series on such investments is shown as securities lending — affiliated in the Statement of Operations. For the year ended December 31, 2011, BIM received $4,691 in securities lending agent fees related to securities lending activities for the Series.

Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments, excluding short-term securities, for the year ended December 31, 2011, were $1,735,015,738 and $1,774,259,727, including $1,007,527,054 sales representing redemptions in-kind, respectively.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 17

Notes to Financial Statements (concluded) Master Enhanced S&P 500 Series

5. Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2011. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR (“London Interbank Offered Rate”) plus 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. Effective November 2011, the credit agreement was renewed until November 2012 with the following terms: a commitment fee of 0.065% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2011. The Series did not borrow under the credit agreement during the year ended December 31, 2011.

6. Concentration, Market and Credit Risk:

In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

18 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Investors of Master Enhanced S&P 500 Series and Board of Directors of Quantitative Master Series LLC:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Enhanced S&P 500 Series, one of the portfolios constituting Quantitative Master Series LLC (the “Master LLC”), as of December 31, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Enhanced S&P 500 Series, one of the portfolios constituting Quantitative Master Series LLC, as of December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
February 24, 2012

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 19

Officers and Directors
Name, Address and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as a Director 2	Principal Occupation(s) During Past Five Years	Number of BlackRock – Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors 1
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chairman of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	33 RICs consisting of 107 Portfolios	None
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chairman of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. since 1987; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006; Director, Fox Chase Cancer Center from 2004 to 2010.	33 RICs consisting of 107 Portfolios	None
David O. Beim 55 East 52nd Street New York, NY 10055 1940	Director	Since 2007	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural	33 RICs consisting of 107 Portfolios	None

20 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

			center) from 1990 to 2006.
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 107 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005; Director, Cybersettle (dispute resolution technology) since 2009.	33 RICs consisting of 107 Portfolios	AIMS Worldwide, Inc. (marketing)

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 21

Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, McLean Hospital since 2005; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 107 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 107 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 107 Portfolios	None
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of	33 RICs consisting of 107 Portfolios	None

22 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

			California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to	33 RICs consisting of 107 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 23

			2007.
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005. Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 107 Portfolios	None

1

Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved extensions in terms of Directors who turn 72 prior to December 31, 2013.

2

Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Master LLC’s board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.

24 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Interested Directors 3
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953	Director	Since 2011	Senior Managing Director, BlackRock, and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.	159 RICs consisting of 286 Portfolios	None
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Consultant, BlackRock, from 2007 to 2008; Managing Director, BlackRock, from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock	159 RICs consisting of 286 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 25

Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

3 Mr. Audet is an “interested person”, as defined in the 1940 Act, of the Master LLC based on his position with BlackRock, and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directors of other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

26 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Name, Address and Year of Birth	Position(s) Held with the Master LLC	Length of Time Served	Principal Occupation(s) During Past Five Years
Master LLC Officers 1
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock, since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of BlackRock Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 27

Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer and Anti-Money Laundering Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Ira P. Shapiro 55 East 52nd Street New York, NY 10055 1963	Secretary	Since 2010	Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.

¹ Officers of the Master LLC serve at the pleasure of the Board.

Effective September 22, 2011, Richard S. Davis resigned as Director of the Corporation and the Master LLC, and Paul L. Audet became Director of the Corporation and the Master LLC.

28 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Additional Information

Investment Advisor

BlackRock Advisors, LLC
Wilmington, DE 19809

Sub-Advisor

BlackRock Investment Management, LLC
Princeton, NJ 08540

Custodian

JPMorgan Chase Bank
Brooklyn, NY 11245

Accounting Agent

State Street Bank and Trust Company
Boston, MA 02110

Legal Counsel

Sidley Austin LLP
New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP
Boston, MA 02116

Address of the Series

100 Bellevue Parkway
Wilmington, DE 19809

Availability of Quarterly Schedule of Investments

The Series files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Series’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Series uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Series voted proxies relating to securities held in the Series’ portfolio during the most recent 12-month period ended June 30 is available (1) at http://www.blackrock.com; and (2) on the SEC’s website at http://www.sec.gov.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 29

Master Extended Market Index Series of Quantitative Master Series LLC

Annual Report, December 31, 2011

PORTFOLIO MANAGEMENT COMMENTARY

How did the Series perform?

• During the 12 months ended December 31, 2011, Master Extended Market Index Series (the “Series”), a series of Quantitative Master Series LLC, returned (3.55)%, while the benchmark Dow Jones U.S. Completion Total Stock Market Index^SM (the “Benchmark Index”) returned (3.76)% for the same period.

Describe the market environment.

• Early in the year, stocks moved unevenly higher despite political upheaval spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters in Japan, resulting in global supply chain disruptions. But equity markets were remarkably resilient as the global economic recovery appeared to be on track and investors were gradually increasing their appetite for risk. After peaking in late April, equities were met with a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading in Europe. In the United States, a prolonged debt ceiling debate ultimately led to Standard & Poor’s decision to downgrade the US government’s credit rating in early August. This announcement spurred one of the most volatile periods in trading history. Stock markets across the world whipsawed on hopes and fears driven by news flow. Equities swooned as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.

• US stocks staged a strong rebound in October as the domestic labor market improved and corporate profits continued to beat analyst expectations. Encouraging news from Europe also contributed to the rally. After months of deliberation, European leaders agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan soon raised doubts among investors and thwarted the rally at the end of October. In November, political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. In the United States, bickering lawmakers failed to reach an agreement on reducing the US budget deficit, further undermining investors’ confidence in policymakers on both sides of the Atlantic. Market volatility softened in December with the support of global central bank actions and continued improvement in economic data.

• For the year, US stocks outperformed most international markets given their relative safety during a time of heightened uncertainty overseas. Dividend-paying stocks performed particularly well as investors sought yield in a low interest rate environment. From a sector perspective, utilities (+15.10%) led the index for 2011. The defensive consumer staples sector (+13.57%) performed well amid high volatility and health care stocks performed positively (+1.12%) from increased merger and acquisition activity during the year. Telecommunications services (-12.75%) and information technology (-9.32%) were the most challenged. The more cyclical materials (-7.36%) and industrials (-6.59%) sectors also declined amid heightened uncertainty about the global economy.

Describe recent portfolio activity.

• During the 12-month period, as changes were made to the composition of the Benchmark Index, the Series purchased and sold securities to maintain its objective of replicating the risks and return of the Benchmark Index.

Describe portfolio positioning at period end.

• The Series remains positioned to match the risk characteristics of the Benchmark Index, irrespective of the market’s future direction.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 1

Portfolio Information as of December 31, 2011 Master Extended Market Index Series

Sector Allocations	Percent of Long-Term Investments
Financials		21	%
Industrials		17
Consumer Services		13
Technology		12
Health Care		10
Consumer Goods		9
Oil & Gas		7
Basic Materials		5
Utilities		4
Telecommunications		2

For Series compliance purposes, the Series’ sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

Derivative Financial Instruments

The Series may invest in various derivative financial instruments, including financial futures contracts, as specified in Note 2 of the Notes to Financial Statements, which constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or equity risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Series’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment or may cause the Series to hold an investment that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

2 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments December 31, 2011	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Aerospace & Defense — 1.4%
AAR Corp.		6,591	$	126,349
Aerosonic Corp. (a)		200		640
AeroVironment, Inc. (a)		3,121		98,218
Alliant Techsystems, Inc.		5,724		327,184
Applied Energetics, Inc. (a)		13,532		988
Arotech Corp. (a)		4,742		5,643
Astronics Corp. (a)		2,143		76,741
Astrotech Corp. (a)		6,283		3,694
Aviation General, Inc. (a)		1,200		—
BE Aerospace, Inc. (a)		15,980		618,586
Ceradyne, Inc. (a)		4,244		113,654
CPI Aerostructures, Inc. (a)		325		3,819
Cubic Corp.		2,738		119,349
Curtiss-Wright Corp.		7,646		270,133
Ducommun, Inc.		1,600		20,400
Esterline Technologies Corp. (a)		5,002		279,962
Exelis, Inc.		30,684		277,690
GenCorp, Inc. (a)		10,483		55,770
Heico Corp., Class A		6,055		238,264
Hexcel Corp. (a)		16,079		389,273
Huntington Ingalls Industries, Inc. (a)		7,489		234,256
Innovative Solutions & Support, Inc. (a)		3,826		13,161
Kratos Defense & Security Solutions, Inc. (a)		6,786		40,512
LMI Aerospace, Inc. (a)		1,982		34,784
Mantech International Corp., Class A		3,624		113,214
Moog, Inc., Class A (a)		6,757		296,835
Orbital Sciences Corp. (a)		9,694		140,854
RBC Bearings, Inc. (a)		3,652		152,288
Smith & Wesson Holding Corp. (a)		11,500		50,140
Spirit AeroSystems Holdings, Inc., Class A (a)		19,681		408,971
Sturm Ruger & Co., Inc.		3,448		115,370
Taser International, Inc. (a)		11,646		59,628
Teledyne Technologies, Inc. (a)		6,045		331,568
TransDigm Group, Inc. (a)		7,575		724,776
Triumph Group, Inc.		6,391		373,554
VSE Corp.		725		17,603
				6,133,871
Alternative Energy — 0.1%
Amyris, Inc. (a)		2,557		29,508
Ascent Solar Technologies, Inc. (a)		7,412		2,891
BioFuel Energy Corp. (a)		4,600		3,128
DayStar Technologies, Inc. (a)		2,334		514
Energy Conversion Devices, Inc. (a)(b)		10,800		2,182
FuelCell Energy, Inc. (a)		21,703		18,925
Green Plains Renewable Energy, Inc. (a)		3,573		34,872
GreenHunter Energy, Inc. (a)		4,134		3,596
GT Advanced Technologies, Inc. (a)		21,217		153,611
Hoku Corp. (a)(b)		4,922		2,854

Common Stocks	Shares		Value
Alternative Energy (concluded)
KiOR, Inc. (a)(b)		1,412	$	14,374
Ocean Power Technologies, Inc. (a)(b)		3,693		9,971
Pacific Ethanol, Inc. (a)(b)		4,744		5,029
Plug Power, Inc. (a)(b)		3,342		6,818
Rex American Resources Corp. (a)		367		8,114
Solazyme, Inc. (a)		1,119		13,316
STR Holdings, Inc. (a)		7,068		58,170
SunPower Corp., Class B (a)		15,621		97,319
Verenium Corp. (a)		5,936		12,940
Westinghouse Solar, Inc. (a)(b)		4,371		1,355
				479,487
Automobiles & Parts — 1.7%
American Axle & Manufacturing Holdings, Inc. (a)		11,113		109,908
Amerigon, Inc. (a)		4,405		62,815
Cooper Tire & Rubber Co.		10,235		143,392
Dana Holding Corp. (a)		24,361		295,986
Dorman Products, Inc. (a)		2,437		89,998
Exide Technologies (a)		12,409		32,636
Federal-Mogul Corp., Class A (a)		4,337		63,971
Fuel Systems Solutions, Inc. (a)		2,921		48,167
General Motors Co. (a)		96,071		1,947,359
Gentex Corp.		23,745		702,615
Lear Corp.		17,305		688,739
LKQ Corp. (a)		24,453		735,546
LoJack Corp. (a)		4,784		14,687
Modine Manufacturing Co. (a)		8,108		76,702
Motorcar Parts of America, Inc. (a)		666		4,995
Quantum Fuel Systems Technologies Worldwide, Inc. (a)		2,934		2,142
Shiloh Industries, Inc. (a)		1,822		15,268
Standard Motor Products, Inc.		3,825		76,691
Stoneridge, Inc. (a)		5,020		42,319
Strattec Security Corp.		646		12,888
Superior Industries International, Inc.		4,244		70,196
Tenneco, Inc. (a)		10,130		301,671
Tesla Motors, Inc. (a)(b)		9,044		258,297
Titan International, Inc.		7,119		138,536
TRW Automotive Holdings Corp. (a)		17,132		558,503
U.S. Auto Parts Network, Inc. (a)		4,873		21,295
Visteon Corp. (a)		8,391		419,046
WABCO Holdings, Inc. (a)		11,288		489,899
				7,424,267
Banks — 4.9%
1st Source Corp.		2,367		59,956
1st United Bancorp, Inc. (a)		6,494		36,042
Alliance Financial Corp.		1,139		35,172
Ameriana Bancorp		200		804
American National BankShares, Inc.		1,719		33,503
Ameris Bancorp (a)		4,892		50,290

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	3

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Banks (continued)
Ames National Corp.		1,637	$	31,922
Arrow Financial Corp.		2,323		54,451
Associated Banc-Corp		28,144		314,368
Astoria Financial Corp.		14,900		126,501
Atlantic Coast Financial Corp. (a)		451		1,267
Bancfirst Corp.		1,203		45,161
Bancorp of New Jersey, Inc.		1,300		11,921
Bancorp Rhode Island, Inc.		920		40,538
The Bancorp, Inc. (a)		6,330		45,766
BancorpSouth, Inc.		12,249		134,984
BancTrust Financial Group, Inc. (a)		6,004		7,445
Bank Mutual Corp.		7,997		25,430
Bank of Hawaii Corp.		7,925		352,583
Bank of Kentucky Financial Corp.		506		10,145
Bank of Marin Bancorp		1,252		47,063
Bank of the Ozarks, Inc.		4,852		143,765
BankAtlantic Bancorp, Inc. (a)		1,474		4,982
BankFinancial Corp.		4,044		22,323
BankUnited, Inc.		6,369		140,054
Banner Corp.		3,038		52,102
Bar Harbor Bankshares		1,253		37,590
BCB Bancorp, Inc.		2,636		26,597
Beneficial Mutual Bancorp, Inc. (a)		7,156		59,824
Berkshire Bancorp, Inc. (a)		733		5,197
Berkshire Hills Bancorp, Inc.		4,245		94,197
BofI Holding, Inc. (a)		2,083		33,849
BOK Financial Corp.		4,242		233,013
Boston Private Financial Holdings, Inc.		13,200		104,808
Bridge Bancorp, Inc.		1,839		36,596
Bridge Capital Holdings (a)		375		3,900
Brookline Bancorp, Inc.		8,252		69,647
Bryn Mawr Bank Corp.		2,035		39,662
California First National Bancorp		841		13,523
Camco Financial Corp. (a)		894		1,135
Camden National Corp.		1,509		49,193
Cape Bancorp, Inc. (a)		3,852		30,238
Capital Bank Corp. (a)		4,434		8,912
Capital City Bank Group, Inc.		2,411		23,025
CapitalSource, Inc.		51,661		346,129
Capitol Federal Financial, Inc.		27,576		318,227
Cardinal Financial Corp.		5,642		60,595
Cascade Bancorp (a)		3,749		16,421
Cathay General Bancorp		13,266		198,061
Center Bancorp, Inc.		3,465		33,853
Centerstate Banks, Inc.		4,930		32,637
Central Pacific Financial Corp. (a)		565		7,300
Century Bancorp, Inc., Class A		900		25,416
CFS Bancorp, Inc.		2,109		9,132
Chemical Financial Corp.		4,028		85,877
Chicopee Bancorp, Inc. (a)		2,635		36,890
Citizens & Northern Corp.		2,412		44,550
Citizens Republic Bancorp, Inc. (a)		6,978		79,549
Citizens South Banking Corp.		3,414		12,188
City Holding Co.		2,834		96,044
City National Corp.		7,989		352,954

Common Stocks	Shares		Value
Banks (continued)
Clifton Savings Bancorp, Inc.		2,937	$	27,255
CNB Financial Corp.		1,208		19,062
CoBiz Financial, Inc.		7,154		41,279
Colony Bankcorp, Inc. (a)		750		1,695
Columbia Banking System, Inc.		6,773		130,516
Commerce Bancshares, Inc.		13,512		515,077
Community Bank System, Inc.		6,289		174,834
Community Trust Bancorp, Inc.		2,351		69,166
Cullen/Frost Bankers, Inc.		9,672		511,746
CVB Financial Corp.		15,636		156,829
Dime Community Bancshares, Inc.		5,556		70,006
Doral Financial Corp. (a)		20,384		19,487
Eagle Bancorp, Inc. (a)(b)		3,781		54,976
East-West Bancorp, Inc.		24,564		485,139
Eastern Virginia Bankshares, Inc. (a)		2,156		4,355
Encore Bancshares, Inc. (a)		2,643		35,733
Enterprise Bancorp, Inc.		572		8,180
Enterprise Financial Services Corp.		3,362		49,758
ESB Financial Corp.		2,553		35,921
ESSA Bancorp, Inc.		2,897		30,332
F.N.B. Corp.		20,087		227,184
Farmers Capital Bank Corp. (a)		1,981		8,895
Fidelity Southern Corp.		497		3,022
Financial Institutions, Inc.		2,463		39,753
First Bancorp, Inc.		2,286		35,136
First Bancorp, North Carolina		2,932		32,692
First Bancorp, Puerto Rico (a)		3,527		12,309
First Busey Corp.		14,574		72,870
First California Financial Group, Inc. (a)		3,870		12,616
First Citizens Banc Corp.		1,258		5,082
First Citizens BancShares, Inc., Class A		904		158,191
First Commonwealth Financial Corp.		15,818		83,203
First Community Bancshares, Inc.		2,710		33,821
First Connecticut Bancorp, Inc.		1,763		22,937
First Defiance Financial Corp.		2,306		33,645
First Federal Bancshares of Arkansas, Inc. (a)		1,387		5,992
First Financial Bancorp		9,684		161,142
First Financial Bankshares, Inc. (b)		7,934		265,234
First Financial Corp.		2,062		68,623
First Financial Holdings, Inc.		2,852		25,468
First Financial Northwest, Inc. (a)		3,633		21,398
First Financial Service Corp. (a)		358		548
First Interstate Bancsystem, Inc.		1,401		18,255
First M&F Corp.		1,106		3,141
First Merchants Corp.		4,483		37,971
First Midwest Bancorp, Inc.		12,426		125,875
First Niagara Financial Group, Inc.		50,381		434,788
The First of Long Island Corp.		1,694		44,586
First Pactrust Bancorp, Inc.		811		8,313
First Republic Bank/San Francisco (a)		13,165		402,981

See Notes to Financial Statements.

4 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Banks (continued)
First Security Group, Inc. (a)		108	$	268
First South Bancorp, Inc. (a)		1,978		6,330
First United Corp. (a)(b)		1,435		4,793
FirstMerit Corp.		17,468		264,291
Flagstar BanCorp., Inc. (a)		33,167		16,749
Flushing Financial Corp.		5,275		66,623
FNB United Corp. (a)		114		1,459
Fox Chase BanCorp., Inc.		3,616		45,670
Franklin Financial Corp. (a)		883		10,455
Fulton Financial Corp.		31,569		309,692
German American Bancorp, Inc.		2,973		54,079
Glacier Bancorp, Inc.		11,867		142,760
Great Southern Bancorp, Inc.		1,675		39,513
Greene County Bancshares, Inc. (a)		3,466		4,367
Guaranty Bancorp (a)		14,486		21,294
Hampton Roads Bankshares, Inc. (a)		4,619		12,656
Hancock Holding Co.		11,984		383,128
Hanmi Financial Corp. (a)(b)		3,517		26,026
Hawthorn Bancshares, Inc.		743		4,555
Heartland Financial USA, Inc.		2,536		38,902
Heritage Commerce Corp. (a)		6,580		31,189
Heritage Financial Corp.		3,381		42,465
HMN Financial, Inc. (a)		1,094		2,254
Home Bancorp, Inc. (a)		2,533		39,186
Home Bancshares, Inc.		4,451		115,325
Home Federal Bancorp, Inc.		3,239		33,686
Horizon Bancorp		190		3,310
Hudson Valley Holding Corp.		2,807		59,565
IBERIABANK Corp.		4,803		236,788
Independent Bank Corp./MA		3,658		99,827
Independent Bank Corp./MI (a)		3,528		4,869
Indiana Community Bancorp		1,336		19,546
International Bancshares Corp.		9,170		168,132
Intervest Bancshares Corp. (a)		4,058		11,078
Investors Bancorp, Inc. (a)		8,184		110,320
Kearny Financial Corp.		3,804		36,138
Lakeland Bancorp, Inc.		4,853		41,833
Lakeland Financial Corp.		2,787		72,100
Macatawa Bank Corp. (a)		5,523		12,592
MainSource Financial Group, Inc.		3,968		35,037
MB Financial, Inc.		8,787		150,258
Mercantile Bank Corp. (a)		2,218		21,736
Merchants Bancshares, Inc.		1,496		43,683
Metro Bancorp, Inc. (a)		2,754		23,079
Midsouth Bancorp, Inc.		448		5,828
MidwestOne Financial Group, Inc.		2,075		30,337
MutualFirst Financial, Inc.		1,617		11,529
NASB Financial, Inc. (a)		717		7,679
National Bankshares, Inc. (b)		1,690		47,185
National Penn Bancshares, Inc.		21,466		181,173
NBT Bancorp, Inc.		5,736		126,938
New York Community Bancorp, Inc.		73,160		904,989
Newbridge Bancorp (a)		4,304		16,656

Common Stocks	Shares		Value
Banks (continued)
North Valley Bancorp (a)	1,108	$	10,615
Northern States Financial Corp. (a)	300		270
Northfield Bancorp, Inc.	4,227		59,854
Northrim BanCorp, Inc.	252		4,413
Northwest Bancshares, Inc.	15,844		197,099
Norwood Financial Corp.	543		14,916
OceanFirst Financial Corp.	3,005		39,275
Ohio Valley Banc Corp.	1,254		23,362
Old National Bancorp	15,443		179,911
Old Second Bancorp, Inc. (a)	7,288		9,693
OmniAmerican Bancorp, Inc. (a)	309		4,851
Oriental Financial Group, Inc.	7,760		93,974
Oritani Financial Corp.	7,699		98,316
Orrstown Financial Service, Inc.	1,619		13,357
Pacific Capital Bancorp NA (a)	1,026		28,974
Pacific Continental Corp.	4,058		35,913
PacWest Bancorp	5,585		105,836
Park National Corp.	2,183		142,026
Park Sterling Corp. (a)	2,394		9,768
Parkvale Financial Corp.	1,464		35,985
Peapack-Gladstone Financial Corp.	2,277		24,455
Penns Woods Bancorp, Inc.	1,257		48,746
Peoples Bancorp of North Carolina, Inc.	1,383		7,593
Peoples Bancorp, Inc.	1,744		25,829
Peoples Financial Corp.	1,245		12,836
Pinnacle Financial Partners, Inc. (a)	6,158		99,452
Popular, Inc. (a)	165,953		230,675
Porter Bancorp, Inc.	1,044		3,028
Preferred Bank (a)	2,844		21,330
Premierwest Bancorp (a)(b)	5,254		4,199
PrivateBancorp, Inc.	10,438		114,609
Prosperity Bancshares, Inc.	7,672		309,565
Provident Financial Holdings, Inc.	2,671		24,947
Provident Financial Services, Inc.	9,325		124,862
Provident New York Bancorp	6,541		43,432
Pulaski Financial Corp.	2,833		20,143
PVF Capital Corp. (a)	7,144		10,502
Renasant Corp.	4,249		63,735
Republic Bancorp, Inc., Class A	1,698		38,884
Republic First Bancorp, Inc. (a)	7,427		11,066
Riverview Bancorp, Inc. (a)	7,170		16,993
Rockville Financial, Inc.	3,528		36,550
Rodman & Renshaw Capital Group, Inc. (a)	7,747		3,180
Roma Financial Corp.	2,478		24,384
Royal Bancshares of Pennsylvania, Class A (a)	1,265		1,682
S&T Bancorp, Inc.	4,555		89,050
Sandy Spring Bancorp, Inc.	4,309		75,623
Savannah Bancorp, Inc. (a)	1,995		9,875
SCBT Financial Corp.	2,395		69,479
Seacoast Banking Corp. of Florida (a)	19,078		28,999

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 5

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Banks (continued)
Shore Bancshares, Inc.		1,795	$	9,244
Sierra Bancorp		3,011		26,497
Signature Bank (a)		7,058		423,409
Simmons First National Corp., Class A		2,672		72,652
Southside Bancshares, Inc.		3,130		67,796
Southwest Bancorp, Inc. (a)		3,543		21,116
State Bancorp, Inc.		3,131		38,198
State Bank Financial Corp. (a)		4,479		67,678
StellarOne Corp.		3,948		44,928
Sterling Bancorp		6,121		52,885
Sterling Financial Corp. (a)		4,770		79,659
Suffolk Bancorp (a)		1,613		17,404
Summit Financial Group, Inc. (a)		785		2,143
Sun Bancorp, Inc. (a)		15,238		36,876
Susquehanna Bancshares, Inc.		26,170		219,305
SVB Financial Group (a)		7,137		340,364
SY Bancorp, Inc.		2,535		52,044
Synovus Financial Corp.		99,700		140,577
Taylor Capital Group, Inc. (a)		958		9,312
TCF Financial Corp.		24,763		255,554
Teche Holding Co.		787		27,545
Territorial BanCorp., Inc.		408		8,058
Texas Capital Bancshares, Inc. (a)		6,540		200,189
TF Financial Corp.		824		18,688
TFS Financial Corp. (a)		15,437		138,316
Tompkins Trustco, Inc.		1,763		67,893
Tower Bancorp, Inc.		2,359		67,326
Towne Bank		4,830		59,119
Trico Bancshares		2,651		37,697
TrustCo Bank Corp. NY		15,480		86,843
Trustmark Corp.		9,059		220,043
UMB Financial Corp.		5,646		210,314
Umpqua Holdings Corp.		18,446		228,546
Union First Market Bankshares Corp.		3,754		49,891
United Bancorp, Inc.		1,092		9,238
United Bankshares, Inc. (b)		6,861		193,960
United Community Banks, Inc. (a)		3,076		21,501
United Community Financial Corp. (a)		3,252		4,130
United Financial Bancorp, Inc.		3,218		51,778
United Security Bancshares		3,395		7,435
Univest Corp. of Pennsylvania		3,081		45,106
Valley National Bancorp		28,377		351,024
ViewPoint Financial Group		3,273		42,582
Virginia Commerce Bancorp (a)		5,760		44,525
Washington Banking Co.		3,338		39,756
Washington Federal, Inc.		17,882		250,169
Washington Trust Bancorp, Inc.		2,661		63,491
Waterstone Financial, Inc. (a)		2,926		5,618
Wayne Savings Bancshares, Inc.		151		1,182
Webster Financial Corp.		12,129		247,310
WesBanco, Inc.		4,118		80,177
West Bancorp., Inc.		3,199		30,646
West Coast Bancorp (a)		2,828		44,117

Common Stocks	Shares		Value
Banks (concluded)
Westamerica Bancorp.	4,717	$	207,076
Western Alliance Bancorp (a)	14,471		90,154
Westfield Financial, Inc.	5,529		40,693
Wilshire Bancorp, Inc. (a)	10,809		39,237
Wintrust Financial Corp.	5,662		158,819
WSFS Financial Corp.	1,471		52,897
Yardkin Valley Financial Corp. (a)	4,319		7,342
			21,734,387
Beverages — 0.3%
Boston Beer Co., Inc., Class A (a)(b)	1,576		171,091
Central European Distribution Corp. (a)	11,558		50,566
Coca-Cola Bottling Co. Consolidated	825		48,304
Craft Brewers Alliance, Inc. (a)	533		3,209
Hansen Natural Corp. (a)	12,477		1,149,631
Jamba, Inc. (a)	13,104		17,166
Jones Soda Co. (a)	14,909		5,516
National Beverage Corp.	2,160		34,711
Primo Water Corp. (a)	2,017		6,132
Reddy Ice Holdings, Inc. (a)	6,268		1,504
Willamette Valley Vineyards, Inc. (a)	971		2,845
			1,490,675
Chemicals — 2.7%
A. Schulman, Inc.	4,922		104,248
Aceto Corp.	4,672		32,237
Albemarle Corp.	15,100		777,801
American Vanguard Corp.	4,546		60,644
Ashland, Inc.	11,814		675,288
Balchem Corp.	5,051		204,768
Cabot Corp.	9,932		319,214
Calgon Carbon Corp. (a)	9,610		150,973
Cambrex Corp. (a)	4,959		35,606
Celanese Corp., Series A	26,116		1,156,155
Chase Corp.	297		4,128
Chemtura Corp. (a)	15,910		180,419
Codexis, Inc. (a)	3,097		16,414
Cytec Industries, Inc.	8,293		370,282
Ferro Corp. (a)	14,402		70,426
FutureFuel Corp.	1,753		21,772
Georgia Gulf Corp. (a)	5,640		109,924
H.B. Fuller Co.	7,985		184,533
Hawkins, Inc.	1,599		58,939
Huntsman Corp.	32,212		322,120
Innophos Holdings, Inc.	3,566		173,165
Intrepid Potash, Inc. (a)	8,658		195,931
KMG Chemicals, Inc.	1,621		27,995
Koppers Holdings, Inc.	3,496		120,123
Kraton Performance Polymers, Inc. (a)	5,476		111,163
Kronos Worldwide, Inc.	3,504		63,212
LSB Industries, Inc. (a)	3,175		88,995

See Notes to Financial Statements.

6 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (continued) Master Extended Market Index Series
(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Chemicals (concluded)
LyondellBasell Industries NV, Class A		56,479	$	1,835,003
Metabolix, Inc. (a)		5,675		25,821
Minerals Technologies, Inc.		3,020		170,721
Nanophase Technologies Corp. (a)		7,817		3,135
NewMarket Corp.		1,601		317,174
NL Industries, Inc.		1,563		20,272
Olin Corp.		11,735		230,593
OM Group, Inc. (a)		5,231		117,122
Omnova Solutions, Inc. (a)		7,724		35,608
Penford Corp. (a)		2,220		11,300
PolyOne Corp.		15,653		180,792
Polypore International, Inc. (a)		6,626		291,478
Quaker Chemical Corp.		2,211		85,986
Rentech, Inc. (a)		42,052		55,088
Rockwood Holdings, Inc. (a)		11,438		450,314
RPM International, Inc.		21,619		530,746
Senomyx, Inc. (a)		7,495		26,083
Sensient Technologies Corp.		8,165		309,453
Solutia, Inc.		20,116		347,604
Spartech Corp. (a)		5,310		25,116
Stepan Co.		1,274		102,124
TOR Minerals International, Inc. (a)		625		9,787
TPC Group, Inc. (a)		2,287		53,356
Tredegar Corp.		3,677		81,703
Valhi, Inc.		1,030		62,284
W.R. Grace & Co. (a)		10,132		465,261
Westlake Chemical Corp.		3,239		130,337
Zagg, Inc. (a)(b)		3,813		26,958
Zep, Inc.		3,799		53,110
Zoltek Cos., Inc. (a)		5,138		39,152
				11,729,956
Construction & Materials — 2.1%
A.O. Smith Corp.		6,019		241,482
Aaon, Inc.		3,549		72,719
Acuity Brands, Inc.		7,107		376,671
Aecom Technology Corp. (a)		17,115		352,056
Aegion Corp. (a)		6,605		101,321
Ameresco, Inc. (a)		1,753		24,051
American Biltrite, Inc. (a)		546		2,621
American DG Energy, Inc. (a)		8,661		12,558
American Woodmark Corp.		1,816		24,807
Apogee Enterprises, Inc.		4,846		59,412
Argan, Inc.		2,152		32,732
Armstrong World Industries, Inc. (a)		3,214		140,998
Baran Group Ltd.		102		326
BlueLinx Holdings, Inc. (a)		4,661		6,991
Builders FirstSource, Inc. (a)		9,238		18,846
Eagle Materials, Inc.		7,301		187,344
EMCOR Group, Inc.		10,913		292,578
Fortune Brands Home & Security, Inc. (a)		25,500		434,265
Generac Holdings, Inc. (a)		4,680		131,180
Gibraltar Industries, Inc. (a)		5,481		76,515
Granite Construction, Inc.		5,624		133,401

Common Stocks	Shares		Value
Construction & Materials (concluded)
Great Lakes Dredge & Dock Corp.		9,934	$	55,233
Griffon Corp.		8,427		76,939
Headwaters, Inc. (a)		11,369		25,239
Hill International, Inc. (a)		5,422		27,869
Insteel Industries, Inc.		3,006		33,036
Integrated Electrical Services, Inc. (a)		1,500		2,880
KBR, Inc.		24,839		692,263
L.B. Foster Co., Class A		1,797		50,837
Layne Christensen Co. (a)		3,332		80,634
Lennox International, Inc.		8,100		273,375
Louisiana-Pacific Corp. (a)(b)		21,776		175,732
Martin Marietta Materials, Inc.		7,432		560,447
Mastec, Inc. (a)(b)		9,971		173,196
MDU Resources Group, Inc.		28,222		605,644
Mueller Water Products, Inc., Series A		25,100		61,244
MYR Group, Inc. (a)		3,752		71,813
NCI Building Systems, Inc. (a)		3,847		41,817
Northwest Pipe Co. (a)		1,916		43,800
Omega Flex, Inc. (a)		1,166		16,476
Orion Marine Group, Inc. (a)		4,913		32,671
Owens Corning, Inc. (a)		19,156		550,160
PGT, Inc. (a)		6,216		6,838
Pike Electric Corp. (a)		3,391		24,381
Primoris Services Corp.		3,041		45,402
Quanex Building Products Corp.		6,250		93,875
Shaw Group, Inc. (a)		13,130		353,197
Simpson Manufacturing Co., Inc.		6,598		222,089
Sterling Construction Co., Inc. (a)		3,018		32,504
Texas Industries, Inc.		3,986		122,689
Thermon Group Holdings, Inc. (a)		1,955		34,447
TRC Cos., Inc. (a)		4,859		29,203
Trex Co., Inc. (a)		2,608		59,749
Tutor Perini Corp. (a)		5,210		64,291
Universal Forest Products, Inc.		2,952		91,128
USG Corp. (a)		11,156		113,345
Valmont Industries, Inc.		3,787		343,822
Valspar Corp.		14,403		561,285
Watsco, Inc.		4,213		276,626
Watts Water Technologies, Inc., Class A		4,523		154,732
				9,003,782
Electricity — 2.1%
Allete, Inc.		5,006		210,152
Alliant Energy Corp.		18,393		811,315
Black Hills Corp.		6,312		211,957
Calpine Corp. (a)		64,006		1,045,218
Central Vermont Public Service Corp.		2,296		80,590
CH Energy Group, Inc.		2,674		156,108
Cleco Corp.		9,852		375,361
Covanta Holding Corp.		21,008		287,600
Dynegy, Inc. (a)		18,931		52,439
El Paso Electric Co.		7,496		259,661
The Empire District Electric Co.		6,961		146,808

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	7

Schedule of Investments (continued) Master Extended Market Index Series
(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Electricity (concluded)
GenOn Energy, Inc. (a)		130,952	$	341,785
Great Plains Energy, Inc.		22,840		497,455
Hawaiian Electric Industries, Inc.		15,826		419,072
IDACORP, Inc.		7,915		335,675
ITC Holdings Corp.		8,596		652,265
MGE Energy, Inc.		3,824		178,848
NorthWestern Corp.		5,795		207,403
NSTAR (a)		17,206		807,994
NV Energy, Inc.		38,978		637,290
Ormat Technologies, Inc.		2,844		51,277
Portland General Electric Co.		12,173		307,855
U.S. Geothermal, Inc. (a)		23,727		8,499
UIL Holdings Corp.		8,422		297,886
Unisource Energy Corp.		5,967		220,302
Unitil Corp.		2,477		70,297
Westar Energy, Inc.		19,601		564,117
				9,235,229
Electronic & Electrical Equipment — 3.2%
A123 Systems, Inc. (a)		16,751		26,969
Active Power, Inc. (a)		16,856		11,125
Adept Technology, Inc. (a)		3,276		7,862
Aeroflex Holding Corp. (a)		2,598		26,604
Allied Motion Technologies, Inc.		2,067		11,658
Altair Nanotechnologies, Inc. (a)		6,009		3,966
American Science & Engineering, Inc.		1,500		102,165
American Superconductor Corp. (a)(b)		7,545		27,841
Ametek, Inc.		26,678		1,123,144
Anaren, Inc. (a)		2,673		44,425
Anixter International, Inc. (a)		5,096		303,925
API Technologies Corp. (a)		3,090		9,795
Arrow Electronics, Inc. (a)		19,065		713,222
Avnet, Inc. (a)		25,078		779,675
AVX Corp.		8,042		102,616
AZZ, Inc.		2,168		98,514
Badger Meter, Inc.		2,484		73,104
Ballantyne Strong, Inc. (a)		2,537		10,376
Bel Fuse, Inc.		2,196		41,175
Belden, Inc.		7,586		252,462
Benchmark Electronics, Inc. (a)		9,757		131,427
Brady Corp.		7,550		238,354
Capstone Turbine Corp. (a)(b)		43,395		50,338
Checkpoint Systems, Inc. (a)		6,664		72,904
Cognex Corp.		6,209		222,220
Coherent, Inc. (a)		4,194		219,220
Coleman Cable, Inc. (a)		3,080		26,796
Comverge, Inc. (a)		5,911		7,448
CTS Corp.		5,440		50,048
Cyberoptics Corp. (a)		1,738		13,609
Daktronics, Inc.		6,767		64,760
DDi Corp.		2,695		25,144
Echelon Corp. (a)(b)		6,281		30,589
Electro Rent Corp.		3,085		52,908
Electro Scientific Industries, Inc.		4,083		59,122
eMagin Corp. (a)		4,486		16,598

Common Stocks	Shares		Value
Electronic & Electrical Equipment (continued)
Encore Wire Corp.		3,160	$	81,844
EnerNOC, Inc. (a)		3,993		43,404
EnerSys (a)		8,089		210,071
ESCO Technologies, Inc.		4,246		122,200
Fabrinet (a)		2,888		39,508
Faro Technologies, Inc. (a)		2,593		119,278
FEI Co. (a)		6,331		258,178
General Cable Corp. (a)		8,695		217,462
GrafTech International Ltd. (a)		21,713		296,383
Greatbatch, Inc. (a)		3,893		86,035
Houston Wire & Cable Co.		3,027		41,833
Hubbell, Inc., Class B		9,245		618,121
II-VI, Inc. (a)		8,646		158,741
Intevac, Inc. (a)		4,134		30,592
IntriCon Corp. (a)		747		4,661
IPG Photonics Corp. (a)		4,490		152,076
Itron, Inc. (a)		6,747		241,340
Kemet Corp. (a)		6,981		49,216
Landauer, Inc.		1,621		83,482
LeCroy Corp. (a)		3,281		27,593
Lightpath Technologies, Inc., Class A (a)		3,924		4,199
Lime Energy Co. (a)		5,330		16,949
Littelfuse, Inc.		3,781		162,507
LSI Industries, Inc.		3,673		22,038
Magnetek, Inc. (a)		882		7,594
Maxwell Technologies, Inc. (a)		4,977		80,827
Measurement Specialties, Inc. (a)		2,439		68,194
Methode Electronics, Inc.		6,159		51,058
Mettler-Toledo International, Inc. (a)		5,294		781,977
Microvision, Inc. (a)		18,908		6,809
MTS Systems Corp.		2,547		103,790
Multi-Fineline Electronix, Inc. (a)		1,649		33,887
Napco Security Technologies, Inc. (a)		5,283		13,155
National Instruments Corp.		15,432		400,460
Newport Corp. (a)		6,461		87,934
NVE Corp. (a)		976		54,197
Orion Energy Systems, Inc. (a)		4,271		12,599
OSI Systems, Inc. (a)		3,290		160,486
Parametric Sound Corp. (a)		2,484		1,739
Park Electrochemical Corp.		3,251		83,291
Planar Systems, Inc. (a)		5,103		9,900
Plexus Corp. (a)		6,151		168,414
Powell Industries, Inc. (a)		1,619		50,642
Power-One, Inc. (a)		9,903		38,721
Powerwave Technologies, Inc. (a)		5,702		11,860
Pulse Electronics Corp.		7,925		22,190
Regal-Beloit Corp.		6,297		320,958
Research Frontiers, Inc. (a)		4,844		16,373
Richardson Electronics Ltd.		2,507		30,811
Rofin-Sinar Technologies, Inc. (a)(b)		4,703		107,464
Rogers Corp. (a)		2,703		99,633
Rubicon Technology, Inc. (a)		3,104		29,147

See Notes to Financial Statements.
8	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued) Master Extended Market Index Series
(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Electronic & Electrical Equipment (concluded)
Sanmina-SCI Corp. (a)		13,294	$	123,767
SatCon Technology Corp. (a)(b)		18,389		11,035
Servotronics, Inc.		400		3,560
Sigmatron International, Inc. (a)		1,200		3,960
SL Industries, Inc. (a)		182		2,948
Synthesis Energy Systems, Inc. (a)(b)		9,064		14,049
Thomas & Betts Corp. (a)		8,726		476,440
Trimble Navigation Ltd. (a)(b)		20,314		881,628
TTM Technologies, Inc. (a)(b)		8,760		96,010
Ultralife Batteries, Inc. (a)		2,906		11,682
Universal Display Corp. (a)(b)		6,574		241,200
UQM Technologies, Inc. (a)		8,858		12,224
Valence Technology, Inc. (a)(b)		21,062		20,641
Veeco Instruments, Inc. (a)		6,689		139,131
Viasystems Group, Inc. (a)		886		14,991
Vicor Corp.		3,467		27,597
Vishay Intertechnology, Inc. (a)		24,778		222,754
Vishay Precision Group, Inc. (a)		2,349		37,537
WESCO International, Inc. (a)(b)		7,158		379,446
X-Rite, Inc. (a)		5,658		26,253
Zebra Technologies Corp., Class A (a)		9,049		323,773
Zygo Corp. (a)		3,051		53,850
				14,118,405
Financial Services — 2.7%
Advance America, Cash Advance Centers, Inc.		8,823		78,966
Affiliated Managers Group, Inc. (a) (c)		8,505		816,055
Ampal-American Israel Corp., Class A (a)		8,512		2,554
Artio Global Investors, Inc.		7,432		36,268
Asset Acceptance Capital Corp. (a)		3,542		13,849
Asta Funding, Inc.		2,576		20,556
BBCN Bancorp, Inc. (a)		12,499		118,116
BGC Partners, Inc.		11,207		66,570
Calamos Asset Management, Inc., Class A		3,748		46,887
Cash America International, Inc.		5,068		236,321
CBOE Holdings, Inc.		14,955		386,736
CIFC Corp. (a)		1,961		10,589
CIT Group, Inc. (a)		33,468		1,167,029
Cohen & Steers, Inc.		3,685		106,497
CompuCredit Holdings Corp. (a)		3,485		12,895
Cowen Group, Inc., Class A (a)		13,757		35,631
Credit Acceptance Corp. (a)		1,050		86,394
DFC Global Corp. (a)		7,627		137,744
Diamond Hill Investments Group, Inc.		719		53,192
Duff & Phelps Corp.		4,437		64,337
Eaton Vance Corp.		19,817		468,474
Edelman Financial Group, Inc.		4,865		31,963
Encore Capital Group, Inc. (a)		2,955		62,823
Epoch Holding Corp.		3,261		72,492
Evercore Partners, Inc., Class A		4,334		115,371

Common Stocks	Shares		Value
Financial Services (continued)
Ezcorp, Inc. (a)		7,984	$	210,538
FBR & Co. (a)		11,383		23,335
Federal Agricultural Mortgage Corp., Class B		1,772		31,931
Fidelity National Financial, Inc.		36,695		584,551
Financial Engines, Inc. (a)(b)		6,818		152,246
First Cash Financial Services, Inc. (a)		5,129		179,977
The First Marblehead Corp. (a)		15,001		17,551
FXCM, Inc.		1,836		17,901
GAMCO Investors, Inc., Class A		700		30,443
GFI Group, Inc.		11,040		45,485
Gleacher & Co., Inc. (a)		15,007		25,212
Green Dot Corp., Class A (a)		3,278		102,339
Greenhill & Co., Inc.		5,003		181,959
Imperial Holdings, Inc. (a)		1,369		2,574
Institutional Financial Market, Inc.		2,236		3,153
Interactive Brokers Group, Inc., Class A		6,131		91,597
International FCStone, Inc. (a)		2,688		63,356
Intersections, Inc.		2,075		23,012
Investment Technology Group, Inc. (a)		7,032		76,016
Janus Capital Group, Inc.		30,815		194,443
Jefferies Group, Inc. (b)		23,658		325,298
JMP Group, Inc.		3,972		28,400
KBW, Inc.		5,483		83,232
Knight Capital Group, Inc., Class A (a)(b)		16,651		196,815
Ladenburg Thalmann Financial Services, Inc. (a)		24,841		61,606
LPL Investment Holdings, Inc. (a)		6,673		203,793
MarketAxess Holdings, Inc.		5,027		151,363
Marlin Business Services, Inc.		1,719		21,831
Medallion Financial Corp.		3,915		44,553
MGIC Investment Corp. (a)		31,150		116,190
MicroFinancial, Inc.		3,564		20,600
MoneyGram International, Inc. (a)		1,993		35,376
MSCI, Inc. (a)		19,966		657,480
National Financial Partners Corp. (a)		7,512		101,562
Nelnet, Inc., Class A		4,511		110,384
Netspend Holdings, Inc. (a)		5,004		40,582
NewStar Financial, Inc. (a)		6,154		62,586
Ocwen Financial Corp. (a)		15,251		220,835
Oppenheimer Holdings, Inc.		863		13,894
Penson Worldwide, Inc. (a)(b)		3,976		4,612
Pico Holdings, Inc. (a)		4,118		84,748
Piper Jaffray Cos. (a)		3,211		64,862
Portfolio Recovery Associates, Inc. (a)(b)		2,975		200,872
Primus Guaranty Ltd.		5,022		24,608
Pzena Investment Management, Inc., Class A		2,700		11,691
Radian Group, Inc.		22,710		53,141
Raymond James Financial, Inc.		16,690		516,722

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	9

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Financial Services (concluded)
Resource America, Inc., Class A		4,404	$	20,963
Safeguard Scientifics, Inc. (a)(b)		4,074		64,328
SEI Investments Co.		25,243		437,966
Stewart Information Services Corp.		3,032		35,020
Stifel Financial Corp. (a)		9,081		291,046
SWS Group, Inc. (b)		5,423		37,256
TD Ameritrade Holding Corp.		38,094		596,171
Tree.com, Inc. (a)		2,350		13,137
U.S. Global Investors, Inc.		3,375		20,351
Virtus Investment Partners, Inc. (a)		1,254		95,317
Waddell & Reed Financial, Inc., Class A		14,461		358,199
Walker & Dunlop, Inc. (a)		845		10,613
Westwood Holdings Group, Inc.		1,529		55,885
WisdomTree Investments, Inc. (a)		6,269		37,927
World Acceptance Corp. (a)		2,794		205,359
				12,043,102
Fixed Line Telecommunications — 0.7%
8x8, Inc. (a)		12,255		38,848
AboveNet, Inc. (a)		3,714		241,447
Alaska Communications Systems Group, Inc. (b)		8,219		24,739
Cbeyond Communications, Inc. (a)		5,389		43,166
Cincinnati Bell, Inc. (a)		35,733		108,271
Consolidated Communications Holdings, Inc.		4,442		84,620
Fairpoint Communications, Inc. (a)		4,314		18,680
General Communication, Inc., Class A (a)		6,328		61,951
Hawaiian Telcom HoldCo, Inc. (a)		1,191		18,342
HickoryTech Corp.		2,992		33,151
IDT Corp., Class B		2,815		26,405
inContact, Inc. (a)		5,709		25,291
Level 3 Communications, Inc. (a)		23,976		407,352
Lumos Networks Corp.		2,536		38,902
NET2000 Communications, Inc. (a)		300		—
Primus Telecommunications Group, Inc. (a)		1,543		19,535
SureWest Communications		2,560		30,797
TW Telecom, Inc. (a)		25,336		491,012
Virgin Media, Inc.		51,577		1,102,716
Vonage Holdings Corp. (a)		23,296		57,075
Warwick Valley Telephone Co.		1,500		19,785
				2,892,085
Food & Drug Retailers — 0.7%
Arden Group, Inc., Class A		565		50,856
Casey’s General Stores, Inc.		6,608		340,378
The Chefs’ Warehouse, Inc. (a)		722		12,895
Core-Mark Holdings Co., Inc.		1,857		73,537
Dairy Mart Convenience Stores, Inc. (a)		500		—
The Fresh Market, Inc. (a)		5,096		203,330
GNC Holdings, Inc. (a)		9,402		272,188

Common Stocks	Shares		Value
Food & Drug Retailers (concluded)
Ingles Markets, Inc., Class A		2,366	$	35,632
Nash Finch Co.		1,850		54,168
Omnicare, Inc.		19,029		655,549
The Pantry, Inc. (a)		4,289		51,339
PetMed Express, Inc.		3,898		40,461
Rite Aid Corp. (a)		103,966		130,997
Ruddick Corp.		7,246		308,970
Spartan Stores, Inc.		3,779		69,912
United Natural Foods, Inc. (a)(b)		7,568		302,796
Village Super Market, Inc., Class A		1,218		34,652
Vitamin Shoppe, Inc. (a)		4,290		171,085
Weis Markets, Inc.		2,365		94,458
Winn-Dixie Stores, Inc. (a)		9,428		88,435
				2,991,638
Food Producers — 2.1%
Alico, Inc.		1,024		19,835
The Andersons, Inc.		2,972		129,757
B&G Foods, Inc., Class A		8,166		196,556
Bridgford Foods Corp. (a)		768		7,496
Bunge Ltd.		24,363		1,393,564
Cagles, Inc., Class A (a)		336		—
Cal-Maine Foods, Inc.		2,322		84,916
Calavo Growers, Inc.		2,424		62,248
Chiquita Brands International, Inc. (a)		7,131		59,473
Coffee Holding Co., Inc. (b)		166		1,301
Corn Products International, Inc.		12,549		659,952
Darling International, Inc. (a)		19,697		261,773
Diamond Foods, Inc. (b)		3,772		121,722
Dole Food Co., Inc. (a)		5,716		49,443
Farmer Bros. Co.		1,222		9,336
Flowers Foods, Inc.		22,788		432,516
Fresh Del Monte Produce, Inc.		6,289		157,288
Golden Enterprises, Inc.		941		3,406
Green Mountain Coffee Roasters, Inc. (a)(b)		20,053		899,377
Griffin Land & Nurseries, Inc.		713		18,866
Hain Celestial Group, Inc. (a)		6,101		223,663
Harbinger Group, Inc. (a)		4,014		16,096
Herbalife Ltd.		19,461		1,005,550
HQ Sustainable Maritime Industries, Inc. (a)		4,100		68
Imperial Sugar Co., New Shares		2,250		8,032
J&J Snack Foods Corp.		2,374		126,487
John B. Sanfilippo & Son, Inc. (a)		1,610		12,139
Lancaster Colony Corp.		3,258		225,910
Lifeway Foods, Inc. (a)		2,124		20,475
Limoneira Co.		792		13,393
Mannatech, Inc. (a)		3,100		1,271
Medifast, Inc. (a)		2,746		37,675
MGP Ingredients, Inc.		2,435		12,272
Natures Sunshine Prods, Inc. (a)		2,065		32,049
Nutraceutical International Corp. (a)		1,862		21,078
NutriSystem, Inc.		4,464		57,720
Omega Protein Corp. (a)		3,801		27,101

See Notes to Financial Statements.

10 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Food Producers (concluded)
Overhill Farms, Inc. (a)		2,166	$	8,036
Pilgrims Pride Corp. (a)		7,210		41,530
Ralcorp Holdings, Inc. (a)		9,057		774,373
Relìv International, Inc.		1,819		2,365
Rocky Mountain Chocolate Factory, Inc.		2,103		17,960
Sanderson Farms, Inc.		3,361		168,487
Schiff Nutrition International, Inc. (a)		2,416		25,851
Seaboard Corp. (a)		57		116,052
Seneca Foods Corp. (a)		2,000		51,640
Smart Balance, Inc. (a)		11,700		62,712
Smithfield Foods, Inc. (a)		25,320		614,770
Snyders-Lance, Inc.		10,390		233,775
Tootsie Roll Industries, Inc.		4,717		111,651
TreeHouse Foods, Inc. (a)		5,975		390,645
USANA Health Sciences, Inc. (a)(b)		1,422		43,186
				9,072,837
Forestry & Paper — 0.4%
AbitibiBowater, Inc. (a)		11,882		172,883
Boise, Inc.		20,254		144,209
Buckeye Technologies, Inc.		6,770		226,389
Clearwater Paper Corp. (a)		3,926		139,805
Deltic Timber Corp.		1,921		116,009
Domtar Corp.		6,842		547,086
Kapstone Paper and Packaging Corp. (a)		7,172		112,887
Neenah Paper, Inc.		2,395		53,456
P.H. Glatfelter Co.		7,330		103,500
Verso Paper Corp. (a)		2,900		2,784
Wausau Paper Corp.		7,693		63,544
				1,682,552
Gas, Water & Multi-Utilities — 1.7%
American States Water Co.		3,199		111,645
American Water Works Co., Inc.		28,679		913,713
Aqua America, Inc.		22,576		497,801
Artesian Resources Corp., Class A		2,292		43,158
Atmos Energy Corp.		14,712		490,645
Avista Corp.		8,913		229,510
Cadiz, Inc. (a)		3,381		32,559
California Water Service Group		7,012		128,039
Chesapeake Utilities Corp.		1,886		81,758
Connecticut Water Service, Inc.		2,166		58,764
Delta Natural Gas Co., Inc.		1,278		43,899
Gas Natural, Inc.		2,476		28,251
Genie Energy Ltd.		2,815		22,323
The Laclede Group, Inc.		3,288		133,065
Middlesex Water Co.		3,427		63,948
National Fuel Gas Co.		12,859		714,703
New Jersey Resources Corp.		6,559		322,703
Northwest Natural Gas Co.		4,138		198,334
Pennichuck Corp.		1,986		57,256
Piedmont Natural Gas Co.		11,353		385,775
PNM Resources, Inc.		12,723		231,940
Questar Corp.		29,226		580,428

Common Stocks	Shares		Value
Gas, Water & Multi-Utilities (concluded)
RGC Resources, Inc.		1,694	$	30,611
SJW Corp.		2,434		57,540
South Jersey Industries, Inc.		4,933		280,244
Southwest Gas Corp.		7,130		302,954
UGI Corp.		18,575		546,105
Vectren Corp.		13,287		401,666
WGL Holdings, Inc.		7,989		353,274
				7,342,611
General Industrials — 1.3%
Actuant Corp., Class A		11,181		253,697
AEP Industries, Inc. (a)		1,107		31,162
AptarGroup, Inc.		10,234		533,908
Carlisle Cos., Inc.		10,019		443,842
Crown Holdings, Inc. (a)		25,828		867,304
Graphic Packaging Holding Co. (a)		21,273		90,623
Greif, Inc.		6,746		307,280
Harsco Corp.		13,330		274,331
Landec Corp. (a)		5,352		29,543
Multi-Color Corp.		2,490		64,068
Myers Industries, Inc.		5,432		67,031
Otter Tail Corp.		5,026		110,673
Packaging Corp. of America		16,879		426,026
Raven Industries, Inc.		3,046		188,547
Rock-Tenn Co., Class A		11,845		683,457
Silgan Holdings, Inc.		7,706		297,760
Sonoco Products Co.		16,615		547,630
Temple-Inland, Inc.		17,874		566,785
Trimas Corp. (a)(b)		4,612		82,785
UFP Technologies, Inc. (a)		551		8,138
				5,874,590
General Retailers — 5.1%
1-800-FLOWERS.COM, Inc., Class A (a)		4,470		9,834
99 Cents Only Stores (a)		9,056		198,779
Aaron Rents, Inc., Class A		12,106		322,988
Advance Auto Parts, Inc.		12,989		904,424
Aéropostale, Inc. (a)		13,372		203,923
Amerco, Inc. (a)		980		86,632
America’s Car Mart, Inc. (a)		1,974		77,341
American Eagle Outfitters, Inc.		32,121		491,130
American Public Education, Inc. (a)		3,136		135,726
Ancestry.com, Inc. (a)		5,407		124,145
ANN, Inc. (a)(b)		8,694		215,437
Asbury Automotive Group, Inc. (a)(b)		5,724		123,409
Ascena Retail Group, Inc. (a)		10,557		313,754
Autobytel, Inc. (a)		15,718		11,003
Barnes & Noble, Inc. (a)(b)		6,474		93,744
Beacon Roofing Supply, Inc. (a)		7,707		155,913
bebe Stores, Inc.		7,052		58,743
Bidz.com, Inc. (a)		5,995		2,638
Big 5 Sporting Goods Corp.		2,891		30,182
Blue Nile, Inc. (a)(b)		2,534		103,590
Body Central Corp. (a)		1,303		32,523

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 11

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
General Retailers (continued)
The Bon-Ton Stores, Inc.		2,273	$	7,660
Books-A-Million, Inc. (b)		1,200		2,868
Bridgepoint Education, Inc. (a)		3,308		76,084
Brown Shoe Co., Inc.		6,984		62,158
The Buckle, Inc.		4,502		183,997
Build-A-Bear Workshop, Inc. (a)		2,727		23,070
Cabela’s, Inc., Class A (a)		7,596		193,090
Cache, Inc. (a)		2,935		18,168
Cambium Learning Group, Inc. (a)		3,691		11,147
Capella Education Co. (a)		2,478		89,332
Career Education Corp. (a)		10,707		85,335
Carriage Services, Inc.		1,465		8,204
Casual Male Retail Group, Inc. (a)		7,605		26,009
The Cato Corp., Class A		4,650		112,530
Charming Shoppes, Inc. (a)		18,008		88,239
Chemed Corp.		3,477		178,057
Chico’s FAS, Inc.		29,405		327,572
The Children’s Place Retail Stores, Inc. (a)		4,301		228,469
Christopher & Banks Corp.		6,102		14,279
Citi Trends, Inc. (a)		2,550		22,389
Clean Energy Fuels Corp. (a)(b)		8,877		110,607
Coldwater Creek, Inc. (a)		10,005		11,806
Collective Brands, Inc. (a)		10,290		147,867
Collectors Universe, Inc.		1,647		23,997
Conn’s, Inc. (a)		3,143		34,887
Copart, Inc. (a)(b)		10,397		497,912
Corinthian Colleges, Inc. (a)		12,038		26,122
Cost Plus, Inc. (a)		3,318		32,351
CPI Corp.		1,298		2,349
dELiA*s, Inc. (a)		9,555		9,746
Destination Maternity Corp.		2,488		41,599
Dick’s Sporting Goods, Inc.		14,649		540,255
Dillard’s, Inc., Class A		7,150		320,892
Dollar General Corp. (a)		20,474		842,300
Dreams, Inc. (a)		2,902		6,239
DSW, Inc., Class A		4,085		180,598
Education Management Corp. (a)(b)		6,562		183,670
Express, Inc. (a)		9,556		190,547
The Finish Line, Inc., Class A		8,317		160,393
Foot Locker, Inc.		25,460		606,966
Francesca’s Holdings Corp. (a)		1,093		18,909
Fred’s, Inc.		5,902		86,051
Gaiam, Inc. (a)		2,881		9,334
Geeknet, Inc. (a)		1,203		20,511
Genesco, Inc. (a)		3,996		246,713
Grand Canyon Education, Inc. (a)		5,580		89,057
Group 1 Automotive, Inc.		3,937		203,937
Guess?, Inc.		10,621		316,718
Haverty Furniture Cos., Inc.		3,114		34,192
hhgregg, Inc. (a)(b)		3,853		55,676
Hibbett Sports, Inc. (a)(b)		4,677		211,307
Hillenbrand, Inc.		10,296		229,807
Hot Topic, Inc.		7,643		50,520
HSN, Inc.		6,737		244,284

Common Stocks	Shares		Value
General Retailers (continued)
ITT Corp.		15,805	$	305,511
ITT Educational Services, Inc. (a)(b)		4,693		266,985
Jos. A. Bank Clothiers, Inc. (a)		4,593		223,955
K12, Inc. (a)		5,414		97,127
KAR Auction Services, Inc. (a)		4,336		58,536
Kirkland’s, Inc. (a)		3,005		39,967
Learning Tree International, Inc. (a)		2,189		15,367
Liquidity Services, Inc. (a)		3,943		145,497
Lithia Motors, Inc., Class A		3,918		85,647
Lumber Liquidators Holdings, Inc. (a)		4,263		75,285
Mac-Gray Corp.		2,304		31,772
MarineMax, Inc. (a)		4,223		27,534
Matthews International Corp., Class A		4,922		154,698
The Men’s Wearhouse, Inc.		8,505		275,647
Midas, Inc. (a)		4,009		34,437
Monro Muffler, Inc.		5,055		196,083
Navarre Corp. (a)		6,945		10,695
New York & Co. (a)		5,404		14,375
Office Depot, Inc. (a)		45,730		98,320
OfficeMax, Inc. (a)		14,062		63,841
OpenTable, Inc. (a)		3,504		137,112
Overstock.com, Inc. (a)		2,350		18,424
Pacific Sunwear of California, Inc. (a)		11,081		18,949
PC Mall, Inc. (a)		1,708		10,726
Penske Auto Group, Inc.		7,354		141,565
The Pep Boys - Manny, Moe & Jack		8,584		94,424
PetSmart, Inc.		18,557		951,789
Pier 1 Imports, Inc. (a)		19,638		273,557
PriceSmart, Inc.		3,131		217,886
The Princeton Review, Inc. (a)		6,890		621
The Providence Service Corp. (a)		2,359		32,460
RadioShack Corp.		17,173		166,750
RealNetworks, Inc.		4,557		34,178
Regis Corp.		8,788		145,441
Rent-A-Center, Inc.		10,366		383,542
Rollins, Inc.		12,384		275,172
Rue21, Inc. (a)		2,698		58,277
Rush Enterprises, Inc., Class A (a)		5,429		113,575
Saks, Inc. (a)		19,814		193,187
Sally Beauty Holdings, Inc. (a)		19,136		404,344
Service Corp. International		39,098		416,394
Shoe Carnival, Inc. (a)		1,636		42,045
Shutterfly, Inc. (a)		5,017		114,187
Signet Jewelers Ltd.		14,119		620,671
Sonic Automotive, Inc.		5,941		87,986
Sotheby’s, Class A		11,150		318,109
Stage Stores, Inc.		6,092		84,618
Stamps.com, Inc. (a)		3,661		95,662
Standard Parking Corp. (a)		3,025		54,057
Stein Mart, Inc. (a)		4,502		30,659
Stewart Enterprises, Inc., Class A		13,697		78,895
Strayer Education, Inc.		2,069		201,086

See Notes to Financial Statements.

12 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
General Retailers (concluded)
Susser Holdings Corp. (a)		2,259	$	51,099
The Talbots, Inc. (a)		9,756		25,951
Teavana Holdings, Inc. (a)(b)		470		8,827
Titan Machinery, Inc. (a)		3,040		66,059
Tractor Supply Co.		11,996		841,519
Trans World Entertainment Corp. (a)		2,400		6,048
Tuesday Morning Corp. (a)		7,004		24,164
Ulta Salon Cosmetics & Fragrance, Inc. (a)		8,216		533,383
ValueVision Media, Inc., Class A (a)		7,390		13,893
VCA Antech, Inc. (a)		14,102		278,514
Weight Watchers International, Inc.		5,034		276,920
West Marine, Inc. (a)		2,771		32,227
The Wet Seal, Inc., Class A (a)		17,721		57,770
Williams-Sonoma, Inc.		15,495		596,557
Winmark Corp.		685		39,298
Zale Corp. (a)		4,421		16,844
Zumiez, Inc. (a)		3,711		103,017
				22,252,351
Health Care Equipment & Services — 5.2%
Abaxis, Inc. (a)		3,908		108,134
Abiomed, Inc. (a)		5,752		106,239
Acadia Healthcare Co., Inc. (a)		325		3,240
Accretive Health, Inc. (a)		6,543		150,358
Accuray, Inc. (a)(b)		10,576		44,736
Addus HomeCare Corp. (a)		1,608		5,741
Air Methods Corp. (a)(b)		1,949		164,593
Alere, Inc. (a)		14,415		332,842
Align Technology, Inc. (a)		9,968		236,491
Alliance Healthcare Services, Inc. (a)		7,423		9,353
Almost Family, Inc. (a)		1,569		26,014
Alphatec Holdings, Inc. (a)		10,028		17,248
Amedisys, Inc. (a)		4,827		52,663
American Caresource Holdings, Inc. (a)		8,261		3,313
AMERIGROUP Corp. (a)		8,241		486,878
Amsurg Corp. (a)		5,269		137,205
Analogic Corp.		2,045		117,219
AngioDynamics, Inc. (a)		4,324		64,038
Anika Therapeutics, Inc. (a)		2,548		24,970
Antares Pharma, Inc. (a)		9,866		21,705
ArthroCare Corp. (a)		4,534		143,637
Assisted Living Concepts, Inc.		3,703		55,138
AtriCure, Inc. (a)		842		9,346
Atrion Corp.		317		76,153
Bio-Rad Laboratories, Inc., Class A (a)		3,245		311,650
Bio-Reference Labs, Inc. (a)		4,219		68,643
Biolase Technology, Inc. (a)(b)		6,100		15,677
Bioscript, Inc. (a)		8,887		48,523
Bovie Medical Corp. (a)		4,326		9,171
Brookdale Senior Living, Inc. (a)		16,676		289,996
Bruker BioSciences Corp. (a)		14,707		182,661

Common Stocks	Shares		Value
Health Care Equipment & Services (continued)
BSD Medical Corp. (a)(b)		3,756	$	8,902
Cantel Medical Corp.		2,441		68,177
Capital Senior Living Corp. (a)		3,158		25,075
Cardica, Inc. (a)		6,763		14,540
CardioNet, Inc. (a)		5,550		13,153
Cardiovascular Systems, Inc. (a)		1,357		13,366
Catalyst Health Solutions, Inc. (a)		7,197		374,244
Celsion Corp. (a)(b)		4,083		7,023
Centene Corp. (a)		8,391		332,200
Cepheid, Inc. (a)		10,475		360,445
Chindex International, Inc. (a)		3,015		25,688
Community Health Systems, Inc. (a)		15,507		270,597
Conceptus, Inc. (a)		4,587		57,980
CONMED Corp. (a)		4,721		121,188
The Cooper Cos., Inc.		7,733		545,331
Corvel Corp. (a)		1,503		77,720
Covance, Inc. (a)		9,985		456,514
CryoLife, Inc. (a)		5,756		27,629
Cutera, Inc. (a)		3,222		24,004
Cyberonics, Inc. (a)(b)		4,790		160,465
Cynosure, Inc., Class A (a)		1,948		22,908
Daxor Corp.		1,030		9,373
Delcath Systems, Inc. (a)(b)		7,831		23,885
DexCom, Inc. (a)		11,661		108,564
Dynacq Healthcare, Inc. (a)(b)		460		501
Echo Therapeutics, Inc. (a)(b)		3,218		7,273
Emeritus Corp. (a)		5,213		91,280
Endologix, Inc. (a)(b)		9,466		108,670
The Ensign Group, Inc.		2,470		60,515
eResearch Technology, Inc. (a)		8,886		41,675
Escalon Medical Corp. (a)		1,399		1,399
Exactech, Inc. (a)		1,841		30,321
Five Star Quality Care, Inc. (a)		8,219		24,657
Fluidigm Corp. (a)		2,181		28,702
Fonar Corp. (a)		4,465		7,367
GenMark Diagnostics, Inc. (a)		609		2,509
Gentiva Health Services, Inc. (a)		4,972		33,561
Gliatech, Inc. (a)		100		—
Haemonetics Corp. (a)(b)		4,200		257,124
Hanger Orthopedic Group, Inc. (a)		5,709		106,701
Hansen Medical, Inc. (a)		10,281		26,525
HCA Holdings, Inc. (a)		27,423		604,129
Health Management Associates, Inc., Class A (a)		41,880		308,656
Health Net, Inc. (a)		15,888		483,313
Healthcare Services Group, Inc.		10,046		177,714
HealthSouth Corp. (a)		15,815		279,451
HealthSpring, Inc. (a)		11,134		607,248
HealthStream, Inc. (a)		1,680		30,996
Healthways, Inc. (a)		5,838		40,049
Henry Schein, Inc. (a)		15,180		978,047
Hill-Rom Holdings, Inc.		10,194		343,436
HMS Holdings Corp. (a)(b)		13,983		447,176
Hologic, Inc. (a)		43,395		759,846
Hooper Holmes, Inc. (a)		9,589		5,753

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	13

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)
ICU Medical, Inc. (a)(b)		2,095	$	94,275
Idexx Laboratories, Inc. (a)		9,517		732,428
Insulet Corp. (a)		7,064		133,015
Integra LifeSciences Holdings Corp. (a)		3,105		95,727
Invacare Corp.		5,401		82,581
IPC The Hospitalist Co., Inc. (a)		2,936		134,234
IRIS International, Inc. (a)		3,819		35,708
Kensey Nash Corp. (b)		1,656		31,779
Kindred Healthcare, Inc. (a)		8,557		100,716
LCA-Vision, Inc. (a)		4,084		11,844
LHC Group, Inc. (a)		2,600		33,358
LifePoint Hospitals, Inc. (a)		8,526		316,741
Lincare Holdings, Inc.		15,425		396,577
Magellan Health Services, Inc. (a)		5,243		259,371
MAKO Surgical Corp. (a)(b)		7,037		177,403
Masimo Corp. (a)		8,949		167,212
MedCath Corp.		3,087		22,504
Medical Action Industries, Inc. (a)		2,980		15,585
Mednax, Inc. (a)(b)		8,012		576,944
Medtox Scientific, Inc. (a)		2,222		31,219
MELA Sciences, Inc. (a)(b)		6,630		24,465
Meridian Bioscience, Inc.		6,953		130,995
Merit Medical Systems, Inc. (a)		7,012		93,821
Metropolitan Health Networks, Inc. (a)		8,410		62,823
Molina Healthcare, Inc. (a)(b)		5,047		112,700
Nanosphere, Inc. (a)		7,401		10,879
National Healthcare Corp.		1,858		77,850
Natus Medical, Inc. (a)		5,116		48,244
Navidea Biopharmaceuticals, Inc. (a)		11,138		29,182
Neogen Corp. (a)		3,945		120,875
Neurometrix, Inc. (a)		655		819
NuVasive, Inc. (a)		6,714		84,529
NxStage Medical, Inc. (a)		8,446		150,170
Omnicell, Inc. (a)(b)		5,964		98,525
OraSure Technologies, Inc. (a)		8,322		75,813
Orthofix International NV (a)		3,110		109,565
Owens & Minor, Inc.		10,087		280,318
Palomar Medical Technologies, Inc. (a)		3,406		31,676
Parexel International Corp. (a)		9,739		201,987
PharMerica Corp. (a)		5,027		76,310
PSS World Medical, Inc. (a)		9,157		221,508
Psychemedics Corp.		1,590		14,469
Quidel Corp. (a)		5,244		79,342
RadNet, Inc. (a)		7,183		15,300
ResMed, Inc. (a)		25,118		637,997
Retractable Technologies, Inc. (a)		1,898		2,240
Rochester Medical Corp. (a)		2,877		23,850
Rockwell Medical Technologies, Inc. (a)		3,211		27,197
RTI Biologics, Inc. (a)		11,486		50,998
Select Medical Holdings Corp. (a)		9,445		80,094
Sirona Dental Systems, Inc. (a)		9,237		406,797

Common Stocks	Shares		Value
Health Care Equipment & Services (concluded)
Skilled Healthcare Group, Inc., Class A (a)		4,045	$	22,086
Solta Medical, Inc. (a)		7,077		22,222
SonoSite, Inc. (a)		2,391		128,779
Spectranetic Corp. (a)		6,480		46,786
SRI/Surgical Express, Inc. (a)		2,374		10,089
Staar Surgical Co. (a)		6,942		72,822
Stereotaxis, Inc. (a)		9,802		8,073
Steris Corp.		8,644		257,764
Sun Healthcare Group, Inc. (a)		3,968		15,396
Sunrise Senior Living, Inc. (a)		9,333		60,478
SurModics, Inc. (a)		2,872		42,104
Symmetry Medical, Inc. (a)		6,250		49,937
Synergetics USA, Inc. (a)		5,578		41,166
Synovis Life Technologies, Inc. (a)		2,331		64,872
Team Health Holdings, Inc. (a)		5,103		112,623
Teleflex, Inc.		6,593		404,085
Theragenics Corp. (a)		9,089		15,270
ThermoGenesis Corp. (a)		5,823		4,134
Thoratec Corp. (a)		9,578		321,438
Trans1, Inc. (a)		4,020		7,517
Transcend Services, Inc. (a)(b)		1,985		47,104
Triple-S Management Corp. (a)		3,217		64,404
ULURU, Inc. (a)		26		6
Unilife Corp. (a)		9,303		29,025
Universal American Corp.		5,721		72,714
Universal Health Services, Inc., Class B		15,085		586,203
Urologix, Inc. (a)		6,008		6,489
Uroplasty, Inc. (a)		1,958		8,322
US Physical Therapy, Inc.		2,309		45,441
Utah Medical Products, Inc.		1,041		28,107
Vanguard Health Systems, Inc. (a)		3,521		35,985
Vascular Solutions, Inc. (a)		3,259		36,273
Vision-Sciences, Inc. (a)		3,025		5,717
Volcano Corp. (a)		8,846		210,446
WellCare Health Plans, Inc. (a)		7,016		368,340
West Pharmaceutical Services, Inc.		5,331		202,311
Wright Medical Group, Inc. (a)		6,389		105,418
Young Innovations, Inc.		413		12,237
Zoll Medical Corp. (a)		3,633		229,533
				22,999,415
Household Goods & Home Construction — 2.0%
ACCO Brands Corp. (a)		9,680		93,412
American Greetings Corp., Class A		6,119		76,549
AT Cross Co. (a)		522		5,888
Bassett Furniture Industries, Inc.		2,349		17,594
Beazer Homes USA, Inc. (a)		13,685		33,939
Blount International, Inc. (a)		8,194		118,977
Blyth, Inc.		951		54,017
Briggs & Stratton Corp.		7,979		123,595
Brookfield Residential Properties, Inc. (a)		7,183		56,099
Cavco Industries, Inc. (a)		1,227		49,154

See Notes to Financial Statements.
14	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Household Goods & Home Construction (concluded)
Central Garden & Pet Co., Class A (a)		9,441	$	78,549
Church & Dwight Co., Inc.		23,400		1,070,784
Compx International, Inc.		1,600		23,568
Comstock Homebuilding Cos., Inc., Class A (a)		6,777		7,048
Dixie Group, Inc. (a)		2,471		7,289
Energizer Holdings, Inc. (a)		11,508		891,640
Ethan Allen Interiors, Inc.		4,542		107,691
Flexsteel Industries, Inc.		913		12,636
Forward Industries, Inc. (a)		4,038		6,743
Furniture Brands International, Inc. (a)		6,084		7,483
Herman Miller, Inc.		9,453		174,408
HNI Corp.		5,869		153,181
Hooker Furniture Corp.		1,700		19,499
Hovnanian Enterprises, Inc., Class A (a)(b)		12,699		18,414
Interface, Inc., Class A		9,146		105,545
iRobot Corp. (a)		4,296		128,236
Jarden Corp.		14,955		446,855
KB Home		11,188		75,183
Kid Brands, Inc. (a)		3,550		11,218
Knoll, Inc.		7,819		116,112
L.S. Starrett Co., Class A		700		8,995
La-Z-Boy, Inc. (a)		8,656		103,006
Libbey, Inc. (a)		3,598		45,839
Lifetime Brands, Inc.		1,766		21,439
M/I Homes, Inc. (a)		3,574		34,310
MDC Holdings, Inc.		6,060		106,838
Meritage Homes Corp. (a)		4,613		106,975
Middleby Corp. (a)		3,075		289,173
Mohawk Industries, Inc. (a)(b)		9,048		541,523
National Presto Industries, Inc.		807		75,535
NVR, Inc. (a)		980		672,280
Oil-Dri Corp. of America		1,324		26,798
Ryland Group, Inc.		7,468		117,696
The Scotts Miracle-Gro Co.		7,334		342,424
Sealy Corp. (a)(b)		8,012		13,781
Select Comfort Corp. (a)		9,297		201,652
Skyline Corp.		1,682		7,317
Spectrum Brands Holdings, Inc. (a)		3,773		103,380
Standard-Pacific Corp. (a)		18,731		59,565
Stanley Furniture Co., Inc. (a)		3,642		10,926
Steelcase, Inc., Class A		13,602		101,471
Summer Infant, Inc. (a)		780		5,491
Tempur-Pedic International, Inc. (a)(b)		11,362		596,846
Toll Brothers, Inc. (a)(b)		24,544		501,188
Tupperware Corp.		10,316		577,386
Virco Manufacturing Corp.		2,505		4,033
WD-40 Co.		2,943		118,927
				8,886,100
Industrial Engineering — 3.3%
Accuride Corp. (a)		6,858		48,829
AGCO Corp. (a)(c)		16,044		689,411

Common Stocks	Shares		Value
Industrial Engineering (continued)
Alamo Group, Inc.		1,524	$	41,041
Albany International Corp., Class A		4,405		101,844
Altra Holdings, Inc. (a)		4,561		85,884
American Railcar Industries, Inc. (a)		1,609		38,503
Astec Industries, Inc. (a)		3,130		100,817
Babcock & Wilcox Co. (a)		19,269		465,154
Broadwind Energy, Inc. (a)		10,745		7,307
Cascade Corp.		1,470		69,340
Ceco Environmental Corp.		2,271		12,831
Chicago Rivet & Machine Co.		352		5,984
CIRCOR International, Inc.		2,882		101,763
Clarcor, Inc.		8,200		409,918
Colfax Corp. (a)(b)		4,335		123,461
Columbus McKinnon Corp. (a)		3,422		43,425
Commercial Vehicle Group, Inc. (a)		4,866		43,989
Crane Co.		8,292		387,319
Donaldson Co., Inc.		11,661		793,881
Douglas Dynamics, Inc.		2,791		40,804
Dynamic Materials Corp.		2,514		49,727
The Eastern Co.		1,078		21,668
Energy Recovery, Inc. (a)		8,880		22,910
EnPro Industries, Inc. (a)		3,433		113,220
Federal Signal Corp. (a)		10,754		44,629
Flow International Corp. (a)		9,390		32,865
Franklin Electric Co., Inc.		3,286		143,138
Freightcar America, Inc. (a)		2,082		43,618
Gardner Denver, Inc.		8,595		662,331
GATX Corp.		7,612		332,340
The Gorman-Rupp Co.		3,044		82,645
Graco, Inc.		9,857		403,053
Graham Corp.		1,901		42,658
Greenbrier Cos., Inc. (a)		4,019		97,581
H&E Equipment Services, Inc. (a)		4,894		65,677
Hardinge, Inc.		2,195		17,670
Hurco Cos., Inc. (a)		1,308		27,468
IDEX Corp.		13,539		502,432
John Bean Technologies Corp.		4,871		74,867
Kadant, Inc. (a)		2,173		49,132
Kaydon Corp.		5,144		156,892
Kennametal, Inc.		13,350		487,542
Key Technology, Inc. (a)		1,297		16,783
Kimball International, Inc., Class B		3,076		15,595
Lincoln Electric Holdings, Inc.		13,719		536,687
Lindsay Manufacturing Co.		2,150		118,014
Lydall, Inc. (a)		3,361		31,896
Manitex International, Inc. (a)		732		3,104
Manitowoc Co.		21,768		200,048
Materion Corp. (a)		3,628		88,088
Meritor, Inc. (a)		16,000		85,120
Met-Pro Corp.		3,553		32,119
MFRI, Inc. (a)		1,400		9,716
Miller Industries, Inc.		1,115		17,539
Mine Safety Appliances Co.		5,269		174,509
Mueller Industries, Inc.		6,328		243,122
NACCO Industries, Inc., Class A		839		74,856

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	15

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Industrial Engineering (concluded)
Navistar International Corp. (a)		12,049	$	456,416
NN, Inc. (a)		3,108		18,648
Nordson Corp.		10,175		419,006
Oshkosh Corp. (a)		14,967		319,994
Pentair, Inc.		16,116		536,502
PMFG, Inc. (a)(b)		3,049		59,486
Robbins & Myers, Inc.		6,351		308,341
Sauer-Danfoss, Inc. (a)		1,873		67,821
Spartan Motors, Inc.		6,638		31,929
SPX Corp.		8,459		509,824
Standex International Corp.		1,974		67,452
Sun Hydraulics, Inc.		3,472		81,349
Sypris Solutions, Inc. (a)		2,382		9,457
Tecumseh Products Co., Class A (a)		2,664		12,521
Tennant Co.		2,864		111,324
Terex Corp. (a)		18,336		247,719
Timken Co.		12,999		503,191
Toro Co.		4,990		302,693
Trinity Industries, Inc.		13,075		393,035
Twin Disc, Inc.		1,674		60,800
Wabash National Corp. (a)		12,141		95,185
Westinghouse Air Brake Technologies Corp.		7,916		553,724
Williams Controls, Inc.		1,284		14,201
Woodward, Inc.		9,491		388,467
				14,301,849
Industrial Metals & Mining — 0.9%
AK Steel Holding Corp.		18,244		150,695
Ampco-Pittsburgh Corp.		1,637		31,660
Carpenter Technology Corp.		7,349		378,327
Century Aluminum Co. (a)		10,275		87,440
Cold Metal Products, Inc. (a)		1,400		—
Commercial Metals Co.		19,494		269,602
Friedman Industries, Inc.		2,234		23,345
Globe Specialty Metals, Inc.		8,085		108,258
Handy & Harman Ltd. (a)		2,093		20,721
Haynes International, Inc.		2,169		118,427
Horsehead Holding Corp. (a)		7,805		70,323
Kaiser Aluminum Corp.		2,564		117,636
Metals USA Holdings Corp. (a)		1,861		20,936
Noranda Aluminum Holding Corp.		3,055		25,204
Olympic Steel, Inc.		1,777		41,440
Reliance Steel & Aluminum Co.		12,345		601,078
RTI International Metals, Inc. (a)		5,205		120,808
Southern Copper Corp.		28,528		860,975
Steel Dynamics, Inc.		36,604		481,343
Synalloy Corp.		1,552		15,939
TMS International Corp. (a)		759		7,499
Universal Stainless & Alloy Products, Inc. (a)		1,483		55,405
Uranium Energy Corp. (a)(b)		13,429		41,093
Uranium Resources, Inc. (a)(b)		20,307		14,743
USEC, Inc. (a)		20,052		22,859

Common Stocks	Shares		Value
Industrial Metals & Mining (concluded)
Worthington Industries, Inc.		10,046	$	164,553
				3,850,309
Industrial Transportation — 1.8%
Air Lease Corp. (a)		11,130		263,892
Air Transport Services Group, Inc. (a)(b)		9,768		46,105
Aircastle Ltd.		8,029		102,129
Alexander & Baldwin, Inc.		6,775		276,556
Arkansas Best Corp.		4,182		80,587
Atlas Air Worldwide Holdings, Inc. (a)		4,342		166,863
Baltic Trading Ltd.		3,031		14,397
CAI International, Inc. (a)		1,626		25,138
Celadon Group, Inc.		4,093		48,338
Con-way, Inc.		9,001		262,469
Covenant Transport Group, Inc., Class A (a)		1,992		5,916
DHT Holdings, Inc.		12,001		8,881
Eagle Bulk Shipping, Inc. (a)(b)		10,861		10,232
Echo Global Logistics, Inc. (a)		1,740		28,101
Forward Air Corp.		4,975		159,449
Frozen Food Express Industries, Inc. (a)		3,928		5,067
Genco Shipping & Trading Ltd. (a)		5,201		35,159
General Maritime Corp.		18,014		261
Genesee & Wyoming, Inc., Class A (a)		6,418		388,803
Heartland Express, Inc.		9,196		131,411
HUB Group, Inc., Class A (a)(b)		6,374		206,709
International Shipholding Corp.		1,180		22,054
J.B. Hunt Transport Services, Inc.		16,579		747,216
Kansas City Southern (a)(b)		18,289		1,243,835
Kirby Corp. (a)		9,040		595,194
Knight Transportation, Inc.		9,656		151,020
Landstar System, Inc.		7,985		382,641
Marten Transport Ltd.		2,821		50,750
Old Dominion Freight Line, Inc. (a)(b)		8,678		351,719
Overseas Shipholding Group, Inc. (b)		5,235		57,219
P.A.M. Transportation Services, Inc. (a)		1,102		10,469
Pacer International, Inc. (a)		5,850		31,298
Patriot Transportation Holding, Inc. (a)		1,566		33,982
PHH Corp. (a)		9,249		98,964
Quality Distribution, Inc. (a)		3,354		37,733
Railamerica, Inc. (a)		3,619		53,887
Rand Logistics, Inc. (a)		554		3,607
Roadrunner Transportation Systems, Inc. (a)		971		13,720
Saia, Inc. (a)		2,809		35,056
Ship Finance International Ltd.		6,929		64,717
SMF Energy Corp. (b)		7,277		20,812
Swift Transportation Co. (a)		12,304		101,385
TAL International Group, Inc.		3,895		112,137

See Notes to Financial Statements.
16	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Industrial Transportation (concluded)
Teekay Corp.		6,878	$	183,849
Textainer Group Holdings Ltd.		3,091		90,010
Universal Truckload Services, Inc.		1,309		23,758
USA Truck, Inc. (a)		1,752		13,543
UTI Worldwide, Inc.		16,769		222,860
Werner Enterprises, Inc.		8,354		201,331
Wesco Aircraft Holdings, Inc. (a)		2,596		36,318
Willis Lease Finance Corp. (a)		1,386		16,493
World Fuel Services Corp.		11,647		488,941
XPO Logistics, Inc. (a)		689		8,509
YRC Worldwide, Inc. (a)		29		289
				7,771,779
Leisure Goods — 0.7%
Activision Blizzard, Inc.		69,480		855,994
Arctic Cat, Inc. (a)		2,153		48,550
Black Diamond, Inc. (a)		1,140		8,516
Brunswick Corp.		14,663		264,814
Callaway Golf Co.		9,798		54,183
Drew Industries, Inc. (a)		3,437		84,310
DTS, Inc. (a)		2,914		79,377
Eastman Kodak Co. (a)		45,291		29,416
Emerson Radio Corp. (a)		4,864		7,734
Escalade, Inc.		1,740		7,726
Glu Mobile, Inc. (a)(b)		7,922		24,875
Jakks Pacific, Inc.		4,558		64,313
Koss Corp.		1,133		5,722
Leapfrog Enterprises, Inc. (a)		6,867		38,386
Majesco Entertainment Co. (a)(b)		6,409		15,638
Marine Products Corp. (a)		3,440		17,062
Meade Instruments Corp. (a)		433		1,364
Nautilus, Inc. (a)		5,484		9,597
Polaris Industries, Inc.		10,520		588,910
Pool Corp.		7,938		238,934
RealD, Inc. (a)		6,028		47,862
Skullcandy, Inc. (a)(b)		692		8,664
Steinway Musical Instruments, Inc. (a)		1,417		35,482
Take-Two Interactive Software, Inc. (a)		14,284		193,548
Thor Industries, Inc.		7,429		203,777
THQ, Inc. (a)		12,179		9,256
TiVo, Inc. (a)(b)		19,932		178,790
Universal Electronics, Inc. (a)(b)		2,453		41,382
Winnebago Industries, Inc. (a)		5,405		39,889
				3,204,071
Life Insurance — 0.5%
American Equity Investment Life Holding Co.		10,037		104,385
American Independence Corp. (a)		313		1,265
Amerisafe, Inc. (a)		3,618		84,118
Atlantic American Corp.		1,107		2,181
Citizens, Inc. (a)		8,709		84,390
CNO Financial Group, Inc. (a)		37,059		233,842
Delphi Financial Group, Inc., Class A		7,725		342,217

Common Stocks	Shares		Value
Life Insurance (concluded)
eHealth, Inc. (a)		4,611	$	67,782
Employers Holdings, Inc.		5,500		99,495
FBL Financial Group, Inc., Class A		2,365		80,457
Independence Holding Co.		2,282		18,553
Kansas City Life Insurance Co.		810		26,584
National Western Life Insurance Co., Class A		360		49,018
The Phoenix Cos., Inc. (a)		18,818		31,614
Presidential Life Corp.		3,772		37,682
Primerica, Inc.		6,459		150,107
Protective Life Corp.		13,836		312,140
Stancorp Financial Group, Inc.		7,305		268,459
Symetra Financial Corp.		12,583		114,128
				2,108,417
Media — 3.2%
Acxiom Corp. (a)		13,293		162,308
AH Belo Corp.		3,929		18,663
AMC Networks, Inc. (a)		9,706		364,751
Arbitron, Inc.		4,585		157,770
Ascent Capital Group, Inc., Class A (a)		2,461		124,822
Avid Technology, Inc. (a)		5,047		43,051
Bankrate, Inc. (a)		1,606		34,529
Beasley Broadcasting Group, Inc., Class A (a)		1,665		5,261
Belo Corp., Class A		15,167		95,552
Charter Communications, Inc. (a)		6,263		356,615
Clear Channel Outdoor Holdings, Inc., Class A (a)		6,462		81,098
ComScore, Inc. (a)		4,939		104,707
Constant Contact, Inc. (a)		5,209		120,901
Courier Corp.		1,957		22,956
Crown Media Holdings, Inc., Class A (a)(b)		6,880		8,325
CSS Industries, Inc.		1,288		25,657
CTN Media Group, Inc. (a)		50		—
Cumulus Media, Inc., Class A (a)		5,564		18,584
Demand Media, Inc. (a)		3,170		21,080
Dex One Corp. (a)		9,884		16,407
Digital Generation, Inc. (a)		4,213		50,219
DISH Network Corp., Class A		34,226		974,756
Dolby Laboratories, Inc., Class A (a)		8,502		259,396
DreamWorks Animation SKG, Inc., Class A (a)		10,611		176,090
Emmis Communications Corp., Class A (a)		9,367		6,181
Entercom Communications Corp. (a)		4,015		24,692
Entravision Communications Corp., Class A		9,194		14,343
ePocrates, Inc. (a)		1,551		12,098
EW Scripps Co. (a)		5,331		42,701
Factset Research Systems, Inc.		7,072		617,244
Fisher Communications, Inc. (a)		1,058		30,502
Gray Television, Inc. (a)		8,898		14,415

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	17

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Media (continued)
Groupon, Inc. (a)(b)		5,236	$	108,019
Harte-Hanks, Inc.		6,206		56,413
Hollywood Media Corp. (a)		10,217		12,976
IHS, Inc., Class A (a)		7,835		675,064
John Wiley & Sons, Inc., Class A		8,725		387,390
Journal Communications, Inc., Class A (a)		6,294		27,694
Knology, Inc. (a)		5,986		85,001
Lamar Advertising Co., Class A (a)		9,712		267,080
Liberty Global, Inc. (a)		41,814		1,715,628
Liberty Global, Inc., Series C (a)		3,122		123,381
Liberty Media Corp. - Liberty Capital (a)		19,665		1,534,853
Liberty Media Holding Corp. - Interactive (a)		99,350		1,610,960
Lin TV Corp., Class A (a)		5,811		24,581
Local.com Corp. (a)		4,961		10,617
LodgeNet Interactive Corp. (a)(b)		5,181		12,383
Marchex, Inc., Class B		4,311		26,944
Martha Stewart Living Omnimedia, Inc., Class A		4,976		21,894
McClatchy Co., Class A (a)		9,167		21,909
Media General, Inc., Class A (a)(b)		2,100		8,547
Meredith Corp.		5,701		186,138
Morningstar, Inc.		4,433		263,542
National CineMedia, Inc.		9,733		120,689
New Frontier Media, Inc. (a)		7,727		8,036
The New York Times Co., Class A (a)(b)		21,245		164,224
Nexstar Broadcasting Group, Inc., Class A (a)		2,263		17,742
Nielsen Holdings NV (a)		11,822		350,995
Outdoor Channel Holdings, Inc.		3,161		23,581
Pandora Media, Inc. (a)		1,099		11,001
PDI, Inc. (a)		2,407		15,525
QuinStreet, Inc. (a)		1,979		18,523
Radio One, Inc., Class D (a)		7,441		7,441
Saga Communications, Inc. (a)		740		27,661
Salem Communications Corp., Class A (a)		3,051		7,841
Schawk, Inc.		2,275		25,503
Scholastic Corp.		3,351		100,429
Sinclair Broadcast Group, Inc., Class A		8,185		92,736
Sirius XM Radio, Inc. (a)		649,804		1,182,643
Spanish Broadcasting System, Inc. (a)		654		1,962
SPAR Group, Inc. (a)		1,400		1,414
SuperMedia, Inc. (a)(b)		3,079		8,129
TechTarget, Inc. (a)		4,647		27,138
TheStreet.com, Inc.		8,873		14,907
Valassis Communications, Inc. (a)		8,299		159,590
Value Line, Inc.		1,212		12,459
ValueClick, Inc. (a)		14,109		229,836
Vertro, Inc. (a)		3,817		3,931
WebMD Health Corp., Class A (a)		10,072		378,204

Common Stocks	Shares		Value
Media (concluded)
WebMediaBrands, Inc. (a)		10,094	$	4,593
XO Group, Inc. (a)		6,104		50,907
				14,254,328
Mining — 1.0%
Allied Nevada Gold Corp. (a)		13,720		415,442
AMCOL International Corp.		4,704		126,303
Arch Coal, Inc.		36,009		522,491
Cloud Peak Energy, Inc. (a)		10,069		194,533
Coeur d’Alene Mines Corp. (a)		14,843		358,310
Compass Minerals International, Inc.		5,431		373,924
General Moly, Inc. (a)(b)		13,370		41,313
Golden Minerals Co. (a)		3,978		23,112
Hecla Mining Co.		46,679		244,131
James River Coal Co. (a)		6,286		43,499
Molycorp, Inc. (a)(b)		10,235		245,435
Patriot Coal Corp. (a)		15,341		129,938
Royal Gold, Inc.		9,066		611,320
Solitario Exploration & Royalty Corp. (a)		7,850		11,069
Stillwater Mining Co. (a)		19,330		202,192
SunCoke Energy, Inc. (a)		1,518		17,002
Timberline Resources Corp. (a)(b)		15,011		8,555
U.S. Gold Corp. (a)		18,762		63,040
Vista Gold Corp. (a)		14,377		44,137
Walter Industries, Inc.		10,779		652,776
Westmoreland Coal Co. (a)(b)		2,468		31,467
				4,359,989
Mobile Telecommunications — 0.9%
Atlantic Tele-Network, Inc.		1,783		69,626
Crown Castle International Corp. (a)		40,736		1,824,973
Globalstar, Inc. (a)		15,196		8,206
Iridium Communications, Inc. (a)		6,244		48,141
Leap Wireless International, Inc. (a)		10,672		99,143
NII Holdings, Inc. (a)		28,359		604,047
NTELOS Holdings Corp.		2,536		51,684
ORBCOMM, Inc. (a)		7,350		21,976
SBA Communications Corp., Class A (a)		19,368		832,049
Shenandoah Telecom Co.		4,003		41,951
Telephone & Data Systems, Inc.		12,320		318,965
Telephone & Data Systems, Inc., Special Shares		2,787		66,358
U.S. Cellular Corp. (a)(b)		2,370		103,403
USA Mobility, Inc.		3,680		51,042
				4,141,564
Nonlife Insurance — 3.7%
21st Century Holding Co. (a)		3,597		10,647
Affirmative Insurance Holdings, Inc. (a)		3,097		1,672
Alleghany Corp. (a)		1,406		401,118

See Notes to Financial Statements.
18	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Nonlife Insurance (continued)
Allied World Assurance Co. Holdings, AG.		6,237	$	392,494
American Financial Group, Inc.		14,666		541,029
American National Insurance Co.		2,131		155,627
American Safety Insurance Holdings Ltd. (a)		2,044		44,457
AmTrust Financial Services, Inc.		4,367		103,716
Arch Capital Group Ltd. (a)		21,647		805,918
Argo Group International Holdings Ltd.		4,844		140,282
Arthur J. Gallagher & Co.		18,447		616,868
Aspen Insurance Holdings Ltd.		11,150		295,475
Assured Guaranty Ltd.		27,634		363,111
Axis Capital Holdings Ltd.		21,120		674,995
Baldwin & Lyons, Inc., Class B		2,011		43,840
Brown & Brown, Inc.		19,275		436,193
CNA Financial Corp.		4,437		118,690
Donegal Group, Inc., Class A		2,529		35,811
Eastern Insurance Holdings, Inc.		2,363		33,673
EMC Insurance Group, Inc.		901		18,534
Endurance Specialty Holdings Ltd.		6,423		245,680
Enstar Group Ltd. (a)		1,648		161,834
Erie Indemnity Co., Class A		4,522		353,440
Everest Re Group Ltd.		8,208		690,211
First Acceptance Corp. (a)		1,327		1,805
First American Financial Corp.		16,551		209,701
Flagstone Reinsurance Holdings SA		8,867		73,507
Global Indemnity Plc (a)		2,438		48,346
Greenlight Capital Re Ltd. (a)		5,417		128,220
The Hanover Insurance Group, Inc.		7,109		248,460
Harleysville Group, Inc.		1,954		110,538
HCC Insurance Holdings, Inc.		18,867		518,843
Hilltop Holdings, Inc. (a)		7,901		66,763
Horace Mann Educators Corp.		6,388		87,579
Infinity Property & Casualty Corp.		2,071		117,509
InsWeb Corp. (a)		1,873		15,246
Kemper Corp.		7,029		205,317
Life Partners Holdings, Inc.		2,288		14,780
Maiden Holdings Ltd.		11,024		96,570
Markel Corp. (a)		1,629		675,497
MBIA, Inc. (a)(b)		26,011		301,468
Meadowbrook Insurance Group, Inc.		8,571		91,538
Mercury General Corp.		4,307		196,485
Montpelier Re Holdings Ltd. (b)		10,161		180,358
National Interstate Corp.		1,532		37,794
National Security Group, Inc.		120		1,050
Navigators Group, Inc. (a)		2,514		119,868
Old Republic International Corp.		40,915		379,282
OneBeacon Insurance Group Ltd.		3,195		49,171
PartnerRe Ltd.		11,098		712,603
Platinum Underwriters Holdings Ltd.		5,930		202,272
ProAssurance Corp.		4,870		388,723

Common Stocks	Shares		Value
Nonlife Insurance (concluded)
Reinsurance Group of America, Inc.		12,316	$	643,511
RenaissanceRe Holdings Ltd.		8,439		627,608
RLI Corp.		2,997		218,361
Safety Insurance Group, Inc.		2,620		106,058
SeaBright Holdings, Inc.		4,226		32,329
Selective Insurance Group, Inc.		8,311		147,354
State Auto Financial Corp.		2,307		31,352
Tower Group, Inc.		6,275		126,567
Transatlantic Holdings, Inc. (a)		10,199		558,191
Unico American Corp. (a)		1,121		13,508
United Fire & Casualty Co.		3,667		74,000
Universal Insurance Holdings, Inc.		5,431		19,443
Validus Holdings Ltd.		11,634		366,471
W.R. Berkley Corp.		20,108		691,514
White Mountains Insurance Group, Inc.		1,063		482,028
				16,102,903
Oil & Gas Producers — 3.8%
Abraxas Petroleum Corp. (a)		16,717		55,166
Adams Resources & Energy, Inc.		524		15,186
Alon USA Energy, Inc.		2,109		18,369
Apco Oil and Gas International, Inc.		1,614		131,896
Approach Resources, Inc. (a)		3,687		108,435
ATP Oil & Gas Corp. (a)(b)		7,658		56,363
Barnwell Industries, Inc. (a)		1,930		5,211
Berry Petroleum Co., Class A		8,832		371,121
Bill Barrett Corp. (a)		7,105		242,067
BPZ Resources, Inc. (a)(b)		19,145		54,372
Brenham Oil+Gas Corp. (a)		5,673		172
Callon Petroleum Co. (a)		7,165		35,610
Carrizo Oil & Gas, Inc. (a)		5,862		154,464
Cheniere Energy, Inc. (a)		12,679		110,180
Cimarex Energy Co.		14,293		884,737
Clayton Williams Energy, Inc. (a)		1,534		116,400
Cobalt International Energy, Inc. (a)		25,505		395,838
Comstock Resources, Inc. (a)		8,039		122,997
Concho Resources, Inc. (a)		17,245		1,616,719
Contango Oil & Gas Co. (a)		2,302		133,930
Continental Resources, Inc. (a)		9,587		639,549
CREDO Petroleum Corp. (a)		2,342		24,123
CVR Energy, Inc. (a)		14,700		275,331
Delek US Holdings, Inc.		2,745		31,320
Double Eagle Pete & Mining Co. (a)		2,369		16,299
Endeavour International Corp. (a)		6,592		57,284
Energen Corp.		11,953		597,650
Energy Partners Ltd. (a)		4,399		64,225
Evolution Petroleum Corp. (a)		1,981		15,947
EXCO Resources, Inc.		28,021		292,819
Forest Oil Corp. (a)(b)		19,251		260,851
FX Energy, Inc. (a)		9,319		44,731
Gasco Energy, Inc. (a)		5,700		1,282
Gastar Exploration Ltd. (a)		8,271		26,302

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	19

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Oil & Gas Producers (concluded)
GeoMet, Inc. (a)		7,532	$	7,005
GeoPetro Resources Co. (a)		9,626		2,168
GeoResources, Inc. (a)		3,836		112,433
GMX Resources, Inc. (a)(b)		12,045		15,056
Goodrich Petroleum Corp. (a)		4,879		66,989
Gulfport Energy Corp. (a)(b)		7,169		211,127
Harvest Natural Resources, Inc. (a)		6,012		44,369
HollyFrontier Corp.		34,424		805,522
Houston American Energy Corp. (a)(b)		3,393		41,361
Hyperdynamics Corp. (a)(b)		20,582		50,426
Isramco, Inc. (a)		47		4,209
Kodiak Oil & Gas Corp. (a)		40,834		387,923
Magellan Petroleum Corp. (a)		8,484		8,213
Magnum Hunter Resources Corp. (a)(b)		20,822		112,231
McMoRan Exploration Co. (a)		18,040		262,482
Miller Energy Resources, Inc. (a)		4,588		12,801
Northern Oil And Gas, Inc. (a)		10,720		257,066
Oasis Petroleum, Inc. (a)		11,449		333,051
Panhandle Oil & Gas, Inc.		1,477		48,460
Penn Virginia Corp.		8,619		45,595
Petroleum Development Corp. (a)		3,827		134,366
Petroquest Energy, Inc. (a)		10,269		67,775
Plains Exploration & Production Co. (a)		23,646		868,281
PostRock Energy Corp. (a)		1,910		5,367
Quicksilver Resources, Inc. (a)		20,678		138,749
Ram Energy Resources, Inc. (a)		13,020		40,753
Resolute Energy Corp. (a)		8,002		86,422
Rex Energy Corp. (a)		6,138		90,597
Rosetta Resources, Inc. (a)		8,723		379,450
SandRidge Energy, Inc. (a)		64,477		526,132
SM Energy Co.		10,567		772,448
Southern Union Co.		19,154		806,575
Stone Energy Corp. (a)		8,223		216,923
Swift Energy Co. (a)		7,035		209,080
Syntroleum Corp. (a)		17,342		16,648
Targa Resources, Inc.		5,403		219,848
Toreador Resources Corp. (a)		5,419		27,908
Tri-Valley Corp. (a)(b)		9,954		1,415
Ultra Petroleum Corp. (a)		25,397		752,513
U.S. Energy Corp. - Wyoming (a)		6,450		18,769
Vaalco Energy, Inc. (a)		10,091		60,950
Venoco, Inc. (a)		5,024		34,012
Voyager Oil & Gas, Inc. (a)		6,834		17,563
W&T Offshore, Inc.		6,020		127,684
Warren Resources, Inc. (a)		12,545		40,897
Western Refining, Inc.		9,390		124,793
Whiting Petroleum Corp. (a)		19,603		915,264
Zion Oil & Gas, Inc. (a)		6,898		15,245
				16,521,860
Oil Equipment, Services & Distribution — 2.6%
Atwood Oceanics, Inc. (a)		9,483		377,329
Basic Energy Services, Inc. (a)		4,582		90,265
Bolt Technology Corp.		2,562		29,309

Common Stocks	Shares		Value
Oil Equipment, Services & Distribution (concluded)
Bristow Group, Inc.		5,726	$	271,355
C&J Energy Services, Inc. (a)		1,564		32,734
Cal Dive International, Inc. (a)		17,110		38,497
CARBO Ceramics, Inc.		3,408		420,309
Chart Industries, Inc. (a)		4,902		265,051
Complete Production Services, Inc. (a)		13,070		438,629
Crosstex Energy, Inc.		8,111		102,523
Dawson Geophysical Co. (a)		1,638		64,750
Dresser-Rand Group, Inc. (a)		13,538		675,682
Dril-Quip, Inc. (a)(b)		5,799		381,690
Exterran Holdings, Inc. (a)		10,935		99,508
Flotek Industries, Inc. (a)		8,362		83,285
Forbes Energy Services Ltd. (a)		1,026		6,536
Geokinetics, Inc. (a)		3,468		7,456
Global Geophysical Services, Inc. (a)		2,282		15,335
Gulf Island Fabrication, Inc.		2,385		69,666
Gulfmark Offshore, Inc., Class A (a)		4,557		191,440
Helix Energy Solutions Group, Inc. (a)		17,477		276,137
Hercules Offshore, Inc. (a)		23,841		105,854
Hornbeck Offshore Services, Inc. (a)		5,002		155,162
ION Geophysical Corp. (a)		19,607		120,191
Key Energy Services, Inc. (a)(b)		24,572		380,129
Kinder Morgan, Inc. (b)		16,515		531,287
Lufkin Industries, Inc.		5,099		343,214
Matrix Service Co. (a)		5,154		48,654
McDermott International, Inc. (a)		38,755		446,070
Mitcham Industries, Inc. (a)		2,329		50,865
Natural Gas Services Group, Inc. (a)		2,824		40,835
Newpark Resources, Inc. (a)		15,795		150,052
Oceaneering International, Inc.		18,075		833,800
OGE Energy Corp.		15,936		903,731
Oil States International, Inc. (a)		8,587		655,789
OYO Geospace Corp. (a)		887		68,592
Parker Drilling Co. (a)		19,944		142,998
Patterson-UTI Energy, Inc.		25,613		511,748
PHI, Inc. (a)		2,674		66,449
Pioneer Drilling Co. (a)		9,445		91,428
RPC, Inc.		8,496		155,052
SEACOR Holdings, Inc. (a)		3,511		312,339
SemGroup Corp. (a)		6,603		172,074
Superior Energy Services, Inc. (a)		13,215		375,835
Tesco Corp. (a)		5,747		72,642
Tetra Technologies, Inc. (a)		13,114		122,485
TGC Industries, Inc. (a)		1,416		10,110
Tidewater, Inc.		8,577		422,846
Union Drilling, Inc. (a)		3,250		20,280
Unit Corp. (a)		7,947		368,741
Willbros Group, Inc. (a)		6,936		25,455
				11,642,193

See Notes to Financial Statements.
20	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Personal Goods — 1.5%
American Apparel, Inc. (a)(b)		4,944	$	3,560
Carter’s, Inc. (a)		9,552		380,265
Charles & Colvard Ltd. (a)		4,480		11,514
Cherokee, Inc.		1,946		22,710
Columbia Sportswear Co.		2,373		110,463
Crocs, Inc. (a)		14,541		214,771
Culp, Inc. (a)		2,100		17,892
Deckers Outdoor Corp. (a)		6,437		486,444
Delta Apparel, Inc. (a)		599		11,435
Elizabeth Arden, Inc. (a)		4,720		174,829
Female Health Co.		748		3,373
Fossil, Inc. (a)(b)		8,787		697,336
G-III Apparel Group Ltd. (a)		2,858		71,193
Hanesbrands, Inc. (a)		15,901		347,596
Heelys, Inc. (a)		5,895		10,906
Helen of Troy Ltd. (a)		4,804		147,483
Iconix Brand Group, Inc. (a)		12,098		197,076
Inter Parfums, Inc.		2,575		40,067
Joe’s Jeans, Inc. (a)		11,900		6,081
The Jones Group, Inc.		13,932		146,983
K-Swiss, Inc., Class A (a)(b)		4,901		14,311
Kenneth Cole Productions, Inc., Class A (a)		1,648		17,452
Lacrosse Footwear, Inc.		1,243		15,687
Lakeland Industries, Inc. (a)		1,210		11,192
Liz Claiborne, Inc. (a)		16,435		141,834
Maidenform Brands, Inc. (a)		4,030		73,749
Movado Group, Inc.		3,172		57,635
Nu Skin Enterprises, Inc., Class A		9,417		457,384
Orchids Paper Products Co.		1,900		34,580
Oxford Industries, Inc.		2,448		110,454
Parlux Fragrances, Inc. (a)		4,867		24,822
Perry Ellis International, Inc. (a)		2,219		31,554
Physicians Formula Holdings, Inc. (a)		3,138		10,042
PVH Corp.		10,189		718,223
Quiksilver, Inc. (a)		22,284		80,445
R.G. Barry Corp.		345		4,168
Revlon, Inc., Class A (a)		2,276		33,844
Rocky Brands, Inc. (a)		1,562		14,089
Skechers U.S.A., Inc., Class A (a)(b)		6,257		75,835
Steven Madden Ltd. (a)(b)		6,559		226,285
Superior Uniform Group, Inc.		1,500		18,645
Tandy Brands Accessories, Inc. (a)		1,401		1,373
True Religion Apparel, Inc. (a)		4,529		156,613
Under Armour, Inc., Class A (a)		6,381		458,092
Unifi, Inc. (a)		3,684		27,998
Vera Bradley, Inc. (a)		3,529		113,810
The Warnaco Group, Inc. (a)		7,356		368,094
Weyco Group, Inc.		1,541		37,831
Wolverine World Wide, Inc.		8,052		286,973
				6,724,991
Pharmaceuticals & Biotechnology — 4.8%
Aastrom Biosciences, Inc. (a)(b)		10,467		19,050
Acadia Pharmaceuticals, Inc. (a)		10,082		10,889
Achillion Pharmaceuticals, Inc. (a)		8,519		64,915

Common Stocks	Shares		Value
Pharmaceuticals & Biotechnology (continued)
Acorda Therapeutics, Inc. (a)		6,699	$	159,704
Acura Pharmaceuticals, Inc. (a)(b)		3,065		10,697
Aegerion Pharmaceuticals, Inc. (a)		1,466		24,541
Affymax, Inc. (a)		6,409		42,363
Affymetrix, Inc. (a)		12,115		49,550
Agenus, Inc. (a)		3,301		6,602
Akorn, Inc. (a)		11,931		132,673
Albany Molecular Research, Inc. (a)		4,172		12,224
Alexion Pharmaceuticals, Inc. (a)(b)		30,512		2,181,608
Alexza Pharmaceuticals, Inc. (a)		11,241		9,330
Alkermes Plc (a)(b)		15,739		273,229
Allos Therapeutics, Inc. (a)		11,265		15,996
Alnylam Pharmaceuticals, Inc. (a)		6,717		54,744
AMAG Pharmaceuticals, Inc. (a)		3,744		70,799
Amicus Therapeutics, Inc. (a)		4,082		14,042
Ampio Pharmaceuticals, Inc. (a)		2,822		12,050
Amylin Pharmaceuticals, Inc. (a)		21,533		245,046
Anacor Pharmaceuticals, Inc. (a)		1,533		9,505
Anthera Pharmaceuticals, Inc. (a)		2,390		14,675
Apricus Biosciences, Inc. (a)(b)		2,364		12,198
ARCA Biopharma, Inc. (a)(b)		4,416		4,372
Ardea Biosciences, Inc. (a)		3,208		53,926
Arena Pharmaceuticals, Inc. (a)		24,601		46,004
Ariad Pharmaceuticals, Inc. (a)		22,353		273,824
Arqule, Inc. (a)		7,945		44,810
Array Biopharma, Inc. (a)		12,657		27,339
AspenBio Pharma, Inc. (a)		358		347
Astex Pharmaceuticals (a)		9,769		18,463
Auxilium Pharmaceuticals, Inc. (a)		8,064		160,716
Avanir Pharmaceuticals, Inc. (a)		18,326		37,568
AVEO Pharmaceuticals, Inc. (a)		6,325		108,790
AVI BioPharma, Inc. (a)		25,525		19,016
BioCryst Pharmaceuticals, Inc. (a)		6,512		16,085
Biodel, Inc. (a)		7,671		4,761
BioDelivery Sciences International, Inc. (a)		1,266		1,025
BioMarin Pharmaceutical, Inc. (a)		18,606		639,674
BioMimetic Therapeutics, Inc. (a)		4,735		13,495
BioSante Pharmaceuticals, Inc. (a)(b)		16,643		8,356
BioTime, Inc. (a)		1,583		9,197
Cadence Pharmaceuticals, Inc. (a)		8,513		33,626
CEL-SCI Corp. (a)		23,000		6,668
Cell Therapeutics, Inc. (a)		31,201		36,193
Celldex Therapeutics, Inc. (a)		8,675		22,555
Cerus Corp. (a)		10,838		30,346
Charles River Laboratories International, Inc. (a)		8,584		234,601
Chelsea Therapeutics International, Inc. (a)(b)		9,603		49,263
Cleveland BioLabs, Inc. (a)		3,870		11,068
Columbia Laboratories, Inc. (a)(b)		12,022		30,055
Complete Genomics, Inc. (a)		882		2,584
Corcept Therapeutics, Inc. (a)		7,180		24,556

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	21

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Pharmaceuticals & Biotechnology (continued)
Cubist Pharmaceuticals, Inc. (a)		9,805	$	388,474
Cumberland Pharmaceuticals, Inc. (a)(b)		3,595		19,341
Curis, Inc. (a)		14,752		69,039
Cytokinetics, Inc. (a)		15,213		14,604
Cytori Therapeutics, Inc. (a)		9,085		19,987
CytRx Corp. (a)		24,700		6,696
Dendreon Corp. (a)(b)		24,494		186,154
Depomed, Inc. (a)		8,679		44,957
Discovery Laboratories, Inc. (a)		6,956		11,756
Durect Corp. (a)		15,462		18,245
Dusa Pharmaceuticals, Inc. (a)		5,150		22,557
Dyax Corp. (a)(b)		19,707		26,802
Dynavax Technologies Corp. (a)		20,168		66,958
Emergent Biosolutions, Inc. (a)		4,101		69,061
Endo Pharmaceuticals Holdings, Inc. (a)		19,415		670,400
Endocyte, Inc. (a)		4,254		15,995
Entremed, Inc. (a)		3,870		3,793
Enzo Biochem, Inc. (a)		7,833		17,546
Enzon Pharmaceuticals, Inc. (a)		9,534		63,878
Exact Sciences Corp. (a)		8,745		71,009
Exelixis, Inc. (a)		21,729		102,887
Furiex Pharmaceuticals, Inc. (a)		2,177		36,378
Galena Biopharma, Inc. (a)(b)		7,682		3,603
Gen-Probe, Inc. (a)		8,056		476,271
Genomic Health, Inc. (a)		3,127		79,395
GenVec, Inc. (a)		3,691		8,600
Geron Corp. (a)		22,840		33,803
GTx, Inc. (a)		5,996		20,147
Halozyme Therapeutics, Inc. (a)		15,236		144,894
Harvard Bioscience, Inc. (a)		5,218		20,194
Hemispherx Biopharma, Inc. (a)		9,683		1,889
Hi-Tech Pharmacal Co., Inc. (a)		1,805		70,196
Human Genome Sciences, Inc. (a)		32,672		241,446
Idenix Pharmaceuticals, Inc. (a)		11,434		85,126
Idera Pharmaceuticals, Inc. (a)		8,325		8,824
Illumina, Inc. (a)(b)		20,704		631,058
ImmunoGen, Inc. (a)		12,798		148,201
Immunomedics, Inc. (a)		13,200		43,956
Impax Laboratories, Inc. (a)(b)		10,603		213,863
Incyte Corp. (a)(b)		18,971		284,755
Infinity Pharmaceuticals, Inc. (a)		4,586		40,540
Inhibitex, Inc. (a)		10,229		111,905
Inovio Pharmaceuticals, Inc. (a)		16,169		6,953
Insmed, Inc. (a)		3,350		10,217
InterMune, Inc. (a)		10,345		130,347
Ironwood Pharmaceuticals, Inc. (a)		8,128		97,292
Isis Pharmaceuticals, Inc. (a)		16,174		116,615
ISTA Pharmaceuticals, Inc. (a)		4,778		33,685
Jazz Pharmaceuticals, Inc. (a)		3,887		150,155
K-V Pharmaceutical Co., Class A (a)		9,267		12,974
Keryx Biopharmaceuticals, Inc. (a)		12,664		32,040
Lexicon Genetics, Inc. (a)		32,647		42,115
Ligand Pharmaceuticals, Inc. (a)		3,544		42,067

Common Stocks	Shares		Value
Pharmaceuticals & Biotechnology (continued)
Luminex Corp. (a)(b)		7,227	$	153,429
MannKind Corp. (a)(b)		15,527		38,817
MAP Pharmaceuticals, Inc. (a)		3,599		47,399
Marina Biotech, Inc. (a)(b)		745		664
Maxygen, Inc. (a)		5,645		31,781
The Medicines Co. (a)		8,929		166,437
Medicis Pharmaceutical Corp., Class A		10,403		345,900
Medivation, Inc. (a)		6,015		277,352
Micromet, Inc. (a)		16,130		115,975
Momenta Pharmaceuticals, Inc. (a)		7,490		130,251
Myrexis, Inc. (a)		7,516		20,143
Myriad Genetics, Inc. (a)		14,189		297,118
Nabi Biopharmaceuticals (a)		8,908		16,747
Nektar Therapeutics (a)		19,053		106,602
Neuralstem, Inc. (a)		7,812		7,539
Neurocrine Biosciences, Inc. (a)		9,949		84,566
Novavax, Inc. (a)		18,248		22,992
NPS Pharmaceuticals, Inc. (a)		13,803		90,962
Obagi Medical Products, Inc. (a)		3,529		35,855
OncoGenex Pharmaceutical, Inc. (a)		1,971		23,140
Oncothyreon, Inc. (a)		5,626		42,645
Onyx Pharmaceuticals, Inc. (a)		10,378		456,113
Opko Health, Inc. (a)		27,579		135,137
Optimer Pharmaceuticals, Inc. (a)(b)		7,639		93,501
Orexigen Therapeutics, Inc. (a)		8,488		13,666
Osiris Therapeutics, Inc. (a)		4,265		22,818
Oxigene, Inc. (a)(b)		2,431		2,407
Pacific Biosciences of California, Inc. (a)		6,221		17,419
Pain Therapeutics, Inc. (a)		6,577		24,993
Palatin Technologies, Inc. (a)		9,887		3,993
Par Pharmaceutical Cos., Inc. (a)		5,950		194,743
PDL BioPharma, Inc.		22,851		141,676
Peregrine Pharmaceuticals, Inc. (a)		15,877		16,353
Pernix Therapeutics Holdings, Inc. (a)		334		3,093
Pharmacyclics, Inc. (a)		8,982		133,113
Pharmasset, Inc. (a)		12,142		1,556,604
Poniard Pharmaceuticals, Inc. (a)		23		49
Pozen, Inc. (a)		5,574		22,017
Prestige Brands Holdings, Inc. (a)		8,589		96,798
Progenics Pharmaceuticals, Inc. (a)(b)		5,943		50,753
PROLOR Biotech, Inc. (a)		4,237		18,092
Questcor Pharmaceuticals, Inc. (a)		9,461		393,388
Raptor Pharmaceutical Corp. (a)		6,257		39,169
Regeneron Pharmaceuticals, Inc. (a)(b)		11,870		657,954
Repligen Corp. (a)		6,813		23,641
Repros Therapeutics, Inc. (a)		3,811		18,369

See Notes to Financial Statements.
22	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Pharmaceuticals & Biotechnology (concluded)
Rexahn Pharmaceuticals, Inc. (a)(b)		17,083	$	6,423
Rigel Pharmaceuticals, Inc. (a)		11,895		93,852
Sagent Pharmaceuticals, Inc. (a)		1,873		39,333
Salix Pharmaceuticals Ltd. (a)		8,753		418,831
Sangamo Biosciences, Inc. (a)		9,484		26,935
Santarus, Inc. (a)		12,085		40,001
Savient Pharmaceuticals, Inc. (a)(b)		12,204		27,215
Sciclone Pharmaceuticals, Inc. (a)(b)		7,393		31,716
Seattle Genetics, Inc. (a)		16,661		278,489
Sequenom, Inc. (a)		17,632		78,462
SIGA Technologies, Inc. (a)		7,151		18,021
Somaxon Pharmaceuticals, Inc. (a)		8,130		3,658
Spectrum Pharmaceuticals, Inc. (a)(b)		9,440		138,107
StemCells, Inc. (a)(b)		2,837		2,338
Strategic Diagnostics, Inc. (a)		6,918		12,729
Sucampo Pharmaceuticals, Inc., Class A (a)		3,091		13,693
Synageva BioPharma Corp. (a)		1,017		27,083
Synta Pharmaceuticals Corp. (a)		7,038		32,867
Targacept, Inc. (a)		4,838		26,948
Techne Corp.		6,054		413,246
Telik, Inc. (a)		12,066		2,051
Theravance, Inc. (a)		11,934		263,741
Threshold Pharmaceuticals, Inc. (a)		10,589		12,919
Transcept Pharmaceuticals, Inc. (a)		1,727		13,522
United Therapeutics Corp. (a)		8,477		400,538
Vanda Pharmaceuticals, Inc. (a)		5,885		28,013
Ventrus Biosciences, Inc. (a)		1,022		8,166
Vertex Pharmaceuticals, Inc. (a)		34,451		1,144,118
Vical, Inc. (a)(b)		13,362		58,926
ViroPharma, Inc. (a)		12,835		351,551
Vivus, Inc. (a)		13,969		136,198
Xenoport, Inc. (a)		6,529		24,875
XOMA Ltd.		6,991		8,040
Zalicus, Inc. (a)		9,278		11,226
ZIOPHARM Oncology, Inc. (a)		7,926		34,954
				21,126,314
Real Estate Investment & Services — 0.5%
American Realty Investors, Inc. (a)		900		1,683
Avatar Holdings, Inc. (a)		1,800		12,924
Brookfield Properties Corp.		41,918		655,597
Consolidated-Tomoka Land Co.		1,237		33,486
Forest City Enterprises, Inc., Class A (a)		20,947		247,593
Forestar Group, Inc. (a)		6,212		93,988
Grubb & Ellis Co. (a)		12,319		1,577
HFF, Inc., Class A (a)		5,360		55,369
The Howard Hughes Corp. (a)		6,253		276,195

Common Stocks	Shares		Value
Real Estate Investment & Services (concluded)
Jones Lang LaSalle, Inc.		7,118	$	436,049
Kennedy-Wilson Holdings, Inc.		3,144		33,263
LoopNet, Inc. (a)		5,743		104,982
Market Leader, Inc. (a)		8,238		22,654
Maui Land & Pineapple Co., Inc. (a)		4,661		19,436
Move, Inc. (a)		7,735		48,885
Reis, Inc. (a)		2,347		21,405
The St. Joe Co. (a)(b)		15,135		221,879
Stratus Properties, Inc. (a)		894		7,045
Tejon Ranch Co. (a)		2,671		65,386
Thomas Properties Group, Inc.		7,082		23,583
Transcontinental Realty Investors, Inc. (a)		393		637
ZipRealty, Inc. (a)		6,784		7,666
				2,391,282
Real Estate Investment Trusts (REITs) — 8.5%
Acadia Realty Trust		7,268		146,378
Agree Realty Corp.		2,200		53,636
Alexander’s, Inc.		582		215,357
Alexandria Real Estate Equities, Inc.		10,188		702,666
American Assets Trust, Inc.		4,005		82,143
American Campus Communities, Inc.		11,048		463,574
American Capital Agency Corp.		36,833		1,034,271
American Capital Mortgage Investment Corp.		637		11,988
Annaly Capital Management, Inc.		164,705		2,628,692
Anworth Mortgage Asset Corp.		21,990		138,097
Apollo Commercial Real Estate Finance, Inc.		4,314		56,643
Apollo Residential Mortgage, Inc.		885		13,505
Arbor Realty Trust, Inc. (a)		3,816		13,432
Arlington Asset Investment Corp.		1,327		28,305
ARMOUR Residential REIT, Inc.		13,788		97,205
Ashford Hospitality Trust, Inc.		11,475		91,800
Associated Estates Realty Corp. (b)		7,820		124,729
BioMed Realty Trust, Inc.		24,874		449,722
Brandywine Realty Trust		22,288		211,736
BRE Properties		12,171		614,392
BRT Realty Trust (a)		3,185		20,193
Camden Property Trust		11,645		724,785
Campus Crest Communities, Inc.		3,722		37,443
Capital Trust, Inc. (a)		4,722		10,625
CapLease, Inc.		13,118		52,997
Capstead Mortgage Corp.		13,842		172,194
CBL & Associates Properties, Inc.		23,217		364,507
Cedar Realty Trust, Inc.		9,332		40,221
Chatham Lodging Trust		3,432		36,997
Chesapeake Lodging Trust		6,286		97,182
Chimera Investment Corp.		177,302		445,028
Cogdell Spencer, Inc.		10,614		45,110
Colonial Properties Trust		13,726		286,324
Colony Financial, Inc.		6,325		99,366

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	23

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)
CommonWealth REIT		14,154	$	235,523
Coresite Realty Corp.		2,380		42,412
Corporate Office Properties Trust		11,711		248,976
Cousins Properties, Inc.		14,171		90,836
CreXus Investment Corp.		10,898		113,121
CubeSmart		17,130		182,263
CYS Investments, Inc.		15,518		203,907
DCT Industrial Trust, Inc.		40,689		208,328
DDR Corp.		37,222		452,992
DiamondRock Hospitality Co.		27,604		266,103
Digital Realty Trust, Inc.		17,400		1,160,058
Douglas Emmett, Inc.		20,591		375,580
Duke Realty Corp.		41,908		504,991
Dupont Fabros Technology, Inc. (b)		10,463		253,414
Eastgroup Properties, Inc.		4,660		202,617
Education Realty Trust, Inc.		13,396		137,041
Entertainment Properties Trust		7,789		340,457
Equity Lifestyle Properties, Inc.		6,466		431,218
Equity One, Inc.		9,039		153,482
Essex Property Trust, Inc.		5,569		782,500
Excel Trust, Inc.		4,036		48,432
Extra Space Storage, Inc.		14,813		358,919
Federal Realty Investment Trust		10,254		930,550
FelCor Lodging Trust, Inc. (a)		22,077		67,335
First Industrial Realty Trust, Inc. (a)		13,884		142,033
First Potomac Realty Trust		8,512		111,082
Franklin Street Properties Corp.		11,843		117,838
General Growth Properties, Inc.		64,746		972,485
Getty Realty Corp.		4,943		68,955
Gladstone Commercial Corp.		3,327		58,389
Glimcher Realty Trust		17,483		160,844
Government Properties Income Trust		5,490		123,799
Gramercy Capital Corp. (a)		7,657		19,143
Hatteras Financial Corp.		13,194		347,926
Healthcare Realty Trust, Inc.		12,444		231,334
Hersha Hospitality Trust		25,794		125,875
Highwoods Properties, Inc.		10,450		310,051
Home Properties, Inc.		7,847		451,752
Hospitality Properties Trust		20,767		477,226
Hudson Pacific Properties, Inc.		2,717		38,473
Inland Real Estate Corp.		13,530		102,963
InvesCo. Mortgage Capital, Inc.		19,543		274,579
Investors Real Estate Trust		14,006		102,174
iStar Financial, Inc. (a)		15,594		82,492
Kilroy Realty Corp.		9,532		362,883
Kite Realty Group Trust		10,891		49,118
LaSalle Hotel Properties		13,560		328,288
Lexington Corporate Properties Trust		22,961		171,978
Liberty Property Trust		18,989		586,380
LTC Properties, Inc. (b)		5,316		164,052
The Macerich Co.		21,828		1,104,497
Mack-Cali Realty Corp.		14,760		393,944
Medical Properties Trust, Inc.		18,735		184,914

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (continued)
MFA Financial, Inc.		60,601	$	407,239
Mid-America Apartment Communities, Inc.		5,824		364,291
Mission West Properties, Inc.		5,252		47,373
Monmouth Real Estate Investment Corp., Class A		8,028		73,456
MPG Office Trust, Inc. (a)		9,526		18,957
National Health Investors, Inc.		3,949		173,677
National Retail Properties, Inc.		15,523		409,497
New York Mortgage Trust, Inc.		2,819		20,325
NorthStar Realty Finance Corp.		16,385		78,156
Omega Healthcare Investors, Inc. (b)		17,052		329,956
One Liberty Properties, Inc.		2,734		45,111
Parkway Properties, Inc.		4,016		39,598
Pebblebrook Hotel Trust		8,848		169,705
Pennsylvania Real Estate Investment Trust (b)		9,450		98,658
PennyMac Mortgage Investment Trust (d)		4,147		68,923
Piedmont Office Realty Trust, Inc.		28,679		488,690
PMC Commercial Trust		3,323		23,228
Post Properties, Inc.		8,367		365,805
Potlatch Corp.		6,557		203,988
PS Business Parks, Inc.		3,024		167,620
RAIT Financial Trust		6,523		30,984
Ramco-Gershenson Properties Trust		7,193		70,707
Rayonier, Inc.		20,013		893,180
Realty Income Corp. (b)		21,886		765,135
Redwood Trust, Inc.		11,555		117,630
Regency Centers Corp.		14,803		556,889
Resource Capital Corp.		12,586		70,607
Retail Opportunity Investments Corp.		4,760		56,358
RLJ Lodging Trust		10,557		177,674
Sabra Healthcare REIT, Inc.		5,882		71,113
Saul Centers, Inc.		1,678		59,435
Senior Housing Properties Trust		27,255		611,602
SL Green Realty Corp.		14,134		941,890
Sovran Self Storage, Inc.		4,578		195,343
Starwood Property Trust, Inc.		15,553		287,886
Strategic Hotel Capital, Inc. (a)		24,533		131,742
Sun Communities, Inc.		3,841		140,312
Sunstone Hotel Investors, Inc. (a)		19,725		160,759
Supertel Hospitality, Inc. (a)		10,690		6,842
Tanger Factory Outlet Centers, Inc.		13,746		403,033
Taubman Centers, Inc.		9,526		591,565
Terreno Realty Corp.		3,682		55,745
Two Harbors Investment Corp.		24,478		226,177
UDR, Inc.		36,073		905,432
UMH Properties, Inc.		4,885		45,479
Universal Health Realty Income Trust		1,861		72,579
Urstadt Biddle Properties, Inc.		1,300		21,892

See Notes to Financial Statements.
24	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

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)
Urstadt Biddle Properties, Inc., Class A		3,322	$	60,062
Walter Investment Management Corp.		4,785		98,140
Washington Real Estate Investment Trust		10,824		296,036
Weingarten Realty Investors		19,860		433,345
Winthrop Realty Trust		4,508		45,846
				37,263,437
Software & Computer Services — 5.5%
Accelrys, Inc. (a)		10,513		70,647
ACI Worldwide, Inc. (a)		5,725		163,964
Acorn Energy, Inc.		2,185		13,197
The Active Network, Inc. (a)		956		13,002
Actuate Corp. (a)		8,953		52,465
Advent Software, Inc. (a)		5,652		137,683
Allscripts Healthcare Solutions, Inc. (a)		31,058		588,239
American Software, Inc., Class A		5,042		47,647
Analysts International Corp. (a)		2,328		12,990
Ansys, Inc. (a)		15,234		872,604
AOL, Inc. (a)		18,160		274,216
Ariba, Inc. (a)		15,760		442,541
Aspen Technology, Inc. (a)		15,873		275,397
athenahealth, Inc. (a)		5,933		291,429
Authentidate Holding Corp. (a)		12,644		8,598
Blackbaud, Inc.		7,490		207,473
Bottomline Technologies, Inc. (a)		5,693		131,907
BroadSoft, Inc. (a)		3,382		102,136
BSQUARE Corp. (a)		3,173		10,852
CACI International, Inc., Class A (a)		5,033		281,445
Cadence Design Systems, Inc. (a)		45,002		468,021
Calix, Inc. (a)		5,953		38,516
Callidus Software, Inc. (a)		7,175		46,064
Ciber, Inc. (a)		10,986		42,406
Clearwire Corp., Class A (a)		24,777		48,067
Cogent Communications Group, Inc. (a)		8,632		145,795
CommVault Systems, Inc. (a)		6,864		293,230
Computer Programs & Systems, Inc.		1,953		99,818
Computer Task Group, Inc. (a)		1,077		15,164
Compuware Corp. (a)		36,493		303,622
Comverse Technology, Inc. (a)		33,980		233,103
Concur Technologies, Inc. (a)		7,877		400,073
Crexendo, Inc.		3,629		10,270
CSG Systems International, Inc. (a)		5,963		87,716
Datalink Corp. (a)		1,272		10,507
DealerTrack Holdings, Inc. (a)(b)		6,944		189,293
Deltek, Inc. (a)		5,038		49,473
DemandTec, Inc. (a)		5,861		77,189
Digimarc Corp. (a)		1,594		38,081
Digital River, Inc. (a)		7,019		105,425
DST Systems, Inc.		6,078		276,671
Dynamics Research Corp. (a)		2,023		22,941
EarthLink, Inc.		19,962		128,555

Common Stocks	Shares		Value
Software & Computer Services (continued)
EasyLink Services International Corp. (a)		1,268	$	5,047
Ebix, Inc. (b)		5,636		124,556
Envestnet, Inc. (a)		2,582		30,881
EPIQ Systems, Inc.		5,689		68,382
Equinix, Inc. (a)		7,773		788,182
Evolving Systems, Inc. (a)		2,449		18,343
Fair Isaac Corp.		6,760		242,278
FalconStor Software, Inc. (a)		7,449		19,218
Forrester Research, Inc. (a)		2,544		86,343
Fortinet, Inc. (a)		19,502		425,339
Gartner, Inc. (a)		14,433		501,835
GSE Systems, Inc. (a)		5,737		11,187
Guidance Software, Inc. (a)		3,404		22,058
The Hackett Group, Inc. (a)		7,974		29,823
IAC/InterActiveCorp.		14,879		633,845
ICG Group, Inc. (a)		7,181		55,437
iGate Corp. (a)		4,553		71,619
Immersion Corp. (a)		5,688		29,464
Informatica Corp. (a)		17,561		648,528
Infospace, Inc. (a)		7,800		85,722
Innodata Corp. (a)		7,929		31,240
Interactive Intelligence Group, Inc. (a)(b)		2,664		61,059
Internap Network Services Corp. (a)		9,634		57,226
IntraLinks Holdings, Inc. (a)		4,255		26,551
Ipass, Inc. (a)		9,814		13,642
j2 Global, Inc.		8,317		234,040
JDA Software Group, Inc. (a)		7,185		232,722
Kenexa Corp. (a)		4,059		108,375
Keynote Systems, Inc.		2,889		59,340
The KEYW Holding Corp. (a)		2,190		16,206
KIT Digital, Inc. (a)		7,191		60,764
Limelight Networks, Inc. (a)		12,353		36,565
LivePerson, Inc. (a)		8,720		109,436
LogMeIn, Inc. (a)		3,387		130,569
LookSmart Ltd. (a)		9,057		11,684
Magma Design Automation, Inc. (a)		10,916		78,377
Manhattan Associates, Inc. (a)		3,840		155,443
Mastech Holdings, Inc. (a)		688		2,566
MedAssets, Inc. (a)		8,808		81,474
Medidata Solutions, Inc. (a)		4,383		95,330
MedQuist Holdings, Inc. (a)		4,329		41,645
Mentor Graphics Corp. (a)		18,385		249,301
Merge Healthcare, Inc. (a)		10,412		50,498
Meru Networks, Inc. (a)		2,243		9,264
MicroStrategy, Inc., Class A (a)		1,469		159,122
Mitek Systems, Inc. (a)		2,602		18,865
Monotype Imaging Holdings, Inc. (a)		4,854		75,674
Motricity, Inc. (a)		6,006		5,405
Multiband Corp. (a)		4,732		15,284
NCI, Inc., Class A (a)		1,565		18,232
NetScout Systems, Inc. (a)		5,839		102,766
NetSuite, Inc. (a)		5,026		203,804

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	25

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Software & Computer Services (continued)
NIC, Inc.		12,052	$	160,412
Nuance Communications, Inc. (a)		37,838		952,004
Openwave Systems, Inc. (a)		16,576		26,190
Opnet Technologies, Inc.		2,566		94,095
Parametric Technology Corp. (a)		19,642		358,663
PC-Tel, Inc.		4,095		28,010
PDF Solutions, Inc. (a)		4,992		34,794
Pegasystems, Inc.		2,743		80,644
Perficient, Inc. (a)		6,361		63,674
Premiere Global Services, Inc. (a)		8,849		74,951
Progress Software Corp. (a)		11,204		216,797
PROS Holdings, Inc. (a)		3,955		58,850
QAD, Inc., Class A (a)		680		7,140
QAD, Inc., Class B (a)		1,349		13,962
QLIK Technologies, Inc. (a)		12,069		292,070
Quality Systems, Inc.		6,210		229,708
Quest Software, Inc. (a)		10,495		195,207
Rackspace Hosting, Inc. (a)		18,136		780,029
RealPage, Inc. (a)		4,699		118,744
RightNow Technologies, Inc. (a)		4,564		195,020
RigNet, Inc. (a)		826		13,827
Rosetta Stone, Inc. (a)		2,275		17,358
Rovi Corp. (a)		18,584		456,795
S1 Corp. (a)		9,917		94,906
Saba Software, Inc. (a)		6,045		47,695
Sapient Corp.		18,207		229,408
Scientific Learning Corp. (a)		5,893		15,027
SciQuest, Inc. (a)		1,726		24,630
Selectica, Inc. (a)		570		1,750
Smith Micro Software, Inc. (a)		5,587		6,313
Softbrands, Inc.		114		2
SolarWinds, Inc. (a)		9,174		256,413
Solera Holdings, Inc.		11,734		522,632
Sourcefire, Inc. (a)		4,904		158,792
SRS Labs, Inc. (a)		2,800		16,100
SS&C Technologies Holdings, Inc. (a)		4,438		80,150
SuccessFactors, Inc. (a)		13,731		547,455
Support.com, Inc. (a)		10,175		22,894
Synchronoss Technologies, Inc. (a)		5,161		155,914
Synopsys, Inc. (a)		24,699		671,813
Syntel, Inc.		2,633		123,145
Taleo Corp., Class A (a)		6,878		266,110
Tangoe, Inc. (a)		665		10,241
TeleCommunication Systems, Inc., Class A (a)		8,584		20,172
TeleNav, Inc. (a)		2,224		17,369
TIBCO Software, Inc. (a)		27,623		660,466
Tyler Technologies, Inc. (a)		5,814		175,060
Ultimate Software Group, Inc. (a)		4,675		304,436
Unisys Corp. (a)		6,630		130,677
United Online, Inc.		16,119		87,687
VASCO Data Security International, Inc. (a)		5,143		33,532
Verint Systems, Inc. (a)		3,194		87,963

Common Stocks	Shares		Value
Software & Computer Services (concluded)
VirnetX Holding Corp. (a)(b)		7,004	$	174,890
Virtusa Corp. (a)		3,029		43,860
VMware, Inc. (a)		10,810		899,284
Vocus, Inc. (a)		3,474		76,741
Wave Systems Corp., Class A (a)(b)		16,519		35,846
Web.Com Group, Inc. (a)(b)		5,964		68,288
Websense, Inc. (a)		6,304		118,074
Zix Corp. (a)		12,496		35,239
				24,268,906
Support Services — 4.2%
A.M. Castle & Co. (a)		3,325		31,454
ABM Industries, Inc.		7,004		144,422
Acacia Research - Acacia Technologies (a)		6,910		252,284
ADA-ES, Inc. (a)		1,185		26,828
The Advisory Board Co. (a)		2,741		203,410
Alliance Data Systems Corp. (a)		8,624		895,516
American Dental Partners, Inc. (a)		3,213		60,501
American Reprographics Co. (a)		6,149		28,224
AMN Healthcare Services, Inc. (a)		7,106		31,480
AMREP Corp. (a)		500		3,280
Applied Industrial Technologies, Inc.		6,142		216,014
Barnes Group, Inc.		7,582		182,802
Barrett Business Services, Inc.		1,450		28,942
Black Box Corp.		2,712		76,044
Booz Allen Hamilton Holding Corp. (a)		2,183		37,657
The Brink’s Co.		7,567		203,401
Broadridge Financial Solutions LLC		20,710		467,010
Cardtronics, Inc. (a)		6,658		180,165
Casella Waste Systems, Inc. (a)		5,838		37,363
Cass Information Systems, Inc.		1,742		63,406
CBIZ, Inc. (a)		7,426		45,373
CDI Corp.		2,270		31,349
Cenveo, Inc. (a)		11,102		37,747
Champion Industries, Inc. (a)		3,410		2,626
Clean Harbors, Inc. (a)		7,868		501,428
Coinstar, Inc. (a)(b)		4,920		224,549
Comfort Systems USA, Inc.		6,188		66,335
Consolidated Graphics, Inc. (a)		1,808		87,290
Convergys Corp. (a)		17,853		227,983
CoreLogic, Inc. (a)		17,775		229,831
Corporate Executive Board Co.		5,717		217,818
Corrections Corp. of America (a)		18,007		366,803
CoStar Group, Inc. (a)		3,860		257,578
CRA International, Inc. (a)		2,124		42,140
Crawford & Co., Class B		4,940		30,430
Cross Country Healthcare, Inc. (a)		5,581		30,974
Deluxe Corp.		8,544		194,461
Dice Holdings, Inc. (a)		8,809		73,027
DigitalGlobe, Inc. (a)		5,680		97,185
Document Security Systems, Inc. (a)		5,925		15,109

See Notes to Financial Statements.
26	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Support Services (continued)
The Dolan Co. (a)		5,142	$	43,810
DXP Enterprises, Inc. (a)		1,744		56,157
EnergySolutions, Inc. (a)		15,176		46,894
ENGlobal Corp. (a)		5,145		10,856
Ennis, Inc.		4,246		56,599
Euronet Worldwide, Inc. (a)		8,189		151,333
ExamWorks Group, Inc. (a)		5,054		47,912
ExlService Holdings, Inc. (a)		3,211		71,830
Exponent, Inc. (a)		2,625		120,671
FleetCor Technologies, Inc. (a)		5,315		158,759
Franklin Covey Co. (a)		3,300		27,951
Frontline Capital Group (a)		300		—
FTI Consulting, Inc. (a)		6,984		296,261
Fuel Tech, Inc. (a)		4,103		26,998
Furmamite Corp. (a)		7,089		44,732
G&K Services, Inc., Class A		3,060		89,077
Genpact Ltd. (a)		17,515		261,849
The Geo Group, Inc. (a)		10,725		179,644
GeoEye, Inc. (a)		3,576		79,459
Global Cash Access, Inc. (a)		5,824		25,917
Global Payments, Inc.		13,406		635,176
Global Power Equipment Group, Inc. (a)		1,933		45,909
GP Strategies Corp. (a)		3,156		42,543
Harris Interactive, Inc. (a)		12,240		6,845
Heartland Payment Systems, Inc.		6,517		158,754
Heidrick & Struggles International, Inc.		2,945		63,435
Heritage-Crystal Clean, Inc. (a)		455		7,535
Higher One Holdings, Inc. (a)		5,029		92,735
Hudson Highland Group, Inc. (a)		5,909		28,304
Huron Consulting Group, Inc. (a)(b)		3,969		153,759
ICF International, Inc. (a)		3,081		76,347
Innerworkings, Inc. (a)		5,536		51,540
Insperity, Inc.		3,896		98,764
Interline Brands, Inc. (a)		5,400		84,078
Jack Henry & Associates, Inc.		14,340		481,967
Kaman Corp., Class A		4,265		116,520
Kelly Services, Inc., Class A		4,545		62,176
Kforce, Inc. (a)		6,978		86,039
Korn/Ferry International (a)		7,862		134,126
Lawson Products, Inc.		376		5,802
Lender Processing Services, Inc.		14,188		213,813
Lincoln Educational Services Corp.		3,628		28,661
LinkedIn Corp. (a)		2,479		156,202
Lionbridge Technologies, Inc. (a)		11,307		25,893
Management Network Group, Inc. (a)		780		1,186
Manpower, Inc.		13,396		478,907
MAXIMUS, Inc.		5,809		240,202
McGrath RentCorp		4,003		116,047
Metalico, Inc. (a)		8,534		28,077
Michael Baker Corp. (a)		1,409		27,630
Mistras Group, Inc. (a)		3,142		80,090
Mobile Mini, Inc. (a)		6,485		113,163
Moduslink Global Solutions, Inc.		8,929		48,217

Common Stocks	Shares		Value
Support Services (concluded)
Monster Worldwide, Inc. (a)(b)		21,673	$	171,867
MSC Industrial Direct Co., Class A		7,199		515,088
MWI Veterinary Supply, Inc. (a)		2,121		140,919
Navigant Consulting, Inc. (a)		8,784		100,225
NeuStar, Inc., Class A (a)		10,500		358,785
Odyssey Marine Exploration, Inc. (a)(b)		13,461		36,883
Official Payments Holdings, Inc. (a)		3,682		16,053
On Assignment, Inc. (a)		6,574		73,497
Online Resources Corp. (a)		5,364		12,981
Park-Ohio Holdings Corp. (a)(b)		1,500		26,760
Perma-Fix Environmental Services, Inc. (a)		14,081		21,826
PowerSecure International, Inc. (a)(b)		3,749		18,558
PRGX Global, Inc. (a)		4,479		26,650
Quad/Graphics, Inc.		4,285		61,447
Rentrak Corp. (a)		2,028		28,960
Resources Connection, Inc.		7,990		84,614
RPX Corp. (a)		1,882		23,807
RSC Holdings, Inc. (a)		10,819		200,151
Schnitzer Steel Industries, Inc., Class A		4,042		170,896
School Specialty, Inc. (a)		2,636		6,590
ServiceSource International, Inc. (a)		5,619		88,162
Sharps Compliance Corp. (a)(b)		3,400		13,974
The Standard Register Co.		2,775		6,466
Startek, Inc. (a)		3,021		5,800
Stream Global Services, Inc. (a)		3,204		10,605
Swisher Hygiene, Inc. (a)		17,721		66,276
SYKES Enterprises, Inc. (a)		7,227		113,175
Team, Inc. (a)		3,505		104,274
TeleTech Holdings, Inc. (a)		5,279		85,520
Tetra Tech, Inc. (a)		10,651		229,955
Towers Watson & Co.		9,060		542,966
TrueBlue, Inc. (a)		7,534		104,572
Unifirst Corp.		2,483		140,885
United Rentals, Inc. (a)		10,525		311,014
United Stationers, Inc.		7,583		246,902
Universal Technical Institute, Inc. (a)		3,697		47,248
URS Corp. (a)		12,894		452,837
US Ecology, Inc.		3,712		69,711
Verisk Analytics, Inc. (a)		22,383		898,230
Viad Corp.		3,486		60,935
VistaPrint NV (a)(b)		6,698		204,959
Waste Connections, Inc.		19,215		636,785
Wright Express Corp. (a)		6,423		348,640
				18,623,838
Technology Hardware & Equipment — 6.2%
3D Systems Corp. (a)		7,256		104,486
Acme Packet, Inc. (a)		9,854		304,587
Adtran, Inc.		10,523		317,374

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 27

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Technology Hardware & Equipment (continued)
Advanced Analogic Technologies, Inc. (a)		7,926	$	45,812
Advanced Energy Industries, Inc. (a)		6,510		69,852
Agilysys, Inc. (a)		3,303		26,259
Alliance Fiber Optic Products, Inc. (a)		1,682		12,884
Amkor Technology, Inc. (a)		18,127		79,034
Amtech Systems, Inc. (a)		1,726		14,688
Anadigics, Inc. (a)		11,928		26,122
Applied Micro Circuits Corp. (a)		10,875		73,080
Arris Group, Inc. (a)		20,161		218,142
Aruba Networks, Inc. (a)		14,501		268,559
Atmel Corp. (a)(b)		72,263		585,330
ATMI, Inc. (a)		5,161		103,375
AuthenTec, Inc. (a)		8,636		27,722
Aviat Networks, Inc. (a)		10,738		19,651
Aware, Inc. (a)		5,193		15,683
Axcelis Technologies, Inc. (a)		18,177		24,175
AXT, Inc. (a)		6,038		25,178
Blue Coat Systems, Inc. (a)		7,288		185,480
Brightpoint, Inc. (a)		11,360		122,234
Brocade Communications Systems, Inc. (a)		77,078		400,035
Brooks Automation, Inc.		10,929		112,241
Cabot Microelectronics Corp. (a)		3,867		182,716
CalAmp Corp. (a)		6,120		26,010
Cavium, Inc. (a)(b)		8,184		232,671
Ceva, Inc. (a)		3,918		118,559
Ciena Corp. (a)		16,142		195,318
Cirrus Logic, Inc. (a)		11,224		177,900
Clearfield, Inc. (a)		418		3,181
Cohu, Inc.		3,477		39,464
Comtech Telecommunications Corp.		4,366		124,955
Concurrent Computer Corp. (a)		2,830		10,726
Cray, Inc. (a)		6,145		39,758
Cree, Inc. (a)		19,589		431,742
CVD Equipment Corp. (a)		290		3,489
Cymer, Inc. (a)		4,651		231,434
Cypress Semiconductor Corp. (a)		28,269		477,463
Dataram Corp. (a)		6,622		5,364
Dialogic, Inc. (a)(b)		3,072		3,686
Diebold, Inc.		10,766		323,734
Digi International, Inc. (a)		4,559		50,878
Diodes, Inc. (a)		5,782		123,157
Ditech Networks, Inc. (a)		8,978		8,439
Dot Hill Systems Corp. (a)		11,820		15,721
DSP Group, Inc. (a)		4,262		22,205
Dycom Industries, Inc. (a)		6,150		128,658
EchoStar Corp. Class A (a)		6,659		139,439
Electronics for Imaging, Inc. (a)		8,009		114,128
Emcore Corp. (a)		15,059		12,985
Emulex Corp. (a)		14,724		101,007
Entegris, Inc. (a)		22,432		195,719
Entropic Communications, Inc. (a)		14,268		72,909

Common Stocks	Shares		Value
Technology Hardware & Equipment (continued)
Exar Corp. (a)		6,601	$	42,907
Extreme Networks, Inc. (a)		16,636		48,577
Fairchild Semiconductor International, Inc. (a)		21,410		257,776
FiberTower Corp. (a)(b)		10,683		2,211
Finisar Corp. (a)		14,829		248,312
Formfactor, Inc. (a)		8,793		44,493
FSI International, Inc. (a)		6,525		23,882
Fusion-IO, Inc. (a)		3,320		80,344
Garmin Ltd.		20,524		817,060
Globecomm Systems, Inc. (a)		4,132		56,526
GSI Technology, Inc. (a)		3,599		16,843
GTSI Corp. (a)		2,177		9,143
Harmonic, Inc. (a)		19,051		96,017
Hittite Microwave Corp. (a)		4,613		227,790
Hutchinson Technology, Inc. (a)		5,295		7,943
ID Systems, Inc. (a)		3,969		18,773
Identive Group, Inc. (a)		10,686		23,830
iGO, Inc. (a)		8,187		6,320
Ikanos Communications, Inc. (a)		8,600		6,966
Imation Corp. (a)		5,372		30,782
Infinera Corp. (a)		17,251		108,336
Infosonics Corp. (a)		3,600		2,160
Ingram Micro, Inc., Class A (a)		25,241		459,134
Inphi Corp. (a)		3,366		40,257
Insight Enterprises, Inc. (a)		7,613		116,403
Integrated Device Technology, Inc. (a)		25,259		137,914
Integrated Silicon Solutions, Inc. (a)		4,472		40,874
InterDigital, Inc.		7,531		328,126
Intermec, Inc. (a)		8,033		55,106
International Rectifier Corp. (a)		11,564		224,573
Intersil Corp., Class A		20,960		218,822
Ixia (a)		8,744		91,899
IXYS Corp. (a)		4,222		45,724
Kopin Corp. (a)		11,681		45,322
Kulicke & Soffa Industries, Inc. (a)		11,828		109,409
KVH Industries, Inc. (a)		2,793		21,730
Lam Research Corp. (a)(b)		20,639		764,056
Lantronix, Inc. (a)		3,162		8,031
Lattice Semiconductor Corp. (a)		19,699		117,012
Loral Space & Communications Ltd. (a)		1,929		125,154
LRAD Corp. (a)		6,254		9,318
LTX-Credence Corp. (a)		8,341		44,624
Marvell Technology Group Ltd. (a)		86,086		1,192,291
Mattson Technology, Inc. (a)		11,237		15,507
Maxim Integrated Products, Inc.		49,385		1,285,985
MaxLinear, Inc., Class A (a)		3,075		14,606
MEMC Electronic Materials, Inc. (a)		38,442		151,462
Mercury Computer Systems, Inc. (a)		4,991		66,330
Micrel, Inc.		8,177		82,669
Micros Systems, Inc. (a)		13,428		625,476
Microsemi Corp. (a)		14,211		238,034

See Notes to Financial Statements.

28 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Technology Hardware & Equipment (continued)
Mindspeed Technologies, Inc. (a)		5,964	$	27,315
MIPS Technologies, Inc. (a)		9,304		41,496
MKS Instruments, Inc.		8,474		235,747
Monolithic Power Systems, Inc. (a)		5,887		88,717
MoSys, Inc. (a)		6,968		29,266
Nanometrics, Inc. (a)		3,600		66,312
NCR Corp. (a)		26,344		433,622
NeoPhotonics Corp. (a)		1,562		7,154
NETGEAR, Inc. (a)		6,176		207,328
NetList, Inc. (a)		6,978		17,515
Netlogic Microsystems, Inc. (a)		11,504		570,253
Network Engines, Inc. (a)		7,500		7,216
Network Equipment Technologies, Inc. (a)		7,661		8,887
Neutral Tandem, Inc. (a)		6,304		67,390
Novatel Wireless, Inc. (a)		5,930		18,561
Oclaro, Inc. (a)		8,657		24,413
OCZ Technology Group, Inc. (a)(b)		7,285		48,154
Omnivision Technologies, Inc. (a)(b)		10,285		125,837
ON Semiconductor Corp. (a)		74,470		574,908
Oplink Communications, Inc. (a)		3,465		57,069
OpNext, Inc. (a)		9,071		7,328
Optical Cable Corp.		3,094		9,870
Overland Storage, Inc. (a)		5,952		14,880
PAR Technology Corp. (a)		2,549		9,967
ParkerVision, Inc. (a)(b)		4,428		3,764
PC Connection, Inc.		3,000		33,270
Pendrell Corp. (a)		22,227		56,901
Performance Technologies, Inc. (a)		1,109		1,996
Pericom Semiconductor Corp. (a)		4,392		33,423
Photronics, Inc. (a)		9,409		57,207
Pixelworks, Inc. (a)		4,869		11,832
Plantronics, Inc.		7,722		275,212
PLX Technology, Inc. (a)		8,740		25,084
PMC-Sierra, Inc. (a)		39,022		215,011
Polycom, Inc. (a)		29,341		478,258
Power Integrations, Inc.		4,721		156,548
Preformed Line Products Co.		447		26,668
Presstek, Inc. (a)		7,696		4,156
Procera Networks, Inc. (a)		1,669		26,003
QLogic Corp. (a)		17,367		260,505
Quantum Corp. (a)		38,734		92,962
QuickLogic Corp. (a)(b)		8,152		21,195
Radisys Corp. (a)		3,946		19,967
Rambus, Inc. (a)(b)		16,647		125,685
Ramtron International Corp. (a)		7,564		14,750
RF Micro Devices, Inc. (a)		46,081		248,837
Rimage Corp.		2,112		23,760
Riverbed Technology, Inc. (a)		25,688		603,668
Rudolph Technologies, Inc. (a)		5,547		51,365
ScanSource, Inc. (a)		4,454		160,344
SeaChange International, Inc. (a)		5,210		36,626
Seagate Technology Plc		70,359		1,153,888
Semtech Corp. (a)		10,686		265,227
Shoretel, Inc. (a)		4,618		29,463

Common Stocks	Shares		Value
Technology Hardware & Equipment (concluded)
Sigma Designs, Inc. (a)		5,336	$	32,016
Silicon Graphics International Corp. (a)		5,089		58,320
Silicon Image, Inc. (a)		13,433		63,135
Silicon Laboratories, Inc. (a)		7,259		315,186
Skyworks Solutions, Inc. (a)		31,113		504,653
Sonic Foundry, Inc. (a)		1,344		10,174
Sonus Networks, Inc. (a)		36,947		88,673
Spansion, Inc., Class A (a)		8,184		67,764
Standard Microsystems Corp. (a)		3,790		97,668
STEC, Inc. (a)		7,143		61,358
Stratasys, Inc. (a)		3,669		111,574
Super Micro Computer, Inc. (a)		4,634		72,661
Superconductor Technologies, Inc. (a)		7,509		9,236
Supertex, Inc. (a)		1,906		35,985
Sycamore Networks, Inc. (a)		3,263		58,408
Symmetricom, Inc. (a)		7,895		42,554
Synaptics, Inc. (a)		5,787		174,478
SYNNEX Corp. (a)		3,936		119,891
Systemax, Inc. (a)		741		12,160
Tech Data Corp. (a)		7,506		370,871
Tegal Corp. (a)		409		1,370
Tekelec (a)		10,303		112,612
Tellabs, Inc.		55,474		224,115
Telular Corp.		3,516		26,370
Tessera Technologies, Inc. (a)		8,535		142,961
TNS, Inc. (a)		4,545		80,537
Transact Technologies, Inc. (a)		2,378		17,264
Transwitch Corp. (a)		5,338		17,082
Trident Microsystems, Inc. (a)		14,102		2,538
TriQuint Semiconductor, Inc. (a)(b)		27,810		135,435
Ultra Clean Holdings, Inc. (a)		4,063		24,825
Ultratech, Inc. (a)		4,368		107,322
USA Technologies, Inc. (a)		4,247		4,757
UTStarcom Holdings Corp.		23,521		32,459
VeriFone Systems, Inc. (a)		17,164		609,665
Viasat, Inc. (a)		6,854		316,107
Vitesse Semiconductor Corp. (a)		6,321		15,739
Volterra Semiconductor Corp. (a)		4,315		110,507
VOXX International Corp. (a)		3,047		25,747
Westell Technologies, Inc., Class A (a)		10,517		23,348
Zhone Technologies, Inc. (a)		5,499		4,729
				27,203,271
Tobacco — 0.1%
Alliance One International, Inc. (a)		14,699		39,981
Schweitzer-Mauduit International, Inc.		2,858		189,943
Star Scientific, Inc. (a)		20,560		44,821
Universal Corp.		3,637		167,156
Vector Group Ltd.		7,018		124,640
				566,541
Travel & Leisure — 4.1%
AFC Enterprises, Inc. (a)		4,883		71,780

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 29

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Travel & Leisure (continued)
Alaska Air Group, Inc. (a)		6,096	$	457,749
Allegiant Travel Co. (a)		2,623		139,911
Ambassadors Group, Inc.		3,990		17,995
Ameristar Casinos, Inc.		5,388		93,159
Avis Budget Group, Inc. (a)		17,376		186,271
Bally Technologies, Inc. (a)(b)		8,919		352,836
Benihana, Inc.		2,261		23,130
Biglari Holdings, Inc. (a)		222		81,749
BJ’s Restaurants, Inc. (a)		4,065		184,226
Bluegreen Corp. (a)		3,746		10,526
Bob Evans Farms, Inc.		4,880		163,675
Boyd Gaming Corp. (a)		9,675		72,175
Bravo Brio Restaurant Group, Inc. (a)		2,084		35,741
Brinker International, Inc.		14,635		391,633
Buffalo Wild Wings, Inc. (a)		3,118		210,496
Caribou Coffee Co., Inc. (a)		2,433		33,940
Carmike Cinemas, Inc. (a)		2,993		20,592
Carrols Restaurant Group, Inc. (a)		610		7,058
CEC Entertainment, Inc.		3,413		117,578
Century Casinos, Inc. (a)		5,916		15,322
The Cheesecake Factory, Inc. (a)		9,098		267,026
Choice Hotels International, Inc.		5,371		204,367
Churchill Downs, Inc.		2,085		108,691
Cinemark Holdings, Inc.		15,124		279,643
Cosi, Inc. (a)(b)		11,696		8,246
Cracker Barrel Old Country Store, Inc.		3,790		191,054
Delta Air Lines, Inc. (a)		141,231		1,142,559
Denny’s Corp. (a)		18,631		70,053
DineEquity, Inc. (a)		2,819		118,990
Dollar Thrifty Automotive Group, Inc. (a)		4,670		328,114
Domino’s Pizza, Inc. (a)		9,109		309,251
Dover Downs Gaming & Entertainment, Inc.		4,864		10,409
Dover Motorsports, Inc. (a)		4,712		4,900
Dunkin’ Brands Group, Inc. (a)		6,098		152,328
Einstein Noah Restaurant Group, Inc.		1,303		20,613
Empire Resorts, Inc. (a)		2,676		4,121
Entertainment Gaming Asia, Inc. (a)		7,758		1,746
Famous Dave’s of America, Inc. (a)		1,886		19,577
Full House Resorts, Inc. (a)		4,563		12,001
Gaming Partners International Corp.		1,400		8,680
Gaylord Entertainment Co. (a)		7,039		169,921
Great Wolf Resorts, Inc. (a)		7,564		21,936
Hawaiian Holdings, Inc. (a)		8,732		50,646
Hertz Global Holdings, Inc. (a)		38,908		456,002
HomeAway, Inc. (a)		596		13,857
Hyatt Hotels Corp. (a)		6,181		232,653
International Speedway Corp., Class A		4,504		114,176
Interval Leisure Group, Inc. (a)		6,803		92,589

Common Stocks	Shares		Value
Travel & Leisure (continued)
Isle of Capri Casinos, Inc. (a)		3,944	$	18,418
Jack in the Box, Inc. (a)		8,352		174,557
JetBlue Airways Corp. (a)(b)		40,878		212,566
Krispy Kreme Doughnuts, Inc. (a)		10,310		67,427
Las Vegas Sands Corp. (a)		65,767		2,810,224
Life Time Fitness, Inc. (a)		6,576		307,428
Live Nation Entertainment, Inc. (a)		25,846		214,780
Luby’s, Inc. (a)		4,339		19,569
Madison Square Garden, Inc. (a)		10,077		288,605
Marcus Corp.		3,289		41,474
Marriott Vacations Worldwide Corp. (a)		5,106		87,619
McCormick & Schmick’s Seafood Restaurants, Inc. (a)		2,870		25,084
MGM Resorts International (a)		53,894		562,114
Monarch Casino & Resort, Inc. (a)		1,900		19,361
Morgans Hotel Group Co. (a)		6,162		36,356
MTR Gaming Group, Inc. (a)		5,353		10,010
Multimedia Games Holding Co., Inc. (a)		4,325		34,340
O’Charleys, Inc. (a)(b)		3,371		18,507
Orbitz Worldwide, Inc. (a)		6,015		22,616
Orient Express Hotels Ltd., Class A (a)		15,263		114,015
P.F. Chang’s China Bistro, Inc.		3,774		116,654
Panera Bread Co., Class A (a)		5,047		713,898
Papa John’s International, Inc. (a)		3,532		133,086
Peet’s Coffee & Tea, Inc. (a)		2,289		143,475
Penn National Gaming, Inc. (a)		11,251		428,326
Pinnacle Airlines Corp. (a)		3,774		3,095
Pinnacle Entertainment, Inc. (a)		9,979		101,387
Premier Exhibitions, Inc. (a)		9,041		22,150
Reading International, Inc., Class A (a)		6,273		26,598
Red Lion Hotels Corp. (a)		3,525		24,428
Red Robin Gourmet Burgers, Inc. (a)		2,483		68,779
Regal Entertainment Group, Series A		13,615		162,563
Republic Airways Holdings, Inc. (a)		7,300		25,039
Rick’s Cabaret International, Inc. (a)		2,300		19,458
Royal Caribbean Cruises Ltd.		22,564		558,910
Ruby Tuesday, Inc. (a)		10,815		74,623
Ruth’s Hospitality Group, Inc. (a)		5,787		28,761
Scientific Games Corp., Class A (a)		11,614		112,656
Shuffle Master, Inc. (a)		9,147		107,203
Six Flags Entertainment Corp.		9,051		373,263
SkyWest, Inc.		7,905		99,524
Sonic Corp. (a)		10,729		72,206
Speedway Motorsports, Inc.		1,639		25,126
Spirit Airlines, Inc. (a)		2,194		34,226
Steiner Leisure Ltd. (a)		2,462		111,750
Texas Roadhouse, Inc., Class A		9,997		148,955
Town Sports International Holdings, Inc. (a)		3,387		24,894

See Notes to Financial Statements.

30 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (continued)	Master Extended Market Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Travel & Leisure (concluded)
Travelzoo, Inc. (a)(b)		1,210	$	29,742
United Continental Holdings, Inc. (a)		55,186		1,041,360
US Airways Group, Inc. (a)		26,821		135,982
Vail Resorts, Inc.		5,977		253,186
Vanguard Airlines, Inc.		200		—
Wendys		53,209		285,200
WMS Industries, Inc. (a)		9,430		193,504
World Wrestling Entertainment, Inc.		4,775		44,503
Zipcar, Inc. (a)(b)		2,858		38,354
				17,969,625
Total Common Stocks – 98.2%				431,784,807

Other Interests (e)	Beneficial Interest (000)
Chemicals — 0.0%
Eden Bioscience Liquidating Trust		—	(f)	380
Fixed Line Telecommunications — 0.0%
Primus Telecommunications Escrow (a)	$	29		—
General Retailers — 0.0%
J. Crew Group, Inc. Escrow (a)		10		—
Leisure Goods — 0.0%
H3 Enterprises, Inc. (a)		3		—
Pharmaceuticals & Biotechnology — 0.0%
Merck Contingent Value		3		—
Trubion Pharmaceuticals, Inc. (a)		3		—
Real Estate Investment Trusts (REITs) — 0.0%
LTC-Amerivest Liquidating Trust		4		—
Technology Hardware & Equipment — 0.0%
Gerber Scientific, Inc. (a)		4		45
Travel & Leisure — 0.0%
FRD Acquisition Co.		13		—
Total Other Interests – 0.0%				425

Warrants (g)	Shares		Value
Banks — 0.0%
Federal-Mogul Corp., Class A (Expires 12/27/14)		249	$	30
Energy Equipment & Services — 0.0%
Magnum Hunter Resources Corp. (Expires 10/14/13)		1,481		—
Total Warrants – 0.0%				30
Total Long-Term Investments (Cost – $388,513,441) – 98.2%				431,785,262

Short-Term Securities
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.07% (d)(h)	7,443,931	7,443,931

		Beneficial Interest (000)
BlackRock Liquidity Series, LLC Money Market Series, 0.22% (d)(h)(i)	$	21,009		21,009,135
Total Short-Term Securities (Cost – $28,453,066) – 6.5%				28,453,066
Total Investments (Cost — $416,966,507*) - 104.7%				460,238,328
Liabilities in Excess of Other Assets – (4.7)%				(20,486,429	)
Net Assets – 100.0%			$	439,751,899

* As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	421,875,789
Gross unrealized appreciation	$	95,927,281
Gross unrealized depreciation		(57,564,742	)
Net unrealized appreciation	$	38,362,539

(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.

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	31

Schedule of Investments (continued) Master Extended Market Index Series

(d) Investments in companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2010		Shares / Beneficial Interest Purchased			Shares / Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2011		Value at December 31, 2011		Realized Gain		Income
BlackRock, Inc.		14,594		504			(15,098	)		—		—	$	489,873	$	20,760
BlackRock Liquidity Funds, TempCash, Institutional Class		8,555,086		—			(1,111,155	)1		7,443,931	$	7,443,931		—	$	15,284
BlackRock Liquidity Funds, TempFund, Institutional Class		—		—			—			—		—		—	$	80
BlackRock Liquidity Series, LLC Money Market Series	$	9,000,044	$	12,009,091	2		—		$	21,009,135	$	21,009,135		—	$	256,851
PennyMac Mortgage Investment Trust		2,935		1,212			—			4,147	$	68,923		—	$	7,121

1	Represents net shares/beneficial interest sold.
2	Represents net shares/beneficial interest purchased.

(e)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(f)	Amount is less than $500.
(g)	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.
(h)	Represents the current yield as of report date.
(i)	Security was purchased with the cash collateral from loaned securities.
•	For Series compliance purposes, the Series’ industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
•	Financial futures contracts purchased as of December 31, 2011 were as follows:

Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
50	Russell 2000 E-Mini	ICE Futures US Indices	March 2012	$	3,694,000	$	11,589
43	S&P Mid 400 E-Mini	Chicago Mercantile	March 2012	$	3,772,390		(20,963	)
Total						$	(9,374	)

See Notes to Financial Statements.
32	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (concluded) Master Extended Market Index Series

•	Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:
	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities
	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Series’ perceived risk of investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of December 31, 2011 in determining the fair valuation of the Series’ investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Common Stocks:
Aerospace & Defense	$	6,133,871		—		—	$	6,133,871
Alternative Energy		479,487		—		—		479,487
Automobiles & Parts		7,424,267		—		—		7,424,267
Banks		21,693,849	$	40,538		—		21,734,387
Beverages		1,490,675		—		—		1,490,675
Chemicals		11,729,956		—		—		11,729,956
Construction & Materials		9,003,782		—		—		9,003,782
Electricity		9,235,229		—		—		9,235,229
Electronic & Electrical Equipment		14,118,405		—		—		14,118,405
Financial Services		12,043,102		—		—		12,043,102
Fixed Line Telecommunications		2,892,085		—		—		2,892,085
Food & Drug Retailers		2,991,638		—		—		2,991,638
Food Producers		9,072,837		—		—		9,072,837
Forestry & Paper		1,682,552		—		—		1,682,552
Gas, Water & Multi- Utilities		7,342,611		—		—		7,342,611
General Industrials		5,874,590		—		—		5,874,590

Valuation Inputs	Level 1		Level 2		Level 3		Total
General Retailers	$	22,252,351		—		—	$	22,252,351
Health Care Equipment & Services		22,999,415		—		—		22,999,415
Household Goods & Home Construction		8,886,100		—		—		8,886,100
Industrial Engineering		14,301,849		—		—		14,301,849
Industrial Metals & Mining		3,850,309		—		—		3,850,309
Industrial Transportation		7,771,779		—		—		7,771,779
Leisure Goods		3,204,071		—		—		3,204,071
Life Insurance		2,108,417		—		—		2,108,417
Media		14,254,328		—		—		14,254,328
Mining		4,359,989		—		—		4,359,989
Mobile Telecommunications		4,141,564		—		—		4,141,564
Nonlife Insurance		16,102,903		—		—		16,102,903
Oil & Gas Producers		16,521,860		—		—		16,521,860
Oil Equipment, Services & Distribution		11,642,193		—		—		11,642,193
Personal Goods		6,724,991		—		—		6,724,991
Pharmaceuticals & Biotechnology		21,126,314		—		—		21,126,314
Real Estate Investment & Services		2,391,282		—		—		2,391,282
Real Estate Investment Trusts (REITs)		37,263,437		—		—		37,263,437
Software & Computer Services		24,268,904		—	$	2		24,268,906
Support Services		18,623,838		—		—		18,623,838
Technology Hardware & Equipment		27,203,271		—		—		27,203,271
Tobacco		566,541		—		—		566,541
Travel & Leisure		17,969,625		—		—		17,969,625
Other Interests:
Chemicals		—		—		380		380
Technology Hardware & Equipment		—	$	45		—		45
Warrants:
Banks		30		—		—		30
Short-Term Securities		7,443,931		21,009,135		—		28,453,066
Total	$	439,188,228	$	21,049,718	$	382	$	460,238,328

Valuation Inputs		Level 1		Level 2	Level 3		Total
Derivative Financial Instruments1
Assets:
Equity contracts	$	11,589		—	—	$	11,589
Liabilities:
Equity contracts		(20,963	)	—	—		(20,963	)
Total	$	(9,374	)	—	—	$	(9,374	)

¹ Derivative financial instruments are financial futures contracts which are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 33

Statement of Assets and Liabilities Master Extended Market Index Series

December 31, 2011
Assets
Investments at value - unaffiliated (including securities loaned of $20,286,604) (cost — $388,435,019)	$	431,716,339
Investments at value - affiliated (cost — $28,531,488)		28,521,989
Dividends receivable		602,737
Contributions receivable from investors		234,742
Investments sold receivable		58,576
Securities lending income receivable — affiliated		50,998
Prepaid expenses		5,535
Total assets		461,190,916
Liabilities
Collateral on securities loaned at value		21,009,135
Investments purchased payable		303,637
Margin variation payable		30,078
Investment advisory fees payable		6,063
Other affiliates payable		1,158
Directors’ fees payable		442
Other accrued expenses payable		88,504
Total liabilities		21,439,017
Net Assets	$	439,751,899
Net Assets Consist of
Investors’ capital	$	396,489,452
Net unrealized appreciation/depreciation		43,262,447
Net Assets	$	439,751,899

See Notes to Financial Statements.

34 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Statement of Operations Master Extended Market Index Series

Year Ended December 31, 2011
Investment Income
Dividends - unaffiliated	$	6,059,840
Foreign taxes withheld		(49,135	)
Securities lending - affiliated		256,851
Dividends - affiliated		43,245
Total income		6,310,801
Expenses
Investment advisory		45,962
Accounting services		129,957
Custodian		89,202
Professional		81,408
Printing		15,369
Directors		13,961
Miscellaneous		10,878
Total expenses before fees paid indirectly		386,737
Less fees waived by advisor		(10,521	)
Less fees paid indirectly		(144	)
Total expenses after fees waived and paid indirectly		376,072
Net investment income		5,934,729
Realized and Unrealized Gain (Loss)
Net realized gain from:
Investments - unaffiliated		8,857,202
Investments affiliated		489,873
Financial futures contracts		463,113
		9,810,188
Net change in unrealized appreciation/depreciation on:
Investments		(33,930,517	)
Financial futures contracts		(29,295	)
		(33,959,812	)
Total realized and unrealized loss		(24,149,624	)
Net Decrease in Net Assets Resulting from Operations	$	(18,214,895	)

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 35

Statements of Changes in Net Assets Master Extended Market Index Series

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2011			2010
Operations
Net investment income	$	5,934,729		$	4,269,729
Net realized gain		9,810,188			8,479,744
Net change in unrealized appreciation/depreciation		(33,959,812	)		75,477,668
Net increase (decrease) in net assets resulting from operations		(18,214,895	)		88,227,141
Capital Transactions
Proceeds from contributions		136,757,866			141,770,813
Value of withdrawals		(116,216,791	)		(78,788,281	)
Net increase in net assets derived from capital transactions		20,541,075			62,982,532
Net Assets
Total increase in net assets		2,326,180			151,209,673
Beginning of year		437,425,719			286,216,046
End of year	$	439,751,899		$	437,425,719

See Notes to Financial Statements.

36 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Financial Highlights Master Extended Market Index Series

	Year Ended December 31,
	2011			2010			2009			2008			2007
Total Investment Return
Total investment return		(3.55	)%		28.65	%		37.08	%		(39.13	)%		5.22	%
Ratios to Average Net Assets
Total expenses		0.08	%		0.08	%		0.11	%		0.11	%		0.08	%
Total expenses after fees waived and paid indirectly		0.08	%		0.08	%		0.10	%		0.11	%		0.08	%
Net investment income		1.29	%		1.30	%		1.26	%		1.47	%		1.33	%
Supplemental Data
Net assets, end of year (000)	$	439,752		$	437,426		$	286,216		$	199,403		$	316,760
Portfolio turnover		12	%		15	%		20	%		33	%		33	%

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 37

Notes to Financial Statements Master Extended Market Index Series

1. Organization and Significant Accounting Policies:

Master Extended Market Index Series (the “Series”), a diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests in the Master LLC, subject to certain limitations. The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Series:

Valuation: US GAAP defines fair value as the price the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Series fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

The Series values its bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures.

The Series values its investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Series may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Series either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts), the Series will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Series is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Securities Lending: The Series may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Series earns dividend or interest income on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The

38 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements (continued) Master Extended Market Index Series

Series also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. During the year ended December 31, 2011, any securities on loan were collateralized by cash.

Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2011. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statement of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Series and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Series as unrealized appreciation or depreciation. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Derivative Financial Instruments Categorized by Risk Exposure:

Fair Values of Derivative Financial Instruments as of December 31, 2011
	Asset Derivatives
	Statement of Assets and Liabilities Location	Value
Equity contracts	Net unrealized appreciation*	$	11,589
	Liability Derivatives
	Statement of Assets and Liabilities Location	Value
Equity contracts	Net unrealized depreciation*	$	20,963

* Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 39

Notes to Financial Statements (continued) Master Extended Market Index Series

The Effect of Derivative Financial Instruments in the Statement of Operations
Year Ended December 31, 2011

	Net Realized Gain From
Equity contracts:
Financial futures contracts		$	463,113
	Net Change in Unrealized Appreciation/Depreciation on
Equity contracts:
Financial futures contracts		$	(29,295	)

For the year ended December 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:

Financial futures contracts:
Average number of contracts purchased		160
Average notional value of contracts purchased	$	13,445,578

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.

The Manager entered into a contractual arrangement with the Master LLC with respect to the Series under which the Manager will waive and/or reimburse its fees and/or expenses so that the total annual operating expenses incurred by the Series (excluding dividend expense, interest expense, acquired fund fees and certain other Series’ expenses) will not exceed 0.12% of the average daily value of the Series’ net assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Series’ investment in other affiliated investment companies, if any. This amount is shown as, or included in, fees waived by advisor in the Statement of Operations.

The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.

For the year ended December 31, 2011, the Series reimbursed the Manager $5,172 for certain accounting services, which is included in accounting services in the Statement of Operations.

The Master LLC, on behalf of the Series, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. As securities lending agent, BIM is responsible for all transaction fees and all other operational costs relating to securities lending activities, other than extraordinary expenses. BIM does not receive any fees for managing the cash collateral. The market value of securities on loan and the value of the related collateral, if applicable, are shown in the Statement of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Series retains 65% of securities lending income and pays a fee to BIM equal to 35% of such income. The share of income earned by the Series on such investments is shown as securities lending — affiliated in the Statement of Operations. For the year ended December 31, 2011, BIM received $112,809 in securities lending agent fees related to securities lending activities for the Series.

Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments excluding short-term securities for the year ended December 31, 2011, were $84,326,975 and $55,489,579, respectively.

5. Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2011. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. Effective November 2011, the credit agreement was renewed until November 2012 with the following terms: a commitment fee of 0.065% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2011. The Series did not borrow under the credit agreement during the year ended December 31, 2011.

40 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements (concluded) Master Extended Market Index Series

6. Concentration, Market and Credit Risk:

In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.

As of December 31, 2011, the Series invested a significant portion of its assets in securities in the financials sector. Changes in economic conditions affecting the financials sector would have a greater impact on the Series and could affect the value, income and/or liquidity of positions in such securities.

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 41

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Investors of Master Extended Market Index Series and Board of Directors of
Quantitative Master Series LLC:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Extended Market Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Extended Market Index Series, one of the portfolios constituting Quantitative Master Series LLC, as of December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
February 22, 2012

42 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Officers and Directors
Name, Address and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as a Director 2	Principal Occupation(s) During Past Five Years	Number of BlackRock – Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors 1
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chairman of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	33 RICs consisting of 107 Portfolios	None
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chairman of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. since 1987; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006; Director, Fox Chase Cancer Center from 2004 to 2010.	33 RICs consisting of 107 Portfolios	None
David O. Beim 55 East 52nd Street New York, NY 10055 1940	Director	Since 2007	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural	33 RICs consisting of 107 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 43

			center) from 1990 to 2006.
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 107 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005; Director, Cybersettle (dispute resolution technology) since 2009.	33 RICs consisting of 107 Portfolios	AIMS Worldwide, Inc. (marketing)

44 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, McLean Hospital since 2005; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 107 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Director, WQED MultiMedia (public broadcasting not-for-profit) since 2001; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 107 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 107 Portfolios	None
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of	33 RICs consisting of 107 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 45

			California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to	33 RICs consisting of 107 Portfolios	None

46 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

			2007.
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005. Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 107 Portfolios	None

1

Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved extensions in terms of Directors who turn 72 prior to December 31, 2013.

2

Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Master LLC’s board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 47

Interested Directors 3
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953	Director	Since 2011	Senior Managing Director, BlackRock, and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.	159 RICs consisting of 286 Portfolios	None
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Consultant, BlackRock, from 2007 to 2008; Managing Director, BlackRock, from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock	159 RICs consisting of 286 Portfolios	None

48 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

³ Mr. Audet is an “interested person”, as defined in the 1940 Act, of the Master LLC based on his position with BlackRock, and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directors of other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 49

Name, Address and Year of Birth	Position(s) Held with the Master LLC	Length of Time Served	Principal Occupation(s) During Past Five Years
Master LLC Officers 1
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock, since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of BlackRock Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

50 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer and Anti-Money Laundering Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Ira P. Shapiro 55 East 52nd Street New York, NY 10055 1963	Secretary	Since 2010	Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.

¹ Officers of the Master LLC serve at the pleasure of the Board.

Effective September 22, 2011, Richard S. Davis resigned as Director of the Corporation and the Master LLC, and Paul L. Audet became Director of the Corporation and the Master LLC.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 51

Additional Information

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809

Sub-Advisor
BlackRock Investment Management, LLC
Princeton, NJ 08540

Custodian
JPMorgan Chase Bank
Brooklyn, NY 11245

Accounting Agent
State Street Bank and Trust Company
Boston, MA 02110

Legal Counsel
Sidley Austin LLP
New York, NY 10019

Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116

Address of the Series
100 Bellevue Parkway
Wilmington, DE 19809

Availability of Quarterly Schedule of Investments

The Series files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Series’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Series uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Series voted proxies relating to securities held in the Series’ portfolio during the most recent 12-month period ended June 30 is available (1) at http://www.blackrock.com; and (2) on the SEC’s website at http://www.sec.gov.

52 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Master Mid Cap Index Series of Quantitative Master Series LLC

Annual Report, December 31, 2011

PORTFOLIO MANAGEMENT COMMENTARY

How did the Series perform?

• For the 12 months ended December 31, 2011, Master Mid Cap Index Series (the “Series”), a series of Quantitative Master Series LLC, returned (1.80)%, while the benchmark Standard & Poor’s (“S&P”) MidCap 400^® Index (the “Index”) returned (1.73)% for the same period. The Index is a market capitalization-weighted index composed of 400 common stocks issued by mid-capitalization companies in a wide range of industries.

• The return for the Series includes Series expenses. The Index has no expenses associated with performance.

Describe the market environment.

• Early in the year, stocks moved unevenly higher despite political upheaval spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters in Japan, resulting in global supply chain disruptions. But equity markets were remarkably resilient as the global economic recovery appeared to be on track and investors were gradually increasing their appetite for risk. After peaking in late April, equities were met with a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading in Europe. In the United States, a prolonged debt ceiling debate ultimately led to S&P’s decision to downgrade the US government’s credit rating in early August. This announcement spurred one of the most volatile periods in trading history. Stock markets across the world whipsawed on hopes and fears driven by news flow. Equities swooned as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.

• US stocks staged a strong rebound in October as the domestic labor market improved and corporate profits continued to beat analyst expectations. Encouraging news from Europe also contributed to the rally. After months of deliberation, European leaders agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan soon raised doubts among investors and thwarted the rally at the end of October. In November, political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. In the United States, bickering lawmakers failed to reach an agreement on reducing the US budget deficit, further undermining investors’ confidence in policymakers on both sides of the Atlantic. Market volatility softened in December with the support of global central bank actions and continued improvement in economic data.

• Mid cap stocks, as represented by the Index, declined 1.73% for the year. Stocks exhibiting more defensive characteristics outperformed the more cyclical areas of the market. The consumer staples (+22.16%) and utilities (+15.79%) sectors benefited from high market volatility and heightened uncertainty about economic growth. Information technology (“IT”) stocks
(-11.54%) led the index decline, followed by telecommunication services (-9.76%) and energy (-9.09%).

Describe recent portfolio activity.

• During the 12-month period, as changes were made to the composition of the Index, the Series purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index.

Describe portfolio positioning at period end.

• The Series remains positioned to match the risk characteristics of its benchmark index, irrespective of the market’s future direction.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 1

Portfolio Information as of December 31, 2011	Master Mid Cap Index Series
Sector Allocations		Percent of Long-Term Investments
Financials			18	%
Industrials			17
IT			15
Consumer Discretionary			13
Health Care			10
Energy			9
Materials			7
Utilities			6
Consumer Staples			4
Telecommunication Services			1

For Series compliance purposes, the Series’ sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

Derivative Financial Instruments

The Series may invest in various derivative financial instruments, including financial futures contracts, as specified in Note 2 of the Notes to Financial Statements, which constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or equity risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Series’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio securities at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment or may cause the Series to hold an investment that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

2 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments December 31, 2011	Master Mid Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Aerospace & Defense — 1.3%
Alliant Techsystems, Inc.		2,866	$	163,820
BE Aerospace, Inc. (a)		8,969		347,190
Esterline Technologies Corp. (a)		2,663		149,048
Exelis, Inc.		16,053		145,280
Huntington Ingalls Industries, Inc. (a)		4,245		132,784
Triumph Group, Inc.		3,755		219,480
				1,157,602
Air Freight & Logistics — 0.1%
UTI Worldwide, Inc.		8,941		118,826
Airlines — 0.4%
Alaska Air Group, Inc. (a)		3,089		231,953
JetBlue Airways Corp. (a)(b)		17,775		92,430
				324,383
Auto Components — 0.4%
Gentex Corp.		12,476		369,165
Automobiles — 0.1%
Thor Industries, Inc.		3,816		104,673
Beverages — 0.7%
Monster Beverage Corp. (a)		6,587		606,926
Biotechnology — 1.3%
Regeneron Pharmaceuticals, Inc. (a)		6,601		365,893
United Therapeutics Corp. (a)		4,515		213,334
Vertex Pharmaceuticals, Inc. (a)		18,135		602,263
				1,181,490
Building Products — 0.4%
Fortune Brands Home & Security, Inc. (a)		13,531		230,433
Lennox International, Inc.		4,485		151,369
				381,802
Capital Markets — 2.0%
Affiliated Managers Group, Inc. (a)		4,632		444,440
Apollo Investment Corp.		17,139		110,375
Eaton Vance Corp.		9,985		236,045
Greenhill & Co., Inc.		2,515		91,471
Janus Capital Group, Inc.		16,231		102,418
Jefferies Group, Inc.		12,680		174,350
Raymond James Financial, Inc.		8,876		274,801
SEI Investments Co.		12,749		221,195
Waddell & Reed Financial, Inc., Class A		7,419		183,769
				1,838,864
Chemicals — 2.8%
Albemarle Corp.		7,718		397,554
Ashland, Inc.		6,792		388,231
Cabot Corp.		5,558		178,634
Cytec Industries, Inc.		4,312		192,531
Intrepid Potash, Inc. (a)		4,579		103,623
Minerals Technologies, Inc.		1,536		86,830

Common Stocks	Shares		Value
Chemicals (concluded)
NewMarket Corp.		921	$	182,459
Olin Corp.		6,972		137,000
RPM International, Inc.		11,395		279,747
The Scotts Miracle-Gro Co.		3,764		175,741
Sensient Technologies Corp.		4,356		165,093
Valspar Corp.		8,127		316,709
				2,604,152
Commercial Banks — 3.8%
Associated Banc-Corp		15,090		168,555
BancorpSouth, Inc.		6,283		69,239
Bank of Hawaii Corp.		4,040		179,740
Cathay General Bancorp		6,841		102,136
City National Corp.		4,071		179,857
Commerce Bancshares, Inc.		6,883		262,380
Cullen/Frost Bankers, Inc.		5,326		281,799
East-West Bancorp, Inc.		12,962		256,000
FirstMerit Corp.		9,502		143,765
Fulton Financial Corp.		17,395		170,645
Hancock Holding Co.		7,366		235,491
International Bancshares Corp.		4,621		84,726
Prosperity Bancshares, Inc.		4,078		164,547
Signature Bank (a)		4,015		240,860
SVB Financial Group (a)		3,769		179,744
Synovus Financial Corp.		63,184		89,089
TCF Financial Corp.		13,713		141,518
Trustmark Corp.		5,577		135,465
Valley National Bancorp		16,634		205,763
Webster Financial Corp.		6,393		130,353
Westamerica Bancorp.		2,477		108,740
				3,530,412
Commercial Services & Supplies — 1.7%
The Brink’s Co.		4,073		109,482
Clean Harbors, Inc. (a)		4,107		261,739
Copart, Inc. (a)(b)		4,639		222,162
Corrections Corp. of America (a)		8,654		176,282
Deluxe Corp.		4,420		100,599
Herman Miller, Inc.		5,065		93,449
HNI Corp.		3,899		101,764
Mine Safety Appliances Co.		2,677		88,662
Rollins, Inc.		5,599		124,410
Waste Connections, Inc.		9,728		322,386
				1,600,935
Communications Equipment — 1.2%
Adtran, Inc.		5,536		166,966
Ciena Corp. (a)		8,427		101,966
Plantronics, Inc.		3,784		134,862
Polycom, Inc. (a)		15,404		251,085
Riverbed Technology, Inc. (a)		13,480		316,780
Tellabs, Inc.		31,849		128,670
				1,100,329
Computers & Peripherals — 0.6%
Diebold, Inc.		5,448		163,821
NCR Corp. (a)		13,688		225,305

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 3

Schedule of Investments (continued)	Master Mid Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Computers & Peripherals (concluded)
QLogic Corp. (a)		8,752	$	131,280
				520,406
Construction & Engineering — 1.1%
Aecom Technology Corp. (a)		10,032		206,358
Granite Construction, Inc.		3,011		71,421
KBR, Inc.		12,944		360,749
Shaw Group, Inc. (a)		5,666		152,416
URS Corp. (a)		6,924		243,171
				1,034,115
Construction Materials — 0.3%
Martin Marietta Materials, Inc.		3,974		299,679
Containers & Packaging — 1.9%
AptarGroup, Inc.		5,745		299,717
Greif, Inc.		2,676		121,892
Packaging Corp. of America		8,502		214,591
Rock-Tenn Co., Class A		6,132		353,816
Silgan Holdings, Inc.		4,310		166,538
Sonoco Products Co.		8,694		286,554
Temple-Inland, Inc.		9,534		302,323
				1,745,431
Distributors — 0.4%
LKQ Corp. (a)		12,746		383,400
Diversified Consumer Services — 0.8%
ITT Educational Services, Inc. (a)(b)		1,739		98,932
Matthews International Corp., Class A		2,471		77,663
Regis Corp.		5,012		82,949
Service Corp. International		19,828		211,168
Sotheby’s		5,875		167,614
Strayer Education, Inc.		1,011		98,259
				736,585
Diversified Financial Services — 0.4%
MSCI, Inc. (a)		10,484		345,238
Diversified Telecommunication Services — 0.3%
TW Telecom, Inc. (a)		12,989		251,727
Electric Utilities — 1.7%
Cleco Corp.		5,276		201,016
Great Plains Energy, Inc.		11,800		257,004
Hawaiian Electric Industries, Inc.		8,346		221,002
IDACORP, Inc.		4,328		183,550
NV Energy, Inc.		20,522		335,535
PNM Resources, Inc.		6,928		126,297
Westar Energy, Inc.		10,190		293,268
				1,617,672
Electrical Equipment — 2.0%
Acuity Brands, Inc.		3,658		193,874
Ametek, Inc.		13,921		586,074
General Cable Corp. (a)		4,539		113,520
Hubbell, Inc., Class B		5,125		342,657
Regal-Beloit Corp.		3,611		184,053
Thomas & Betts Corp. (a)		4,526		247,120

Common Stocks	Shares		Value
Electrical Equipment (concluded)
Woodward, Inc.		5,213	$	213,368
				1,880,666
Electronic Equipment, Instruments & Components — 2.3%
Arrow Electronics, Inc. (a)		9,716		363,476
Avnet, Inc. (a)		12,902		401,123
Ingram Micro, Inc., Class A (a)		13,340		242,655
Itron, Inc. (a)		3,543		126,733
National Instruments Corp.		8,062		209,209
Tech Data Corp. (a)		3,589		177,332
Trimble Navigation Ltd. (a)		10,722		465,335
Vishay Intertechnology, Inc. (a)		13,671		122,902
				2,108,765
Energy Equipment & Services — 2.9%
Atwood Oceanics, Inc. (a)		4,915		195,568
CARBO Ceramics, Inc.		1,728		213,114
Dresser-Rand Group, Inc. (a)		6,543		326,561
Dril-Quip, Inc. (a)(b)		2,997		197,263
Helix Energy Solutions Group, Inc. (a)		9,173		144,933
Oceaneering International, Inc.		9,394		433,345
Oil States International, Inc. (a)		4,455		340,228
Patterson-UTI Energy, Inc.		13,421		268,152
Superior Energy Services, Inc. (a)		6,945		197,516
Tidewater, Inc.		4,513		222,491
Unit Corp. (a)		3,601		167,086
				2,706,257
Food & Staples Retailing — 0.2%
Ruddick Corp.		4,286		182,755
Food Products — 2.1%
Corn Products International, Inc.		6,590		346,568
Flowers Foods, Inc.		9,815		186,289
Green Mountain Coffee Roasters, Inc. (a)(b)		11,294		506,536
Lancaster Colony Corp.		1,731		120,027
Ralcorp Holdings, Inc. (a)		4,794		409,887
Smithfield Foods, Inc. (a)		14,203		344,849
Tootsie Roll Industries, Inc.		2,127		50,346
				1,964,502
Gas Utilities — 1.9%
Atmos Energy Corp.		7,858		262,064
Energen Corp.		6,269		313,450
National Fuel Gas Co.		7,204		400,399
Questar Corp.		15,443		306,698
UGI Corp.		10,040		295,176
WGL Holdings, Inc.		4,473		197,796
				1,775,583
Health Care Equipment & Supplies — 2.6%
The Cooper Cos., Inc.		4,151		292,728
Gen-Probe, Inc. (a)		4,045		239,140
Hill-Rom Holdings, Inc.		5,367		180,814
Hologic, Inc. (a)		22,880		400,629
Idexx Laboratories, Inc. (a)		4,883		375,796

See Notes to Financial Statements.

4 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (continued)	Master Mid Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Health Care Equipment & Supplies (concluded)
Masimo Corp. (a)		5,220	$	97,536
ResMed, Inc. (a)		12,791		324,891
Steris Corp.		5,041		150,323
Teleflex, Inc.		3,541		217,028
Thoratec Corp. (a)		5,212		174,915
				2,453,800
Health Care Providers & Services — 3.8%
AMERIGROUP Corp. (a)		4,160		245,773
Catalyst Health Solutions, Inc. (a)		4,350		226,200
Community Health Systems, Inc. (a)		7,878		137,471
Health Management Associates, Inc., Class A (a)		22,100		162,877
Health Net, Inc. (a)		7,215		219,480
Henry Schein, Inc. (a)		7,857		506,226
HMS Holdings Corp. (a)		7,397		236,556
LifePoint Hospitals, Inc. (a)		4,188		155,584
Lincare Holdings, Inc.		7,701		197,993
Mednax, Inc. (a)(b)		4,253		306,259
Omnicare, Inc.		9,943		342,536
Owens & Minor, Inc.		5,516		153,290
Universal Health Services, Inc., Class B		8,395		326,230
VCA Antech, Inc. (a)		7,541		148,935
WellCare Health Plans, Inc. (a)		3,722		195,405
				3,560,815
Health Care Technology — 0.3%
Allscripts Healthcare Solutions, Inc. (a)		16,485		312,226
Hotels, Restaurants & Leisure — 1.6%
Bally Technologies, Inc. (a)(b)		3,770		149,141
Bob Evans Farms, Inc.		2,559		85,829
Brinker International, Inc.		7,000		187,320
The Cheesecake Factory, Inc. (a)		4,748		139,354
International Speedway Corp., Class A		2,441		61,879
Life Time Fitness, Inc. (a)(b)		3,682		172,134
Panera Bread Co., Class A (a)		2,578		364,658
Scientific Games Corp., Class A (a)		4,961		48,122
The Wendy’s Co.		25,723		137,875
WMS Industries, Inc. (a)		4,848		99,481
				1,445,793
Household Durables — 1.4%
American Greetings Corp., Class A		3,394		42,459
KB Home		6,430		43,210
MDC Holdings, Inc.		3,226		56,874
Mohawk Industries, Inc. (a)(b)		4,963		297,036
NVR, Inc. (a)		433		297,038
Toll Brothers, Inc. (a)(b)		12,790		261,172
Tupperware Corp.		4,988		279,178
				1,276,967
Household Products — 1.1%
Church & Dwight Co., Inc.		12,439		569,208

Common Stocks	Shares		Value
Household Products (concluded)
Energizer Holdings, Inc. (a)		5,818	$	450,779
				1,019,987
Industrial Conglomerates — 0.3%
Carlisle Cos., Inc.		5,307		235,100
Insurance — 4.2%
American Financial Group, Inc.		6,697		247,052
Arthur J. Gallagher & Co.		9,846		329,250
Aspen Insurance Holdings Ltd.		6,140		162,710
Brown & Brown, Inc.		10,100		228,563
Everest Re Group Ltd.		4,670		392,700
Fidelity National Financial, Inc., Class A		19,059		303,610
First American Financial Corp.		9,172		116,209
The Hanover Insurance Group, Inc.		3,903		136,410
HCC Insurance Holdings, Inc.		9,886		271,865
Kemper Corp.		4,365		127,502
Mercury General Corp.		3,136		143,064
Old Republic International Corp.		22,222		205,998
Protective Life Corp.		7,202		162,477
Reinsurance Group of America, Inc.		6,371		332,885
Stancorp Financial Group, Inc.		3,843		141,230
Transatlantic Holdings, Inc.		4,995		273,377
W.R. Berkley Corp.		9,657		332,104
				3,907,006
Internet & Catalog Retail — 0.1%
HSN, Inc.		3,493		126,656
Internet Software & Services — 1.2%
AOL, Inc. (a)		8,467		127,852
Equinix, Inc. (a)		4,123		418,072
Monster Worldwide, Inc. (a)(b)		11,205		88,856
Rackspace Hosting, Inc. (a)		9,004		387,262
ValueClick, Inc. (a)		7,183		117,011
				1,139,053
IT Services — 2.7%
Acxiom Corp. (a)		6,882		84,029
Alliance Data Systems Corp. (a)		4,345		451,185
Broadridge Financial Solutions LLC		10,793		243,382
Convergys Corp. (a)		10,451		133,459
CoreLogic, Inc. (a)		9,263		119,770
DST Systems, Inc.		2,913		132,600
Gartner, Inc. (a)		8,252		286,922
Global Payments, Inc.		6,810		322,658
Lender Processing Services, Inc.		7,340		110,614
Mantech International Corp., Class A		1,999		62,449
NeuStar, Inc., Class A (a)		5,686		194,291
VeriFone Systems, Inc. (a)		9,153		325,114
				2,466,473
Leisure Equipment & Products — 0.4%
Polaris Industries, Inc.		6,003		336,048

See Notes to Financial Statements.
	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011	5

Schedule of Investments (continued)	Master Mid Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Life Sciences Tools & Services — 1.2%
Bio-Rad Laboratories, Inc., Class A (a)		1,712	$	164,420
Charles River Laboratories International, Inc. (a)		4,300		117,519
Covance, Inc. (a)		5,284		241,585
Mettler-Toledo International, Inc. (a)		2,747		405,759
Techne Corp.		3,218		219,661
				1,148,944
Machinery — 5.3%
AGCO Corp. (a)		8,451		363,140
Clarcor, Inc.		4,368		218,356
Crane Co.		4,249		198,471
Donaldson Co., Inc.		6,480		441,158
Gardner Denver, Inc.		4,399		338,987
Graco, Inc.		5,191		212,260
Harsco Corp.		7,020		144,472
IDEX Corp.		7,256		269,270
ITT Corp.		8,067		155,935
Kennametal, Inc.		6,910		252,353
Lincoln Electric Holdings, Inc.		7,287		285,068
Nordson Corp.		5,185		213,518
Oshkosh Corp. (a)		7,951		169,992
Pentair, Inc.		8,571		285,329
SPX Corp.		4,437		267,418
Terex Corp. (a)		9,542		128,912
Timken Co.		7,303		282,699
Trinity Industries, Inc.		6,969		209,488
Valmont Industries, Inc.		1,955		177,495
Westinghouse Air Brake Technologies Corp.		4,172		291,831
				4,906,152
Marine — 0.5%
Alexander & Baldwin, Inc.		3,626		148,013
Kirby Corp. (a)		4,841		318,732
				466,745
Media — 1.0%
AMC Networks, Inc. (a)		5,000		187,900
DreamWorks Animation SKG, Inc., Class A (a)		6,177		102,507
John Wiley & Sons, Inc., Class A		4,131		183,416
Lamar Advertising Co., Class A (a)		5,094		140,085
Meredith Corp.		3,246		105,982
The New York Times Co., Class A (a)(b)		10,497		81,142
Scholastic Corp.		2,183		65,425
Valassis Communications, Inc. (a)		3,873		74,478
				940,935
Metals & Mining — 1.3%
Carpenter Technology Corp.		3,842		197,786
Commercial Metals Co.		10,049		138,978
Compass Minerals International, Inc.		2,863		197,117
Reliance Steel & Aluminum Co.		6,520		317,459

Common Stocks		Shares		Value
Metals & Mining (concluded)
Steel Dynamics, Inc.			19,018	$	250,087
Worthington Industries, Inc.			4,667		76,445
					1,177,872
Multi-Utilities — 2.2%
Alliant Energy Corp.			9,651		425,706
Black Hills Corp.			3,433		115,280
MDU Resources Group, Inc.			16,417		352,309
NSTAR			9,007		422,969
OGE Energy Corp.			8,527		483,566
Vectren Corp.			7,118		215,177
	��				2,015,007
Multiline Retail — 0.2%
99 Cents Only Stores (a)			4,115		90,324
Saks, Inc. (a)			13,906		135,584
					225,908
Office Electronics — 0.2%
Zebra Technologies Corp., Class A (a)			4,519		161,690
Oil, Gas & Consumable Fuels — 3.6%
Arch Coal, Inc.			18,403		267,028
Bill Barrett Corp. (a)			4,073		138,767
Cimarex Energy Co.			7,456		461,527
Comstock Resources, Inc. (a)			4,111		62,898
Forest Oil Corp. (a)(b)			9,728		131,814
HollyFrontier Corp.			18,091		423,329
Northern Oil and Gas, Inc. (a)(b)			5,494		131,746
Patriot Coal Corp. (a)			7,885		66,786
Plains Exploration & Production Co. (a)			12,261		450,224
Quicksilver Resources, Inc. (a)			10,378		69,636
SM Energy Co.			5,565		406,802
Southern Union Co.			10,847		456,767
World Fuel Services Corp.			6,187		259,730
					3,327,054
Paper & Forest Products — 0.4%
Domtar Corp.			3,169		253,393
Louisiana-Pacific Corp. (a)(b)			11,854		95,662
					349,055
Pharmaceuticals — 0.6%
Endo Pharmaceuticals Holdings, Inc. (a)			10,160		350,825
Medicis Pharmaceutical Corp., Class A			5,487		182,443
					533,268
Professional Services — 0.9%
Corporate Executive Board Co.			2,896		110,338
FTI Consulting, Inc. (a)			3,563		151,142
Korn/Ferry International (a)			4,129		70,441
Manpower, Inc.			7,095		253,646
Towers Watson & Co.			4,481		268,546
					854,113

See Notes to Financial Statements.
6	QUANTITATIVE MASTER SERIES LLC	DECEMBER 31, 2011

Schedule of Investments (continued)	Master Mid Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) — 8.7%
Alexandria Real Estate Equities, Inc.		5,387	$	371,541
American Campus Communities, Inc.		6,162		258,557
BRE Properties		6,549		330,593
Camden Property Trust		6,205		386,199
Corporate Office Properties Trust		6,261		133,109
Duke Realty Corp.		21,994		265,028
Equity One, Inc.		5,185		88,041
Essex Property Trust, Inc.		2,968		417,034
Federal Realty Investment Trust		5,521		501,031
Highwoods Properties, Inc.		6,271		186,061
Home Properties, Inc.		4,197		241,621
Hospitality Properties Trust		10,742		246,851
Liberty Property Trust		10,091		311,610
The Macerich Co.		11,473		580,534
Mack-Cali Realty Corp.		7,578		202,257
National Retail Properties, Inc.		8,992		237,209
Omega Healthcare Investors, Inc.		8,972		173,608
Potlatch Corp.		3,496		108,761
Rayonier, Inc.		10,511		469,106
Realty Income Corp. (b)		11,583		404,942
Regency Centers Corp.		7,819		294,151
Senior Housing Properties Trust		14,144		317,391
SL Green Realty Corp.		7,491		499,200
Taubman Centers, Inc.		5,036		312,736
UDR, Inc.		19,047		478,080
Weingarten Realty Investors		10,509		229,306
				8,044,557
Real Estate Management & Development — 0.3%
Jones Lang LaSalle, Inc.		3,780		231,563
Road & Rail — 1.5%
Con-way, Inc.		4,835		140,989
J.B. Hunt Transport Services, Inc.		7,816		352,267
Kansas City Southern (a)(b)		9,551		649,563
Landstar System, Inc.		4,079		195,466
Werner Enterprises, Inc.		3,865		93,146
				1,431,431
Semiconductors & Semiconductor Equipment — 2.6%
Atmel Corp. (a)(b)		40,227		325,839
Cree, Inc. (a)		10,035		221,171
Cypress Semiconductor Corp. (a)		13,468		227,474
Fairchild Semiconductor International, Inc. (a)		10,996		132,392
Integrated Device Technology, Inc. (a)		12,350		67,431
International Rectifier Corp. (a)		6,006		116,637
Intersil Corp., Class A		10,996		114,798
Lam Research Corp. (a)		10,396		384,860
MEMC Electronic Materials, Inc. (a)		19,989		78,757
RF Micro Devices, Inc. (a)		24,176		130,550
Semtech Corp. (a)		5,765		143,087
Silicon Laboratories, Inc. (a)		3,640		158,049

Common Stocks	Shares		Value
Semiconductors & Semiconductor Equipment (concluded)
Skyworks Solutions, Inc. (a)		16,339	$	265,019
				2,366,064
Software — 4.5%
ACI Worldwide, Inc. (a)		2,911		83,371
Advent Software, Inc. (a)		2,782		67,770
Ansys, Inc. (a)		8,033		460,130
Cadence Design Systems, Inc. (a)		23,683		246,303
Compuware Corp. (a)		19,404		161,441
Concur Technologies, Inc. (a)		4,045		205,446
Factset Research Systems, Inc.		3,927		342,749
Fair Isaac Corp.		3,105		111,283
Informatica Corp. (a)		9,248		341,529
Jack Henry & Associates, Inc.		7,529		253,050
Mentor Graphics Corp. (a)		8,117		110,067
Micros Systems, Inc. (a)		6,968		324,569
Parametric Technology Corp. (a)		10,162		185,558
Quest Software, Inc. (a)		4,915		91,419
Rovi Corp. (a)		9,566		235,132
Solera Holdings, Inc.		6,166		274,634
Synopsys, Inc. (a)		12,462		338,966
TIBCO Software, Inc. (a)		14,019		335,194
				4,168,611
Specialty Retail — 4.6%
Aaron Rents, Inc., Class A		6,568		175,234
Advance Auto Parts, Inc.		6,300		438,669
Aéropostale, Inc. (a)		7,024		107,116
American Eagle Outfitters, Inc.		16,849		257,621
ANN, Inc. (a)(b)		4,555		112,873
Ascena Retail Group, Inc. (a)		5,850		173,862
Barnes & Noble, Inc. (b)		3,502		50,709
Chico’s FAS, Inc.		14,584		162,466
Collective Brands, Inc. (a)		5,251		75,457
Dick’s Sporting Goods, Inc.		8,398		309,718
Foot Locker, Inc.		13,301		317,096
Guess?, Inc.		5,810		173,254
Office Depot, Inc. (a)		24,034		51,673
PetSmart, Inc.		9,706		497,821
RadioShack Corp.		8,671		84,196
Rent-A-Center, Inc.		5,110		189,070
Signet Jewelers Ltd.		7,557		332,206
Tractor Supply Co.		6,176		433,246
Williams-Sonoma, Inc.		9,016		347,116
				4,289,403
Textiles, Apparel & Luxury Goods — 1.7%
Deckers Outdoor Corp. (a)		3,357		253,689
Fossil, Inc. (a)(b)		4,572		362,834
Hanesbrands, Inc. (a)		8,451		184,739
PVH Corp.		5,874		414,058
Under Armour, Inc., Class A (a)		3,193		229,225
The Warnaco Group, Inc. (a)		3,521		176,191
				1,620,736
Thrifts & Mortgage Finance — 1.0%
Astoria Financial Corp.		7,222		61,315

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 7

Schedule of Investments (continued)	Master Mid Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Thrifts & Mortgage Finance (concluded)
First Niagara Financial Group, Inc.		30,248	$	261,040
New York Community Bancorp, Inc. (c)		38,034		470,481
Washington Federal, Inc.		9,360		130,946
				923,782
Tobacco — 0.1%
Universal Corp.		2,021		92,885
Trading Companies & Distributors — 0.8%
GATX Corp.		4,053		176,954
MSC Industrial Direct Co., Class A		3,984		285,055
United Rentals, Inc. (a)		5,449		161,018
Watsco, Inc.		2,469		162,115
				785,142
Water Utilities — 0.3%
Aqua America, Inc.		12,050		265,702
Wireless Telecommunication Services — 0.2%
Telephone & Data Systems, Inc.		7,459		193,113
Telephone & Data Systems, Inc., Special Shares		543		12,929
				206,042
Total Common Stocks – 98.5%				91,284,925

Other Interests	Beneficial Interest (000)
Specialty Retail — 0.0%
J. Crew Group, Inc. Escrow (a)	$	6	—
Total Other Interests – 0.0%			—
Total Long-Term Investments (Cost – $64,200,392) – 98.5%			91,284,925

Short-Term Securities	Shares
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.07% (d)(e)		1,325,596	1,325,596

	Beneficial Interest (000)		Value
BlackRock Liquidity Series, LLC Money Market Series, 0.22% (d)(e)(f)	$	3,402	$	3,402,182
Total Short-Term Securities (Cost – $4,727,778) – 5.1%				4,727,778
Total Investments (Cost – $68,928,170*) – 103.6%				96,012,703
Liabilities in Excess of Other Assets – (3.6)%				(3,296,245	)
Net Assets – 100.0%			$	92,716,458

* As of December 31, 2011, the gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

Tax cost	$	71,155,483
Gross unrealized appreciation	$	27,539,183
Gross unrealized depreciation		(2,681,963	)
Net unrealized appreciation	$	24,857,220

(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 companies considered to be an affiliate of the Series during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2010		Net Activity			Shares/ Beneficial Interest Held at December 31, 2011		Income
BlackRock Liquidity Funds, TempCash, Institutional Class		1,435,699		(110,103	)		1,325,596	$	3,885
BlackRock Liquidity Series, LLC Money Market Series	$	1,457,388	$	1,944,794		$	3,402,182	$	10,571

(e)	Represents the current yield as of report date.
(f)	Security was purchased with the cash collateral from loaned securities.
•	For Series compliance purposes, the Series’ industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

See Notes to Financial Statements.

8 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Schedule of Investments (concluded) Master Mid Cap Index Series

• Financial futures contracts purchased as of December 31, 2011 were as follows:

Contracts	Issue		Exchange		Expiration		Notional Value		Unrealized Appreciation
15		S&P Mid 400 E-Mini		Chicago Mercantile		March 2012	$	1,315,950	$	8,290

•	Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:
	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities
	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Series’ perceived risk of investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of December 31, 2011 in determining the fair valuation of the Series’ investments and derivative financial instruments:

Valuation Inputs	Level 1		Level 2		Level 3			Total
Assets:
Investments:
Long-Term Investments1	$	91,284,925		—		—	$	91,284,925
Short-Term Securities		1,325,596	$	3,402,182		—		4,727,778
Total	$	92,610,521	$	3,402,182		—	$	96,012,703
1          See above Schedule of Investments for values in each industry.

Valuation Inputs	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments2
Assets:
Equity Contracts	$	8,290		—		—	$	8,290

² Derivative financial instruments are financial futures contracts which are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 9

Statement of Assets and Liabilities Master Mid Cap Index Series

December 31, 2011
Assets
Investments at value - unaffiliated (including securities loaned of $3,284,967) (cost — $64,200,392)	$	91,284,925
Investments at value - affiliated (cost — $4,727,778)		4,727,778
Cash		775
Investments sold receivable		2,085,825
Dividends receivable		95,979
Securities lending income receivable — affiliated		1,337
Prepaid expenses		9,462
Total assets		98,206,081
Liabilities
Collateral on securities loaned at value		3,402,182
Withdrawals payable to investors		1,857,232
Investments purchased payable		180,075
Margin variation payable		6,084
Investment advisory fees payable		570
Other affiliates payable		273
Directors’ fees payable		227
Other accrued expenses payable		42,980
Total liabilities		5,489,623
Net Assets	$	92,716,458
Net Assets Consist of
Investors’ capital	$	65,623,635
Net unrealized appreciation/depreciation		27,092,823
Net Assets	$	92,716,458

See Notes to Financial Statements.

10 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Statement of Operations Master Mid Cap Index Series

Year Ended December 31, 2011
Investment Income
Dividends - unaffiliated	$	1,339,775
Securities lending - affiliated		10,571
Dividends - affiliated		3,885
Total income		1,354,231
Expenses
Investment advisory		10,407
Professional		61,077
Custodian		48,108
Accounting services		43,401
Registration		10,000
Printing		6,364
Directors		5,594
Miscellaneous		6,548
Total expenses		191,499
Less fees waived by advisor		(2,571	)
Total expenses after fees waived		188,928
Net investment income		1,165,303
Realized and Unrealized Gain (Loss)
Net realized gain from:
Investments		3,510,493
Financial futures contracts		319,370
		3,829,863
Net change in unrealized appreciation/depreciation on:
Investments		(7,447,411	)
Financial futures contracts		(3,344	)
		(7,450,755	)
Total realized and unrealized loss		(3,620,892	)
Net Decrease in Net Assets Resulting from Operations	$	(2,455,589	)

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 11

Statements of Changes in Net Assets Master Mid Cap Index Series

	Year Ended December 31,
Increase (Decrease) in Net Assets:	2011			2010
Operations
Net investment income	$	1,165,303		$	1,011,202
Net realized gain		3,829,863			5,403,790
Net change in unrealized appreciation/depreciation		(7,450,755	)		14,161,872
Net increase (decrease) in net assets resulting from operations		(2,455,589	)		20,576,864
Capital Transactions
Proceeds from contributions		55,155,094			41,742,542
Value of withdrawals		(51,125,651	)		(45,804,867	)
Net increase (decrease) in net assets derived from capital transactions		4,029,443			(4,062,325	)
Net Assets
Total increase in net assets		1,573,854			16,514,539
Beginning of year		91,142,604			74,628,065
End of year	$	92,716,458		$	91,142,604

See Notes to Financial Statements.

12 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Financial Highlights Master Mid Cap Index Series

	Year Ended December 31,
	2011			2010			2009			2008			2007
Total Investment Return
Total investment return		(1.80	)%		26.30	%		37.13	%		(36.25	)%		7.98	%
Ratios to Average Net Assets
Total expenses		0.18	%		0.16	%		0.14	%		0.14	%		0.10	%
Total expenses after fees waived and paid indirectly		0.18	%		0.15	%		0.13	%		0.14	%		0.10	%
Net investment income		1.12	%		1.14	%		1.36	%		1.70	%		1.49	%
Supplemental Data
Net assets, end of year (000)	$	92,716		$	91,143		$	74,628		$	104,609		$	167,746
Portfolio turnover		43	%		32	%		31	%		33	%		23	%

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 13

Notes to Financial Statements Master Mid Cap Index Series

1. Organization and Significant Accounting Policies:

Master Mid Cap Index Series (the “Series”), a diversified, open-end management investment company, is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests in the Master LLC, subject to certain limitations. The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Series:

Valuation: US GAAP defines fair value as the price the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Series fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

The Series values its investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Series may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Series either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts), the Series will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Securities Lending: The Series may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Series and any additional required collateral is delivered to the Series on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Series earns dividend or interest income on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Series could experience delays and costs in gaining access to the collateral. The Series also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. During the year ended December 31, 2011, any securities on loan were collateralized by cash.

Income Taxes: The Series is classified as a partnership for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required.

14 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Notes to Financial Statements (continued) Master Mid Cap Index Series

The Series files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2011. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statement of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Series’ financial statement disclosures.

Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Series has an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Series engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and to economically hedge, or protect, its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Financial Futures Contracts: The Series purchases or sells financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Series and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Series as unrealized appreciation or depreciation. When the contract is closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of December 31, 2011
	Asset Derivatives
	Statement of Assets and Liabilities Location		Value
Equity contracts		Net unrealized appreciation*	$	8,290

* Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.

The Effect of Derivative Financial Instruments in the Statement of Operations Year Ended December 31, 2011
	Net Realized Gain From
Equity contracts:
Financial futures contracts	$	319,370
	Net Change in Unrealized Appreciation/Depreciation on
Equity contracts:
Financial futures contracts	$	(3,344	)
For the year ended December 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:
Financial futures contracts:
Average number of contracts purchased		27
Average notional value of contracts purchased	$	2,289,015

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolio and provides the necessary personnel, facilities, equipment and certain

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 15

Notes to Financial Statements (concluded) Master Mid Cap Index Series

other services necessary to the operations of the Series. For such services, the Series pays the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Series’ investment in other affiliated investment companies, if any. This amount is shown as fees waived by advisor in the Statement of Operations.

The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.

For the year ended December 31, 2011, the Series reimbursed the Manager $1,116 for certain accounting services, which is included in accounting services in the Statement of Operations.

The Master LLC, on behalf of the Series, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. As securities lending agent, BIM is responsible for all transaction fees and all other operational costs relating to securities lending activities, other than extraordinary expenses. BIM does not receive any fees for managing the cash collateral. The market value of securities on loan and the value of the related collateral, if applicable, are shown in the Statement of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BIM is disclosed in the Schedule of Investments. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Series retains 65% of securities lending income and pays a fee to BIM equal to 35% of such income. The share of income earned by the Series on such investments is shown as securities lending — affiliated in the Statement of Operations. For the year ended December 31, 2011, BIM received $3,123 in securities lending agent fees related to securities lending activities for the Series.

Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments, excluding short-term securities for the year ended December 31, 2011, were $49,429,249 and $43,493,504, respectively.

5. Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which expired in November 2011. The Series may borrow under the credit agreement to fund shareholder redemptions. Effective November 2010, the credit agreement had the following terms: a commitment fee of 0.08% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month London Interbank Offered Rate (“LIBOR”) plus 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2010. Effective November 2011, the credit agreement was renewed until November 2012 with the following terms: a commitment fee of 0.065% per annum based on the Series’ pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. In addition, the Series paid administration and arrangement fees which were allocated to the Series based on its net assets as of October 31, 2011. The Series did not borrow under the credit agreement during the year ended December 31, 2011.

6. Concentration, Market and Credit Risk:

In the normal course of business, the Series invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counterparty credit risk, or the risk that an entity with which the Series has unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Series’ Statement of Assets and Liabilities, less any collateral held by the Series.

7. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

16 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Investors of Master Mid Cap Index Series and Board of Directors of Quantitative Master Series LLC:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Mid Cap Index Series, one of the portfolios constituting Quantitative Master Series LLC, (the “Master LLC”) as of December 31, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Master LLC’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Master LLC is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master LLC’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master Mid Cap Index Series, one of the portfolios constituting Quantitative Master Series LLC, as of December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
February 24, 2012

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 17

Officers and Directors

Name, Address and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as a Director 2	Principal Occupation(s) During Past Five Years	Number of BlackRock – Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors 1
Ronald W. Forbes 55 East 52nd Street New York, NY 10055 1940	Co-Chairman of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	33 RICs consisting of 107 Portfolios	None
Rodney D. Johnson 55 East 52nd Street New York, NY 10055 1941	Co-Chairman of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. since 1987; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006; Director, Fox Chase Cancer Center from 2004 to 2010.	33 RICs consisting of 107 Portfolios	None
David O. Beim 55 East 52nd Street New York, NY 10055 1940	Director	Since 2007	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural	33 RICs consisting of 107 Portfolios	None

18 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

			center) from 1990 to 2006.
Dr. Matina S. Horner 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 107 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52nd Street New York, NY 10055 1939	Director	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005; Director, Cybersettle (dispute resolution technology) since 2009.	33 RICs consisting of 107 Portfolios	AIMS Worldwide, Inc. (marketing)

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 19

Cynthia A. Montgomery 55 East 52nd Street New York, NY 10055 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, McLean Hospital since 2005; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 107 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Director, WQED Multi- Media (public broadcasting not- for-profit) since 2001; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 107 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 107 Portfolios	None
Toby Rosenblatt 55 East 52nd Street New York, NY 10055 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of	33 RICs consisting of 107 Portfolios	None

20 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

			California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.
Kenneth L. Urish 55 East 52nd Street New York, NY 10055 1951	Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to	33 RICs consisting of 107 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 21

			2007.
Frederick W. Winter 55 East 52nd Street New York, NY 10055 1945	Director	Since 2007	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005. Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 107 Portfolios	None

1

Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved extensions in terms of Directors who turn 72 prior to December 31, 2013.

2

Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Master LLC’s board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.

22 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Interested Directors 3
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953	Director	Since 2011	Senior Managing Director, BlackRock, and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.	159 RICs consisting of 286 Portfolios	None
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947	Director	Since 2007	Consultant, BlackRock, from 2007 to 2008; Managing Director, BlackRock, from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock	159 RICs consisting of 286 Portfolios	None

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 23

Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

³ Mr. Audet is an “interested person”, as defined in the 1940 Act, of the Master LLC based on his position with BlackRock, and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock, and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directors of other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

24 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Name, Address and Year of Birth	Position(s) Held with the Master LLC	Length of Time Served	Principal Occupation(s) During Past Five Years
Master LLC Officers 1
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock, since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of BlackRock Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 25

Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer and Anti-Money Laundering Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Ira P. Shapiro 55 East 52nd Street New York, NY 10055 1963	Secretary	Since 2010	Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.

¹ Officers of the Master LLC serve at the pleasure of the Board.

Effective September 22, 2011, Richard S. Davis resigned as Director of the Corporation and the Master LLC, and Paul L. Audet became Director of the Corporation and the Master LLC.

26 QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011

Additional Information

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisor

BlackRock Investment Management, LLC

Princeton, NJ 08540

Custodian

JPMorgan Chase Bank

Brooklyn, NY 11245

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

Legal Counsel

Sidley Austin LLP

New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Address of the Series

100 Bellevue Parkway

Wilmington, DE 19809

Availability of Quarterly Schedule of Investments

The Series files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Series’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Series’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Series uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Series voted proxies relating to securities held in the Series’ portfolio during the most recent 12-month period ended June 30 is available (1) at http://www.blackrock.com; and (2) on the SEC’s website at http://www.sec.gov.

QUANTITATIVE MASTER SERIES LLC DECEMBER 31, 2011 27

Item 2 –	Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.
Item 3 –	Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial expert serving on its audit committee and (ii) each audit committee financial expert is independent:
	Kenneth L. Urish
	Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
Item 4 –	Principal Accountant Fees and Services
	The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

	(a) Audit Fees		(b) Audit-Related Fees1		(c) Tax Fees2		(d) All Other Fees3
Entity Name	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End
Master Core Bond Enhanced Index Series of Quantitative Master Series LLC	$44,000	$43,300	$0	$0	$22,700	$22,700	$0	$62
Master Enhanced S&P 500 Series of Quantitative Master Series LLC	$32,500	$31,500	$0	$0	$13,000	$9,200	$0	$151
Master Extended Market Index Series of Quantitative Master Series LLC	$38,100	$37,000	$0	$0	$13,000	$9,200	$0	$49
Master Mid Cap Index Series of Quantitative Master Series LLC	$26,500	$25,500	$0	$0	$13,000	$9,200	$0	$0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$0	$0
(c) Tax Fees2	$0	$0
(d) All Other Fees3	$3,030,000	$2,950,000

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

² The nature of the services includes tax compliance, tax advice and tax planning.

³ Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimus exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

Entity Name	Current Fiscal Year End	Previous Fiscal Year End
Master Core Bond Enhanced Index Series of Quantitative Master Series LLC	$22,700	$33,539
Master Enhanced S&P 500 Series of Quantitative Master Series LLC	$13,000	$20,128
Master Extended Market Index Series of Quantitative Master Series LLC	$13,000	$20,026
Master Mid Cap Index Series of Quantitative Master Series LLC	$13,000	$20,004

	Additionally, SAS No. 70 fees for the current and previous fiscal years of $3,030,000 and $2,950,000, respectively, were billed by D&T to the Investment Adviser.
	(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5 –	Audit Committee of Listed Registrants – Not Applicable
Item 6 –	Investments
	(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
	(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 –	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable
Item 8 –	Portfolio Managers of Closed-End Management Investment Companies – Not Applicable
Item 9 –	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 –	Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –	Controls and Procedures
11(a) –	The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
11(b) –	There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –	Exhibits attached hereto
12(a)(1) –	Code of Ethics – See Item 2
12(a)(2) –	Certifications – Attached hereto
12(a)(3) –	Not Applicable
12(b) –	Certifications – Attached hereto

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.
Quantitative Master Series LLC
By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	Quantitative Master Series LLC
Date: March 1, 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/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	Quantitative Master Series LLC
Date: March 1, 2012
By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	Quantitative Master Series LLC
Date: March 1, 2012