Russell Investments Exchange Traded Funds Trust NCSR Certified annual shareholder report (management investment company)


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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: 811-22320

Russell Exchange Traded Funds Trust

(Exact name of registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Mary Beth Rhoden, Secretary and Chief Legal Officer

18th Floor

Seattle, Washington 98101

206-505-4846

(Name and address of agent for service)

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

Date of fiscal year end: March 31, 2012

Date of reporting period: April 1, 2011 – March 31, 2012

Item 1. Reports to Stockholders

LOGO

2012 ANNUAL REPORT

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

MARCH 31, 2012


FUND

Russell Equity ETF (formerly One Fund ETF)

Russell Exchange Traded

Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. These financial statements report on the Russell Equity ETF.

Russell Exchange Traded

Funds Trust

Russell OneFund ETFs^™

Annual Report

March 31, 2012

Table of Contents


	Page
To Our Shareholders		3
Market Summary		4
Russell Equity ETF		6
Statement of Assets and Liabilities		12
Statement of Operations		13
Statement of Changes in Net Assets		14
Financial Highlights		16
Notes to Financial Statements		18
Report of Independent Registered Public Accounting Firm		23
Frequency Distribution of Discounts and Premiums		24
Tax Information		25
Shareholder Requests for Additional Information		26
Disclosure of Information about Fund Trustees and Officers		27
Matters Submitted to a Vote of Shareholders		29
Adviser and Service Providers		30

Russell Exchange Traded Funds Trust.

Russell Investments is a Washington, USA corporation, which operates through subsidiaries worldwide and is a subsidiary of The Northwestern Mutual Life Insurance Company.

Fund objectives, risks, charges and expenses should be carefully considered before investing. A prospectus containing this and other important information must precede or accompany this material. Please read the prospectus carefully before investing.

Securities distributed through ALPS Distributors, Inc. member FINRA, not affiliated with Russell Investments.

Indices and benchmarks are unmanaged and cannot be invested in directly. Returns represent past performance, and are not a guarantee of future performance, and are not indicative of any specific investment. Index return information is provided by vendors and although deemed reliable, is not guaranteed by Russell Investments or its affiliates.

Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Current to the most recent month-end performance may be obtained by visiting www.russelletfs.com/Products.

To Our Shareholders

I am pleased to present to you Russell Exchange Traded Funds Trust’s March 31, 2012 Annual Report for Russell Equity ETF. Inside you’ll find portfolio management discussions and fund performance information for the period December 31, 2011 to March 31, 2012.

This annual report covers the fiscal period from December 31, 2011 to March 31, 2012 and is in addition to the Russell Equity ETF’s annual report dated December 31, 2011. This additional 2012 report is a result of a change to the fiscal year end for the Russell Equity ETF. Going forward, this fund will have a fiscal year ending March 31 rather than December 31.

Although the past 12 months proved to be a challenging year for world markets, all of us at Russell remain focused on our primary mission — improving financial security for people. For over 75 years, we’ve helped clients invest in all kinds of markets throughout the market cycle. During good times and uncertain times, we are guided by the same disciplined, long-term investment approach.

During the fiscal year ended March 31, 2012, we witnessed non-stop assaults on the world economy: an earthquake, tsunami and nuclear disaster in Japan; ongoing conflicts in the Middle East; a financial crisis in Europe centered in Greece, Italy and Spain; the downgrade of U.S. debt in the summer; and continued market volatility throughout the fall and winter. Market volatility made the journey even more unsettling for many investors. Moving into 2012, however, equity markets showed improvement with strong gains. Investors reacted positively to the improved credit conditions in Europe and the Russell Global Large Cap Index rose 12.1% making it the best start to the year for equities since 1998. Equity markets within the U.S. also posted positive returns for the three months of 2012 with the Russell 1000 Index returning 12.90% for the quarter. Positive news on the U.S economy and better than expected housing and unemployment data also contributed to the early 2012 gains.

Volatile markets — like those we endured during the fiscal year — are often driven by emotions in the short-term. Longer-term, we believe underlying fundamentals drive the market. This belief, along with a thoughtful plan and globally diversified portfolio, can help you look past the day-to-day market fluctuations and help you reach your long-term goals.

From all of us at Russell Investments, thank you for the trust you have placed in our firm.

Best regards,

LOGO

James G. Polisson

Managing Director

CEO, Russell Exchange Traded Funds


To Our Shareholders		3

Russell Exchange Traded Funds Trust

Market Summary as of March 31, 2012 — (Unaudited)

Global equity markets continued the turnaround that began in the previous quarter with strong gains in January and February. Investors increasingly reacted positively to the improved credit conditions in Europe following the European Central Bank’s (ECB) successful Long-Term Refinancing Operations (LTRO). The program injected €1 trillion worth of liquidity into eurozone banks, eliminating the probability of a Lehman-like event. This provided clarity on policy and significantly reduced liquidity risk. The Russell Global Large Cap Index rose 12.1 percent, making it the best start to the year for equities since 1998. In addition to the growing relief about Europe, investors took heart from the continued flow of positive news on the U.S. economy, most notably better than expected housing and unemployment data.

Given the constructive tone of equity markets and risk assets in general, it was not surprising to see emerging markets (EM) outperforming developed markets by 2.3 percent, with Eastern Europe leading. However, there was a notable change of tone in March, as concerns about slowing Chinese growth caused EM to underperform developed markets by 4.6 percent. Within the developed markets, the U.S. was the strongest major market in U.S. dollar terms followed closely by Europe, which saw a growing divergence between core eurozone countries such as Germany and Austria, which were among the strongest markets globally, and peripheral countries such as Spain and Portugal, which barely rose.

Within Asia, Japan was the strongest market in local currency terms, but the surprise announcement by the Bank of Japan that it would target inflation prompted a significant depreciation in the Japanese yen, resulting in significantly lower U.S. dollar returns.

The improving market conditions also extended into bond markets as systemic risk dissipated, market volatility decreased and credit spreads tightened. Near-term Greek pressure was alleviated as private borrowers agreed on terms of a principal write-down (with the triggering of attendant credit default swaps realizing little-to-no market disruption) and the German parliament approved a second bailout of €130 billion. The events played out over a backdrop of ongoing global central bank easing (including the U.S. Federal Reserve’s pledge to extend its hold into 2014), positive U.S. economic data, and somewhat decreasing concerns of a China hard landing. While the end of the quarter was marked by some disappointment that eurozone finance ministers limited fresh “firewall” funds to €500 billion, overall, events drove positive sentiment in risk assets with Pan-European banks returning an astounding 24 percent and the lowest quality global credits (rated Ca to D) returning 13 percent.

Peripheral European sovereign debt, which had been struggling, rebounded with strong returns. The positive environment helped capital to continue to pour into emerging market debt funds, bolstering their solid returns of 6 percent. Subprime mortgages did well, due in part to the Federal Reserve selling the remainder of its Maiden Lane II portfolio privately and some indications that the housing market may be nearing the bottom.

The U.S. equity market produced strong returns during the first quarter of 2012. The Russell 1000 Index returned 12.90% for the quarter, posting positive returns in each of the three months. During the quarter, the Russell 1000 Growth Index was up 14.69% while the Russell 1000 Value Index returned 11.12%.

The technology sector was the best performing sector within the Russell 1000 Index. Performance within technology was led by computer technology companies, most notably Apple Inc. which returned 48.08%. After being out of favor during 2011, the financial services sector posted the second strongest return of any sector in the Russell 1000 Index for the first quarter. Diversified banks, including Bank of America and SunTrust Banks, were some of the sector’s best performers. Stocks within the utilities and energy sectors lagged the overall market. Utilities stocks struggled to keep pace with the market as many investors came to believe that the relative valuation of the sector had become excessive due to outperformance in 2011. Within the energy sector, coal stocks fared the worst, due to a combination of a warm winter in the much of the U.S., natural gas substitution, and the prospect of new regulations from the Environmental Protection Agency (EPA).


	4			Market Summary

Russell Exchange Traded Funds Trust

growth forecasts. Stocks with high dividend yields underperformed the market, as did stocks with high debt to capital ratios. The underperformance of stocks of the most leveraged companies was one factor that deviated from what many thought of as a “risk on” theme during the quarter.

Headline economic data in the United States was generally positive. Year over year GDP growth within the United States was positive and above 3.5% for the months of December 2011, January 2012 and February 2012. Unemployment in the U.S. decreased modestly during the quarter, from 8.5% in December 2011 to 8.3% in February 2012. While the price of a barrel of Brent crude oil rose 14.43% during the quarter, the price of West Texas Intermediate, a harbinger of fuel prices in the U.S., rose 4.24% to $103.02 per barrel. The general increase in gasoline prices in the U.S. was of concern for investors and politicians during the quarter, with President Obama reportedly considering actions to release strategic petroleum reserves in hopes of lowering the price of crude oil and related products. However many oil analysts and political pundits noted that the bigger problem was a shortage of refining capacity and downplayed the ultimate impact on gasoline prices from a release of crude oil.

Correlations among U.S. stocks remained at average levels relative to history and much lower levels than those reached during the third quarter of 2011. The Chicago Board Options Exchange Volatility Index (“VIX”) also remained in line with longer term average levels during the quarter, and declined from 23.4 at the beginning to 15.5 at the end of the first quarter.


Market Summary		5

Russell Exchange Traded Funds Trust

Russell One Fund ETFs^™

Russell Equity ETF (formerly, One Fund^®)

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO



Average Annual Total Return
	Net Asset Value			Market Value			Russell Developed Large Cap Index**			S&P 500 Index***
For the period 1/1/2012 to 3/31/2012		12.21	%		12.26	%		11.75	%		12.59	%
1 Year		(0.25	)%		(0.24	)%		0.28	%		8.54	%§
Inception*		9.34	%		9.33	%		9.49	%		13.18	%§



Cumulative Total Return
	Net Asset Value			Market Value			Russell Developed Large Cap Index**			S&P 500 Index***
For the period 1/1/2012 to 3/31/2012		12.21	%		12.26	%		11.75	%		12.59	%
1 Year		(0.25	)%		(0.24	)%		0.28	%		8.54	%§
Inception*		18.39	%		18.36	%		18.70	%		26.37	%§


	6			Russell Equity ETF

Russell Exchange Traded Funds Trust

Russell One Fund ETFs^™

Russell Equity ETF (formerly, One Fund^®)

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Fund is a “fund of funds”, which means that the Fund seeks to achieve its investment objective by investing primarily in shares of other exchange-traded funds (“Underlying ETFs”). Under normal circumstances, the Fund will invest at least 80% of the value of its net assets in shares of equity Underlying ETFs.

What is the Fund’s investment objective?

The Russell Equity ETF (“Fund”) seeks to provide long-term capital appreciation.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the quarter-ended March 31, 2012 the Russell Equity ETF gained 12.21%. This is compared to the Fund’s benchmark, the Russell Developed Large Cap Index, which gained 11.75%. The Fund’s performance includes operating expenses, whereas the index returns are unmanaged and do not include expenses of any kind. Effective August 31, 2011, the Fund changed its fiscal year end from December 31, 2011 to March 31, 2012. For the period ended December 31, 2011, the Russell Equity ETF lost 6.32%. This is compared to the Fund’s benchmark, the Russell Developed Large Cap Index, which lost 5.69% and the S&P 500 Index, which gained 2.11% during the same period. From January 1, 2011 to October 31, 2011, the Fund’s benchmark was the S&P 500 Index. Effective November 1, 2011, the Fund’s benchmark changed to the Russell Developed Large Cap Index. The reason for this change was to better reflect the goals and objectives of the Russell Equity ETF. The Fund seeks to provide investors with a broad mix of stock investments across a variety of domestic and foreign markets. The higher long term growth rates experienced in many non-U.S. markets over the U.S. has increased the importance of having exposure in non-U.S. countries to capture global economic growth. The global exposure the Russell Developed Large Cap Index provides is a better representative of these goals than the S&P 500 Index, which only captures large cap U.S. stocks.

How did the market conditions described in the Market Summary report affect the Fund��s performance?

The Fund is a fund of funds and its performance is based on the performance of the Underlying ETFs in which the Fund invests.

Global equity markets started the year off with strong results in the first quarter, driven by more optimistic sentiment in Europe as well as continued positive economic trends in the U.S. In particular, better than expected housing and unemployment data improved the outlook for equity prices. Not surprisingly, the risk-on sentiment was led by emerging markets over developed markets, which benefitted the Fund’s strategic out-of-benchmark position in the emerging markets region.

How did the investment strategies and techniques employed by the Fund and its Underlying Funds affect the Fund’s performance?

The Fund’s strategic out-of-benchmark exposure to the emerging markets was the largest driver of outperformance, as the asset class generally outperformed developed markets for the first quarter. Other positive contributors included an underweight position in Canada relative to the benchmark. An underweight to the United Kingdom versus the benchmark was also positive.

Given the rebound in continental Europe due to the region’s recent improvement in credit conditions, the Fund’s underweight in the broad region detracted. While Japan had positive returns in local currency terms, a significant depreciation of the yen during the quarter resulted in much lower returns in U.S. dollar terms, which negatively impacted the Fund given its relative overweight position.

The Russell Equity ETF invests in passively managed ETFs, and employs strategic and tactical asset allocation of the underlying ETFs to outperform its benchmark. As a result of the allocation over the quarter, the Fund’s positioning in the iShares MSCI Emerging Markets ETF and iShares MSCI Canada Index Fund contributed to the Fund’s performance, while the Fund’s position in the iShares Japan Index Fund detracted.

Describe any changes to the Fund’s structure or allocation to the Underlying Funds.

As of March 31, 2012, the Russell Equity ETF holds a tactical overweight to the U.S. and Japan. Despite improved credit conditions in Europe, the Fund remained underweight Europe given the major structural economic concerns in the European Union. Finally, the Fund had an overweight position to emerging markets.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of Russell Investment Management Company (RIMCo), or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Fund (RET) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.


Russell Equity ETF		7

Russell Exchange Traded Funds Trust

Russell One Fund ETFs^™

Russell Equity ETF (formerly, One Fund^®)

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Fund first issued shares on May 11, 2010.

The Russell Developed Large Cap Index measures the performance of the large-cap segment of the developed equity Universe representing approximately 75.4% of the global equity market.

***

The S&P 500 Index is the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged index of common stock prices. One cannot invest directly in an index.

Annualized.

Effective November 1, 2011, the Fund’s benchmark changed from the S&P 500 Index to the Russell Developed Large Cap Index.

Performance is historical and assumes reinvestment of all dividends and capital gains. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased. Past performance is not indicative of future results. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.


	8			Russell Equity ETF

Russell Exchange Traded Funds Trust

Russell Equity ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding the Fund’s Expense Example. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of your Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from January 1, 2012 to March 31, 2012.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
January 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,218.70	$	1,023.25
Expenses Paid During Period*	$	0 .97	$	1 .77

Actual Expenses are equal to the Fund’s annualized expense ratio of 0.35% (representing the three month period annualized), multiplied by the average account value over the period, multiplied by 91/366 (to reflect the three month period). May reflect amounts waived, reimbursed and/or other credits. Without any waivers, reimbursements and/or other credits, expenses would have been higher. Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.35% (representing the six-month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half period).


Russell Equity ETF		9

Russell Exchange Traded Funds Trust

Russell Equity ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Shares			Market Value $

Investments in Other ETFs - 99.6%
iShares MSCI Canada Index Fund		3,441			98
iShares MSCI EAFE Small Cap Index Fund		4,118			165
iShares MSCI Japan Index Fund		10,215			104
iShares Russell 1000 Growth Index Fund		2,877			190
iShares Russell 1000 Index Fund		32,645			2,545
Vanguard MSCI EAFE ETF		32,613			1,110
Vanguard MSCI Emerging Markets ETF		12,835			558
Vanguard MSCI European ETF		4,729			218
Vanguard MSCI Pacific ETF		5,239			278
Vanguard Russell 2000		6,337			419


Total Investments in Other ETFs (cost $5,564)					5,685


Short-Term Investments - 0.4%
Russell U.S. Cash Management Fund		24,282	(¥)		24


Total Short-Term Investments (cost $24)					24


Total Investments - 100.0% (identified cost $5,588)					5,709

Other Assets and Liabilities, Net - (0.0%)					(1	)


Net Assets - 100.0%					5,708

(¥)	Unrounded units.

See accompanying notes which are an integral part of the financial statements.


	10			Schedule of Investments

Russell Exchange Traded Funds Trust

Russell Equity ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Investments in Other ETFs	$	5,685	$	—	$	—	$	5,685		99.6
Short-Term Investments		—		24		—		24		0.4


Total Investments		5,685		24		—		5,709		100.0


Other Assets and Liabilities, Net										—	*


										100.0

*	Less than .05% of net assets.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Presentation of Portfolio Holdings		11

Russell Exchange Traded Funds Trust

Russell Equity ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Equity ETF

Assets
Investments, at identified cost	$	5,588
Investments, at market*		5,709
Receivables:
Dividends and interest		1

Total assets		5,710


Liabilities
Payables:
Accrued fees to affiliates		2

Total liabilities		2


Net Assets	$	5,708

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	—
Accumulated net realized gain (loss)		(54	)
Unrealized appreciation (depreciation) on investments		121
Additional paid-in capital		5,641

Net Assets	$	5,708

Net Asset Value, offering and redemption price per share:
Net asset value per share: (a)	$	28.54
Net assets	$	5,707,601
Shares outstanding ($.001 par value)		200,000
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	24

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	12			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Equity ETF

Statement of Operations — For the Periods Ended


	Russell Equity ETF
Amounts in thousands	March 31, 2012*			December 31, 2011

Investment Income
Income distributions from Underlying ETFs	$	12		$	176

Total investment income		12			176


Expenses
Management fees		5			38
Trustee and trustee related fees		3			32

Expenses before reductions		8			70
Expense reductions		(3	)		(32	)

Net expenses		5			38

Net investment income (loss)		7			138


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		1			(66	)
In-kind redemptions		—			320

Net realized gain (loss)		1			254
Net change in unrealized appreciation (depreciation) on investments		621			(1,312	)

Net realized and unrealized gain (loss)		622			(1,058	)

Net Increase (Decrease) in Net Assets from Operations	$	629		$	(920	)

*	For the period January 1, 2012 to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		13

Russell Exchange Traded Funds Trust

Russell Equity ETF

Statement of Changes in Net Assets — For the Periods Ended


	Russell Equity ETF
Amounts in thousands	March 31, 2012*			December 31, 2011			December 31, 2010**

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	7		$	138		$	122
Net realized gain (loss)		1			254			—
Net change in unrealized appreciation (depreciation)		621			(1,312	)		812

Net increase (decrease) in net assets from operations		629			(920	)		934


Distributions
From net investment income		(8	)		(138	)		(126	)
From return of capital		—			(13	)		—

Net decrease in net assets from distributions		(8	)		(151	)		(126	)


Share Transactions
Net increase (decrease) in net assets from share transactions		(3	)		(3,678	)		8,931

Total Net Increase (Decrease) in Net Assets		618			(4,749	)		9,739

Net Assets
Beginning of period		5,090			9,839			100

End of period	$	5,708		$	5,090		$	9,839

Undistributed (overdistributed) net investment income included in net assets	$	—		$	—		$	(3	)

*	For the period January 1, 2012 to March 31, 2012.

**	For the period May 11, 2010 (commencement of operations) to December 31, 2010.

See accompanying notes which are an integral part of the financial statements.


	14			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Equity ETF

Financial Highlights — For the Periods Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(b)			$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Distributions from Net Investment Income			$ Return of Capital
Russell Equity ETF
March 31, 2012(2)		25.45		.03	(a)		3.10			3.13			(.04	)		—
December 31, 2011		27.80		.36	(a)		(2.13	)		(1.77	)		(.53	)		(.05	)
December 31, 2010(1)		25.00		.35			2.81			3.16			(.36	)		—

(1)	For the period May 11, 2010 (commencement of operations) to December 31, 2010.

(2)	For the period January 1, 2012 to March 31, 2012.

(a)	Average daily shares outstanding were used for this calculation.

(b)	Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the Underlying Fund in which the Fund invests.

(c)	Periods less than one year are not annualized.

(d)	May reflect amounts waived and/or reimbursed by RIMCo (“Russell Investment Management Company”).

(e)	Periods less than one year are annualized.

(f)	The calculation includes only those expenses charged directly to the Fund and does not include expenses charged to the Underlying Funds in which the Fund invests.

(g)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	Less than .5

See accompanying notes which are an integral part of the financial statements.


	16			Financial Highlights


$ Total Distributions			$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(e)(f)		% Ratio of Expenses to Average Net Assets, Net(e)(f)			% Ratio of Net Investment Income to Average Net Assets(b)			% Portfolio Turnover Rate(c)(g)

	(.04	)		28.54		12.21			5,708		.58		.35	(d)		.48	(e)(d)		—	*
	(.58	)		25.45		(6.32	)		5,090		.65		.35	(d)		1.29	(d)		6
	(.36	)		27.80		12.62			9,839		.57		.53			3.57	(e)		—

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		17

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Notes to Financial Statements — March 31, 2012

Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET” or “Trust”) is a series investment company comprised of 26 different investment portfolios that were in operation as of March 31, 2012. These financial statements report on the Russell Equity ETF (the “Fund”). The Investment Company is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. It is organized and operates as a Delaware statutory trust. Prior to April 15, 2011, the name of the Trust was U.S. One Trust and the Fund name was One Fund ETF.

Effective August 31, 2011, the Board of Trustees (the “Board”) approved the fiscal year end change from December 31 to March 31. As a result, these financial statements reports on a three month period.

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

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

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

The Fund had not properly recoded the trustee fees and corresponding expense reduction as of and for period ended December 31, 2011 and have accordingly revised the Statement of Operations and Financial Highlights to reflect the gross up of these amounts. The trustee fees and corresponding expense reduction on the Statement of Operations was revised from $0 to $31,744 and the gross expense ratio was revised from .35 to .65 to reflect these amounts.

Significant Accounting Policies

The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Security Valuation

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

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

•

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

•

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

•

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.


	18			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Notes to Financial Statements, continued — March 31, 2012

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

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

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

Level 3 Trading Assets and Trading Liabilities, at Fair Value

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

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

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

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

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

Investment Transactions

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

Investment Income

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

Federal Income Taxes

Since the Investment Company is a Delaware statutory trust, the Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to the Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.


Notes to Financial Statements		19

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Notes to Financial Statements, continued — March 31, 2012

The Fund qualifies as a regulated investment company under sub-chapter M of the Internal Revenue Code and intends to distribute all of its taxable income and capital gains. Therefore, no federal income tax provision is required for the Fund.

The Fund files a U.S. tax return. At December 31, 2011, the Fund has recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statute of limitations remains open to examine the Fund’s U.S. tax return filed for fiscal year ending December 31, 2010, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Fund complies with the authoritative guidance for uncertainty in income taxes which requires management to determine whether a tax position of the Fund is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For tax positions meeting the more likely than not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than 50% likelihood of being realized upon ultimate settlement with the relevant taxing authority. Management determined that no accruals need to be made in the financial statements due to uncertain tax positions. Management continually reviews and adjusts its liability for income taxes based on analyses of tax laws and regulations, as well as their interpretations, and other relevant factors.

Dividends and Distributions to Shareholders

Income dividends are generally declared and paid quarterly. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Fund to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. Dividends and distributions cannot be automatically reinvested in additional shares of the Fund.

The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from U.S. GAAP. As a result, net investment income and net realized gain (or loss) from investment transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and U.S. GAAP relate primarily to investments in the Underlying ETFs sold at a loss, wash sale deferrals and in-kind transactions. Accordingly, the Fund may periodically make reclassifications among certain of their capital accounts without impacting their net asset values.

Expenses

Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include those expenses incurred by the Underlying ETFs. Because the Underlying ETFs have varied expense and fee levels and the Fund may own different proportions of the Underlying ETFs at different times, the amount of the fees and expenses incurred indirectly by the Fund will vary.

Guarantees

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

Market, Credit and Counterparty Risk

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

ETF Specific Risk

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


	20			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Notes to Financial Statements, continued — March 31, 2012

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

Investment Transactions

Securities

During the period ended March 31, 2012, purchases and sales of the Underlying ETFs (excluding investments held for short-term purposes and in-kind transactions) were as follows:


	Purchases		Sales

Russell Equity ETF	$	22,819	$	15,486

The Fund did not have in-kind transactions during the period ended March 31, 2012.

Related Party Transactions, Fees and Expenses

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

The Fund may also invest its cash reserves (the “Cash Balances”) in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of March 31, 2012, the Fund has invested $24,282 in the Russell U.S. Cash Management Fund.

The management fee of 0.35% is based upon the average daily net assets of the Fund and are payable monthly. The Adviser pays all of the expenses of the Fund other than the management fee, distribution fees pursuant to the Funds’ Supervision and Management Agreements, if any, brokerage expenses, taxes, interest fees, litigation expenses, acquired fund fees and other extraordinary expenses. Management fees paid by the Fund for the period ended March 31, 2012 were as follows:


	Management

Russell Equity ETF	$	4,824

Waivers and Reimbursements

Until April 29, 2014, RIMCo has contractually agreed to waive up to the full amount of its 0.35% management fee to the extent that Total Annual Fund Operating Expenses, excluding extraordinary expenses, exceed 0.51% of the average daily net assets of the Fund on an annual basis. These waivers may not be terminated during the relevant period except with Board approval. For the period ended March 31, 2012, there were no fees waived and reimbursed by RIMCo.

The Adviser has voluntarily agreed to waive trustee and trustee related expenses paid by the Fund. For the period ended March 31, 2012, the total trustee and trustee related fees waived amounted to $3,135.

RIMCo does not have the ability to recover amounts waived or reimbursed from previous periods.

Accrued Fees Payable to Affiliate

Accrued fees payable to affiliate for the period ended March 31, 2012 were as follows:


	Russell Equity ETF

Management fees	$	1,680

Board of Trustees

For all Funds of the Investment Company, each independent Trustee is paid a retainer of $70,000 per year, $5,000 for each regular quarterly meeting attended in person, and $2,500 for each Audit Committee meeting and Nominating and Governance Committee meeting. Each Trustee receives a $1,250 fee for attending the quarterly meeting by phone instead of receiving the full fee had the member attended in person. The Trustees are also compensated for out of pocket expenses. The Audit Committee Chair and Nominating and Governance Chair are each paid a fee of $12,000 and $6,000, respectively per year. The Chairman of the Board receives additional annual compensation of $20,000.

Federal Income Taxes

At March 31, 2012, the Fund had net tax basis capital loss carryforwards which may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. Under the Regulated Investment


Notes to Financial Statements		21

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. Available capital loss carryforwards and expiration dates are as follows:


	No Expiration
	Short-term		Long-term		Totals

Russell Equity ETF	$	53,547	$	—	$	53,547

At March 31, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:


	Russell Equity ETF

Cost of Investments	$	5,587,789

Unrealized Appreciation	$	268,127
Unrealized Depreciation		(146,636	)

Net Unrealized Appreciation (Depreciation)	$	121,419

Undistributed Ordinary Income	$	—
Undistributed Long-Term Capital Gains (Capital Loss Carryforward)	$	(53,547	)
Tax Composition of Distributions
Ordinary Income	$	6,655
Tax-Exempt Income	$	—
Long-Term Capital Gains	$	—
Distributions in Excess	$	1,352
Tax Return of Capital	$	—

Fund Share Transactions (amounts in thousands)

As of March 31, 2012, there were an unlimited number of $0.001 par shares of beneficial interest authorized by the Trust. Shares are created and redeemed by the Fund at their NAV only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of the Fund are not redeemable. The Shares are listed on the New York Stock Exchange Arca (“NYSE Arca” or the “Exchange”), subject to notice of issuance. The Shares trade on the Exchange at market prices. These prices may differ from the Shares’ NAV. The Shares are also redeemable only in Creation Unit aggregations, and generally in exchange for portfolio securities and a specified cash payment. Investors purchasing and redeeming Creation Units pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Fund’s custodian. A Creation Unit of the Fund consists of at least 50,000 Shares. Transactions in shares for the Fund for the periods ended March 31, 2012, December 31, 2011 and December 31, 2010 were as follows:


	2012*					2011						2010**
	Shares		Dollars			Shares			Dollars			Shares		Dollars


Russell Equity ETF
Shares created		—	$	—			500		$	13,998			350	$	8,931
Shares redeemed		—		(3	)		(654	)		(17,676	)		—		—

Total increase (decrease)		—	$	(3	)		(154	)	$	(3,678	)		350	$	8,931

*	For the period January 1, 2012 to March 31, 2012.

**	For the period May 11, 2010 (commencement of operations) to December 31, 2010.

Subsequent Events

Management has evaluated events or transactions that may have occurred since March 31, 2012, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would required further disclosure within the financial statements.


	22			Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statement of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Russell Equity ETF (one of the portfolios constituting the Russell Exchange Traded Funds Trust, hereafter referred to as the “Funds”) at March 31, 2012, the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. The financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at March 31, 2012 by correspondence with the custodian, provides a reasonable basis for our opinion.

LOGO

PricewaterhouseCoopers LLP

Seattle, Washington

May 29, 2012


Report of Independent Registered Public Accounting Firm		23

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Frequency Distribution of Discounts and Premiums — March 31, 2012 (Unaudited)

The chart below presents information about differences between the per share net asset value (“NAV”) of the Fund and the market trading price of shares of the Fund. For these purposes, the “market price” is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. The term “premium” is sometimes used to describe a market price in excess of NAV and the term “discount” is sometimes used to describe a market price below NAV. The chart presents information about the size and frequency of premiums or discounts. As with other exchange traded funds, the market price of Fund shares is typically slightly higher or lower than the Fund’s per share NAV. Factors that contribute to the differences between market price and NAV include the supply and demand for Fund shares and investors’ assessments of the underlying value of a Fund’s portfolio securities.


	Russell Equity ETF
Premium/Discount Range*	Number of Days		Percentage of Total Days

Greater than 0.20% and Less than 1.00%		10		1.44	%
Greater than 0.05% and Less than 0.20%		104		15.03	%
Between 0.05% and -0.05%		394		56.94	%
Greater than -0.05% and Less than -0.20%		99		14.31	%
Greater than -0.20% and less than -1.00%		85		12.28	%

		692		100.00	%

*	For the Period May 11, 2010 (commencement of operations) through March 31, 2012 (Unaudited).


	24			Frequency Distribution of Discounts and Premiums

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Tax Information — March 31, 2012

For the tax year ended March 31, 2012, the Funds hereby designate 100% or the maximum amount allowable, of its net taxable income as qualified dividends taxed at individual net capital gain rates.

For the tax year ended March 31, 2012, the Funds hereby designate under Section 871(k)(2)(c) of the Code, the maximum amount allowable as a short term capital gain dividend for purposes of the tax imposed under Section 871(a)(1)(A) of the Code. This applies to nonresident alien shareholders only.

The Form 1099 you receive in January 2013 will show the tax status of all distributions paid to your account in calendar year 2012.

The Funds designate dividends distributed during the fiscal year as qualifying for the dividends received deduction for corporate shareholders as follows:


Russell Equity ETF			100.0	%

Please consult a tax adviser for any questions about federal or state income tax laws.


Tax Information		25

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Shareholder Requests for Additional Information — March 31, 2012 (Unaudited)

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

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

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

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


	26			Shareholder Requests for Additional Information

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Disclosure of Information about Fund Trustees and Officers — March 31, 2012 (Unaudited)

The Trustees and executive officers of the Trust, along with their principal occupations over the past five years and their affiliations, if any with the Adviser, are listed below. Unless otherwise noted, the principal business address of each Trustee and executive officer of the Trust is 1301 Second Avenue, 18th Floor, Seattle, Washington 98101.

Name, Address,
and Date of Birth

Position(s) Held
with the Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund
Complex
Overseen
by Trustee

Other
Directorships Held
by Trustee

INTERESTED TRUSTEES

James Polisson*

Born: November 11, 1959

Trustee

Since 2011

Managing Director and Head of Global ETF Business, Frank Russell Company (2010 to present); and Chief Marketing Officer, Barclays Global Investors/iShares ETFs (2005 to 2010).

None.

INDEPENDENT TRUSTEES

Evelyn S. Dilsaver

Born: May 4, 1955

Trustee, Chair since 2012

Since 2011

Corporate Director, Charles Schwab Investment Management (2003 to 2007); and President and Chief Executive Officer, Charles Schwab Investment Management (2004 to 2007).

Aeropostale, Inc. (retailer) (2008 to present); High Mark Funds (2008 to present); and Tempur-pedic, Int’l. (retailer) (2010 to present).

Jane A. Freeman

Born: July 15, 1953

Trustee, Chair of Audit Committee since 2011

Since 2011

Consultant (2008 to present); and Executive Vice President and Chief Financial Officer, Scientific Learning (Educational Support Services) (1999 to 2008).

Harding Loevner Funds (Lead Director since 2008).

Lee T. Kranefuss**

Born: September 27, 1961

Trustee

Since 2011

Non-Executive Chairman, iShares (since 2009); Global Chief Executive Officer, iShares/Intermediary Groups of Barclays Global Investors (“BGI”) (2008 to 2009); Chief Executive Officer, iShares Intermediary Index and Market Group of BGI (2005 to 2008); Director of Barclays Global Fund Advisors (since 2005); Director, President and Chief Executive Officer of Barclays Global Investors International, Inc. (since 2005); and Director and Chairman of Barclays Global Investors Services (since 2005).

Barclays Global Investors Funds and Master Investment Portfolio (2001 to present).

Daniel O. Leemon

Born: October 25, 1953

Trustee

Since 2011

Retired.

Director, Corporate Executive Board (2003 to present).


Disclosure of Information about Fund Trustees and Officers		27

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Disclosure of Information about Fund Trustees and Officers, continued — March 31, 2012 (Unaudited)

Name, Address,
and Date of Birth

Position(s) Held
with the Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund
Complex
Overseen
by Trustee

Other
Directorships Held
by Trustee

INTERESTED TRUSTEES (continued)

Ernest L. Schmider

Born: July 4, 1957

Trustee, Chairman of Nominating and Governance Committee since 2012

Since 2011

Adjunct Professor, Argyros School of Business and Economics, Chapman University, (Spring and Fall, 2010); Managing Director, Pacific Investment Management Company (PIMCO), President, PIMCO Funds (held various positions with PIMCO from 1994 to 2009).

None.


Name, Address, and Date of Birth	Position(s) Held with the Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee
OFFICERS
James Polisson* Born: November 11, 1959	President and Chief Executive Officer	Since 2011; until successor is chosen and qualified by Trustees	Managing Director and Head of Global ETF Business, FRC; Chief Marketing Officer, Barclays Global Investors/ iShares ETFs, 2005–2010	N/A

Cheryl Wichers Born December 16, 1966	Chief Compliance Officer since 2005	Until removed by Independent Trustees	Chief Compliance Officer, RIC; Chief Compliance Officer, RIF; Chief Compliance Officer, RIMCo; Chief Compliance Officer, RFSC; Chief Compliance Officer, Russell Exchange Traded Funds Trust April 2002-May 2005, Manager, Global Regulatory Policy	N/A

Mark E. Swanson Born: November 26, 1963	Treasurer, Chief Financial Officer and Chief Accounting Officer	Since 2011; until successor is chosen and qualified by Trustees	Treasurer, Chief Accounting Officer and CFO, Russell Investment Company and Russell Investment Funds; Director, Funds Administration, RIMCo, Russell Fund Services Company, Russell Trust Company (a non-depository trust company), and Russell Financial Services, Inc.; and Treasurer and Principal Accounting Officer, SSgA Funds	N/A

Mary Beth Rhoden Born: April 25, 1969	Secretary and Chief Legal Officer	Since 2011; until successor is chosen and qualified by Trustees	Associate General Counsel, FRC; Assistant Secretary, Russell Investment Company and Russell Investment Funds, 1999–2010; Secretary, RIMCo, Russell Fund Services Company and Russell Financial Services, Inc.; and Secretary and Chief Legal Officer, Russell Investment Company and Russell Investment Funds	N/A

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012


	28			Disclosure of Information about Fund Trustees and Officers

Russell Exchange Traded Funds Trust

Russell Equity ETF

Matters Submitted to a Vote of Shareholders — March 31, 2012 (Unaudited)

There was a Special Meeting in Lieu of an Annual Meeting of Shareholders of the Russell Exchange Traded Funds Trust (the “Investment Company”) held at One Maritime Plaza, San Francisco, CA 94111 on February 18, 2011.

THE FOLLOWING MATTERS WERE VOTED UPON AT THE MEETING

The result of each vote accompany the description of each matter

1. Approval of new investment advisory agreement between the Investment Company, on behalf of the Fund, and Russell Investment Management Company.

Vote:


	For		Against
One Fund		266,870		360

There was a Special Meeting in Lieu of an Annual Meeting of Shareholder of the Russell Exchange Traded Funds Trust (the “Investment Company”) held at 1301 2^nd Ave, 18^th Floor, Seattle, Washington 98101 on April 27, 2011.

THE FOLLOWING MATTERS WERE VOTED UPON AT THE MEETING

The result of each vote accompany the description of each matter

2. Election of Trustees

Vote:


	For		% Votes Cast		Withhold		% Votes Cast
James G. Polisson		384,712		99.51%		1,877		0.49%
Evelyn S. Dilsaver		385,006		99.59%		1,583		0.41%
Jane A. Freeman		385,006		99.59%		1,583		0.41%
Lee T. Kranefuss		384,712		99.51%		1,877		0.49%
Daniel O. Leemon		384,712		99.51%		1,877		0.49%
Ernest L. Schmider		384,712		99.51%		1,877		0.49%


Matters Submitted to a Vote of Shareholders		29

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

1301 Second Avenue, Seattle, Washington 98101

(888) 775-3837

Interested Trustee

James Polisson*

Independent Trustees

Evelyn S. Dilsaver

Jane A. Freeman

Lee T. Kranefuss**

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson, President and Chief Executive Officer

Cheryl Wichers, Chief Compliance Officer

Mark E. Swanson, Treasurer, Chief Financial Officer and Chief Accounting Officer

Mary Beth Rhoden, Secretary and Chief Legal Officer

Adviser

Russell Investment Management Company

1301 Second Avenue

Seattle, Washington 98101

Administrator

Russell Fund Services Company

1301 Second Avenue

Seattle, Washington 98101

Transfer and Dividend Disbursing Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Custodian

State Street Bank and Trust Company

Josiah Quincy Building

200 Newport Avenue North

Quincy, MA 02171

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1420 Fifth Avenue, Suite 1900

Seattle, WA 98101

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012

This report is prepared from the books and records of the Funds and is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless accompanied or preceded by an effective Prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of Russell Exchange Traded Funds Trust. Such offering is made only by Prospectus, which includes details as to offering price and other material information.


	30			Adviser and Service Providers


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

LOGO

2012 ANNUAL REPORT

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

MARCH 31, 2012

FUND

Russell Aggressive Growth ETF

Russell Consistent Growth ETF

Russell Growth at a Reasonable Price ETF

Russell Contrarian ETF

Russell Equity Income ETF

Russell Low P/E ETF

Russell Small Cap Aggressive Growth ETF

Russell Small Cap Consistent Growth ETF

Russell Small Cap Low P/E ETF

Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. These financial statements report on 10 of these Funds.

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Annual Report

March 31, 2012

Table of Contents


	Page
To Our Shareholders		3
Market Summary		4
Russell Aggressive Growth ETF		6
Russell Consistent Growth ETF		18
Russell Growth at a Reasonable Price ETF		30
Russell Contrarian ETF		42
Russell Equity Income ETF		54
Russell Low P/E ETF		66
Russell Small Cap Aggressive Growth ETF		80
Russell Small Cap Consistent Growth ETF		92
Russell Small Cap Low P/E ETF		104
Russell Small Cap Contrarian ETF		118
Notes to Schedules of Investments		130
Notes to Financial Statements		131
Report of Independent Registered Public Accounting Firm		140
Frequency Distribution of Discounts and Premiums		141
Tax Information		143
Shareholder Requests for Additional Information		144
Basis for Approval of Investment Advisory Contracts		145
Disclosure of Information about Fund Trustees and Officers		147
Adviser and Service Providers		150

Russell Exchange Traded Funds Trust.

Russell Investments is a Washington, USA corporation, which operates through subsidiaries worldwide and is a subsidiary of The Northwestern Mutual Life Insurance Company.

Securities distributed through ALPS Distributors, Inc. member FINRA, not affiliated with Russell Investments.

Russell Investments is the owner of the trademarks, service marks, and copyrights related to its respective indexes.

To Our Shareholders

I am pleased to present you with Russell Exchange Traded Funds 2012 Annual Report for the fiscal year ending March 31, 2012. Inside you’ll find portfolio management discussions and fund performance information.

During the fiscal year ended March 31, 2012, we witnessed non-stop assaults on the world economy: an earthquake, tsunami and nuclear disaster in Japan; ongoing conflicts in the Middle East; a financial crisis in Europe centered in Greece, Italy and Spain; the downgrade of U.S. debt in the summer; and continued market volatility throughout the fall and winter. Market volatility made the journey even more unsettling for many investors. Moving into 2012, however, equity markets showed improvement with strong gains. Investors reacted positively to the improved credit conditions in Europe and the Russell Global Large Cap Index rose 12.1% making it the best start to the year for equities since 1998. Equity markets within the U.S. also posted positive for the three months of 2012 with the Russell 1000 Index returning 12.90% for the quarter. Positive news on the U.S economy and better than expected housing and unemployment data also contributed to the early 2012 gains.

From all of us at Russell Investments, thank you for the trust you have placed in our firm.

Best regards,

LOGO

James G. Polisson

Managing Director

CEO, Russell Exchange Traded Funds


To Our Shareholders		3

Russell Exchange Traded Funds Trust

Market Summary as of March 31, 2012 — (Unaudited)


	4			Market Summary

Russell Exchange Traded Funds Trust


Market Summary		5

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Large Cap Aggressive Growth Index**
Inception*		8.68	%		8.68	%		9.10	%


	6			Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Aggressive Growth ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Aggressive Growth Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Aggressive Growth Index, which is designed to select securities intended to produce performance that is similar to professional investment managers using an aggressive growth investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 8.68%. This is compared to the Fund’s benchmark, the Russell U.S. Large Cap Aggressive Growth Index, which gained 9.10% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Technology was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Technology, with an average weight of 32.9% was the best contributor to Fund and Index returns. Energy, with an average weight of 11.3%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Apple Inc, Microsoft Corp, and International Business Machines Corp generated positive returns and contributed the most to Fund performance while Hewlett-Packard Co, Schlumberger Ltd, and Apache Corp, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 18, 2011.

The Russell U.S. Large Cap Aggressive Growth Index is designed to select securities intended to produce performance that is similar to professional investment managers using an aggressive growth investment discipline. This discipline focuses on companies with near term forecasted earnings that are expected to increase at a faster rate than those of the average company’s earnings. Starting with the Russell 1000^® Index (an index comprised of U.S. stocks), the Index includes stocks that demonstrate growth potential as measured by: (1) average to high consensus forecasted earnings and (2) average to high one year historical sales growth. The Index excludes stocks with low earnings retention as measured by high dividend yields for the last four quarters. It also excludes stocks with low price to book ratios to ensure a growth orientation.


Russell Aggressive Growth ETF		7

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

Actual Expenses

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,290.50	$	1,023.15
Expenses Paid During Period*	$	2.12	$	1.87

*	Expenses are equal to the Fund’s annualized expense ratio of 0.37% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).


	8			Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 20.0%
Abercrombie & Fitch Co. Class A		147		7
Advance Auto Parts, Inc.		112		10
Amazon.com, Inc. (Æ)		281		57
Bed Bath & Beyond, Inc. (Æ)		248		16
BorgWarner, Inc. (Æ)		147		12
CarMax, Inc. (Æ)		296		10
CBS Corp. Class B		626		21
Chipotle Mexican Grill, Inc. Class A (Æ)		34		14
Coach, Inc.		276		21
Costco Wholesale Corp.		358		33
Deckers Outdoor Corp. (Æ)		82		5
Dick’s Sporting Goods, Inc.		191		9
Discovery Communications, Inc. Class A (Æ)		288		15
Dollar Tree, Inc. (Æ)		136		13
Estee Lauder Cos., Inc. (The) Class A		234		14
Family Dollar Stores, Inc.		159		10
Fossil, Inc. (Æ)		88		12
Gap, Inc. (The)		474		12
Gentex Corp.		242		6
Goodyear Tire & Rubber Co. (The) (Æ)		467		5
Johnson Controls, Inc.		612		20
Kohl’s Corp.		263		13
Las Vegas Sands Corp.		374		22
Liberty Media Corp. - Interactive (Æ)		682		13
Limited Brands, Inc.		279		13
LKQ Corp. (Æ)		242		8
Lowe’s Cos., Inc.		1,084		34
McDonald’s Corp.		774		76
Netflix, Inc. (Æ)		99		11
Nike, Inc. Class B		295		32
Nordstrom, Inc.		199		11
NVR, Inc. (Æ)		10		7
Omnicom Group, Inc.		292		15
O’Reilly Automotive, Inc. (Æ)		143		13
Panera Bread Co. Class A (Æ)		50		8
PetSmart, Inc.		161		9
Polaris Industries, Inc.		120		9
Priceline.com, Inc. (Æ)		44		32
PVH Corp.		101		9
Ralph Lauren Corp. Class A		75		13
Ross Stores, Inc.		254		15
Scripps Networks Interactive, Inc. Class A		170		8
Sirius XM Radio, Inc. (Æ)		5,077		12
Snap-on, Inc.		123		7
Starbucks Corp.		620		35
Target Corp.		568		33
Tempur-Pedic International, Inc. (Æ)		127		11
Tiffany & Co.		153		11
TJX Cos., Inc.		674		27
Tractor Supply Co.		110		10
Tupperware Brands Corp.		119		8
Ulta Salon Cosmetics & Fragrance, Inc.		95		9
Urban Outfitters, Inc. (Æ)		228		7
VF Corp.		94		14


	Principal Amount ($) or Shares		Market Value $
Viacom, Inc. Class B		482		23
WABCO Holdings, Inc. (Æ)		144		9
Wal-Mart Stores, Inc.		1,323		80
Walt Disney Co. (The)		1,446		63
Williams-Sonoma, Inc.		182		7

				1,059


Consumer Staples - 2.2%
Corn Products International, Inc.		133		8
Energizer Holdings, Inc. (Æ)		103		8
Green Mountain Coffee Roasters, Inc. (Æ)		180		8
Herbalife, Ltd.		168		12
Hormel Foods Corp.		239		7
Kroger Co. (The)		576		14
Monster Beverage Corp. (Æ)		190		12
Ralcorp Holdings, Inc. (Æ)		90		7
Walgreen Co.		772		25
Whole Foods Market, Inc.		169		14

				115


Energy - 7.4%
Anadarko Petroleum Corp.		406		32
Cameron International Corp. (Æ)		258		14
Cimarex Energy Co.		128		10
Concho Resources, Inc. (Æ)		117		12
Core Laboratories NV		69		9
EOG Resources, Inc.		232		26
Halliburton Co.		767		25
Helmerich & Payne, Inc.		139		7
Noble Energy, Inc.		169		17
Occidental Petroleum Corp.		618		59
Oil States International, Inc. (Æ)		91		7
Peabody Energy Corp.		329		10
Pioneer Natural Resources Co.		129		14
Plains Exploration & Production Co. (Æ)		213		9
Schlumberger, Ltd.		1,019		70
SM Energy Co.		102		7
Southwestern Energy Co. (Æ)		386		12
Sunoco, Inc.		178		7
Ultra Petroleum Corp. (Æ)		258		6
Walter Energy, Inc. Class A		114		7
Whiting Petroleum Corp. (Æ)		172		9
Williams Cos., Inc. (The)		541		17
WPX Energy, Inc. (Æ)		180		3

				389


Financial Services - 5.7%
Affiliated Managers Group, Inc. (Æ)		80		9
Alliance Data Systems Corp. (Æ)		76		10
American Express Co.		830		47
American Tower Corp. Class A (ö)		349		22
CBRE Group, Inc. Class A (Æ)		480		10
Discover Financial Services		559		19
Factset Research Systems, Inc.		80		8
Franklin Resources, Inc.		146		18
Global Payments, Inc.		145		7


Russell Aggressive Growth ETF		9

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

IntercontinentalExchange, Inc. (Æ)		86		12
Mastercard, Inc. Class A		87		37
MSCI, Inc. Class A (Æ)		213		8
Raymond James Financial, Inc.		207		8
T Rowe Price Group, Inc.		257		17
TD Ameritrade Holding Corp.		421		8
Visa, Inc. Class A		410		47
Western Union Co. (The)		675		12

				299


Health Care - 12.3%
Alexion Pharmaceuticals, Inc. (Æ)		188		17
Allergan, Inc.		263		25
Allscripts Healthcare Solutions, Inc. (Æ)		354		6
AmerisourceBergen Corp. Class A		294		12
Amgen, Inc.		686		47
Baxter International, Inc.		487		29
Becton Dickinson and Co.		210		16
Biogen Idec, Inc. (Æ)		208		26
BioMarin Pharmaceutical, Inc. (Æ)		200		7
Cardinal Health, Inc.		350		15
Celgene Corp. (Æ)		388		30
Cerner Corp. (Æ)		170		13
Cigna Corp.		302		15
Cooper Cos., Inc. (The)		89		7
CR Bard, Inc.		108		11
DaVita, Inc. (Æ)		122		11
Edwards Lifesciences Corp. (Æ)		141		10
Endo Pharmaceuticals Holdings, Inc. (Æ)		203		8
Express Scripts, Inc. Class A (Æ)		438		24
Gilead Sciences, Inc. (Æ)		658		32
Henry Schein, Inc. (Æ)		135		10
IDEXX Laboratories, Inc. (Æ)		95		8
Illumina, Inc. (Æ)		224		12
Intuitive Surgical, Inc. (Æ)		37		20
Laboratory Corp. of America Holdings (Æ)		119		11
McKesson Corp.		232		20
Medco Health Solutions, Inc. (Æ)		357		25
Mednax, Inc. (Æ)		92		7
Perrigo Co.		101		10
Regeneron Pharmaceuticals, Inc. (Æ)		126		15
ResMed, Inc. (Æ)		264		8
St. Jude Medical, Inc.		356		16
Stryker Corp.		305		17
SXC Health Solutions Corp. (Æ)		120		9
UnitedHealth Group, Inc.		847		51
Universal Health Services, Inc. Class B		171		7
Varian Medical Systems, Inc. (Æ)		145		10
Vertex Pharmaceuticals, Inc. (Æ)		271		11
Watson Pharmaceuticals, Inc. Class B (Æ)		160		11
Zimmer Holdings, Inc.		205		13

				652


Materials and Processing - 5.5%
Air Products & Chemicals, Inc.		199		18
Airgas, Inc.		109		10


	Principal Amount ($) or Shares		Market Value $
Allegheny Technologies, Inc.		162		7
Aptargroup, Inc.		127		7
Ball Corp.		235		10
Celanese Corp. Class A		204		9
CF Industries Holdings, Inc.		75		14
Cliffs Natural Resources, Inc.		170		12
Fastenal Co.		304		16
FMC Corp.		99		10
Monsanto Co.		438		35
Mosaic Co. (The)		277		15
Newmont Mining Corp.		413		21
Post Holdings, Inc. (Æ)		45		1
PPG Industries, Inc.		162		16
Praxair, Inc.		253		29
Precision Castparts Corp.		127		22
Royal Gold, Inc.		100		7
Sherwin-Williams Co. (The)		110		12
Timken Co.		169		9
Valspar Corp.		175		8

				288


Producer Durables - 13.3%
3M Co.		553		49
Accenture PLC Class A		534		34
Agilent Technologies, Inc.		365		16
Ametek, Inc.		213		10
Automatic Data Processing, Inc.		430		24
Caterpillar, Inc.		501		54
CH Robinson Worldwide, Inc.		177		12
Cintas Corp.		199		8
CSX Corp.		977		21
Cummins, Inc.		186		22
Danaher Corp.		476		27
Deere & Co.		350		28
Donaldson Co., Inc.		230		8
Dover Corp.		204		13
Expeditors International of Washington, Inc.		258		12
FedEx Corp.		273		25
Flir Systems, Inc.		268		7
IDEX Corp.		171		7
IHS, Inc. Class A (Æ)		83		8
JB Hunt Transport Services, Inc.		157		9
Joy Global, Inc.		130		10
Kansas City Southern (Æ)		139		10
Kennametal, Inc.		172		8
Lincoln Electric Holdings, Inc.		166		8
Mettler-Toledo International, Inc. (Æ)		52		10
MSC Industrial Direct Co., Inc. Class A		90		7
Norfolk Southern Corp.		307		20
PACCAR, Inc.		369		17
Pall Corp.		155		9
Pentair, Inc.		195		9
Robert Half International, Inc.		250		8
Rockwell Automation, Inc.		159		13
Roper Industries, Inc.		116		12
Stericycle, Inc. (Æ)		117		10


	10			Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Thomas & Betts Corp. (Æ)		113		8
Towers Watson & Co. Class A		113		7
TransDigm Group, Inc. (Æ)		79		9
Trimble Navigation, Ltd. (Æ)		183		10
Union Pacific Corp.		386		41
United Parcel Service, Inc. Class B		576		46
Wabtec Corp.		94		7
Waste Connections, Inc.		212		7
Waters Corp. (Æ)		119		11
WW Grainger, Inc.		62		13

				704

Technology - 33.3%
Adobe Systems, Inc. (Æ)		504		17
Advanced Micro Devices, Inc. (Æ)		1,227		10
Akamai Technologies, Inc. (Æ)		261		10
Altera Corp.		340		14
Amdocs, Ltd. (Æ)		269		8
Amphenol Corp. Class A		209		12
Analog Devices, Inc.		328		13
Ansys, Inc. (Æ)		138		9
Apple, Inc. (Æ)		665		398
Applied Materials, Inc.		1,320		16
Atmel Corp. (Æ)		825		8
Autodesk, Inc. (Æ)		300		13
Avago Technologies, Ltd.		280		11
BMC Software, Inc. (Æ)		252		10
Broadcom Corp. Class A (Æ)		520		20
Cisco Systems, Inc.		4,114		87
Citrix Systems, Inc. (Æ)		201		16
Cognizant Technology Solutions Corp. Class A (Æ)		280		22
Crown Castle International Corp. (Æ)		298		16
EMC Corp. (Æ)		1,646		49
Equinix, Inc. (Æ)		74		12
F5 Networks, Inc. (Æ)		97		13
Gartner, Inc. (Æ)		188		8
Google, Inc. Class A (Æ)		185		119
Harris Corp.		205		9
IAC/InterActiveCorp		150		7
Informatica Corp. (Æ)		188		10
International Business Machines Corp.		879		182
Intuit, Inc.		293		18
Jabil Circuit, Inc.		348		9
Juniper Networks, Inc. (Æ)		581		13
Lam Research Corp. (Æ)		199		9
LSI Corp. (Æ)		1,169		10
Marvell Technology Group, Ltd. (Æ)		673		11
MICROS Systems, Inc. (Æ)		145		8
Microsoft Corp.		5,419		175
NetApp, Inc. (Æ)		375		17
Novellus Systems, Inc. (Æ)		150		7
Nuance Communications, Inc. (Æ)		334		9
ON Semiconductor Corp. (Æ)		853		8
Oracle Corp.		2,874		84


	Principal Amount ($) or Shares			Market Value $
Polycom, Inc. (Æ)		380			7
QUALCOMM, Inc.		1,255			85
Rackspace Hosting, Inc. (Æ)		170			10
Red Hat, Inc. (Æ)		237			14
Riverbed Technology, Inc. (Æ)		286			8
SAIC, Inc.		543			7
Salesforce.com, Inc. (Æ)		136			21
SanDisk Corp. (Æ)		253			13
SBA Communications Corp. Class A (Æ)		177			9
Skyworks Solutions, Inc. (Æ)		391			11
Solera Holdings, Inc.		143			7
Symantec Corp. (Æ)		814			15
Teradata Corp. (Æ)		204			14
TIBCO Software, Inc. (Æ)		292			9
VeriFone Systems, Inc. (Æ)		188			10
VMware, Inc. Class A (Æ)		112			13
Xilinx, Inc.		318			12

					1,762


Utilities - 0.1%
ITC Holdings Corp.		92			7


Total Common Stocks (cost $4,750)					5,275


Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		8,078	(¥)		8


Total Short-Term Investments (cost $8)					8


Total Investments - 100.0% (identified cost $4,758)					5,283

Other Assets and Liabilities, Net - 0.0%					2


Net Assets - 100.0%					5,285

See accompanying notes which are an integral part of the financial statements.


Russell Aggressive Growth ETF		11

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	1,059	$	—	$	—	$	1,059		20 .0
Consumer Staples		115		—		—		115		2 .2
Energy		389		—		—		389		7 .4
Financial Services		292		—		7		299		5 .7
Health Care		652		—		—		652		12 .3
Materials and Processing		288		—		—		288		5 .5
Producer Durables		704		—		—		704		13 .3
Technology		1,762		—		—		1,762		33 .3
Utilities		7		—		—		7		0 .1
Short-Term Investments		—		8		—		8		0 .2


Total Investments		5,268		8		7		5,283		100.0

Other Assets and Liabilities, Net										—	*

										100.0

*	Less than .05% of net assets.

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

Investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ending March 31, 2012 were less than 1% of net assets.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	12			Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Aggressive Growth ETF

Assets
Investments, at identified cost	$	4,758
Investments, at market*		5,283
Receivables:
Dividends		4

Total assets		5,287


Liabilities
Payables:
Accrued fees to affiliates		2

Total liabilities		2


Net Assets	$	5,285

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	1
Accumulated net realized gain (loss)		(382	)
Unrealized appreciation (depreciation) on investments		525
Additional paid-in capital		5,141

Net Assets	$	5,285

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.84
Net assets	$	5,284,554
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	8

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		13

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Aggressive Growth ETF*

Investment Income
Dividends	$	44

Total investment income		44


Expenses
Management fees		15
Trustee and trustee related fees		14

Expenses before reductions		29
Expense reductions		(14	)

Net expenses		15

Net investment income (loss)		29


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(383	)
In-kind redemptions		86

Net realized gain (loss)		(297	)

Net change in unrealized appreciation (depreciation) on investments		525

Net realized and unrealized gain (loss)		228

Net Increase (Decrease) in Net Assets from Operations	$	257

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	14			Statement of Operations

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Aggressive Growth ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	29
Net realized gain (loss)		(297	)
Net change in unrealized appreciation (depreciation)		525

Net increase (decrease) in net assets from operations		257


Distributions
From net investment income		(28	)

Net decrease in net assets from distributions		(28	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,056

Total Net Increase (Decrease) in Net Assets		5,285

Net Assets
Beginning of period		—

End of period	$	5,285

Undistributed (overdistributed) net investment income included in net assets	$	1

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets		15

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Aggressive Growth ETF
March 31, 2012*		48.91		.29		3.92		4.21		(.28	)		(.28	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	16			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	52.84		8.68		5,285		.72		.37		.70		37

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		17

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Large Cap Consistent Growth Index**
Inception*		10.95	%		10.93	%		11.36	%


	18			Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Consistent Growth ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Consistent Growth Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Consistent Growth Index, which is designed to select securities intended to produce performance that is similar to professional investment managers using a consistent growth investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 10.95%. This is compared to the Fund’s benchmark, the Russell U.S. Large Cap Consistent Growth Index, which gained 11.36% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Technology was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Technology, with an average weight of 29.3% was the best contributor to Fund and Index returns. Energy, with an average weight of 9.4%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Apple Inc, Microsoft Corp, and International Business Machines Corp generated positive returns and contributed the most to Fund performance while Schlumberger Ltd, Oracle Corp, and Apache Corp, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 18, 2011.

The Russell U.S. Large Cap Consistent Growth Index is designed to select securities intended to produce performance that is similar to professional investment managers using a consistent growth investment discipline. This discipline focuses on companies with above average earnings expectations over a long term horizon and with consistent historical earnings growth. Starting with the Russell 1000^® Index (an index comprised of U.S. stocks), the Index includes stocks that demonstrate growth potential as measured by: (1) average to high consensus forecasted earnings; (2) consistent earnings as measured by average to low earnings per share volatility over the past five years; and (3) efficient asset utilization as measured by average to high return on assets for the prior quarter. The Index excludes stocks with low anticipated growth prospects as measured by a low price-to-book ratio.


Russell Consistent Growth ETF		19

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,277.50	$	1,023.15
Expenses Paid During Period*	$	2.11	$	1.87

*	Expenses are equal to the Fund’s annualized expense ratio of 0.37% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).


	20			Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.9%
Consumer Discretionary - 17.8%
Amazon.com, Inc. (Æ)		1,865		378
Bed Bath & Beyond, Inc. (Æ)		1,788		118
BorgWarner, Inc. (Æ)		1,098		93
CarMax, Inc. (Æ)		2,253		78
Chipotle Mexican Grill, Inc. Class A (Æ)		253		106
Coach, Inc.		1,944		150
Discovery Communications, Inc. Class A (Æ)		2,120		107
Dollar Tree, Inc. (Æ)		1,009		95
eBay, Inc. (Æ)		6,432		237
Estee Lauder Cos., Inc. (The) Class A		1,686		104
Gap, Inc. (The)		3,650		95
Harley-Davidson, Inc.		2,045		100
Home Depot, Inc.		8,135		409
Kohl’s Corp.		1,902		95
Limited Brands, Inc.		2,068		99
Marriott International, Inc. Class A		2,476		94
Mattel, Inc.		2,939		99
McDonald’s Corp.		5,068		497
McGraw-Hill Cos., Inc. (The)		2,218		108
News Corp. Class A		12,444		245
Nike, Inc. Class B		1,999		217
Nordstrom, Inc.		1,502		84
Omnicom Group, Inc.		2,109		107
O’Reilly Automotive, Inc. (Æ)		1,049		96
PetSmart, Inc.		1,255		72
priceline.com, Inc. (Æ)		306		220
Ralph Lauren Corp. Class A		559		97
Ross Stores, Inc.		1,850		107
Starbucks Corp.		4,195		234
Starwood Hotels & Resorts Worldwide, Inc. (ö)		1,663		94
Tiffany & Co.		1,151		80
TJX Cos., Inc.		4,650		185
VF Corp.		692		101
Viacom, Inc. Class B		3,309		157
Walt Disney Co. (The)		9,564		419
Yum! Brands, Inc.		2,737		195

				5,772


Consumer Staples - 5.8%
Church & Dwight Co., Inc.		1,470		72
Colgate-Palmolive Co.		2,607		255
Energizer Holdings, Inc. (Æ)		807		60
General Mills, Inc.		3,811		150
Green Mountain Coffee Roasters, Inc. (Æ)		1,405		66
Herbalife, Ltd.		1,276		88
Kraft Foods, Inc. Class A		8,437		321
McCormick & Co., Inc.		1,354		74
Monster Beverage Corp. (Æ)		1,460		91
PepsiCo, Inc.		7,716		511
Sara Lee Corp.		4,649		100
Whole Foods Market, Inc.		1,244		104

				1,892


	Principal Amount ($) or Shares		Market Value $
Energy - 6.8%
Cabot Oil & Gas Corp.		1,934		60
Cameron International Corp. (Æ)		1,878		99
Cimarex Energy Co.		1,002		76
Consol Energy, Inc.		2,060		70
EQT Corp.		1,301		63
FMC Technologies, Inc. (Æ)		1,811		91
Halliburton Co.		5,214		173
Helmerich & Payne, Inc.		1,084		58
National Oilwell Varco, Inc.		2,461		196
Noble Energy, Inc.		1,192		117
Occidental Petroleum Corp.		4,082		389
Peabody Energy Corp.		2,371		69
Pioneer Natural Resources Co.		947		106
Schlumberger, Ltd.		6,689		467
Southwestern Energy Co. (Æ)		2,759		84
Whiting Petroleum Corp. (Æ)		1,347		73

				2,191


Financial Services - 7.0%
Aflac, Inc.		2,983		137
Alliance Data Systems Corp. (Æ)		598		75
American Express Co.		5,525		320
American Tower Corp. Class A (ö)		2,417		152
Aon Corp.		2,301		113
Fiserv, Inc. (Æ)		1,296		90
Franklin Resources, Inc.		1,049		130
Marsh & McLennan Cos., Inc.		3,671		120
Mastercard, Inc. Class A		584		246
Public Storage (ö)		915		126
Simon Property Group, Inc. (ö)		1,613		235
T Rowe Price Group, Inc.		1,829		119
Visa, Inc. Class A		2,723		322
Western Union Co. (The)		4,933		87

				2,272


Health Care - 9.2%
Alexion Pharmaceuticals, Inc. (Æ)		1,360		126
Amgen, Inc.		4,539		309
Baxter International, Inc.		3,332		199
Becton Dickinson and Co.		1,494		116
Biogen Idec, Inc. (Æ)		1,432		180
Celgene Corp. (Æ)		2,642		205
Cerner Corp. (Æ)		1,263		96
Covidien PLC		3,084		169
CR Bard, Inc.		832		82
DaVita, Inc. (Æ)		934		84
Edwards Lifesciences Corp. (Æ)		1,056		77
Gilead Sciences, Inc. (Æ)		4,466		218
Intuitive Surgical, Inc. (Æ)		258		140
Laboratory Corp. of America Holdings (Æ)		895		82
Medtronic, Inc.		5,801		227
Perrigo Co.		762		79
Quest Diagnostics, Inc.		1,365		83
St. Jude Medical, Inc.		2,592		115
Stryker Corp.		2,177		121
Varian Medical Systems, Inc. (Æ)		1,089		75


Russell Consistent Growth ETF		21

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Watson Pharmaceuticals, Inc. Class B (Æ)		1,202		81
Zimmer Holdings, Inc.		1,518		98

				2,962


Materials and Processing - 5.9%
Air Products & Chemicals, Inc.		1,400		129
Airgas, Inc.		843		75
Brown-Forman Corp. Class B - ADR		935		78
Celanese Corp. Class A		1,555		72
CF Industries Holdings, Inc.		557		102
Ecolab, Inc.		2,008		124
Fastenal Co.		2,190		118
FMC Corp.		767		81
Monsanto Co.		2,951		235
Mosaic Co. (The)		2,004		111
Newmont Mining Corp.		2,820		145
PPG Industries, Inc.		1,168		112
Praxair, Inc.		1,719		197
Precision Castparts Corp.		876		151
Sherwin-Williams Co. (The)		832		90
Sigma-Aldrich Corp.		1,160		85

				1,905


Producer Durables - 15.8%
3M Co.		3,656		326
Accenture PLC Class A		3,647		235
Agilent Technologies, Inc.		2,657		118
Ametek, Inc.		1,619		79
Automatic Data Processing, Inc.		2,950		163
Caterpillar, Inc.		3,338		355
CH Robinson Worldwide, Inc.		1,291		85
Cooper Industries PLC		1,447		93
CSX Corp.		6,765		146
Cummins, Inc.		1,315		158
Danaher Corp.		3,277		184
Deere & Co.		2,378		192
Dover Corp.		1,497		94
Eaton Corp.		2,410		120
Expeditors International of Washington, Inc.		1,872		87
Flowserve Corp.		636		73
General Dynamics Corp.		2,067		152
Goodrich Corp.		870		109
Honeywell International, Inc.		4,235		259
Illinois Tool Works, Inc.		2,821		161
Joy Global, Inc.		981		72
Kansas City Southern (Æ)		1,048		75
Norfolk Southern Corp.		2,110		139
Pall Corp.		1,182		70
Rockwell Automation, Inc.		1,162		93
Rockwell Collins, Inc.		1,383		80
Roper Industries, Inc.		865		86
Stericycle, Inc. (Æ)		877		73
Trimble Navigation, Ltd. (Æ)		1,432		78
Union Pacific Corp.		2,562		275
United Parcel Service, Inc. Class B		3,819		308
United Technologies Corp.		4,661		386


	Principal Amount ($) or Shares			Market Value $
Waters Corp. (Æ)		928			86
WW Grainger, Inc.		460			99

					5,109


Technology - 31.6%
Adobe Systems, Inc. (Æ)		3,617			124
Akamai Technologies, Inc. (Æ)		2,024			74
Altera Corp.		2,478			99
Amphenol Corp. Class A		1,587			95
Analog Devices, Inc.		2,414			98
Apple, Inc. (Æ)		4,264			2,557
Applied Materials, Inc.		9,489			118
Autodesk, Inc. (Æ)		2,293			97
BMC Software, Inc. (Æ)		1,962			79
Broadcom Corp. Class A (Æ)		3,709			146
CA, Inc.		3,594			99
Cisco Systems, Inc.		26,958			570
Citrix Systems, Inc. (Æ)		1,474			116
Cognizant Technology Solutions Corp. Class A (Æ)		1,956			151
EMC Corp. (Æ)		11,007			329
F5 Networks, Inc. (Æ)		720			97
Google, Inc. Class A (Æ)		1,195			766
International Business Machines Corp.		5,671			1,184
KLA-Tencor Corp.		1,537			84
Linear Technology Corp.		2,297			77
Marvell Technology Group, Ltd. (Æ)		5,044			79
Maxim Integrated Products, Inc.		2,795			80
Microsoft Corp.		34,948			1,127
NetApp, Inc. (Æ)		2,706			121
NVIDIA Corp. (Æ)		5,456			84
Oracle Corp.		18,837			549
QUALCOMM, Inc.		8,240			560
Red Hat, Inc. (Æ)		1,793			107
Salesforce.com, Inc. (Æ)		978			151
Teradata Corp. (Æ)		1,547			105
VMware, Inc. Class A (Æ)		846			95
Xilinx, Inc.		2,386			87
Yahoo!, Inc. (Æ)		8,219			125

					10,230


Total Common Stocks (cost $28,110)					32,333


Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		21,783	(¥)		22


Total Short-Term Investments (cost $22)					22


Total Investments - 100.0% (identified cost $28,132)					32,355

Other Assets and Liabilities, Net - 0.0%					12


Net Assets - 100.0%					32,367

See accompanying notes which are an integral part of the financial statements.


	22			Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	5,772	$	—	$	—	$	5,772		17.8
Consumer Staples		1,892		—		—		1,892		5.8
Energy		2,191		—		—		2,191		6.8
Financial Services		2,272		—		—		2,272		7.0	��
Health Care		2,962		—		—		2,962		9.2
Materials and Processing		1,905		—		—		1,905		5.9
Producer Durables		5,109		—		—		5,109		15.8
Technology		10,230		—		—		10,230		31.6
Short-Term Investments		—		22		—		22		0.1


Total Investments		32,333		22		—		32,355		100.0

Other Assets and Liabilities, Net										—	*


										100.0

*	Less than .05% of net assets.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell Consistent Growth ETF		23

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Consistent Growth ETF

Assets
Investments, at identified cost	$	28,132
Investments, at market*		32,355
Receivables:
Dividends		22

Total assets		32,377


Liabilities
Payables:
Accrued fees to affiliates		10

Total liabilities		10


Net Assets	$	32,367

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	12
Accumulated net realized gain (loss)		(447	)
Unrealized appreciation (depreciation) on investments		4,223
Shares of beneficial interest		1
Additional paid-in capital		28,578

Net Assets	$	32,367

Net Asset Value, offering and redemption price per share:
Net asset value per share: (a)	$	53.95
Net assets	$	32,367,334
Shares outstanding ($.001 par value)		600,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	22

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	24			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Consistent Growth ETF*

Investment Income
Dividends	$	207

Total investment income		207


Expenses
Management fees		51
Trustee and trustee related fees		42

Expenses before reductions		93
Expense reductions		(42	)

Net expenses		51

Net investment income (loss)		156


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(449	)
In-kind redemptions		82

Net realized gain (loss)		(367	)
Net change in unrealized appreciation (depreciation) on investments		4,223

Net realized and unrealized gain (loss)		3,856

Net Increase (Decrease) in Net Assets from Operations	$	4,012

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		25

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Consistent Growth ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	156
Net realized gain (loss)		(367	)
Net change in unrealized appreciation (depreciation)		4,223

Net increase (decrease) in net assets from operations		4,012


Distributions
From net investment income		(144	)

Net decrease in net assets from distributions		(144	)


Share Transactions
Net increase (decrease) in net assets from share transactions		28,499

Total Net Increase (Decrease) in Net Assets		32,367

Net Assets
Beginning of period		—

End of period	$	32,367

Undistributed (overdistributed) net investment income included in net assets	$	12

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	26			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Consistent Growth ETF
March 31, 2012*		49.02		.48		4.84		5.32		(.39	)		(.39	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	28			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	53.95		10.95		32,367		.68		.37		1.14		22

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		29

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Large Cap Growth at a Reasonable Price Index**
Inception*		7.38	%		7.39	%		7.72	%


	30			Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Growth at a Reasonable Price ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Growth at a Reasonable Price Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Growth at a Reasonable Price Index, which is designed to select securities intended to produce performance that is similar to professional investment managers using a growth at a reasonable price investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 7.38%. This is compared to the Fund’s benchmark, the Russell U.S. Large Cap Growth at a Reasonable Price Index, which gained 7.72% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while energy was the worst performing sector. Consumer discretionary, with an average weight of 14.3% was the best contributor to Fund and Index returns. Energy, with an average weight of 13.7%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Microsoft Corp, International Business Machines Corp, and Exxon Mobil Corp generated positive returns and contributed the most to Fund performance while Hewlett-Packard Co, Schlumberger Ltd, and Oracle Corp, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 18, 2011.

The Russell U.S. Large Cap Growth at a Reasonable Price Index is designed to select securities intended to produce performance that is similar to professional investment managers using a growth at a reasonable price investment discipline. This discipline focuses on stable companies that are moderately priced based on their long term forecasted earnings growth relative to their price-to-earnings ratio. Starting with the Russell 1000^® Index (an index comprised of U.S. stocks), the Index includes stocks: (1) with consistent earnings as measured by average to low earnings per share volatility over the past five years; (2) that are profitable as demonstrated by an average to high return on equity over the past five years; and (3) are of high quality as measured by an S&P Quality Rank of B or above or a low debt to equity ratio. The Index excludes stocks having a high price based on a high current P/E ratio and on price to consensus one year forecasted earnings ratio divided by its consensus five year forecasted earnings growth rate.


Russell Growth at a Reasonable Price ETF		31

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,250.20	$	1,023.15
Expenses Paid During Period*	$	2.08	$	1.87

*	Expenses are equal to the Fund’s annualized expense ratio of 0.37% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).


	32			Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


		Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 14.3%
Advance Auto Parts, Inc.			598		53
AutoZone, Inc. (Æ)			160		59
Avon Products, Inc.			2,759		53
Bed Bath & Beyond, Inc. (Æ)			1,220		80
Brinker International, Inc.			1,163		32
CarMax, Inc. (Æ)			1,549		54
Coach, Inc.			1,369		106
Darden Restaurants, Inc.			960		49
DeVry, Inc.			845		29
Dollar Tree, Inc. (Æ)			702		66
Family Dollar Stores, Inc.			850		54
Fossil, Inc. (Æ)			490		65
Gap, Inc. (The)			2,490		65
Gentex Corp.			1,308		32
Genuine Parts Co.			915		57
Hasbro, Inc.			1,129		41
Home Depot, Inc.			5,723		288
International Game Technology			2,498		42
Kohl’s Corp.			1,322		66
Lowe’s Cos., Inc.			5,167		162
McDonald’s Corp.			3,578		351
Nike, Inc. Class B			1,417		154
Nordstrom, Inc.			1,030		57
Omnicom Group, Inc.			1,466		74
PetSmart, Inc.			854		49
Polaris Industries, Inc.			680		49
Ralph Lauren Corp. Class A			380		66
Ross Stores, Inc.			1,283		75
Snap-on, Inc.			680		41
Stanley Black & Decker, Inc.			911		70
Staples, Inc.			3,983		64
Starbucks Corp.			2,951		165
Target Corp.			2,714		158
Tiffany & Co.			775		54
TJX Cos., Inc.			3,256		129
Tupperware Brands Corp.	��		620		39
Urban Outfitters, Inc. (Æ)			1,261		37
VF Corp.			471		69
Wal-Mart Stores, Inc.			6,111		375
Whirlpool Corp.			750		58
Yum! Brands, Inc.			1,919		137

					3,724


Consumer Staples - 7.1%
Archer-Daniels-Midland Co.			3,069		97
Church & Dwight Co., Inc.			975		48
Colgate-Palmolive Co.			1,825		178
ConAgra Foods, Inc.			2,229		59
Energizer Holdings, Inc. (Æ)			535		40
General Mills, Inc.			2,645		104
Herbalife, Ltd.			844		58
Hormel Foods Corp.			1,314		39
Kellogg Co.			1,266		68
Monster Beverage Corp. (Æ)			964		60
PepsiCo, Inc.			5,448		361


	Principal Amount ($) or Shares		Market Value $
Procter & Gamble Co. (The)		9,328		627
Walgreen Co.		3,723		125

				1,864


Energy - 14.1%
Atwood Oceanics, Inc. (Æ)		789		35
Baker Hughes, Inc.		1,899		80
Cameron International Corp. (Æ)		1,327		70
CARBO Ceramics, Inc.		255		27
Chevron Corp.		6,673		715
Consol Energy, Inc.		1,394		48
EQT Corp.		875		42
Exxon Mobil Corp.		16,082		1,394
Halliburton Co.		3,705		123
Helmerich & Payne, Inc.		737		40
Hubbell, Inc. Class B (Æ)		569		45
Marathon Oil Corp.		3,143		100
Murphy Oil Corp.		1,072		60
National Oilwell Varco, Inc.		1,727		137
Occidental Petroleum Corp.		2,875		274
Oceaneering International, Inc.		893		48
Patterson-UTI Energy, Inc.		1,769		31
Peabody Energy Corp.		1,603		46
QEP Resources, Inc.		1,395		43
Schlumberger, Ltd.		4,720		330

				3,688


Financial Services - 8.1%
ACE, Ltd.		1,441		105
Aflac, Inc.		2,081		96
Alliance Data Systems Corp. (Æ)		412		52
Allied World Assurance Co. Holdings AG		525		36
American Express Co.		3,902		226
Arch Capital Group, Ltd. (Æ)		1,100		41
Bank of Hawaii Corp.		693		34
Brown & Brown, Inc.		1,485		35
Chubb Corp. (The)		1,302		90
Cullen/Frost Bankers, Inc.		650		38
Eaton Vance Corp.		1,383		40
Equifax, Inc.		1,044		46
Factset Research Systems, Inc.		420		42
Fiserv, Inc. (Æ)		910		63
Franklin Resources, Inc.		733		91
Global Payments, Inc.		763		36
Goldman Sachs Group, Inc. (The)		1,949		241
IntercontinentalExchange, Inc. (Æ)		432		59
Moody’s Corp.		1,381		58
Northern Trust Corp.		1,339		64
SEI Investments Co.		1,924		40
T Rowe Price Group, Inc.		1,290		84
Torchmark Corp.		917		46
Total System Services, Inc.		1,874		43
Travelers Cos., Inc. (The)		1,768		105
US Bancorp		7,108		225
Waddell & Reed Financial, Inc. Class A		1,257		41
WR Berkley Corp.		1,140		41

				2,118


Russell Growth at a Reasonable Price ETF		33

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Health Care - 11.3%
Abbott Laboratories		5,432		334
Aetna, Inc.		1,837		92
Allscripts Healthcare Solutions, Inc. (Æ)		1,884		31
AmerisourceBergen Corp. Class A		1,514		60
Amgen, Inc.		3,210		219
Baxter International, Inc.		2,312		138
Becton Dickinson and Co.		1,023		79
Cardinal Health, Inc.		1,704		73
Catalyst Health Solutions, Inc. (Æ)		595		38
Cigna Corp.		1,489		73
Covance, Inc. (Æ)		720		34
Coventry Health Care, Inc.		1,265		45
CR Bard, Inc.		554		55
DaVita, Inc. (Æ)		655		59
Dentsply International, Inc.		1,190		48
Endo Pharmaceuticals Holdings, Inc. (Æ)		1,102		43
Express Scripts, Inc. Class A (Æ)		2,128		115
Henry Schein, Inc. (Æ)		665		50
Humana, Inc.		827		76
IDEXX Laboratories, Inc. (Æ)		520		45
Laboratory Corp. of America Holdings (Æ)		612		56
Lincare Holdings, Inc.		1,289		33
McKesson Corp.		1,140		100
Mednax, Inc. (Æ)		515		38
Medtronic, Inc.		4,089		161
Patterson Cos., Inc.		1,120		37
Perrigo Co.		510		53
Quest Diagnostics, Inc.		961		59
St. Jude Medical, Inc.		1,758		78
Stryker Corp.		1,494		83
Techne Corp.		473		33
UnitedHealth Group, Inc.		3,988		236
Universal Health Services, Inc. Class B		945		40
Varian Medical Systems, Inc. (Æ)		750		52
WellPoint, Inc.		1,495		110
Zimmer Holdings, Inc.		1,030		66

				2,942


Materials and Processing - 4.0%
Air Products & Chemicals, Inc.		980		90
Airgas, Inc.		574		51
Albemarle Corp.		782		50
Ball Corp.		1,274		55
Eastman Chemical Co.		1,095		57
Ecolab, Inc.		1,372		85
International Flavors & Fragrances, Inc.		713		42
PPG Industries, Inc.		820		79
Praxair, Inc.		1,219		139
Precision Castparts Corp.		615		106
Reliance Steel & Aluminum Co.		732		41
Sealed Air Corp.		2,022		39
Sherwin-Williams Co. (The)		570		62
Sigma-Aldrich Corp.		768		56
Sonoco Products Co.		1,125		37
Southern Copper Corp.		1,367		43

				1,032


	Principal Amount ($) or Shares		Market Value $
Producer Durables - 20.7%
3M Co.		2,593		232
Accenture PLC Class A		2,544		164
Ametek, Inc.		1,113		54
Automatic Data Processing, Inc.		2,068		114
Boeing Co. (The)		2,710		203
Carlisle Cos., Inc.		739		37
Caterpillar, Inc.		2,345		251
CH Robinson Worldwide, Inc.		870		57
Cooper Industries PLC		1,012		65
Copart, Inc. (Æ)		1,376		36
CSX Corp.		4,758		102
Cummins, Inc.		910		109
Danaher Corp.		2,314		130
Deere & Co.		1,671		135
Donaldson Co., Inc.		1,228		44
Dover Corp.		1,032		65
Eaton Corp.		1,672		83
Emerson Electric Co.		2,933		153
Expeditors International of Washington, Inc.		1,270		59
Flir Systems, Inc.		1,470		37
Flowserve Corp.		432		50
Fluor Corp.		1,035		62
General Dynamics Corp.		1,464		107
General Electric Co.		35,414		712
Goodrich Corp.		600		75
Graco, Inc.		792		42
Honeywell International, Inc.		2,987		182
Illinois Tool Works, Inc.		1,979		113
Jacobs Engineering Group, Inc. (Æ)		1,027		46
JB Hunt Transport Services, Inc.		851		46
Joy Global, Inc.		686		50
Kirby Corp. (Æ)		554		36
L-3 Communications Holdings, Inc.		699		49
Landstar System, Inc.		653		38
Lincoln Electric Holdings, Inc.		913		41
Lockheed Martin Corp.		1,161		104
Mettler-Toledo International, Inc. (Æ)		266		49
MSC Industrial Direct Co., Inc. Class A		494		41
Norfolk Southern Corp.		1,478		97
PACCAR, Inc.		1,839		86
Pall Corp.		812		48
Parker Hannifin Corp.		815		69
Paychex, Inc.		1,889		59
Raytheon Co.		1,645		87
Robert Half International, Inc.		1,355		41
Rockwell Collins, Inc.		920		53
Roper Industries, Inc.		597		59
Stericycle, Inc. (Æ)		578		48
Tidewater, Inc.		700		38
Towers Watson & Co. Class A		580		38
Union Pacific Corp.		1,810		196
United Technologies Corp.		3,283		273
Wabtec Corp.		514		39
Waste Management, Inc.		2,244		78
Waters Corp. (Æ)		619		57


	34			Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

WESCO International, Inc. (Æ)		588			38
WW Grainger, Inc.		317			68

					5,445


Technology - 20.2%
Adobe Systems, Inc. (Æ)		2,542			87
Altera Corp.		1,749			70
Amphenol Corp. Class A		1,100			66
Analog Devices, Inc.		1,664			67
Autodesk, Inc. (Æ)		1,541			65
Cisco Systems, Inc.		19,029			402
Cognizant Technology Solutions Corp. Class A (Æ)		1,359			105
Dell, Inc. (Æ)		6,942			115
F5 Networks, Inc. (Æ)		503			68
Google, Inc. Class A (Æ)		846			542
Harris Corp.		1,060			48
Hewlett-Packard Co.		7,348			175
Intel Corp.		18,040			507
International Business Machines Corp.		4,016			837
Linear Technology Corp.		1,524			51
MICROS Systems, Inc. (Æ)		780			43
Microsoft Corp.		24,732			798
NetApp, Inc. (Æ)		1,891			85
Oracle Corp.		13,273			387
QUALCOMM, Inc.		5,814			395
Teradata Corp. (Æ)		1,035			71
Texas Instruments, Inc.		4,598			155
Western Digital Corp. (Æ)		1,537			64
Xilinx, Inc.		1,669			61

					5,264


Total Common Stocks (cost $23,369)					26,077


Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		24,267	(¥)		24


Total Short-Term Investments (cost $24)					24


Total Investments - 99.9% (identified cost $23,393)					26,101

Other Assets and Liabilities, Net - 0.1%					21


Net Assets - 100.0%					26,122

See accompanying notes which are an integral part of the financial statements.


Russell Growth at a Reasonable Price ETF		35

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	3,724	$	—	$	—	$	3,724		14.3
Consumer Staples		1,864		—		—		1,864		7.1
Energy		3,688		—		—		3,688		14.1
Financial Services		2,082		—		36		2,118		8.1
Health Care		2,942		—		—		2,942		11.3
Materials and Processing		1,032		—		—		1,032		4.0
Producer Durables		5,445		—		—		5,445		20.7
Technology		5,264		—		—		5,264		20.2
Short-Term Investments		—		24		—		24		0.1


Total Investments		26,041		24		36		26,101		99.9

Other Assets and Liabilities, Net										0.1


										100.0

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

Investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ending March 31, 2012 were less than 1% of net assets.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	36			Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Growth at a Reasonable Price ETF

Assets
Investments, at identified cost	$	23,393
Investments, at market*		26,101
Receivables:
Dividends		29

Total assets		26,130


Liabilities
Payables:
Accrued fees to affiliates		8

Total liabilities		8


Net Assets	$	26,122

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	10
Accumulated net realized gain (loss)		(63	)
Unrealized appreciation (depreciation) on investments		2,708
Shares of beneficial interest		1
Additional paid-in capital		23,466

Net Assets	$	26,122

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.24
Net assets	$	26,121,784
Shares outstanding ($.001 par value)		500,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	24

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		37

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Growth at a Reasonable Price ETF*

Investment Income
Dividends	$	250

Total investment income		250


Expenses
Management fees		49
Trustee and trustee related fees		46

Expenses before reductions		95
Expense reductions		(46	)

Net expenses		49

Net investment income (loss)		201


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(63	)
In-kind redemptions		(727	)

Net realized gain (loss)		(790	)

Net change in unrealized appreciation (depreciation) on investments		2,708

Net realized and unrealized gain (loss)		1,918

Net Increase (Decrease) in Net Assets from Operations	$	2,119

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	38			Statement of Operations

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Growth at a Reasonable Price ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	201
Net realized gain (loss)		(790	)
Net change in unrealized appreciation (depreciation)		2,708

Net increase (decrease) in net assets from operations		2,119


Distributions
From net investment income		(191	)

Net decrease in net assets from distributions		(191	)


Share Transactions
Net increase (decrease) in net assets from share transactions		24,194


Total Net Increase (Decrease) in Net Assets		26,122

Net Assets
Beginning of period		—

End of period	$	26,122

Undistributed (overdistributed) net investment income included in net assets	$	10

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets		39

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Growth at a Reasonable Price ETF
March 31, 2012*		49.34		.64		2.91		3.55		(.65	)		(.65	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	40			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	52.24		7.38		26,122		.71		.37		1.52		15

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		41

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Large Cap Contrarian Index**
Inception*		(2.20	)%		(2.22	)%		(1.82	)%


	42			Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Contrarian ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Contrarian Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Contrarian Index, which is designed to select securities intended to produce performance that is similar to professional investment managers following a contrarian investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund lost (2.20)%. This is compared to the Fund’s benchmark, the Russell U.S. Large Cap Contrarian Index, which lost (1.82)% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while energy was the worst performing sector. Consumer discretionary, with an average weight of 16.8% was the best contributor to Fund and Index returns. Energy, with an average weight of 2.1%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Wells Fargo & Co, AT&T Inc, and UnitedHealth Group Inc generated positive returns and contributed the most to Fund performance while Bank of America Corp, Hewlett-Packard Co, and Baker Hughes Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 18, 2011.

The Russell U.S. Large Cap Contrarian Index is designed to select securities intended to produce performance that is similar to professional investment managers following a contrarian investment discipline. This discipline focuses on companies that have consistently lagged the market and their sector peers. Starting with the Russell 1000^® Index (an index comprised of U.S. stocks), the Index includes stocks where opportunities exist for the stock price to improve as measured by a low historical price to sales multiple. The Index excludes stocks that have outperformed their market and sector peers as measured by cumulative total return over the last three to five years.


Russell Contrarian ETF		43

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,264.80	$	1,023.15
Expenses Paid During Period*	$	2.09	$	1.87

*	Expenses are equal to the Fund’s annualized expense ratio of 0.37% (representing the six month period), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).


	44			Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 10.5%
Abercrombie & Fitch Co. Class A		248		12
American Eagle Outfitters, Inc.		724		12
Apollo Group, Inc. Class A (Æ)		275		11
Avon Products, Inc.		911		18
Best Buy Co., Inc.		595		14
Carnival Corp.		713		23
DISH Network Corp. Class A		511		17
GameStop Corp. Class A		464		10
Gap, Inc. (The)		780		20
Goodyear Tire & Rubber Co. (The) (Æ)		770		9
Hanesbrands, Inc. (Æ)		396		12
Harley-Davidson, Inc.		468		23
Harman International Industries, Inc.		247		12
Hertz Global Holdings, Inc. (Æ)		890		13
JC Penney Co., Inc.		412		15
Marriott International, Inc. Class A		526		20
MGM Resorts International (Æ)		1,088		15
Mohawk Industries, Inc. (Æ)		192		13
Newell Rubbermaid, Inc.		794		14
News Corp. Class A		3,096		60
Orchard Supply Hardware Stores Corp. Class A (Æ)		7		—	±
Penn National Gaming, Inc. (Æ)		263		11
Royal Caribbean Cruises, Ltd.		408		12
Sears Holdings Corp. (Æ)		161		11
Service Corp. International		950		11
Staples, Inc.		1,319		21
Starwood Hotels & Resorts Worldwide, Inc. (ö)		373		21
Target Corp.		946		55
Whirlpool Corp.		229		18

				503


Consumer Staples - 7.0%
Archer-Daniels-Midland Co.		1,030		33
Bunge, Ltd.		285		20
Campbell Soup Co.		420		14
Constellation Brands, Inc. Class A (Æ)		567		13
Energizer Holdings, Inc. (Æ)		179		13
Kroger Co. (The)		1,016		25
PepsiCo, Inc.		1,970		131
Safeway, Inc.		762		15
Sysco Corp.		932		28
Walgreen Co.		1,284		43

				335


Energy - 2.3%
Arch Coal, Inc.		660		7
Baker Hughes, Inc.		641		26
Chesapeake Energy Corp.		1,045		24
Consol Energy, Inc.		430		15
Nabors Industries, Ltd. (Æ)		723		13
Peabody Energy Corp.		490		14
Superior Energy Services, Inc. (Æ)		323		9

				108


	Principal Amount ($) or Shares		Market Value $
Financial Services - 37.7%
Aflac, Inc.		713		33
Allstate Corp. (The)		877		29
American Express Co.		1,384		80
American International Group, Inc. (Æ)		406		13
Assurant, Inc.		285		12
Axis Capital Holdings, Ltd.		367		12
Bank of New York Mellon Corp. (The)		1,815		44
BB&T Corp.		1,121		35
Berkshire Hathaway, Inc. Class B (Æ)		2,150		174
Capital One Financial Corp.		696		39
Cincinnati Financial Corp.		402		14
Citigroup, Inc.		3,675		134
Comerica, Inc.		507		16
Duke Realty Corp. (ö)		430		6
E*Trade Financial Corp. (Æ)		521		6
Everest Re Group, Ltd.		133		12
Fifth Third Bancorp		1,656		23
First Niagara Financial Group, Inc.		1,130		11
Goldman Sachs Group, Inc. (The)		683		85
Hartford Financial Services Group, Inc.		914		19
HCC Insurance Holdings, Inc.		386		12
Hudson City Bancorp, Inc.		1,800		13
Huntington Bancshares, Inc.		2,338		15
Jones Lang LaSalle, Inc.		156		13
JPMorgan Chase & Co.		4,906		227
KeyCorp		2,072		18
Lazard, Ltd. Class A		400		11
Legg Mason, Inc.		438		12
Lincoln National Corp.		707		19
Loews Corp.		554		22
Markel Corp. (Æ)		29		13
MetLife, Inc.		1,184		44
Morgan Stanley		2,296		45
NASDAQ OMX Group, Inc. (The) (Æ)		404		10
NYSE Euronext		555		17
Old Republic International Corp.		1,150		12
PartnerRe, Ltd. - ADR		182		12
PNC Financial Services Group, Inc.		750		48
Principal Financial Group, Inc.		666		20
Raymond James Financial, Inc.		354		13
Regions Financial Corp.		3,167		21
Reinsurance Group of America, Inc. Class A		221		13
SLM Corp.		1,148		18
State Street Corp.		765		35
SunTrust Banks, Inc.		1,008		24
Thomson Reuters Corp.		700		20
Unum Group		665		16
Wells Fargo & Co.		6,065		207
Weyerhaeuser Co. (ö)		1,048		23
White Mountains Insurance Group, Ltd.		24		12
Zions Bancorporation		643		14

				1,796


Health Care - 7.1%
Aetna, Inc.		614		31


Russell Contrarian ETF		45

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Boston Scientific Corp. (Æ)		2,977		18
Covance, Inc. (Æ)		219		10
Coventry Health Care, Inc.		386		14
Eli Lilly & Co.		1,385		56
Health Net, Inc. (Æ)		328		13
Hospira, Inc. (Æ)		445		17
Patterson Cos., Inc.		352		12
PerkinElmer, Inc.		500		14
Thermo Fisher Scientific, Inc.		600		34
UnitedHealth Group, Inc.		1,421		83
WellPoint, Inc.		533		39

				341


Materials and Processing - 4.8%
Alcoa, Inc.		1,945		19
Allegheny Technologies, Inc.		263		11
Cytec Industries, Inc.		206		13
Dow Chemical Co. (The)		1,632		57
International Paper Co.		762		27
Martin Marietta Materials, Inc.		140		12
Masco Corp.		1,145		15
Nucor Corp.		546		23
Owens-Illinois, Inc. (Æ)		550		13
Sealed Air Corp.		621		12
Steel Dynamics, Inc.		781		11
United States Steel Corp.		207		6
Vulcan Materials Co.		182		8

				227


Producer Durables - 10.3%
Corrections Corp. of America (Æ)		450		12
Expeditors International of Washington, Inc.		405		19
FedEx Corp.		454		43
General Dynamics Corp.		497		36
Illinois Tool Works, Inc.		680		40
Ingersoll-Rand PLC		601		25
Iron Mountain, Inc.		435		13
Jacobs Engineering Group, Inc. (Æ)		314		14
L-3 Communications Holdings, Inc. Class 3		228		16
Lexmark International, Inc. Class A		300		10
Lockheed Martin Corp.		427		39
Manpower, Inc.		281		13
Northrop Grumman Corp.		449		27
PACCAR, Inc.		603		28
Pitney Bowes, Inc.		586		10
Quanta Services, Inc. (Æ)		584		12
Raytheon Co.		574		30
Republic Services, Inc. Class A		625		19
Rockwell Collins, Inc.		309		18
RR Donnelley & Sons Co.		679		8
Southwest Airlines Co.		1,759		14
Thomas & Betts Corp. (Æ)		196		14
URS Corp.		281		12
Xerox Corp.		2,501		20

				492


	Principal Amount ($) or Shares			Market Value $
Technology - 6.7%
Advanced Micro Devices, Inc. (Æ)		1,945			16
Amdocs, Ltd. (Æ)		466			15
Applied Materials, Inc.		2,196			27
Arrow Electronics, Inc. (Æ)		320			13
Avnet, Inc. (Æ)		409			15
Brocade Communications Systems, Inc. (Æ)		1,846			11
Computer Sciences Corp.		460			14
Dell, Inc. (Æ)		2,379			38
Harris Corp.		330			15
Hewlett-Packard Co.		2,593			61
Ingram Micro, Inc. Class A (Æ)		574			11
Micron Technology, Inc. (Æ)		2,187			18
Molex, Inc.		439			12
Motorola Solutions, Inc.		504			26
NCR Corp. (Æ)		580			13
SAIC, Inc.		900			12

					317


Utilities - 13.4%
AES Corp. (The) (Æ)		1,344			18
Ameren Corp.		490			16
American Electric Power Co., Inc.		745			29
AT&T, Inc.		7,218			224
Edison International		562			24
Entergy Corp.		309			21
Exelon Corp.		1,305			50
FirstEnergy Corp.		650			30
Frontier Communications Corp.		2,389			10
Great Plains Energy, Inc.		490			10
Level 3 Communications, Inc. (Æ)		250			6
NextEra Energy, Inc.		620			38
NII Holdings, Inc. (Æ)		502			9
NRG Energy, Inc. (Æ)		636			10
NV Energy, Inc.		717			12
Pepco Holdings, Inc.		618			12
PG&E Corp.		646			28
PPL Corp.		911			26
Public Service Enterprise Group, Inc.		808			25
Sempra Energy		413			25
Sprint Nextel Corp. (Æ)		3,010			9
Telephone & Data Systems, Inc.		393			9

					641


Total Common Stocks (cost $4,638)					4,760


Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		5,413	(¥)		5


Total Short-Term Investments (cost $5)					5


	46			Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Market Value $

Total Investments - 99.9% (identified cost $4,643)		4,765

Other Assets and Liabilities, Net - 0.1%		5


Net Assets - 100.0%		4,770

See accompanying notes which are an integral part of the financial statements.


Russell Contrarian ETF		47

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	503	$	—	$	—	$	503		10.5
Consumer Staples		335		—		—		335		7.0
Energy		108		—		—		108		2.3
Financial Services		1,796		—		—		1,796		37.7
Health Care		341		—		—		341		7.1
Materials and Processing		227		—		—		227		4.8
Producer Durables		492		—		—		492		10.3
Technology		317		—		—		317		6.7
Utilities		641		—		—		641		13.4
Short-Term Investments		—		5		—		5		0.1


Total Investments		4,760		5		—		4,765		99.9

Other Assets and Liabilities, Net										0.1


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	48			Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Contrarian ETF

Assets
Investments, at identified cost	$	4,643
Investments, at market*		4,765
Receivables:
Dividends		6

Total assets		4,771


Liabilities
Payables:
Accrued fees to affiliates		1

Total liabilities		1


Net Assets	$	4,770

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	4
Accumulated net realized gain (loss)		(405	)
Unrealized appreciation (depreciation) on investments		122
Additional paid-in capital		5,049

Net Assets	$	4,770

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	47.70
Net assets	$	4,769,853
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	5

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		49

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Contrarian ETF*

Investment Income
Dividends	$	83

Total investment income		83


Expenses
Management fees		14
Trustee and trustee related fees		14

Expenses before reductions		28
Expense reductions		(14	)

Net expenses		14

Net investment income (loss)		69


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(406	)
In-kind redemptions		(69	)

Net realized gain (loss)		(475	)

Net change in unrealized appreciation (depreciation) on investments		122

Net realized and unrealized gain (loss)		(353	)

Net Increase (Decrease) in Net Assets from Operations	$	(284	)

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	50			Statement of Operations

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Contrarian ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	69
Net realized gain (loss)		(475	)
Net change in unrealized appreciation (depreciation)		122

Net increase (decrease) in net assets from operations		(284	)


Distributions
From net investment income		(65	)

Net decrease in net assets from distributions		(65	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,119

Total Net Increase (Decrease) in Net Assets		4,770

Net Assets
Beginning of period		—

End of period	$	4,770

Undistributed (overdistributed) net investment income included in net assets	$	4

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets		51

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Distributions from Net Investment Income			$ Total Distributions
Russell Contrarian ETF
March 31, 2012*		49.51		.69		(1.85	)		(1.16	)		(.65	)		(.65	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	52			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	47.70		(2.20	)		4,770		.72		.37		1.80		30

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		53

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Large Cap Equity Income Index**
Inception*		5.57	%		5.53	%		5.93	%


	54			Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Equity Income ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Equity Income Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Equity Income Index, which is designed to select securities intended to produce performance that is similar to professional investment managers using an equity income investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 5.57%. This is compared to the Fund’s benchmark, the Russell U.S. Large Cap Equity Income Index, which gained 5.93% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while producer durables was the worst performing sector. Consumer discretionary, with an average weight of 10.2% was the best contributor to Fund and Index returns. Producer durables, with an average weight of 13.7%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Microsoft Corp, Exxon Mobil Corp, and Intel Corp generated positive returns and contributed the most to Fund performance while Hewlett-Packard Co, Oracle Corp, and Goldman Sachs Group Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 18, 2011.

The Russell U.S. Large Cap Equity Income Index is designed to select securities intended to produce performance that is similar to professional investment managers using an equity income investment discipline. This discipline focuses on companies that demonstrate the ability to pay a stable dividend. Starting with the Russell 1000^® Index (an index comprised of U.S. stocks), the Index includes stocks that are expected to pay a dividend based on consensus one year dividend forecasts or have paid a dividend in the past year. The Index excludes stocks with high variability in earnings as measured by high earnings per share volatility over the past five years, low profitability as demonstrated by a low return on equity over the past five years or forecasted negative earnings over the next year.


Russell Equity Income ETF		55

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,247.60	$	1,023.15
Expenses Paid During Period*	$	2.08	$	1.87

*	Expenses are equal to the Fund’s annualized expense ratio of 0.37% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).


	56			Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 10.9%
American Eagle Outfitters, Inc.		5,057		87
Autoliv, Inc.		1,628		109
Best Buy Co., Inc.		4,222		100
Carnival Corp.		4,197		135
Comcast Corp. Class A		17,644		530
Costco Wholesale Corp.		3,145		286
Darden Restaurants, Inc.		2,084		107
Dick’s Sporting Goods, Inc.		2,170		104
Gap, Inc. (The)		5,221		136
Garmin, Ltd.		2,119		99
Genuine Parts Co.		1,855		116
Hasbro, Inc.		2,544		93
Home Depot, Inc.		10,183		512
International Game Technology		5,187		87
Interpublic Group of Cos., Inc. (The)		8,792		100
JC Penney Co., Inc.		2,638		93
Kohl’s Corp.		2,620		131
Leggett & Platt, Inc.		3,430		79
Lowe’s Cos., Inc.		9,596		301
Mattel, Inc.		4,096		138
Newell Rubbermaid, Inc.		5,370		96
News Corp. Class A		16,083		317
Omnicom Group, Inc.		2,904		147
PVH Corp.		1,192		106
Ralph Lauren Corp. Class A		785		137
Signet Jewelers, Ltd.		1,862		88
Staples, Inc.		8,287		134
Target Corp.		4,996		291
Tiffany & Co.		1,619		112
VF Corp.		955		139
Wal-Mart Stores, Inc.		10,777		661
Walt Disney Co. (The)		11,955		524
Williams-Sonoma, Inc.		2,159		81

				6,176


Consumer Staples - 6.5%
Beam, Inc.		2,033		119
Church & Dwight Co., Inc.		2,115		104
Coca-Cola Enterprises, Inc.		4,142		118
ConAgra Foods, Inc.		4,543		119
CVS Caremark Corp.		8,893		398
Dr Pepper Snapple Group, Inc.		2,754		111
Hormel Foods Corp.		2,834		84
JM Smucker Co. (The)		1,414		115
Kraft Foods, Inc. Class A		10,653		405
Kroger Co. (The)		5,640		137
McCormick & Co., Inc.		1,934		105
Molson Coors Brewing Co. Class B		2,135		97
Procter & Gamble Co. (The)		16,191		1,088
Reynolds American, Inc.		3,302		137
Safeway, Inc.		4,833		98
Sysco Corp.		5,265		157
Tyson Foods, Inc. Class A		4,600		88
Walgreen Co.		6,904		231

				3,711


	Principal Amount ($) or Shares		Market Value $
Energy - 9.3%
Chevron Corp.		11,577		1,242
ConocoPhillips		8,095		615
Diamond Offshore Drilling, Inc.		1,480		99
Exxon Mobil Corp.		28,550		2,475
Hubbell, Inc. Class B (Æ)		1,241		98
Marathon Oil Corp.		6,026		191
Murphy Oil Corp.		2,151		121
National Oilwell Varco, Inc.		3,235		257
Spectra Energy Corp.		5,531		175

				5,273


Financial Services - 19.5%
ACE, Ltd.		2,736		200
Aflac, Inc.		3,999		184
Allstate Corp. (The)		5,080		167
American Capital Agency Corp. (ö)		3,398		100
American Express Co.		7,029		407
American Financial Group, Inc.		2,093		81
Ameriprise Financial, Inc.		2,465		141
Annaly Capital Management, Inc. (ö)		9,014		143
Aon Corp.		3,108		152
Ares Capital Corp.		5,069		83
Arthur J Gallagher & Co.		2,429		87
Assurant, Inc.		2,013		82
AvalonBay Communities, Inc. (ö)		980		139
Axis Capital Holdings, Ltd.		2,617		87
Bank of New York Mellon Corp. (The)		9,931		240
BB&T Corp.		6,224		195
BlackRock, Inc. Class A		817		167
Boston Properties, Inc. (ö)		1,408		148
BRE Properties, Inc. Class A (ö)		1,617		82
Capital One Financial Corp.		3,984		222
Charles Schwab Corp. (The)		11,136		160
Chubb Corp. (The)		2,477		171
Cincinnati Financial Corp.		2,803		97
CME Group, Inc. Class A		617		179
Commerce Bancshares, Inc.		2,025		82
Digital Realty Trust, Inc. (ö)		1,465		108
Discover Financial Services		5,520		184
East West Bancorp, Inc.		3,904		90
Equifax, Inc.		2,247		99
Everest Re Group, Ltd.		977		90
Fidelity National Information Services, Inc.		3,727		123
First Niagara Financial Group, Inc.		8,974		88
Franklin Resources, Inc.		1,426		177
Global Payments, Inc.		1,726		82
Goldman Sachs Group, Inc. (The)		3,502		436
HCC Insurance Holdings, Inc.		2,802		87
Hudson City Bancorp, Inc.		12,353		90
Invesco, Ltd.		5,560		148
JPMorgan Chase & Co.		23,584		1,084
M&T Bank Corp.		1,484		129
Marsh & McLennan Cos., Inc.		4,923		161
MetLife, Inc.		6,498		243
Morgan Stanley		12,574		247
New York Community Bancorp, Inc.		7,322		102


Russell Equity Income ETF		57

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Northern Trust Corp.		2,724		129
NYSE Euronext		3,768		113
PartnerRe, Ltd. - ADR		1,320		90
PNC Financial Services Group, Inc.		3,966		256
Progressive Corp. (The)		6,516		151
Raymond James Financial, Inc.		2,528		92
Realty Income Corp. (ö)		2,474		96
RenaissanceRe Holdings, Ltd.		1,103		84
Senior Housing Properties Trust (ö)		3,609		80
State Street Corp.		4,264		194
TD Ameritrade Holding Corp.		5,096		101
Thomson Reuters Corp.		4,342		125
Torchmark Corp.		1,981		99
Total System Services, Inc.		4,006		92
Travelers Cos., Inc. (The)		3,347		198
Unum Group		4,493		110
US Bancorp		12,771		405
Wells Fargo & Co.		29,135		995
WR Berkley Corp.		2,400		87

				11,061


Health Care - 13.1%
Abbott Laboratories		9,580		587
Aetna, Inc.		3,517		176
AmerisourceBergen Corp. Class A		3,051		121
Amgen, Inc.		5,747		391
Becton Dickinson and Co.		2,011		156
Bristol-Myers Squibb Co.		11,038		373
Cardinal Health, Inc.		3,416		147
Cigna Corp.		3,011		148
Cooper Cos., Inc. (The)		1,118		91
Covidien PLC		4,098		224
Dentsply International, Inc.		2,513		101
Eli Lilly & Co.		7,110		286
Humana, Inc.		1,616		149
Johnson & Johnson		15,932		1,052
McKesson Corp.		2,159		189
Medtronic, Inc.		7,502		294
Merck & Co., Inc.		18,498		711
Pfizer, Inc.		46,058		1,045
Quest Diagnostics, Inc.		1,909		117
St. Jude Medical, Inc.		3,575		158
Stryker Corp.		2,939		163
UnitedHealth Group, Inc.		7,116		419
Universal Health Services, Inc. Class B		2,064		87
WellPoint, Inc.		2,845		210

				7,395


Materials and Processing - 5.8%
Air Products & Chemicals, Inc.		1,873		172
Airgas, Inc.		1,210		108
Albemarle Corp.		1,686		108
Aptargroup, Inc.		1,536		84
Bemis Co., Inc.		2,605		84
Eastman Chemical Co.		2,339		121
EI du Pont de Nemours & Co.		6,458		341
Freeport-McMoRan Copper & Gold, Inc.		6,890		262


	Principal Amount ($) or Shares		Market Value $
International Flavors & Fragrances, Inc.		1,603		94
Martin Marietta Materials, Inc.		1,059		91
MeadWestvaco Corp.		2,965		94
Monsanto Co.		3,829		304
Newmont Mining Corp.		3,705		190
Nucor Corp.		3,267		140
PPG Industries, Inc.		1,594		153
Precision Castparts Corp.		1,164		201
Reliance Steel & Aluminum Co.		1,663		94
Rock-Tenn Co. Class A		1,436		97
RPM International, Inc.		3,199		84
Sealed Air Corp.		4,596		89
Sigma-Aldrich Corp.		1,642		120
Sonoco Products Co.		2,397		80
Steel Dynamics, Inc.		5,835		85
Valspar Corp.		2,090		101

				3,297


Producer Durables - 12.9%
3M Co.		4,626		412
Ametek, Inc.		2,327		113
Avery Dennison Corp.		2,712		82
Cintas Corp.		2,370		93
Cooper Industries PLC		2,028		130
CSX Corp.		8,915		192
Danaher Corp.		4,334		243
Dover Corp.		2,070		130
Eaton Corp.		3,264		163
Emerson Electric Co.		5,460		285
FedEx Corp.		2,476		228
Flir Systems, Inc.		3,307		84
Fluor Corp.		2,166		130
General Dynamics Corp.		2,756		202
General Electric Co.		61,460		1,233
Honeywell International, Inc.		5,466		334
IDEX Corp.		2,098		88
Illinois Tool Works, Inc.		3,774		216
Iron Mountain, Inc.		2,892		83
KBR, Inc.		3,018		107
Kennametal, Inc.		2,118		94
L-3 Communications Holdings, Inc. Class 3		1,461		103
Manpower, Inc.		2,157		102
Norfolk Southern Corp.		2,790		184
Northrop Grumman Corp.		2,469		151
Parker Hannifin Corp.		1,626		137
Pentair, Inc.		2,371		113
Raytheon Co.		3,204		169
Republic Services, Inc. Class A		3,967		121
Roper Industries, Inc.		1,226		122
Southwest Airlines Co.		11,453		94
SPX Corp.		1,291		100
Towers Watson & Co. Class A		1,332		88
Union Pacific Corp.		3,252		350
United Technologies Corp.		5,834		483
Wabtec Corp.		1,137		86
Waste Connections, Inc.		2,462		80


	58			Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Waste Management, Inc.		4,454		156

				7,281


Technology - 12.0%
Activision Blizzard, Inc.		7,267		93
Amphenol Corp. Class A		2,249		134
Analog Devices, Inc.		3,342		135
Applied Materials, Inc.		12,893		160
Avago Technologies, Ltd.		3,159		123
Broadcom Corp. Class A (Æ)		5,004		197
CA, Inc.		5,114		141
Cisco Systems, Inc.		33,436		707
Computer Sciences Corp.		3,422		102
Corning, Inc.		13,269		187
Harris Corp.		2,342		106
Hewlett-Packard Co.		13,331		318
Intel Corp.		31,518		886
KLA-Tencor Corp.		2,181		119
Maxim Integrated Products, Inc.		3,957		113
Microchip Technology, Inc.		2,707		101
Microsoft Corp.		42,261		1,363
Oracle Corp.		23,490		685
QUALCOMM, Inc.		10,244		697
Texas Instruments, Inc.		8,509		286
Xilinx, Inc.		3,354		122

				6,775


Utilities - 9.7%
AGL Resources, Inc.		2,081		82
Alliant Energy Corp.		1,990		86
Ameren Corp.		3,158		103
American Electric Power Co., Inc.		4,105		158
Aqua America, Inc.		3,523		79
AT&T, Inc.		34,430		1,074
CenterPoint Energy, Inc.		5,360		106
CenturyLink, Inc.		5,025		194
CMS Energy Corp.		4,142		91
Consolidated Edison, Inc.		2,581		151
DTE Energy Co.		2,045		113
Entergy Corp.		1,806		121
Exelon Corp.		7,443		291
FirstEnergy Corp.		3,660		167
Frontier Communications Corp.		17,287		72
Great Plains Energy, Inc.		3,545		72
Integrys Energy Group, Inc.		1,555		82
MDU Resources Group, Inc.		3,875		87
NextEra Energy, Inc.		3,335		204
NiSource, Inc.		4,090		100
Northeast Utilities		2,657		99
NSTAR		1,865		91
NV Energy, Inc.		5,022		81
PG&E Corp.		3,653		159
Pinnacle West Capital Corp.		1,862		89
Public Service Enterprise Group, Inc.		4,610		141


	Principal Amount ($) or Shares			Market Value $
Questar Corp.		4,043			78
Southern Co.		6,005			270
TECO Energy, Inc.		4,363			77
UGI Corp.		2,686			73
Verizon Communications, Inc.		16,990			649
Wisconsin Energy Corp.		3,021			106
Xcel Energy, Inc.		4,850			128

					5,474


Total Common Stocks (cost $50,630)					56,443


Short-Term Investments - 0.2% Russell U.S. Cash Management Fund		134,457	(¥)		134


Total Short-Term Investments (cost $134)					134


Total Investments - 99.9% (identified cost $50,764)					56,577

Other Assets and Liabilities, Net - 0.1%					78


Net Assets - 100.0%					56,655

See accompanying notes which are an integral part of the financial statements.


Russell Equity Income ETF		59

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	6,176	$	—	$	—	$	6,176		10.9
Consumer Staples		3,711		—		—		3,711		6.5
Energy		5,273		—		—		5,273		9.3
Financial Services		10,979		—		82		11,061		19.5
Health Care		7,395		—		—		7,395		13.1
Materials and Processing		3,297		—		—		3,297		5.8
Producer Durables		7,281		—		—		7,281		12.9
Technology		6,775		—		—		6,775		12.0
Utilities		5,474		—		—		5,474		9.7
Short-Term Investments		—		134		—		134		0.2


Total Investments		56,361		134		82		56,577		99.9

Other Assets and Liabilities, Net										0.1


										100.0

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

Investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ending March 31, 2012 were less than 1% of net assets.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	60			Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Equity Income ETF

Assets
Investments, at identified cost	$	50,764
Investments, at market*		56,577
Receivables:
Dividends		97

Total assets		56,674


Liabilities
Payables:
Accrued fees to affiliates		19

Total liabilities		19


Net Assets	$	56,655

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	38
Accumulated net realized gain (loss)		(680	)
Unrealized appreciation (depreciation) on investments		5,813
Shares of beneficial interest		1
Additional paid-in capital		51,483

Net Assets	$	56,655

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.50
Net assets	$	56,654,703
Shares outstanding ($.001 par value)		1,100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	134

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		61

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Equity Income ETF*

Investment Income
Dividends	$	749

Total investment income		749


Expenses
Management fees		99
Trustee and trustee related fees		79

Expenses before reductions		178
Expense reductions		(79	)

Net expenses		99

Net investment income (loss)		650


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(685	)
In-kind redemptions		1,850

Net realized gain (loss)		1,165

Net change in unrealized appreciation (depreciation) on investments		5,813

Net realized and unrealized gain (loss)		6,978

Net Increase (Decrease) in Net Assets from Operations	$	7,628

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	62			Statement of Operations

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Equity Income ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	650
Net realized gain (loss)		1,165
Net change in unrealized appreciation (depreciation)		5,813

Net increase (decrease) in net assets from operations		7,628


Distributions
From net investment income		(612	)

Net decrease in net assets from distributions		(612	)


Share Transactions
Net increase (decrease) in net assets from share transactions		49,639

Total Net Increase (Decrease) in Net Assets		56,655

Net Assets
Beginning of period		—

End of period	$	56,655

Undistributed (overdistributed) net investment income included in net assets	$	38

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets		63

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Equity Income ETF
March 31, 2012*		49.57		1.00		1.69		2.69		(.76	)		(.76	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	64			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	51.50		5.57		56,655		.67		.37		2.43		27

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		65

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Large Cap Low P/E Index**
Inception*		2.02	%		2.09	%		2.45	%


	66			Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Low P/E ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Low P/E Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap Low P/E Index, which is designed to select securities intended to produce performance that is similar to professional investment managers using a low price to earnings investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 2.02%. This is compared to the Fund’s benchmark, the Russell U.S. Large Cap Low P/E Index, which gained 2.45% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while Technology was the worst performing sector. Consumer discretionary, with an average weight of 10.5% was the best contributor to Fund and Index returns. Financial services, with an average weight of 28.1%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Wells Fargo & Co, Pfizer Inc, and Chevron Corp generated positive returns and contributed the most to Fund performance while Bank of America Corp, Hewlett-Packard Co, and Goldman Sachs Group Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 18, 2011.

The Russell U.S. Large Cap Low P/E Index is designed to select securities intended to produce performance that is similar to professional investment managers following a low price to earnings investment discipline. This discipline focuses on companies that are trading at lower multiples relative to their prior level and/or their sector peers. Starting with the Russell 1000^® Value Index (an index comprised of U.S. stocks), the Index includes stocks that have a price to one year forecasted earnings, price to trailing earnings and/or price to cash flow multiple below their five year historical average. The Index excludes stocks that have a price to sales and/or price to book multiple that exceeds their sector peers, when all three inclusionary criteria are not met.


Russell Low P/E ETF		67

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,269.40	$	1,023.15
Expenses Paid During Period*	$	2.10	$	1.87

*	Expenses are equal to the Fund’s annualized expense ratio of 0.37% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).


	68			Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 11.4%
Abercrombie & Fitch Co. Class A		66		3
Autoliv, Inc.		115		8
Best Buy Co., Inc.		329		8
Brinker International, Inc.		109		3
Career Education Corp. (Æ)		378		3
CarMax, Inc. (Æ)		215		7
Carnival Corp.		394		13
CBS Corp. Class B		511		17
Chico’s FAS, Inc.		270		4
Comcast Corp. Class A		1,256		38
DeVry, Inc.		78		3
Dillard’s, Inc. Class A		79		5
DISH Network Corp. Class A		135		4
DR Horton, Inc.		425		6
DreamWorks Animation SKG, Inc. Class A (Æ)		212		4
DSW, Inc. Class A		61		3
Education Management Corp. (Æ)		113		2
Expedia, Inc.		126		4
Federal-Mogul Corp. (Æ)		194		3
Foot Locker, Inc.		230		7
Ford Motor Co.		1,444		18
GameStop Corp. Class A		214		5
Gannett Co., Inc.		386		6
Gap, Inc. (The)		395		10
General Motors Co. (Æ)		690		18
Harman International Industries, Inc.		84		4
Hyatt Hotels Corp. Class A (Æ)		94		4
Interpublic Group of Cos., Inc. (The)		471		5
Jarden Corp.		156		6
JC Penney Co., Inc.		190		7
Johnson Controls, Inc.		456		15
KAR Auction Services, Inc. (Æ)		197		3
Kohl’s Corp.		85		4
Lear Corp.		147		7
Liberty Media Corp.—Interactive (Æ)		604		12
Liberty Media Corp.—Liberty Capital Class A (Æ)		117		10
Macy’s, Inc.		356		14
MGM Resorts International (Æ)		455		6
Mohawk Industries, Inc. (Æ)		88		6
Newell Rubbermaid, Inc.		375		7
Penn National Gaming, Inc. (Æ)		123		5
PulteGroup, Inc. (Æ)		643		6
PVH Corp.		71		6
RadioShack Corp.		346		2
Royal Caribbean Cruises, Ltd.		140		4
Sears Holdings Corp. (Æ)		112		7
Service Corp. International		395		4
Signet Jewelers, Ltd.		122		6
Snap-on, Inc.		90		6
Stanley Black & Decker, Inc.		162		13
Staples, Inc.		713		12
Target Corp.		532		31
Thor Industries, Inc.		124		4


	Principal Amount ($) or Shares		Market Value $
Time Warner, Inc.		806		30
Toll Brothers, Inc. (Æ)		243		6
TRW Automotive Holdings Corp. (Æ)		156		7
Wal-Mart Stores, Inc.		358		22
Walt Disney Co. (The)		1,451		64
Washington Post Co. (The) Class B		10		4
Wendy’s Co. (The)		672		3
Whirlpool Corp.		112		9
WMS Industries, Inc. (Æ)		162		4

				567


Consumer Staples - 7.0%
Archer-Daniels-Midland Co.		588		19
Beam, Inc.		165		10
Bunge, Ltd.		126		9
Coca-Cola Enterprises, Inc.		159		4
Colgate-Palmolive Co.		64		6
ConAgra Foods, Inc.		362		9
Constellation Brands, Inc. Class A (Æ)		269		6
Corn Products International, Inc.		58		3
CVS Caremark Corp.		1,053		47
Dean Foods Co. (Æ)		379		5
Energizer Holdings, Inc. (Æ)		85		6
Kraft Foods, Inc. Class A		1,285		49
Kroger Co. (The)		222		5
Molson Coors Brewing Co. Class B		159		7
Procter & Gamble Co. (The)		1,944		131
Ralcorp Holdings, Inc. (Æ)		71		5
Safeway, Inc.		385		8
Smithfield Foods, Inc. (Æ)		221		5
SUPERVALU, Inc.		475		3
Tyson Foods, Inc. Class A		349		7
Walgreen Co.		118		4

				348


Energy - 11.7%
Alpha Natural Resources, Inc. (Æ)		189		3
Apache Corp.		230		23
Arch Coal, Inc.		321		3
Atwood Oceanics, Inc. (Æ)		90		4
Baker Hughes, Inc.		246		10
Chesapeake Energy Corp.		603		14
Chevron Corp.		1,411		151
ConocoPhillips		1,011		77
Denbury Resources, Inc. (Æ)		234		4
Devon Energy Corp.		355		25
Diamond Offshore Drilling, Inc.		74		5
EQT Corp.		108		5
Exxon Mobil Corp.		978		85
Forest Oil Corp. (Æ)		214		3
Hess Corp.		269		16
Marathon Oil Corp.		612		19
Murphy Oil Corp.		168		10
Nabors Industries, Ltd. (Æ)		367		6
Newfield Exploration Co. (Æ)		112		4
Occidental Petroleum Corp.		454		43
Oil States International, Inc. (Æ)		38		3


Russell Low P/E ETF		69

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Patterson-UTI Energy, Inc.		216		4
Plains Exploration & Production Co. (Æ)		171		7
QEP Resources, Inc.		123		4
Quicksilver Resources, Inc. (Æ)		476		2
Rowan Cos., Inc. (Æ)		169		6
SEACOR Holdings, Inc. (Æ)		47		5
SunPower Corp. Class A (Æ)		498		3
Tesoro Corp. (Æ)		207		6
Valero Energy Corp.		543		14
Williams Cos., Inc. (The)		511		16
WPX Energy, Inc. (Æ)		157		3

				583


Financial Services - 29.4%
ACE, Ltd.		287		21
Aflac, Inc.		404		19
Alleghany Corp. (Æ)		26		9
Allied World Assurance Co. Holdings AG		65		4
Allstate Corp. (The)		480		16
American Capital, Ltd. (Æ)		652		6
American Financial Group, Inc.		123		5
American International Group, Inc. (Æ)		438		14
Ameriprise Financial, Inc.		215		12
Annaly Capital Management, Inc. (ö)		863		14
Aon Corp.		299		15
Aspen Insurance Holdings, Ltd.		141		4
Associated Banc-Corp.		348		5
Assurant, Inc.		135		5
Assured Guaranty, Ltd.		319		5
Axis Capital Holdings, Ltd.		169		6
Bank of America Corp.		7,915		76
Bank of New York Mellon Corp. (The)		1,045		25
BB&T Corp.		615		19
Berkshire Hathaway, Inc. Class B (Æ)		1,314		107
BlackRock, Inc. Class A		46		9
Capital One Financial Corp.		401		22
Capitol Federal Financial, Inc.		366		4
Chimera Investment Corp. (ö)		1,808		5
Cincinnati Financial Corp.		194		7
CIT Group, Inc. (Æ)		223		9
Citigroup, Inc.		2,224		81
City National Corp.		90		5
CME Group, Inc. Class A		60		17
CNA Financial Corp.		111		3
Comerica, Inc.		250		8
Commerce Bancshares, Inc.		121		5
CoreLogic, Inc. (Æ)		270		4
Cullen/Frost Bankers, Inc.		92		5
Discover Financial Services		471		16
E*Trade Financial Corp. (Æ)		517		6
East West Bancorp, Inc.		237		5
Endurance Specialty Holdings, Ltd.		90		4
Everest Re Group, Ltd.		65		6
Federated Investors, Inc. Class B		181		4
Fidelity National Financial, Inc. Class A		330		6
Fidelity National Information Services, Inc.		292		10
Fifth Third Bancorp		881		12


	Principal Amount ($) or Shares		Market Value $
First Citizens BancShares, Inc. Class A (Æ)		19		3
First Horizon National Corp.		509		5
First Niagara Financial Group, Inc.		562		6
First Republic Bank (Æ)		135		4
Fiserv, Inc. (Æ)		62		4
Forest City Enterprises, Inc. Class A (Æ)		337		5
Fulton Financial Corp.		427		4
Genworth Financial, Inc. Class A (Æ)		784		7
Hartford Financial Services Group, Inc.		489		10
HCC Insurance Holdings, Inc.		180		6
HCP, Inc. (ö)		361		14
Hudson City Bancorp, Inc.		692		5
Huntington Bancshares, Inc.		1,115		7
Invesco, Ltd.		471		13
Janus Capital Group, Inc.		556		5
Jefferies Group, Inc.		282		5
Jones Lang LaSalle, Inc.		48		4
JPMorgan Chase & Co.		2,986		137
Kemper Corp.		124		4
KeyCorp		1,062		9
Legg Mason, Inc.		213		6
Liberty Property Trust (ö)		170		6
Lincoln National Corp.		373		10
Loews Corp.		302		12
M&T Bank Corp.		127		11
Mack-Cali Realty Corp. (ö)		168		5
Marsh & McLennan Cos., Inc.		486		16
MetLife, Inc.		689		26
Morgan Stanley		1,314		26
NASDAQ OMX Group, Inc. (The) (Æ)		188		5
New York Community Bancorp, Inc.		534		7
NYSE Euronext		234		7
People’s United Financial, Inc.		431		6
Piedmont Office Realty Trust, Inc. Class A (ö)		282		5
PNC Financial Services Group, Inc.		434		28
Popular, Inc. (Æ)		2,657		5
Principal Financial Group, Inc.		331		10
Protective Life Corp.		175		5
Prudential Financial, Inc.		411		26
Raymond James Financial, Inc.		151		6
Regions Financial Corp.		1,513		10
Reinsurance Group of America, Inc. Class A		105		6
SLM Corp.		594		9
StanCorp Financial Group, Inc.		101		4
State Street Corp.		435		20
SunTrust Banks, Inc.		543		13
Synovus Financial Corp.		2,394		5
TCF Financial Corp.		346		4
Thomson Reuters Corp.		245		7
Torchmark Corp.		132		7
Unum Group		340		8
US Bancorp		1,514		48
Visa, Inc. Class A		284		34
Vornado Realty Trust (ö)		152		13
Washington Federal, Inc.		281		5


	70			Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Wells Fargo & Co.		3,451		118
Weyerhaeuser Co. (ö)		422		9
White Mountains Insurance Group, Ltd.		11		6
XL Group PLC Class A		361		8

				1,459


Health Care - 12.2%
Abbott Laboratories		117		7
Aetna, Inc.		341		17
Alere, Inc. (Æ)		167		4
AMERIGROUP Corp. Class A (Æ)		53		4
Baxter International, Inc.		95		6
Bio-Rad Laboratories, Inc. Class A (Æ)		42		4
Bristol-Myers Squibb Co.		1,329		45
Cardinal Health, Inc.		194		8
CareFusion Corp. (Æ)		217		6
Cigna Corp.		274		13
Community Health Systems, Inc. (Æ)		229		5
Cooper Cos., Inc. (The)		60		5
Coventry Health Care, Inc.		196		7
Covidien PLC		228		12
Eli Lilly & Co.		567		23
Forest Laboratories, Inc. (Æ)		283		10
Health Net, Inc. (Æ)		146		6
Henry Schein, Inc. (Æ)		73		5
Hill-Rom Holdings, Inc.		77		3
Hologic, Inc. (Æ)		343		7
Hospira, Inc. (Æ)		107		4
Humana, Inc.		154		14
Life Technologies Corp. (Æ)		188		9
LifePoint Hospitals, Inc. (Æ)		107		4
Medtronic, Inc.		177		7
Merck & Co., Inc.		2,335		90
Mylan, Inc. (Æ)		153		4
Omnicare, Inc.		162		6
Patterson Cos., Inc.		136		5
PerkinElmer, Inc.		215		6
Pfizer, Inc.		5,901		134
Qiagen NV (Æ)		363		6
Teleflex, Inc.		67		4
Tenet Healthcare Corp. (Æ)		818		4
Thermo Fisher Scientific, Inc.		342		19
UnitedHealth Group, Inc.		848		50
VCA Antech, Inc. (Æ)		190		4
Warner Chilcott PLC Class A (Æ)		196		3
WellPoint, Inc.		295		22
Zimmer Holdings, Inc.		181		12

				604


Materials and Processing - 4.1%
Alcoa, Inc.		1,085		11
Armstrong World Industries, Inc. (Æ)		73		4
Ashland, Inc.		104		6
Bemis Co., Inc.		170		5
Cabot Corp.		132		6
CF Industries Holdings, Inc.		25		5
Commercial Metals Co.		266		4


	Principal Amount ($) or Shares		Market Value $
Cytec Industries, Inc.		94		6
Domtar Corp.		57		5
Dow Chemical Co. (The)		958		33
Greif, Inc. Class A		86		5
Huntsman Corp.		379		5
International Paper Co.		342		12
LyondellBasell Industries NV Class A		295		13
MeadWestvaco Corp.		218		7
Newmont Mining Corp.		403		21
Nucor Corp.		298		13
Owens Corning (Æ)		183		7
Owens-Illinois, Inc. (Æ)		252		6
Post Holdings, Inc. (Æ)		35		1
Reliance Steel & Aluminum Co.		98		5
Rockwood Holdings, Inc. (Æ)		67		3
Schnitzer Steel Industries, Inc. Class A		70		3
Sealed Air Corp.		294		6
Steel Dynamics, Inc.		234		3
Timken Co.		75		4
WR Grace & Co. (Æ)		60		3

				202


Producer Durables - 11.0%
AECOM Technology Corp. (Æ)		168		4
AGCO Corp. (Æ)		130		6
Alexander & Baldwin, Inc.		95		5
Alliant Techsystems, Inc.		69		3
Avery Dennison Corp.		166		5
BE Aerospace, Inc. (Æ)		69		3
Boeing Co. (The)		97		7
Booz Allen Hamilton Holding Corp. Class A		148		2
Chicago Bridge & Iron Co. NV		97		4
CNH Global NV (Æ)		89		4
Con-way, Inc.		132		4
Copa Holdings SA Class A		50		4
Corrections Corp. of America (Æ)		203		6
Covanta Holding Corp.		281		5
Delta Air Lines, Inc. (Æ)		575		6
Eaton Corp.		216		11
FedEx Corp.		250		23
Flowserve Corp.		29		3
General Cable Corp. (Æ)		129		4
General Dynamics Corp.		283		21
General Electric Co.		7,906		159
Genpact, Ltd. (Æ)		208		3
GrafTech International, Ltd. (Æ)		283		3
Harsco Corp.		189		4
Ingersoll-Rand PLC		138		6
Itron, Inc. (Æ)		101		5
ITT Corp.		212		5
Jacobs Engineering Group, Inc. (Æ)		151		7
KBR, Inc.		199		7
Kennametal, Inc.		129		6
L-3 Communications Holdings, Inc. Class 3		113		8
Lexmark International, Inc. Class A		133		4
Lockheed Martin Corp.		54		5
Manpower, Inc.		134		6


Russell Low P/E ETF		71

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

McDermott International, Inc. (Æ)		264		3
Monster Worldwide, Inc. (Æ)		389		4
Navistar International Corp. (Æ)		90		4
Northrop Grumman Corp.		237		14
Oshkosh Corp. (Æ)		199		5
Parker Hannifin Corp.		102		9
Pentair, Inc.		152		7
Pitney Bowes, Inc.		277		5
Quanta Services, Inc. (Æ)		281		6
Raytheon Co.		316		17
Regal-Beloit Corp.		83		5
Republic Services, Inc. Class A		331		10
RR Donnelley & Sons Co.		321		4
Ryder System, Inc.		84		4
Shaw Group, Inc. (The) (Æ)		153		5
Southwest Airlines Co.		787		6
Spirit Aerosystems Holdings, Inc. Class A (Æ)		202		5
SPX Corp.		72		6
Teekay Corp.		128		4
Textron, Inc.		334		9
Towers Watson & Co. Class A		80		5
Tyco International, Ltd.		402		23
United Continental Holdings, Inc. (Æ)		177		4
URS Corp.		137		6
UTi Worldwide, Inc.		217		4
Verisk Analytics, Inc. Class A (Æ)		75		3
Xerox Corp.		1,359		11

				546


Technology - 6.1%
Activision Blizzard, Inc.		525		7
Akamai Technologies, Inc. (Æ)		89		3
Amdocs, Ltd. (Æ)		221		7
AOL, Inc. (Æ)		252		5
Applied Materials, Inc.		1,152		14
Arrow Electronics, Inc. (Æ)		144		6
Atmel Corp. (Æ)		349		4
Avnet, Inc. (Æ)		202		7
AVX Corp.		243		3
Brocade Communications Systems, Inc. (Æ)		809		5
Computer Sciences Corp.		226		7
Corning, Inc.		1,359		19
Cree, Inc. (Æ)		196		6
Dell, Inc. (Æ)		498		8
Diebold, Inc.		131		5
DST Systems, Inc.		79		4
EchoStar Corp. Class A (Æ)		155		4
Fairchild Semiconductor International, Inc. Class A (Æ)		325		5
Harris Corp.		137		6
Hewlett-Packard Co.		1,558		37
IAC/InterActiveCorp		118		6
Ingram Micro, Inc. Class A (Æ)		272		5
International Rectifier Corp. (Æ)		188		4
Intersil Corp. Class A		300		3
Jabil Circuit, Inc.		166		4


	Principal Amount ($) or Shares		Market Value $
KLA-Tencor Corp.		82		5
LSI Corp. (Æ)		759		7
Marvell Technology Group, Ltd. (Æ)		563		9
MEMC Electronic Materials, Inc. (Æ)		742		3
Micron Technology, Inc. (Æ)		1,034		8
Molex, Inc.		216		6
Motorola Solutions, Inc.		277		14
NCR Corp. (Æ)		186		4
Novellus Systems, Inc. (Æ)		110		6
PMC - Sierra, Inc. (Æ)		642		5
QLogic Corp. (Æ)		185		3
SAIC, Inc.		359		5
Tech Data Corp. (Æ)		81		4
Teradyne, Inc. (Æ)		314		5
Vishay Intertechnology, Inc. (Æ)		401		5
Western Digital Corp. (Æ)		256		11
Yahoo!, Inc. (Æ)		1,118		17

				301


Utilities - 6.9%
AES Corp. (The) (Æ)		705		9
Ameren Corp.		256		8
American Electric Power Co., Inc.		419		16
Atmos Energy Corp.		146		5
Calpine Corp. (Æ)		444		8
CenterPoint Energy, Inc.		451		9
DTE Energy Co.		173		10
Duke Energy Corp.		1,100		23
Edison International		302		13
Entergy Corp.		167		11
Exelon Corp.		737		29
FirstEnergy Corp.		368		17
Frontier Communications Corp.		1,286		5
GenOn Energy, Inc. (Æ)		1,581		3
Hawaiian Electric Industries, Inc.		170		4
Integrys Energy Group, Inc.		106		6
National Fuel Gas Co.		102		5
NII Holdings, Inc. (Æ)		140		3
Northeast Utilities		203		8
NRG Energy, Inc. (Æ)		323		5
NV Energy, Inc.		335		5
Pepco Holdings, Inc.		296		6
PG&E Corp.		352		15
Pinnacle West Capital Corp.		135		6
Public Service Enterprise Group, Inc.		451		14
Sempra Energy		224		13
Sprint Nextel Corp. (Æ)		3,324		9
Telephone & Data Systems, Inc.		181		4
Time Warner Telecom, Inc. Class A (Æ)		147		3
UGI Corp.		172		5
US Cellular Corp. (Æ)		64		3
Verizon Communications, Inc.		1,674		64

				344


Total Common Stocks (cost $4,967)				4,954


	72			Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,768	(¥)		5


Total Short-Term Investments (cost $5)					5


Total Investments - 99.9% (identified cost $4,972)					4,959

Other Assets and Liabilities, Net - 0.1%					7


Net Assets - 100.0%					4,966

See accompanying notes which are an integral part of the financial statements.


Russell Low P/E ETF		73

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	567	$	—	$	—	$	567		11.4
Consumer Staples		348		—		—		348		7.0
Energy		583		—		—		583		11.7
Financial Services		1,459		—		—		1,459		29.4
Health Care		604		—		—		604		12.2
Materials and Processing		202		—		—		202		4.1
Producer Durables		546		—		—		546		11.0
Technology		301		—		—		301		6.1
Utilities		344		—		—		344		6.9
Short-Term Investments		—		5		—		5		0.1


Total Investments		4,954		5		—		4,959		99.9

Other Assets and Liabilities, Net										0.1


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	74			Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Low P/E ETF

Assets
Investments, at identified cost	$	4,972
Investments, at market*		4,959
Receivables:
Dividends		9

Total assets		4,968


Liabilities
Payables:
Accrued fees to affiliates		2

Total liabilities		2


Net Assets	$	4,966

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	4
Accumulated net realized gain (loss)		(304	)
Unrealized appreciation (depreciation) on investments		(13	)
Additional paid-in capital		5,279

Net Assets	$	4,966

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	49.66
Net assets	$	4,966,173
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	5

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		75

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Low P/E ETF*

Investment Income
Dividends	$	151

Total investment income		151


Expenses
Management fees		24
Trustee and trustee related fees		21

Expenses before reductions		45
Expense reductions		(21	)

Net expenses		24

Net investment income (loss)		127


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(315	)
In-kind redemptions		(48	)

Net realized gain (loss)		(363	)
Net change in unrealized appreciation (depreciation) on investments		(13	)

Net realized and unrealized gain (loss)		(376	)

Net Increase (Decrease) in Net Assets from Operations	$	(249	)

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	76			Statement of Operations

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Low P/E ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	127
Net realized gain (loss)		(363	)
Net change in unrealized appreciation (depreciation)		(13	)

Net increase (decrease) in net assets from operations		(249	)


Distributions
From net investment income		(122	)

Net decrease in net assets from distributions		(122	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,337

Total Net Increase (Decrease) in Net Assets		4,966

Net Assets
Beginning of period		—

End of period	$	4,966

Undistributed (overdistributed) net investment income included in net assets	$	4

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets		77

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Low P/E ETF
March 31, 2012*		49.51		.77		.15		.92		(.77	)		(.77	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	78			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	49.66		2.02		4,966		.70		.37		1.98		48

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		79

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Small Cap Aggressive Growth Index**
Inception*		37.52	%		37.06	%		38.14	%


	80			Russell Small Cap Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Small Cap Aggressive Growth ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Aggressive Growth Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Aggressive Growth Index, which is designed to select securities intended to produce performance that is similar to professional investment managers using a small cap aggressive growth investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 37.52%. This is compared to the Fund’s benchmark, the Russell U.S. Small Cap Aggressive Growth Index, which gained 38.14% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

All sectors had positive returns for the Fund and the Index. Energy was the best performing sector for the Fund and the Index, while consumer staples was the worst performing sector. Technology, with an average weight of 26.2% was the best contributor to Fund and Index returns. Consumer staples, with an average weight of 1.5%, contributed the least to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Cheniere Energy Inc, Flotek Industries Inc, and Ista Pharmaceuticals Inc generated positive returns and contributed the most to Fund performance while Houston American Energy Corp, BioSante Pharmaceuticals Inc, and Diamond Foods Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares October 4, 2011.

The Russell U.S. Small Cap Aggressive Growth Index is designed to select securities intended to produce performance that is similar to professional investment managers using a small cap aggressive growth investment discipline. This discipline focuses on companies with near term forecasted earnings that are expected to increase at a faster rate than those of the average company’s earnings. Starting with the Russell 2500^® Index (an index comprised of U.S. stocks), the Index includes stocks that demonstrate growth potential as measured by: (1) average to high consensus forecasted earnings and (2) average to high one year historical sales growth. The Index excludes stocks with low earnings retention as measured by high dividend yields for the last four quarters. It also excludes stocks with low price to book ratios to ensure a growth orientation. The Index constituents are weighted based on a composite score of their growth and momentum characteristics. The Index is reconstituted quarterly.


Russell Small Cap Aggressive Growth ETF		81

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 4, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,375.20	$	1,022.75
Expenses Paid During Period*	$	2.63	$	2.28

Actual expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the 180-day period annualized), multiplied by the average account value over the period, multiplied by 180/366 (to reflect the period since commencement of operations). Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized) multiplied by the average amount value over the period, multiplied by 183/366 (to reflect the one-half year period).


	82			Russell Small Cap Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 13.3%
Ancestry.com, Inc. (Æ)		640		15
Arbitron, Inc.		435		16
Asbury Automotive Group, Inc. (Æ)		686		19
Ascena Retail Group, Inc. (Æ)		497		22
Big Lots, Inc. (Æ)		392		17
Blue Nile, Inc. (Æ)		363		12
Brunswick Corp.		817		21
Caribou Coffee Co., Inc. (Æ)		1,978		37
Carter’s, Inc. (Æ)		370		18
Cheesecake Factory, Inc. (The) (Æ)		510		15
Cost Plus, Inc. (Æ)		1,506		27
Deckers Outdoor Corp. (Æ)		196		12
Drew Industries, Inc. (Æ)		604		16
Fossil, Inc. (Æ)		347		46
Gentex Corp.		917		22
Goodyear Tire & Rubber Co. (The) (Æ)		1,057		12
HSN, Inc.		413		16
Jack in the Box, Inc. (Æ)		709		17
Kirkland’s, Inc. (Æ)		1,110		18
Knology, Inc. (Æ)		1,041		19
La-Z-Boy, Inc. Class Z (Æ)		1,242		19
Leapfrog Enterprises, Inc. Class A (Æ)		2,644		22
Monro Muffler Brake, Inc.		701		29
Nu Skin Enterprises, Inc. Class A		305		18
NVR, Inc. (Æ)		21		15
Penn National Gaming, Inc. (Æ)		388		17
PVH Corp.		210		19
Revlon, Inc. Class A (Æ)		997		17
Sinclair Broadcast Group, Inc. Class A		2,439		27
Six Flags Entertainment Corp.		672		31
Smith & Wesson Holding Corp. (Æ)		6,332		49
Stamps.com, Inc. (Æ)		565		16
Steven Madden, Ltd. (Æ)		800		34
Tempur-Pedic International, Inc. (Æ)		521		44
Travelzoo, Inc. (Æ)		599		14
Under Armour, Inc. Class A (Æ)		385		36
Warnaco Group, Inc. (The) (Æ)		295		17
Zagg, Inc. (Æ)		3,902		41

				862


Consumer Staples - 1.0%
Casey’s General Stores, Inc.		286		16
Coca-Cola Bottling Co. Consolidated		253		16
Hain Celestial Group, Inc. (The) (Æ)		403		18
Heckmann Corp. (Æ)		4,100		17

				67


Energy - 11.3%
Approach Resources, Inc. (Æ)		938		35
Basic Energy Services, Inc. (Æ)		760		13
Berry Petroleum Co. Class A		657		31
Capstone Turbine Corp. (Æ)		23,383		24
CARBO Ceramics, Inc.		219		23
Carrizo Oil & Gas, Inc. (Æ)		1,030		29
Cheniere Energy, Inc. (Æ)		3,171		49


	Principal Amount ($) or Shares		Market Value $
Clean Energy Fuels Corp. (Æ)		2,214		48
CVR Energy, Inc. (Æ)		784		21
Dawson Geophysical Co. (Æ)		687		24
FX Energy, Inc. (Æ)		5,750		31
GeoResources, Inc. (Æ)		927		30
Goodrich Petroleum Corp. (Æ)		2,009		38
Gulfport Energy Corp. (Æ)		937		27
Houston American Energy Corp. (Æ)		2,267		12
Key Energy Services, Inc. (Æ)		968		15
Kodiak Oil & Gas Corp.		2,857		28
Lufkin Industries, Inc.		410		33
Magnum Hunter Resources Corp. (Æ)		5,121		33
Mitcham Industries, Inc. (Æ)		685		15
Newpark Resources, Inc. (Æ)		2,857		23
Northern Oil and Gas, Inc. (Æ)		1,157		24
Oasis Petroleum, Inc. (Æ)		949		29
Oil States International, Inc. (Æ)		196		15
OYO Geospace Corp. (Æ)		191		20
Rex Energy Corp. (Æ)		971		10
Rosetta Resources, Inc. (Æ)		635		31
RPC, Inc.		2,224		24

				735


Financial Services - 5.3%
Advent Software, Inc. (Æ)		607		16
Cardtronics, Inc. (Æ)		553		15
Cohen & Steers, Inc.		509		16
eHealth, Inc. (Æ)		1,017		17
Euronet Worldwide, Inc. (Æ)		810		17
Fair Isaac Corp.		414		18
Financial Engines, Inc. (Æ)		1,215		27
Global Cash Access Holdings, Inc. (Æ)		6,203		47
Global Payments, Inc.		316		15
Heartland Payment Systems, Inc.		1,134		32
Investors Bancorp, Inc. (Æ)		1,100		17
MSCI, Inc. Class A (Æ)		450		17
Raymond James Financial, Inc.		477		17
Signature Bank NY (Æ)		247		16
Texas Capital Bancshares, Inc. (Æ)		483		17
World Acceptance Corp. (Æ)		376		23
Wright Express Corp. (Æ)		271		18

				345


Health Care - 22.4%
Accretive Health, Inc. (Æ)		1,202		24
Acorda Therapeutics, Inc. (Æ)		627		17
Air Methods Corp. (Æ)		327		29
Akorn, Inc. (Æ)		2,494		29
Align Technology, Inc. (Æ)		1,169		32
Alkermes PLC (Æ)		1,598		30
AMAG Pharmaceuticals, Inc. (Æ)		1,437		23
Analogic Corp.		474		32
Ariad Pharmaceuticals, Inc. (Æ)		2,253		36
Arqule, Inc. (Æ)		2,605		18
Arthrocare Corp. (Æ)		858		23
athenahealth, Inc. (Æ)		562		42
Auxilium Pharmaceuticals, Inc. (Æ)		1,363		25


Russell Small Cap Aggressive Growth ETF		83

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

AVANIR Pharmaceuticals, Inc. Class A (Æ)		13,452		46
Cell Therapeutics, Inc. (Æ)		23,459		30
Conceptus, Inc. (Æ)		2,152		31
Cooper Cos., Inc. (The)		210		17
Covance, Inc. (Æ)		327		16
Cyberonics, Inc. (Æ)		828		32
DexCom, Inc. (Æ)		2,965		31
Endo Pharmaceuticals Holdings, Inc. (Æ)		426		16
Endologix, Inc. (Æ)		2,405		35
Genomic Health, Inc. (Æ)		1,088		33
Gen-Probe, Inc. (Æ)		251		17
HeartWare International, Inc. (Æ)		400		26
Impax Laboratories, Inc. (Æ)		1,374		34
Incyte Corp., Ltd. (Æ)		1,840		36
Insulet Corp. (Æ)		1,473		28
ISTA Pharmaceuticals, Inc. (Æ)		3,932		35
Jazz Pharmaceuticals PLC (Æ)		708		34
Luminex Corp. (Æ)		1,279		30
MAKO Surgical Corp. (Æ)		1,082		46
Medicis Pharmaceutical Corp. Class A		450		17
Medidata Solutions, Inc. (Æ)		659		18
Merge Healthcare, Inc. (Æ)		5,713		33
Momenta Pharmaceuticals, Inc. (Æ)		825		13
Neurocrine Biosciences, Inc. (Æ)		1,739		14
NxStage Medical, Inc. (Æ)		1,559		30
Omnicell, Inc. (Æ)		1,680		26
Opko Health, Inc. (Æ)		5,536		26
Orexigen Therapeutics, Inc. (Æ)		9,106		37
PAREXEL International Corp. (Æ)		1,336		36
PDL BioPharma, Inc.		2,414		15
Regeneron Pharmaceuticals, Inc. (Æ)		493		57
Rigel Pharmaceuticals, Inc. (Æ)		3,499		28
Select Medical Holdings Corp. (Æ)		1,767		14
Spectrum Pharmaceuticals, Inc. (Æ)		1,898		24
SXC Health Solutions Corp. (Æ)		489		37
Transcept Pharmaceuticals, Inc. (Æ)		1,894		20
Volcano Corp. (Æ)		1,165		33
Zoll Medical Corp. (Æ)		437		40

				1,451


Materials and Processing - 5.4%
Allied Nevada Gold Corp. (Æ)		896		29
American Vanguard Corp.		1,108		24
Beacon Roofing Supply, Inc. (Æ)		731		19
Cabot Microelectronics Corp.		575		22
Calgon Carbon Corp. (Æ)		944		15
Carpenter Technology Corp.		539		28
Haynes International, Inc.		274		17
Jaguar Mining, Inc. (Æ)		4,348		20
NCI Building Systems, Inc. (Æ)		1,360		16
Polypore International, Inc. (Æ)		615		22
Royal Gold, Inc.		410		27
Titanium Metals Corp.		999		14
Tredegar Corp.		1,248		24
Trex Co., Inc. (Æ)		1,210		39
Universal Stainless & Alloy (Æ)		401		17


	Principal Amount ($) or Shares		Market Value $
Valspar Corp.		380		18

				351


Producer Durables - 13.5%
ACCO Brands Corp. (Æ)		1,533		19
Advisory Board Co. (The) (Æ)		372		33
Allegiant Travel Co. Class A (Æ)		277		15
Barnes Group, Inc.		613		16
BE Aerospace, Inc. (Æ)		380		18
Blount International, Inc. (Æ)		1,018		17
Carlisle Cos., Inc.		334		17
Colfax Corp. (Æ)		969		34
Copa Holdings SA Class A		252		20
DXP Enterprises, Inc. (Æ)		857		36
Dycom Industries, Inc. (Æ)		707		17
ExlService Holdings, Inc. (Æ)		663		18
FARO Technologies, Inc. (Æ)		600		35
Forward Air Corp.		461		17
Franklin Electric Co., Inc.		338		17
FTI Consulting, Inc. (Æ)		353		13
GenCorp, Inc. (Æ)		5,101		35
Graco, Inc.		361		19
Insperity, Inc.		583		18
Lincoln Electric Holdings, Inc.		379		17
Liquidity Services, Inc. (Æ)		748		34
LoopNet, Inc. (Æ)		1,487		28
MasTec, Inc. (Æ)		861		16
Maxwell Technologies, Inc. (Æ)		1,699		31
Measurement Specialties, Inc. (Æ)		526		18
National Instruments Corp.		1,069		30
Nordson Corp.		359		20
Old Dominion Freight Line, Inc. (Æ)		365		17
OSI Systems, Inc. (Æ)		569		35
Raven Industries, Inc.		242		15
Robert Half International, Inc.		526		16
Rush Enterprises, Inc. Class A (Æ)		707		15
Ryder System, Inc.		282		15
Spirit Aerosystems Holdings, Inc. Class A (Æ)		713		17
Team, Inc. (Æ)		503		16
Tennant Co.		382		17
Titan International, Inc.		1,418		34
Titan Machinery, Inc. (Æ)		680		19
Toro Co. (The)		243		17
Triumph Group, Inc.		252		16
Zebra Technologies Corp. Class A (Æ)		414		17

				874


Technology - 25.2%
3D Systems Corp. (Æ)		1,020		24
AboveNet, Inc. (Æ)		230		19
Acacia Research Corp. (Æ)		760		32
ACI Worldwide, Inc. (Æ)		516		21
Acme Packet, Inc. (Æ)		480		13
Anixter International, Inc. (Æ)		248		18
Ariba, Inc. (Æ)		988		32
Cadence Design Systems, Inc. (Æ)		2,666		32


	84			Russell Small Cap Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Cavium, Inc. (Æ)		520		16
Ciena Corp. (Æ)		2,280		37
Cirrus Logic, Inc. (Æ)		931		22
Cognex Corp.		413		17
Coherent, Inc. (Æ)		283		17
CommVault Systems, Inc. (Æ)		646		32
comScore, Inc. (Æ)		1,308		28
Concur Technologies, Inc. (Æ)		546		31
DealerTrack Holdings, Inc. (Æ)		544		16
Equinix, Inc. (Æ)		272		44
Extreme Networks (Æ)		5,118		20
GSI Group, Inc. (Æ)		1,445		17
IAC/InterActiveCorp		637		31
iGate Corp. (Æ)		940		16
Interactive Intelligence Group, Inc. (Æ)		643		20
InterDigital, Inc.		635		22
IPG Photonics Corp. (Æ)		432		22
JDA Software Group, Inc. (Æ)		840		23
Keynote Systems, Inc.		1,324		26
Kulicke & Soffa Industries, Inc. (Æ)		2,984		38
LivePerson, Inc. (Æ)		2,209		37
LogMeIn, Inc. (Æ)		720		25
LSI Corp. (Æ)		2,469		21
MicroStrategy, Inc. Class A (Æ)		251		35
MKS Instruments, Inc.		531		16
Monolithic Power Systems, Inc. (Æ)		991		19
NCR Corp. (Æ)		898		19
NetSuite, Inc. (Æ)		684		34
NeuStar, Inc. Class A (Æ)		433		16
OpenTable, Inc. (Æ)		376		15
Opnet Technologies, Inc.		741		21
Parametric Technology Corp. (Æ)		804		22
Pegasystems, Inc.		923		35
Polycom, Inc. (Æ)		906		17
Power Integrations, Inc.		444		16
Rackspace Hosting, Inc. (Æ)		644		38
RealPage, Inc. (Æ)		1,074		21
Riverbed Technology, Inc. (Æ)		1,175		33
Sapient Corp.		2,154		27
ShoreTel, Inc. (Æ)		4,243		24
Silicon Graphics International Corp. (Æ)		2,361		23
Silicon Laboratories, Inc. (Æ)		639		27
SolarWinds, Inc. (Æ)		987		39
Solera Holdings, Inc.		333		15
Sonus Networks, Inc. (Æ)		6,226		18
Stratasys, Inc. (Æ)		485		18
Super Micro Computer, Inc. (Æ)		1,761		31
Synchronoss Technologies, Inc. (Æ)		899		29
Take-Two Interactive Software, Inc. (Æ)		2,038		31
TIBCO Software, Inc. (Æ)		1,159		35
TNS, Inc. (Æ)		836		18
Ultimate Software Group, Inc. (Æ)		417		31
VeriFone Systems, Inc. (Æ)		416		22
VirnetX Holding Corp. (Æ)		1,087		26
Vocus, Inc. (Æ)		671		9


	Principal Amount ($) or Shares			Market Value $
Volterra Semiconductor Corp. (Æ)		1,082			38
Web.com Group, Inc. (Æ)		2,421			35
Websense, Inc. (Æ)		803			17

					1,639


Utilities - 2.3%
8x8, Inc. (Æ)		8,701			37
Cincinnati Bell, Inc. (Æ)		4,873			20
Cogent Communications Group, Inc. (Æ)		1,642			31
Towerstream Corp. (Æ)		13,145			62

					150


Total Common Stocks (cost $5,747)					6,474


Short-Term Investments - 0.3%
Russell U.S. Cash Management Fund		19,684	(¥)		20


Total Short-Term Investments (cost $20)					20


Total Investments - 100.0% (identified cost $5,767)					6,494

Other Assets and Liabilities, Net - (0.0%)					(2	)


Net Assets - 100.0%					6,492

See accompanying notes which are an integral part of the financial statements.


Russell Small Cap Aggressive Growth ETF		85

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	862	$	—	$	—	$	862		13.3
Consumer Staples		67		—		—		67		1.0
Energy		735		—		—		735		11.3
Financial Services		330		—		15		345		5.3
Health Care		1,451		—		—		1,451		22.4
Materials and Processing		351		—		—		351		5.4
Producer Durables		874		—		—		874		13.5
Technology		1,639		—		—		1,639		25.2
Utilities		150		—		—		150		2.3
Short-Term Investments		—		20		—		20		0.3


Total Investments		6,459		20		15		6,494		100.0

Other Assets and Liabilities, Net										(—	)*


										100.0

*	Less than .05% of net assets.

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

Investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ending March 31, 2012 were less than 1% of net assets.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	86			Russell Small Cap Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Small Cap Aggressive Growth ETF

Assets
Investments, at identified cost	$	5,767
Investments, at market*		6,494

Total assets		6,494


Liabilities
Payables:
Accrued fees to affiliates		2

Total liabilities		2


Net Assets	$	6,492

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	1
Accumulated net realized gain (loss)		(142	)
Unrealized appreciation (depreciation) on investments		727
Additional paid-in capital		5,906

Net Assets	$	6,492

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	64.92
Net assets	$	6,491,795
Shares outstanding ($.001 par value)		100,002
Amounts in Thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	20

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities		87

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Small Cap Aggressive Growth ETF*

Investment Income
Dividends	$	17

Total investment income		17


Expenses
Management fees		13
Trustee and trustee related fees		8

Expenses before reductions		21
Expense reductions		(8	)

Net expenses		13

Net investment income (loss)		4


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(142	)
In-kind redemptions		1,226

Net realized gain (loss)		1,084

Net change in unrealized appreciation (depreciation) on investments		727

Net realized and unrealized gain (loss)		1,811

Net Increase (Decrease) in Net Assets from Operations	$	1,815

*	For the period October 4, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	88			Statements of Operations

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell Small Cap Aggressive Growth ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	4
Net realized gain (loss)		1,084
Net change in unrealized appreciation (depreciation)		727

Net increase (decrease) in net assets from operations		1,815


Distributions
From net investment income		(3	)

Net decrease in net assets from distributions		(3	)


Share Transactions
Net increase (decrease) in net assets from share transactions		4,680

Total Net Increase (Decrease) in Net Assets		6,492

Net Assets
Beginning of period		—

End of period	$	6,492

Undistributed (overdistributed) net investment income included in net assets	$	1

*	For the period October 4, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets		89

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.



	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Small Cap Aggressive Growth ETF
March 31, 2012*		47.22		.04		17.68		17.72		(.02	)		(.02	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period October 4, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	90			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	64.92		37.52		6,492		.72		.45		.13		35

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		91

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Small Cap Consistent Growth Index**
Inception*		37.62	%		37.68	%		38.11	%


	92			Russell Small Cap Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Small Cap Consistent Growth ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Consistent Growth Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Consistent Growth Index, which is designed to select securities intended to produce performance that is similar to professional investment managers using a small cap consistent growth investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 37.62%. This is compared to the Fund’s benchmark, the Russell U.S. Small Cap Consistent Growth Index, which gained 38.11% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Energy was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Producer durables, with an average weight of 22.5% was the best contributor to Fund and Index returns. Utilities, with an average weight of 0.7%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Zoll Medical Corp, Zumiez Inc, and Stratasys Inc generated positive returns and contributed the most to Fund performance while Diamond Foods Inc, Superior Energy Services Inc, and CARBO Ceramics Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares October 4, 2011.

The Russell U.S. Small Cap Consistent Growth Index is designed to select securities intended to produce performance that is similar to professional investment managers using a small cap consistent growth investment discipline. This discipline focuses on companies with above average earnings expectations over a long term horizon and with consistent historical earnings growth. Starting with the Russell 2500^® Index (an index comprised of U.S. stocks), the Index includes stocks that demonstrate growth potential as measured by: (1) average to high consensus forecasted earnings and (2) consistent earnings as measured by average to low earnings per share volatility over the past five years. The Index excludes stocks with low anticipated growth prospects as measured by a low price to book ratio, low price to cash flow and low price to sales. The Index constituents are weighted based on a composite score of their growth and quality characteristics. The Index is reconstituted quarterly.


Russell Small Cap Consistent Growth ETF		93

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 4, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,376.20	$	1,022.75
Expenses Paid During Period*	$	2.63	$	2.28


	94			Russell Small Cap Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 22.5%
Aaron’s, Inc. Class A		561		15
American Public Education, Inc. (Æ)		650		25
Ancestry.com, Inc. (Æ)		1,227		28
Arbitron, Inc.		820		30
Ascena Retail Group, Inc. (Æ)		948		43
Bally Technologies, Inc. (Æ)		715		33
Bebe Stores, Inc.		3,391		31
BJ’s Restaurants, Inc. (Æ)		621		31
Blue Nile, Inc. (Æ)		691		23
Body Central Corp. (Æ)		1,134		33
Brinker International, Inc.		559		15
Buckle, Inc. (The)		366		18
Buffalo Wild Wings, Inc. (Æ)		419		38
Capella Education Co. (Æ)		427		15
Carter’s, Inc. (Æ)		376		19
Chico’s FAS, Inc.		2,535		38
Children’s Place Retail Stores, Inc. (The) (Æ)		282		15
Columbia Sportswear Co.		607		29
Crocs, Inc. (Æ)		1,907		40
DeVry, Inc.		389		13
Dorman Products, Inc. (Æ)		764		39
Drew Industries, Inc. (Æ)		610		17
Education Management Corp. (Æ)		535		7
Ethan Allen Interiors, Inc.		649		16
Grand Canyon Education, Inc. (Æ)		1,767		31
Guess?, Inc.		502		16
HealthStream, Inc. (Æ)		1,543		36
Hibbett Sports, Inc. (Æ)		624		34
Inter Parfums, Inc.		961		15
Interval Leisure Group, Inc.		1,099		19
JOS A Bank Clothiers, Inc. (Æ)		578		29
K12, Inc. (Æ)		1,572		37
Life Time Fitness, Inc. (Æ)		320		16
Lumber Liquidators Holdings, Inc. (Æ)		1,597		40
Madison Square Garden Co. (The) Class A (Æ)		523		18
Maidenform Brands, Inc. (Æ)		818		18
Matthews International Corp. Class A		476		15
Monro Muffler Brake, Inc.		727		30
Nu Skin Enterprises, Inc. Class A		580		34
Papa John’s International, Inc. (Æ)		397		15
Rue21, Inc. (Æ)		1,307		38
Stamps.com, Inc. (Æ)		1,079		30
Steiner Leisure, Ltd. (Æ)		330		16
Steven Madden, Ltd. (Æ)		818		35
Sturm Ruger & Co., Inc.		843		41
Texas Roadhouse, Inc. Class A		1,004		17
True Religion Apparel, Inc. (Æ)		816		22
Under Armour, Inc. Class A (Æ)		393		37
Vera Bradley, Inc. (Æ)		875		26
VistaPrint NV (Æ)		922		36
Vitamin Shoppe, Inc. (Æ)		705		31
Warnaco Group, Inc. (The) (Æ)		307		18
WMS Industries, Inc. (Æ)		750		18


	Principal Amount ($) or Shares		Market Value $
Wolverine World Wide, Inc.		420		16
Zagg, Inc. (Æ)		3,988		43
Zumiez, Inc. (Æ)		1,016		37

				1,475


Consumer Staples - 3.5%
Diamond Foods, Inc.		464		11
Fresh Market, Inc. (The) (Æ)		709		34
Hain Celestial Group, Inc. (The) (Æ)		420		18
J&J Snack Foods Corp.		280		15
Lancaster Colony Corp.		216		14
Medifast, Inc. (Æ)		2,055		35
Peet’s Coffee & Tea, Inc. (Æ)		449		33
TreeHouse Foods, Inc. (Æ)		229		14
USANA Health Sciences, Inc. (Æ)		929		35
WD-40 Co.		370		17

				226


Energy - 5.8%
Ameresco, Inc. Class A (Æ)		2,059		28
Atwood Oceanics, Inc. (Æ)		709		32
Berry Petroleum Co. Class A		670		32
CARBO Ceramics, Inc.		229		24
Dril-Quip, Inc. (Æ)		429		28
GeoResources, Inc. (Æ)		964		32
Key Energy Services, Inc. (Æ)		967		15
Lufkin Industries, Inc.		419		34
Mitcham Industries, Inc. (Æ)		685		15
Newpark Resources, Inc. (Æ)		2,999		25
OYO Geospace Corp. (Æ)		194		20
RPC, Inc.		2,341		25
Superior Energy Services, Inc. (Æ)		1,788		46
Vaalco Energy, Inc. (Æ)		2,541		24

				380


Financial Services - 9.2%
Advent Software, Inc. (Æ)		1,159		30
Amtrust Financial Services, Inc.		648		17
Brown & Brown, Inc.		661		16
CBOE Holdings, Inc.		578		16
Credit Acceptance Corp. (Æ)		343		35
Duff & Phelps Corp. Class A		1,953		30
eHealth, Inc. (Æ)		1,018		17
Encore Capital Group, Inc. (Æ)		1,327		30
Extra Space Storage, Inc. (ö)		1,164		34
Ezcorp, Inc. Class A (Æ)		1,071		35
Fair Isaac Corp.		790		35
First Cash Financial Services, Inc. (Æ)		804		34
FleetCor Technologies, Inc. (Æ)		945		36
Green Dot Corp. Class A (Æ)		905		24
Greenhill & Co., Inc.		423		18
Higher One Holdings, Inc. (Æ)		1,531		23
Jones Lang LaSalle, Inc.		251		21
Morningstar, Inc.		475		30
Netspend Holdings, Inc. (Æ)		3,482		27
Texas Capital Bancshares, Inc. (Æ)		489		17


Russell Small Cap Consistent Growth ETF		95

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

TFS Financial Corp. (Æ)		1,670		16
Waddell & Reed Financial, Inc. Class A		621		20
World Acceptance Corp. (Æ)		383		23
Wright Express Corp. (Æ)		276		18

				602


Health Care - 11.5%
Abaxis, Inc. (Æ)		1,020		30
Air Methods Corp. (Æ)		335		29
Align Technology, Inc. (Æ)		1,190		33
Analogic Corp.		494		33
Bruker Corp. (Æ)		2,272		35
Cantel Medical Corp.		804		20
Chemed Corp.		299		19
Cubist Pharmaceuticals, Inc. (Æ)		712		31
Cyberonics, Inc. (Æ)		845		32
Emergent Biosolutions, Inc. (Æ)		1,682		27
Ensign Group, Inc. (The)		610		17
Haemonetics Corp. (Æ)		250		17
Hanger Orthopedic Group, Inc. (Æ)		800		17
HMS Holdings Corp. (Æ)		882		28
ICU Medical, Inc. (Æ)		332		16
IPC The Hospitalist Co., Inc. (Æ)		624		23
Masimo Corp. (Æ)		1,515		35
Medicis Pharmaceutical Corp. Class A		450		17
Merit Medical Systems, Inc. (Æ)		1,118		14
Myriad Genetics, Inc. (Æ)		714		17
Neogen Corp. (Æ)		922		36
Omnicell, Inc. (Æ)		1,723		26
PAREXEL International Corp. (Æ)		1,361		37
Quality Systems, Inc.		763		33
Sirona Dental Systems, Inc. (Æ)		350		18
Thoratec Corp. (Æ)		446		15
VCA Antech, Inc. (Æ)		779		18
Viropharma, Inc. (Æ)		562		17
West Pharmaceutical Services, Inc.		406		17
Zoll Medical Corp. (Æ)		446		42

				749


Materials and Processing - 7.5%
Acuity Brands, Inc.		290		18
AMCOL International Corp.		573		17
American Vanguard Corp.		1,152		25
Armstrong World Industries, Inc. (Æ)		351		17
Balchem Corp.		702		21
Cabot Microelectronics Corp.		597		23
Calgon Carbon Corp. (Æ)		953		15
Carpenter Technology Corp.		550		29
Clarcor, Inc.		306		15
Compass Minerals International, Inc.		217		16
Dynamic Materials Corp.		777		16
Globe Specialty Metals, Inc.		2,109		32
Haynes International, Inc.		282		18
HB Fuller Co.		665		22
Innophos Holdings, Inc.		308		15
Innospec, Inc. (Æ)		533		16
Intrepid Potash, Inc. (Æ)		1,246		30


	Principal Amount ($) or Shares		Market Value $
KapStone Paper and Packaging Corp. (Æ)		1,791		36
NewMarket Corp.		76		14
RBC Bearings, Inc. (Æ)		369		17
Schweitzer-Mauduit International, Inc.		225		16
Simpson Manufacturing Co., Inc.		444		14
Tredegar Corp.		674		13
Universal Stainless & Alloy (Æ)		401		17
Valmont Industries, Inc.		165		19

				491


Producer Durables - 19.4%
Actuant Corp. Class A		678		20
Advisory Board Co. (The) (Æ)		383		34
Aerovironment, Inc. (Æ)		905		24
Allegiant Travel Co. Class A (Æ)		281		15
Altra Holdings, Inc. (Æ)		817		16
AO Smith Corp.		704		32
Astec Industries, Inc. (Æ)		478		17
Babcock & Wilcox Co. (The) (Æ)		620		16
Barnes Group, Inc.		1,171		31
Carlisle Cos., Inc.		348		17
Chart Industries, Inc. (Æ)		520		39
Colfax Corp. (Æ)		526		19
Copa Holdings SA Class A		262		21
Copart, Inc. (Æ)		624		16
Corporate Executive Board Co. (The)		392		17
Cubic Corp.		353		17
Dice Holdings, Inc. (Æ)		3,401		32
ExlService Holdings, Inc. (Æ)		1,262		35
Exponent, Inc. (Æ)		325		16
FARO Technologies, Inc. (Æ)		334		19
Forrester Research, Inc.		835		27
Forward Air Corp.		466		17
Franklin Electric Co., Inc.		353		17
FTI Consulting, Inc. (Æ)		353		13
Genesee & Wyoming, Inc. Class A (Æ)		466		25
Genpact, Ltd. (Æ)		1,894		31
Graco, Inc.		690		37
GrafTech International, Ltd. (Æ)		1,127		13
Heartland Express, Inc.		1,046		15
HEICO Corp.		483		25
Knight Transportation, Inc.		1,804		32
Korn/Ferry International (Æ)		877		15
Landstar System, Inc.		589		34
Lindsay Corp.		273		18
Liquidity Services, Inc. (Æ)		763		34
MAXIMUS, Inc.		362		15
Measurement Specialties, Inc. (Æ)		1,009		34
Middleby Corp. (Æ)		302		31
National Instruments Corp.		1,089		31
Nordson Corp.		373		20
Old Dominion Freight Line, Inc. (Æ)		380		18
On Assignment, Inc. (Æ)		1,339		23
OSI Systems, Inc. (Æ)		579		35
Raven Industries, Inc.		456		28
Regal-Beloit Corp.		301		20
Rollins, Inc.		673		14


	96			Russell Small Cap Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Sun Hydraulics Corp.		656		17
Team, Inc. (Æ)		952		29
TeleTech Holdings, Inc. (Æ)		924		15
Tennant Co.		385		17
Tetra Tech, Inc. (Æ)		1,307		34
Toro Co. (The)		247		18
Triumph Group, Inc.		263		16
Wesco Aircraft Holdings, Inc. (Æ)		1,070		17
Woodward, Inc.		365		16
Zebra Technologies Corp. Class A (Æ)		430		18

				1,272


Technology - 19.3%
Actuate Corp. (Æ)		2,554		16
ADTRAN, Inc.		510		16
American Science & Engineering, Inc.		226		15
Blackbaud, Inc.		1,014		34
Cognex Corp.		430		18
Coherent, Inc. (Æ)		295		17
Compuware Corp. (Æ)		1,799		17
Daktronics, Inc.		1,563		14
Diodes, Inc. (Æ)		722		17
DTS, Inc. (Æ)		1,037		31
Ebix, Inc.		1,276		30
FEI Co. (Æ)		377		19
Hittite Microwave Corp. (Æ)		303		16
iGate Corp. (Æ)		1,795		30
II-VI, Inc. (Æ)		1,536		36
Interactive Intelligence Group, Inc. (Æ)		1,230		38
IPG Photonics Corp. (Æ)		831		42
iRobot Corp. (Æ)		945		26
JDA Software Group, Inc. (Æ)		462		13
Micrel, Inc.		1,479		15
Microsemi Corp. (Æ)		917		20
MicroStrategy, Inc. Class A (Æ)		261		37
Monolithic Power Systems, Inc. (Æ)		1,872		37
Monotype Imaging Holdings, Inc. (Æ)		960		14
Netgear, Inc. (Æ)		839		32
Netscout Systems, Inc. (Æ)		874		18
NeuStar, Inc. Class A (Æ)		822		31
NIC, Inc.		2,129		26
NVE Corp. (Æ)		512		27
Parametric Technology Corp. (Æ)		840		23
Power Integrations, Inc.		464		17
PROS Holdings, Inc. (Æ)		1,896		35
QLogic Corp. (Æ)		998		18
Quest Software, Inc. (Æ)		1,517		35
Rofin-Sinar Technologies, Inc. (Æ)		1,235		33
Rogers Corp. (Æ)		418		16
Sapient Corp.		2,248		28
Semtech Corp. (Æ)		603		17
Silicon Laboratories, Inc. (Æ)		651		28
Stratasys, Inc. (Æ)		927		34
Synaptics, Inc. (Æ)		935		34
Syntel, Inc.		606		34


	Principal Amount ($) or Shares			Market Value $
TeleNav, Inc. (Æ)		3,627			25
Tyler Technologies, Inc. (Æ)		936			36
Ultratech, Inc. (Æ)		626			18
VASCO Data Security International, Inc. (Æ)		2,353			25
Viasat, Inc. (Æ)		617			30
Virtusa Corp. (Æ)		1,950			34
Volterra Semiconductor Corp. (Æ)		1,102			38

					1,260


Utilities - 1.0%
8x8, Inc. (Æ)		8,898			38
Atlantic Tele-Network, Inc.		725			26

					64


Total Common Stocks (cost $5,874)					6,519


Short-Term Investments - 0.3%
Russell U.S. Cash Management Fund		16,312	(¥)		16


Total Short-Term Investments (cost $16)					16


Total Investments - 100.0% (identified cost $5,890)					6,535

Other Assets and Liabilities, Net - 0.0%					3


Net Assets - 100.0%					6,538

See accompanying notes which are an integral part of the financial statements.


Russell Small Cap Consistent Growth ETF		97

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	1,475	$	—	$	—	$	1,475		22.5
Consumer Staples		226		—		—		226		3.5
Energy		380		—		—		380		5.8
Financial Services		602		—		—		602		9.2
Health Care		749		—		—		749		11.5
Materials and Processing		491		—		—		491		7.5
Producer Durables		1,272		—		—		1,272		19.4
Technology		1,260		—		—		1,260		19.3
Utilities		64		—		—		64		1.0
Short-Term Investments		—		16		—		16		0.3


Total Investments		6,519		16		—		6,535		100.0

Other Assets and Liabilities, Net										—	*


										100.0

*	Less than .05% of net assets.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	98			Russell Small Cap Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Small Cap Consistent Growth ETF

Assets
Investments, at identified cost	$	5,890
Investments, at market*		6,535
Receivables:
Dividends		5

Total assets		6,540


Liabilities
Payables:
Accrued fees to affiliates		2

Total liabilities		2


Net Assets	$	6,538

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	5
Accumulated net realized gain (loss)		(97	)
Unrealized appreciation (depreciation) on investments		645
Additional paid-in capital		5,985

Net Assets	$	6,538

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	65.37
Net assets	$	6,537,567
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	16

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		99

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Small Cap Consistent Growth ETF*

Investment Income
Dividends	$	27

Total investment income		27


Expenses
Management fees		14
Trustee and trustee related fees		8

Expenses before reductions		22
Expense reductions		(8	)

Net expenses		14

Net investment income (loss)		13


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(97	)
In-kind redemptions		1,233

Net realized gain (loss)		1,136

Net change in unrealized appreciation (depreciation) on investments		645

Net realized and unrealized gain (loss)		1,781

Net Increase (Decrease) in Net Assets from Operations	$	1,794

*	For the period October 4, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	100			Statement of Operations

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Small Cap Consistent Growth ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	13
Net realized gain (loss)		1,136
Net change in unrealized appreciation (depreciation)		645

Net increase (decrease) in net assets from operations		1,794


Distributions
From net investment income		(8	)

Net decrease in net assets from distributions		(8	)


Share Transactions
Net increase (decrease) in net assets from share transactions		4,752

Total Net Increase (Decrease) in Net Assets		6,538

Net Assets
Beginning of period		—

End of period	$	6,538

Undistributed (overdistributed) net investment income included in net assets	$	5

*	For the period October 4, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets		101

Russell Exchange Traded Funds Trust

Russell Small Cap Consistent Growth ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Small Cap Consistent Growth ETF
March 31, 2012*		47.56		.12		17.77		17.89		(.08	)		(.08	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period October 4, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	102			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	65.37		37.62		6,538		.72		.45		.42		21

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		103

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Small Cap Low P/E Index**
Inception*		29.37	%		29.10	%		29.88	%


	104			Russell Small Cap Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Small Cap Low P/E ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Low P/E Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Low P/E Index, which is designed to select securities intended to produce performance that is similar to professional investment managers following a small cap low price to earnings investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 29.37%. This is compared to the Fund’s benchmark, the Russell U.S. Small Cap Low P/E Index, which gained 29.88% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

All sectors had positive returns for the Fund and the Index. Energy was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Producer durables, with an average weight of 20.9% was the best contributor to Fund and Index returns. Utilities, with an average weight of 6.2%, contributed the least to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Georgia Gulf Corp, Delphi Financial Group Inc Cl A, and Winn-Dixie Stores Inc Wi generated positive returns and contributed the most to Fund performance while IDT Corp Cl B, RF Micro Devices Inc, and McMoRan Exploration Co, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares on October 5, 2011.

The Russell U.S. Small Cap Low P/E Index is designed to select securities intended to produce performance that is similar to professional investment managers following a small cap low price to earnings investment discipline. This discipline focuses on companies that are trading at lower multiples relative to their prior level and/or their industry peers. Starting with the Russell 2500^® Index (an index comprised of U.S. stocks), the Index includes stocks that have three or more of the following characteristics which are below their industry average: price to one year forecasted earnings, price to trailing earnings or price to cash flow below their five year historical average and price to book or price to sales below their industry average. The Index excludes stocks with high price to cash flow or price to sales relative to their industry. The Index constituents are equally weighted. The Index is reconstituted semi-annually.


Russell Small Cap Low P/E ETF		105

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 5, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,293.70	$	1,022.75
Expenses Paid During Period*	$	2.52	$	2.28

Actual expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the 179-day period annualized), multiplied by the average account value over the period, multiplied by 179/366 (to reflect the period since commencement of operations). Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized) multiplied by the average amount value over the period, multiplied by 183/366 (to reflect the one-half year period).


	106			Russell Small Cap Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 14.6%
American Greetings Corp. Class A		885		14
ANN, Inc. (Æ)		641		18
Ascena Retail Group, Inc. (Æ)		559		26
Biglari Holdings, Inc. (Æ)		44		18
Brinker International, Inc.		640		18
Carter’s, Inc. (Æ)		388		19
Cato Corp. (The) Class A		588		16
Chico’s FAS, Inc.		1,479		22
Children’s Place Retail Stores, Inc. (The) (Æ)		279		14
Churchill Downs, Inc.		310		17
Cinemark Holdings, Inc.		768		17
Clear Channel Outdoor Holdings, Inc. Class A (Æ)		1,363		11
DeVry, Inc.		436		15
Dorman Products, Inc. (Æ)		399		20
DR Horton, Inc.		1,285		19
Drew Industries, Inc. (Æ)		707		19
Ethan Allen Interiors, Inc.		754		19
Finish Line, Inc. (The) Class A		714		15
Foot Locker, Inc.		653		20
Fred’s, Inc. Class A		1,118		16
GameStop Corp. Class A		651		14
Helen of Troy, Ltd. (Æ)		504		17
Iconix Brand Group, Inc. (Æ)		872		15
Inter Parfums, Inc.		878		14
International Speedway Corp. Class A		612		17
Jack in the Box, Inc. (Æ)		734		18
Jakks Pacific, Inc.		788		14
Jarden Corp.		495		20
John Wiley & Sons, Inc. Class A		313		15
Kirkland’s, Inc. (Æ)		1,235		20
Leggett & Platt, Inc.		672		15
Live Nation Entertainment, Inc. (Æ)		1,741		16
Matthews International Corp. Class A		454		14
Men’s Wearhouse, Inc. (The)		553		21
Meredith Corp.		519		17
New York Times Co. (The) Class A (Æ)		2,066		14
NVR, Inc. (Æ)		23		17
Oxford Industries, Inc.		397		20
Penske Automotive Group, Inc.		760		19
PEP Boys-Manny Moe & Jack (The)		1,355		20
Pier 1 Imports, Inc. (Æ)		1,133		21
Regis Corp.		927		17
Ryland Group, Inc. (The)		1,019		20
Scholastic Corp.		556		20
Service Corp. International		1,468		17
Shoe Carnival, Inc. (Æ)		633		20
Snap-on, Inc.		299		18
Stage Stores, Inc.		1,229		20
Steiner Leisure, Ltd. (Æ)		327		16
Stewart Enterprises, Inc. Class A		2,419		15
Texas Roadhouse, Inc. Class A		1,151		19
Toll Brothers, Inc. (Æ)		741		18
Tupperware Brands Corp.		263		17


	Principal Amount ($) or Shares		Market Value $
Vail Resorts, Inc.		338		15
WABCO Holdings, Inc. (Æ)		328		20
Warnaco Group, Inc. (The) (Æ)		297		17
Wolverine World Wide, Inc.		408		15

				995


Consumer Staples - 3.5%
Boston Beer Co., Inc. Class A (Æ)		151		16
Casey’s General Stores, Inc.		282		16
Constellation Brands, Inc. Class A (Æ)		773		18
Core-Mark Holding Co., Inc.		390		16
Flowers Foods, Inc.		761		16
Fresh Del Monte Produce, Inc.		600		14
Hain Celestial Group, Inc. (The) (Æ)		403		18
Harris Teeter Supermarkets, Inc.		378		15
J&J Snack Foods Corp.		290		15
Snyders-Lance, Inc.		712		18
Spartan Stores, Inc.		834		15
Tootsie Roll Industries, Inc.		643		15
TreeHouse Foods, Inc. (Æ)		228		14
United Natural Foods, Inc. (Æ)		400		18
WD-40 Co.		363		16

				240


Energy - 3.8%
Atwood Oceanics, Inc. (Æ)		367		16
Basic Energy Services, Inc. (Æ)		798		14
Dawson Geophysical Co. (Æ)		440		15
Energy Partners, Ltd. (Æ)		1,115		19
Energy XXI Bermuda, Ltd. (Æ)		488		18
Helix Energy Solutions Group, Inc. (Æ)		848		15
Key Energy Services, Inc. (Æ)		996		15
Matrix Service Co. (Æ)		1,635		23
McMoRan Exploration Co. (Æ)		941		10
OYO Geospace Corp. (Æ)		169		18
Petroquest Energy, Inc. (Æ)		2,190		13
RPC, Inc.		1,156		12
SEACOR Holdings, Inc. (Æ)		177		17
Tesco Corp. (Æ)		1,129		16
Unit Corp. (Æ)		297		13
Vaalco Energy, Inc. (Æ)		2,447		23

				257


Financial Services - 15.5%
Advent Software, Inc. (Æ)		557		14
Allied World Assurance Co. Holdings AG		253		17
Alterra Capital Holdings, Ltd.		669		15
American Capital, Ltd. (Æ)		2,210		19
American Financial Group, Inc.		418		16
Ares Capital Corp.		967		16
Associated Banc-Corp.		1,473		21
Banner Corp.		952		22
BBCN Bancorp, Inc. (Æ)		1,606		18
BGC Partners, Inc. Class A		2,441		18
Boston Private Financial Holdings, Inc.		1,984		20
Brookline Bancorp, Inc.		1,871		18


Russell Small Cap Low P/E ETF		107

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Capitol Federal Financial, Inc.		1,329		16
Cash America International, Inc.		303		15
Cathay General Bancorp		1,085		19
Cohen & Steers, Inc.		553		18
Cousins Properties, Inc. (ö)		2,572		19
Credit Acceptance Corp. (Æ)		187		19
Delphi Financial Group, Inc. Class A		555		26
DuPont Fabros Technology, Inc. (ö)		668		16
Eaton Vance Corp.		626		18
Encore Capital Group, Inc. (Æ)		690		16
Euronet Worldwide, Inc. (Æ)		836		17
Ezcorp, Inc. Class A (Æ)		517		17
First Citizens BancShares, Inc. Class A (Æ)		88		16
First Financial Bancorp		947		16
First Potomac Realty Trust (ö)		1,182		14
FirstMerit Corp.		1,030		17
GFI Group, Inc.		3,540		13
Global Payments, Inc.		349		17
Heartland Payment Systems, Inc.		683		20
Hercules Technology Growth Capital, Inc.		1,628		18
Independent Bank Corp.		587		17
Infinity Property & Casualty Corp.		262		14
Jack Henry & Associates, Inc.		453		15
Main Street Capital Corp.		790		19
Meadowbrook Insurance Group, Inc.		1,475		14
NASDAQ OMX Group, Inc. (The) (Æ)		573		15
National Financial Partners Corp. (Æ)		1,090		17
Navigators Group, Inc. (The) (Æ)		322		15
NBT Bancorp, Inc.		720		16
Northwest Bancshares, Inc.		1,211		15
Old National Bancorp		1,341		18
Oritani Financial Corp.		1,156		17
PacWest Bancorp		820		20
Park National Corp.		247		17
Provident Financial Services, Inc.		1,149		17
RAIT Financial Trust (ö)		3,430		17
St. Joe Co. (The) (Æ)		1,065		20
StanCorp Financial Group, Inc.		427		17
Sterling Financial Corp. (Æ)		964		20
Susquehanna Bancshares, Inc.		1,948		19
TFS Financial Corp. (Æ)		1,625		15
TICC Capital Corp.		1,694		16
Total System Services, Inc.		751		17
Triangle Capital Corp.		831		16
Trustco Bank Corp. NY		2,855		16
Waddell & Reed Financial, Inc. Class A		564		18
Washington Federal, Inc.		1,178		20
Wintrust Financial Corp.		552		20
Zions Bancorporation		959		21

				1,059


Health Care - 10.6%
Affymetrix, Inc. (Æ)		3,328		14
AMERIGROUP Corp. Class A (Æ)		268		18
AMN Healthcare Services, Inc. (Æ)		3,277		20
Amsurg Corp. Class A (Æ)		577		16
Analogic Corp.		269		18


	Principal Amount ($) or Shares		Market Value $
AngioDynamics, Inc. (Æ)		995		12
Arthrocare Corp. (Æ)		505		14
Bio-Rad Laboratories, Inc. Class A (Æ)		160		17
Chemed Corp.		286		18
CONMED Corp.		587		18
Cooper Cos., Inc. (The)		246		20
Covance, Inc. (Æ)		328		16
Greatbatch, Inc. (Æ)		680		17
Haemonetics Corp. (Æ)		254		18
Hanger Orthopedic Group, Inc. (Æ)		957		21
Health Net, Inc. (Æ)		492		20
ICU Medical, Inc. (Æ)		342		17
LifePoint Hospitals, Inc. (Æ)		383		15
Lincare Holdings, Inc.		635		16
Magellan Health Services, Inc. (Æ)		297		14
Medicis Pharmaceutical Corp. Class A		461		17
Merit Medical Systems, Inc. (Æ)		1,083		13
Molina Healthcare, Inc. (Æ)		701		23
Myriad Genetics, Inc. (Æ)		726		17
Orthofix International NV (Æ)		450		17
Owens & Minor, Inc.		488		15
PAREXEL International Corp. (Æ)		768		21
Patterson Cos., Inc.		499		17
PerkinElmer, Inc.		809		21
Prestige Brands Holdings, Inc. (Æ)		1,549		26
PSS World Medical, Inc. (Æ)		617		16
Qiagen NV (Æ)		1,009		16
Sciclone Pharmaceuticals, Inc. (Æ)		3,336		20
Sirona Dental Systems, Inc. (Æ)		339		17
STERIS Corp.		500		16
Symmetry Medical, Inc. (Æ)		1,921		14
Techne Corp.		223		16
Teleflex, Inc.		247		15
Thoratec Corp. (Æ)		495		17
Universal Health Services, Inc. Class B		374		16
VCA Antech, Inc. (Æ)		765		18
West Pharmaceutical Services, Inc.		390		17

				724


Materials and Processing - 12.3%
A Schulman, Inc.		746		20
Acuity Brands, Inc.		305		19
AMCOL International Corp.		454		13
Aptargroup, Inc.		296		16
Beacon Roofing Supply, Inc. (Æ)		784		20
Belden, Inc.		464		18
Bemis Co., Inc.		510		16
Calgon Carbon Corp. (Æ)		1,011		16
Coeur d’Alene Mines Corp. (Æ)		514		12
Comfort Systems USA, Inc.		1,468		16
Commercial Metals Co.		1,076		16
Compass Minerals International, Inc.		196		14
Cytec Industries, Inc.		327		20
Eagle Materials, Inc.		665		24
Encore Wire Corp.		595		18
Georgia Gulf Corp. (Æ)		797		29
Gibraltar Industries, Inc. (Æ)		1,131		17


	108			Russell Small Cap Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

HB Fuller Co.		664		22
Innospec, Inc. (Æ)		518		16
Interface, Inc. Class A		1,308		18
Jaguar Mining, Inc. (Æ)		2,104		10
Kaiser Aluminum Corp.		323		15
KapStone Paper and Packaging Corp. (Æ)		929		18
LB Foster Co. Class A		524		15
Louisiana-Pacific Corp. (Æ)		1,885		18
LSB Industries, Inc. (Æ)		493		19
Martin Marietta Materials, Inc.		196		17
Minerals Technologies, Inc.		265		17
Mueller Industries, Inc.		402		18
Myers Industries, Inc.		1,227		18
Neenah Paper, Inc.		818		25
Packaging Corp. of America		589		17
PH Glatfelter Co.		1,037		16
PolyOne Corp.		1,421		20
Quaker Chemical Corp.		387		15
Reliance Steel & Aluminum Co.		312		18
RPM International, Inc.		637		17
Sensient Technologies Corp.		398		15
Silgan Holdings, Inc.		394		17
Simpson Manufacturing Co., Inc.		464		15
Sonoco Products Co.		463		15
Stepan Co.		189		17
Tredegar Corp.		689		13
Universal Stainless & Alloy (Æ)		398		17
Valmont Industries, Inc.		177		21
Wausau Paper Corp.		1,997		19
Worthington Industries, Inc.		855		16
Zoltek Cos., Inc. (Æ)		1,869		21

				839


Producer Durables - 19.6%
ABM Industries, Inc.		709		17
Actuant Corp. Class A		672		19
AECOM Technology Corp. (Æ)		701		16
Alaska Air Group, Inc. (Æ)		434		16
Allegiant Travel Co. Class A (Æ)		289		16
Altra Holdings, Inc. (Æ)		848		16
Applied Industrial Technologies, Inc.		436		18
Astec Industries, Inc. (Æ)		450		16
AZZ, Inc.		362		19
BE Aerospace, Inc. (Æ)		396		18
Brady Corp. Class A		512		17
Briggs & Stratton Corp.		998		18
Brink’s Co. (The)		611		15
Bristow Group, Inc.		327		16
Carlisle Cos., Inc.		344		17
Cascade Corp.		346		17
Cintas Corp.		507		20
Consolidated Graphics, Inc. (Æ)		295		13
Convergys Corp. (Æ)		1,164		16
Copa Holdings SA Class A		233		18
Corrections Corp. of America (Æ)		734		20
Covanta Holding Corp.		1,008		16
Curtiss-Wright Corp.		457		17


	Principal Amount ($) or Shares		Market Value $
Electronics for Imaging, Inc. (Æ)		1,017		17
EMCOR Group, Inc.		587		16
EnerSys (Æ)		640		22
Ennis, Inc.		1,013		16
EnPro Industries, Inc. (Æ)		459		19
Forward Air Corp.		469		17
Franklin Electric Co., Inc.		320		16
FTI Consulting, Inc. (Æ)		351		13
G&K Services, Inc. Class A		503		17
Genpact, Ltd. (Æ)		966		16
Granite Construction, Inc.		604		17
Great Lakes Dredge & Dock Corp.		2,487		18
Greenbrier Cos., Inc. (Æ)		678		13
Harsco Corp.		729		17
Heartland Express, Inc.		1,094		16
Heidrick & Struggles International, Inc.		706		16
HNI Corp.		574		16
HUB Group, Inc. Class A (Æ)		518		19
ICF International, Inc. (Æ)		592		15
Kadant, Inc. (Æ)		736		18
Kelly Services, Inc. Class A		1,039		17
Kennametal, Inc.		395		18
Korn/Ferry International (Æ)		894		15
Lindsay Corp.		272		18
MasTec, Inc. (Æ)		940		17
MAXIMUS, Inc.		362		15
Measurement Specialties, Inc. (Æ)		537		18
Moog, Inc. Class A (Æ)		360		15
Navigant Consulting, Inc. (Æ)		1,368		19
Old Dominion Freight Line, Inc. (Æ)		388		18
Pentair, Inc.		396		19
Regal-Beloit Corp.		286		19
RR Donnelley & Sons Co.		1,002		12
Rush Enterprises, Inc. Class A (Æ)		799		17
Ryder System, Inc.		288		15
SPX Corp.		242		19
Standex International Corp.		480		20
Steelcase, Inc. Class A		1,919		18
SYKES Enterprises, Inc. (Æ)		941		15
Teledyne Technologies, Inc. (Æ)		271		17
TeleTech Holdings, Inc. (Æ)		854		14
Tetra Tech, Inc. (Æ)		672		18
Textainer Group Holdings, Ltd.		569		19
Thomas & Betts Corp. (Æ)		295		21
Towers Watson & Co. Class A		231		15
Trinity Industries, Inc.		537		18
Triumph Group, Inc.		253		16
Tutor Perini Corp. (Æ)		912		14
Unifirst Corp.		260		16
United Stationers, Inc.		449		14
URS Corp.		424		18
Waste Connections, Inc.		459		15
Watts Water Technologies, Inc. Class A		394		16
Werner Enterprises, Inc.		642		16
WESCO International, Inc. (Æ)		301		20
Zebra Technologies Corp. Class A (Æ)		397		16

				1,332


Russell Small Cap Low P/E ETF		109

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Technology - 13.6%
AboveNet, Inc. (Æ)		252		21
Acacia Research Corp. (Æ)		440		18
ACI Worldwide, Inc. (Æ)		512		21
ADTRAN, Inc.		455		14
Anaren, Inc. (Æ)		899		16
Anixter International, Inc. (Æ)		245		18
Arris Group, Inc. (Æ)		1,399		16
ATMI, Inc. (Æ)		727		17
Benchmark Electronics, Inc. (Æ)		1,108		18
Brightpoint, Inc. (Æ)		1,506		12
Brocade Communications Systems, Inc. (Æ)		2,796		16
Brooks Automation, Inc.		1,615		20
CACI International, Inc. Class A (Æ)		267		17
Compuware Corp. (Æ)		1,860		17
Comtech Telecommunications Corp.		497		16
CSG Systems International, Inc. (Æ)		992		15
DealerTrack Holdings, Inc. (Æ)		581		18
Extreme Networks (Æ)		5,117		20
GSI Group, Inc. (Æ)		1,365		16
Harmonic, Inc. (Æ)		2,801		15
II-VI, Inc. (Æ)		783		19
Ingram Micro, Inc. Class A (Æ)		835		15
Insight Enterprises, Inc. (Æ)		1,051		23
Integrated Silicon Solution, Inc. (Æ)		1,612		18
Intersil Corp. Class A		1,415		16
JDA Software Group, Inc. (Æ)		477		13
JDS Uniphase Corp. (Æ)		1,404		20
Kulicke & Soffa Industries, Inc. (Æ)		1,682		21
LeCroy Corp. (Æ)		1,692		18
LSI Corp. (Æ)		2,720		23
Mentor Graphics Corp. (Æ)		1,210		18
Micrel, Inc.		1,446		15
Microsemi Corp. (Æ)		868		19
Molex, Inc.		603		17
Monotype Imaging Holdings, Inc. (Æ)		1,014		15
Multi-Fineline Electronix, Inc. (Æ)		736		20
NCR Corp. (Æ)		881		19
Netgear, Inc. (Æ)		396		15
Plantronics, Inc.		437		18
Plexus Corp. (Æ)		564		20
Progress Software Corp. (Æ)		739		17
QLogic Corp. (Æ)		1,026		18
RF Micro Devices, Inc. (Æ)		2,415		12
Rogers Corp. (Æ)		379		15
Sanmina-SCI Corp. (Æ)		1,808		21
Scansource, Inc. (Æ)		437		16
Solera Holdings, Inc.		318		15
Super Micro Computer, Inc. (Æ)		1,126		20
Synaptics, Inc. (Æ)		472		17
SYNNEX Corp. (Æ)		524		20
VASCO Data Security International, Inc. (Æ)		1,785		19


	Principal Amount ($) or Shares			Market Value $
Websense, Inc. (Æ)		831			18
Xyratex, Ltd.		1,131			18

					929


Utilities - 6.2%
AGL Resources, Inc.		598			24
Allete, Inc.		378			16
Aqua America, Inc.		687			15
Atlantic Tele-Network, Inc.		372			14
Atmos Energy Corp.		440			14
Black Hills Corp.		459			15
California Water Service Group		816			15
CH Energy Group, Inc.		274			18
Chesapeake Utilities Corp.		350			14
Empire District Electric Co. (The)		715			15
Great Plains Energy, Inc.		715			14
Hawaiian Electric Industries, Inc.		581			15
IDT Corp. Class B		1,157			11
j2 Global, Inc.		555			16
Laclede Group, Inc. (The)		375			15
Northwest Natural Gas Co.		320			15
NorthWestern Corp.		431			15
NV Energy, Inc.		981			16
Otter Tail Corp.		694			15
Piedmont Natural Gas Co., Inc.		456			14
Premiere Global Services, Inc. (Æ)		1,819			16
South Jersey Industries, Inc.		268			13
Southwest Gas Corp.		372			16
UGI Corp.		502			14
UIL Holdings Corp.		432			15
Vectren Corp.		517			15
Westar Energy, Inc.		545			15
WGL Holdings, Inc.		351			14

					424


Total Common Stocks (cost $5,954)					6,799


Short-Term Investments - 0.3%
Russell U.S. Cash Management Fund		20,553	(¥)		21


Total Short-Term Investments (cost $21)					21


Total Investments - 100.0% (identified cost $5,975)					6,820

Other Assets and Liabilities, Net - 0.0%					2


Net Assets - 100.0%					6,822

See accompanying notes which are an integral part of the financial statements.


	110			Russell Small Cap Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	995	$	—	$	—	$	995		14.6
Consumer Staples		240		—		—		240		3.5
Energy		257		—		—		257		3.8
Financial Services		1,042		—		17		1,059		15.5
Health Care		724		—		—		724		10.6
Materials and Processing		839		—		—		839		12.3
Producer Durables		1,332		—		—		1,332		19.6
Technology		929		—		—		929		13.6
Utilities		424		—		—		424		6.2
Short-Term Investments		—		21		—		21		0.3


Total Investments		6,782		21		17		6,820		100.0

Other Assets and Liabilities, Net										—	*


										100.0

*	Less than .05% of net assets.

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

Investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ending March 31, 2012 were less than 1% of net assets.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell Small Cap Low P/E ETF		111

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Small Cap Low P/E ETF

Assets
Investments, at identified cost	$	5,975
Investments, at market*		6,820
Receivables:
Dividends		5

Total assets		6,825


Liabilities
Payables:
Accrued fees to affiliates		3

Total liabilities		3


Net Assets	$	6,822

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	2
Accumulated net realized gain (loss)		(77	)
Unrealized appreciation (depreciation) on investments		845
Additional paid-in capital		6,052

Net Assets	$	6,822

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	68.22
Net assets	$	6,822,367
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	21

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	112			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Small Cap Low P/E ETF*

Investment Income
Dividends	$	42

Total investment income		42


Expenses
Management fees		14
Trustee and trustee related fees		9

Expenses before reductions		23
Expense reductions		(9	)

Net expenses		14

Net investment income (loss)		28


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(79	)
In-kind redemptions		574

Net realized gain (loss)		495

Net change in unrealized appreciation (depreciation) on investments		845

Net realized and unrealized gain (loss)		1,340

Net Increase (Decrease) in Net Assets from Operations	$	1,368

*	For the period October 5, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		113

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Small Cap Low P/E ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	28
Net realized gain (loss)		495
Net change in unrealized appreciation (depreciation)		845

Net increase (decrease) in net assets from operations		1,368


Distributions
From net investment income		(25	)

Net decrease in net assets from distributions		(25	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,479

Total Net Increase (Decrease) in Net Assets		6,822

Net Assets
Beginning of period		—

End of period	$	6,822

Undistributed (overdistributed) net investment income included in net assets	$	2

*	For the period October 5, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	114			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Small Cap Low P/E ETF

Financial Highlights — For the Period Ended March 31, 2012

For a Share Outstanding Throughout Each Period.



	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Small Cap Low P/E ETF
March 31, 2012*		52.94		.28		15.25		15.53		(.25	)		(.25	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period October 5, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	116			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	68.22		29.37		6,822		.73		.45		.91		43

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		117

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell U.S. Small Cap Contrarian Index**
Inception*		28.19	%		28.72	%		28.71	%


	118			Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Small Cap Contrarian ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Contrarian Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap Contrarian Index, which is designed to select securities intended to produce performance that is similar to professional investment managers following a small cap contrarian, deep value investment discipline.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 28.19%. This is compared to the Fund’s benchmark, the Russell U.S. Small Cap Contrarian Index, which gained 28.71% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

All sectors had positive returns for the Fund and the Index. Health care was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Financial services, with an average weight of 24.8% was the best contributor to Fund and Index returns. Energy, with an average weight of 3.1%, contributed the least to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Global Cash Access Holdings Inc, Molina Healthcare Inc, and Prestige Brands Holdings Inc generated positive returns and contributed the most to Fund performance while RadioShack Corp, DHT Holdings Inc, and Bill Barrett Corp, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares October 5, 2011.

The Russell U.S. Small Cap Contrarian Index is designed to select securities intended to produce performance that is similar to professional investment managers following a small cap contrarian, deep value investment discipline. This discipline focuses on companies that have lagged the market but where opportunities exist for the stock price to improve. Starting with the Russell 2500^® Index (an index comprised of U.S. stocks), the Index includes stocks with low historical price to sales and low book and cash flow multiples. The Index excludes stocks that have significantly outperformed the market as measured by cumulative total return over the last one to three years. The Index constituents are equally weighted. The Index is reconstituted semi-annually.


Russell Small Cap Contrarian ETF		119

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
October 5, 2011	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1.281.90	$	1,022.75
Expenses Paid During Period*	$	2.51	$	2.28

Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the 179-day period annualized), multiplied by the average account value over the period, multiplied by 179/366 (to reflect the period since commencement of operations). Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized) multiplied by the average amount value over the period, multiplied by 183/366 (to reflect the one-half year period).


	120			Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 13.4%
American Eagle Outfitters, Inc.		1,928		33
American Greetings Corp. Class A		1,592		24
Brown Shoe Co., Inc.		3,224		30
Citi Trends, Inc. (Æ)		3,025		35
Collective Brands, Inc. (Æ)		1,923		38
Corinthian Colleges, Inc. (Æ)		10,188		43
Dolan Co. (The) (Æ)		2,980		27
DreamWorks Animation SKG, Inc. Class A (Æ)		1,444		27
Drew Industries, Inc. (Æ)		1,236		34
Fred’s, Inc. Class A		1,995		29
Fuel Systems Solutions, Inc. (Æ)		1,508		39
GameStop Corp. Class A		1,159		25
Harris Teeter Supermarkets, Inc.		672		27
Harte-Hanks, Inc.		2,972		27
Helen of Troy, Ltd. (Æ)		897		31
International Speedway Corp. Class A		1,100		31
PF Chang’s China Bistro, Inc.		884		35
RadioShack Corp.		2,335		15
Regis Corp.		1,668		31
Rent-A-Center, Inc. Class A		745		28
Scientific Games Corp. Class A (Æ)		3,116		36
Service Corp. International		2,615		29
Skechers U.S.A., Inc. Class A (Æ)		1,991		25
Stewart Enterprises, Inc. Class A		4,309		26
Superior Industries International, Inc.		1,661		32
Thor Industries, Inc.		1,118		35
Vail Resorts, Inc.		601		26
Viad Corp.		1,445		28
Washington Post Co. (The) Class B		75		28
WMS Industries, Inc. (Æ)		1,278		30

				904


Consumer Staples - 2.8%
Cal-Maine Foods, Inc.		792		31
Core-Mark Holding Co., Inc.		696		28
Diamond Foods, Inc.		975		22
Fresh Del Monte Produce, Inc.		1,078		25
Nash Finch Co.		975		28
Pantry, Inc. (The) (Æ)		2,167		28
Spartan Stores, Inc.		1,500		27

				189


Energy - 2.8%
Basic Energy Services, Inc. (Æ)		1,423		25
Bill Barrett Corp. (Æ)		687		18
Cal Dive International, Inc. (Æ)		11,371		37
Dawson Geophysical Co. (Æ)		775		27
SEACOR Holdings, Inc. (Æ)		313		29
Tesco Corp. (Æ)		2,011		29
Unit Corp. (Æ)		530		23

				188


Financial Services - 23.9%
Allied World Assurance Co. Holdings AG		451		31


	Principal Amount ($) or Shares		Market Value $
American Equity Investment Life Holding Co.		2,423		31
American Financial Group, Inc.		745		29
Anworth Mortgage Asset Corp. (ö)		4,231		28
Argo Group International Holdings, Ltd.		923		28
Aspen Insurance Holdings, Ltd.		1,020		28
Associated Banc-Corp.		2,601		36
Astoria Financial Corp.		3,556		35
BancorpSouth, Inc.		2,741		37
BBCN Bancorp, Inc. (Æ)		2,861		32
BGC Partners, Inc. Class A		4,300		32
BlackRock Kelso Capital Corp.		3,081		30
Capstead Mortgage Corp. (ö)		2,151		28
City National Corp.		632		33
Dime Community Bancshares, Inc.		2,264		33
Dynex Capital, Inc. (ö)		3,056		29
East West Bancorp, Inc.		1,370		32
Endurance Specialty Holdings, Ltd.		741		30
Euronet Worldwide, Inc. (Æ)		1,489		31
Fidelity National Financial, Inc. Class A		1,704		31
First Citizens BancShares, Inc. Class A (Æ)		156		28
First Commonwealth Financial Corp.		5,778		35
First Niagara Financial Group, Inc.		3,046		30
Flagstone Reinsurance Holdings SA		3,307		26
GFI Group, Inc.		6,365		24
Glacier Bancorp, Inc.		2,252		34
Hercules Technology Growth Capital, Inc.		2,866		32
Horace Mann Educators Corp.		2,198		39
Hudson City Bancorp, Inc.		4,797		35
Iberiabank Corp.		543		29
Infinity Property & Casualty Corp.		467		24
Investment Technology Group, Inc. (Æ)		2,540		30
Jefferies Group, Inc.		2,348		45
KBW, Inc.		1,985		37
Kemper Corp.		982		30
Knight Capital Group, Inc. Class A (Æ)		2,122		27
MB Financial, Inc.		1,593		33
Montpelier Re Holdings, Ltd.		1,589		31
NASDAQ OMX Group, Inc. (The) (Æ)		1,021		26
Navigators Group, Inc. (The) (Æ)		574		27
Park National Corp.		444		31
Piper Jaffray Cos. (Æ)		1,296		34
Platinum Underwriters Holdings, Ltd.		778		28
Provident Financial Services, Inc.		2,067		30
Safety Insurance Group, Inc.		641		27
Selective Insurance Group, Inc.		1,629		29
Susquehanna Bancshares, Inc.		3,416		34
TCF Financial Corp.		2,689		32
Umpqua Holdings Corp.		2,164		29
Validus Holdings, Ltd.		891		28
Washington Federal, Inc.		2,079		35
Wintrust Financial Corp.		973		35

				1,618


Health Care - 7.5%
Almost Family, Inc. (Æ)		1,807		47
Community Health Systems, Inc. (Æ)		1,349		30


Russell Small Cap Contrarian ETF		121

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

CONMED Corp.		1,019		30
Greatbatch, Inc. (Æ)		1,212		30
Hanger Orthopedic Group, Inc. (Æ)		1,677		37
Kindred Healthcare, Inc. (Æ)		2,162		19
Magellan Health Services, Inc. (Æ)		529		26
Molina Healthcare, Inc. (Æ)		1,238		42
Natus Medical, Inc. (Æ)		3,210		38
Owens & Minor, Inc.		870		26
PerkinElmer, Inc.		1,430		40
Prestige Brands Holdings, Inc. (Æ)		2,720		48
Symmetry Medical, Inc. (Æ)		3,455		24
Triple-S Management Corp. Class B (Æ)		1,389		32
Wright Medical Group, Inc. (Æ)		1,828		35

				504


Materials and Processing - 9.4%
A Schulman, Inc.		1,298		35
Apogee Enterprises, Inc.		2,530		33
Beacon Roofing Supply, Inc. (Æ)		1,373		35
Cabot Corp.		815		35
Comfort Systems USA, Inc.		2,568		28
Commercial Metals Co.		1,935		29
Cytec Industries, Inc.		576		35
Encore Wire Corp.		1,044		31
HB Fuller Co.		1,173		39
Interline Brands, Inc. (Æ)		1,714		37
Minerals Technologies, Inc.		462		30
Mueller Industries, Inc.		703		32
OM Group, Inc. (Æ)		1,178		32
PH Glatfelter Co.		1,866		29
Quanex Building Products Corp.		1,777		31
Schnitzer Steel Industries, Inc. Class A		577		23
Sealed Air Corp.		1,543		30
Tredegar Corp.		1,239		24
Universal Forest Products, Inc.		963		33
Wausau Paper Corp.		3,472		33

				634


Producer Durables - 19.8%
ABM Industries, Inc.		1,234		30
AECOM Technology Corp. (Æ)		1,250		28
Albany International Corp. Class A		1,105		25
Alexander & Baldwin, Inc.		717		35
Brady Corp. Class A		903		29
Brink’s Co. (The)		1,099		26
Bristow Group, Inc.		582		28
Ceradyne, Inc.		901		29
CIRCOR International, Inc.		832		28
Convergys Corp. (Æ)		2,094		28
EMCOR Group, Inc.		1,055		29
EnergySolutions, Inc. (Æ)		8,499		42
EnPro Industries, Inc. (Æ)		808		33
G&K Services, Inc. Class A		896		31
Genco Shipping & Trading, Ltd. (Æ)		3,536		22
General Cable Corp. (Æ)		1,011		29
Granite Construction, Inc.		1,086		31
Great Lakes Dredge & Dock Corp.		4,430		32


	Principal Amount ($) or Shares		Market Value $
H&E Equipment Services, Inc. (Æ)		2,113		40
Harsco Corp.		1,311		31
Heidrick & Struggles International, Inc.		1,270		28
ICF International, Inc. (Æ)		1,043		26
Kadant, Inc. (Æ)		1,313		31
Kelly Services, Inc. Class A		1,851		30
Korn/Ferry International (Æ)		1,592		27
Layne Christensen Co. (Æ)		1,071		24
Metalico, Inc. (Æ)		7,664		33
Mobile Mini, Inc. (Æ)		1,486		31
MYR Group, Inc. (Æ)		1,542		28
Orbital Sciences Corp. (Æ)		1,805		24
Orion Marine Group, Inc. (Æ)		4,462		32
Powell Industries, Inc. (Æ)		884		30
Republic Airways Holdings, Inc. (Æ)		7,063		35
RR Donnelley & Sons Co.		1,784		22
Rush Enterprises, Inc. Class A (Æ)		1,412		30
Ryder System, Inc.		518		27
SkyWest, Inc.		2,213		24
SPX Corp.		423		33
SYKES Enterprises, Inc. (Æ)		1,645		26
Teekay Tankers, Ltd. Class A		7,053		44
Tetra Tech, Inc. (Æ)		1,197		32
Trinity Industries, Inc.		946		31
Tutor Perini Corp. (Æ)		1,625		25
URS Corp.		752		32
Werner Enterprises, Inc.		1,144		28

				1,339


Technology - 9.3%
Acxiom Corp. (Æ)		2,175		32
Anaren, Inc. (Æ)		1,599		29
Arris Group, Inc. (Æ)		2,493		28
AVX Corp.		2,091		28
Benchmark Electronics, Inc. (Æ)		1,959		32
Brocade Communications Systems, Inc. (Æ)		5,028		29
CACI International, Inc. Class A (Æ)		475		30
Checkpoint Systems, Inc. (Æ)		2,219		25
Comtech Telecommunications Corp.		885		29
CSG Systems International, Inc. (Æ)		1,783		27
Digital River, Inc. (Æ)		1,676		31
Earthlink, Inc.		4,294		34
Harmonic, Inc. (Æ)		4,991		27
Ingram Micro, Inc. Class A (Æ)		1,502		28
International Rectifier Corp. (Æ)		1,275		29
Multi-Fineline Electronix, Inc. (Æ)		1,293		35
Plexus Corp. (Æ)		996		35
Sigma Designs, Inc. (Æ)		3,845		20
TeleCommunication Systems, Inc. Class A(Æ)		9,964		28
TriQuint Semiconductor, Inc. (Æ)		6,143		43
United Online, Inc.		5,124		25

				624


Utilities - 10.8%
AGL Resources, Inc.		656		26
Allete, Inc.		679		28


	122			Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Atlantic Tele-Network, Inc.		648			24
Atmos Energy Corp.		791			25
Avista Corp.		1,082			28
Black Hills Corp.		826			28
CH Energy Group, Inc.		482			32
Chesapeake Utilities Corp.		624			26
Cleco Corp.		741			29
El Paso Electric Co.		776			25
Empire District Electric Co. (The)		1,285			26
Energen Corp.		529			26
Great Plains Energy, Inc.		1,286			26
Hawaiian Electric Industries, Inc.		1,033			26
Laclede Group, Inc. (The)		668			26
NorthWestern Corp.		775			27
NV Energy, Inc.		1,763			28
Ormat Technologies, Inc.		1,412			28
Otter Tail Corp.		1,248			27
Portland General Electric Co.		1,080			27
Southwest Gas Corp.		669			29
UGI Corp.		903			25
UIL Holdings Corp.		769			27
Unisource Energy Corp.		727			27
US Cellular Corp. (Æ)		613			25
Vectren Corp.		929			27
Westar Energy, Inc.		979			27

					725


Total Common Stocks (cost $5,775)					6,725


Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		10,860	(¥)		11


Total Short-Term Investments (cost $11)					11


Total Investments - 99.9% (identified cost $5,786)					6,736

Other Assets and Liabilities, Net - 0.1%					4


Net Assets - 100.0%					6,740

See accompanying notes which are an integral part of the financial statements.


Russell Small Cap Contrarian ETF		123

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	904	$	—	$	—	$	904		13.4
Consumer Staples		189		—		—		189		2.8
Energy		188		—		—		188		2.8
Financial Services		1,618		—		—		1,618		23.9
Health Care		504		—		—		504		7.5
Materials and Processing		634		—		—		634		9.4
Producer Durables		1,339		—		—		1,339		19.8
Technology		624		—		—		624		9.3
Utilities		725		—		—		725		10.8
Short-Term Investments		—		11		—		11		0.2

Total Investments		6,725		11		—		6,736		99.9

Other Assets and Liabilities, Net										0.1

										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	124			Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Small Cap Contrarian ETF

Assets
Investments, at identified cost	$	5,786
Investments, at market*		6,736
Receivables:
Dividends		7

Total assets		6,743


Liabilities
Payables:
Accrued fees to affiliates		3

Total liabilities		3


Net Assets	$	6,740

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	3
Accumulated net realized gain (loss)		(93	)
Unrealized appreciation (depreciation) on investments		950
Additional paid-in capital		5,880

Net Assets	$	6,740

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	67.40
Net assets	$	6,740,111
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	11

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		125

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Small Cap Contrarian ETF*

Investment Income
Dividends	$	94

Total investment income		94


Expenses
Management fees		23
Trustee and trustee related fees		15

Expenses before reductions		38
Expense reductions		(15	)

Net expenses		23

Net investment income (loss)		71


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(94	)
In-kind redemptions		1,664

Net realized gain (loss)		1,570

Net change in unrealized appreciation (depreciation) on investments		950

Net realized and unrealized gain (loss)		2,520

Net Increase (Decrease) in Net Assets from Operations	$	2,591

*	For the period October 5, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	126			Statements of Operations

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell Small Cap Contrarian ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	71
Net realized gain (loss)		1,570
Net change in unrealized appreciation (depreciation)		950

Net increase (decrease) in net assets from operations		2,591


Distributions
From net investment income		(67	)

Net decrease in net assets from distributions		(67	)


Share Transactions
Net increase (decrease) in net assets from share transactions		4,216

Total Net Increase (Decrease) in Net Assets		6,740

Net Assets
Beginning of period		—

End of period	$	6,740

Undistributed (overdistributed) net investment income included in net assets	$	3

*	For the period October 5, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets		127

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Small Cap Contrarian ETF
March 31, 2012*		52.93		.43		14.48		14.91		(.44	)		(.44	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period October 5, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	128			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	67.40		28.19		6,740		.74		.45		1.40		57

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		129

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Notes to Schedules of Investments — March 31, 2012

Footnotes:

(Æ)	Nonincome-producing security.

(ö)	Real Estate Investment Trust (REIT).

(¥)	Unrounded units.

Abbreviations:

ADR - American Depositary Receipt


	130			Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements — March 31, 2012

Organization

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

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

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

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

Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

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

•

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

•

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

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


Notes to Financial Statements		131

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012

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

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

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

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

Level 3 Trading Assets and Trading Liabilities, at Fair Value

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

RFSC applies fair valuation methods that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

Investment Transactions


	132			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Investment Income

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

Federal Income Taxes

Since the Investment Company is a Delaware statutory trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.

The Funds comply with the authoritative guidance for uncertainty in income taxes which requires management to determine whether a tax position of the Funds is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For tax positions meeting the more likely than not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than 50% likelihood of being realized upon ultimate settlement with the relevant taxing authority. Management determined that no accruals need to be made in the financial statements due to uncertain tax positions. Management continually reviews and adjusts its liability if any, for income taxes based on analyses of tax laws and regulations, as well as their interpretations, and other relevant factors.

Dividends and Distributions to Shareholders

For all Funds, income dividends, capital gain distributions and return of capital, if any, are recorded on the ex-dividend date. Income dividends are generally declared and paid quarterly. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income and excise tax on any remaining undistributed capital gains and net investment income. Dividends and distributions cannot be automatically reinvested in additional shares of the Funds.

The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from U.S. GAAP. As a result, net investment income and net realized gain (or loss) from investment and foreign currency-related transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and U.S. GAAP relate primarily to investments in wash sale deferrals and certain securities sold at a loss. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset values.

Guarantees

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

Market, Credit and Counterparty Risk

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

ETF Specific Risk

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


Notes to Financial Statements		133

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012

The Funds’ return may not match or achieve a high degree of correlation with the return of the Index due to security mismatches, operating expenses, transaction costs, cash flows and operational inefficiencies.

Investment Transactions

Securities

During the period ended March 31, 2012, purchases and sales of the Funds (excluding investments held for short-term purposes and in-kind transactions) were as follows:


	Purchases		Sales

Russell Aggressive Growth ETF	$	1,923,389	$	3,329,495
Russell Consistent Growth ETF		3,838,224		5,205,130
Russell Growth at a Reasonable Price ETF		2,459,509		2,457,112
Russell Contrarian ETF		1,475,634		3,186,988
Russell Equity Income ETF		8,882,817		8,933,325
Russell Low P/E ETF		3,527,444		5,335,469
Russell Small Cap Aggressive Growth ETF		2,090,064		2,074,992
Russell Small Cap Consistent Growth ETF		1,324,378		1,297,203
Russell Small Cap Low P/E ETF		2,736,631		2,738,327
Russell Small Cap Contrarian ETF		5,296,959		5,315,931

For the period ended March 31, 2012, the purchases and sales of the Funds resulting from in-kind transactions were:


	Purchases		Sales

Russell Aggressive Growth ETF	$	9,730,005	$	3,276,600
Russell Consistent Growth ETF		42,530,029		12,685,936
Russell Growth at a Reasonable Price ETF		38,231,279		14,074,144
Russell Contrarian ETF		9,566,240		2,742,655
Russell Equity Income ETF		73,685,171		24,166,020
Russell Low P/E ETF		14,514,266		7,376,573
Russell Small Cap Aggressive Growth ETF		16,187,070		11,538,379
Russell Small Cap Consistent Growth ETF		16,515,218		11,805,036
Russell Small Cap Low P/E ETF		11,385,973		5,916,471
Russell Small Cap Contrarian ETF		16,648,413		12,424,640

Because gains and losses resulting from such in-kind transactions are not taxable to the Funds and are not distributed to existing fund shareholders, the gains or losses are reclassified from accumulated net realized gains or losses to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net assets per share. The realized in-kind gains or losses for the period ended March 31, 2012 are disclosed in the Funds’ Statements of Operations.

Related Party Transactions, Fees and Expenses

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

The Funds may also invest their cash reserves (the “Cash Balances”) in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of March 31, 2012, the Funds presented herein have invested $266,175 in the Russell U.S. Cash Management Fund.

The management fees specified in the table below are based upon the average daily net assets of the Funds and are payable monthly. The Adviser pays all of the expenses of the Funds other than the management fee and distribution fees pursuant to the Funds’ Supervision and Management Agreements, if any, brokerage expenses, taxes, interest fees, litigation expenses, acquired fund fees and other extraordinary expenses.


	Annual Rate

Russell Aggressive Growth ETF		0.37	%
Russell Consistent Growth ETF		0.37
Russell Growth at a Reasonable Price ETF		0.37
Russell Contrarian ETF		0.37
Russell Equity Income ETF		0.37


	134			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012


	Annual Rate

Russell Low P/E ETF		0.37	%
Russell Small Cap Aggressive Growth ETF		0.45
Russell Small Cap Consistent Growth ETF		0.45
Russell Small Cap Low P/E ETF		0.45
Russell Small Cap Contrarian ETF		0.45

The following shows the amount of the management fees paid by the Funds for the period ended March 31, 2012:


	Management

Russell Aggressive Growth ETF	$	15,274
Russell Consistent Growth ETF		50,530
Russell Growth at a Reasonable Price ETF		48,969
Russell Contrarian ETF		14,296
Russell Equity Income ETF		99,065
Russell Low P/E ETF		23,716
Russell Small Cap Aggressive Growth ETF		13,353
Russell Small Cap Consistent Growth ETF		13,534
Russell Small Cap Low P/E ETF		14,071
Russell Small Cap Contrarian ETF		22,701

Waivers and Reimbursements

The Adviser has voluntarily agreed to waive trustee and trustee related expenses paid by the Funds. For the period ended March 31, 2012, the total trustee and trustee related fees waived amounted to:


	Trustee

Russell Aggressive Growth ETF	$	14,339
Russell Consistent Growth ETF		42,460
Russell Growth at a Reasonable Price ETF		45,627
Russell Contrarian ETF		13,618
Russell Equity Income ETF		79,429
Russell Low P/E ETF		21,106
Russell Small Cap Aggressive Growth ETF		8,133
Russell Small Cap Consistent Growth ETF		8,255
Russell Small Cap Low P/E ETF		8,793
Russell Small Cap Contrarian ETF		14,544

Accrued Fees Payable to Affiliate

Accrued fees payable to affiliate for the period ended March 31, 2012 were as follows:


	Russell Aggressive Growth ETF		Russell Consistent Growth ETF		Russell Growth at a Reasonable Price ETF		Russell Contrarian ETF		Russell Equity Income ETF

Management fees	$	1,631	$	9,997	$	8,116	$	1,479	$	19,024


	Russell Low P/E ETF		Russell Small Cap Aggressive Growth ETF		Russell Small Cap Consistent Growth ETF		Russell Small Cap Low P/E ETF		Russell Small Cap Contrarian ETF

Management fees	$	1,545	$	2,441	$	2,457	$	2,572	$	2,548

Concentration of Secondary Market Shareholder Interests

As of March 31, 2012, the Russell Equity I Fund, a Russell Trust Company Fund and a related party to the Funds, holds investments in the secondary market of the following funds and amounts:


Fund	Market Value
Russell Equity Income ETF	$	51,676,206
Russell Growth at a Reasonable Price ETF		23,038,329
Russell Consistent Growth ETF		24,830,773

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


Notes to Financial Statements		135

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Board of Trustees

For all Funds of the Investment Company, each independent Trustee is paid a retainer of $70,000 per year, $5,000 for each regular quarterly meeting attended in person, and $2,500 for each Audit Committee meeting and Nominating and Governance Committee meeting. Each Trustee receives a $1,250 fee for attending the quarterly meeting by phone instead of receiving the full fee had the member attended in person. The Trustees are also compensated for out of pocket expenses. The Audit Committee Chair and Nominating and Governance Chair are each paid a fee of $12,000 and $6,000, respectively, per year. The Chairman of the Board receives additional annual compensation of $20,000.

Federal Income Taxes

At March 31, 2012, the following Funds had net tax basis capital loss carryforwards which may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. Available capital loss carryforwards and expiration dates are as follows:


	No Expiration
	Short-term		Long-term		Totals

Russell Aggressive Growth ETF	$	339,370	$	—	$	339,370
Russell Consistent Growth ETF		417,131		—		417,131
Russell Growth at a Reasonable Price ETF		59,771		—		59,771
Russell Contrarian ETF		252,193		—		252,193
Russell Equity Income ETF		160,077		—		160,077
Russell Low P/E ETF		299,575		—		229,575

At March 31, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:


	Russell Aggressive Growth ETF			Russell Consistent Growth ETF			Russell Growth at a Reasonable Price ETF			Russell Contrarian ETF			Russell Equity Income ETF

Cost of Investments	$	4,759,219		$	28,133,061		$	23,396,464		$	4,645,462		$	50,769,439

Unrealized Appreciation	$	677,183		$	4,503,929		$	2,950,944		$	342,878		$	6,088,155
Unrealized Depreciation		(153,673	)		(282,273	)		(245,990	)		(223,112	)		(280,934	)

Net Unrealized Appreciation (Depreciation)	$	523,510		$	4,221,656		$	2,704,954		$	119,766		$	5,807,221

Undistributed Ordinary Income	$	1,397		$	11,693		$	10,351		$	3,741		$	37,528
Undistributed Long-Term Capital Gains (Capital Loss Carryforward)	$	(339,370	)	$	(417,131	)	$	(59,771	)	$	(252,193	)	$	(160,077	)
Tax Composition of Distributions
Ordinary Income	$	27,513		$	144,226		$	191,046		$	65,111		$	612,115
Tax-Exempt Income	$	—		$	—		$	—		$	—		$	—
Long-Term Capital Gains	$	—		$	—		$	—		$	—		$	—
Distributions in Excess	$	—		$	—		$	—		$	—		$	—
Tax Return of Capital	$	—		$	—		$	—		$	—		$	—

	Russell Low P/E ETF			Russell Small Cap Aggressive Growth ETF			Russell Small Cap Consistent Growth ETF			Russell Small Cap Low P/E ETF			Russell Small Cap Contrarian ETF
Cost of Investments	$	4,976,176		$	5,768,028		$	5,890,635		$	5,975,213		$	5,787,197

Unrealized Appreciation	$	378,356		$	914,870		$	775,420		$	911,513		$	1,034,909
Unrealized Depreciation		(395,577	)		(189,246	)		(130,759	)		(66,880	)		(85,738	)

Net Unrealized Appreciation (Depreciation)	$	(17,221	)	$	725,624		$	644,661		$	844,633		$	949,171

Undistributed Ordinary Income	$	3,800		$	1,368		$	5,083		$	1,910		$	3,280
Undistributed Long-Term Capital Gains (Capital Loss Carryforward)	$	(299,575	)	$	—		$	—		$	—		$	—
Tax Composition of Distributions
Ordinary Income	$	121,934		$	2,448		$	7,582		$	25,452		$	67,009
Tax-Exempt Income	$	—		$	—		$	—		$	—		$	—
Long-Term Capital Gains	$	—		$	—		$	—		$	—		$	—
Distributions in Excess	$	—		$	—		$	—		$	—		$	—
Tax Return of Capital	$	—		$	—		$	—		$	—		$	—


	136			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012

As permitted by tax regulations, the Funds intend to defer a net realized capital loss incurred from November 1, 2011 to March 31, 2012, and treat it as arising in the fiscal year 2012. As of March 31, 2012, the Funds had realized capital losses as follows:


Fund
Russell Aggressive Growth ETF	$	42,147
Russell Consistent Growth ETF		29,449
Russell Contrarian ETF		150,809
Russell Equity Income ETF		514,346
Russell Small Cap Aggressive Growth ETF		140,923
Russell Small Cap Consistent Growth ETF		96,191
Russell Small Cap Low P/E ETF		77,142
Russell Small Cap Contrarian ETF		91,590

Fund Share Transactions (amounts in thousands)

As of March 31, 2012, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Investment Company. Shares are created and redeemed by the Funds at their NAV only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of the Funds are not redeemable. The Shares are listed on either the New York Stock Exchange (“NYSE”) Arca (“NYSE Arca” or the “Exchange”), or the NASDAQ Stock Market LLC (“NASDAQ” or the “Exchange”) subject to notice of issuance. The Shares trade on the Exchange at market prices. These prices may differ from the Shares’ NAV. The Shares are also redeemable only in Creation Unit aggregations, and generally in exchange for portfolio securities and a specified cash payment. Investors purchasing and redeeming Creation Units pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Funds’ Custodian. A Creation Unit of a Fund consists of at least 50,000 Shares. Transactions in shares for the Funds for the period ended March 31, 2012 were as follows:


	2012*
	Shares			Dollars


Russell Aggressive Growth ETF
Shares created		200		$	9,753
Shares redeemed		(100	)		(4,697	)

Total increase (decrease)		100			5,056


	2012*
	Shares			Dollars


Russell Consistent Growth ETF
Shares created		900		$	42,625
Shares redeemed		(300	)		(14,126	)

Total increase (decrease)		600			28,499


	2012*
	Shares			Dollars

Russell Growth at a Reasonable Price ETF
Shares created		800		$	38,314
Shares redeemed		(300	)		(14,120	)

Total increase (decrease)		500			24,194


	2012*
	Shares			Dollars

Russell Contrarian ETF
Shares created		200		$	9,585
Shares redeemed		(100	)		(4,466	)

Total increase (decrease)		100			5,119


Notes to Financial Statements		137

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Fund Share Transactions (amounts in thousands) (continued)


		2012*
		Shares			Dollars

Russell Equity Income ETF
Shares created			1,600		$	73,801
Shares redeemed			(500	)		(24,162	)

Total increase (decrease)			1,100			49,639


		2012*
		Shares			Dollars

Russell Low P/E ETF
Shares created			400		$	19,467
Shares redeemed			(300	)		(14,130	)

Total increase (decrease)			100			5,337


		2012**
		Shares			Dollars

Russell Small Cap Aggressive Growth ETF
Shares created			300		$	16,219
Shares redeemed			(200	)		(11,539	)
	��
Total increase (decrease)			100			4,680


		2012**
		Shares			Dollars

Russell Small Cap Consistent Growth ETF
Shares created			300		$	16,547
Shares redeemed			(200	)		(11,795	)

Total increase (decrease)			100			4,752


		2012***
		Shares			Dollars


Russell Small Cap Low P/E ETF
Shares created			200		$	11,409
Shares redeemed			(100	)		(5,930	)

Total increase (decrease)			100			5,479


		2012***
		Shares			Dollars

Russell Small Cap Contrarian ETF
Shares created			300		$	16,681
Shares redeemed			(200	)		(12,465	)

Total increase (decrease)			100			4,216

*	For the period May 18, 2011 (commencement of operations) to March 31, 2012.

**	For the period October 4, 2011 (commencement of operations) to March 31, 2012.

***	For the period October 5, 2011 (commencement of operations) to March 31, 2012.


	138			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Restricted Securities

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

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

As of March 31, 2012, there were no restricted securities held by a fund that were illiquid.

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

Subsequent Events


Notes to Financial Statements		139

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders:

In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Russell Aggressive Growth ETF, Russell Consistent Growth ETF, Russell Growth at a Reasonable Price ETF, Russell Contrarian ETF, Russell Equity Income ETF, Russell Low P/E ETF, Russell Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF and Russell Small Cap Contrarian ETF (ten of the portfolios constituting the Russell Exchange Traded Funds Trust, hereafter referred to as the “Funds”) at March 31, 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2012 by correspondence with the custodian, provide a reasonable basis for our opinion.

LOGO

PricewaterhouseCoopers LLP

Seattle, Washington

May 29, 2012


	140			Report of Independent Registered Public Accounting Firm

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Frequency Distribution of Discounts and Premiums — March 31, 2012 (Unaudited)

The chart below presents information about differences between the per share NAV of the Funds and the market trading price of shares of the Funds. For these purposes, the “market price” is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. The term “premium” is sometimes used to describe a market price in excess of NAV and the term “discount” is sometimes used to describe a market price below NAV. The chart presents information about the size and frequency of premiums or discounts. As with other exchange traded funds, the market price of Fund shares is typically slightly higher or lower than the Fund’s per share NAV. Factors that contribute to the differences between market price and NAV include the supply and demand for Fund shares and investors’ assessments of the underlying value of a Fund’s portfolio securities.


	Russell Aggressive Growth ETF				Russell Consistent Growth ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days		Number of Days*		Percentage of Total Days

Greater than 0.20% and Less than 1.00%		3		0.94%		3		0.94%
Greater than 0.05% and Less than 0.20%		24		7.50%		47		14.69%
Between 0.05% and -0.05%		244		76.25%		226		70.62%
Greater than -0.05% and Less than -0.20%		49		15.31%		44		13.75%
Greater than -0.20% and less than -1.00%		—		0.00%		—		0.00%

		320		100.00%		320		100.00%


	Growth at a Reasonable Price ETF				Russell Contrarian ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days		Number of Days*		Percentage of Total Days

Greater than 0.20% and Less than 1.00%		4		1.25%		1		0.31%
Greater than 0.05% and Less than 0.20%		78		24.37%		7		2.19%
Between 0.05% and -0.05%		208		65.00%		269		84.06%
Greater than -0.05% and Less than -0.20%		30		9.38%		42		13.13%
Greater than -0.20% and Less than -1.00%		—		0.00%		1		0.31%

		320		100.00%		320		100.00%


	Russell Equity Income ETF				Russell Low P/E ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days		Number of Days		Percentage of Total Days

Greater than 0.20% and Less than 1.00%		3		0.94%		7		2.19%
Greater than 0.05% and Less than 0.20%		47		14.69%		77		24.06%
Between 0.05% and -0.05%		232		72.50%		195		60.94%
Greater than -0.05% and Less than -0.20%		34		10.62%		41		12.81%
Greater than -0.20% and Less than -1.00%		4		1.25%		—		0.00%

		320		100.00%		320		100.00%


	Russell Small Cap Aggressive Growth ETF				Russell Small Cap Consistent Growth ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days		Number of Days		Percentage of Total Days

Greater than 1.00%		1		0.55%		—		0.00%
Greater than 0.20% and Less than 1.00%		—		0.00%		—		0.00%
Greater than 0.05% and Less than 0.20%		6		3.31%		14		7.73%
Between 0.05% and -0.05%		27		14.92%		44		24.31%
Greater than -0.05% and Less than -0.20%		31		17.13%		63		34.81%
Greater than -0.20% and Less than -1.00%		116		64.09%		60		33.15%

		181		100.00%		181		100.00%


Frequency Distribution of Discounts and Premiums	��	141

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Frequency Distribution of Discounts and Premiums, continued — March 31, 2012 (Unaudited)


	Russell Small Cap Low P/E ETF				Russell Small Cap Contrarian ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days		Number of Days		Percentage of Total Days

Greater than 0.20% and Less than 1.00%		—		0.00%		33		18.33%
Greater than 0.05% and Less than 0.20%		9		5.00%		45		25.00%
Between 0.05% and -0.05%		42		23.33%		81		45.00%
Greater than -0.05% and Less than -0.20%		31		17.22%		20		11.11%
Greater than -0.20% and Less than -1.00%		98		54.45%		1		0.56%

		180		100.00%		180		100.00%

*	Number of days are based on inception date which is one day prior to commencement of operations.


	142			Frequency Distribution of Discounts and Premiums

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Tax Information — March 31, 2012 (Unaudited)

For the tax year ended March 31, 2012, the Funds hereby designate 100% or the maximum amount allowable, of its net taxable income as qualified dividends taxed at individual net capital gain rates.

The Form 1099 you receive in January 2013 will show the tax status of all distributions paid to your account in calendar year 2012.

The Funds designate dividends distributed during the fiscal year as qualifying for the dividends received deduction for corporate shareholders as follows:


Russell Aggressive Growth ETF	100.0	%
Russell Consistent Growth ETF	100.0	%
Russell Growth at a Reasonable Price ETF	100.0	%
Russell Equity Income ETF	100.0	%
Russell Low P/E ETF	100.0	%
Russell Contrarian ETF	100.0	%
Russell Small Cap Aggressive Growth ETF	100.0	%
Russell Small Cap Consistent Growth ETF	100.0	%
Russell Small Cap Low P/E ETF	100.0	%
Russell Small Cap Contrarian ETF	100.0	%

Please consult a tax adviser for any questions about federal or state income tax laws.


Tax Information		143

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Shareholder Requests for Additional Information — March 31, 2012 (Unaudited)

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

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

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

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


	144			Shareholder Requests for Additional Information

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Basis for Approval of Investment Advisory Contracts (Unaudited)

The Board of Trustees, including all of the Independent Trustees, considered and approved the management agreement with RIMCo (the “RIMCo Agreement”) with respect to Russell Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF and Russell Small Cap Contrarian ETF (the “Funds”) at a meeting held in person on August 31, 2011 (the “Agreement Evaluation Meeting”). In preparation for the Agreement Evaluation Meeting, the Board considered (1) information, reports and analyses prepared by RIMCo relating to the services provided by RIMCo (and its affiliates) to the Funds at this and prior meetings; and (2) information (the “Comparative Information”) received from RIMCo comparing the operating expenses of each of the Funds with other peer funds not managed by RIMCo within a subset of US equity ETFs chosen by RIMCo using data provided by National Stock Exchange and industry information provided by Morningstar, each an independent third party. In the case of each Fund its other peer funds are collectively hereinafter referred to as the Fund’s “Comparable Funds,” and such Comparable Funds are collectively hereinafter referred to as the Fund’s “Expense Universe.” The foregoing information provided by RIMCo is collectively called the “Agreement Evaluation Information.” In connection with their consideration of the RIMCo Agreement, the Trustees had previously received and reviewed a memorandum from counsel to the Funds discussing the legal standards for their consideration of the adoption of the RIMCo Agreement.

At the Agreement Evaluation Meeting, the Board, including the Independent Trustees, reviewed the proposed approval of the RIMCo Agreement with management and counsel to the Funds. Presentations made by RIMCo to the Board as part of this review encompassed the Funds. The discussion below reflects these reviews.

The Board considered that RIMCo is responsible under the RIMCo Agreement for determining, implementing and maintaining the investment program for each Fund. Assets are managed directly by RIMCo pursuant to authority provided by the RIMCo Agreement. RIMCo is responsible for investing the assets of each Fund in accordance with such Fund’s investment objective and policies.

The Board considered that each Fund is passively managed, which means that the investment objective of each Fund is to seek investment results that closely correspond to the total return of such Fund’s corresponding index (each, an “Underlying Index”).

In addition to these general factors relating to the Funds, the Trustees considered, with respect to each Fund, various specific factors in evaluating the RIMCo Agreement, including the following:

1.	The nature, scope and overall quality of the investment management and other services provided, and expected to be provided, to the Fund by RIMCo;

The management fee to be paid by the Fund to RIMCo (the “Management Fee”) and the fact that it encompasses fees paid by the Fund for other services provided by RIMCo, its affiliates and other parties to the Fund, including services provided under the Supervision and Operational, Administrative, Fund Accounting, Master Custodian, Transfer Agency and Service, and Distribution Agreements;

3.	Information provided by RIMCo as to other fees and benefits received by RIMCo or its affiliates from the Fund, including soft dollar arrangements and commissions in connection with portfolio securities transactions;

4.	Information provided by RIMCo as to expenses to be incurred by the Fund; and

5.	Information provided by RIMCo at prior meetings as to the profits that RIMCo expects to derive from the Fund’s operations.

In evaluating the nature, scope and overall quality of the investment management and other services provided and which are expected to be provided to the Funds, including Fund portfolio management services, the Board considered that RIMCo’s investment management functions would consist of two primary roles: managing each Fund’s portfolio and producing the daily creation and redemption baskets.

With respect to managing the Funds’ portfolios, RIMCo reported, and the Board considered, that to meet the investment objective of each Fund, RIMCo intends to employ a full replication strategy. In this strategy, a Fund generally invests in all of the stocks comprising its Underlying Index. However, under various circumstances, it may not be possible or practicable to purchase all of those stocks in the same weighting as the Underlying Index. In those circumstances, a Fund may purchase a sample of stocks in the Underlying Index. RIMCo reported, and the Board considered, that there may also be instances in which RIMCo may choose to overweight another stock in the Underlying Index, purchase securities not in the Underlying Index which RIMCo believes are appropriate to substitute for certain securities in the Underlying Index or utilize various combinations of other available investment techniques.

With respect to producing the daily creation and redemption baskets, RIMCo reported, and the Board considered, that RIMCo will instruct the Funds’ custodian as to the basket of securities for each Fund’s creation and redemption file. RIMCo will review the creation and redemption files that are published to the exchange by the custodian on a daily basis for reasonableness and accuracy.


Basis for Approval of Investment Advisory Contracts		145

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

RIMCo also reported, and the Board considered, that on an ongoing basis, RIMCo will provide rebalancing, trade execution and account reconciliation services for the Funds.

RIMCo reported, and the Board considered, that at the time of the Agreement Evaluation Meeting, the Funds had not yet commenced operations and, therefore, no performance data was available for the Funds.

With respect to the Management Fee for each of Russell Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF and Russell Small Cap Contrarian ETF, the Comparative Information showed that the Management Fee for each Fund was ranked in the third quintile of its Expense Universe. RIMCo reported, and the Board considered, that RIMCo believes these Funds track indexes that are representative of the analysis done by active managers and therefore merit fees that are higher than those of the more traditional passively managed ETFs contained in the Funds’ Expense Universe. The comparisons were based upon the latest fiscal years for the Expense Universe Funds.

The Board considered for each Fund whether economies of scale would be realized and whether the Management Fees for such Fund appropriately reflect or should be revised to reflect any such economies. The Board considered that RIMCo does not expect that economies of scale will be experienced in the near-term and that RIMCo expects to initially operate the Funds at a loss.

On the basis of the Agreement Evaluation Information, other information presented at or in connection with the Agreement Evaluation Meeting by RIMCo and information provided at prior meetings, the Board, in respect of each Fund, determined, after giving effect to any applicable waivers and/or reimbursements and considering differences in the composition and investment strategies of their respective Comparable Funds (1) the Management Fee charged by RIMCo was reasonable in light of the nature, scope and overall quality of the investment management and other services provided, and expected to be provided, to the Funds; (2) the relative expense ratio of each Fund was comparable to those of its Comparable Funds; (3) other benefits and fees received by RIMCo or its affiliates from the Funds were not excessive; and (4) RIMCo’s anticipated profitability with respect to the Funds was not excessive in light of the nature, scope and overall quality of the investment management and other services provided by RIMCo.

In their deliberations, the Trustees did not identify any particular information as to the RIMCo Agreement that was all-important or controlling, and each Trustee may have attributed different weights to the various factors considered. The Trustees evaluated all information available to them on a Fund-by-Fund basis and their determinations were made in respect of each Fund.


	146			Basis for Approval of Investment Advisory Contracts

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Disclosure of Information about Fund Trustees and Officers — March 31, 2012

(Unaudited)

Name, Address,
and Date of Birth

Position(s) Held
with the Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund
Complex
Overseen
by Trustee

Other
Directorships Held
by Trustee

INTERESTED TRUSTEES

James Polisson*

Born: November 11, 1959

Trustee

Since 2011

Managing Director and Head of Global ETF Business, Frank Russell Company (2010 to present); and Chief Marketing Officer, Barclays Global Investors/iShares ETFs (2005 to 2010).

None.

INDEPENDENT TRUSTEES

Evelyn S. Dilsaver

Born: May 4, 1955

Trustee, Chair since 2012

Since 2011

Corporate Director, Charles Schwab Investment Management (2003 to 2007); and President and Chief Executive Officer, Charles Schwab Investment Management (2004 to 2007).

Aeropostale,

Inc. (retailer) (2008 to present); High Mark Funds

(2008 to present); and Tempur-pedic, Int’l. (retailer) (2010 to present).

Jane A. Freeman

Born: July 15, 1953

Trustee, Chair of Audit Committee since 2011

Since 2011

Consultant (2008 to present); and Executive Vice President and Chief Financial Officer, Scientific Learning (Educational Support Services) (1999 to 2008).

Harding Loevner Funds (Lead Director since 2008).

Lee T. Kranefuss**

Born: September 27, 1961

Trustee

Since 2011

Barclays Global Investors Funds and Master Investment Portfolio (2001 to present).

Daniel O. Leemon

Born: October 25, 1953

Trustee

Since 2011

Retired.

Director, Corporate Executive Board (2003 to

present).


Disclosure of Information about Fund Trustees and Officer		147

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Disclosure of Information about Fund Trustees and Officers, continued — March 31, 2012

(Unaudited)

Name, Address,
and Date of Birth

Position(s) Held
with the Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships Held
by Trustee

INDEPENDENT TRUSTEES (continued)

Ernest L. Schmider

Born: July 4, 1957

Trustee, Chairman of Nominating and Governance Committee since 2012

Since 2011

None.


	148			Disclosure of Information about Fund Trustees and Officer

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

Disclosure of Information about Fund Trustees and Officers, continued — March 31, 2012

(Unaudited)


	Position(s) Held with the Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee
OFFICERS
James Polisson* Born: November 11, 1959	President and Chief Executive Officer	Since 2011; until successor is chosen and qualified by Trustees	Managing Director and Head of Global ETF Business, FRC; Chief Marketing Officer, Barclays Global Investors/ iShares ETFs, 2005–2010	N/A
Mark E. Swanson Born: November 26, 1963	Treasurer, Chief Financial Officer and Chief Accounting Officer	Since 2011; until successor is chosen and qualified by Trustees	Treasurer, Chief Accounting Officer and CFO, Russell Investment Company and Russell Investment Funds; Director, Funds Administration, RIMCo, Russell Fund Services Company, Russell Trust Company (a non-depository trust company), and Russell Financial Services, Inc.; and Treasurer and Principal Accounting Officer, SSgA Funds	N/A
Mary Beth Rhoden Born: April 25, 1969	Secretary and Chief Legal Officer	Since 2011; until successor is chosen and qualified by Trustees	Associate General Counsel, FRC; Assistant Secretary, Russell Investment Company and Russell Investment Funds, 1999–2010; Secretary, RIMCo, Russell Fund Services Company and Russell Financial Services, Inc.; and Secretary and Chief Legal Officer, Russell Investment Company and Russell Investment Funds	N/A
Cheryl Wichers Born December 16, 1966	Chief Compliance Officer since 2005	Until removed by Independent Trustees	Chief Compliance Officer, RIC; Chief Compliance Officer, RIF; Chief Compliance Officer, RIMCo; Chief Compliance Officer, RFSC; Chief Compliance Officer, Russell Exchange Traded Funds Trust April 2002–May 2005, Manager, Global Regulatory Policy	N/A

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012.


Disclosure of Information about Fund Trustees and Officer		149

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^TM

1301 Second Avenue, Seattle, Washington 98101

(888) 775-3837

Interested Trustee

James Polisson*

Independent Trustees

Evelyn S. Dilsaver

Jane A. Freeman

Lee T. Kranefuss**

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson, President and Chief Executive Officer

Mark E. Swanson, Treasurer, Chief Financial Officer and Chief Accounting Officer

Mary Beth Rhoden, Secretary and Chief Legal Officer

Cheryl Wichres, Chief Compliance Officer

Adviser

Russell Investment Management Company

1301 Second Avenue

Seattle, Washington 98101

Administrator

Russell Fund Services Company

1301 Second Avenue

Seattle, Washington 98101

Transfer and Dividend Disbursing Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Custodian

State Street Bank and Trust Company

Josiah Quincy Building

200 Newport Avenue

North Quincy, MA 02171

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1420 Fifth Avenue, Suite 1900

Seattle, WA 98101

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012.


	150			Adviser and Service Providers


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

LOGO

2012 ANNUAL REPORT

Russell Exchange

Traded Funds Trust

Russell Factor ETFs^™

MARCH 31, 2012

FUND

Russell 1000 Low Beta ETF

Russell 1000 High Beta ETF

Russell 1000 Low Volatility ETF

Russell 1000 High Volatility ETF

Russell 1000 High Momentum ETF

Russell 2000 Low Beta ETF

Russell 2000 High Beta ETF

Russell 2000 Low Volatility ETF

Russell 2000 High Volatility ETF

Russell 2000 High Momentum ETF

Russell Developed ex-U.S. Low Beta ETF

Russell Developed ex-U.S. Low Volatility ETF

Russell Developed ex-U.S. High Momentum ETF

Russell Exchange Traded Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. These financial statements report on 13 of these Funds.

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Annual Report

March 31, 2012

Table of Contents


	Page
To Our Shareholders		3
Market Summary		4
Russell 1000 Low Beta ETF		6
Russell 1000 High Beta ETF		18
Russell 1000 Low Volatility ETF		30
Russell 1000 High Volatility ETF		42
Russell 1000 High Momentum ETF		54
Russell 2000 Low Beta ETF		66
Russell 2000 High Beta ETF		80
Russell 2000 Low Volatility ETF		92
Russell 2000 High Volatility ETF		104
Russell 2000 High Momentum ETF		118
Russell Developed ex-U.S. Low Beta ETF		132
Russell Developed ex-U.S. Low Volatility ETF		148
Russell Developed ex-U.S. High Momentum ETF		164
Notes to Schedules of Investments		180
Notes to Financial Statements		181
Report of Independent Registered Public Accounting Firm		193
Frequency Distribution of Discounts and Premiums		194
Tax Information		196
Basis for Approval of Investment Advisory Contracts		197
Shareholder Requests for Additional Information		199
Disclosure of Information about Fund Trustees and Officers		200
Adviser and Service Providers		202

Russell Exchange Traded Funds Trust.

Russell Investments is a Washington, USA corporation, which operates through subsidiaries worldwide and is a subsidiary of The Northwestern Mutual Life Insurance Company.

Securities distributed through ALPS Distributors, Inc. member FINRA, not affiliated with Russell Investments.

Russell Investments is the owner of the trademarks, service marks, and copyrights related to its respective indexes.

To Our Shareholders

From all of us at Russell Investments, thank you for the trust you have placed in our firm.

Best regards,

LOGO

James G. Polisson

Managing Director

CEO, Russell Exchange Traded Funds


To Our Shareholders		3

Russell Exchange Traded Funds Trust

Market Summary as of March 31, 2012 — (Unaudited)


	4			Market Summary

Russell Exchange Traded Funds Trust


Market Summary		5

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Large Cap Low Beta Index**
Inception*		7.76	%		7.76	%		8.16	%


	6			Russell 1000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000^® Low Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 1000^® Low Beta ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap Low Beta Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap Low Beta Index, which is designed to deliver exposure to stocks that are predicted to have a low beta as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 7.76%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Large Cap Low Beta Index, which gained 8.16% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Technology was the best performing sector for the Fund and the Index, while producer durables was the worst performing sector. Health care, with an average weight of 25.1% was the best contributor to Fund and Index returns. Energy, with an average weight of 4.2%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Apple Inc, Philip Morris International Inc, and Bristol-Myers Squibb Co generated positive returns and contributed the most to Fund performance while Peabody Energy Corp, Walgreen Co, and Avon Products Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Large Cap Low Beta Index is designed to deliver exposure to stocks that have low predicted betas as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Beta is a measure of the sensitivity of a stock’s price to a change in the broad market price level, as represented by the Russell 1000^® Index (an index comprised of U.S. large capitalization stocks). Low beta stocks are considered to have a lower risk profile than the overall market and can be used by investors to adjust beta exposure in a portfolio.


Russell 1000^® Low Beta ETF		7

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,187.30	$	1,023.85
Expenses Paid During Period*	$	1.26	$	1.16

Expenses are equal to the Fund’s annualized expense ratio of 0.23% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.20%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	8			Russell 1000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 13.7%
Apollo Group, Inc. Class A (Æ)		8,925		345
Avon Products, Inc.		11,840		229
Best Buy Co., Inc.		4,665		110
Career Education Corp. (Æ)		1,644		13
Chico’s FAS, Inc.		7,308		110
Costco Wholesale Corp.		7,245		658
Dollar General Corp. (Æ)		6,769		313
Education Management Corp. (Æ)		3,538		48
Family Dollar Stores, Inc.		6,671		422
Gap, Inc. (The)		8,722		228
H&R Block, Inc.		11,707		193
ITT Educational Services, Inc. (Æ)		1,582		105
JC Penney Co., Inc.		6,552		232
McDonald’s Corp.		1,680		165
MGM Resorts International (Æ)		2,734		37
Pandora Media, Inc. (Æ)		3,484		36
priceline.com, Inc. (Æ)		847		608
Royal Caribbean Cruises, Ltd.		7,175		211
Sears Holdings Corp. (Æ)		2,090		138
Starwood Hotels & Resorts Worldwide, Inc. (ö)		924		52
TripAdvisor, Inc. (Æ)		2,697		96
Wal-Mart Stores, Inc.		11,177		685

				5,034


Consumer Staples - 28.2%
Altria Group, Inc.		23,892		737
Archer-Daniels-Midland Co.		12,694		402
Clorox Co. (The)		1,372		94
Coca-Cola Co. (The)		9,242		684
Coca-Cola Enterprises, Inc.		6,282		180
Colgate-Palmolive Co.		4,945		484
ConAgra Foods, Inc.		16,689		438
CVS Caremark Corp.		4,588		206
Dean Foods Co. (Æ)		32,034		388
Dr Pepper Snapple Group, Inc.		427		17
General Mills, Inc.		12,960		511
Hershey Co. (The)		3,504		215
HJ Heinz Co.		7,883		422
Kellogg Co.		7,679		412
Kimberly-Clark Corp.		8,446		624
Kraft Foods, Inc. Class A		5,351		203
Kroger Co. (The)		8,225		199
Lorillard, Inc.		4,827		625
Mead Johnson Nutrition Co. Class A		3,126		258
Molson Coors Brewing Co. Class B		2,958		134
PepsiCo, Inc.		9,859		654
Philip Morris International, Inc.		8,323		738
Procter & Gamble Co. (The)		9,674		650
Ralcorp Holdings, Inc. (Æ)		2,552		189
Reynolds American, Inc.		16,015		664
Safeway, Inc.		2,069		42
SUPERVALU, Inc.		4,070		23
Sysco Corp.		2,713		81
Walgreen Co.		1,316		44

				10,318


	Principal Amount ($) or Shares		Market Value $
Energy - 2.8%
Consol Energy, Inc.		49		2
EOG Resources, Inc.		1,253		139
Exxon Mobil Corp.		7,609		660
First Solar, Inc. (Æ)		838		21
Occidental Petroleum Corp.		1,309		125
Southwestern Energy Co. (Æ)		2,944		90

				1,037


Financial Services - 9.0%
Aflac, Inc.		7,763		357
American International Group, Inc. (Æ)		6,380		197
Berkshire Hathaway, Inc. Class B (Æ)		5,071		411
CBRE Group, Inc. Class A (Æ)		955		19
Fifth Third Bancorp		38,122		535
First Republic Bank (Æ)		21,585		711
Green Dot Corp. Class A (Æ)		1,225		32
Hartford Financial Services Group, Inc.		3,825		81
Host Hotels & Resorts, Inc. (ö)		6,387		105
Jefferies Group, Inc.		7,010		132
JPMorgan Chase & Co.		938		43
Morgan Stanley		3,343		66
St. Joe Co. (The) (Æ)		14,032		267
Visa, Inc. Class A		1,274		150
Wells Fargo & Co.		5,701		195

				3,301


Health Care - 24.8%
Abbott Laboratories		10,807		662
Aetna, Inc.		1,358		68
Alexion Pharmaceuticals, Inc. (Æ)		2,370		220
Allergan, Inc.		7,518		718
Amylin Pharmaceuticals, Inc. (Æ)		7,504		187
Baxter International, Inc.		7,196		430
Biogen Idec, Inc. (Æ)		5,701		719
Bristol-Myers Squibb Co.		19,680		665
Celgene Corp. (Æ)		161		12
Cigna Corp.		1,148		57
Eli Lilly & Co.		11,616		468
Endo Pharmaceuticals Holdings, Inc. (Æ)		6,776		262
Express Scripts, Inc. Class A (Æ)		1,866		101
Forest Laboratories, Inc. (Æ)		10,245		355
Gilead Sciences, Inc. (AE)		3,427		167
Human Genome Sciences, Inc. (Æ)		3,860		32
Illumina, Inc. (Æ)		1,141		60
Johnson & Johnson		10,288		680
Medco Health Solutions, Inc. (Æ)		959		67
Merck & Co., Inc.		17,053		655
Mylan, Inc. (Æ)		6,072		142
Myriad Genetics, Inc. (Æ)		5,008		118
Perrigo Co.		4,644		480
Pfizer, Inc.		31,669		719
Regeneron Pharmaceuticals, Inc. (Æ)		1,204		140
Stryker Corp.		1,043		58
UnitedHealth Group, Inc.		10,161		599
VCA Antech, Inc. (Æ)		3,462		80
Vertex Pharmaceuticals, Inc. (Æ)		595		24


Russell 1000 Low Beta ETF		9

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

WebMD Health Corp. Class A (Æ)		1,694		43
WellPoint, Inc.		112		8
Zimmer Holdings, Inc.		1,838		118

				9,114


Materials and Processing - 1.0%
Polypore International, Inc. (Æ)		391		14
Southern Copper Corp.		7,336		232
Westlake Chemical Corp.		1,866		121

				367


Producer Durables - 2.2%
Delta Air Lines, Inc. (Æ)		31,270		310
Goodrich Corp.		2,929		368
Monster Worldwide, Inc. (Æ)		4,331		42
Terex Corp. (Æ)		3,915		88

				808


Technology - 7.2%
Apple, Inc. (Æ)		1,209		725
Atmel Corp. (Æ)		1,295		13
Google, Inc. Class A (Æ)		364		233
International Business Machines Corp.		3,538		738
LinkedIn Corp. Class A (Æ)		1,190		121
MEMC Electronic Materials, Inc. (Æ)		27,329		99
Micron Technology, Inc. (Æ)		1,610		13
Motorola Mobility Holdings, Inc. (Æ)		6,141		241
Skyworks Solutions, Inc. (Æ)		8,498		235
Tellabs, Inc.		52,350		212

				2,630


Utilities - 10.9%
AT&T, Inc.		21,869		682
CenturyLink, Inc.		1,852		72
Entergy Corp.		4,105		276
Exelon Corp.		4,497		176
FirstEnergy Corp.		13,128		599
NextEra Energy, Inc.		4,028		246
PPL Corp.		22,134		626
Southern Co.		14,661		659
Sprint Nextel Corp. (Æ)		1,631		5
Verizon Communications, Inc.		17,337		662

				4,003


Total Common Stocks (cost $35,576)				36,612


	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		52,880	(¥)		53


Total Short-Term Investments (cost $53)					53


Total Investments - 99.9% (identified cost $35,629)					36,665

Other Assets and Liabilities, Net - 0.1%					19


Net Assets - 100.0%					36,684

See accompanying notes which are an integral part of the financial statements.


	10			Russell 1000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	5,034	$	—	$	—	$	5,034		13.7
Consumer Staples		10,318		—		—		10,318		28.2
Energy		1,037		—		—		1,037		2.8
Financial Services		3,301		—		—		3,301		9.0
Health Care		9,114		—		—		9,114		24.8
Materials and Processing		367		—		—		367		1.0
Producer Durables		808		—		—		808		2.2
Technology		2,630		—		—		2,630		7.2
Utilities		4,003		—		—		4,003		10.9
Short-Term Investments		—		53		—		53		0.1


Total Investments		36,612		53		—		36,665		99.9

Other Assets and Liabilities, Net										0.1


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 1000 Low Beta ETF		11

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 1000 Low Beta ETF

Assets
Investments, at identified cost	$	35,629
Investments, at market*		36,665
Receivables:
Dividends		37
Investments sold		909

Total assets		37,611


Liabilities
Payables:
Investments purchased		923
Accrued fees to affiliates		4

Total liabilities		927


Net Assets	$	36,684

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	16
Accumulated net realized gain (loss)		(146	)
Unrealized appreciation (depreciation) on investments		1,036
Shares of beneficial interest		1
Additional paid-in capital		35,777

Net Assets	$	36,684

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.40
Net assets	$	36,683,583
Shares outstanding ($.001 par value)		700,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	53

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	12			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 1000 Low Beta ETF*

Investment Income
Dividends	$	132

Total investment income		132


Expenses
Management fees		27
Trustee and trustee related fees		16

Expenses before reductions		43
Expense reductions		(26	)

Net expenses		17

Net investment income (loss)		115


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(146	)
In-kind redemptions		—

Net realized gain (loss)		(146	)

Net change in unrealized appreciation (depreciation) on investments		1,036

Net realized and unrealized gain (loss)		890

Net Increase (Decrease) in Net Assets from Operations	$	1,005

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		13

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell 1000 Low Beta ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	115
Net realized gain (loss)		(146	)
Net change in unrealized appreciation (depreciation)		1,036

Net increase (decrease) in net assets from operations		1,005


Distributions
From net investment income		(99	)

Net decrease in net assets from distributions		(99	)


Share Transactions
Net increase (decrease) in net assets from share transactions		35,778

Total Net Increase (Decrease) in Net Assets		36,684

Net Assets
Beginning of period		—

End of period	$	36,684

Undistributed (overdistributed) net investment income included in net assets	$	16

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	14			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell 1000 Low Beta ETF
March 31, 2012*		49.35		.87		2.88		3.75		(.70	)		(.70	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	16			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	52.40		7.76		36,684		.79		.31		2.13		39

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		17

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Large Cap High Beta Index**
Inception*		1.95	%		2.07	%		2.39	%


	18			Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000^® High Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 1000^® High Beta ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap High Beta Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap High Beta Index, which is designed to deliver exposure to stocks that are predicted to have a high beta as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 1.95%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Large Cap High Beta Index, which gained 2.39% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Technology was the best performing sector for the Fund and the Index, while consumer staples was the worst performing sector. Technology, with an average weight of 16.1% was the best contributor to Fund and Index returns. Producer durables, with an average weight of 35.9%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Apple Inc, Western Digital Corp, and Sherwin-Williams Co generated positive returns and contributed the most to Fund performance while Harsco Corp, Ingersoll-Rand Plc, and Walt Disney Co, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Large Cap High Beta Index is designed to deliver exposure to stocks that have high predicted betas as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Beta is a measure of the sensitivity of a stock’s price to a change in the broad market price level, as represented by the Russell 1000^® Index (an index comprised of U.S. large capitalization stocks). High beta stocks are considered to have a higher risk profile than the overall market and can be used by investors to adjust beta exposure in a portfolio.


Russell 1000^® High Beta ETF		19

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,332.60	$	1,023.60
Expenses Paid During Period*	$	1.63	$	1.42

Expenses are equal to the Fund’s annualized expense ratio of 0.28% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio was 0.20%, as agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	20			Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 10.9%
Ford Motor Co.		8,023			100
Fortune Brands Home & Security, Inc. (Æ)		548			12
Garmin, Ltd.		1,070			50
General Motors Co. (Æ)		3,914			101
Harley-Davidson, Inc.		901			44
Home Depot, Inc.		210			11
Jarden Corp.		2,269			91
Leggett & Platt, Inc.		1,833			42
Lennar Corp. Class A		150			4
McDonald’s Corp.		405			40
Newell Rubbermaid, Inc.		441			8
Stanley Black & Decker, Inc.		64			5
Tempur-Pedic International, Inc. (Æ)		170			14
Thor Industries, Inc.		580			18

					540


Energy - 14.5%
Alpha Natural Resources, Inc. (Æ)		41			1
Baker Hughes, Inc.		299			13
Chevron Corp.		878			94
ConocoPhillips		870			66
Dresser-Rand Group, Inc. (Æ)		1,080			50
Exxon Mobil Corp.		1,013			88
Halliburton Co.		2,930			96
Helmerich & Payne, Inc.		113			6
Nabors Industries, Ltd. (Æ)		1,146			20
National Oilwell Varco, Inc.		896			71
Oil States International, Inc. (Æ)		239			19
Patterson-UTI Energy, Inc.		1,371			24
Schlumberger, Ltd.		1,228			86
SEACOR Holdings, Inc. (Æ)		362			35
Valero Energy Corp.		1,360			35
Walter Energy, Inc. Class A		329			19

					723


Financial Services - 12.3%
American Capital Agency Corp. (ö)		41			1
American Capital, Ltd. (Æ)		1,452			13
Annaly Capital Management, Inc. (ö)		1,892			30
Ares Capital Corp.		164			3
Bank of America Corp.		8,137			78
Berkshire Hathaway, Inc. Class B (Æ)		399			32
Citigroup, Inc.		2,390			87
Goldman Sachs Group, Inc. (The)		645			80
JPMorgan Chase & Co.		2,168			100
KeyCorp		11,835	��		101
PNC Financial Services Group, Inc.		617			40
SunTrust Banks, Inc.		387			9
Wells Fargo & Co.		1,155			39

					613


Materials and Processing - 16.7%
Air Products & Chemicals, Inc.		50			5
Alcoa, Inc.		1,397			14
CF Industries Holdings, Inc.		194			35


	Principal Amount ($) or Shares		Market Value $
Cliffs Natural Resources, Inc.		1,069		74
Commercial Metals Co.		712		11
Ecolab, Inc.		1,623		100
EI du Pont de Nemours & Co.		973		51
Fastenal Co.		565		31
Freeport-McMoRan Copper & Gold, Inc.		442		17
Monsanto Co.		1,077		86
Mosaic Co. (The)		326		18
Newmont Mining Corp.		982		50
Nucor Corp.		2,288		98
Owens Corning (Æ)		944		34
Praxair, Inc.		878		102
Royal Gold, Inc.		84		5
Sherwin-Williams Co. (The)		914		99

				830


Producer Durables - 25.7%
3M Co.		1,052		94
Boeing Co. (The)		206		15
Caterpillar, Inc.		920		98
Cummins, Inc.		158		19
Danaher Corp.		1,776		99
Deere & Co.		1,209		98
Dover Corp.		348		22
Eaton Corp.		1,992		99
Gardner Denver, Inc.		57		4
General Electric Co.		4,994		100
Goodrich Corp.		801		100
GrafTech International, Ltd. (Æ)		54		1
Illinois Tool Works, Inc.		1,727		99
Itron, Inc. (Æ)		129		6
L-3 Communications Holdings, Inc. Class 3		22		2
McDermott International, Inc. (Æ)		773		10
Norfolk Southern Corp.		844		56
Pentair, Inc.		464		22
Thomas & Betts Corp. (Æ)		141		10
Tyco International, Ltd.		1,788		100
Union Pacific Corp.		829		89
United Continental Holdings, Inc. (Æ)		770		17
United Parcel Service, Inc. Class B		24		2
WW Grainger, Inc.		244		52
Xerox Corp.		7,749		63

				1,277


Technology - 19.6%
Activision Blizzard, Inc.		1,034		13
Apple, Inc. (Æ)		155		93
Fusion-io, Inc. (Æ)		527		15
Hewlett-Packard Co.		707		17
Ingram Micro, Inc. Class A (Æ)		1,357		25
Intel Corp.		3,551		100
International Business Machines Corp.		446		93
KLA-Tencor Corp.		655		36
Lam Research Corp. (Æ)		543		24
Maxim Integrated Products, Inc.		1,494		43
Microchip Technology, Inc.		2,708		101
Micron Technology, Inc. (Æ)		1,355		11


Russell 1000 High Beta ETF		21

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Microsoft Corp.		3,071			99
Motorola Mobility Holdings, Inc. (Æ)		949			37
ON Semiconductor Corp. (Æ)		1,717			15
Oracle Corp.		2,576			75
QUALCOMM, Inc.		634			43
SanDisk Corp. (Æ)		795			39
Skyworks Solutions, Inc. (Æ)		294			8
Texas Instruments, Inc.		230			8
VMware, Inc. Class A (Æ)		148			17
Western Digital Corp. (Æ)		1,105			46
Yahoo!, Inc. (Æ)		937			14

					972


Utilities - 0.1%
Xylem, Inc.		176			5


Total Common Stocks (cost $4,797)					4,960


Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		10,797	(¥)		11


Total Short-Term Investments (cost $11)					11


Total Investments - 100.0% (identified cost $4,808)					4,971

Other Assets and Liabilities, Net - (0.0%)					(2	)


Net Assets - 100.0%					4,969

See accompanying notes which are an integral part of the financial statements.


	22			Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	540	$	—	$	—	$	540		10.9
Energy		723		—		—		723		14.5
Financial Services		613		—		—		613		12.3
Materials and Processing		830		—		—		830		16.7
Producer Durables		1,277		—		—		1,277		25.7
Technology		972		—		—		972		19.6
Utilities		5		—		—		5		0.1
Short-Term Investments		—		11		—		11		0.2


Total Investments		4,960		11		—		4,971		100.0

Other Assets and Liabilities, Net										(—	)*


										100.0

*	Less than .05% of net assets.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 1000 High Beta ETF		23

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 1000 High Beta ETF

Assets
Investments, at identified cost	$	4,808
Investments, at market*		4,971
Receivables:
Dividends		6
Investments sold		612

Total assets		5,589


Liabilities
Payables:
Investments purchased		619
Accrued fees to affiliates		1

Total liabilities		620


Net Assets	$	4,969

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	3
Accumulated net realized gain (loss)		(1,090	)
Unrealized appreciation (depreciation) on investments		163
Additional paid-in capital		5,893

Net Assets	$	4,969

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	49.69
Net assets	$	4,968,667
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	11

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	24			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 1000 High Beta ETF*

Investment Income
Dividends	$	181

Total investment income		181


Expenses
Management fees		51
Trustee and trustee related fees		33

Expenses before reductions		84
Expense reductions		(43	)

Net expenses		41

Net investment income (loss)		140


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(1,188	)
In-kind redemptions		(168	)

Net realized gain (loss)		(1,356	)

Net change in unrealized appreciation (depreciation) on investments		163

Net realized and unrealized gain (loss)		(1,193	)

Net Increase (Decrease) in Net Assets from Operations	$	(1,053	)

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		25

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell 1000 High Beta ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	140
Net realized gain (loss)		(1,356	)
Net change in unrealized appreciation (depreciation)		163

Net increase (decrease) in net assets from operations		(1,053	)


Distributions
From net investment income		(137	)

Net decrease in net assets from distributions		(137	)


Share Transactions
Net increase (decrease) in net assets from share transactions		6,159

Total Net Increase (Decrease) in Net Assets		4,969

Net Assets
Beginning of period		—

End of period	$	4,969

Undistributed (overdistributed) net investment income included in net assets	$	3

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	26			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.



	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell 1000 High Beta ETF
March 31, 2012*		49.48		.50		.38		.88		(.67	)		(.67	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	28			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	49.69		1.95		4,969		.80		.39		1.34		122

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		29

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Large Cap Low Volatility Index**
Inception*		6.41	%		6.25	%		6.87	%


	30			Russell 1000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000^® Low Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 1000^® Low Volatility ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap Low Volatility Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in common stocks that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap Low Volatility Index, which is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 6.41%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Large Cap Low Volatility Index, which gained 6.87% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors reported both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while financial services was the worst performing sector. Consumer staples, with an average weight of over 22%, was the best contributor to Fund and Index returns. Energy, with an average weight of over 9%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Philip Morris International Inc, International Business Machines Corp, and McDonald’s Corp. generated positive returns and contributed the most to Fund performance while Oracle, Peabody Energy Corp, and Harsco Corp. all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Large Cap Low Volatility Index is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. Stocks exhibiting high or low volatility can be used by investors to adjust volatility exposure in a portfolio.


Russell 1000^® Low Volatility ETF		31

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,184.00	$	1,023.80
Expenses Paid During the Period*	$	1.31	$	1.21

Expenses are equal to the Fund’s annualized expense ratio of 0.24% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.20%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	32			Russell 1000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 11.1%
Costco Wholesale Corp.		14,138		1,284
Discovery Communications, Inc. Class A (Æ)		586		30
Fossil, Inc. (Æ)		1,972		260
Genuine Parts Co.		10,620		666
Interpublic Group of Cos., Inc. (The)		5,904		67
Marriott International, Inc. Class A		16,486		624
McDonald’s Corp.		13,726		1,347
News Corp. Class A		20,478		403
priceline.com, Inc. (Æ)		966		693
Time Warner, Inc.		3,982		150
Wal-Mart Stores, Inc.		22,579		1,382
Walt Disney Co. (The)		26,125		1,144

				8,050


Consumer Staples - 19.3%
Altria Group, Inc.		46,383		1,432
Clorox Co. (The)		6,350		437
Coca-Cola Co. (The)		19,731		1,460
Colgate-Palmolive Co.		6,075		594
ConAgra Foods, Inc.		18,837		495
CVS Caremark Corp.		16,628		745
General Mills, Inc.		9,886		390
HJ Heinz Co.		24,832		1,330
JM Smucker Co. (The)		2,696		219
Kellogg Co.		11,333		608
Kimberly-Clark Corp.		17,826		1,317
Kraft Foods, Inc. Class A		9,465		360
PepsiCo, Inc.		19,016		1,262
Philip Morris International, Inc.		16,447		1,457
Procter & Gamble Co. (The)		20,264		1,362
Reynolds American, Inc.		7,719		320
Sysco Corp.		6,108		182

				13,970


Energy - 6.5%
Anadarko Petroleum Corp.		6,965		546
Apache Corp.		5,964		599
Devon Energy Corp.		677		48
El Paso Corp.		12,029		355
Exxon Mobil Corp.		16,315		1,415
Marathon Oil Corp.		14,643		464
Murphy Oil Corp.		2,524		142
Occidental Petroleum Corp.		9,035		860
Peabody Energy Corp.		7,863		228
Spectra Energy Corp.		1,073		34
Williams Cos., Inc. (The)		320		10

				4,701


Financial Services - 5.4%
Aon Corp.		7,741		380
Franklin Resources, Inc.		2,180		270
Host Hotels & Resorts, Inc. (ö)		71,898		1,180
Invesco, Ltd.		2,681		72


	Principal Amount ($) or Shares		Market Value $
Janus Capital Group, Inc.		7,846		70
Jones Lang LaSalle, Inc.		6,373		531
Legg Mason, Inc.		35,260		985
MetLife, Inc.		9,363		350
Taubman Centers, Inc. (ö)		828		60

				3,898


Health Care - 16.1%
Abbott Laboratories		23,773		1,457
Bristol-Myers Squibb Co.		34,782		1,174
Brookdale Senior Living, Inc. Class A (Æ)		1,940		36
CR Bard, Inc.		5,913		584
Dentsply International, Inc.		36,202		1,453
Eli Lilly & Co.		33,427		1,346
Forest Laboratories, Inc. (Æ)		41,676		1,446
Henry Schein, Inc. (Æ)		14,973		1,133
Johnson & Johnson		22,249		1,467
Merck & Co., Inc.		8,156		313
Mylan, Inc. (Æ)		18,491		434
Pfizer, Inc.		11,107		252
Stryker Corp.		2,506		139
UnitedHealth Group, Inc.		7,571		446

				11,680


Materials and Processing - 4.8%
Dow Chemical Co. (The)		6,659		231
Eastman Chemical Co.		7,399		382
Solutia, Inc.		51,949		1,451
WR Grace & Co. (Æ)		24,785		1,433

				3,497


Producer Durables - 12.0%
Accenture PLC Class A		1,213		78
Agilent Technologies, Inc.		4,409		196
Automatic Data Processing, Inc.		14,088		778
Caterpillar, Inc.		12,302		1,310
General Electric Co.		18,875		379
Goodrich Corp.		11,604		1,455
Manitowoc Co., Inc. (The)		28,238		391
Paychex, Inc.		5,233		162
Terex Corp. (Æ)		16,963		382
Textron, Inc.		10,884		303
Thomas & Betts Corp. (Æ)		20,236		1,455
United Parcel Service, Inc. Class B		17,995		1,453
United Technologies Corp.		4,699		390

				8,732


Technology - 8.4%
Cisco Systems, Inc.		44,555		942
EMC Corp. (Æ)		3,115		93
Google, Inc. Class A (Æ)		154		99
International Business Machines Corp.		6,979		1,456
Jabil Circuit, Inc.		23,242		584
Microsoft Corp.		33,394		1,077
Motorola Mobility Holdings, Inc. (Æ)		36,893		1,448
QUALCOMM, Inc.		3,208		218


Russell 1000 Low Volatility ETF		33

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

SBA Communications Corp. Class A (Æ)		508			26
VeriSign, Inc.		3,972			152

					6,095


Utilities - 16.1%
American Electric Power Co., Inc.		408			16
AT&T, Inc.		45,606			1,425
CenturyLink, Inc.		17,404			673
Consolidated Edison, Inc.		14,096			823
Dominion Resources, Inc.		18,577			951
Duke Energy Corp.		61,875			1,300
Edison International		2,542			108
Entergy Corp.		4,006			269
Great Plains Energy, Inc.		14,435			293
ONEOK, Inc.		9,232			754
Public Service Enterprise Group, Inc.		1,318			40
SCANA Corp.		3,313			151
Sempra Energy		4,786			287
Southern Co.		30,267			1,360
Verizon Communications, Inc.		34,589			1,322
Windstream Corp.		13,171			154
Wisconsin Energy Corp.		11,989			422
Xcel Energy, Inc.		50,685			1,342

					11,690


Total Common Stocks (cost $70,483)					72,313


Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		149,317	(¥)		149


Total Short-Term Investments (cost $149)					149


Total Investments - 99.9% (identified cost $70,632)					72,462

Other Assets and Liabilities, Net - 0.1%					73


Net Assets - 100.0%					72,535

See accompanying notes which are an integral part of the financial statements.


	34			Russell 1000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	8,050	$	—	$	—	$	8,050		11 .1
Consumer Staples		13,970		—		—		13,970		19 .3
Energy		4,701		—		—		4,701		6 .5
Financial Services		3,898		—		—		3,898		5 .4
Health Care		11,680		—		—		11,680		16 .1
Materials and Processing		3,497		—		—		3,497		4 .8
Producer Durables		8,732		—		—		8,732		12 .0
Technology		6,095		—		—		6,095		8 .4
Utilities		11,690		—		—		11,690		16 .1
Short-Term Investments		—		149		—		149		0 .2


Total Investments		72,313		149		—		72,462		99 .9

Other Assets and Liabilities, Net										0 .1


										100 .0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 1000 Low Volatility ETF		35

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 1000 Low Volatility ETF

Assets
Investments, at identified cost	$	70,632
Investments, at market*		72,462
Receivables:
Dividends		137
Investments sold		4,278

Total assets		76,877


Liabilities
Payables:
Investments purchased		4,331
Accrued fees to affiliates		11

Total liabilities		4,342


Net Assets	$	72,535

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	49
Accumulated net realized gain (loss)		(1,272	)
Unrealized appreciation (depreciation) on investments		1,830
Shares of beneficial interest		1
Additional paid-in capital		71,927

Net Assets	$	72,535

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.81
Net assets	$	72,535,428
Shares outstanding ($.001 par value)		1,400,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	149

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	36			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Statement of Operation — For the Period Ended March 31, 2012


Amounts in thousands	Russell 1000 Low Volatility ETF*

Investment Income
Dividends	$	838

Total investment income		838


Expenses
Management fees		144
Trustee and trustee related fees		82

Expenses before reductions		226
Expense reductions		(129	)

Net expenses		97

Net investment income (loss)		741


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(1,506	)
In-kind redemptions		(305	)

Net realized gain (loss)		(1,811	)

Net change in unrealized appreciation (depreciation) on investments		1,830

Net realized and unrealized gain (loss)		19

Net Increase (Decrease) in Net Assets from Operations	$	760

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operation		37

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell 1000 Low Volatility ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	741
Net realized gain (loss)		(1,811	)
Net change in unrealized appreciation (depreciation)		1,830

Net increase (decrease) in net assets from operations		760


Distributions
From net investment income		(692	)

Net decrease in net assets from distributions		(692	)


Share Transactions
Net increase (decrease) in net assets from share transactions		72,467

Total Net Increase (Decrease) in Net Assets		72,535

Net Assets
Beginning of period		—

End of period	$	72,535

Undistributed (overdistributed) net investment income included in net assets	$	49

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	38			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
March 31, 2012*		49.51		1.03		2.08		3.11		(.81	)		(.81	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	40			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)
	51.81		6.41		72,535		.77		.33		2.52		79

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		41

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Large Cap High Volatility Index**
Inception*		1.32	%		1.33	%		1.83	%


	42			Russell 1000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000^® High Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 1000^® High Volatility ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap High Volatility Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell–Axioma U.S. Large Cap High Volatility Index, which is designed to deliver exposure to stocks with high volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 1.32%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Large Cap High Volatility Index, which gained 1.83% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Health care was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Health care, with an average weight of 5.1% was the best contributor to Fund and Index returns. Materials & processing, with an average weight of 10.4%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Pharmasset, Apple Inc, and Regeneron Pharmaceuticals Inc generated positive returns and contributed the most to Fund performance while Molycorp Inc, Sprint Nextel Corp, and Acme Packet Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Large Cap High Volatility Index is designed to deliver exposure to stocks with high volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. Stocks exhibiting high or low volatility can be used by investors to adjust volatility exposure in a portfolio.


Russell 1000^® High Volatility ETF		43

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,276.90	$	1,023.75
Expenses Paid During Period*	$	1.42	$	1.26

Expenses are equal to the Fund’s annualized expense ratio of 0.25% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.20%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	44			Russell 1000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 14.6%
Amazon.com, Inc. (Æ)		499		101
DIRECTV, Inc. Class A (Æ)		429		21
Dunkin’ Brands Group, Inc.		1,527		46
Education Management Corp. (Æ)		1,208		17
Ford Motor Co.		4,559		57
Fortune Brands Home & Security, Inc. (Æ)		1,827		40
General Motors Co. (Æ)		3,660		94
Las Vegas Sands Corp.		683		39
Lowe’s Cos., Inc.		2,655		83
Netflix, Inc. (Æ)		219		25
Nielsen Holdings NV (Æ)		182		5
Pandora Media, Inc. (Æ)		7,018		72
Sears Holdings Corp. (Æ)		382		25
Sirius XM Radio, Inc. (Æ)		1,796		4
Tesla Motors, Inc. (Æ)		848		32
Toll Brothers, Inc. (Æ)		37		1
Ulta Salon Cosmetics & Fragrance, Inc.		496		46
Wal-Mart Stores, Inc.		226		14
Wynn Resorts, Ltd.		62		8

				730


Consumer Staples - 3.9%
Green Mountain Coffee Roasters, Inc. (Æ)		592		28
Monster Beverage Corp. (Æ)		1,258		78
Walgreen Co.		2,711		91

				197


Energy - 13.2%
Baker Hughes, Inc.		572		24
Cabot Oil & Gas Corp.		1,604		50
Chesapeake Energy Corp.		27		1
Chevron Corp.		873		95
Core Laboratories NV		333		44
EOG Resources, Inc.		174		19
EQT Corp.		91		4
Exxon Mobil Corp.		944		82
First Solar, Inc. (Æ)		560		14
FMC Technologies, Inc. (Æ)		299		15
Halliburton Co.		188		6
HollyFrontier Corp.		801		26
Kinder Morgan, Inc.		865		33
Kosmos Energy, Ltd. (Æ)		1,231		16
Marathon Petroleum Corp.		284		12
National Oilwell Varco, Inc.		37		3
Occidental Petroleum Corp.		628		60
Range Resources Corp.		605		35
RPC, Inc.		1,482		16
Schlumberger, Ltd.		1,234		87
SunPower Corp. Class A (Æ)		852		5
Ultra Petroleum Corp. (Æ)		462		10

				657


Financial Services - 26.5%
Bank of America Corp.		10,204		98
Bank of New York Mellon Corp. (The)		4,121		99


	Principal Amount ($) or Shares		Market Value $
BankUnited, Inc.		2,059		51
Berkshire Hathaway, Inc. Class B (Æ)		448		36
Citigroup, Inc.		2,707		99
CME Group, Inc. Class A		340		98
Discover Financial Services		1,223		41
Fifth Third Bancorp		2,000		28
Goldman Sachs Group, Inc. (The)		791		98
JPMorgan Chase & Co.		2,195		102
Mastercard, Inc. Class A		233		98
Morgan Stanley		2,487		49
PNC Financial Services Group, Inc.		1,162		75
St. Joe Co. (The) (Æ)		1,235		23
State Street Corp.		1,014		46
US Bancorp		2,520		80
Visa, Inc. Class A		841		99
Wells Fargo & Co.		2,946		101

				1,321


Health Care - 5.4%
Alexion Pharmaceuticals, Inc. (Æ)		488		45
Cooper Cos., Inc. (The)		55		4
Dendreon Corp. (Æ)		1,270		14
HCA Holdings, Inc.		761		19
Hospira, Inc. (Æ)		54		2
Human Genome Sciences, Inc. (Æ)		1,148		9
Regeneron Pharmaceuticals, Inc. (Æ)		843		99
Vertex Pharmaceuticals, Inc. (Æ)		1,700		70
Watson Pharmaceuticals, Inc. Class B (Æ)		139		9

				271


Materials and Processing - 7.7%
Allied Nevada Gold Corp. (Æ)		1,299		42
CF Industries Holdings, Inc.		161		29
Molycorp, Inc. (Æ)		208		7
Monsanto Co.		1,149		92
Newmont Mining Corp.		1,545		79
Polypore International, Inc. (Æ)		189		7
Royal Gold, Inc.		1,300		85
Southern Copper Corp.		1,391		44

				385


Producer Durables - 8.3%
3M Co.		527		47
Caterpillar, Inc.		275		29
Danaher Corp.		607		34
Emerson Electric Co.		1,920		100
General Electric Co.		4,929		99
McDermott International, Inc. (Æ)		314		4
Union Pacific Corp.		687		74
United Continental Holdings, Inc. (Æ)		1,287		28

				415


Technology - 17.9%
Apple, Inc. (Æ)		167		100
Broadcom Corp. Class A (Æ)		213		8
Brocade Communications Systems, Inc. (Æ)		3,806		22


Russell 1000 High Volatility ETF		45

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Corning, Inc.		2,565			36
Electronic Arts, Inc. (Æ)		1,797			30
Fortinet, Inc. (Æ)		1,980			55
Google, Inc. Class A (Æ)		110			71
Groupon, Inc. Class A (Æ)		1,000			18
Hewlett-Packard Co.		1,699			40
Intel Corp.		3,497			98
International Business Machines Corp.		129			27
Marvell Technology Group, Ltd. (Æ)		4,308			68
MEMC Electronic Materials, Inc. (Æ)		840			3
Microsoft Corp.		3,104			100
Nuance Communications, Inc. (Æ)		803			21
Oracle Corp.		3,398			99
Texas Instruments, Inc.		1,933			65
VMware, Inc. Class A (Æ)		30			3
Western Digital Corp. (Æ)		743			31

					895


Utilities - 2.3%
Clearwire Corp. Class A (Æ)		5,150			12
GenOn Energy, Inc. (Æ)		11,416			24
MetroPCS Communications, Inc. (Æ)		2,371			21
NII Holdings, Inc. (Æ)		1,620			29
Sprint Nextel Corp. (Æ)		9,657			28

					114


Total Common Stocks (cost $4,730)					4,985


Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		6,132	(¥)		6


Total Short-Term Investments (cost $6)					6


Total Investments - 99.9% (identified cost $4,736)					4,991

Other Assets and Liabilities, Net - 0.1%					3


Net Assets - 100.0%					4,994

See accompanying notes which are an integral part of the financial statements.


	46			Russell 1000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	730	$	—	$	—	$	730		14.6
Consumer Staples		197		—		—		197		3.9
Energy		657		—		—		657		13.2
Financial Services		1,321		—		—		1,321		26.5
Health Care		271		—		—		271		5.4
Materials and Processing		385		—		—		385		7.7
Producer Durables		415		—		—		415		8.3
Technology		895		—		—		895		17.9
Utilities		114		—		—		114		2.3
Short-Term Investments		—		6		—		6		0.1


Total Investments		4,985		6		—		4,991		99.9

Other Assets and Liabilities, Net										0.1


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 1000 High Volatility ETF		47

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 1000 High Volatility ETF

Assets
Investments, at identified cost	$	4,736
Investments, at market*		4,991
Receivables:
Dividends		4
Investments sold		261

Total assets		5,256


Liabilities
Payables:
Investments purchased		261
Accrued fees to affiliates		1

Total liabilities		262


Net Assets	$	4,994

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	2
Accumulated net realized gain (loss)		(643	)
Unrealized appreciation (depreciation) on investments		255
Additional paid-in capital		5,380

Net Assets	$	4,994

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	49.94
Net assets	$	4,993,877
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	6

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	48			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 1000 High Volatility ETF*

Investment Income
Dividends	$	69

Total investment income		69


Expenses
Management fees		25
Trustee and trustee related fees		17

Expenses before reductions		42
Expense reductions		(23	)

Net expenses		19

Net investment income (loss)		50


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(654	)
In-kind redemptions		(600	)

Net realized gain (loss)		(1,254	)
Net change in unrealized appreciation (depreciation) on investments		255

Net realized and unrealized gain (loss)		(999	)

Net Increase (Decrease) in Net Assets from Operations	$	(949	)


* For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		49

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Statement of Changes in Net Assets — For the Periods Ended March 31, 2012


	Russell 1000 High Volatility ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	50
Net realized gain (loss)		(1,254	)
Net change in unrealized appreciation (depreciation)		255

Net increase (decrease) in net assets from operations		(949	)


Distributions
From net investment income		(48	)

Net decrease in net assets from distributions		(48	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,991

Total Net Increase (Decrease) in Net Assets		4,994

Net Assets
Beginning of period		—

End of period	$	4,994

Undistributed (overdistributed) net investment income included in net assets	$	2

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	50			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.



	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell 1000 High Volatility ETF
March 31, 2012*		49.82		.39		.21		.60		(.48	)		(.48	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	52			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	49.94		1.32		4,994		.83		.38		1.00		102

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		53

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Large Cap High Momentum Index**
Inception*		6.23	%		6.21	%		6.64	%


	54			Russell 1000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 1000^® High Momentum ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 1000^® High Momentum ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap High Momentum Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Large Cap High Momentum Index, which is designed to deliver exposure to stocks with high medium-term momentum as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 6.23%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Large Cap High Momentum Index, which gained 6.64% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer staples was the best performing sector for the Fund and the Index, while energy was the worst performing sector. Health care, with an average weight of 9.1% was the best contributor to Fund and Index returns. Producer durables, with an average weight of 11.3%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Apple Inc, Philip Morris International Inc, and Intel Corp generated positive returns and contributed the most to Fund performance while Netflix Inc, Patterson-UTI Energy Inc, and HollyFrontier Corp, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Large Cap High Momentum Index is designed to deliver exposure to stocks with high medium-term momentum as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Medium-term momentum is a measure of a stock’s past price performance as measured by cumulative return over the last 250 trading days, excluding the last 20 trading days. Stocks exhibiting high momentum can be used by investors to adjust momentum exposure in a portfolio.


Russell 1000^® High Momentum ETF		55

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,290.90	$	1,023.60
Expenses Paid During Period*	$	1.60	$	1.42

Expenses are equal to the Fund’s annualized expense ratio of 0.28% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.20%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	56			Russell 1000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 25.8%
AutoZone, Inc. (Æ)		57		21
CBS Corp. Class B		1,878		64
Chipotle Mexican Grill, Inc. Class A (Æ)		106		44
Clear Channel Outdoor Holdings, Inc. Class A (Æ)		715		6
Coach, Inc.		291		22
Comcast Corp. Class A		2,058		62
Costco Wholesale Corp.		252		23
Dollar Tree, Inc. (Æ)		493		47
Estee Lauder Cos., Inc. (The) Class A		257		16
Expedia, Inc.		267		9
Foot Locker, Inc.		58		2
Fossil, Inc. (Æ)		123		16
GateHouse Media, Inc. A (Æ)		138		7
Home Depot, Inc.		480		24
Hyatt Hotels Corp. Class A (Æ)		554		24
Interpublic Group of Cos., Inc. (The)		835		10
Liberty Media Corp. - Interactive (Æ)		915		17
Liberty Media Corp. - Liberty Capital Class A (Æ)		719		63
Limited Brands, Inc.		1,369		66
LKQ Corp. (Æ)		2,932		91
Lowe’s Cos., Inc.		6		—	±
Macy’s, Inc.		1,739		69
McDonald’s Corp.		934		91
News Corp. Class A		3,356		66
O’Reilly Automotive, Inc. (Æ)		113		10
priceline.com, Inc. (Æ)		110		79
PVH Corp.		114		10
Ralph Lauren Corp. Class A		284		50
Sally Beauty Holdings, Inc. (Æ)		469		12
Sirius XM Radio, Inc. (Æ)		5,346		12
Starbucks Corp.		1,394		78
TJX Cos., Inc.		1,250		50
Tractor Supply Co.		181		16
Ulta Salon Cosmetics & Fragrance, Inc.		29		3
VF Corp.		339		49
Viacom, Inc. Class B		377		18
Walt Disney Co. (The)		1,140		50
Wyndham Worldwide Corp.		374		17
Yum! Brands, Inc.		374		27

				1,341


Consumer Staples - 13.0%
Altria Group, Inc.		3,152		97
Archer-Daniels-Midland Co.		467		15
Corn Products International, Inc.		550		32
CVS Caremark Corp.		1,105		50
Herbalife, Ltd.		1,029		71
Kraft Foods, Inc. Class A		771		29
Lorillard, Inc.		602		78
Monster Beverage Corp. (Æ)		1,114		69
Philip Morris International, Inc.		1,185		105
Procter & Gamble Co. (The)		542		36
Ralcorp Holdings, Inc. (Æ)		53		4


	Principal Amount ($) or Shares		Market Value $
Reynolds American, Inc.		2,215		92

				678


Energy - 3.1%
Anadarko Petroleum Corp.		101		8
Cabot Oil & Gas Corp.		780		24
Chevron Corp.		436		48
El Paso Corp.		430		13
Marathon Oil Corp.		954		30
Occidental Petroleum Corp.		236		22
SM Energy Co.		88		6
Tesoro Corp. (Æ)		121		3
Williams Cos., Inc. (The)		324		10

				164


Financial Services - 11.4%
Alliance Data Systems Corp. (Æ)		232		29
American Express Co.		441		26
Arch Capital Group, Ltd. (Æ)		1,437		54
Berkshire Hathaway, Inc. Class B (Æ)		48		4
Capital One Financial Corp.		59		3
Discover Financial Services		268		9
Duke Realty Corp. (ö)		1,238		18
Equity Residential (ö)		195		12
Franklin Resources, Inc.		143		18
General Growth Properties, Inc. (ö)		1,342		23
Genworth Financial, Inc. Class A (Æ)		469		4
Health Care REIT, Inc. (ö)		171		9
JPMorgan Chase & Co.		198		9
Kimco Realty Corp. (ö)		214		4
Lincoln National Corp.		290		8
Mastercard, Inc. Class A		217		91
Morgan Stanley		221		4
ProLogis, Inc. (ö)		395		14
Prudential Financial, Inc.		136		9
Public Storage (ö)		80		11
Simon Property Group, Inc. (ö)		256		37
SL Green Realty Corp. (ö)		445		35
Taubman Centers, Inc. (ö)		325		24
Travelers Cos., Inc. (The)		754		45
UDR, Inc. (ö)		378		10
US Bancorp		752		24
Ventas, Inc. (ö)		216		12
Visa, Inc. Class A		231		27
Wells Fargo & Co.		364		12
XL Group PLC Class A		482		10

				595


Health Care - 18.2%
Abbott Laboratories		1,151		71
Aetna, Inc.		166		8
Alexion Pharmaceuticals, Inc. (Æ)		562		52
Allergan, Inc.		688		66
AMERIGROUP Corp. Class A (Æ)		384		26
Biogen Idec, Inc. (Æ)		468		59
Bristol-Myers Squibb Co.		2,230		75
Cerner Corp. (Æ)		87		7


Russell 1000 High Momentum ETF		57

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Cooper Cos., Inc. (The)		79		6
Covidien PLC		15		1
Dentsply International, Inc.		716		29
Eli Lilly & Co.		237		10
Hill-Rom Holdings, Inc.		54		2
Humana, Inc.		256		24
Intuitive Surgical, Inc. (Æ)		73		40
Johnson & Johnson		1,483		97
Merck & Co., Inc.		2,509		95
Omnicare, Inc.		735		26
Perrigo Co.		92		10
Pfizer, Inc.		3,955		90
Regeneron Pharmaceuticals, Inc. (Æ)		287		33
SXC Health Solutions Corp. (Æ)		211		16
UnitedHealth Group, Inc.		1,750		102
WellPoint, Inc.		63		5

				950


Materials and Processing - 2.6%
Air Products & Chemicals, Inc.		13		1
Airgas, Inc.		44		4
Brown-Forman Corp. Class B - ADR		259		22
Celanese Corp. Class A		540		25
Fastenal Co.		380		21
LyondellBasell Industries NV Class A		299		13
Praxair, Inc.		181		21
WR Grace & Co. (Æ)		478		27

				134


Producer Durables - 3.9%
Accenture PLC Class A		462		30
Agilent Technologies, Inc.		191		9
Automatic Data Processing, Inc.		651		35
Caterpillar, Inc.		304		32
Copa Holdings SA Class A		65		5
Goodrich Corp.		92		12
Kansas City Southern (Æ)		303		22
Kirby Corp. (Æ)		59		4
Northrop Grumman Corp.		389		24
Trimble Navigation, Ltd. (Æ)		93		5
WW Grainger, Inc.		132		28

				206


Technology - 14.8%
Altera Corp.		59		2
Apple, Inc. (Æ)		172		103
Cisco Systems, Inc.		1,343		28
Dell, Inc. (Æ)		2,159		36
EchoStar Corp. Class A (Æ)		981		28
EMC Corp. (Æ)		845		25
Equinix, Inc. (Æ)		523		82
F5 Networks, Inc. (Æ)		23		3
IAC/InterActiveCorp		344		17
Intel Corp.		3,705		105


	Principal Amount ($) or Shares			Market Value $
International Business Machines Corp.		503			106
Intuit, Inc.		329			20
Microsoft Corp.		3,205			103
Motorola Solutions, Inc.		48			2
NCR Corp. (Æ)		696			15
Nuance Communications, Inc. (Æ)		281			7
QUALCOMM, Inc.		794			54
Rackspace Hosting, Inc. (Æ)		323			19
Symantec Corp. (Æ)		154			3
Teradyne, Inc. (Æ)		137			2
VeriSign, Inc.		56			2
Xilinx, Inc.		239			9

					771


Utilities - 6.9%
AES Corp. (The) (Æ)		1,537			20
AT&T, Inc.		2,171			68
Consolidated Edison, Inc.		676			39
Duke Energy Corp.		3,660			77
MDU Resources Group, Inc.		348			8
MetroPCS Communications, Inc. (Æ)		172			2
ONEOK, Inc.		105			9
Sempra Energy		155			9
Southern Co.		1,972			88
Verizon Communications, Inc.		1,102			42

					362


Total Common Stocks (cost $4,632)					5,201


Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		3,946	(¥)		4


Total Short-Term Investments (cost $4)					4


Total Investments - 99.8% (identified cost $4,636)					5,205

Other Assets and Liabilities, Net - 0.2%					12


Net Assets - 100.0%					5,217

See accompanying notes which are an integral part of the financial statements.


	58			Russell 1000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	1,341	$	—	$	—		1,341		25.8
Consumer Staples		678		—		—		678		13.0
Energy		164		—		—		164		3.1
Financial Services		595		—		—		595		11.4
Health Care		950		—		—		950		18.2
Materials and Processing		134		—		—		134		2.6
Producer Durables		206		—		—		206		3.9
Technology		771		—		—		771		14.8
Utilities		362		—		—		362		6.9
Short-Term Investments		—		4		—		4		0.1


Total Investments		5,201		4		—		5,205		99.8

Other Assets and Liabilities, Net										0.2


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 1000 High Momentum ETF		59

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 1000 High Momentum ETF

Assets
Investments, at identified cost	$	4,636
Investments, at market*		5,205
Receivables:
Dividends		7
Investments sold		305

Total assets		5,517


Liabilities
Payables:
Investments purchased		299
Accrued fees to affiliates		1

Total liabilities		300


Net Assets	$	5,217

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	1
Accumulated net realized gain (loss)		(680	)
Unrealized appreciation (depreciation) on investments		569
Additional paid-in capital		5,327

Net Assets	$	5,217

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.17
Net assets	$	5,217,484
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	4

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	60			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 1000 High Momentum ETF*

Investment Income
Dividends	$	121

Total investment income		121


Expenses
Management fees		30
Trustee and trustee related fees		20

Expenses before reductions		50
Expense reductions		(26	)

Net expenses		24

Net investment income (loss)		97


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(702	)
In-kind redemptions		18

Net realized gain (loss)		(684	)

Net change in unrealized appreciation (depreciation) on investments		569

Net realized and unrealized gain (loss)		(115	)

Net Increase (Decrease) in Net Assets from Operations	$	(18	)

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		61

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell 1000 High Momentum ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	97
Net realized gain (loss)		(684	)
Net change in unrealized appreciation (depreciation)		569

Net increase (decrease) in net assets from operations		(18	)


Distributions
From net investment income		(95	)

Net decrease in net assets from distributions		(95	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,330

Total Net Increase (Decrease) in Net Assets		5,217

Net Assets
Beginning of period		—

End of period	$	5,217

Undistributed (overdistributed) net investment income included in net assets	$	1

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	62			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell 1000 High Momentum ETF
March 31, 2012*		49.89		.65		2.38		3.03		(.75	)		(.75	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	64			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	52.17		6.23		5,217		.82		.39		1.61		93

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		65

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Small Cap Low Beta Index**
Inception*		5.24	%		5.29	%		5.84	%


	66			Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000^® Low Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 2000^® Low Beta ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap Low Beta Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap Low Beta Index, which is designed to deliver exposure to stocks that are predicted to have a low beta as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 5.24%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Small Cap Low Beta Index, which gained 5.84% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Materials & processing was the best performing sector for the Fund and the Index, while energy was the worst performing sector. Financial services, with an average weight of 22.9% was the best contributor to Fund and Index returns. Energy, with an average weight of 1.0%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Inhibitex Inc, Nu Skin Enterprises Inc Cl A, and Questcor Pharmaceuticals Inc generated positive returns and contributed the most to Fund performance while Zoll Medical Corp, Anthera Pharmaceuticals Inc, and Imperial Sugar Co, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Small Cap Low Beta Index is designed to deliver exposure to stocks that have low predicted betas as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Beta is a measure of the sensitivity of a stock’s price to a change in the broad market price level, as represented by the Russell 2000^® Index (an index comprised of U.S. small capitalization stocks). Low beta stocks are considered to have a lower risk profile than the overall market and can be used by investors to adjust beta exposure in a portfolio.


Russell 2000^® Low Beta ETF		67

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,220.30	$	1,023.20
Expenses Paid During Period*	$	2.05	$	1.82

Expenses are equal to the Fund’s annualized expense ratio of 0.37% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.30%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	68			Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.7%
Consumer Discretionary - 9.9%
Barnes & Noble, Inc. (Æ)		548		7
Bon-Ton Stores, Inc. (The)		2,510		23
Bridgepoint Education, Inc. (Æ)		1,041		26
Buckle, Inc. (The)		119		6
Capella Education Co. (Æ)		125		5
Caribou Coffee Co., Inc. (Æ)		220		4
Carter’s, Inc. (Æ)		586		29
Cato Corp. (The) Class A		132		4
Children’s Place Retail Stores, Inc. (The) (Æ)		643		33
Citi Trends, Inc. (Æ)		354		4
Coinstar, Inc. (Æ)		386		25
Coldwater Creek, Inc. (Æ)		2,028		2
Conn’s, Inc. (Æ)		822		13
Elizabeth Arden, Inc. (Æ)		88		3
Francesca’s Holdings Corp. (Æ)		469		15
Fred’s, Inc. Class A		1,354		20
Fuel Systems Solutions, Inc. (Æ)		138		4
Gordmans Stores, Inc. (Æ)		206		5
HealthStream, Inc. (Æ)		80		2
hhgregg, Inc. (Æ)		384		4
HOT Topic, Inc.		1,408		14
HSN, Inc.		78		3
Leapfrog Enterprises, Inc. Class A (Æ)		639		5
Lincoln Educational Services Corp.		753		6
Lions Gate Entertainment Corp. (Æ)		692		10
Marchex, Inc. Class A		2,346		10
MarineMax, Inc. (Æ)		88		1
Matthews International Corp. Class A		439		14
Mattress Firm Holding Corp. (Æ)		402		15
Monro Muffler Brake, Inc.		234		10
New York & Co., Inc. (Æ)		625		2
Nu Skin Enterprises, Inc. Class A		1,269		73
Nutrisystem, Inc.		115		1
Orbitz Worldwide, Inc. (Æ)		370		1
Regis Corp.		261		5
Rent-A-Center, Inc. Class A		63		2
Saks, Inc. (Æ)		1,004		12
Sinclair Broadcast Group, Inc. Class A		2,286		25
Stamps.com, Inc. (Æ)		513		14
Stein Mart, Inc. (Æ)		927		6
Stewart Enterprises, Inc. Class A		359		2
Teavana Holdings, Inc. (Æ)		247		5
Town Sports International Holdings, Inc. (Æ)		435		6
Universal Technical Institute, Inc.		1,266		17
US Auto Parts Network, Inc. (Æ)		1,230		4
Valassis Communications, Inc. (Æ)		46		1
Valuevision Media, Inc. Class A (Æ)		161		—	±
Viad Corp.		109		2
Wolverine World Wide, Inc.		181		7

				507


Consumer Staples - 12.8%
Andersons, Inc. (The)		382		19
B&G Foods, Inc. Class A		1,011		23


	Principal Amount ($) or Shares		Market Value $
Casey’s General Stores, Inc.		699		39
Chiquita Brands International, Inc. (Æ)		122		1
Farmer Bros Co. (Æ)		141		2
Fresh Del Monte Produce, Inc.		977		22
Hain Celestial Group, Inc. (The) (Æ)		1,311		57
Harris Teeter Supermarkets, Inc.		232		9
J&J Snack Foods Corp.		378		20
Lancaster Colony Corp.		565		38
Medifast, Inc. (Æ)		367		6
Nash Finch Co.		491		14
National Beverage Corp. (Æ)		907		15
Peet’s Coffee & Tea, Inc. (Æ)		367		27
PetMed Express, Inc.		1,650		20
Rite Aid Corp. (Æ)		1,488		3
Sanderson Farms, Inc.		1,501		80
Schiff Nutrition International, Inc. (Æ)		728		9
Snyders-Lance, Inc.		326		8
Spartan Stores, Inc.		195		3
Star Scientific, Inc. (Æ)		1,435		5
TreeHouse Foods, Inc. (Æ)		69		4
United Natural Foods, Inc. (Æ)		626		29
Universal Corp.		1,572		73
USANA Health Sciences, Inc. (Æ)		417		16
Vector Group, Ltd.		5,052		89
WD-40 Co.		636		29

				660


Energy - 0.3%
Rex Energy Corp. (Æ)		326		3
Syntroleum Corp. (Æ)		8,334		8
Venoco, Inc. (Æ)		518		6

				17


Financial Services - 29.0%
American Campus Communities, Inc. (ö)		1,723		77
Amtrust Financial Services, Inc.		961		26
Argo Group International Holdings, Ltd.		104		3
ARMOUR Residential REIT, Inc. (ö)		780		5
Ashford Hospitality Trust, Inc. (ö)		4,092		37
Beneficial Mutual Bancorp, Inc. (Æ)		868		8
BofI Holding, Inc. (Æ)		11		—	±
Capstead Mortgage Corp. (ö)		3,804		50
Cardtronics, Inc. (Æ)		2,408		63
CBL & Associates Properties, Inc. (ö)		1,758		33
Centerstate Banks, Inc.		2,575		21
City Holding Co.		95		3
Colony Financial, Inc. (ö)		1,550		25
Columbia Banking System, Inc.		30		1
Coresite Realty Corp. (ö)		129		3
CreXus Investment Corp. (ö)		2,175		23
DCT Industrial Trust, Inc. (ö)		4,028		24
DiamondRock Hospitality Co. (ö)		1,260		13
DuPont Fabros Technology, Inc. (ö)		675		17
Dynex Capital, Inc. (ö)		3,332		32
eHealth, Inc. (Æ)		518		8
Employers Holdings, Inc.		830		15
Encore Bancshares, Inc. (Æ)		475		10


Russell 2000 Low Beta ETF		69

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Entertainment Properties Trust (ö)		138		6
Excel Trust, Inc. (ö)		1,634		20
Extra Space Storage, Inc. (ö)		354		10
Federal Agricultural Mortgage Corp. Class C		56		1
FelCor Lodging Trust, Inc. (Æ)(ö)		530		2
First Community Bancshares, Inc.		601		8
First Financial Bancorp		309		5
First Financial Bankshares, Inc.		948		33
Getty Realty Corp. (ö)		286		4
Glacier Bancorp, Inc.		1,068		16
Gladstone Commercial Corp. (ö)		114		2
Glimcher Realty Trust (ö)		1,492		15
Government Properties Income Trust (ö)		973		23
Greenlight Capital Re, Ltd. Class A (Æ)		47		1
Hancock Holding Co.		812		29
Hatteras Financial Corp. (ö)		408		11
Higher One Holdings, Inc. (Æ)		768		11
Hilltop Holdings, Inc. (Æ)		514		4
Home Properties, Inc. (ö)		378		23
Inland Real Estate Corp. (ö)		259		2
Investors Bancorp, Inc. (Æ)		955		14
Kilroy Realty Corp. (ö)		1,193		56
Ladenburg Thalmann Financial Services, Inc. (Æ)		865		2
Meadowbrook Insurance Group, Inc.		723		7
MGIC Investment Corp. (Æ)		2,419		12
Mid-America Apartment Communities, Inc. (ö)		70		5
MoneyGram International, Inc. (Æ)		141		3
Monmouth Real Estate Investment Corp. Class A (ö)		4,712		46
MPG Office Trust, Inc. (Æ)(ö)		13,185		31
National Health Investors, Inc. (ö)		720		35
National Retail Properties, Inc. (ö)		2,269		62
NBT Bancorp, Inc.		122		3
Newcastle Investment Corp. (ö)		625		4
Northfield Bancorp, Inc.		431		6
Northwest Bancshares, Inc.		1,253		16
Ocwen Financial Corp. (Æ)		338		5
Oritani Financial Corp.		807		12
Pacific Capital Bancorp NA (Æ)		195		9
Park Sterling Corp. (Æ)		3,039		15
Pebblebrook Hotel Trust (ö)		635		14
Pennsylvania Real Estate Investment Trust (ö)		866		13
PennyMac Mortgage Investment Trust (ö)		305		6
Post Properties, Inc. (ö)		12		1
Potlatch Corp. (ö)		803		25
Prosperity Bancshares, Inc.		1,177		54
RAIT Financial Trust (ö)		645		3
Ramco-Gershenson Properties Trust (ö)		238		3
Resource Capital Corp. (ö)		2,380		13
RLJ Lodging Trust (ö)		597		11
Sabra Health Care REIT, Inc. (ö)		921		15
Saul Centers, Inc. (ö)		110		4
Signature Bank NY (Æ)		1,245		78


	Principal Amount ($) or Shares		Market Value $
Sterling Financial Corp. (Æ)		948		20
Strategic Hotels & Resorts, Inc. (Æ)(ö)		3,771		25
Sunstone Hotel Investors, Inc. (Æ)(ö)		170		2
Tanger Factory Outlet Centers (ö)		2,166		64
Terreno Realty Corp. (ö)		915		13
UMB Financial Corp.		107		5
Universal Insurance Holdings, Inc.		3,769		15
Urstadt Biddle Properties, Inc. Class A (ö)		1,002		20
ViewPoint Financial Group		357		6
Westfield Financial, Inc.		379		3
Wilshire Bancorp, Inc. (Æ)		857		4
World Acceptance Corp. (Æ)		181		11

				1,494


Health Care - 25.5%
Accelrys, Inc. (Æ)		1,232		10
Accretive Health, Inc. (Æ)		305		6
Accuray, Inc. (Æ)		755		5
Achillion Pharmaceuticals, Inc. (Æ)		129		1
Acorda Therapeutics, Inc. (Æ)		426		11
Acura Pharmaceuticals, Inc. (Æ)		1,459		5
Air Methods Corp. (Æ)		105		9
Akorn, Inc. (Æ)		67		1
Alkermes PLC (Æ)		1,689		31
Allos Therapeutics, Inc. (Æ)		1,296		2
Alnylam Pharmaceuticals, Inc. (Æ)		285		3
AMN Healthcare Services, Inc. (Æ)		1,164		7
Amsurg Corp. Class A (Æ)		2,532		71
AngioDynamics, Inc. (Æ)		659		8
Antares Pharma, Inc. (Æ)		5,482		18
Anthera Pharmaceuticals, Inc. (Æ)		2,313		5
Ardea Biosciences, Inc. (Æ)		310		7
Arena Pharmaceuticals, Inc. (Æ)		7,307		22
Arqule, Inc. (Æ)		877		6
athenahealth, Inc. (Æ)		37		3
Auxilium Pharmaceuticals, Inc. (Æ)		264		5
AVEO Pharmaceuticals, Inc. (Æ)		653		8
Biolase Technology, Inc. (Æ)		146		—	±
Bio-Reference Labs, Inc. (Æ)		3,246		76
BioScrip, Inc. (Æ)		333		2
Cadence Pharmaceuticals, Inc. (Æ)		234		1
Cambrex Corp. (Æ)		138		1
Cell Therapeutics, Inc. (Æ)		8,935		12
Centene Corp. (Æ)		1,210		59
Cerus Corp. (Æ)		2,537		10
Chelsea Therapeutics International, Ltd. (Æ)		465		1
Cleveland Biolabs, Inc. (Æ)		3,044		8
Computer Programs & Systems, Inc.		261		15
Corvel Corp. (Æ)		545		22
Cubist Pharmaceuticals, Inc. (Æ)		829		36
Cytori Therapeutics, Inc. (Æ)		1,024		3
Depomed, Inc. (Æ)		4,447		28
Emeritus Corp. (Æ)		185		3
Endocyte, Inc. (Æ)		1,233		6
Ensign Group, Inc. (The)		25		1
Enzon Pharmaceuticals, Inc. (Æ)		1,184		8


	70			Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Epocrates, Inc. (Æ)		238		2
Exact Sciences Corp. (Æ)		2,693		30
ExamWorks Group, Inc. (Æ)		273		3
Exelixis, Inc. (Æ)		1,825		9
Genomic Health, Inc. (Æ)		340		10
Greatbatch, Inc. (Æ)		93		2
Hansen Medical, Inc. (Æ)		1,439		4
HeartWare International, Inc. (Æ)		128		8
Immunogen, Inc. (Æ)		322		5
Impax Laboratories, Inc. (Æ)		205		5
Incyte Corp., Ltd. (Æ)		527		10
Infinity Pharmaceuticals, Inc. (Æ)		407		5
Integra LifeSciences Holdings Corp. (Æ)		22		1
Invacare Corp.		85		1
IPC The Hospitalist Co., Inc. (Æ)		273		10
IRIS International, Inc. (Æ)		473		6
Isis Pharmaceuticals, Inc. (Æ)		232		2
Jazz Pharmaceuticals PLC (Æ)		492		24
Landauer, Inc.		170		9
Lexicon Pharmaceuticals, Inc. (Æ)		12,235		23
LHC Group, Inc. (Æ)		331		6
Luminex Corp. (Æ)		434		10
Magellan Health Services, Inc. (Æ)		1,609		79
MannKind Corp. (Æ)		2,952		7
Masimo Corp. (Æ)		1,366		32
Maxygen, Inc. (Æ)		1,015		6
Medicis Pharmaceutical Corp. Class A		1,327		50
Medivation, Inc. (Æ)		115		9
Merge Healthcare, Inc. (Æ)		1,128		7
Merit Medical Systems, Inc. (Æ)		62		1
Molina Healthcare, Inc. (Æ)		754		25
Momenta Pharmaceuticals, Inc. (Æ)		183		3
MWI Veterinary Supply, Inc. (Æ)		176		16
Natus Medical, Inc. (Æ)		193		2
NPS Pharmaceuticals, Inc. (Æ)		1,573		11
NxStage Medical, Inc. (Æ)		104		2
Oncothyreon, Inc. (Æ)		1,119		5
Owens & Minor, Inc.		1,816		55
Par Pharmaceutical Cos., Inc. (Æ)		665		26
PAREXEL International Corp. (Æ)		92		3
PDL BioPharma, Inc.		220		1
Providence Service Corp. (The) (Æ)		51		1
Quality Systems, Inc.		665		29
Questcor Pharmaceuticals, Inc. (Æ)		768		29
RadNet, Inc. (Æ)		3,992		13
Raptor Pharmaceutical Corp. (Æ)		202		1
Salix Pharmaceuticals, Ltd. (Æ)		215		11
Santarus, Inc. (Æ)		2,258		13
Seattle Genetics, Inc. (Æ)		192		4
Spectranetics Corp. (Æ)		238		3
Staar Surgical Co. (Æ)		2,791		30
STERIS Corp.		146		5
Sunesis Pharmaceuticals, Inc. (Æ)		1,528		4
SurModics, Inc. (Æ)		252		4
Symmetry Medical, Inc. (Æ)		1,197		9
Theravance, Inc. (Æ)		131		3
Transcend Services, Inc. (Æ)		245		7


	Principal Amount ($) or Shares		Market Value $
Trius Therapeutics, Inc. (Æ)		861		5
Vical, Inc. (Æ)		1,727		6
Volcano Corp. (Æ)		1,020		29
Wright Medical Group, Inc. (Æ)		1,037		20
XenoPort, Inc. (Æ)		234		1
ZIOPHARM Oncology, Inc. (Æ)		3,358		18
Zoll Medical Corp. (Æ)		68		6

				1,312


Materials and Processing - 0.4%
Schweitzer-Mauduit International, Inc.		280		20


Producer Durables - 4.2%
Allegiant Travel Co. Class A (Æ)		283		15
Corporate Executive Board Co. (The)		629		27
Geo Group, Inc. (The) (Æ)		120		2
Heartland Express, Inc.		1,776		26
HEICO Corp.		28		2
Huron Consulting Group, Inc. (Æ)		116		4
InnerWorkings, Inc. (Æ)		928		11
Knight Transportation, Inc.		1,056		19
Liquidity Services, Inc. (Æ)		48		2
MasTec, Inc. (Æ)		66		1
Mine Safety Appliances Co.		1,608		66
Navigant Consulting, Inc. (Æ)		585		8
Swisher Hygiene, Inc. (Æ)(Þ)		718		2
Teledyne Technologies, Inc. (Æ)		169		11
US Airways Group, Inc. (Æ)		181		1
Werner Enterprises, Inc.		846		21

				218


Technology - 5.6%
Carbonite, Inc. (Æ)		729		8
comScore, Inc. (Æ)		256		5
Comtech Telecommunications Corp.		305		10
DDi Corp.		1,148		14
Deltek, Inc. (Æ)		1,182		13
Digital River, Inc. (Æ)		129		2
Earthlink, Inc.		1,677		13
Emcore Corp. (Æ)		2,534		12
EPIQ Systems, Inc.		389		5
Finisar Corp. (Æ)		405		8
Iridium Communications, Inc. (Æ)		1,250		11
JDA Software Group, Inc. (Æ)		387		11
Kenexa Corp. (Æ)		145		5
Loral Space & Communications, Inc. (Æ)		191		15
Monolithic Power Systems, Inc. (Æ)		245		5
Multi-Fineline Electronix, Inc. (Æ)		203		6
Oclaro, Inc. (Æ)		5,624		22
Openwave Systems, Inc. (Æ)		2,813		6
Pegasystems, Inc.		159		6
Plantronics, Inc.		411		17
Quest Software, Inc. (Æ)		938		22
Semtech Corp. (Æ)		453		13
Sycamore Networks, Inc. (Æ)		406		7
Synaptics, Inc. (Æ)		469		17
TNS, Inc. (Æ)		691		15


Russell 2000 Low Beta ETF		71

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Ubiquiti Networks, Inc. (Æ)		52			2
Ultratech, Inc. (Æ)		17			—	±
Viasat, Inc. (Æ)		105			5
Websense, Inc. (Æ)		517			11

					286


Utilities - 12.0%
Alaska Communications Systems Group, Inc.		1,489			5
Allete, Inc.		576			24
Avista Corp.		1,407			36
Black Hills Corp.		929			31
Boingo Wireless, Inc. (Æ)		809			10
California Water Service Group		2,003			36
Cbeyond, Inc. (Æ)		98			1
Central Vermont Public Service Corp.		1,136			40
CH Energy Group, Inc.		462			31
Cleco Corp.		196			8
Cogent Communications Group, Inc. (Æ)		195			4
Consolidated Communications Holdings, Inc.		384			7
Idacorp, Inc.		900			37
IDT Corp. Class B		101			1
MGE Energy, Inc.		835			37
Neutral Tandem, Inc. (Æ)		646			8
New Jersey Resources Corp.		379			17
Northwest Natural Gas Co.		300			14
NorthWestern Corp.		209			7
NTELOS Holdings Corp.		67			1
Pendrell Corp. (Æ)		2,863			7
PNM Resources, Inc.		1,157			21
Portland General Electric Co.		2,353			59
Premiere Global Services, Inc. (Æ)		1,764			16
South Jersey Industries, Inc.		636			32
UIL Holdings Corp.		505			18
Unisource Energy Corp.		2,391			87
WGL Holdings, Inc.		624			25

					620


Total Common Stocks (cost $4,850)					5,134


Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		8,324	(¥)		8


Total Short-Term Investments (cost $8)					8


Total Investments - 99.9% (identified cost $4,858)					5,142

Other Assets and Liabilities, Net - 0.1%					6


Net Assets - 100.0%					5,148

See accompanying notes which are an integral part of the financial statements.


	72			Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	507	$	—	$	—	$	507		9.9
Consumer Staples		660		—		—		660		12.8
Energy		17		—		—		17		0.3
Financial Services		1,494		—		—		1,494		29.0
Health Care		1,312		—		—		1,312		25.5
Materials and Processing		20		—		—		20		0.4
Producer Durables		218		—		—		218		4.2
Technology		286		—		—		286		5.6
Utilities		620		—		—		620		12.0
Short-Term Investments		—		8		—		8		0.2


Total Investments		5,134		8		—		5,142		99.9

Other Assets and Liabilities, Net										0.1


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 2000 Low Beta ETF		73

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 2000 Low Beta ETF

Assets
Investments, at identified cost	$	4,858
Investments, at market*		5,142
Receivables:
Dividends		10
Investments sold		266

Total assets		5,418


Liabilities
Payables:
Investments purchased		269
Accrued fees to affiliates		1

Total liabilities		270


Net Assets	$	5,148

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	6
Accumulated net realized gain (loss)		(89	)
Unrealized appreciation (depreciation) on investments		284
Additional paid-in capital		4,947

Net Assets	$	5,148

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.48
Net assets	$	5,148,427
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	8

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	74			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 2000 Low Beta ETF*

Investment Income
Dividends	$	80

Total investment income		80


Expenses
Management fees		28
Trustee and trustee related fees		14

Expenses before reductions		42
Expense reductions		(22	)

Net expenses		20

Net investment income (loss)		60


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(89	)
In-kind redemptions		—

Net realized gain (loss)		(89	)
Net change in unrealized appreciation (depreciation) on investments		284

Net realized and unrealized gain (loss)		195

Net Increase (Decrease) in Net Assets from Operations	$	255

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		75

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell 2000 Low Beta ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	60
Net realized gain (loss)		(89	)
Net change in unrealized appreciation (depreciation)		284

Net increase (decrease) in net assets from operations		255


Distributions
From net investment income		(54	)

Net decrease in net assets from distributions		(54	)


Share Transactions
Net increase (decrease) in net assets from share transactions		4,947

Total Net Increase (Decrease) in Net Assets		5,148

Net Assets
Beginning of period		—

End of period	$	5,148

Undistributed (overdistributed) net investment income included in net assets	$	6

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	76			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.



	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell 2000 Low Beta ETF
March 31, 2012*		49.47		.60		1.95		2.55		(.54	)		(.54	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	78			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	51.48		5.24		5,148		1.05		.50		1.49		38

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		79

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Small Cap High Beta Index**
Inception*		(5.95	)%		(5.97	)%		(5.23	)%


	80			Russell 2000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000^® High Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 2000^® High Beta ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap High Beta Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap High Beta Index, which is designed to deliver exposure to stocks that are predicted to have a high beta as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund lost (5.95)%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Small Cap High Beta Index, which lost (5.23)% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Health care was the best performing sector for the Fund and the Index, while consumer discretionary was the worst performing sector. Producer durables, with an average weight of 32.8% was the best contributor to Fund and Index returns. Technology, with an average weight of 19.4%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

United Rentals Inc, Taleo Corp Cl A, and Hornbeck Offshore Services Inc generated positive returns and contributed the most to Fund performance while Willbros Group Inc, Century Aluminum Co, and Meritor Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Small Cap High Beta Index is designed to deliver exposure to stocks that have high predicted betas as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Beta is a measure of the sensitivity of a stock’s price to a change in the broad market price level, as represented by the Russell 2000^® Index (an index comprised of U.S. small capitalization stocks). High beta stocks are considered to have a higher risk profile than the overall market and can be used by investors to adjust beta exposure in a portfolio.


Russell 2000^® High Beta ETF		81

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
October 1, 2011	$	1,000 .00	$	1,000 .00
Ending Account Value
March 31, 2012	$	1,369 .00	$	1,023 .20
Expenses Paid During Period*	$	2 .13	$	1 .82

Expenses are equal to the Fund’s annualized expense ratio of 0.36% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.30%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	82			Russell 2000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 5.3%
Aeropostale, Inc. (Æ)		275			6
Blyth, Inc.		56			4
Casella Waste Systems, Inc. Class A (Æ)		201			1
Corinthian Colleges, Inc. (Æ)		747			3
Crocs, Inc. (Æ)		43			1
Dana Holding Corp.		3,463			53
Dollar Thrifty Automotive Group, Inc. (Æ)		469			38
G-III Apparel Group, Ltd. (Æ)		136			4
Jones Group, Inc. (The)		383			5
KB Home		345			3
Meritor, Inc. (Æ)		452			4
Movado Group, Inc.		252			6
Perry Ellis International, Inc. (Æ)		96			2
Ruby Tuesday, Inc. (Æ)		1,449			13
Steven Madden, Ltd. (Æ)		1,120			48
Stoneridge, Inc. (Æ)		229			2
Tenneco, Inc. (Æ)		423			16
Winnebago Industries, Inc. (Æ)		3,867			38

					247


Energy - 14.6%
Alon USA Energy, Inc.		768			7
Basic Energy Services, Inc. (Æ)		1,700			29
Cloud Peak Energy, Inc. (Æ)		1,029			16
CVR Energy, Inc. (Æ)		1,281			34
Delek US Holdings, Inc.		1,893			29
Dril-Quip, Inc. (Æ)		1,247			81
Exterran Holdings, Inc. (Æ)		326			4
Flotek Industries, Inc. (Æ)		893			11
Global Geophysical Services, Inc. (Æ)		2,154			23
GT Advanced Technologies, Inc. (Æ)		435			4
Gulf Island Fabrication, Inc.		29			1
Helix Energy Solutions Group, Inc. (Æ)		3,407			61
Hornbeck Offshore Services, Inc. (Æ)		1,509			63
ION Geophysical Corp. (Æ)		266			2
Key Energy Services, Inc. (Æ)		2,837			44
Mitcham Industries, Inc. (Æ)		1,199			27
Newpark Resources, Inc. (Æ)		11,390	��		92
OYO Geospace Corp. (Æ)		150			16
Parker Drilling Co. (Æ)		3,493			21
Patriot Coal Corp. (Æ)		1,602			10
Tesco Corp. (Æ)		187			3
Tetra Technologies, Inc. (Æ)		1,971			19
Union Drilling, Inc. (Æ)		281			2
Vantage Drilling Co. (Æ)		1,297			2
Western Refining, Inc.		843			16
Willbros Group, Inc. (Æ)		15,473			50
World Fuel Services Corp.		265			11

					678


Financial Services - 5.8%
Advent Software, Inc. (Æ)		447			11
Apollo Investment Corp.		1,505			11
Delphi Financial Group, Inc. Class A		770			34
Encore Capital Group, Inc. (Æ)		726			16


	Principal Amount ($) or Shares		Market Value $
Fifth Street Finance Corp.		618		6
FXCM, Inc. Class A		138		2
Investment Technology Group, Inc. (Æ)		2,769		33
Knight Capital Group, Inc. Class A (Æ)		430		6
Medallion Financial Corp.		2,470		28
New Mountain Finance Corp.		1,587		22
PennantPark Investment Corp.		1,228		13
SeaBright Holdings, Inc.		524		5
Solar Capital, Ltd.		1,630		36
SWS Group, Inc. (Æ)		2,292		13
Walter Investment Management Corp.		1,519		34
Webster Financial Corp.		63		1

				271


Health Care - 0.1%
Transcept Pharmaceuticals, Inc. (Æ)		342		4


Materials and Processing - 21.2%
Aceto Corp.		915		9
Acuity Brands, Inc.		1,011		64
Ampco-Pittsburgh Corp.		1,581		32
Apogee Enterprises, Inc.		2,186		28
Balchem Corp.		71		2
Beacon Roofing Supply, Inc. (Æ)		275		7
Belden, Inc.		946		36
Century Aluminum Co. (Æ)		2,602		23
Clarcor, Inc.		974		48
Coeur d’Alene Mines Corp. (Æ)		674		16
Ferro Corp. (Æ)		3,591		21
Georgia Gulf Corp. (Æ)		226		8
Gibraltar Industries, Inc. (Æ)		769		12
Globe Specialty Metals, Inc.		874		13
Gold Resource Corp.		126		3
Golden Star Resources, Ltd. (Æ)		2,964		6
Griffon Corp.		1,306		14
Hecla Mining Co.		141		1
Innospec, Inc. (Æ)		576		17
Interline Brands, Inc. (Æ)		10		—	±
Jaguar Mining, Inc. (Æ)		1,314		6
Kaiser Aluminum Corp.		1,173		55
Kaydon Corp.		1,502		38
LB Foster Co. Class A		584		17
Louisiana-Pacific Corp. (Æ)		998		9
Mueller Industries, Inc.		586		27
Mueller Water Products, Inc. Class A		3,728		12
NCI Building Systems, Inc. (Æ)		913		11
Olin Corp.		1,627		35
Olympic Steel, Inc.		637		15
OM Group, Inc. (Æ)		1,166		32
Paramount Gold and Silver Corp. (Æ)		732		2
PolyOne Corp.		993		14
Quanex Building Products Corp.		754		13
RBC Bearings, Inc. (Æ)		576		27
RTI International Metals, Inc. (Æ)		434		10
Simpson Manufacturing Co., Inc.		1,176		38
Texas Industries, Inc.		788		28
Thompson Creek Metals Co., Inc. - ADR (Æ)		13,578		92


Russell 2000 High Beta ETF		83

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

TMS International Corp. Class A (Æ)		1,360		16
Universal Forest Products, Inc.		240		8
Universal Stainless & Alloy (Æ)		782		33
USG Corp. (Æ)		3,472		60
Worthington Industries, Inc.		1,354		26

				984


Producer Durables - 35.0%
Actuant Corp. Class A		3,225		94
Aegion Corp. Class A (Æ)		728		13
Aircastle, Ltd.		6,834		85
Alaska Air Group, Inc. (Æ)		1,104		40
Albany International Corp. Class A		2,254		52
AM Castle & Co. (Æ)		793		10
AO Smith Corp.		544		24
Arkansas Best Corp.		1,168		22
Badger Meter, Inc.		268		9
Barnes Group, Inc.		2,091		55
Briggs & Stratton Corp.		3,273		59
Bristow Group, Inc.		251		12
Chart Industries, Inc. (Æ)		780		57
Colfax Corp. (Æ)		577		20
Commercial Vehicle Group, Inc. (Æ)		620		8
Douglas Dynamics, Inc.		394		5
DXP Enterprises, Inc. (Æ)		193		8
Dycom Industries, Inc. (Æ)		87		2
EMCOR Group, Inc.		48		1
EnerSys (Æ)		1,213		42
EnPro Industries, Inc. (Æ)		2,370		98
ESCO Technologies, Inc.		2,261		83
Franklin Electric Co., Inc.		216		11
Genesee & Wyoming, Inc. Class A (Æ)		576		31
Geo Group, Inc. (The) (Æ)		2,511		48
Great Lakes Dredge & Dock Corp.		1,238		9
Greenbrier Cos., Inc. (Æ)		932		18
Gulfmark Offshore, Inc. Class A (Æ)		522		24
JetBlue Airways Corp. (Æ)		7,628		37
MasTec, Inc. (Æ)		571		10
Middleby Corp. (Æ)		246		25
Mistras Group, Inc. (Æ)		993		24
Modine Manufacturing Co. (Æ)		1,598		14
Old Dominion Freight Line, Inc. (Æ)		832		40
OSI Systems, Inc. (Æ)		615		38
Roadrunner Transportation Systems, Inc. (Æ)		940		16
Robbins & Myers, Inc.		1,386		72
RSC Holdings, Inc. (Æ)		922		21
Rush Enterprises, Inc. Class A (Æ)		229		5
Saia, Inc. (Æ)		231		4
Standex International Corp.		218		9
Swift Transportation Co. Class A (Æ)		2,725		31
Titan International, Inc.		643		15
Titan Machinery, Inc. (Æ)		1,993		56
Tutor Perini Corp. (Æ)		2,747		43
Twin Disc, Inc.		325		8
United Rentals, Inc. (Æ)		1,467		63
Wabash National Corp. (Æ)		3,132		32


	Principal Amount ($) or Shares		Market Value $
Watts Water Technologies, Inc. Class A		2,043		84
Woodward, Inc.		896		38

				1,625


Technology - 17.3%
Acacia Research Corp. (Æ)		75		3
Anadigics, Inc. (Æ)		7,137		17
Anixter International, Inc. (Æ)		220		16
Applied Micro Circuits Corp. (Æ)		1,215		8
Aruba Networks, Inc. (Æ)		683		15
AXT, Inc. (Æ)		3,220		20
Cavium, Inc. (Æ)		1,525		47
Ceva, Inc. (Æ)		127		3
Checkpoint Systems, Inc. (Æ)		544		6
CIBER, Inc. (Æ)		244		1
CommVault Systems, Inc. (Æ)		54		3
DSP Group, Inc. (Æ)		3,448		23
Entegris, Inc. (Æ)		5,470		51
Exar Corp. (Æ)		691		6
FSI International, Inc. (Æ)		1,051		5
Hittite Microwave Corp. (Æ)		1,374		76
Inphi Corp. (Æ)		311		4
Intevac, Inc. (Æ)		206		2
iRobot Corp. (Æ)		2,728		75
Kenexa Corp. (Æ)		89		3
Kulicke & Soffa Industries, Inc. (Æ)		1,221		15
Monolithic Power Systems, Inc. (Æ)		294		6
NetSuite, Inc. (Æ)		184		9
OCZ Technology Group, Inc. (Æ)		866		6
Omnivision Technologies, Inc. (Æ)		2,339		47
Photronics, Inc. (Æ)		2,293		15
QLIK Technologies, Inc. (Æ)		476		15
Rambus, Inc. (Æ)		1,174		8
RealPage, Inc. (Æ)		427		8
RF Micro Devices, Inc. (Æ)		2,011		10
Semtech Corp. (Æ)		3,005		86
Silicon Image, Inc. (Æ)		1,932		11
Standard Microsystems Corp. (Æ)		66		2
Supertex, Inc. (Æ)		53		1
Taleo Corp. Class A (Æ)		662		30
TeleCommunication Systems, Inc. Class A (Æ)		908		3
Tessera Technologies, Inc.		2,829		49
TriQuint Semiconductor, Inc. (Æ)		2,378		16
TTM Technologies, Inc. (Æ)		766		9
Ultra Clean Holdings (Æ)		4,696		35
Unisys Corp. (Æ)		510		10
Universal Display Corp. (Æ)		198		7
VirnetX Holding Corp. (Æ)		932		22

				804


Utilities - 0.5%
Central Vermont Public Service Corp.		687		24


Total Common Stocks (cost $4,788)				4,637


	84			Russell 2000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Short-Term Investments - 0.5%
Russell U.S. Cash Management Fund		20,800	(¥)		21


Total Short-Term Investments (cost $21)					21


Total Investments - 100.3% (identified cost $4,809)					4,658

Other Assets and Liabilities, Net - (0.3%)					(12	)


Net Assets - 100.0%					4,646

See accompanying notes which are an integral part of the financial statements.


Russell 2000 High Beta ETF		85

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	247	$	—	$	—	$	247		5 .3
Energy		678		—		—		678		14.6
Financial Services		271		—		—		271		5 .8
Health Care		4		—		—		4		0 .1
Materials and Processing		984		—		—		984		21 .2
Producer Durables		1,625		—		—		1,625		35 .0
Technology		804		—		—		804		17 .3
Utilities		24		—		—		24		0 .5
Short-Term Investments		—		21		—		21		0 .5


Total Investments		4,637		21		—		4,658		100.3

Other Assets and Liabilities, Net										(0 .3	)


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	86			Russell 2000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 2000 High Beta ETF

Assets
Investments, at identified cost	$	4,809
Investments, at market*		4,658
Receivables:
Dividends		4
Investments sold		568

Total assets		5,230


Liabilities
Payables:
Investments purchased		583
Accrued fees to affiliates		1

Total liabilities		584


Net Assets	$	4,646

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	17
Accumulated net realized gain (loss)		(716	)
Unrealized appreciation (depreciation) on investments		(151	)
Additional paid-in capital		5,496

Net Assets	$	4,646

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	46.46
Net assets	$	4,645,669
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	21

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities		87

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 2000 High Beta ETF*

Investment Income
Dividends	$	48

Total investment income		48


Expenses
Management fees		28
Trustee and trustee related fees		14

Expenses before reductions		42
Expense reductions		(21	)

Net expenses		21

Net investment income (loss)		27


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(762	)
In-kind redemptions		333

Net realized gain (loss)		(429	)
Net change in unrealized appreciation (depreciation) on investments		(151	)

Net realized and unrealized gain (loss)		(580	)

Net Increase (Decrease) in Net Assets from Operations	$	(553	)

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	88			Statement of Operations

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell 2000 High Beta ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	27
Net realized gain (loss)		(429	)
Net change in unrealized appreciation (depreciation)		(151	)

Net increase (decrease) in net assets from operations		(553	)


Distributions
From net investment income		(9	)

Net decrease in net assets from distributions		(9	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,208

Total Net Increase (Decrease) in Net Assets		4,646

Net Assets
Beginning of period		—

End of period	$	4,646

Undistributed (overdistributed) net investment income included in net assets	$	17

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Changes in Net Assets		89

Russell Exchange Traded Funds Trust

Russell 2000 High Beta ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Distributions from Net Investment Income			$ Total Distributions
Russell 2000 High Beta ETF
March 31, 2012*		49.51		.25		(3.20	)		(2.95	)		(.10	)		(.10	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	90			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	46.46		(5.95	)		4,646		1.05		.52		.68		126

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		91

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Small Cap Low Volatility Index**
Inception*		4.69	%		4.74	%		5.36	%


	92			Russell 2000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000^® Low Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 2000^® Low Volatility ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap Low Volatility Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell–Axioma U.S. Small Cap Low Volatility Index, which is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 4.69%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Small Cap Low Volatility Index, which gained 5.36% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer staples was the best performing sector for the Fund and the Index, while energy was the worst performing sector. Utilities, with an average weight of 20.5% was the best contributor to Fund and Index returns. Energy, with an average weight of 0.6%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Sunstone Hotel Investors Inc, Pool Corp, and CH Energy Group Inc (Holding Co) generated positive returns and contributed the most to Fund performance while Willbros Group Inc, Black Box Corp, and Ashford Hospitality Trust, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Small Cap Low Volatility Index is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. Stocks exhibiting high or low volatility can be used by investors to adjust volatility exposure in a portfolio.


Russell 2000^® Low Volatility ETF		93

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,228.30	$	1,023.20
Expenses Paid During Period*	$	2.01	$	1.82


	94			Russell 2000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 97.8%
Consumer Discretionary - 9.1%
Belo Corp. Class A		1,493		11
Carter’s, Inc. (Æ)		1,057		53
CEC Entertainment, Inc.		24		1
Central European Media Enterprises, Ltd. Class A (Æ)		4,424		31
Charming Shoppes, Inc. (Æ)		330		2
Dana Holding Corp.		1,007		16
Destination Maternity Corp.		939		17
Exide Technologies (Æ)		1,484		5
Gaylord Entertainment Co. (Æ)		2,447		75
Gerber Scientific, Inc. (Æ)(Å)		245		—	±
Harris Teeter Supermarkets, Inc.		866		35
Jack in the Box, Inc. (Æ)		109		3
Jones Group, Inc. (The)		173		2
La-Z-Boy, Inc. (Æ)		1,852		28
Matthews International Corp. Class A		129		4
Meritor, Inc. (Æ)		450		4
Pool Corp.		2,664		99
Sinclair Broadcast Group, Inc. Class A		150		2
Sotheby’s Class A		367		14
Stoneridge, Inc. (Æ)		2,749		27
Warnaco Group, Inc. (The) (Æ)		85		5
Wolverine World Wide, Inc.		760		28

				462


Consumer Staples - 5.0%
Boston Beer Co., Inc. Class A (Æ)		50		5
Cal-Maine Foods, Inc.		1,301		50
Casey’s General Stores, Inc.		531		29
Hain Celestial Group, Inc. (The) (Æ)		636		28
Lancaster Colony Corp.		528		35
Snyders-Lance, Inc.		109		3
Tootsie Roll Industries, Inc.		32		1
Universal Corp.		464		22
Vector Group, Ltd.		4,098		72
Weis Markets, Inc.		232		10

				255


Energy - 0.3%
Gulfport Energy Corp. (Æ)		175		5
Petroleum Development Corp. (Æ)		36		1
Triangle Petroleum Corp. (Æ)		1,247		9
Willbros Group, Inc. (Æ)		375		1

				16


Financial Services - 31.3%
Apollo Commercial Real Estate Finance, Inc. (ö)		305		5
ARMOUR Residential REIT, Inc. (ö)		14,090		96
Ashford Hospitality Trust, Inc. (ö)		4,609		42
BioMed Realty Trust, Inc. (ö)		2,846		54
BofI Holding, Inc. (Æ)		1,582		27
Capstead Mortgage Corp. (ö)		117		2
Cash America International, Inc.		1,050		50


	Principal Amount ($) or Shares		Market Value $
Cohen & Steers, Inc.		2,534		81
Colony Financial, Inc. (ö)		1,569		26
Delphi Financial Group, Inc. Class A		2,302		104
DiamondRock Hospitality Co. (ö)		1,935		20
Dynex Capital, Inc. (ö)		360		3
Euronet Worldwide, Inc. (Æ)		473		10
FelCor Lodging Trust, Inc. (Æ)(ö)		9,277		33
First Financial Bancorp		1,871		32
First Industrial Realty Trust, Inc. (Æ)(ö)		328		4
Franklin Financial Corp. (Æ)		974		13
Glimcher Realty Trust (ö)		1,524		16
Harleysville Group, Inc.		1,128		65
Healthcare Realty Trust, Inc. (ö)		634		14
Jack Henry & Associates, Inc.		2,012		69
LaSalle Hotel Properties (ö)		900		25
Medical Properties Trust, Inc. (ö)		697		6
Navigators Group, Inc. (The) (Æ)		606		29
Parkway Properties, Inc. (ö)		4,127		43
Pebblebrook Hotel Trust (ö)		2,646		60
PennantPark Investment Corp.		1,489		15
Pennsylvania Real Estate Investment Trust (ö)		3,348		51
PennyMac Mortgage Investment Trust (ö)		2,295		43
Platinum Underwriters Holdings, Ltd.		3		—	±
Post Properties, Inc. (ö)		470		22
ProAssurance Corp.		544		48
Prospect Capital Corp.		1,076		12
Prosperity Bancshares, Inc.		43		2
PS Business Parks, Inc. (ö)		279		18
Resource Capital Corp. (ö)		9,355		50
Retail Opportunity Investments Corp. (ö)		3,761		45
RLI Corp.		873		63
Starwood Property Trust, Inc. (ö)		3,044		64
Strategic Hotels & Resorts, Inc. (Æ)(ö)		5,366		35
Sunstone Hotel Investors, Inc. (Æ)(ö)		7,954		77
SVB Financial Group (Æ)		1,529		99
Universal Health Realty Income Trust (ö)		35		1
Wright Express Corp. (Æ)		393		25

				1,599


Health Care - 8.6%
Abaxis, Inc. (Æ)		56		2
Amsurg Corp. Class A (Æ)		743		21
Analogic Corp.		60		4
Cepheid, Inc. (Æ)		1,044		44
Chemed Corp.		401		25
CONMED Corp.		2,666		79
Exact Sciences Corp. (Æ)		270		3
Greatbatch, Inc. (Æ)		355		9
Haemonetics Corp. (Æ)		446		31
HealthSouth Corp. (Æ)		276		6
Integra LifeSciences Holdings Corp. (Æ)		373		13
Invacare Corp.		132		2
ISTA Pharmaceuticals, Inc. (Æ)		175		2
Magellan Health Services, Inc. (Æ)		912		44
Owens & Minor, Inc.		2,235		67
Savient Pharmaceuticals, Inc. (Æ)		4,984		11


Russell 2000 Low Volatility ETF		95

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

STERIS Corp.		189		6
Sunrise Senior Living, Inc. (Æ)		5,039		32
West Pharmaceutical Services, Inc.		803		34

				435


Materials and Processing - 7.4%
Acuity Brands, Inc.		1,481		93
AMCOL International Corp.		339		10
Boise, Inc.		3,589		29
Century Aluminum Co. (Æ)		1,420		13
HB Fuller Co.		117		4
Innospec, Inc. (Æ)		1,158		35
Kaydon Corp.		707		18
Koppers Holdings, Inc.		589		23
Minerals Technologies, Inc.		484		32
NewMarket Corp.		460		86
Olin Corp.		51		1
Sensient Technologies Corp.		84		3
Watsco, Inc.		284		21
Worthington Industries, Inc.		152		3
Zoltek Cos., Inc. (Æ)		418		5

				376


Producer Durables - 11.9%
AAR Corp.		225		4
Aircastle, Ltd.		1,548		19
Applied Industrial Technologies, Inc.		1,522		63
Atlas Air Worldwide Holdings, Inc. (Æ)		26		1
Commercial Vehicle Group, Inc. (Æ)		8,239		100
CoStar Group, Inc. (Æ)		432		30
EMCOR Group, Inc.		261		7
Esterline Technologies Corp. (Æ)		343		25
Forward Air Corp.		38		1
Genesee & Wyoming, Inc. Class A (Æ)		126		7
Greenbrier Cos., Inc. (Æ)		1,072		21
Gulfmark Offshore, Inc. Class A (Æ)		15		1
HEICO Corp.		216		11
Heidrick & Struggles International, Inc.		61		1
Kaman Corp. Class A		590		20
Knight Transportation, Inc.		40		1
LoopNet, Inc. (Æ)		4,891		92
MAXIMUS, Inc.		874		36
Middleby Corp. (Æ)		130		13
Moog, Inc. Class A (Æ)		20		1
Orbital Sciences Corp. (Æ)		267		4
Rollins, Inc.		4		—	±
RSC Holdings, Inc. (Æ)		164		4
Teledyne Technologies, Inc. (Æ)		129		8
Titan Machinery, Inc. (Æ)		1,206		34
Unifirst Corp.		263		16
United Rentals, Inc. (Æ)		34		1
United Stationers, Inc.		2,084		65
US Ecology, Inc.		180		4
Wabash National Corp. (Æ)		608		6
Werner Enterprises, Inc.		170		4


	Principal Amount ($) or Shares			Market Value $
Woodward, Inc.		132			6

					606


Technology - 6.3%
Anixter International, Inc. (Æ)		72			5
Arris Group, Inc. (Æ)		192			2
ATMI, Inc. (Æ)		86			2
Blackbaud, Inc.		916			30
CACI International, Inc. Class A (Æ)		423			26
Cognex Corp.		136			6
Coherent, Inc. (Æ)		273			16
Hittite Microwave Corp. (Æ)		1,111			60
II-VI, Inc. (Æ)		175			4
Microsemi Corp. (Æ)		327			7
Netscout Systems, Inc. (Æ)		192			4
Power Integrations, Inc.		123			5
Progress Software Corp. (Æ)		2,657			63
Quest Software, Inc. (Æ)		631			15
Syntel, Inc.		1,299			73

					318


Utilities - 17.9%
Avista Corp.		117			3
Black Hills Corp.		632			21
Central Vermont Public Service Corp.		2,877			102
CH Energy Group, Inc.		1,230			82
Cleco Corp.		2,461			98
Empire District Electric Co. (The)		2,951			60
Idacorp, Inc.		2,204			91
Laclede Group, Inc. (The)		856			33
Middlesex Water Co.		309			6
New Jersey Resources Corp.		1,615			72
Northwest Natural Gas Co.		1,924			87
NorthWestern Corp.		1,195			42
PNM Resources, Inc.		76			1
Portland General Electric Co.		1,153			29
South Jersey Industries, Inc.		761			38
UIL Holdings Corp.		1,892			66
Unisource Energy Corp.		2,170			79

					910


Total Common Stocks (cost $5,059)					4,977


Short-Term Investments - 0.3%
Russell U.S. Cash Management Fund		16,312	(¥)		16


Total Short-Term Investments (cost $16)					16


Total Investments - 98.1% (identified cost $5,075)					4,993

Other Assets and Liabilities, Net - 1.9%					95


Net Assets - 100.0%					5,088

See accompanying notes which are an integral part of the financial statements.


	96			Russell 2000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	462	$	—	$	—	$	462		9.1
Consumer Staples		255		—		—		255		5.0
Energy		16		—		—		16		0.3
Financial Services		1,599		—		—		1,599		31.3
Health Care		435		—		—		435		8.6
Materials and Processing		376		—		—		376		7.4
Producer Durables		606		—		—		606		11.9
Technology		318		—		—		318		6.3
Utilities		910		—		—		910		17.9
Short-Term Investments		—		16		—		16		0.3


Total Investments		4,977		16		—		4,993		98.1

Other Assets and Liabilities, Net										1.9


										100.0

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 2000 Low Volatility ETF		97

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 2000 Low Volatility ETF

Assets
Investments, at identified cost	$	5,075
Investments, at market*		4,993
Receivables:
Dividends		14
Investments sold		189

Total assets		5,196


Liabilities
Payables:
Investments purchased		107
Accrued fees to affiliates		1

Total liabilities		108


Net Assets	$	5,088

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	13
Accumulated net realized gain (loss)		(165	)
Unrealized appreciation (depreciation) on investments		(82	)
Additional paid-in capital		5,322

Net Assets	$	5,088

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	50.87
Net assets	$	5,087,569
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	16

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	98			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 2000 Low Volatility ETF*

Investment Income
Dividends	$	106

Total investment income		106


Expenses
Management fees		28
Trustee and trustee related fees		14

Expenses before reductions		42
Expense reductions		(22	)

Net expenses		20

Net investment income (loss)		86


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(216	)
In-kind redemptions		364

Net realized gain (loss)		148

Net change in unrealized appreciation (depreciation) on investments		(82	)

Net realized and unrealized gain (loss)		66

Net Increase (Decrease) in Net Assets from Operations	$	152

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		99

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell 2000 Low Volatility ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	86
Net realized gain (loss)		148
Net change in unrealized appreciation (depreciation)		(82	)

Net increase (decrease) in net assets from operations		152


Distributions
From net investment income		(73	)

Net decrease in net assets from distributions		(73	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,009

Total Net Increase (Decrease) in Net Assets		5,088

Net Assets
Beginning of period		—

End of period	$	5,088

Undistributed (overdistributed) net investment income included in net assets	$	13

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	100			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 2000 Low Volatility ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell 2000 Low Volatility ETF
March 31, 2012*		49.36		.86		1.38		2.24		(.73	)		(.73	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	102			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	50.87		4.69		5,088		1.05		.50		2.13		98

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		103

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Small Cap High Volatility Index**
Inception*		(11.67	)%		(11.62	)%		(11.10	)%


	104			Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000^® High Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 2000^® High Volatility ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap High Volatility Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap High Volatility Index, which is designed to deliver exposure to stocks with high volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund lost (11.67)%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Small Cap High Volatility Index, which lost (11.10)% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Financial services, with an average weight of 8.9% was the best contributor to Fund and Index returns. Technology, with an average weight of 18.1%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Qlik Technologies Inc, Sterling Financial Corp (Washington), and Old Dominion Freight Line Inc generated positive returns and contributed the most to Fund performance while Eastman Kodak Co, Epocrates Inc, and MF Global Holdings Ltd, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Small Cap High Volatility Index is designed to deliver exposure to stocks with high volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. Stocks exhibiting high or low volatility can be used by investors to adjust volatility exposure in a portfolio.


Russell 2000^® High Volatility ETF		105

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,282.90	$	1,022.90
Expenses Paid During Period*	$	2.40	$	2.12

Expenses are equal to the Fund’s annualized expense ratio of 0.42% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.30%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	106			Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 13.9%
Amerco, Inc.		30		3
Ancestry.com, Inc. (Æ)		91		2
Archipelago Learning, Inc. (Æ)		925		10
Arctic Cat, Inc. (Æ)		182		8
Avis Budget Group, Inc. (Æ)		1,083		15
Barnes & Noble, Inc. (Æ)		1,612		21
Beazer Homes USA, Inc. (Æ)		155		1
Blyth, Inc.		149		11
Boyd Gaming Corp. (Æ)		958		8
Brunswick Corp.		280		7
Buckle, Inc. (The)		505		24
Cabela’s, Inc. (Æ)		434		17
Caribou Coffee Co., Inc. (Æ)		446		8
Casual Male Retail Group, Inc. (Æ)		1,035		3
Coinstar, Inc. (Æ)		306		19
Coldwater Creek, Inc. (Æ)		1,190		1
Collective Brands, Inc. (Æ)		696		14
Conn’s, Inc. (Æ)		453		7
Cooper Tire & Rubber Co.		1,548		24
Crocs, Inc. (Æ)		1,177		25
Dana Holding Corp.		105		2
Digital Generation, Inc. (Æ)		777		8
Dorman Products, Inc. (Æ)		253		13
Drew Industries, Inc. (Æ)		515		14
Express, Inc. (Æ)		92		2
Finish Line, Inc. (The) Class A		731		16
Fuel Systems Solutions, Inc. (Æ)		513		13
Furniture Brands International, Inc. (Æ)		6,351		11
Group 1 Automotive, Inc.		127		7
hhgregg, Inc. (Æ)		668		8
Hovnanian Enterprises, Inc. Class A (Æ)		281		1
HSN, Inc.		80		3
Jones Group, Inc. (The)		650		8
KB Home		420		4
K-Swiss, Inc. Class A (Æ)		202		1
Lions Gate Entertainment Corp. (Æ)		1,080		15
Live Nation Entertainment, Inc. (Æ)		1,239		12
Marchex, Inc. Class A		320		1
Men’s Wearhouse, Inc. (The)		409		16
Meritage Homes Corp. (Æ)		484		13
Monro Muffler Brake, Inc.		626		25
Penske Automotive Group, Inc.		92		2
Pier 1 Imports, Inc.		1,680		30
Pinnacle Entertainment, Inc. (Æ)		1,402		16
RealD, Inc. (Æ)		722		10
Ryland Group, Inc. (The)		1,268		24
Shutterfly, Inc. (Æ)		217		7
Skechers U.S.A., Inc. Class A (Æ)		1,285		16
Skullcandy, Inc. (Æ)		425		7
Stamps.com, Inc. (Æ)		45		1
Standard Pacific Corp. (Æ)		535		2
Strayer Education, Inc.		16		2
Sturm Ruger & Co., Inc.		273		13
Teavana Holdings, Inc. (Æ)		38		1
Tenneco, Inc. (Æ)		182		7


	Principal Amount ($) or Shares		Market Value $
TiVo, Inc. (Æ)		170		2
Travelzoo, Inc. (Æ)		370		9
Tuesday Morning Corp. (Æ)		438		2
Valuevision Media, Inc. Class A (Æ)		245		1
Vera Bradley, Inc. (Æ)		74		2
Wet Seal, Inc. (The) Class A (Æ)		1,995		7
Zagg, Inc. (Æ)		1,999		21
Zipcar, Inc. (Æ)		282		4

				607


Consumer Staples - 2.1%
Central European Distribution Corp. (Æ)		369		2
Diamond Foods, Inc.		804		18
Farmer Bros Co. (Æ)		409		4
Fresh Market, Inc. (The) (Æ)		104		5
GNC Holdings, Inc. Class A		188		7
Heckmann Corp. (Æ)		172		1
Imperial Sugar Co.		1,828		9
Pilgrim’s Pride Corp. (Æ)		3,340		24
Star Scientific, Inc. (Æ)		2,408		8
Susser Holdings Corp. (Æ)		566		15

				93


Energy - 15.1%
Alon USA Energy, Inc.		881		8
Ameresco, Inc. Class A (Æ)		232		3
Amyris, Inc. (Æ)		347		2
Approach Resources, Inc. (Æ)		56		2
ATP Oil & Gas Corp. (Æ)		634		5
Basic Energy Services, Inc. (Æ)		431		7
Berry Petroleum Co. Class A		257		12
Bill Barrett Corp. (Æ)		210		5
BPZ Resources, Inc. (Æ)		4,418		18
C&J Energy Services, Inc. (Æ)		34		1
Cal Dive International, Inc. (Æ)		3,310		11
Capstone Turbine Corp. (Æ)		6,318		6
Carrizo Oil & Gas, Inc. (Æ)		39		1
Cheniere Energy, Inc. (Æ)		39		1
Clean Energy Fuels Corp. (Æ)		784		17
Comstock Resources, Inc. (Æ)		116		2
Crosstex Energy, Inc.		524		7
CVR Energy, Inc. (Æ)		1,254		34
Delek US Holdings, Inc.		1,878		29
Dril-Quip, Inc. (Æ)		463		30
Energy XXI Bermuda, Ltd. (Æ)		119		4
GMX Resources, Inc. (Æ)		2,418		3
Golar LNG, Ltd.		431		16
Goodrich Petroleum Corp. (Æ)		497		9
GT Advanced Technologies, Inc. (Æ)		3,285		27
Helix Energy Solutions Group, Inc. (Æ)		96		2
Hercules Offshore, Inc. (Æ)		1,120		5
Hornbeck Offshore Services, Inc. (Æ)		754		32
Houston American Energy Corp. (Æ)		1,604		8
Hyperdynamics Corp. (Æ)		622		1
ION Geophysical Corp. (Æ)		3,159		20
Key Energy Services, Inc. (Æ)		1,716		27
KiOR, Inc. Class A (Æ)		2,030		27


Russell 2000 High Volatility ETF		107

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Kodiak Oil & Gas Corp. (Æ)		2,561		26
L&L Energy, Inc. (Æ)		3,172		8
Lufkin Industries, Inc.		837		68
McMoRan Exploration Co. (Æ)		1,275		14
Newpark Resources, Inc. (Æ)		1,457		12
Northern Oil and Gas, Inc. (Æ)		1,040		22
Oasis Petroleum, Inc. (Æ)		504		16
Parker Drilling Co. (Æ)		1,474		9
Patriot Coal Corp. (Æ)		497		3
Penn Virginia Corp.		704		3
PowerSecure International, Inc. (Æ)		860		5
Rosetta Resources, Inc. (Æ)		491		24
Solazyme, Inc. (Æ)		46		1
STR Holdings, Inc. (Æ)		504		2
SunCoke Energy, Inc. (Æ)		394		6
Swift Energy Co. (Æ)		562		16
USEC, Inc. (Æ)		1,792		2
Vantage Drilling Co. (Æ)		10,856		17
W&T Offshore, Inc.		92		2
Western Refining, Inc.		1,407		26

				664


Financial Services - 11.6%
Astoria Financial Corp.		4,904		49
Cathay General Bancorp		241		4
CBL & Associates Properties, Inc. (ö)		947		18
CNO Financial Group, Inc. (Æ)		864		7
CVB Financial Corp.		951		11
Doral Financial Corp. (Æ)		4,114		6
First Commonwealth Financial Corp.		4,541		29
First Midwest Bancorp, Inc.		803		10
Flagstar Bancorp, Inc. (Æ)		9,058		8
FNB Corp.		1,229		15
Global Cash Access Holdings, Inc. (Æ)		955		7
Higher One Holdings, Inc. (Æ)		123		2
Highwoods Properties, Inc. (ö)		268		9
Home Properties, Inc. (ö)		365		22
Hudson Valley Holding Corp.		120		2
International Bancshares Corp.		443		9
Intersections, Inc.		719		9
iStar Financial, Inc. (Æ)(ö)		2,269		16
Knight Capital Group, Inc. Class A (Æ)		1,016		13
Ladenburg Thalmann Financial Services, Inc. (Æ)		9,185		16
Lakeland Bancorp, Inc.		1,642		16
Lexington Realty Trust (ö)		1,813		16
MB Financial, Inc.		123		3
MGIC Investment Corp. (Æ)		1,641		8
National Penn Bancshares, Inc.		1,160		10
Netspend Holdings, Inc. (Æ)		393		3
Park National Corp.		246		17
Phoenix Cos., Inc. (The)(Æ)		6,149		15
Piper Jaffray Cos. (Æ)		182		5
Radian Group, Inc.		3,051		13
Signature Bank (Æ)		100		6
Sterling Financial Corp. (Æ)		3,147		67
Strategic Hotels & Resorts, Inc. (Æ)(ö)		816		5


	Principal Amount ($) or Shares		Market Value $
Susquehanna Bancshares, Inc.		1,675		17
Umpqua Holdings Corp.		461		6
United Community Banks, Inc. (Æ)		1,746		17
Zillow, Inc. Class A (Æ)		577		21

				507


Health Care - 10.8%
Achillion Pharmaceuticals, Inc. (Æ)		57		1
Acura Pharmaceuticals, Inc. (Æ)		1,750		6
Akorn, Inc. (Æ)		1,758		21
Alimera Sciences, Inc.		179		1
Alkermes PLC (Æ)		142		3
Ampio Pharmaceuticals, Inc. (Æ)		1,036		4
Anthera Pharmaceuticals, Inc. (Æ)		2,870		6
AVEO Pharmaceuticals, Inc. (Æ)		1,056		13
AVI BioPharma, Inc. (Æ)		3,063		5
Cadence Pharmaceuticals, Inc. (Æ)		980		4
Cambrex Corp. (Æ)		1,381		10
Cell Therapeutics, Inc. (Æ)		466		1
Clovis Oncology, Inc. (Æ)		26		1
Complete Genomics, Inc. (Æ)		9,720		26
Cubist Pharmaceuticals, Inc. (Æ)		81		4
Curis, Inc. (Æ)		695		3
Cytori Therapeutics, Inc. (Æ)		208		1
Delcath Systems, Inc. (Æ)		570		2
Endologix, Inc. (Æ)		827		12
Exelixis, Inc. (Æ)		4,117		21
Hansen Medical, Inc. (Æ)		3,986		12
Idenix Pharmaceuticals, Inc. (Æ)		2,602		24
Incyte Corp., Ltd. (Æ)		497		10
InterMune, Inc. (Æ)		772		11
Jazz Pharmaceuticals PLC (Æ)		52		3
Keryx Biopharmaceuticals, Inc. (Æ)		104		1
KV Pharmaceutical Co. Class A (Æ)		475		1
Lexicon Pharmaceuticals, Inc. (Æ)		14,783		26
MAKO Surgical Corp. (Æ)		310		13
MannKind Corp. (Æ)		12,267		29
Medivation, Inc. (Æ)		73		5
Merge Healthcare, Inc. (Æ)		1,479		9
Metabolix, Inc. (Æ)		233		1
Metropolitan Health Networks, Inc. (Æ)		516		5
MModal, Inc. (Æ)		550		6
Momenta Pharmaceuticals, Inc. (Æ)		505		8
NxStage Medical, Inc. (Æ)		226		4
Nymox Pharmaceutical Corp. (Æ)		2,159		17
Oncothyreon, Inc. (Æ)		164		1
Onyx Pharmaceuticals, Inc. (Æ)		75		3
Optimer Pharmaceuticals, Inc. (Æ)		1,480		21
Pacific Biosciences of California, Inc. (Æ)		941		3
Pacira Pharmaceuticals, Inc. (Æ)		366		4
Pharmacyclics, Inc. (Æ)		1,434		39
Questcor Pharmaceuticals, Inc. (Æ)		511		19
Rigel Pharmaceuticals, Inc. (Æ)		1,107		9
Sangamo Biosciences, Inc. (Æ)		430		2
Sequenom, Inc. (Æ)		1,397		6
Skilled Healthcare Group, Inc. Class A (Æ)		1,802		14
Solta Medical, Inc. (Æ)		453		1


	108			Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Sunesis Pharmaceuticals, Inc. (Æ)		277		1
Synta Pharmaceuticals Corp. (Æ)		191		1
Tornier NV (Æ)		41		1
Transcept Pharmaceuticals, Inc. (Æ)		719		8
Vanguard Health Systems, Inc.		348		3
WellCare Health Plans, Inc. (Æ)		41		3
Zogenix, Inc.		774		2

				471


Materials and Processing - 9.2%
AMCOL International Corp.		288		8
American Vanguard Corp.		825		18
Calgon Carbon Corp. (Æ)		1,008		16
Coeur d’Alene Mines Corp. (Æ)		1,695		40
General Moly, Inc. (Æ)		827		3
Georgia Gulf Corp. (Æ)		273		10
Gibraltar Industries, Inc. (Æ)		155		2
Globe Specialty Metals, Inc.		73		1
Gold Resource Corp.		93		2
Golden Minerals Co. (Æ)		151		1
Golden Star Resources, Ltd. (Æ)		11,196		21
Graphic Packaging Holding Co. (Æ)		2,127		12
Griffon Corp.		384		4
Headwaters, Inc. (Æ)		1,722		7
Hecla Mining Co.		7,073		33
Jaguar Mining, Inc. (Æ)		2,864		13
Kraton Performance Polymers, Inc. (Æ)		39		1
McEwen Mining, Inc. (Æ)		7,240		32
Midway Gold Corp. (Æ)		6,865		10
NCI Building Systems, Inc. (Æ)		584		7
Olin Corp.		81		2
Omnova Solutions, Inc. (Æ)		717		5
Paramount Gold and Silver Corp. (Æ)		550		1
Rentech, Inc. (Æ)		10,697		22
RTI International Metals, Inc. (Æ)		50		1
Schweitzer-Mauduit International, Inc.		206		14
Senomyx, Inc. (Æ)		877		2
Simpson Manufacturing Co., Inc.		1,400		46
Stillwater Mining Co. (Æ)		1,495		19
Texas Industries, Inc.		607		21
Universal Forest Products, Inc.		135		5
Uranium Energy Corp. (Æ)		1,268		5
Uranium Resources, Inc.		571		1
Vista Gold Corp. (Æ)		4,096		13
Zep, Inc.		223		3

				401


Producer Durables - 14.8%
A123 Systems, Inc. (Æ)		3,240		4
ACCO Brands Corp. (Æ)		738		9
Active Power, Inc. (Æ)		700		1
Advisory Board Co. (The) (Æ)		48		4
Alaska Air Group, Inc. (Æ)		568		20
AM Castle & Co. (Æ)		930		12
American Superconductor Corp. (Æ)		3,356		14
Brady Corp. Class A		395		13
Briggs & Stratton Corp.		571		10


	Principal Amount ($) or Shares		Market Value $
Bristow Group, Inc.		147		7
Broadwind Energy, Inc. (Æ)		17,546		8
CAI International, Inc. (Æ)		873		16
Chart Industries, Inc. (Æ)		61		4
Clean Harbors, Inc. (Æ)		57		4
Coleman Cable, Inc. (Æ)		998		10
Colfax Corp. (Æ)		596		21
CRA International, Inc. (Æ)		219		6
Darling International, Inc. (Æ)		242		4
DHT Holdings, Inc.		10,467		10
DXP Enterprises, Inc. (Æ)		406		18
Eagle Bulk Shipping, Inc. (Æ)		580		1
Energy Recovery, Inc. (Æ)		1,705		4
EnergySolutions, Inc. (Æ)		5,449		27
ESCO Technologies, Inc.		490		18
Excel Maritime Carriers, Ltd. Class A (Æ)		2,396		5
Frontline, Ltd.		1,607		12
Genco Shipping & Trading, Ltd. (Æ)		2,036		13
Generac Holdings, Inc. (Æ)		291		7
Gorman-Rupp Co. (The)		28		1
Graham Corp.		412		9
Great Lakes Dredge & Dock Corp.		700		5
Herman Miller, Inc.		454		10
Hill International, Inc. (Æ)		2,251		9
HUB Group, Inc. Class A (Æ)		235		8
InnerWorkings, Inc. (Æ)		1,112		13
Kimball International, Inc. Class B		1,717		12
MasTec, Inc. (Æ)		164		3
Measurement Specialties, Inc. (Æ)		245		8
Mistras Group, Inc. (Æ)		150		4
Modine Manufacturing Co. (Æ)		721		6
Old Dominion Freight Line, Inc. (Æ)		1,328		63
Overseas Shipholding Group, Inc.		1,104		14
PMFG, Inc. (Æ)		634		10
Power-One, Inc. (Æ)		2,133		10
Quad/Graphics, Inc.		1,287		18
Raven Industries, Inc.		19		1
Robbins & Myers, Inc.		43		2
RPX Corp. (Æ)		146		2
RSC Holdings, Inc. (Æ)		95		2
Satcon Technology Corp. (Æ)		12,919		5
Sauer-Danfoss, Inc.		58		3
ServiceSource International, Inc. (Æ)		140		2
Standex International Corp.		731		30
Swift Transportation Co. Class A (Æ)		1,488		17
Swisher Hygiene, Inc. (Æ)(Þ)		6,548		16
Tecumseh Products Co. Class A (Æ)		293		1
Trimas Corp. (Æ)		899		20
United Rentals, Inc. (Æ)		67		3
US Airways Group, Inc. (Æ)		5,253		40
Vicor Corp.		154		1
Wesco Aircraft Holdings, Inc. (Æ)		322		5
Woodward, Inc.		252		11

				646


Technology - 21.2%
3D Systems Corp. (Æ)		1,283		30


Russell 2000 High Volatility ETF		109

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Acacia Research Corp. (Æ)		49		2
ADTRAN, Inc.		62		2
Amkor Technology, Inc. (Æ)		790		5
Angie’s List. Inc. (Æ)		40		1
Aruba Networks, Inc. (Æ)		713		16
AXT, Inc. (Æ)		1,092		7
Bankrate, Inc. (Æ)		1,535		37
BroadSoft, Inc. (Æ)		632		24
Carbonite, Inc. (Æ)		898		10
CIBER, Inc. (Æ)		3,318		14
Cohu, Inc.		503		6
CommVault Systems, Inc. (Æ)		131		7
Computer Task Group, Inc. (Æ)		905		14
Cymer, Inc. (Æ)		35		2
Deltek, Inc. (Æ)		1,953		21
Demand Media, Inc. (Æ)		1,812		13
Echelon Corp. (Æ)		860		4
Emcore Corp. (Æ)		113		1
Emulex Corp. (Æ)		3,802		38
Entropic Communications, Inc. (Æ)		1,337		8
Envestnet, Inc. (Æ)		1,169		15
Fabrinet (Æ)		889		16
Finisar Corp. (Æ)		586		12
FriendFinder Networks, Inc. (Æ)		424		1
GeoEye, Inc. (Æ)		213		5
iGate Corp. (Æ)		409		7
Insight Enterprises, Inc. (Æ)		261		6
InterDigital, Inc.		1,022		36
Intevac, Inc. (Æ)		341		3
IntraLinks Holdings, Inc. (Æ)		181		1
InvenSense, Inc. Class A (Æ)		36		1
KEYW Holding Corp. (The) (Æ)		1,003		8
KIT Digital, Inc. (Æ)		146		1
Kopin Corp. (Æ)		4,213		17
Kulicke & Soffa Industries, Inc. (Æ)		2,586		32
LogMeIn, Inc. (Æ)		48		2
Mercury Computer Systems, Inc. (Æ)		651		9
Meru Networks, Inc. (Æ)		528		2
Microvision, Inc. (Æ)		1,687		5
Motricity, Inc. (Æ)		1,323		1
NetSuite, Inc. (Æ)		62		3
OCZ Technology Group, Inc. (Æ)		157		1
Omnivision Technologies, Inc. (Æ)		1,306		26
OpenTable, Inc. (Æ)		357		14
Openwave Systems, Inc. (Æ)		2,178		5
PC Connection, Inc.		483		4
Photronics, Inc. (Æ)		912		6
Plexus Corp. (Æ)		310		11
Powerwave Technologies, Inc. (Æ)		18,205		36
PROS Holdings, Inc. (Æ)		560		10
QLIK Technologies, Inc. (Æ)		2,625		83
Quantum Corp. (Æ)		2,018		5
Quepasa Corp. (Æ)		139		1
Radisys Corp. (Æ)		307		2
RealPage, Inc. (Æ)		523		10


	Principal Amount ($) or Shares			Market Value $
RF Micro Devices, Inc. (Æ)		5,144			26
Rogers Corp. (Æ)		145			6
Rubicon Technology, Inc. (Æ)		1,098			11
SciQuest, Inc. (Æ)		209			3
Smith Micro Software, Inc. (Æ)		320			1
SolarWinds, Inc. (Æ)		39			2
Sonus Networks, Inc. (Æ)		3,994			12
Sourcefire, Inc. (Æ)		181			9
STEC, Inc. (Æ)		1,532			14
Synchronoss Technologies, Inc. (Æ)		46			1
Take-Two Interactive Software, Inc. (Æ)		1,158			18
Tangoe, Inc. (Æ)		736			14
TeleNav, Inc. (Æ)		147			1
THQ, Inc. (Æ)		2,510			1
TriQuint Semiconductor, Inc. (Æ)		4,079			28
Ubiquiti Networks, Inc. (Æ)		1,204			38
Universal Display Corp. (Æ)		546			20	��
Veeco Instruments, Inc. (Æ)		739			21
VirnetX Holding Corp. (Æ)		1,365			33
Wave Systems Corp. Class A (Æ)		754			1
Web.com Group, Inc. (Æ)		846			12

					931


Utilities - 1.1%
8x8, Inc. (Æ)		4,458			19
Dynegy, Inc. Class A (Æ)		3,865			2
Fairpoint Communications, Inc. (Æ)		444			2
IDT Corp. Class B		572			5
Leap Wireless International, Inc. (Æ)		210			2
Pendrell Corp. (Æ)		7,213			19

					49


Total Common Stocks (cost $4,641)					4,369


Warrants & Rights - 0.0%
Magnum Hunter Resources, Inc. (Æ)(Å)		442			—	±


Total Warrants & Rights (cost $—)					—	±


Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		9,157	(¥)		9


Total Short-Term Investments (cost $9)					9


104Total Investments - 100.0% (identified cost $4,650)					4,378

Other Assets and Liabilities, Net - (0.0%)					—	±


Net Assets - 100.0%					4,378

See accompanying notes which are an integral part of the financial statements.


	110			Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value										% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3			Total			% of Net Assets

Common Stocks
Consumer Discretionary	$	607	$	—	$	—		$	607			13.9
Consumer Staples		93		—		—			93			2.1
Energy		664		—		—			664			15.1
Financial Services		507		—		—			507			11.6
Health Care		471		—		—			471			10.8
Materials and Processing		401		—		—			401			9.2
Producer Durables		646		—		—			646			14.8
Technology		931		—		—			931			21.2
Utilities		49		—		—			49			1.1
Warrants & Rights		—		—		—	**		—	**		—	*
Short-Term Investments		—		9		—			9			0.2


Total Investments		4,369		9		—			4,378			100.0

Other Assets and Liabilities, Net												(—	)*


												100.0

Less than .05% of net assets.

Less than $500.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 2000 High Volatility ETF		111

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell 2000 High Volatility ETF

Assets
Investments, at identified cost	$	4,650
Investments, at market*		4,378
Receivables:
Dividends		2
Investments sold		210

Total assets		4,590


Liabilities
Payables:
Investments purchased		211
Accrued fees to affiliates		1

Total liabilities		212


Net Assets	$	4,378

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	—
Accumulated net realized gain (loss)		(1,017	)
Unrealized appreciation (depreciation) on investments		(272	)
Additional paid-in capital		5,667

Net Assets	$	4,378

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	43.78
Net assets	$	4,377,918
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	9

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	112			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 2000 High Volatility ETF*

Investment Income
Dividends	$	35

Total investment income		35


Expenses
Management fees		53
Trustee and trustee related fees		24

Expenses before reductions		77
Expense reductions		(32	)

Net expenses		45

Net investment income (loss)		(10	)


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(1,050	)
In-kind redemptions		(1,484	)

Net realized gain (loss)		(2,534	)
Net change in unrealized appreciation (depreciation) on investments		(272	)

Net realized and unrealized gain (loss)		(2,806	)

Net Increase (Decrease) in Net Assets from Operations	$	(2,816	)

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		113

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell 2000 High Volatility ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	(10	)
Net realized gain (loss)		(2,534	)
Net change in unrealized appreciation (depreciation)		(272	)

Net increase (decrease) in net assets from operations		(2,816	)


Share Transactions
Net increase (decrease) in net assets from share transactions		7,194

Total Net Increase (Decrease) in Net Assets		4,378

Net Assets
Beginning of period		—

End of period	$	4,378

Undistributed (overdistributed) net investment income included in net assets	$	—

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	114			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)			$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations
Russell 2000 High Volatility ETF
March 31, 2012*		49.57		(.05	)		(5.74	)		(5.79	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	116			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)			% Portfolio Turnover Rate(b)(d)

	43.78		(11.67	)		4,378		1.01		.59		(.13	)		85

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		117

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma U.S. Small Cap High Momentum Index**
Inception*		3.68	%		3.63	%		4.20	%


	118			Russell 2000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 2000^® High Momentum ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell 2000^® High Momentum ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap High Momentum Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma U.S. Small Cap High Momentum Index, which is designed to deliver exposure to stocks with high medium-term momentum as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 3.68%. This is compared to the Fund’s benchmark, the Russell-Axioma U.S. Small Cap High Momentum Index, which gained 4.20% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Health care was the best performing sector for the Fund and the Index, while consumer staples was the worst performing sector. Health care, with an average weight of 15.7% was the best contributor to Fund and Index returns. Technology, with an average weight of 13.0%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Jazz Pharmaceuticals Plc, Domino’s Pizza Inc, and Kodiak Oil & Gas Corp generated positive returns and contributed the most to Fund performance while TPC Group Inc, Diamond Foods Inc, and Pioneer Drilling Co, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares May 26, 2011.

The Russell-Axioma U.S. Small Cap High Momentum Index is designed to deliver exposure to stocks with high medium-term momentum as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Medium-term momentum is a measure of a stock’s past price performance as measured by cumulative return over the last 250 trading days, excluding the last 20 trading days. Stocks exhibiting high momentum can be used by investors to adjust momentum exposure in a portfolio.


Russell 2000^® High Momentum ETF		119

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
October 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,296.40	$	1,023.10
Expenses Paid During the Period*	$	2.19	$	1.92

Expenses are equal to the Fund’s annualized expense ratio of 0.38% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Effective November 3, 2011, the annualized expense ratio is 0.30%, as contractually agreed to by the adviser. May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.


	120			Russell 2000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.6%
Consumer Discretionary - 19.6%
AH Belo Corp. Class A		400		2
Amerco, Inc.		164		17
American Greetings Corp. Class A		254		4
America’s Car-Mart, Inc. (Æ)		320		14
Ameristar Casinos, Inc.		295		5
Asbury Automotive Group, Inc. (Æ)		625		17
Ascena Retail Group, Inc. (Æ)		760		34
Avis Budget Group, Inc. (Æ)		79		1
BJ’s Restaurants, Inc. (Æ)		147		7
Buffalo Wild Wings, Inc. (Æ)		184		17
Callaway Golf Co.		619		4
Caribou Coffee Co., Inc. (Æ)		1,036		19
Carter’s, Inc. (Æ)		560		28
Central Garden and Pet Co. Class A (Æ)		498		5
Cheesecake Factory, Inc. (The) (Æ)		810		24
Conn’s, Inc. (Æ)		229		4
Cracker Barrel Old Country Store, Inc.		82		5
Crocs, Inc. (Æ)		1,944		41
DineEquity, Inc. (Æ)		202		10
Dollar Thrifty Automotive Group, Inc. (Æ)		924		74
Domino’s Pizza, Inc.		2,842		102
Elizabeth Arden, Inc. (Æ)		784		27
EW Scripps Co. Class A (Æ)		1,832		18
Genesco, Inc. (Æ)		430		31
G-III Apparel Group, Ltd. (Æ)		355		10
HealthStream, Inc. (Æ)		1,238		29
Hibbett Sports, Inc. (Æ)		908		50
Iconix Brand Group, Inc. (Æ)		195		3
Inter Parfums, Inc.		420		7
JOS A Bank Clothiers, Inc. (Æ)		120		6
Kirkland’s, Inc. (Æ)		657		11
Krispy Kreme Doughnuts, Inc. (Æ)		192		1
Libbey, Inc. (Æ)		447		6
Lithia Motors, Inc. Class A		974		26
Marchex, Inc. Class A		1,184		5
Men’s Wearhouse, Inc. (The)		349		14
Monro Muffler Brake, Inc.		460		19
Motorcar Parts of America, Inc. (Æ)		232		2
New York & Co., Inc. (Æ)		838		3
Nu Skin Enterprises, Inc. Class A		476		28
PF Chang’s China Bistro, Inc.		84		3
Pool Corp.		282		11
Pricesmart, Inc.		1,441		104
Rent-A-Center, Inc. Class A		383		14
Ruby Tuesday, Inc. (Æ)		909		8
Ruth’s Hospitality Group, Inc. (Æ)		1,942		15
Six Flags Entertainment Corp.		792		37
Sotheby’s Class A		132		5
Standard Motor Products, Inc.		462		8
Steiner Leisure, Ltd. (Æ)		154		8
Steven Madden, Ltd. (Æ)		612		26
Sturm Ruger & Co., Inc.		397		19
Summer Infant, Inc. (Æ)		294		2
Town Sports International Holdings, Inc. (Æ)		300		4


	Principal Amount ($) or Shares		Market Value $
Travelzoo, Inc. (Æ)		69		2
VOXX International Corp. Class A (Æ)		427		6
Zagg, Inc. (Æ)		149		2

				1,004


Consumer Staples - 5.1%
Boston Beer Co., Inc. Class A (Æ)		107		11
Casey’s General Stores, Inc.		518		29
GNC Holdings, Inc. Class A		719		25
J&J Snack Foods Corp.		366		19
Lancaster Colony Corp.		338		22
National Beverage Corp. (Æ)		1,066		17
Omega Protein Corp. (Æ)		2,134		16
Peet’s Coffee & Tea, Inc. (Æ)		93		7
Schiff Nutrition International, Inc. (Æ)		486		6
Smart Balance, Inc. (Æ)		3,617		24
Susser Holdings Corp. (Æ)		799		21
TreeHouse Foods, Inc. (Æ)		224		13
United Natural Foods, Inc. (Æ)		386		18
Vector Group, Ltd.		1,751		32

				260


Energy - 7.9%
Approach Resources, Inc. (Æ)		819		30
Basic Energy Services, Inc. (Æ)		43		1
Berry Petroleum Co. Class A		280		13
Capstone Turbine Corp. (Æ)		10,478		11
CVR Energy, Inc. (Æ)		1,281		34
Delek US Holdings, Inc.		312		5
Dril-Quip, Inc. (Æ)		100		7
Energy XXI Bermuda, Ltd. (Æ)		54		2
Golar LNG, Ltd.		1,956		74
Gulfport Energy Corp. (Æ)		1,185		35
Hornbeck Offshore Services, Inc. (Æ)		69		3
Kodiak Oil & Gas Corp. (Æ)		5,722		57
Lufkin Industries, Inc.		28		2
Mitcham Industries, Inc. (Æ)		148		3
Northern Oil and Gas, Inc. (Æ)		443		9
Oasis Petroleum, Inc. (Æ)		64		2
REX American Resources Corp. (Æ)		1,441		44
Rosetta Resources, Inc. (Æ)		468		23
Stone Energy Corp. (Æ)		71		2
W&T Offshore, Inc.		1,366		29
Western Refining, Inc.		479		9
World Fuel Services Corp.		192		8

				403


Financial Services - 20.4%
Advance America Cash Advance Centers, Inc.		1,044		11
Advent Software, Inc. (Æ)		358		9
Ameris Bancorp (Æ)		188		2
Amtrust Financial Services, Inc.		105		3
Anworth Mortgage Asset Corp. (ö)		1,305		9
Apollo Investment Corp.		743		5
Arrow Financial Corp.		303		7
Ashford Hospitality Trust, Inc. (ö)		1,496		13


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Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Associated Estates Realty Corp. (ö)		495		8
Bank of the Ozarks, Inc.		118		4
BGC Partners, Inc. Class A		1,148		8
BlackRock Kelso Capital Corp.		2,021		20
Cardtronics, Inc. (Æ)		2,013		54
CBL & Associates Properties, Inc. (ö)		1,269		24
Colonial Properties Trust (ö)		559		12
Coresite Realty Corp. (ö)		1,171		28
Delphi Financial Group, Inc. Class A		332		15
DuPont Fabros Technology, Inc. (ö)		647		16
Dynex Capital, Inc. (ö)		1,830		17
Entertainment Properties Trust (ö)		707		33
Epoch Holding Corp.		1,893		45
Evercore Partners, Inc. Class A		232		7
Extra Space Storage, Inc. (ö)		766		22
Ezcorp, Inc. Class A (Æ)		585		19
Financial Engines, Inc. (Æ)		79		2
First Cash Financial Services, Inc. (Æ)		507		22
First Industrial Realty Trust, Inc. (Æ)(ö)		224		3
First Interstate Bancsystem, Inc. Class A		213		3
First Midwest Bancorp, Inc.		377		5
Getty Realty Corp. (ö)		150		2
Gladstone Commercial Corp. (ö)		435		7
Glimcher Realty Trust (ö)		3,451		35
Government Properties Income Trust (ö)		366		9
Greenlight Capital Re, Ltd. Class A (Æ)		298		7
Hatteras Financial Corp. (ö)		188		5
Hersha Hospitality Trust Class A (ö)		3,007		16
HFF, Inc. Class A (Æ)		171		3
Hudson Valley Holding Corp.		85		1
Intersections, Inc.		412		5
iStar Financial, Inc. (Æ)(ö)		1,399		10
Kennedy-Wilson Holdings, Inc.		777		10
Kohlberg Capital Corp.		221		2
Ladenburg Thalmann Financial Services, Inc. (Æ)		5,203		9
LaSalle Hotel Properties (ö)		354		10
MarketAxess Holdings, Inc.		481		18
MCG Capital Corp.		3,193		14
Meadowbrook Insurance Group, Inc.		1,020		10
Medical Properties Trust, Inc. (ö)		446		4
MFA Financial, Inc. (ö)		2,897		22
National Financial Partners Corp. (Æ)		290		4
National Health Investors, Inc. (ö)		395		19
Nelnet, Inc. Class A		232		6
New Mountain Finance Corp.		801		11
NewStar Financial, Inc. (Æ)		2,437		27
NorthStar Realty Finance Corp. (ö)		1,811		10
Ocwen Financial Corp. (Æ)		391		6
Omega Healthcare Investors, Inc. (ö)		394		8
OneBeacon Insurance Group, Ltd. Class A		245		4
Oriental Financial Group, Inc.		861		10
PennantPark Investment Corp.		1,850		19
Peoples Bancorp, Inc.		708		12
Post Properties, Inc. (ö)		660		31
Presidential Life Corp.		227		3
Resource Capital Corp. (ö)		679		4
Retail Opportunity Investments Corp. (ö)		1,808		22


	Principal Amount ($) or Shares		Market Value $
RLI Corp.		534		38
Signature Bank NY (Æ)		85		5
Sovran Self Storage, Inc. (ö)		80		4
Strategic Hotels & Resorts, Inc. (Æ)(ö)		794		5
Sun Communities, Inc. (ö)		559		24
Susquehanna Bancshares, Inc.		381		4
TICC Capital Corp.		1,401		14
Trustmark Corp.		743		19
Two Harbors Investment Corp. (ö)		182		2
Virtus Investment Partners, Inc. (Æ)		804		70
Walter Investment Management Corp.		53		1
Webster Financial Corp.		469		11
Wintrust Financial Corp.		225		8
World Acceptance Corp. (Æ)		233		14
Wright Express Corp. (Æ)		32		2

				1,042


Health Care - 20.7%
Air Methods Corp. (Æ)		45		4
Akorn, Inc. (Æ)		2,176		25
Align Technology, Inc. (Æ)		63		2
Alkermes PLC (Æ)		174		3
Ariad Pharmaceuticals, Inc. (Æ)		3,966		63
AtriCure, Inc. (Æ)		194		2
Cantel Medical Corp.		555		14
Cardiovascular Systems, Inc. (Æ)		1,839		17
Computer Programs & Systems, Inc.		259		15
DexCom, Inc. (Æ)		126		1
Endologix, Inc. (Æ)		2,232		33
Ensign Group, Inc. (The)		2,779		76
Exact Sciences Corp. (Æ)		1,264		14
Exelixis, Inc. (Æ)		159		1
HeartWare International, Inc. (Æ)		444		29
Hi-Tech Pharmacal Co., Inc. (Æ)		800		29
HMS Holdings Corp. (Æ)		881		27
Idenix Pharmaceuticals, Inc. (Æ)		1,809		18
Infinity Pharmaceuticals, Inc. (Æ)		8,546		103
IPC The Hospitalist Co., Inc. (Æ)		37		1
ISTA Pharmaceuticals, Inc. (Æ)		436		4
Jazz Pharmaceuticals PLC (Æ)		1,364		67
Ligand Pharmaceuticals, Inc. Class B (Æ)		95		2
MAKO Surgical Corp. (Æ)		885		37
Medivation, Inc. (Æ)		469		35
Merit Medical Systems, Inc. (Æ)		625		8
MWI Veterinary Supply, Inc. (Æ)		24		2
Navidea Biopharmaceuticals, Inc. (Æ)		1,166		4
NxStage Medical, Inc. (Æ)		1,620		31
Obagi Medical Products, Inc. (Æ)		508		7
Oncothyreon, Inc. (Æ)		1,431		6
Opko Health, Inc. (Æ)		652		3
OraSure Technologies, Inc. (Æ)		1,229		14
Pain Therapeutics, Inc. (Æ)		3,588		13
PDL BioPharma, Inc.		299		2
Pharmacyclics, Inc. (Æ)		1,616		45
Quality Systems, Inc.		549		24
Questcor Pharmaceuticals, Inc. ( Æ)		1,432		54
Rockwell Medical Technologies, Inc. (Æ)		2,376		22


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Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

RTI Biologics, Inc. (Æ)		847		3
Salix Pharmaceuticals, Ltd. (Æ)		580		30
Sciclone Pharmaceuticals, Inc. (Æ)		2,883		18
Spectrum Pharmaceuticals, Inc. (Æ)		4,454		56
Theravance, Inc. (Æ)		202		4
Transcend Services, Inc. (Æ)		84		2
Universal American Corp.		309		3
Viropharma, Inc. (Æ)		935		28
Vivus, Inc. (Æ)		365		8
WellCare Health Plans, Inc. (Æ)		595		43
ZIOPHARM Oncology, Inc. (Æ)		1,957		11
Zoll Medical Corp. (Æ)		38		4

				1,067


Materials and Processing - 6.3%
Acuity Brands, Inc.		204		13
American Vanguard Corp.		332		7
Beacon Roofing Supply, Inc. (Æ)		622		16
Belden, Inc.		350		13
Boise, Inc.		2,585		21
Buckeye Technologies, Inc.		463		16
Clearwater Paper Corp. (Æ)		1,407		47
Globe Specialty Metals, Inc.		101		2
Haynes International, Inc.		76		5
Hexcel Corp. (Æ)		696		17
Innospec, Inc. (Æ)		374		11
Interface, Inc. Class A		96		1
Interline Brands, Inc. (Æ)		1,389		30
KapStone Paper and Packaging Corp. (Æ)		739		15
Kraton Performance Polymers, Inc. (Æ)		13		—	±
LSB Industries, Inc. (Æ)		82		3
NewMarket Corp.		27		5
PolyOne Corp.		2,442		35
Quaker Chemical Corp.		83		3
Quanex Building Products Corp.		201		4
Schweitzer-Mauduit International, Inc.		635		44
Trex Co., Inc. (Æ)		196		6
Unifi, Inc. (Æ)		722		7

				321


Producer Durables - 7.5%
Actuant Corp. Class A		125		4
Advisory Board Co. (The) (Æ)		68		6
Alamo Group, Inc.		385		12
Alaska Air Group, Inc. (Æ)		726		26
Argan, Inc.		173		3
Astronics Corp. (Æ)		253		9
AT Cross Co. Class A (Æ)		422		5
Blount International, Inc. (Æ)		281		5
Briggs & Stratton Corp.		481		9
Bristow Group, Inc.		188		9
CAI International, Inc. (Æ)		188		3
Ceradyne, Inc.		53		2
Chart Industries, Inc. (Æ)		330		24
Coleman Cable, Inc. (Æ)		1,070		10
Colfax Corp. (Æ)		80		3
CoStar Group, Inc. (Æ)		32		2


	Principal Amount ($) or Shares		Market Value $
Cubic Corp.		287		14
Darling International, Inc. (Æ)		268		5
Douglas Dynamics, Inc.		232		3
Electronics for Imaging, Inc. (Æ)		179		3
EnPro Industries, Inc. (Æ)		383		16
Generac Holdings, Inc. (Æ)		13		—	±
Global Power Equipment Group, Inc. (Æ)		150		4
Gorman-Rupp Co. (The)		177		5
Huron Consulting Group, Inc. (Æ)		128		5
Insperity, Inc.		286		9
Kaman Corp. Class A		382		13
Kforce, Inc. (Æ)		1,068		16
Liquidity Services, Inc. (Æ)		73		3
Littelfuse, Inc.		39		2
LoopNet, Inc. (Æ)		1,341		25
MasTec, Inc. (Æ)		170		3
Measurement Specialties, Inc. (Æ)		89		3
Middleby Corp. (Æ)		100		10
Miller Industries, Inc.		596		10
Mistras Group, Inc. (Æ)		368		9
Odyssey Marine Exploration, Inc. (Æ)		1,227		4
Primoris Services Corp.		235		4
Quality Distribution, Inc. (Æ)		126		2
Sauer-Danfoss, Inc.		455		21
Spirit Airlines, Inc. (Æ)		218		4
Sun Hydraulics Corp.		49		1
SYKES Enterprises, Inc. (Æ)		123		2
Textainer Group Holdings, Ltd.		161		5
Titan International, Inc.		289		7
Trimas Corp. (Æ)		1,272		28
Twin Disc, Inc.		537		14

				382


Technology - 8.4%
3D Systems Corp. (Æ)		66		2
Acacia Research Corp. (Æ)		185		8
ACI Worldwide, Inc. (Æ)		46		2
ADTRAN, Inc.		38		1
Anixter International, Inc. (Æ)		31		2
Arris Group, Inc. (Æ)		1,801		20
Aruba Networks, Inc. (Æ)		403		9
Cavium, Inc. (Æ)		19		1
Ceva, Inc. (Æ)		162		4
Checkpoint Systems, Inc. (Æ)		226		3
CIBER, Inc. (Æ)		718		3
CommVault Systems, Inc. (Æ)		764		39
Computer Task Group, Inc. (Æ)		1,210		19
Comtech Telecommunications Corp.		63		2
Digital River, Inc. (Æ)		413		8
Ebix, Inc.		555		13
Entegris, Inc. (Æ)		108		1
Fabrinet (Æ)		558		10
FEI Co. (Æ)		50		2
Finisar Corp. (Æ)		854		17
GeoEye, Inc. (Æ)		167		4
II-VI, Inc. (Æ)		310		7
Insight Enterprises, Inc. (Æ)		960		21


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Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

IntraLinks Holdings, Inc. (Æ)		110		1
Kenexa Corp. (Æ)		122		4
Lattice Semiconductor Corp. (Æ)		3,138		20
LeCroy Corp. (Æ)		36		—	±
LogMeIn, Inc. (Æ)		263		9
MicroStrategy, Inc. Class A (Æ)		9		1
Netgear, Inc. (Æ)		32		1
Netscout Systems, Inc. (Æ)		55		1
NetSuite, Inc. (Æ)		127		6
NIC, Inc.		198		2
OpenTable, Inc. (Æ)		36		1
Opnet Technologies, Inc.		484		14
Parametric Technology Corp. (Æ)		512		14
PROS Holdings, Inc. (Æ)		134		3
QLIK Technologies, Inc. (Æ)		146		5
Quest Software, Inc. (Æ)		767		18
RealPage, Inc. (Æ)		71		1
Richardson Electronics, Ltd.		458		5
Semtech Corp. (Æ)		189		5
SolarWinds, Inc. (Æ)		54		2
Sourcefire, Inc. (Æ)		666		33
Sycamore Networks, Inc. (Æ)		101		2
Synaptics, Inc. (Æ)		336		12
Synchronoss Technologies, Inc. (Æ)		245		8
Syntel, Inc.		210		12
Take-Two Interactive Software, Inc. (Æ)		111		2
Tyler Technologies, Inc. (Æ)		445		17
Veeco Instruments, Inc. (Æ)		10		—	±
Virtusa Corp. (Æ)		232		4
Web.com Group, Inc. (Æ)		1,074		15
Westell Technologies, Inc. Class A (Æ)		6,204		14

				430


Utilities - 3.7%
8x8, Inc. (Æ)		340		1
Atlantic Power Corp.		240		3
Central Vermont Public Service Corp.		2,534		90
Cogent Communications Group, Inc. (Æ)		360		7
El Paso Electric Co.		97		3
IDT Corp. Class B		1,211		11
Middlesex Water Co.		586		11
Neutral Tandem, Inc. (Æ)		170		2
NorthWestern Corp.		559		20
PNM Resources, Inc.		1,820		33
Portland General Electric Co.		110		3
UIL Holdings Corp.		88		3

				187


Total Common Stocks (cost $4,689)				5,096


	Principal Amount ($) or Shares			Market Value $

Warrants & Rights - 0.0%
Warrants and Rights - 0.0%
Magnum Hunter Resources, Inc. 2013 Warrants (Æ)(Å)		430			—	±


Total Warrants & Rights (cost $—)					—	±


Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		6,602	(¥)		7



Total Short-Term Investments (cost $7)					7




Total Investments - 99.7% (identified cost $4,696)					5,103

Other Assets and Liabilities, Net - 0.3%					15


Net Assets - 100.0%					5,118

See accompanying notes which are an integral part of the financial statements.


	124			Russell 2000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value										% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3			Total			% of Net Assets

Common Stocks
Consumer Discretionary	$	1,004	$	—	$	—		$	1,004			19.6
Consumer Staples		260		—		—			260			5.1
Energy		403		—		—			403			7.9
Financial Services		1,042		—		—			1,042			20.4
Health Care		1,067		—		—			1,067			20.7
Materials and Processing		321		—		—			321			6.3
Producer Durables		382		—		—			382			7.5
Technology		430		—		—			430			8.4
Utilities		187		—		—			187			3.7
Warrants & Rights		—		—		—	**		—	**		—	*
Short-Term Investments		—		7		—			7			0.1


Total Investments		5,096		7		—			5,103			99.7

Other Assets and Liabilities, Net												0.3


												100.0

Less than 0.05% of net assets.

Less than $500.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell 2000 High Momentum ETF		125

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Statement of Asset and Liabilities — March 31, 2012


Amounts in thousands	Russell 2000 High Momentum ETF

Assets
Investments, at identified cost	$	4,696
Investments, at market*		5,103
Receivables:
Dividends		14
Investments sold		212

Total assets		5,329


Liabilities
Payables:
Investments purchased		210
Accrued fees to affiliates		1

Total liabilities		211


Net Assets	$	5,118

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	11
Accumulated net realized gain (loss)		(719	)
Unrealized appreciation (depreciation) on investments		407
Additional paid-in capital		5,419

Net Assets	$	5,118

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.18
Net assets	$	5,117,852
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	7

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	126			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell 2000 High Momentum ETF*

Investment Income
Dividends	$	91

Total investment income		91


Expenses
Management fees		47
Trustee and trustee related fees		23

Expenses before reductions		70
Expense reductions		(34	)

Net expenses		36

Net investment income (loss)		55


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(741	)
In-kind redemptions		291

Net realized gain (loss)		(450	)
Net change in unrealized appreciation (depreciation) on investments		407

Net realized and unrealized gain (loss)		(43	)

Net Increase (Decrease) in Net Assets from Operations	$	12

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		127

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell 2000 High Momentum ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	55
Net realized gain (loss)		(450	)
Net change in unrealized appreciation (depreciation)		407

Net increase (decrease) in net assets from operations		12


Distributions
From net investment income		(44	)

Net decrease in net assets from distributions		(44	)


Share Transactions
Net increase (decrease) in net assets from share transactions		5,150

Total Net Increase (Decrease) in Net Assets		5,118

Net Assets
Beginning of period		—

End of period	$	5,118

Undistributed (overdistributed) net investment income included in net assets	$	11

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	128			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell 2000 High Momentum ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell 2000 High Momentum ETF
March 31, 2012*		49.67		.32		1.49		1.81		(.30	)		(.30	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	130			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	51.18		3.68		5,118		1.02		.52		.81		88

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		131

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma Developed ex- U.S. Large Cap Low Beta Index**
Inception*		7.53	%		4.76	%		7.71	%


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Developed ex-U.S. Low Beta ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma Developed ex-U.S. Large Cap Low Beta Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma Developed ex-U.S. Large Cap Low Beta Index, which is designed to deliver exposure to stocks that have low predicted betas as determined by a screening and ranking methodology applied to the output of the Axioma AX-WW 2.1 World-Wide ex-USA Equity Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 7.53%. This is compared to the Fund’s benchmark, the Russell-Axioma Developed ex-U.S. Large Cap Low Beta Index, which gained 7.71% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while energy was the worst performing sector. Consumer staples, with an average weight of 20.0% was the best contributor to Fund and Index returns. Telecommunication services, with an average weight of 14.6%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Reinet Investments SCA, Toyota Motor Corp, and Anheuser-Busch InBev generated positive returns and contributed the most to Fund performance while Koninklijke KPN NV, France Telecom, and Nippon Telegraph & Telephone Corp, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares November 3, 2011.

The Russell-Axioma Developed ex-U.S. Low Beta Index is designed to deliver exposure to stocks that have low predicted betas as determined by a screening and ranking methodology applied to the output of the Axioma AX-WW 2.1 World-Wide ex-USA Equity Factor Risk model. Beta is a measure of the sensitivity of a stock’s price to a change in the broad market price level, as represented by the Russell Developed ex-U.S. Large Cap Index. Low beta stocks are considered to have a lower risk profile than the overall market and can be used by investors to adjust beta exposure in a portfolio.


Russell Developed ex-U.S. Low Beta ETF		133

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
November 3, 2011	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,075.30	$	1,023.75
Expenses Paid During Period*	$	1.06	$	1.26

Actual expenses are equal to the Fund’s annualized expense ratio of 0.25% (representing the 150-day period annualized), multiplied by the average account value over the period, multiplied by 150/366 (to reflect the period since commencement of operations). May reflect amounts waived and/or reimbursed. Without the waivers and reimbursements, expenses would have been higher. Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.25% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half period).


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 98.2%
Australia - 0.4%
AGL Energy, Ltd.		542		8
Myer Holdings, Ltd.		1,323		3
Telstra Corp., Ltd.		2,864		10

				21


Austria - 0.8%
EVN AG		238		3
Oesterreichische Post AG		62		2
Telekom Austria AG - ADR		2,661		31
Verbund AG Class A		96		3

				39


Belgium - 1.7%
Anheuser-Busch InBev NV		1,015		75
Delhaize Group SA		81		4
Elia System Operator SA		127		5
UCB SA		72		3

				87


Bermuda - 1.9%
Cheung Kong Infrastructure Holdings, Ltd.		3,000		19
Chinese Estates Holdings, Ltd.		2,500		3
Dairy Farm International Holdings, Ltd.		900		9
Esprit Holdings, Ltd.		3,600		7
Genting Hong Kong, Ltd. (Æ)		44,000		17
Kerry Properties, Ltd.		3,000		14
Li & Fung, Ltd.		8,000		19
VTech Holdings, Ltd.		800		10

				98


Canada - 11.8%
Agrium, Inc.		88		8
Alimentation Couche Tard, Inc. Class B		241		8
Atco, Ltd. Class I		190		13
BCE, Inc.		1,758		71
Bell Aliant, Inc.		905		25
Bombardier, Inc. Class B		2,822		12
Brookfield Asset Management, Inc. Class A		326		10
Brookfield Office Properties, Inc.		601		10
Cameco Corp.		38		1
Canadian National Railway Co.		466		37
Canadian Pacific Railway, Ltd.		468		35
Canadian Utilities, Ltd. Class A		474		31
Celestica, Inc. (Æ)		200		2
Emera, Inc.		229		8
Enbridge, Inc.		74		3
Encana Corp.		125		2
Fortis, Inc.		1,154		37
George Weston, Ltd.		81		5
Groupe Aeroplan, Inc.		180		2
IGM Financial, Inc.		149		7
InterOil Corp. (Æ)		9		—±
Jean Coutu Group PJC, Inc. (The) Class A		834		12
Loblaw Cos., Ltd.		143		5


	Principal Amount ($) or Shares		Market Value $
Magna International, Inc. Class A		221		11
Manitoba Telecom Services, Inc. - ADR		766		27
Metro, Inc. Class A		398		21
Nexen, Inc.		188		3
Niko Resources, Ltd.		7		—±
Open Text Corp. (Æ)		151		9
Potash Corp. of Saskatchewan, Inc.		130		6
Rogers Communications, Inc. Class B		679		27
Royal Bank of Canada - GDR		575		33
Saputo, Inc. - ADR		359		16
Shaw Communications, Inc. Class B		334		7
Shoppers Drug Mart Corp.		251		11
SouthGobi Resources, Ltd. (Æ)		125		1
Talisman Energy, Inc.		250		3
TELUS Corp. Class A		458		26
TELUS Corp.		328		19
Tim Hortons, Inc.		104		6
TransAlta Corp.		499		9
Valeant Pharmaceuticals International, Inc. (Æ)		602		32
Viterra, Inc. Class Common Subscription Recei		350		6

				617


Cayman Islands - 0.5%
MGM China Holdings, Ltd.		2,400		4
Sands China, Ltd.		5,200		20
Wynn Macau, Ltd.		1,200		4

				28


Denmark - 0.1%
Novo Nordisk A/S Class B		44		6


Finland - 0.5%
Elisa OYJ Class A		119		3
Fortum OYJ		127		3
Nokia OYJ		650		4
Nokian Renkaat OYJ		210		10
Orion OYJ Class B		359		7

				27


France - 2.7%
Alcatel-Lucent - ADR (Æ)		1,238		3
Casino Guichard Perrachon SA (Æ)		116		11
Cie Generale d’Optique Essilor International SA		146		13
Danone		83		6
Faurecia		129		3
France Telecom SA - ADR		1,977		29
Iliad SA		12		2
Ipsen SA		139		4
L’Oreal SA		74		9
Pernod-Ricard SA		110		11
Safran SA		174		6
Sanofi - ADR		414		33
Suez Environnement Co.		313		5


Russell Developed ex-U.S. Low Beta ETF		135

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Vivendi SA - ADR		176		3

				138


Germany - 6.2%
Bayer AG		382		27
Beiersdorf AG (Æ)		23		1
Celesio AG		4		—	±
Continental AG		221		21
Daimler AG		158		10
Deutsche Telekom AG		2,489		30
E.ON AG		33		1
Fresenius Medical Care AG & Co. KGaA		393		28
Fresenius SE & Co. KGaA		138		14
Henkel AG & Co. KGaA		652		41
Linde AG		61		11
Merck KGaA		108		12
Metro AG		180		7
MTU Aero Engines Holding AG		379		30
Rhoen Klinikum AG		526		11
RWE AG		320		15
SAP AG - ADR		537		37
Stada Arzneimittel AG		9		—	±
TUI AG (Æ)		474		4
United Internet AG		659		12
Volkswagen AG		56		9
Wincor Nixdorf AG		77		4

				325


Greece - 0.2%
Coca Cola Hellenic Bottling Co. SA - ADR (Æ)		331		6
Hellenic Telecommunication Org		1,800		4

				10


Hong Kong - 8.7%
AIA Group, Ltd.		5,800		21
Bank of East Asia, Ltd.		2,600		10
Cathay Pacific Airways, Ltd.		1,000		2
Cheung Kong Holdings, Ltd.		3,000		39
CLP Holdings, Ltd.		4,500		39
Galaxy Entertainment Group, Ltd. (Æ)		3,000		8
Hang Lung Group, Ltd.		2,000		13
Hang Lung Properties, Ltd. - ADR		5,000		18
Hang Seng Bank, Ltd.		700		9
Henderson Land Development Co., Ltd.		3,000		17
HKT Trust / HKT, Ltd. (Æ)		1,717		1
Hong Kong & China Gas Co., Ltd.		17,000		45
Hong Kong Aircraft Engineering Co., Ltd.		400		5
Hong Kong Exchanges and Clearing, Ltd.		500		8
Hysan Development Co., Ltd.		5,000		20
MTR Corp.		3,000		11
New World Development Co., Ltd.		19,000		23
PCCW, Ltd.		78,000		28
Power Assets Holdings, Ltd.		4,000		29
Sino Land Co., Ltd.		10,000		16
SJM Holdings, Ltd.		5,000		10
Sun Hung Kai Properties, Ltd.		3,000		37


	Principal Amount ($) or Shares		Market Value $
Swire Pacific, Ltd. Class A		500		6
Television Broadcasts, Ltd.		1,000		7
Wharf Holdings, Ltd.		3,000		16
Wing Hang Bank, Ltd.		1,500		15

				453


Ireland - 0.4%
Elan Corp. PLC (Æ)		216		3
Kerry Group PLC Class A		365		17

				20


Israel - 1.1%
Teva Pharmaceutical Industries, Ltd.		1,245		55


Japan - 27.8%
Acom Co., Ltd. (Æ)		80		2
Advantest Corp.		200		3
Aeon Co., Ltd.		1,200		16
Aeon Credit Service Co., Ltd.		2,100		33
Aisin Seiki Co., Ltd.		400		14
Ajinomoto Co., Inc.		1,000		13
Asahi Group Holdings, Ltd.		400		9
Astellas Pharma, Inc.		700		29
Bridgestone Corp.		400		10
Canon, Inc.		1,400		67
Casio Computer Co., Ltd. (Æ)		900		6
Chubu Electric Power Co., Inc.		900		16
Chugai Pharmaceutical Co., Ltd.		300		6
Chugoku Electric Power Co., Inc. (The)		1,100		21
Citizen Holdings Co., Ltd.		2,200		14
Credit Saison Co., Ltd. (Æ)		1,300		26
Daiichi Sankyo Co., Ltd.		1,100		20
Dena Co., Ltd. (Æ)		100		3
Denso Corp.		600		20
Eisai Co., Ltd.		700		28
Electric Power Development Co., Ltd.		100		3
FamilyMart Co., Ltd.		500		21
FANUC Corp.		100		18
Fast Retailing Co., Ltd.		100		23
FUJIFILM Holdings Corp.		400		9
Fujitsu, Ltd.		3,000		16
Hirose Electric Co., Ltd.		200		21
Hitachi High-Technologies Corp.		100		2
Hitachi, Ltd.		4,000		26
Hokkaido Electric Power Co., Inc.		800		12
Hokuriku Electric Power Co.		500		9
Honda Motor Co., Ltd.		1,200		46
Hoya Corp.		500		11
Ibiden Co., Ltd.		500		13
Japan Tobacco, Inc.		3		17
Kansai Electric Power Co., Inc. (The)		1,100		17
Kirin Holdings Co., Ltd.		1,000		13
Komatsu, Ltd.		100		3
Kyocera Corp.		100		9
Kyowa Hakko Kirin Co., Ltd.		1,000		11
Kyushu Electric Power Co., Inc.		900		13
Lawson, Inc.		100		6


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Mitsubishi Estate Co., Ltd.		1,000		18
Mitsubishi Motors Corp. (Æ)		2,000		2
Mitsubishi UFJ Financial Group, Inc.		6,600		33
Mizuho Financial Group, Inc.		11,400		19
Murata Manufacturing Co., Ltd.		300		18
NEC Corp. (Æ)		2,000		4
Nintendo Co., Ltd.		100		15
Nippon Telegraph & Telephone Corp.		1,200		55
Nissan Motor Co., Ltd.		1,500		16
Nisshin Seifun Group, Inc.		500		6
Nissin Foods Holdings Co., Ltd.		200		8
NOK Corp.		100		2
Nomura Research Institute, Ltd.		200		5
NTT DoCoMo, Inc.		20		33
Omron Corp.		100		2
Oracle Corp. Japan		400		15
Osaka Gas Co., Ltd.		4,000		16
Otsuka Holdings Co., Ltd.		200		6
Panasonic Corp.		100		1
Secom Co., Ltd.		200		10
Seiko Epson Corp.		400		6
Seven & I Holdings Co., Ltd.		1,000		30
Shikoku Electric Power Co., Inc.		500		14
Shin-Etsu Chemical Co., Ltd.		300		17
Shionogi & Co., Ltd.		1,300		18
Softbank Corp. (Æ)		1,100		33
Stanley Electric Co., Ltd.		800		13
Sumitomo Mitsui Financial Group, Inc.		700		23
Suzuken Co., Ltd.		100		3
Suzuki Motor Corp.		400		10
Sysmex Corp.		100		4
Takeda Pharmaceutical Co., Ltd.		1,700		75
TDK Corp.		300		17
Terumo Corp.		300		14
Toho Gas Co., Ltd.		1,000		6
Tokyo Gas Co., Ltd.		6,000		28
Toshiba Corp.		4,000		18
Toyoda Gosei Co., Ltd.		200		4
Toyota Industries Corp.		100		3
Toyota Motor Corp.		2,400		105
Trend Micro, Inc.		400		12
Unicharm Corp.		100		5
USS Co., Ltd.		70		7
Yahoo! Japan Corp. (Æ)		39		13
Yaskawa Electric Corp.		1,000		9

				1,446


Luxembourg - 0.6%
L’Occitane International SA		2,500		6
Samsonite International SA (Æ)		7,800		15
Ternium SA - ADR		355		8

				29


Netherlands - 3.8%
ASML Holding NV Class G		278		14
European Aeronautic Defence and Space Co. NV		378		15


	Principal Amount ($) or Shares		Market Value $
Gemalto NV		14		1
Heineken Holding NV		207		10
Heineken NV		411		23
Koninklijke Ahold NV		2,217		31
Koninklijke KPN NV		3,158		35
Nutreco NV		66		5
NXP Semiconductor NV (Æ)		69		2
Unilever NV		1,913		64

				200


New Zealand - 0.3%
Contact Energy, Ltd. (Æ)		1,976		8
Telecom Corp. of New Zealand, Ltd.		5,075		10

				18


Singapore - 2.5%
CapitaLand, Ltd.		4,000		10
CapitaMalls Asia, Ltd.		5,000		7
City Developments, Ltd.		1,000		9
Singapore Press Holdings, Ltd.		5,000		16
Singapore Technologies Engineering, Ltd.		4,000		10
Singapore Telecommunications, Ltd.		23,000		57
StarHub, Ltd.		8,000		20
Wilmar International, Ltd.		1,000		4

				133


Switzerland - 13.3%
Actelion, Ltd. (Æ)		952		35
Adecco SA (Æ)		176		9
Aryzta AG (Æ)		103		5
Bank Sarasin & Cie AG		42		1
BKW SA (Æ)		475		17
Cie Financiere Richemont SA		346		22
Clariant AG (Æ)		922		13
Credit Suisse Group AG (Æ)		300		9
Dufry AG (Æ)		26		3
EFG International AG (Æ)		419		4
Galenica AG		24		16
Logitech International SA (Æ)		942		7
Lonza Group AG (Æ)		349		18
Nestle SA		1,669		104
Nobel Biocare Holding AG (Æ)		1,093		14
Novartis AG		1,876		104
Panalpina Welttransport Holding AG		13		1
Roche Holding AG		684		119
Sonova Holding AG (Æ)		82		9
Straumann Holding AG		230		39
Sulzer AG		5		1
Swatch Group AG (The)		122		10
Swatch Group AG (The) Class B		28		13
Swiss Prime Site AG Class A (Æ)		191		16
Swisscom AG		204		82
Syngenta AG		41		14
UBS AG (Æ)		300		4
Vontobel Holding AG (Æ)		100		3

				692


Russell Developed ex-U.S. Low Beta ETF		137

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $


United Kingdom - 12.9%
AstraZeneca PLC - ADR (Æ)		1,414			63
British American Tobacco PLC		2,020			102
BT Group PLC		900			3
Cobham PLC		1,700			6
Diageo PLC		885			21
GlaxoSmithKline PLC - ADR		4,228			94
Imperial Tobacco Group PLC		1,375			56
Inmarsat PLC		414			3
Meggitt PLC		1,891			12
National Grid PLC		1,927			19
Pennon Group PLC		1,278			15
Provident Financial PLC		766			14
Reckitt Benckiser Group PLC		544			31
Rolls-Royce Holdings PLC (Æ)		1,868			24
SABMiller PLC - ADR		246			10
Scottish & Southern Energy PLC		695			15
Severn Trent PLC Class H		1,366			34
Shire PLC - ADR (Æ)		614			20
Smith & Nephew PLC		238			2
United Utilities Group PLC		2,628			25
Vodafone Group PLC - ADR (Æ)		37,472			103

					672


United States - 0.0%
Lululemon Athletica, Inc. Class 3		20			1


Total Common Stocks (cost $4,806)					5,115


Preferred Stocks - 1.0%
Germany - 1.0%
Bayerische Motoren Werke AG		64			4
Henkel AG & Co. KGaA		543			40
Volkswagen AG		52			9

					53


Total Preferred Stocks (cost $45)					53


Short-Term Investments - 0.4%
United States - 0.4%
Russell U.S. Cash Management Fund		19,749	(¥)		20


Total Short-Term Investments (cost $20)					20


Total Investments - 99.6% (identified cost $4,871)					5,188

Other Assets and Liabilities, Net - 0.4%					20


Net Assets - 100.0%					5,208


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands

Foreign Currency Exchange Contracts

Counter
party

Amount
Sold

Amount
Bought

Settlement
Date

Unrealized
Appreciation
(Depreciation)
$

UBS AG

USD

CAD

04/04/12

—

UBS AG

USD

GBP

04/04/12

(—

UBS AG

USD

HKD

112

04/03/12

(—

UBS AG

CHF

USD

04/04/12

—

UBS AG

EUR

USD

04/03/12

—

UBS AG

EUR

USD

04/04/12

—

UBS AG

JPY

4,058

USD

04/04/12

(—

Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts

—

*	Less than $500.

See accompanying notes which are an integral part of the financial statements.


Russell Developed ex-U.S. Low Beta ETF		139

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value										% of Net Assets
Portfolio Summary	Level 1			Level 2		Level 3		Total			% of Net Assets

Common Stocks
Australia	$	21		$	—	$	—	$	21			0.4
Austria		39			—		—		39			0.8
Belgium		87			—		—		87			1.7
Bermuda		98			—		—		98			1.9
Canada		617			—		—		617			11.8
Cayman Islands		28			—		—		28			0.5
Denmark		6			—		—		6			0.1
Finland		27			—		—		27			0.5
France		138			—		—		138			2.7
Germany		325			—		—		325			6.2
Greece		10			—		—		10			0.2
Hong Kong		453			—		—		453			8.7
Ireland		20			—		—		20			0.4
Israel		55			—		—		55			1.1
Japan		1,446			—		—		1,446			27.8
Luxembourg		29			—		—		29			0.6
Netherlands		200			—		—		200			3.8
New Zealand		18			—		—		18			0.3
Singapore		133			—		—		133			2.5
Switzerland		692			—		—		692			13.3
United Kingdom		672			—		—		672			12.9
United States		1			—		—		1			—	*
Preferred Stocks		53			—		—		53			1.0
Short-Term Investments		—			20		—		20			0.4


Total Investments		5,168			20		—		5,188			99.6

Other Assets and Liabilities, Net												0.4

												100.0


Other Financial Instruments
Foreign Currency Exchange Contracts		—	***		—		—		—	***		—	*

Total Other Financial Instruments^**	$	—		$	—	$	—	$	—

*	Less than .05% of net assets.

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

***	Less than $500.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Fair Value of Derivative Instruments — March 31, 2012

Amounts in thousands


Derivatives not accounted for as hedging instruments	Foreign Currency Contracts

Location: Statement of Assets and Liabilities - Assets
Unrealized appreciation on foreign currency exchange contracts	$	—	*

Location: Statement of Assets and Liabilities - Liabilities
Unrealized depreciation on foreign currency exchange contracts	$	—	*


Derivatives not accounted for as hedging instruments	Foreign Currency Contracts
Location: Statement of Operations - Net realized gain (loss)
Foreign currency-related transactions	$	(1	)

Location: Statement of Operations - Net change in unrealized appreciation (depreciation)
Foreign currency-related transactions	$	—	*

For further disclosure on derivatives see note 2 in Notes to Financial Statements.

Less than $500.

See accompanying notes which are an integral part of the financial statements.


Russell Developed ex-U.S. Low Beta ETF		141

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Developed ex- U.S. Low Beta ETF

Assets
Investments, at identified cost	$	4,871
Investments, at market*		5,188
Foreign currency holdings**		6
Unrealized appreciation on foreign currency exchange contracts		—
Receivables:
Dividends		29
Investments sold		229
Foreign taxes recoverable		2

Total assets		5,454


Liabilities
Payables:
Investments purchased		245
Accrued fees to affiliates		1
Unrealized depreciation on foreign currency exchange contracts		—

Total liabilities		246


Net Assets	$	5,208

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	20
Accumulated net realized gain (loss)		(9	)
Unrealized appreciation (depreciation) on:
Investments		317
Foreign currency-related transactions		—
Additional paid-in capital		4,880

Net Assets	$	5,208

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.08
Net assets	$	5,208,361
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	20
** Foreign currency holdings - cost	$	6

(a)

Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	142			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Developed ex- U.S. Low Beta ETF*

Investment Income
Dividends	$	69
Less foreign taxes withheld		(5	)

Total investment income		64


Expenses
Management fees		12
Trustee and trustee related fees		6

Expenses before reductions		18
Expense reductions		(13	)

Net expenses		5

Net investment income (loss)		59


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(9	)
In-kind redemptions		—
Foreign currency-related transactions		(1	)

Net realized gain (loss)		(10	)

Net change in unrealized appreciation (depreciation) on:
Investments		317
Foreign currency-related transactions		—

Net change in unrealized appreciation (depreciation)		317

Net realized and unrealized gain (loss)		307

Net Increase (Decrease) in Net Assets from Operations	$	366

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		143

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell Developed ex-U.S. Low Beta ETF

Amounts in thousands	2012*
Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	59
Net realized gain (loss)		(10	)
Net change in unrealized appreciation (depreciation)		317

Net increase (decrease) in net assets from operations		366


Distributions
From net investment income		(38	)

Net decrease in net assets from distributions		(38	)


Share Transactions
Net increase (decrease) in net assets from share transactions		4,880

Total Net Increase (Decrease) in Net Assets		5,208

Net Assets
Beginning of period		—

End of period	$	5,208

Undistributed (overdistributed) net investment income included in net assets	$	20

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	144			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.



	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income
Russell Developed ex-U.S. Low Beta ETF
March 31, 2012*		48.80		.59		3.07		3.66		(.38	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	146			Financial Highlights


$ Total Distributions			$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	(.38	)		52.08		7.53		5,208		.87		.25		2.91		26

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		147

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma Developed ex- U.S. Large Cap Low Volatility Index**
Inception*		6.55	%		7.43	%		6.70	%


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Developed ex-U.S. Low Volatility ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma Developed ex-U.S. Large Cap Low Volatility Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell-Axioma Developed ex-U.S. Large Cap Low Volatility Index, which is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma AX-WW 2.1 World-Wide ex-USA Equity Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 6.55%. This is compared to the Fund’s benchmark, the Russell-Axioma Developed ex-U.S. Large Cap Low Volatility Index, which gained 6.70% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Information technology was the best performing sector for the Fund and the Index, while telecommunication services was the worst performing sector. Consumer staples, with an average weight of 24.8% was the best contributor to Fund and Index returns. Telecommunication services, with an average weight of 9.6%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Royal Bank of Canada, Anheuser-Busch InBev, and Toronto-Dominion Bank generated positive returns and contributed the most to Fund performance while Tesco PLC, France Telecom, and Koninklijke KPN NV, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares November 3, 2011.

The Russell-Axioma Developed ex-U.S. Low Volatility Index is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma AX-WW 2.1 World-Wide ex-USA Equity Factor Risk model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. Stocks exhibiting high or low volatility can be used by investors to adjust volatility exposure in a portfolio.


Russell Developed ex-U.S. Low Volatility ETF		149

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
November 3, 2011	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,065.50	$	1,023.75
Expenses Paid During Period*	$	1.06	$	1.26


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 98.9%
Australia - 6.9%
AGL Energy, Ltd.		161		2
Amcor, Ltd. (Æ)		636		5
ASX, Ltd. - ADR		197		7
Australia & New Zealand Banking Group, Ltd. - ADR		1,003		24
BHP Billiton, Ltd. - ADR		330		12
CFS Retail Property Trust (ö)		3,581		7
Coca-Cola Amatil, Ltd.		119		2
Commonwealth Bank of Australia - ADR		1,805		95
CSL, Ltd.		594		22
Dexus Property Group (ö)		4,918		4
GPT Group (ö)		1,467		5
Insurance Australia Group, Ltd.		462		2
Metcash, Ltd.		1,847		8
National Australia Bank, Ltd. - ADR		291		7
Orica, Ltd.		127		4
Origin Energy, Ltd.		236		3
Qantas Airways, Ltd. (Æ)		3		—	±
Rio Tinto, Ltd. - ADR		93		6
TABCORP Holdings, Ltd.		1,501		4
Telstra Corp., Ltd.		7,754		26
Toll Holdings, Ltd.		334		2
Wesfarmers, Ltd.		585		18
Westfield Group (ö)		1,854		17
Westfield Retail Trust (ö)		2,429		6
Westpac Banking Corp.		488		11
Woolworths, Ltd.		2,052		55

				354


Belgium - 1.7%
Anheuser-Busch InBev NV		960		70
Belgacom SA		174		6
Colruyt SA		101		4
Delhaize Group SA		59		3
Groupe Bruxelles Lambert SA		21		1
Mobistar SA		63		3

				87


Canada - 13.5%
Agrium, Inc.		33		3
Atco, Ltd.		16		1
Bank of Montreal		689		41
Bank of Nova Scotia		919		51
BCE, Inc.		989		40
Bell Aliant, Inc.		684		19
Canadian Imperial Bank of Commerce		580		44
Canadian National Railway Co.		302		24
Canadian Natural Resources, Ltd.		22		1
Canadian Pacific Railway, Ltd.		28		2
Canadian Utilities, Ltd. Class A		132		9
Crescent Point Energy Corp.		192		8
Empire Co., Ltd. Class A		92		5
Enbridge, Inc.		1,289		50
Enerplus Corp.		115		3
George Weston, Ltd.		99		6


	Principal Amount ($) or Shares		Market Value $
Great-West Lifeco, Inc.		324		8
Husky Energy, Inc.		93		2
Imperial Oil, Ltd.		222		10
Industrial Alliance Insurance & Financial Services, Inc. (Þ)		81		2
Intact Financial Corp.		65		4
Loblaw Cos., Ltd.		145		5
Magna International, Inc. Class A		189		9
Manitoba Telecom Services, Inc. - ADR		266		9
Manulife Financial Corp.		639		9
Metro, Inc. Class A		525		28
National Bank of Canada		108		9
Potash Corp. of Saskatchewan, Inc.		116		5
Research In Motion, Ltd. (Æ)		53		1
Rogers Communications, Inc. Class B		405		16
Royal Bank of Canada - GDR		1,422		82
Saputo, Inc. - ADR		378		16
Shaw Communications, Inc. Class B		157		3
Shoppers Drug Mart Corp.		383		17
Sun Life Financial, Inc.		214		5
Suncor Energy, Inc.		74		2
TELUS Corp.		219		13
TELUS Corp. Class A		18		1
Toronto-Dominion Bank (The)		1,007		86
TransCanada Corp.		1,012		43
Valeant Pharmaceuticals International, Inc. (Æ)		21		1

				693


Denmark - 1.2%
Coloplast A/S Class B		8		1
FLSmidth & Co. A/S		28		2
Novo Nordisk A/S Class B		419		59
Pandora A/S		125		1
TDC A/S		197		1

				64


Finland - 0.2%
Fortum OYJ		182		5
Orion OYJ Class B		161		3
Outokumpu OYJ (Æ)		50		—	±
Stora Enso OYJ Class R		550		4

				12


France - 7.8%
Air France-KLM (Æ)		70		—	±
Air Liquide SA Class A		164		22
Alcatel-Lucent - ADR (Æ)		573		1
BioMerieux		37		3
Casino Guichard Perrachon SA (Æ)		60		6
Cie Generale d’Optique Essilor International SA		345		31
Danone		654		46
France Telecom SA - ADR		2,822		42
Iliad SA		5		1
L’Oreal SA		304		37


Russell Developed ex-U.S. Low Volatility ETF		151

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

LVMH Moet Hennessy Louis Vuitton SA - ADR		4		1
Pernod-Ricard SA		152		16
Peugeot SA		225		4
PPR		3		1
Sanofi - ADR		1,022		78
Societe BIC SA		30		3
Suez Environnement Co.		195		3
Total SA		1,782		90
Unibail-Rodamco SE (ö)		35		7
Vivendi SA - ADR		470		9

				401


Germany - 6.0%
Adidas AG		33		3
Aixtron SE NA		200		3
BASF SE		193		17
Bayer AG		73		5
Beiersdorf AG (Æ)		265		17
Daimler AG		46		3
Deutsche Lufthansa AG		400		6
Deutsche Telekom AG		2,335		28
E.ON AG		24		1
Fresenius Medical Care AG & Co. KGaA		116		8
Fresenius SE & Co. KGaA		11		1
Henkel AG & Co. KGaA		204		13
Infineon Technologies AG - ADR		600		6
K+S AG		7		—	±
Kloeckner & Co. SE		100		1
Linde AG		52		9
Merck KGaA		182		20
Metro AG		42		2
MTU Aero Engines Holding AG		85		7
Rhoen Klinikum AG		525		11
RWE AG		20		1
SAP AG - ADR		855		60
Siemens AG		894		89

				311


Hong Kong - 1.7%
Champion REIT (AE)(ö)		4,000		2
CLP Holdings, Ltd.		2,000		17
Hang Seng Bank, Ltd.		200		3
Hong Kong & China Gas Co., Ltd.		9,000		22
Link REIT (The) (ö)		2,500		9
MTR Corp.		5,500		20
Power Assets Holdings, Ltd.		2,000		15

				88


Ireland - 0.1%
Kerry Group PLC Class A		116		5


Isle of Man - 0.1%
Genting Singapore PLC (Æ)		3,000		4


Israel - 1.0%
Cellcom Israel, Ltd.		48		1


	Principal Amount ($) or Shares		Market Value $
Check Point Software Technologies, Ltd. (Æ)		98		6
Partner Communications Co., Ltd.		79		1
Teva Pharmaceutical Industries, Ltd.		1,010		44

				52


Italy - 1.7%
Autogrill SpA (Æ)		908		10
Banca Monte dei Paschi di Siena SpA		1,583		1
Buzzi Unicem SpA (Æ)		550		6
Edison SpA (Æ)		4,499		5
ENI SpA - ADR		2,070		49
Finmeccanica SpA		625		3
Parmalat SpA		499		1
Snam Rete Gas SpA		1,055		5
Terna Rete Elettrica Nazionale SpA		750		3
Tod’s SpA		39		4

				87


Japan - 11.4%
Aeon Co., Ltd.		600		8
Ajinomoto Co., Inc.		1,000		13
Asahi Group Holdings, Ltd.		600		13
Asahi Kasei Corp.		1,000		6
Astellas Pharma, Inc.		800		32
Canon, Inc.		100		5
Chugai Pharmaceutical Co., Ltd.		500		9
Coca-Cola West Co., Ltd.		200		4
Dentsu, Inc.		100		3
East Japan Railway Co.		200		13
Eisai Co., Ltd.		600		24
FamilyMart Co., Ltd.		300		13
Hisamitsu Pharmaceutical Co., Inc.		100		5
Isuzu Motors, Ltd.		1,000		6
Kao Corp.		1,200		32
Kirin Holdings Co., Ltd.		1,000		13
Lawson, Inc.		200		13
McDonald’s Holdings Co. Japan, Ltd.		1,100		29
Medipal Holdings Corp.		100		1
MEIJI Holdings Co., Ltd.		100		4
Nagoya Railroad Co., Ltd. (Æ)		2,000		6
Namco Bandai Holdings, Inc.		100		1
Nippon Telegraph & Telephone Corp.		200		9
Nisshin Seifun Group, Inc.		1,000		12
Nissin Foods Holdings Co., Ltd.		400		15
Nitori Holdings Co., Ltd.		50		5
NTT DoCoMo, Inc.		18		30
Odakyu Electric Railway Co., Ltd.		1,000		10
Oriental Land Co., Ltd.		100		11
Osaka Gas Co., Ltd.		3,000		12
Otsuka Holdings Co., Ltd.		600		18
Secom Co., Ltd. (Æ)		300		15
Seven & I Holdings Co., Ltd.		900		27
Shin-Etsu Chemical Co., Ltd.		100		6
Shiseido Co., Ltd.		1,100		19
Sumitomo Mitsui Financial Group, Inc.		100		3
Suzuken Co., Ltd.		100		3


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Takeda Pharmaceutical Co., Ltd.		1,300		57
Tobu Railway Co., Ltd.		3,000		16
Toho Co., Ltd.		600		11
Tokyo Gas Co., Ltd.		4,000		19
Tsumura & Co.		400		12
Unicharm Corp.		200		11
USS Co., Ltd.		70		7
West Japan Railway Co.		200		8

				589


Jersey - 0.5%
Experian PLC		1,193		19
United Business Media, Ltd.		329		3
WPP PLC		252		3

				25


Netherlands - 3.9%
Akzo Nobel NV		161		9
Heineken Holding NV		155		7
Heineken NV		287		16
Koninklijke Ahold NV		1,601		22
Koninklijke DSM NV		63		4
Koninklijke KPN NV		2,873		33
Nutreco NV		12		1
Reed Elsevier NV (Æ)		334		4
TNT NV - ADR (Æ)		700		4
Unilever NV		2,456		84
Wereldhave NV (ö)		94		7
Wolters Kluwer NV		447		8

				199


New Zealand - 0.0%
Fletcher Building, Ltd.		344		2


Norway - 0.2%
Marine Harvest ASA		3,500		2
Orkla ASA		270		2
Renewable Energy Corp. ASA (Æ)		1,500		1
Statoil ASA Class N		114		3

				8


Portugal - 0.2%
Redes Energeticas Nacionais SA		2,763		8


Singapore - 0.8%
Ascendas Real Estate Investment Trust (Æ)(ö)		9,000		14
Oversea-Chinese Banking Corp., Ltd.		1,000		7
Singapore Technologies Engineering, Ltd.		1,000		3
Singapore Telecommunications, Ltd.		1,000		3
United Overseas Bank, Ltd.		1,000		14

				41


Spain - 2.3%
Amadeus IT Holding SA Class A		290		5
Bankia SA (Æ)		2,590		9


	Principal Amount ($) or Shares		Market Value $
Enagas SA		161		3
Iberdrola SA		1,083		6
Inditex SA		81		8
Indra Sistemas SA		415		5
Red Electrica Corp. SA		217		11
Tecnicas Reunidas SA (Æ)		252		10
Telefonica SA - ADR		3,776		63

				120


Sweden - 0.8%
Hennes & Mauritz AB Class B		679		23
Holmen AB Class B (Æ)		137		4
Securitas AB Class B		250		2
Svenska Cellulosa AB Class A		30		1
Svenska Cellulosa AB Class B		29		1
Swedish Match AB		65		3
TeliaSonera AB		658		5

				39


Switzerland - 10.6%
ABB, Ltd. (Æ)		167		3
Actelion, Ltd. (Æ)		189		7
Adecco SA (Æ)		9		—	±
Aryzta AG (Æ)		58		3
Bank Sarasin & Cie AG		200		6
Cie Financiere Richemont SA		96		6
Clariant AG (Æ)		85		1
Geberit AG (Æ)		60		13
Givaudan SA (Æ)		5		5
Kuehne & Nagel International AG		11		1
Lonza Group AG (Æ)		64		3
Nestle SA		1,657		105
Nobel Biocare Holding AG (Æ)		297		4
Novartis AG		1,864		104
Roche Holding AG		720		127
Sonova Holding AG (Æ)		102		11
Swiss Life Holding AG (Æ)		44		5
Swiss Prime Site AG Class A (Æ)		221		18
Swisscom AG		129		52
Syngenta AG		68		23
Zurich Financial Services AG (Æ)		178		48

				545


United Kingdom - 26.3%
AMEC PLC - GDR		315		6
Asos PLC		50		1
Associated British Foods PLC		1,526		30
AstraZeneca PLC - ADR (Æ)		2,039		91
BAE Systems PLC		562		3
BG Group PLC		552		13
BP PLC		4,933		36
British American Tobacco PLC		2,031		103
British Land Co. PLC (ö)		119		1
British Sky Broadcasting Group PLC		1,805		19
BT Group PLC		1,765		6
Bunzl PLC		314		5


Russell Developed ex-U.S. Low Volatility ETF		153

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Cable & Wireless Communications PLC		406		—	±
Capita PLC		412		5
Capital Shopping Centres Group PLC Class H (ö)		157		1
Centrica PLC		4,037		20
Cobham PLC		762		3
Compass Group PLC		2,294		24
Diageo PLC		2,558		61
G4S PLC		2,176		9
GlaxoSmithKline PLC - ADR		4,296		97
HSBC Holdings PLC		10,407		92
Imperial Tobacco Group PLC		1,036		42
Inchcape PLC		67		—	±
Inmarsat PLC		309		2
Intercontinental Hotels Group PLC		250		6
J Sainsbury PLC		2,684		13
John Wood Group PLC		38		—	±
Marks & Spencer Group PLC		183		1
National Grid PLC		4,017		40
Next PLC		91		4
Pearson PLC		1,712		32
Reckitt Benckiser Group PLC		805		45
Reed Elsevier PLC		1,401		12
Rexam PLC		535		4
Royal Dutch Shell PLC Class A		2,915		103
Royal Dutch Shell PLC Class B		2,561		90
RSA Insurance Group PLC		507		1
SABMiller PLC - ADR		395		16
Scottish & Southern Energy PLC		1,798		38
Serco Group PLC		591		5
Severn Trent PLC Class H		599		15
Shire PLC - ADR (Æ)		493		16
Smith & Nephew PLC		782		8
Smiths Group PLC		278		5
Tate & Lyle PLC		523		6
Tesco PLC		3,019		16
Unilever PLC		1,659		55
United Utilities Group PLC		1,810		17
Vodafone Group PLC - ADR (Æ)		36,550		102
Whitbread PLC		353		10
William Hill PLC		159		1
WM Morrison Supermarkets PLC		4,887		23

				1,354


Total Common Stocks (cost $4,839)				5,088


Preferred Stocks - 0.4%
Germany - 0.4%
Henkel AG & Co. KGaA		258		19
Porsche Automobil Holding SE		30		2
RWE AG		22		1

				22


Total Preferred Stocks (cost $18)				22


	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.2%
United States - 0.2%
Russell U.S. Cash Management Fund		10,606	(¥)		11


Total Short-Term Investments (cost $11)					11


Total Investments - 99.5% (identified cost $4,868)					5,121

Other Assets and Liabilities, Net - 0.5%					26


Net Assets - 100.0%					5,147

See accompanying notes which are an integral part of the financial statements.


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands

Foreign Currency Exchange Contracts

Counter
party

Amount
Sold

Amount
Bought

Settlement
Date

Unrealized
Appreciation
(Depreciation)
$

UBS AG

USD

EUR

04/03/12

(—

UBS AG

USD

103

EUR

04/04/12

(—

UBS AG

USD

GBP

04/04/12

(—

UBS AG

USD

HKD

04/03/12

(—

UBS AG

USD

SEK

04/04/12

(—

UBS AG

CHF

USD

04/04/12

—

UBS AG

JPY

2,147

USD

04/04/12

(—

Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts

(—

*	Less than $500.

See accompanying notes which are an integral part of the financial statements.


Russell Developed ex-U.S. Low Volatility ETF		155

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value										% of Net Assets
Portfolio Summary	Level 1			Level 2		Level 3		Total			% of Net Assets

Common Stocks
Australia	$	346		$	—	$	8	$	354			6.9
Belgium		87			—		—		87			1.7
Canada		693			—		—		693			13.5
Denmark		64			—		—		64			1.2
Finland		12			—		—		12			0.2
France		401			—		—		401			7.8
Germany		311			—		—		311			6.0
Hong Kong		88			—		—		88			1.7
Ireland		5			—		—		5			0.1
Isle of Man		4			—		—		4			0.1
Israel		52			—		—		52			1.0
Italy		87			—		—		87			1.7
Japan		589			—		—		589			11.4
Jersey		25			—		—		25			0.5
Netherlands		199			—		—		199			3.9
New Zealand		2			—		—		2			—	*
Norway		8			—		—		8			0.2
Portugal		8			—		—		8			0.2
Singapore		41			—		—		41			0.8
Spain		120			—		—		120			2.3
Sweden		39			—		—		39			0.8
Switzerland		545			—		—		545			10.6
United Kingdom		1,354			—		—		1,354			26.3
Preferred Stocks		22			—		—		22			0.4
Short-Term Investments		—			11		—		11			0.2


Total Investments		5,102			11		8		5,121			99.5

Other Assets and Liabilities, Net												0.5


												100.0

Other Financial Instruments
Foreign Currency Exchange Contracts		(—	)***		—		—		(—	)***		(—	)*


Total Other Financial Instruments^**	$	(—	)	$	—	$	—	$	(—	)

Less than .05% of net assets.

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

***

Less than $500.

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

Investments in which significant unobservable inputs (Level 3) used in determining a value for the period ending March 31, 2012 were less than 1% of net assets.

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Fair Value of Derivative Instruments — March 31, 2012

Amounts in thousands


Derivatives not accounted for as hedging instruments	Foreign Currency Contracts

Location: Statement of Assets and Liabilities - Assets
Unrealized appreciation on foreign currency exchange contracts	$	—	*

Location: Statement of Assets and Liabilities - Liabilities
Unrealized depreciation on foreign currency exchange contracts	$	—	*


Derivatives not accounted for as hedging instruments	Foreign Currency Contracts
Location: Statement of Operations - Net realized gain (loss)
Foreign currency-related transactions	$	(1	)

Location: Statement of Operations - Net change in unrealized appreciation (depreciation)
Foreign currency-related transactions	$	(—	)*

For further disclosure on derivatives see note 2 in Notes to Financial Statements.

*	Less than $500.

See accompanying notes which are an integral part of the financial statements.


Russell Developed ex-U.S. Low Volatility ETF		157

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Developed ex- U.S. Low Volatility ETF

Assets
Investments, at identified cost	$	4,868
Investments, at market*		5,121
Foreign currency holdings**		9
Unrealized appreciation on foreign currency exchange contracts		—
Receivables:
Dividends		24
Investments sold		187
Foreign taxes recoverable		3

Total assets		5,344


Liabilities
Payables:
Investments purchased		196
Accrued fees to affiliates		1
Unrealized depreciation on foreign currency exchange contracts		—

Total liabilities		197


Net Assets	$	5,147

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	14
Accumulated net realized gain (loss)		(3	)
Unrealized appreciation (depreciation) on:
Investments		253
Foreign currency-related transactions		—
Additional paid-in capital		4,883

Net Assets	$	5,147

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.47
Net assets	$	5,146,830
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	11
** Foreign currency holdings - cost	$	9

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	158			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Developed ex- U.S. Low Volatility ETF*

Investment Income
Dividends	$	81
Less foreign taxes withheld		(6	)

Total investment income		75


Expenses
Management fees		12
Trustee and trustee related fees		6

Expenses before reductions		18
Expense reductions		(13	)

Net expenses		5

Net investment income (loss)		70


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(2	)
In-kind redemptions		—
Foreign currency-related transactions		(2	)

Net realized gain (loss)		(4	)

Net change in unrealized appreciation (depreciation) on:
Investments		253
Foreign currency-related transactions		—

Net change in unrealized appreciation (depreciation)		253

Net realized and unrealized gain (loss)		249

Net Increase (Decrease) in Net Assets from Operations	$	319

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		159

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Developed ex-U.S. Low Volatility ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	70
Net realized gain (loss)		(4	)
Net change in unrealized appreciation (depreciation)		253

Net increase (decrease) in net assets from operations		319


Distributions
From net investment income		(55	)

Net decrease in net assets from distributions		(55	)


Share Transactions
Net increase (decrease) in net assets from share transactions		4,883

Total Net Increase (Decrease) in Net Assets		5,147

Net Assets
Beginning of period		—

End of period	$	5,147

Undistributed (overdistributed) net investment income included in net assets	$	14

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	160			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Developed ex-U.S. Low Volatility ETF
March 31, 2012*		48.83		.70		2.48		3.18		(.54	)		(.54	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	162			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	51.47		6.55		5,147		.87		.25		3.44		25

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		163

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO

Performance as of March 31, 2012



Average Annual Total Return
	Net Asset Value			Market Value			Russell-Axioma Developed ex-U.S. Large Cap High Momentum Index**
Inception*		5.95	%		6.48	%		6.05	%


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Developed ex-U.S. High Momentum ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell-Axioma Developed ex-U.S. Large Cap High Momentum Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund seeks to gain exposure to the factor exhibited in its Index. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell — Axioma Developed ex-U.S. Large Cap High Momentum Index, which is designed to deliver exposure to stocks with high medium-term momentum as determined by a screening and ranking methodology applied to the output of the Axioma AX-WW 2.1 World-Wide ex-USA Equity Factor Risk model.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 5.95%. This is compared to the Fund’s benchmark, the Russell-Axioma Developed ex-U.S. Large Cap High Momentum Index, which gained 6.05% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Financials was the best performing sector for the Fund and the Index, while utilities was the worst performing sector. Financials, with an average weight of 14.7% was the best contributor to Fund and Index returns. Telecommunication services, with an average weight of 9.9%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Scor SE, Euler Hermes SA, and Novo Nordisk A/S generated positive returns and contributed the most to Fund performance while Telefonica SA, Trilogy Energy Corp, and Sanrio Co Ltd, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares November 3, 2011.

The Russell-Axioma Developed ex-U.S. High Momentum Index is designed to deliver exposure to stocks with high medium-term momentum as determined by a screening and ranking methodology applied to the output of the Axioma AX-WW 2.1 World-Wide ex-USA Equity Factor Risk model. Medium-term momentum is a measure of a stock’s past price performance as measured by cumulative return over the last 250 trading days, excluding the last 20 trading days. Stocks exhibiting high momentum can be used by investors to adjust momentum exposure in a portfolio.


Russell Developed ex-U.S. High Momentum ETF		165

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
November 3, 2011	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,059.50	$	1,023.75
Ending Account Value
Expenses Paid During the Period*	$	1.06	$	1.26


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 98.0%
Australia - 5.5%
AGL Energy, Ltd.		562		9
Australia & New Zealand Banking Group, Ltd. - ADR		1,095		26
CFS Retail Property Trust (ö)		2,320		4
Coca-Cola Amatil, Ltd.		929		12
Commonwealth Bank of Australia - ADR		738		38
GPT Group (ö)		5,455		18
Iluka Resources, Ltd.		1,660		31
Mirvac Group Class REIT (ö)		874		1
National Australia Bank, Ltd. - ADR		75		2
New Hope Corp., Ltd.		955		5
QR National, Ltd.		3,426		13
Tatts Group, Ltd.		3,492		9
Telstra Corp., Ltd.		14,270		49
Treasury Wine Estates, Ltd.		1,547		7
Washington H Soul Pattinson & Co., Ltd.		326		5
Wesfarmers, Ltd.		867		27
Westfield Group (ö)		261		2
Westpac Banking Corp.		126		3
Woolworths, Ltd.		685		18

				279


Austria - 0.0%
Raiffeisen Bank International AG		60		2


Belgium - 0.7%
Anheuser-Busch InBev NV		251		18
Colruyt SA		65		3
Delhaize Group SA		44		2
D’ieteren SA		253		12
Mobistar SA		35		2

				37


Bermuda - 1.3%
Dairy Farm International Holdings, Ltd.		900		9
First Pacific Co., Ltd./Hong Kong		18,000		20
Jardine Matheson Holdings, Ltd.		400		21
Jardine Strategic Holdings, Ltd.		500		15

				65


Canada - 12.8%
ARC Resources, Ltd.		276		6
Atco, Ltd. Class I		10		1
Bank of Montreal		386		23
Bank of Nova Scotia		623		35
Baytex Energy Corp.		601		31
BCE, Inc.		1,963		79
Bell Aliant, Inc.		1,049		29
Canadian Imperial Bank of Commerce		37		3
Canadian National Railway Co.		153		12
Canadian Utilities, Ltd. Class A		127		8
Centerra Gold, Inc.		238		4
CGI Group, Inc. Class A (Æ)		558		12
Crescent Point Energy Corp.		314		13
Empire Co., Ltd. Class A		211		12


	Principal Amount ($) or Shares		Market Value $
Fairfax Financial Holdings, Ltd.		31		12
Genworth MI Canada, Inc.		324		7
H&R Real Estate Investment Trust (ö)		1,089		26
Jean Coutu Group PJC, Inc. (The) Class A		5,378		76
Keyera Corp.		453		19
Manitoba Telecom Services, Inc. - ADR		236		8
National Bank of Canada		335		27
New Gold, Inc. (Æ)		1,632		16
Power Corp. of Canada		81		2
Royal Bank of Canada - GDR		891		52
TELUS Corp. Class A		458		26
TELUS Corp.		350		20
Tim Hortons, Inc.		39		2
Toronto-Dominion Bank (The)		342		29
Tourmaline Oil Corp. (Æ)		78		2
TransCanada Corp.		99		4
Trilogy Energy Corp.		1,068		28
Valeant Pharmaceuticals International, Inc. (Æ)		588		31

				655


Cayman Islands - 0.4%
Sands China, Ltd.		2,400		9
Wynn Macau, Ltd.		4,400		13

				22


Denmark - 2.5%
Carlsberg A/S Class B		150		12
Coloplast A/S Class B		120		21
Novo Nordisk A/S Class B		673		93
Novozymes A/S Class B		45		1

				127


Finland - 0.4%
Fortum OYJ		285		7
Kone OYJ Class B		26		1
Nokian Renkaat OYJ		82		4
Sampo OYJ Class A		365		11

				23


France - 6.4%
Air Liquide SA Class A		106		14
Arkema SA		55		5
Christian Dior SA		46		7
Cie Generale d’Optique Essilor International SA		82		7
Danone		352		25
France Telecom SA - ADR		1,617		24
GDF Suez		135		3
Hermes International		217		73
L’Oreal SA		71		9
LVMH Moet Hennessy Louis Vuitton SA -ADR		129		22
Pernod-Ricard SA		144		15
Sanofi - ADR		659		51
SCOR SE - ADR		118		3


Russell Developed ex-U.S. High Momentum ETF		167

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Sodexo		81		7
Total SA		864		44
Unibail-Rodamco SE (ö)		19		4
Vivendi SA - ADR		140		3
Zodiac Aerospace		114		12

				328


Germany - 6.0%
BASF SE		490		42
Bayer AG		197		14
Bayerische Motoren Werke AG		496		44
Continental AG		6		1
Deutsche Telekom AG		1,711		21
E.ON AG		255		6
Fresenius Medical Care AG & Co. KGaA		212		15
Fresenius SE & Co. KGaA		92		9
Henkel AG & Co. KGaA		311		19
Infineon Technologies AG - ADR		839		9
Merck KGaA		280		31
MTU Aero Engines Holding AG		74		6
Muenchener Rueckversicherungs AG		64		10
SAP AG - ADR		294		20
Siemens AG		354		36
Sky Deutschland AG (Æ)		1,500		4
Volkswagen AG		110		18

				305


Guernsey - 0.2%
Resolution, Ltd.		2,200		9


Hong Kong - 1.5%
Galaxy Entertainment Group, Ltd. (Æ)		6,000		17
Hang Lung Group, Ltd.		1,000		6
Hang Lung Properties, Ltd. - ADR		1,000		4
Link REIT (The) (ö)		3,000		11
SJM Holdings, Ltd.		8,000		16
Sun Hung Kai Properties, Ltd.		1,000		12
Wharf Holdings, Ltd.		2,000		11

				77


Ireland - 1.2%
CRH PLC		475		10
Elan Corp. PLC (Æ)		3,351		49

				59


Israel - 0.4%
Check Point Software Technologies, Ltd. (Æ)		324		21


Italy - 1.2%
Banca Monte dei Paschi di Siena SpA		4,322		2
ENI SpA - ADR		1,092		25
Lottomatica SpA		105		2
Pirelli & C SpA - ADR		975		12
Prada SpA (Æ)		1,500		10
Salvatore Ferragamo Italia SpA (Æ)		525		11

				62


	Principal Amount ($) or Shares			Market Value $
Japan - 15.1%
Acom Co., Ltd. (Æ)		2,340			53
Aozora Bank, Ltd. (Æ)		2,000			6
Bridgestone Corp.		300			7
Coca-Cola West Co., Ltd.		100			2
Dainippon Sumitomo Pharma Co., Ltd.		1,300			14
Eisai Co., Ltd.		500			20
Fast Retailing Co., Ltd.		200			46
Fukuoka Financial Group, Inc.		1,000			4
Gree, Inc.		1,200			30
Hino Motors, Ltd.		5,000			36
Hisamitsu Pharmaceutical Co., Inc.		300			14
Hitachi, Ltd.		3,000			19
Isuzu Motors, Ltd.		10,000			59
Itochu Techno-Solutions Corp.		200			9
JX Holdings, Inc.		400			2
Keisei Electric Railway Co., Ltd.		1,000			8
Konami Corp.		900			26
Lawson, Inc.		400			25
Medipal Holdings Corp.		3,900			51
Mitsubishi Heavy Industries, Ltd.		1,000			5
Mitsubishi UFJ Lease & Finance Co., Ltd.		60			3
Namco Bandai Holdings, Inc.		800			12
Nikon Corp.		800			24
Nippon Paper Group, Inc.		100			2
Nippon Telegraph & Telephone Corp.		300			14
Nissan Motor Co., Ltd.		300			3
Nitori Holdings Co., Ltd.		50			5
NOK Corp.		400			9
NTT DoCoMo, Inc.		7			12
OJI Paper Co., Ltd.		1,000			5
Ono Pharmaceutical Co., Ltd.		1,000			57
Otsuka Holdings Co., Ltd.		1,000			30
Rakuten, Inc.		20			21
Sanrio Co., Ltd.		700			27
Santen Pharmaceutical Co., Ltd.		300			13
Secom Co., Ltd. (Æ)		100			5
Sega Sammy Holdings, Inc.		200			4
Seven & I Holdings Co., Ltd.		300			9
Taisho Pharmaceutical Holdings Co., Ltd. (Æ)		100			8
Takeda Pharmaceutical Co., Ltd.		500			22
Tokyo Gas Co., Ltd.		2,000			9
Toray Industries, Inc.		1,000			7
Unicharm Corp.		600			32
Yamato Holdings Co., Ltd.		300			5

			��		774


Jersey - 0.6%
Experian PLC		1,022			16
Petrofac, Ltd.		215			6
Randgold Resources, Ltd.		49			4
Wolseley PLC		166			6

					32


Netherlands - 1.6%
ASML Holding NV Class G		272			13


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

European Aeronautic Defence and Space Co. NV		92		4
Gemalto NV		39		3
Koninklijke Ahold NV		789		11
Koninklijke Boskalis Westminster NV		95		4
Koninklijke DSM NV		65		4
Nutreco NV		32		2
NXP Semiconductor NV (Æ)		102		3
Unilever NV		1,153		38

				82


Norway - 0.4%
Kongsberg Gruppen AS		590		11
Statoil ASA Class N		404		11

				22


Singapore - 0.2%
Keppel Land, Ltd.		3,000		8


Spain - 2.7%
Acciona SA		169		12
ACS Actividades de Construccion y Servicios SA		7		—	±
Endesa SA - ADR		154		3
Gas Natural SDG SA		1,438		23
Iberdrola SA		857		5
Inditex SA		157		15
Mapfre SA		2,150		7
Repsol YPF SA - ADR		1,171		29
Telefonica SA - ADR		2,799		46

				140


Sweden - 1.7%
Assa Abloy AB Class B		108		3
Atlas Copco AB Class A		290		7
Elekta AB Class B		5		—	±
Hennes & Mauritz AB Class B		711		27
Lundin Petroleum AB (Æ)		772		16
Meda AB Class A		1,950		19
Svenska Handelsbanken AB Class A (Æ)		30		1
Swedish Match AB		160		6
Telefonaktiebolaget LM Ericsson Class B		548		6
TeliaSonera AB		341		2

				87


Switzerland - 6.7%
ABB, Ltd. (Æ)		503		10
Actelion, Ltd. (Æ)		65		2
Cie Financiere Richemont SA		184		12
Nestle SA		1,641		103
Novartis AG		1,236		68
Roche Holding AG		574		100
Swiss Re AG		542		35
Syngenta AG		10		3
Zurich Financial Services AG (Æ)		44		12

				345


	Principal Amount ($) or Shares		Market Value $
United Kingdom - 27.8%
Aggreko PLC		1,399		50
AMEC PLC - GDR		291		5
Amlin PLC		2,001		11
Anglo American PLC		493		18
ARM Holdings PLC		1,386		13
Associated British Foods PLC		535		10
AstraZeneca PLC - ADR (Æ)		515		23
Aviva PLC		600		3
BAE Systems PLC		661		3
BG Group PLC		2,505		58
BHP Billiton PLC		1,135		35
BP PLC		6,598		49
British American Tobacco PLC		2,012		102
British Land Co. PLC (ö)		1,539		12
British Sky Broadcasting Group PLC		844		9
Burberry Group PLC		1,212		29
Compass Group PLC		3,188		33
Diageo PLC		1,297		31
Drax Group PLC		2,026		18
GlaxoSmithKline PLC - ADR		4,228		95
Hammerson PLC (ö)		342		2
HSBC Holdings PLC		5,345		47
IMI PLC - ADR		854		13
Imperial Tobacco Group PLC		1,042		42
Inchcape PLC		1,049		6
Investec PLC		434		3
J Sainsbury PLC		1,330		7
Johnson Matthey PLC Class H		38		1
Kingfisher PLC		4,370		21
Land Securities Group PLC (ö)		715		8
Meggitt PLC		954		6
Mondi PLC		3,049		29
National Grid PLC		1,425		14
Next PLC		289		14
Pearson PLC		917		17
Provident Financial PLC		14		—	±
Prudential PLC		541		6
Reed Elsevier PLC		1,529		14
Rexam PLC		792		5
Rio Tinto PLC (Æ)		26		1
Rolls-Royce Holdings PLC (Æ)		1,371		18
Royal Bank of Scotland Group PLC -ADR (Æ)		8,500		4
Royal Dutch Shell PLC Class A		2,785		98
Royal Dutch Shell PLC Class B		2,520		90
RSA Insurance Group PLC		5,346		9
SABMiller PLC - ADR		1,187		48
Sage Group PLC (The)		498		2
Scottish & Southern Energy PLC		1,118		24
Shire PLC - ADR (Æ)		1,112		36
Smith & Nephew PLC		1,072		11
Standard Chartered PLC		1,038		26
Standard Life PLC		942		3
Tate & Lyle PLC		276		3
Tesco PLC		905		5
Travis Perkins PLC		837		14


Russell Developed ex-U.S. High Momentum ETF		169

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

TUI Travel PLC		348			1
Tullow Oil PLC		410			10
Unilever PLC		1,089			36
Vodafone Group PLC - ADR (Æ)		35,418			98
Weir Group PLC (The)		656			18

					1,417


United States - 0.7%
Lululemon Athletica, Inc. Class 3		512			38


Total Common Stocks (cost $4,778)					5,016


Preferred Stocks - 1.2%
Germany - 1.2%
Henkel AG & Co. KGaA		349			26
Hugo Boss AG		11			1
Porsche Automobil Holding SE		87			5
Volkswagen AG		179			31

					63


Total Preferred Stocks (cost $58)					63


Short-Term Investments - 0.3%
United States - 0.3%
Russell U.S. Cash Management Fund		12,974	(¥)		13


Total Short-Term Investments (cost $13)					13


Total Investments - 99.5% (identified cost $4,849)					5,092

Other Assets and Liabilities, Net - 0.5%					26


Net Assets - 100.0%					5,118

See accompanying notes which are an integral part of the financial statements.


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands

Foreign Currency Exchange Contracts

Counterparty

Amount
Sold

Amount
Bought

Settlement
Date

Unrealized
Appreciation
(Depreciation)
$

UBS AG

USD

283

JPY

23,278

04/04/12

—

UBS AG

AUD

USD

04/04/12

(—

UBS AG

CAD

USD

04/04/12

—

UBS AG

CHF

USD

102

04/04/12

—

UBS AG

DKK

USD

—

04/04/12

—

UBS AG

EUR

USD

04/03/12

—

UBS AG

EUR

USD

04/04/12

—

UBS AG

GBP

USD

04/04/12

—

UBS AG

HKD

USD

04/03/12

—

UBS AG

SEK

USD

04/04/12

—

UBS AG

SGD

USD

04/04/12

(—

Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts

—

*	Less than $500.

See accompanying notes which are an integral part of the financial statements.


Russell Developed ex-U.S. High Momentum ETF		171

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value										% of Net Assets
Portfolio Summary	Level 1			Level 2		Level 3		Total			% of Net Assets

Common Stocks
Australia	$	279		$	—	$	—	$	279			5.5
Austria		2			—		—		2			—	^*
Belgium		37			—		—		37			0.7
Bermuda		65			—		—		65			1.3
Canada		655			—		—		655			12.8
Cayman Islands		22			—		—		22			0.4
Denmark		127			—		—		127			2.5
Finland		23			—		—		23			0.4
France		328			—		—		328			6.4
Germany		305			—		—		305			6.0
Guernsey		9			—		—		9			0.2
Hong Kong		77			—		—		77			1.5
Ireland		59			—		—		59			1.2
Israel		21			—		—		21		��	0.4
Italy		62			—		—		62			1.2
Japan		774			—		—		774			15.1
Jersey		32			—		—		32			0.6
Netherlands		82			—		—		82			1.6
Norway		22			—		—		22			0.4
Singapore		8			—		—		8			0.2
Spain		140			—		—		140			2.7
Sweden		87			—		—		87			1.7
Switzerland		345			—		—		345			6.7
United Kingdom		1,417			—		—		1,417			27.8
United States		38			—		—		38			0.7
Preferred Stocks		63			—		—		63			1.2
Short-Term Investments		—			13		—		13			0.3


Total Investments		5,079			13		—		5,092			99.5

Other Assets and Liabilities, Net												0.5


												100.0

Other Financial Instruments
Foreign Currency Exchange Contracts		—	***		—		—		—	***		—	*


Total Other Financial Instruments^**	$	—		$	—	$	—	$	—

Less than .05% of net assets.

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

***

Less than $500.

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

There were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Fair Value of Derivative Instruments — March 31, 2012

Amounts in thousands


Derivatives not accounted for as hedging instruments

Location: Statement of Assets and Liabilities - Assets
Unrealized appreciation on foreign currency exchange contracts	$	—	*

Location: Statement of Assets and Liabilities - Liabilities
Unrealized depreciation on foreign currency exchange contracts	$	—	*


Derivatives not accounted for as hedging instruments	Foreign Currency Contracts

Location: Statement of Operations - Net realized gain (loss)
Foreign currency-related transactions	$	—	*

Location: Statement of Operations - Net change in unrealized appreciation (depreciation)
Foreign currency-related transactions	$	—	*

Less than $500.

For further disclosure on derivatives see note 2 in Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


Russell Developed ex-U.S. High Momentum ETF		173

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Developed ex-U.S. High Momentum ETF

Assets
Investments, at identified cost	$	4,849
Investments, at market*		5,092
Foreign currency holdings**		8
Unrealized appreciation on foreign currency exchange contracts		—
Receivables:
Dividends		21
Investments sold		399
Foreign taxes recoverable		3

Total assets		5,523


Liabilities
Payables:
Investments purchased		404
Accrued fees to affiliates		1
Unrealized depreciation on foreign currency exchange contracts		—

Total liabilities		405


Net Assets	$	5,118

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	13
Accumulated net realized gain (loss)		(16	)
Unrealized appreciation (depreciation) on:
Investments		243
Foreign currency-related transactions		—
Additional paid-in capital		4,878

Net Assets	$	5,118

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.17
Net assets	$	5,117,553
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	13
** Foreign currency holdings - cost	$	8

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	174			Statements of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Developed ex-U.S. High Momentum ETF*

Investment Income
Dividends	$	73
Less foreign taxes withheld		(6	)

Total investment income		67


Expenses
Management fees		12
Trustee and trustee related fees		6

Expenses before reductions		18
Expense reductions		(13	)

Net expenses		5

Net investment income (loss)		62


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(16	)
In-kind redemptions		—
Foreign currency-related transactions		(1	)

Net realized gain (loss)		(17	)

Net change in unrealized appreciation (depreciation) on:
Investments		243
Foreign currency-related transactions		—

Net change in unrealized appreciation (depreciation)		243

Net realized and unrealized gain (loss)		226

Net Increase (Decrease) in Net Assets from Operations	$	288

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Statements of Operations		175

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Statement of Changes in Net Assets — For the Periods Ended March 31,


	Russell Developed ex-U.S. High Momentum ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	62
Net realized gain (loss)		(17	)
Net change in unrealized appreciation (depreciation)		243

Net increase (decrease) in net assets from operations		288


Distributions
From net investment income		(48	)

Net decrease in net assets from distributions		(48	)


Share Transactions
Net increase (decrease) in net assets from share transactions		4,878

Total Net Increase (Decrease) in Net Assets		5,118

Net Assets
Beginning of period		—

End of period	$	5,118

Undistributed (overdistributed) net investment income included in net assets	$	13

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	176			Statements of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(e)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Total Distributions
Russell Developed ex-U.S. High Momentum ETF
March 31, 2012*		48.77		.63		2.25		2.88		(.48	)		(.48	)

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

(e)	Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

*	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	178			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)(e)		% Ratio of Net Investment Income to Average Net Assets(c)(e)		% Portfolio Turnover Rate(b)(d)

	51.17		5.95		5,118		.87		.25		3.09		32

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		179

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Schedules of Investments — March 31, 2012

Footnotes:

(Æ)	Non-income producing security.

(ö)	Real Estate Investment Trust (REIT).

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

(¥)	Unrounded units.

(Å)	Illiquid and restricted security.

±	Less than $500.

Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt


	180			Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Financial Statements — March 31, 2012

Organization

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

Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of its financial statements.

Security Valuation

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

•

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

•


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

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

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

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

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

Level 3 Trading Assets and Trading Liabilities, at Fair Value

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


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Russell Factor ETFs^™

Notes to Financial Statements, continued — March 31, 2012

GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurements and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

Investment Transactions

Investment Income

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

Federal Income Taxes

Each Fund qualifies as a regulated investment company under sub-chapter M of the Internal Revenue Code and intends to distribute all of its taxable income and capital gains. Therefore, no federal income tax provision is required for the Funds. The Funds comply with the authoritative guidance for uncertainty in income taxes which requires management to determine whether a tax position of the Funds is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For tax positions meeting the more likely than not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than 50% likelihood of being realized upon ultimate settlement with the relevant taxing authority. Management determined that no accruals need to be made in the financial statements due to uncertain tax positions. Management continually reviews and adjusts its liability for income taxes based on analyses of tax laws and regulations, as well as their interpretations, and other relevant factors.

Dividends and Distributions to Shareholders

The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from U.S. GAAP. As a result, net investment income and net realized gain (or loss) from investment and foreign currency-related transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and U.S. GAAP relate primarily to investments in forward contracts, wash sale deferrals, certain securities sold at a loss and capital loss carryforwards. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset values.

Foreign Currency Translations

The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts and transactions of the Funds are translated into U.S. dollars on the following basis:

(a)

Market value of investment securities, other assets and liabilities at the closing rate of exchange on the valuation date.

(b)

Purchases and sales of investment securities and income at the closing rate of exchange prevailing on the respective trade dates of such transactions.


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Net realized gains or losses from foreign currency-related transactions arise from: sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized gains or losses from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in the exchange rates.

The Funds do not isolate that portion of the results of operations of the Funds that arises as a result of changes in exchange rates from that portion that arises from changes in market prices of investments during the year. Such fluctuations are included within the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (or loss) on debt obligations.

Capital Gains Taxes

The Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF and Russell Developed ex-U.S. High Momentum ETF may be subject to capital gains taxes and repatriation taxes imposed by certain countries in which they invest. The Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF and Russell Developed ex-U.S. High Momentum ETF may record a deferred tax liability with respect to the unrealized appreciation on foreign securities for potential capital gains and repatriation taxes at March 31, 2012. The accrual for capital gains and repatriation taxes is included in net unrealized appreciation (depreciation) on investments in the Statements of Assets and Liabilities for the Funds. The amounts related to capital gains and repatriation taxes are included in net realized gain (loss) on investments in the Statements of Operations for the Funds. The Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF and Russell Developed ex-U.S. High Momentum ETF had no deferred tax liability as of March 31, 2012. None of the Funds had a realized gain (loss) on investments for capital gains taxes for the period ended March 31, 2012.

Foreign Currency Exchange Contracts

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

For the period ended March 31, 2012, the following Funds entered into foreign currency exchange contracts primarily for the strategies listed below:


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

The Funds’ foreign currency contract notional dollar values fluctuate throughout the operating year as required to meet strategic requirements. The following tables illustrate the quarterly volume of foreign currency contracts. For the purpose of this disclosure, volume is measured by the amounts bought and sold in USD.


	Outstanding Contract Amounts Sold
Quarter Ended	December 31, 2011		March 31, 2012
Russell Developed ex-U.S. Low Beta ETF		235,361		267,034
Russell Developed ex-U.S. Low Volatility ETF		385,021		222,513
Russell Developed ex-U.S. High Momentum ETF		463,451		560,998

	Outstanding Contract Amounts Bought
Quarter Ended	December 31, 2011		March 31, 2012
Russell Developed ex-U.S. Low Beta ETF		235,361		267,084
Russell Developed ex-U.S. Low Volatility ETF		385,020		222,473
Russell Developed ex-U.S. High Momentum ETF		463,459		560,999


	184			Notes to Financial Statements

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Russell Factor ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Guarantees

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

Market, Credit and Counterparty Risk

ETF Specific Risk

Investment Transactions

Securities

During the period ended March 31, 2012, purchases and sales of the Funds (excluding investments held for short-term purposes and in-kind transactions) were as follows:


	Purchases		Sales

Russell 1000 Low Beta ETF	$	3,000,593	$	2,975,403
Russell 1000 High Beta ETF		14,357,156		14,350,971
Russell 1000 Low Volatility ETF		28,252,374		28,294,819
Russell 1000 High Volatility ETF		6,091,521		6,087,000
Russell 1000 High Momentum ETF		6,392,164		6,391,578
Russell 2000 Low Beta ETF		1,898,860		1,892,458
Russell 2000 High Beta ETF		5,989,742		5,969,263
Russell 2000 Low Volatility ETF		4,696,792		4,828,164
Russell 2000 High Volatility ETF		7,468,865		7,471,542
Russell 2000 High Momentum ETF		6,816,130		6,807,715
Russell Developed ex-U.S. Low Beta ETF		1,304,443		1,304,564
Russell Developed ex-U.S. Low Volatility ETF		1,260,722		1,269,813
Russell Developed ex-U.S. High Momentum ETF		1,574,347		1,578,949

For the period ended March 31, 2012, purchases and sales of the Funds resulting from in-kind redemptions were:


	Purchases		Sales

Russell 1000 Low Beta ETF	$	35,696,994	$	—
Russell 1000 High Beta ETF		23,507,181		17,360,431
Russell 1000 Low Volatility ETF		109,666,095		37,329,657
Russell 1000 High Volatility ETF		14,689,049		8,709,380
Russell 1000 High Momentum ETF		9,902,980		4,587,945
Russell 2000 Low Beta ETF		4,936,678		—
Russell 2000 High Beta ETF		13,255,514		8,058,750
Russell 2000 Low Volatility ETF		9,994,229		4,939,544
Russell 2000 High Volatility ETF		18,419,119		11,239,508


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	Purchases		Sales

Russell 2000 High Momentum ETF	$	9,866,757	$	4,726,143
Russell Developed ex-U.S. Low Beta ETF		4,861,695		—
Russell Developed ex-U.S. Low Volatility ETF		4,870,371		—
Russell Developed ex-U.S. High Momentum ETF		4,856,312		—

Because gains and losses resulting from such in-kind transactions are not taxable to the Funds and are not distributed to existing fund shareholders, the gains or losses are reclassified from accumulated net realized gains or losses to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net assets per share. The realized in-kind gains or losses for the period ended March 31, 2012, are disclosed in the Funds’ Statements of Operations.

Related Party Transactions, Fees and Expenses

The management fees specified in the table below are based upon the average daily net assets of the Funds and are payable monthly. The Adviser pays all of the expenses of the Funds other than the management fee, distribution fees pursuant to the Funds’ Supervision and Management Agreements, if any, brokerage expenses, taxes, interest fees, litigation expenses, acquired fund fees and other extraordinary expenses.


	Annual Rate

Russell 1000 Low Beta ETF		0.49%
Russell 1000 High Beta ETF		0.49%
Russell 1000 Low Volatility ETF		0.49%
Russell 1000 High Volatility ETF		0.49%
Russell 1000 High Momentum ETF		0.49%
Russell 2000 Low Beta ETF		0.69%
Russell 2000 High Beta ETF		0.69%
Russell 2000 Low Volatility ETF		0.69%
Russell 2000 High Volatility ETF		0.69%
Russell 2000 High Momentum ETF		0.69%
Russell Developed ex-U.S. Low Beta ETF		0.59%
Russell Developed ex-U.S. Low Volatility ETF		0.59%
Russell Developed ex-U.S. High Momentum ETF		0.59%

The following shows the amount of the management fees paid by the Funds for the period ended March 31, 2012:


	Management

Russell 1000 Low Beta ETF	$	26,577
Russell 1000 High Beta ETF		51,481
Russell 1000 Low Volatility ETF		144,022
Russell 1000 High Volatility ETF		24,527
Russell 1000 High Momentum ETF		29,559
Russell 2000 Low Beta ETF		27,902
Russell 2000 High Beta ETF		27,719
Russell 2000 Low Volatility ETF		27,908
Russell 2000 High Volatility ETF		52,675
Russell 2000 High Momentum ETF		46,999
Russell Developed ex-U.S. Low Beta ETF		11,942
Russell Developed ex-U.S. Low Volatility ETF		11,955
Russell Developed ex-U.S. High Momentum ETF		11,923


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Notes to Financial Statements, continued — March 31, 2012

Waivers and Reimbursements

For the Russell 1000 Low Beta ETF, Russell 1000 High Beta ETF, Russell 1000 Low Volatility ETF, Russell 1000 High Volatility ETF and Russell 1000 High Momentum ETF, RIMCo has contractually agreed, until July 29, 2014, to waive up to 0.29% of its 0.49% management fee. These waivers cannot be terminated during the relevant period except with Board approval. The total amount of the waivers for the period ended March 31, 2012 was:


	Waiver

Russell 1000 Low Beta ETF	$	9,726
Russell 1000 High Beta ETF		10,296
Russell 1000 Low Volatility ETF		46,738
Russell 1000 High Volatility ETF		5,517
Russell 1000 High Momentum ETF		6,113

For the Russell 2000 Low Beta ETF, Russell 2000 High Beta ETF, Russell 2000 Low Volatility ETF, Russell 2000 High Volatility ETF and Russell 2000 High Momentum ETF, RIMCo has contractually agreed, until July 29, 2014, to waive up to 0.39% of its 0.69% management fee. These waivers cannot be terminated during the relevant period except with Board approval. The total amount of the waivers for the period ended March 31, 2012 was:


	Waiver

Russell 2000 Low Beta ETF	$	7,758
Russell 2000 High Beta ETF		7,002
Russell 2000 Low Volatility ETF		7,825
Russell 2000 High Volatility ETF		7,882
Russell 2000 High Momentum ETF		11,343

For the Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF and Russell Developed ex-U.S. High Momentum ETF, RIMCo has contractually agreed, until July 29, 2014, to waive up to 0.34% of its 0.59% management fee. These waivers cannot be terminated during the relevant period except with Board approval. The total amount of the waivers for the period ended March 31, 2012 was:


	Waiver

Russell Developed ex-U.S. Low Beta ETF	$	6,882
Russell Developed ex-U.S. Low Volatility ETF		6,889
Russell Developed ex-U.S. High Momentum ETF		6,871

The Adviser has voluntarily agreed to waive trustee and trustee related expenses paid by the Funds. For the period ended March 31, 2012, the total trustee and trustee related fees waived amounted to:


	Trustee

Russell 1000 Low Beta ETF	$	16,392
Russell 1000 High Beta ETF		32,771
Russell 1000 Low Volatility ETF		82,235
Russell 1000 High Volatility ETF		17,144
Russell 1000 High Momentum ETF		19,878
Russell 2000 Low Beta ETF		14,443
Russell 2000 High Beta ETF		14,332
Russell 2000 Low Volatility ETF		14,422
Russell 2000 High Volatility ETF		24,258
Russell 2000 High Momentum ETF		22,506
Russell Developed ex-U.S. Low Beta ETF		5,612
Russell Developed ex-U.S. Low Volatility ETF		5,628
Russell Developed ex-U.S. High Momentum ETF		5,608


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Accrued Fees Payable to Affiliates

Accrued fees payable to affiliates for the period ended March 31, 2012 were as follows:


	Russell 1000 Low Beta ETF		Russell 1000 High Beta ETF		Russell 1000 Low Volatility ETF		Russell 1000 High Volatility ETF		Russell 1000 High Momentum ETF

Management fees	$	3,560	$	836	$	10,696	$	839	$	871


	Russell 2000 Low Beta ETF		Russell 2000 High Beta ETF		Russell 2000 Low Volatility ETF		Russell 2000 High Volatility ETF		Russell 2000 High Momentum ETF

Management fees	$	1,291	$	1,216	$	1,325	$	1,103	$	1,289


	Russell Developed ex-U.S. Low Beta ETF		Russell Developed ex-U.S. Low Volatility ETF		Russell Developed ex-U.S. High Momentum ETF

Management fees	$	1,099	$	1,074	$	1,101

Concentration of Secondary Market Shareholder Interests

As of March 31, 2012, the Russell Equity I Fund, a Russell Trust Company Fund and a related party to the Funds, holds investments in the secondary market of the following funds and amounts:


Fund	Market Value
Russell 1000 Low Volatility Fund ETF	$	51,906,955
Russell 1000 Low Beta ETF		31,443,359

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

Board of Trustees

For all Funds of the Investment Company, each independent Trustee is paid a retainer of $70,000 per year, $5,000 for each regular quarterly meeting attended in person, and $2,500 for each Audit Committee meeting and Nominating and Governance Committee meeting. Each Trustee receives a $1,250 fee for attending the quarterly meeting by phone instead of receiving the full fee had the member attended in person. The Trustees are also compensated for out of pocket expenses. The Audit Committee Chair and Nominating and Governance Chair are each paid a fee of $12,000 and $6,000, respectively, per year. The Chairman of the Board receives additional annual compensation of $20,000.

Federal Income Taxes

At March 31, 2012, the following Funds had net tax basis capital loss carryforwards which may be applied against any net realized taxable gains in each succeeding year.


	No Expiration
	Short-term		Long-term		Totals

Russell 1000 Low Beta ETF	$	134,564	$	—	$	134,564
Russell 1000 High Beta ETF	$	1,014,615	$	—	$	1,014,615
Russell 1000 Low Volatility ETF	$	577,609	$	—	$	577,609
Russell 1000 High Volatility ETF	$	398,426	$	—	$	398,426
Russell 1000 High Momentum ETF	$	629,747	$	—	$	629,747
Russell 2000 Low Beta ETF	$	68,852	$	—	$	68,852
Russell 2000 High Beta ETF	$	390,222	$	—	$	390,222
Russell 2000 Low Volatility ETF	$	70,626	$	—	$	70,626
Russell 2000 High Volatility ETF	$	640,821	$	—	$	640,821
Russell 2000 High Momentum ETF	$	477,363	$	—	$	477,363
Russell Development ex-U.S. Low Beta ETF	$	—	$	—	$	—
Russell Development ex-U.S. Low Volatility ETF	$	—	$	—	$	—
Russell Development ex-U.S. High Momentum ETF	$	—	$	—	$	—


	188			Notes to Financial Statements

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Russell Factor ETFs^™

Notes to Financial Statements, continued — March 31, 2012

At March 31, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:


	Russell 1000 Low Beta ETF			Russell 1000 High Beta ETF			Russell 1000 Low Volatility ETF			Russell 1000 High Volatility ETF			Russell 1000 High Momentum ETF

Cost of Investments	$	35,633,567		$	4,825,950		$	70,714,179		$	4,747,765		$	4,643,346

Unrealized Appreciation		1,189,288			265,408			2,170,916			380,110			583,670
Unrealized Depreciation		(158,053	)		(120,492	)		(422,631	)		(136,474	)		(21,897	)

Net Unrealized Appreciation (Depreciation)	$	1,031,235		$	144,916		$	1,748,285		$	243,636		$	561,773

Undistributed Ordinary Income	$	16,160		$	2,926		$	49,011		$	1,878		$	1,389
Undistributed Long-Term Capital Gains (Capital Loss Carry Forward)	$	(134,564	)	$	(1,014,615	)	$	(577,609	)	$	(398,426	)	$	(629,747	)
Tax Composition of Distributions:
Ordinary Income	$	99,317		$	137,326		$	691,838		$	48,188		$	94,963
Tax Exempt Income	$	—		$	—		$	—		$	—		$	—
Long-Term Capital Gains	$	—		$	—		$	—		$	—		$	—
Distributions in Excess	$	—		$	—		$	—		$	—		$	—
Tax Return of Capital	$	—		$	—		$	—		$	—		$	—

	Russell 2000 Low Beta ETF			Russell 2000 High Beta ETF			Russell 2000 Low Volatility ETF			Russell 2000 High Volatility ETF			Russell 2000 High Momentum ETF

Cost of Investments	$	4,870,919		$	4,871,910		$	5,096,043		$	4,673,680		$	4,704,322

Unrealized Appreciation		505,015			126,433			113,339			522,373			602,169
Unrealized Depreciation		(234,105	)		(340,706	)		(216,109	)		(817,727	)		(203,544	)

Net Unrealized Appreciation (Depreciation)	$	270,910		$	(214,273	)	$	(102,770	)	$	(295,354	)	$	398,625

Undistributed Ordinary Income	$	6,495		$	17,429		$	12,836		$	—		$	11,124
Undistributed Long-Term Capital Gains (Capital Loss Carry Forward)	$	(68,852	)	$	(390,222	)	$	(70,626	)	$	(640,821	)	$	(477,363	)
Tax Composition of Distributions:
Ordinary Income	$	53,587		$	9,576		$	73,135		$	—		$	44,124
Tax Exempt Income	$	—		$	—		$	—		$	—		$	—
Long-Term Capital Gains	$	—		$	—		$	—		$	—		$	—
Distributions in Excess	$	—		$	—		$	—		$	—		$	—
Tax Return of Capital	$	—		$	—		$	—		$	—		$	—

	Russell Developed ex- U.S. Low Beta ETF			Russell Developed ex- U.S. Low Volatility ETF			Russell Developed ex- U.S. High Momentum ETF

Cost of Investments	$	4,876,362		$	4,872,186		$	4,851,687

Unrealized Appreciation		380,013			305,281			341,504
Unrealized Depreciation		(62,438	)		(56,051	)		(93,700	)

Net Unrealized Appreciation (Depreciation)	$	317,575		$	249,230		$	247,804

Undistributed Ordinary Income	$	25,748		$	17,114		$	15,779
Undistributed Long-Term Capital Gains (Capital Loss Carry Forward)	$	—		$	—		$	—
Tax Composition of Distributions:
Ordinary Income	$	37,748		$	54,465		$	48,210
Tax Exempt Income	$	—		$	—		$	—
Long-Term Capital Gains	$	—		$	—		$	—
Distributions in Excess	$	—		$	—		$	—
Tax Return of Capital	$	—		$	—		$	—


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Russell Factor ETFs^™

Notes to Financial Statements, continued — March 31, 2012


Fund
Russell 1000 Low Beta ETF	$	6,926
Russell 1000 High Beta ETF		56,771
Russell 1000 Low Volatility ETF		612,476
Russell 1000 High Volatility ETF		232,819
Russell 1000 High Momentum ETF		43,157
Russell 2000 Low Beta ETF		7,012
Russell 2000 High Beta ETF		263,679
Russell 2000 Low Volatility ETF		72,651
Russell 2000 High Volatility ETF		352,855
Russell 2000 High Momentum ETF		234,388
Russell Developed ex-U.S. Low Beta ETF		6,493
Russell Developed ex-U.S. Low Volatility ETF		2,185
Russell Developed ex-U.S. High Momentum ETF		15,952

Fund Share Transactions (amounts in thousands)

As of March 31, 2012, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Investment Company. Shares are created and redeemed by the Funds at their NAV only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of the Funds are not redeemable. The Shares are listed on the New York Stock Exchange (“NYSE”) Arca (“NYSE Arca” or the “Exchange”), subject to notice of issuance. The Shares trade on the Exchange at market prices. These prices may differ from the Shares’ NAV. The Shares are also redeemable only in Creation Unit aggregations, and generally in exchange for portfolio securities and a specified cash payment. Investors purchasing and redeeming Creation Units pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Funds’ Custodian. A Creation Unit of a Fund consists of at least 50,000 Shares. Transactions in shares for the Funds for the period ended March 31, 2012 were as follows:


	2012*
	Shares			Dollars


Russell 1000 Low Beta ETF
Shares created		700		$	35,778
Shares redeemed		—			—

Total increase (decrease)		700		$	35,778


	2012*
	Shares			Dollars

Russell 1000 High Beta ETF
Shares created		500		$	23,556
Shares redeemed		(400	)		(17,397	)

Total increase (decrease)		100		$	6,159


	2012*
	Shares			Dollars

Russell 1000 Low Volatility ETF
Shares created		2,200		$	109,901
Shares redeemed		(800	)		(37,434	)

Total increase (decrease)		1,400		$	72,467


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Notes to Financial Statements, continued — March 31, 2012


	2012*
	Shares			Dollars


Russell 1000 High Volatility ETF
Shares created		300		$	14,720
Shares redeemed		(200	)		(8,729	)

Total increase (decrease)		100		$	5,991


	2012*
	Shares			Dollars

Russell 1000 High Momentum ETF
Shares created		200		$	9,926
Shares redeemed		(100	)		(4,596	)

Total increase (decrease)		100		$	5,330


	2012*
	Shares			Dollars

Russell 2000 Low Beta ETF
Shares created		100		$	4,947
Shares redeemed		—			—

Total increase (decrease)		100		$	4,947


	2012*
	Shares			Dollars

Russell 2000 High Beta ETF
Shares created		300		$	13,283
Shares redeemed		(200	)		(8,075	)

Total increase (decrease)		100		$	5,208


	2012*
	Shares			Dollars

Russell 2000 Low Volatility ETF
Shares created		200		$	10,016
Shares redeemed		(100	)		(5,007	)

Total increase (decrease)		100		$	5,009


	2012*
	Shares			Dollars

Russell 2000 High Volatility ETF
Shares created		400		$	18,455
Shares redeemed		(300	)		(11,261	)

Total increase (decrease)		100		$	7,194


	2012*
	Shares			Dollars

Russell 2000 High Momentum ETF
Shares created		200		$	9,886
Shares redeemed		(100	)		(4,736	)

Total increase (decrease)		100		$	5,150


Notes to Financial Statements		191

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Notes to Financial Statements, continued — March 31, 2012


	2012**
	Shares		Dollars


Russell Developed ex-U.S. Low Beta ETF
Shares created		100	$	4,880
Shares redeemed		—		—

Total increase (decrease)		100	$	4,880


	2012**
	Shares		Dollars

Russell Developed ex-U.S. Low Volatility ETF
Shares created		100	$	4,883
Shares redeemed		—		—

Total increase (decrease)		100	$	4,883


	2012**
	Shares		Dollars

Russell Developed ex-U.S. High Momentum ETF
Shares created		100	$	4,878
Shares redeemed		—		—

Total increase (decrease)		100	$	4,878

*	For the period May 26, 2011 (commencement of operations) to March 31, 2012.

**	For the period November 3, 2011 (commencement of operations) to March 31, 2012.

Restricted Securities

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


Fund - % of Net Assets Securities	Acquisition Date		Principal Amount ($) or Shares		Cost per Unit $		Cost (000) $		Market Value (000) $

Russell 2000 High Momentum ETF - 0.0%
Magnum Hunter Resources, Inc.		08/29/11		430		—		—		—

										—

Russell 2000 High Volatility ETF - 0.0%
Magnum Hunter Resources, Inc.		08/29/11		442		—		—		—

										—

Russell 2000 Low Volatility ETF - 0.0%
Gerber Scientific, Inc.		08/23/11		245		—		—		—

										—

Subsequent Events

Management has evaluated events and/or transactions that have occurred since March 31, 2012, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require further disclosure within the financial statements.


	192			Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders:

In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Russell 1000 Low Beta ETF, Russell 1000 High Beta ETF, Russell 1000 Low Volatility ETF, Russell 1000 High Volatility ETF, Russell 1000 High Momentum ETF, Russell 2000 Low Beta ETF, Russell 2000 High Beta ETF, Russell 2000 Low Volatility ETF, Russell 2000 High Volatility ETF, Russell 2000 High Momentum ETF, Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. Low Volatility ETF, Russell Developed ex-U.S. High Momentum ETF (thirteen of the portfolios constituting the Russell Exchange Traded Funds Trust, hereafter referred to as the “Funds”) at March 31, 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2012 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received, provide a reasonable basis for our opinion.

LOGO

PricewaterhouseCoopers LLP

Seattle, Washington

May 29, 2012


Report of Independent Registered Public Accounting Firm		193

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Frequency Distribution of Discounts and Premiums — March 31, 2012 (Unaudited)


	Russell 1000 Low Beta ETF					Russell 1000 High Beta ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days			Number of Days*		Percentage of Total Days

Greater than 1.00%		1		0.32	%		1		0.32	%
Greater than 0.20% and Less than 1.00%		13		4.17	%		5		1.60	%
Greater than 0.05% and Less than 0.20%		33		10.58	%		56		17.95	%
Between 0.05% and -0.05%		235		75.32	%		134		42.95	%
Greater than -0.05% and Less than -0.20%		28		8.97	%		107		34.29	%
Greater than -0.20% and Less than -1.00%		2		0.64	%		8		2.57	%
Greater than -1.00%		—		0.00	%		1		0.32	%

		312		100.00	%		312		100.00	%


	Russell 1000 Low Volatility ETF					Russell 1000 High Volatility ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days			Number of Days*		Percentage of Total Days

Greater than 1.00%		3		0.96	%		3		0.96	%
Greater than 0.20% and Less than 1.00%		52		16.67	%		16		5.13	%
Greater than 0.05% and Less than 0.20%		77		24.68	%		8		2.56	%
Between 0.05% and -0.05%		89		28.52	%		166		53.21	%
Greater than -0.05% and Less than -0.20%		74		23.72	%		94		30.13	%
Greater than -0.20% and Less than -1.00%		17		5.45	%		19		6.09	%
Greater than -1.00%		—		0.00	%		6		1.92	%

		312		100.00	%		312		100.00	%


	Russell 1000 High Momentum ETF					Russell 2000 Low Beta ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days			Number of Days*		Percentage of Total Days

Greater than 1.00%		—		0.00	%		—		0.00	%
Greater than 0.20% and Less than 1.00%		14		4.49	%		20		6.41	%
Greater than 0.05% and Less than 0.20%		12		3.85	%		105		33.65	%
Between 0.05% and -0.05%		228		73.08	%		100		32.05	%
Greater than -0.05% and Less than -0.20%		51		16.34	%		71		22.76	%
Greater than -0.20% and Less than -1.00%		7		2.24	%		16		5.13	%

		312		100.00	%		312		100.00	%


	Russell 2000 High Beta ETF					Russell 2000 Low Volatility ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days			Number of Days*		Percentage of Total Days

Greater than 1.00%		3		0.96	%		—		0.00	%
Greater than 0.20% and Less than 1.00%		4		1.28	%		1		0.32	%
Greater than 0.05% and Less than 0.20%		63		20.19	%		66		21.16	%
Between 0.05% and -0.05%		169		54.17	%		201		64.42	%
Greater than -0.05% and Less than -0.20%		72		23.08	%		41		13.14	%
Greater than -0.20% and Less than -1.00%		1		0.32	%		3		0.96	%

		312		100.00	%		312		100.00	%


	194			Frequency Distribution of Discounts and Premiums

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Frequency Distribution of Discounts and Premiums, continued — March 31, 2012 (Unaudited)


	Russell 2000 High Volatility ETF					Russell 2000 High Momentum ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days			Number of Days*		Percentage of Total Days

Greater than 1.00%		3		0.96	%		—		0.00	%
Greater than 0.20% and Less than 1.00%		15		4.81	%		1		0.32	%
Greater than 0.05% and Less than 0.20%		81		25.96	%		55		17.63	%
Between 0.05% and -0.05%		115		36.86	%		158		50.64	%
Greater than -0.05% and Less than -0.20%		72		23.08	%		76		24.36	%
Greater than -0.20% and Less than -1.00%		26		8.33	%		22		7.05	%

		312		100.00	%		312		100.00	%


	Russell Developed ex-U.S. Low Beta ETF					Russell Developed ex-U.S. Low Volatility ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days			Number of Days*		Percentage of Total Days

Greater than 1.00%		114		75.50	%		50		33.11	%
Greater than 0.20% and Less than 1.00%		10		6.62	%		58		38.41	%
Greater than 0.05% and Less than 0.20%		4		2.65	%		14		9.27	%
Between 0.05% and -0.05%		2		1.32	%		9		5.96	%
Greater than -0.05% and Less than -0.20%		2		1.32	%		4		2.65	%
Greater than -0.20% and Less than -1.00%		1		0.67	%		9		5.96	%
Greater than -1.00%		18		11.92	%		7		4.64	%

		151		100.00	%		151		100.00	%


	Russell Developed ex-U.S. High Momentum ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days

Greater than 1.00%		19		12.58	%
Greater than 0.20% and Less than 1.00%		93		61.59	%
Greater than 0.05% and Less than 0.20%		6		3.97	%
Between 0.05% and -0.05%		9		5.96	%
Greater than -0.05% and Less than -0.20%		7		4.64	%
Greater than -0.20% and Less than -1.00%		14		9.27	%
Greater than -1.00%		3		1.99	%

		151		100.00	%

*	Number of days are based on inception date which is one day prior to commencement of operations.


Frequency Distribution of Discounts and Premiums		195

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Tax Information — March 31, 2012 (Unaudited)

For the tax year ended March 31, 2012, the Funds hereby designate 100% or the maximum amount allowable, of its net taxable income as qualified dividends taxed at individual net capital gain rates.

The Form 1099 you receive in January 2013 will show the tax status of all distributions paid to your account in calendar year 2012.

The Funds designate dividends distributed during the fiscal year as qualifying for the dividends received deduction for corporate shareholders as follows:


Russell 1000 High Beta ETF	100.0	%
Russell 1000 Low Beta ETF	100.0	%
Russell 1000 High Volatility ETF	100.0	%
Russell 1000 Low Volatility ETF	100.0	%
Russell 1000 High Momentum ETF	100.0	%
Russell 2000 High Beta ETF	100.0	%
Russell 2000 Low Beta ETF	92.8	%
Russell 2000 High Volatility ETF	0	%
Russell 2000 Low Volatility ETF	93.9	%
Russell 2000 High Momentum ETF	100.0	%
Russell Developed ex-US Low Beta ETF	0	%
Russell Developed ex-US Low Volatility ETF	0	%
Russell Developed ex-US High Momentum ETF	0	%

Please consult a tax adviser for any questions about federal or state income tax laws.

The Funds listed below paid foreign taxes and recognized foreign source income during the taxable year ended March 31, 2012. Pursuant to Section 853 of the Internal Revenue Code, the Funds designate the following per share amounts of foreign taxes paid and income earned from foreign sources:


Fund Name	Foreign Taxes Paid		Foreign Taxes Paid Per Share		Foreign Source Income		Foreign Source Income Per Share

Russell Developed ex-US Low Beta ETF Fund	$	5,005	$	0.0500	$	68,781	$	0.6878
Russell Developed ex-US Low Volatility ETF Fund		5,716		0.0572		80,442		0.8044
Russell Developed ex-US High Momentum ETF Fund		6,024		0.0602		70,823		0.7082


	196			Tax Information

Russell Exchange Traded Fund Trust

Russell Factor ETFs^™

Basis for Approval of Investment Advisory Contracts (Unaudited)

The Board of Trustees, including all of the Independent Trustees, considered and approved the management agreement with RIMCo (the “RIMCo Agreement”) with respect to Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. High Beta ETF, Russell Developed ex-U.S. Low Volatility ETF, Russell Developed ex-U.S. High Volatility ETF, and Russell Developed ex-U.S. High Momentum ETF (the “Funds”) at a meeting held in person on August 31, 2011 (the “Agreement Evaluation Meeting”). In preparation for the Agreement Evaluation Meeting, the Board considered (1) information, reports and analyses prepared by RIMCo relating to the services provided by RIMCo (and its affiliates) to the Funds at this and prior meetings; and (2) information (the “Comparative Information”) received from RIMCo comparing the operating expenses of each of the Funds with other peer funds not managed by RIMCo within a subset of developed ex-US equity ETFs chosen by RIMCo using data provided by National Stock Exchange and industry information provided by Morningstar, each an independent third party. In the case of each Fund, its other peer funds are collectively hereinafter referred to as the Fund’s “Comparable Funds,” and such Comparable Funds are collectively hereinafter referred to as the Fund’s “Expense Universe.” The foregoing information provided by RIMCo is collectively called the “Agreement Evaluation Information.” In connection with their consideration of the RIMCo Agreement, the Trustees had previously received and reviewed a memorandum from counsel to the Funds discussing the legal standards for their consideration of the adoption of the RIMCo Agreement.

In addition to these general factors relating to the Funds, the Trustees considered, with respect to each Fund, various specific factors in evaluating the RIMCo Agreement, including the following:

1.	The nature, scope and overall quality of the investment management and other services provided, and expected to be provided, to the Fund by RIMCo;

3.	Information provided by RIMCo as to other fees and benefits received by RIMCo or its affiliates from the Fund, including soft dollar arrangements and commissions in connection with portfolio securities transactions;

4.	Information provided by RIMCo as to expenses to be incurred by the Fund; and

5.	Information provided by RIMCo at prior meetings as to the profits that RIMCo expects to derive from the Fund’s operations.


Basis for Approval of Investment Advisory Contracts		197

Russell Exchange Traded Fund Trust

Russell Factor ETFs^™

Basis for Approval of Investment Advisory Contracts, continued (Unaudited)

RIMCo also reported, and the Board considered, that on an ongoing basis, RIMCo will provide rebalancing, trade execution and account reconciliation services for the Funds.

With respect to the Management Fee for each of Russell Developed ex-U.S. Low Beta ETF, Russell Developed ex-U.S. High Beta ETF, Russell Developed ex-U.S. Low Volatility ETF, Russell Developed ex-U.S. High Volatility ETF, and Russell Developed ex-U.S. High Momentum ETF, the Comparative Information showed that the Management Fee for each Fund was ranked in the fourth quintile of its Expense Universe. RIMCo reported, and the Board considered, that RIMCo believes these Funds track indexes that are representative of the analysis done by active managers and therefore merit fees that are higher than those of the more traditional passively managed ETFs contained in the Funds’ Expense Universe. The comparisons were based on developed ex-U.S. ETFs using data from the monthly ETF Dashboard created by Russell.


	198			Basis for Approval of Investment Advisory Contracts

Russell Exchange Traded Fund Trust

Russell Factor ETFs^™

Shareholder Requests for Additional Information — March 31, 2012 (Unaudited)

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

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

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

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


Shareholder Requests for Additional Information		199

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Disclosure of Information about Fund Trustees and Officers — March 31, 2012 (Unaudited)

Name, Address,
and Date of Birth

Position(s) Held
with the Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund
Complex
Overseen
by Trustee

Other
Directorships Held
by Trustee

INTERESTED TRUSTEES

James Polisson*

Born: November 11, 1959

Trustee

Since 2011

Managing Director and Head of Global ETF Business, Frank Russell Company (2010 to present); and Chief Marketing Officer, Barclays Global Investors/iShares ETFs (2005 to 2010).

None.

INDEPENDENT TRUSTEES

Evelyn S. Dilsaver

Born: May 4, 1955

Trustee, Chair since 2012

Since 2011

Corporate Director, Charles Schwab Investment Management (2003 to 2007); and President and Chief Executive Officer, Charles Schwab Investment Management (2004 to 2007).

Aeropostale,

Inc. (retailer) (2008 to present); High Mark Funds

(2008 to present); and Tempur-pedic, Int’l. (retailer) (2010 to present).

Jane A. Freeman

Born: July 15, 1953

Trustee, Chair of Audit Committee since 2011

Since 2011

Consultant (2008 to present); and Executive Vice President and Chief Financial Officer, Scientific Learning (Educational Support Services) (1999 to 2008).

Harding Loevner Funds (Lead Director since 2008).

Lee T. Kranefuss**

Born: September 27, 1961

Trustee

Since 2011

Barclays Global Investors Funds and Master Investment Portfolio (2001 to present).

Daniel O. Leemon

Born: October 25, 1953

Trustee

Since 2011

Retired.

Director, Corporate Executive Board (2003 to

present).

Ernest L. Schmider

Born: July 4, 1957

Trustee, Chairman of Nominating and Governance Committee since 2012

Since 2011

None.


	200			Disclosure of Information about Fund Trustees and Officers

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Disclosure of Information about Fund Trustees and Officers, continued — March 31, 2012 (Unaudited)


	Position(s) Held with the Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee
OFFICERS
James Polisson* Born: November 11, 1959	President and Chief Executive Officer	Since 2011; until successor is chosen and qualified by Trustees	Managing Director and Head of Global ETF Business, FRC; Chief Marketing Officer, Barclays Global Investors/ iShares ETFs, 2005–2010	N/A

Mark E. Swanson Born: November 26, 1963	Treasurer, Chief Financial Officer and Chief Accounting Officer	Since 2011; until successor is chosen and qualified by Trustees	Treasurer, Chief Accounting Officer and CFO, Russell Investment Company and Russell Investment Funds; Director, Funds Administration, RIMCo, Russell Fund Services Company, Russell Trust Company (a non-depository trust company), and Russell Financial Services, Inc.; and Treasurer and Principal Accounting Officer, SSgA Funds	N/A

Mary Beth Rhoden Born: April 25, 1969	Secretary and Chief Legal Officer	Since 2011; until successor is chosen and qualified by Trustees	Associate General Counsel, FRC; Assistant Secretary, Russell Investment Company and Russell Investment Funds, 1999–2010; Secretary, RIMCo, Russell Fund Services Company and Russell Financial Services, Inc.; and Secretary and Chief Legal Officer, Russell Investment Company and Russell Investment Funds	N/A

Cheryl Wichers Born: December 16, 1966	Chief Compliance Officer since 2005	Until removed by Independent Trustees	Chief Compliance Officer, RIC; Chief Compliance Officer, RIF; Chief Compliance Officer, RIMCo; Chief Compliance Officer, RFSC; Chief Compliance Officer, Russell Exchange Traded Funds Trust April 2002-May 2005, Manager, Global Regulatory Policy	N/A

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012.


Disclosure of Information about Fund Trustees and Officers		201

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

1301 Second Avenue, Seattle, Washington 98101

(888) 775-3837

Interested Trustee

James Polisson*

Independent Trustees

Evelyn S. Dilsaver

Jane A. Freeman

Lee T. Kranefuss**

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson, President and Chief Executive Officer

Mark E. Swanson, Treasurer, Chief Financial Officer and Chief Accounting Officer

Mary Beth Rhoden, Secretary and Chief Legal Officer

Cheryl Wichers, Chief Compliance Officer

Adviser

Russell Investment Management Company

1301 Second Avenue

Seattle, Washington 98101

Administrator

Russell Fund Services Company

1301 Second Avenue

Seattle, Washington 98101

Transfer and Dividend Disbursing Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Custodian

State Street Bank and Trust Company

Josiah Quincy Building

200 Newport Avenue

North Quincy, MA 02171

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1420 Fifth Avenue, Suite 1900

Seattle, WA 98101

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012.


	202			Adviser and Service Providers


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

LOGO

2012 ANNUAL REPORT

Russell Exchange

Traded Funds Trust

Russell High Dividend Yield ETFs^™

MARCH 31, 2012

FUND

Russell High Dividend Yield ETF

Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded

Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. These financial statements report on 2 of these Funds.

Russell Exchange Traded

Funds Trust

Russell High Dividend Yield ETFs^™

Annual Report

March 31, 2012

Table of Contents


	Page
To Our Shareholders		3
Market Summary		4
Russell High Dividend Yield ETF		6
Russell Small Cap High Dividend Yield ETF		18
Notes to Schedule of Investments		30
Notes to Financial Statements		31
Report of Independent Registered Public Accounting Firm		36
Frequency Distribution of Discounts and Premiums		37
Tax Information		38
Shareholder Requests for Additional Information		39
Basis for Approval of Investment Advisory Contracts		40
Disclosure of Information about Fund Trustees and Officers		42
Adviser and Service Providers		44

Russell Exchange Traded Funds Trust.

Russell Investments is a Washington, USA corporation, which operates through subsidiaries worldwide and is a subsidiary of The Northwestern Mutual Life Insurance Company.

Securities distributed through ALPS Distributors, Inc. member FINRA, not affiliated with Russell Investments.

To Our Shareholders

From all of us at Russell Investments, thank you for the trust you have placed in our firm.

Best regards,

LOGO

James G. Polisson

Managing Director

CEO, Russell Exchange Traded Funds


To Our Shareholders		3

Russell Exchange Traded Funds Trust

Market Summary as of March 31, 2012 — (Unaudited)

The factor environment generally favored stocks with higher growth prospects and more cyclical earnings patterns. Stocks with high beta performed well, as did stocks with above average historical earnings per share growth and high growth forecasts. Stocks with high dividend yields underperformed the market, as did stocks with high debt to capital


	4			Market Summary

Russell Exchange Traded Funds Trust

ratios. The underperformance of stocks of the most leveraged companies was one factor that deviated from what many thought of as a “risk on” theme during the quarter.


Market Summary		5

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs

Portfolio Management Discussions and Analysis — March 31, 2012 (Unaudited)

LOGO



Average Annual Total Return
	Net Asset Value			Market Value			Russell Large Cap High Dividend Yield Index**
Inception*		0.16	%		0.21	%		0.17	%


	6			Russell High Dividend Yield ETFs

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell High Dividend Yield ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap High Dividend Yield Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Large Cap High Dividend Yield Index, which is designed to select securities with high dividend yields.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 0.16%. This is compared to the Fund’s benchmark, the Russell U.S. Large Cap High Dividend Yield Index, which gained 0.17% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Consumer discretionary was the best performing sector for the Fund and the Index, while energy was the worst performing sector. Health care, with an average weight of 19.4% was the best contributor to Fund and Index returns. Energy, with an average weight of 7.7%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Johnson & Johnson, FirstEnergy Corp, and M&T Bank Corp generated positive returns and contributed the most to Fund performance while Verizon Communications Inc, ConocoPhillips, and CenturyLink Inc, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares March 15, 2012.

The Russell U.S. Large Cap High Dividend Yield Index is designed to select securities with high dividend yields. The Index includes securities in the Russell 1000^® Index (an index comprised of U.S. large capitalization securities) with high dividend yields and quality characteristics such as dividend growth, earnings stability and sustained profitability. The Index is market-cap weighted and reconstituted quarterly.


Russell High Dividend Yield ETF		7

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value March 15, 2012	$	1,000.00	$	1,000.00
Ending Account Value March 31, 2012	$	1,001.60	$	1,023.15
Expenses Paid During Period*	$	0.15	$	1.67

Actual Expenses are equal to the Fund’s annualized expense ratio of 0.33% (representing the 17-day period annualized), multiplied by the average account value over the period, multiplied by 17/366 (to reflect the period since commencement of operations). Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.33% (representing the six-month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half period).


	8			Russell High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Consumer Discretionary - 0.8%
Hasbro, Inc.		616		22
Leggett & Platt, Inc.		762		18

				40


Consumer Staples - 7.6%
ConAgra Foods, Inc.		2,184		57
HJ Heinz Co.		1,718		92
Kimberly-Clark Corp.		2,098		156
Reynolds American, Inc.		1,790		74

				379


Energy - 7.6%
ConocoPhillips		3,198		243
Diamond Offshore Drilling, Inc.		368		25
Spectra Energy Corp.		3,470		109

				377


Financial Services - 10.2%
Ares Capital Corp.		1,126		18
Arthur J Gallagher & Co.		562		20
Capitol Federal Financial, Inc.		852		10
Chimera Investment Corp. (ö)		2,018		6
Cincinnati Financial Corp.		744		26
Cullen/Frost Bankers, Inc.		272		16
Digital Realty Trust, Inc. (ö)		198		15
Equity Residential (ö)		578		36
HCP, Inc. (ö)		798		31
Health Care REIT, Inc. (ö)		376		21
Kimco Realty Corp. (ö)		800		15
Liberty Property Trust (ö)		226		8
M&T Bank Corp.		638		56
Macerich Co. (The) (ö)		258		15
Mack-Cali Realty Corp. (ö)		170		5
Mercury General Corp.		136		6
NYSE Euronext		1,332		41
Old Republic International Corp.		1,318		14
PartnerRe, Ltd. - ADR		344		23
People’s United Financial, Inc.		1,916		25
Piedmont Office Realty Trust, Inc. Class A (ö)		340		6
Rayonier, Inc. (ö)		240		11
Realty Income Corp. (ö)		262		10
Regency Centers Corp. (ö)		176		8
Senior Housing Properties Trust (ö)		320		7
Ventas, Inc. (ö)		498		28
Vornado Realty Trust (ö)		362		30

				507


Health Care - 19.5%
Bristol-Myers Squibb Co.		7,609		257
Eli Lilly & Co.		5,459		220


	Principal Amount ($) or Shares		Market Value $
Johnson & Johnson		3,760		248
Merck & Co., Inc.		6,413		246

				971


Materials and Processing - 9.8%
EI du Pont de Nemours & Co.		4,813		255
Greif, Inc. Class A		204		11
International Paper Co.		2,334		82
Nucor Corp.		1,688		72
RPM International, Inc.		696		18
Sonoco Products Co.		532		18
Southern Copper Corp.		918		29

				485


Producer Durables - 4.9%
Paychex, Inc.		1,726		53
Raytheon Co.		1,902		100
Waste Management, Inc.		2,532		89

				242


Technology - 1.0%
Diebold, Inc.		348		13
Microchip Technology, Inc.		1,016		38

				51


Utilities - 38.4%
AGL Resources, Inc.		622		24
Alliant Energy Corp.		592		26
Ameren Corp.		1,288		42
American Electric Power Co., Inc.		2,572		99
AT&T, Inc.		8,001		249
CenturyLink, Inc.		3,266		126
Consolidated Edison, Inc.		1,562		91
DTE Energy Co.		904		50
Exelon Corp.		3,536		139
FirstEnergy Corp.		2,232		102
Hawaiian Electric Industries, Inc.		508		13
Integrys Energy Group, Inc.		418		22
NextEra Energy, Inc.		2,252		138
NSTAR LLC		554		27
Pinnacle West Capital Corp.		582		28
PPL Corp.		3,082		87
Public Service Enterprise Group, Inc.		2,700		83
Southern Co.		4,535		204
TECO Energy, Inc.		1,148		20
UGI Corp.		596		16
Vectren Corp.		436		13
Verizon Communications, Inc.		6,423		246
Xcel Energy, Inc.		2,584		68

				1,913


Total Common Stocks (cost $4,952)				4,965


Russell High Dividend Yield ETF		9

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares			Market Value $

Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		10,852	(¥)		11


Total Short-Term Investments (cost $11)					11


Total Investments - 100.0% (identified cost $4,963)					4,976

Other Assets and Liabilities, Net - 0.0%					2


Net Assets - 100.0%					4,978


	10			Russell High Dividend Yield ETF

See accompanying notes which are an integral part of the financial statements.

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	40	$	—	$	—	$	40		0.8
Consumer Staples		379		—		—		379		7.6
Energy		377		—		—		377		7.6
Financial Services		507		—		—		507		10.2
Health Care		971		—		—		971		19.5
Materials and Processing		485		—		—		485		9.8
Producer Durables		242		—		—		242		4.9
Technology		51		—		—		51		1.0
Utilities		1,913		—		—		1,913		38.4
Short-Term Investments		—		11		—		11		0.2

Total Investments		4,965		11		—		4,976		100.0

Other Assets and Liabilities, Net										—	*

										100.0

*	Less than .05% of net assets.

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

There

were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.


Russell High Dividend Yield ETF		11

See accompanying notes which are an integral part of the financial statements.

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell High Dividend Yield ETF

Assets
Investments, at identified cost	$	4,963
Investments, at market*		4,976
Receivables:
Dividends and interest		3

Total assets		4,979


Liabilities
Payables:
Accrued fees to affiliates		1

Total liabilities		1


Net Assets	$	4,978

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	2
Unrealized appreciation (depreciation) on investments		13
Shares of beneficial interest		—	**
Additional paid-in capital		4,963

Net Assets	$	4,978

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	24.89
Net assets	$	4,977,792
Shares outstanding ($.001 par value)		200,004
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	11

**	Less than 500.

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	12			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell High Dividend Yield ETF*

Investment Income
Dividends	$	3

Total investment income		3


Expenses
Management fees		1
Trustee and trustee related fees		—	**

Expenses before reductions		1
Expense reductions		—	**

Net expenses		1

Net investment income (loss)		2


Net Realized and Unrealized Gain (Loss)
Net change in unrealized appreciation (depreciation) on investments		13

Net realized and unrealized gain (loss)		13

Net Increase (Decrease) in Net Assets from Operations	$	15

*	For the period March 15, 2012 (commencement of operations) to March 31, 2012.

**	Less than $500.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		13

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell High Dividend Yield ETF
Amounts in thousands	2012*

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	2
Net change in unrealized appreciation (depreciation)		13

Net increase (decrease) in net assets from operations		15


Share Transactions
Net increase (decrease) in net assets from share transactions		4,963

Total Net Increase (Decrease) in Net Assets		4,978

Net Assets
Beginning of period		—

End of period	$	4,978

Undistributed (overdistributed) net investment income included in net assets	$	2

*	For the period March 15, 2012 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	14			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations
Russell High Dividend Yield ETF
March 31, 2012*		24.85		.01		.03		.04

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period March 15, 2012 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	16			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	24.89		0.16		4,978		.59		.33		1.04		—

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		17

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

LOGO



Average Annual Total Return
	Net Asset Value			Market Value			Russell Small Cap High Dividend Yield Index**
Inception*		1.14	%		1.26	%		1.16	%


	18			Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Portfolio Management Discussion and Analysis — March 31, 2012 (Unaudited)

The Russell Small Cap High Dividend Yield ETF (the “Fund”) is an index-based exchange-traded fund that seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap High Dividend Yield Index (the “Index”). Russell Investment Management Company (“RIMCo”), as the Fund’s advisor, uses a “passive” or indexing approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to “beat” the Index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The Fund will normally invest at least 80% of its total assets in securities that comprise the Index.

What is the Fund’s investment objective?

The Fund seeks investment results that closely correspond to the total return of the Russell U.S. Small Cap High Dividend Yield Index, which is designed to select securities with high dividend yields.

Is the Fund replicating or sampling?

The Fund is replicating.

How did the Fund perform relative to its benchmark for the fiscal year ended March 31, 2012?

For the fiscal year ended March 31, 2012, the Fund gained 1.14%. This is compared to the Fund’s benchmark, the Russell U.S. Small Cap High Dividend Yield Index, which gained 1.16% during the same period. The Fund’s performance includes operating expenses, whereas indexes are unmanaged and index returns do not include expenses of any kind.

There were no significant changes to either the Fund or Index during the reporting period.

Did the Fund outperform or underperform the benchmark or was performance as expected based on expenses, etc.?

The Fund performed as expected against the benchmark.

Over the reporting period, please describe those sectors that outperformed or underperformed.

Sectors achieved both positive and negative returns for the Fund and the Index. Materials & processing was the best performing sector for the Fund and the Index, while technology was the worst performing sector. Financial services, with an average weight of 55.8% was the best contributor to Fund and Index returns. Technology, with an average weight of 0.5%, was the worst contributor to Fund and Index returns.

Over the reporting period, please describe those individual securities (constituents) that outperformed or underperformed.

Extra Space Storage Inc, Highwoods Properties Inc, and Snyders-Lance Inc generated positive returns and contributed the most to Fund performance while United Bankshares Inc, Cal-Maine Foods Inc, and Alterra Capital Holdings Ltd, all declined which detracted from Fund performance.

The views expressed in this report reflect those of the portfolio managers only through the end of the period covered by the report. These views do not necessarily represent the views of RIMCo, or any other person in RIMCo or any other affiliated organization. These views are subject to change at any time based upon market conditions or other events, and RIMCo disclaims any responsibility to update the views contained herein. These views should not be relied on as investment advice and, because investment decisions for a Russell Exchange Traded Funds Trust (“RET”) Fund are based on numerous factors, should not be relied on as an indication of investment decisions of any RET Fund.

Commenced operations by issuing shares March 15, 2012.

The Russell U.S. Small Cap High Dividend Yield Index is designed to select securities with high dividend yields. The Index includes securities in the Russell 2000^® Index (an index comprised of U.S. small capitalization securities) with high dividend yields and quality characteristics such as dividend growth, earnings stability and sustained profitability. The Index is market-cap weighted and reconstituted quarterly.


Russell Small Cap High Dividend Yield ETF		19

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Shareholder Expense Example — March 31, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)

Beginning Account Value
March 15, 2012	$	1,000.00	$	1,000.00
Ending Account Value
March 31, 2012	$	1,011.40	$	1,023.10
Expenses Paid During Period*	$	0.18	$	1.92

Actual Expenses are equal to the Fund’s annualized expense ratio of 0.38% (representing the 17-day period annualized), multiplied by the average account value over the period, multiplied by 17/366 (to reflect the period since commencement of operations). Hypothetical expenses are equal to the Fund’s annualized expense ratio of 0.38% (representing the six-month period annualized), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half period).


	20			Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Schedule of Investments — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.6%
Consumer Discretionary - 6.0%
Bob Evans Farms, Inc.		538		20
Cato Corp. (The) Class A		491		14
Cinemark Holdings, Inc.		1,663		36
CSS Industries, Inc.		144		3
Hillenbrand, Inc.		1,114		26
Marcus Corp.		362		5
Meredith Corp.		645		21
Nutrisystem, Inc.		479		5
Speedway Motorsports, Inc.		210		4
Stage Stores, Inc.		553		9
Stewart Enterprises, Inc. Class A		1,399		8

				151


Consumer Staples - 3.6%
Calavo Growers, Inc.		210		6
Cal-Maine Foods, Inc.		252		10
Lancaster Colony Corp.		332		21
Snyders-Lance, Inc.		839		22
Universal Corp.		411		19
WD-40 Co.		284		13

				91


Financial Services - 55.7%
Advance America Cash Advance Centers, Inc.		979		10
Agree Realty Corp. (ö)		175		4
Alterra Capital Holdings, Ltd.		1,624		37
American Campus Communities, Inc. (ö)		1,215		55
Arrow Financial Corp.		180		4
Bancfirst Corp.		119		5
Berkshire Hills Bancorp, Inc.		368		8
BioMed Realty Trust, Inc. (ö)		2,751		53
BlackRock Kelso Capital Corp.		1,297		13
Brookline Bancorp, Inc.		1,204		11
Bryn Mawr Bank Corp.		193		4
Chemical Financial Corp.		488		11
Citizens & Northern Corp.		216		4
City Holding Co.		271		9
Community Bank System, Inc.		653		19
CVB Financial Corp.		1,587		19
Entertainment Properties Trust (ö)		835		39
Epoch Holding Corp.		262		6
Equity One, Inc. (ö)		953		19
Extra Space Storage, Inc. (ö)		1,679		48
Financial Institutions, Inc.		245		4
First Community Bancshares, Inc.		282		4
First Financial Bancorp		1,035		18
First Financial Bankshares, Inc.		558		20
First Financial Corp.		198		6
FirstMerit Corp.		1,955		33
Flushing Financial Corp.		558		8
FNB Corp.		2,414		29
GAMCO Investors, Inc. Class A		121		6
Glacier Bancorp, Inc.		1,277		19
Hancock Holding Co.		1,365		49


	Principal Amount ($) or Shares		Market Value $
Hercules Technology Growth Capital, Inc.		778		9
Highwoods Properties, Inc. (ö)		1,290		43
Horace Mann Educators Corp.		708		12
Iberiabank Corp.		525		28
Independent Bank Corp.		381		11
Inland Real Estate Corp. (ö)		1,370		12
International Bancshares Corp.		942		20
Kohlberg Capital Corp.		340		2
Lakeland Financial Corp.		288		7
LTC Properties, Inc. (ö)		539		17
Main Street Capital Corp.		407		10
Medical Properties Trust, Inc. (ö)		1,984		18
Montpelier Re Holdings, Ltd.		1,108		21
MVC Capital, Inc.		426		6
National Health Investors, Inc. (ö)		433		21
National Retail Properties, Inc. (ö)		1,868		52
NBT Bancorp, Inc.		612		14
Northwest Bancshares, Inc.		1,732		22
OceanFirst Financial Corp.		260		4
Old National Bancorp		1,683		22
Omega Healthcare Investors, Inc. (ö)		1,818		39
OneBeacon Insurance Group, Ltd. Class A		394		6
Park National Corp.		229		16
PennantPark Investment Corp.		810		8
Peoples Bancorp, Inc.		188		3
Prospect Capital Corp.		1,936		21
Provident Financial Services, Inc.		1,074		16
Provident New York Bancorp		676		6
PS Business Parks, Inc. (ö)		331		22
Ramco-Gershenson Properties Trust (ö)		684		8
Renasant Corp.		445		7
RLI Corp.		324		23
Rockville Financial, Inc.		524		6
S&T Bancorp, Inc.		498		11
Safety Insurance Group, Inc.		224		9
Sandy Spring Bancorp, Inc.		428		8
SCBT Financial Corp.		248		8
Selective Insurance Group, Inc.		959		17
Simmons First National Corp. Class A		308		8
Sovran Self Storage, Inc. (ö)		492		25
State Auto Financial Corp.		260		4
Sterling Bancorp		549		5
TICC Capital Corp.		573		6
Tompkins Financial Corp.		144		6
Triangle Capital Corp.		393		8
Trico Bancshares		250		4
Trustco Bank Corp.		1,652		9
Trustmark Corp.		1,137		28
UMB Financial Corp.		569		25
Umpqua Holdings Corp.		2,036		28
United Bankshares, Inc.		892		26
United Financial Bancorp, Inc.		286		5
Univest Corp. of Pennsylvania		298		5
Urstadt Biddle Properties, Inc. Class A (ö)		409		8
WesBanco, Inc.		410		8
Westamerica Bancorporation		513		25
Westfield Financial, Inc.		498		4

				1,396


Russell Small Cap High Dividend Yield ETF		21

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Schedule of Investments, continued — March 31, 2012

Amounts in thousands (except share amounts)


	Principal Amount ($) or Shares		Market Value $

Health Care - 3.1%
Computer Programs & Systems, Inc.		197		11
Landauer, Inc.		167		9
Meridian Bioscience, Inc.		728		14
National Healthcare Corp.		182		8
National Research Corp.		32		1
Owens & Minor, Inc.		1,141		35

				78


Materials and Processing - 5.6%
A Schulman, Inc.		548		15
Aceto Corp.		473		4
Innophos Holdings, Inc.		385		19
Kaydon Corp.		579		15
Olin Corp.		1,427		31
PH Glatfelter Co.		775		12
Quaker Chemical Corp.		227		9
Sensient Technologies Corp.		896		35

				140


Producer Durables - 8.6%
ABM Industries, Inc.		942		23
Applied Industrial Technologies, Inc.		753		31
Brady Corp. Class A		844		27
Briggs & Stratton Corp.		896		16
Granite Construction, Inc.		686		20
Healthcare Services Group, Inc.		1,179		25
Houston Wire & Cable Co.		316		4
Insperity, Inc.		407		12
Kaman Corp. Class A		467		16
Mine Safety Appliances Co.		482		20
MTS Systems Corp.		277		15
US Ecology, Inc.		325		7

				216


Technology - 0.5%
American Software, Inc. Class A (Æ)		404		3
United Online, Inc.		1,574		8

				11


Utilities - 16.5%
Allete, Inc.		566		23
Avista Corp.		1,024		26
Central Vermont Public Service Corp.		238		8
CH Energy Group, Inc.		276		18
Chesapeake Utilities Corp.		170		7
Cleco Corp.		1,091		44
Empire District Electric Co. (The)		742		15
Laclede Group, Inc. (The)		398		16
MGE Energy, Inc.		411		18
New Jersey Resources Corp.		735		33
Northwest Natural Gas Co.		474		22
NorthWestern Corp.		644		23
Otter Tail Corp.		640		14


	Principal Amount ($) or Shares			Market Value $
Piedmont Natural Gas Co., Inc.		1,284			40
Portland General Electric Co.		1,348			34
Southwest Gas Corp.		821			35
WGL Holdings, Inc.		917			37

					413


Total Common Stocks (cost $2,478)					2,496


Short-Term Investments - 0.5%
Russell U.S. Cash Management Fund		12,022	(¥)		12


Total Short-Term Investments (cost $12)					12


Total Investments - 100.1% (identified cost $2,490)					2,508

Other Assets and Liabilities, Net - (0.1%)					(2	)


Net Assets - 100.0%					2,506

See accompanying notes which are an integral part of the financial statements.


	22			Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Presentation of Portfolio Holdings — March 31, 2012

Amounts in thousands


	Market Value
Portfolio Summary	Level 1		Level 2		Level 3		Total		% of Net Assets

Common Stocks
Consumer Discretionary	$	151	$	—	$	—	$	151		6.0
Consumer Staples		91		—		—		91		3.6
Financial Services		1,396		—		—		1,396		55.7
Health Care		78		—		—		78		3.1
Materials and Processing		140		—		—		140		5.6
Producer Durables		216		—		—		216		8.6
Technology		11		—		—		11		0.5
Utilities		413		—		—		413		16.5
Short-Term Investments		—		12		—		12		0.5

Total Investments		2,496		12		—		2,508		100.1

Other Assets and Liabilities, Net										(0.1	)

										100.0

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

There

were no significant transfers in and out of levels 1, 2 and 3 during the period ending March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


Russell Small Cap High Dividend Yield ETF		23

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Statement of Assets and Liabilities — March 31, 2012


Amounts in thousands	Russell Small Cap High Dividend Yield ETF
Assets
Investments, at identified cost	$	2,490
Investments, at market*		2,508
Receivables:
Dividends and interest		4

Total assets		2,512


Liabilities
Payables:
Investments purchased		6
Accrued fees to affiliates		—	**

Total liabilities		6


Net Assets	$	2,506

Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	10
Unrealized appreciation (depreciation) on investments		18
Shares of beneficial interest		—	**
Additional paid-in capital		2,478

Net Assets	$	2,506

Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	25.06
Net assets	$	2,506,189
Shares outstanding ($.001 par value)		100,004
Amounts in thousands

* Investments in Affiliates, Russell U.S. Cash Management Fund	$	12

**	Less than $500.

(a)	Net asset value per share equals net assets divided by shares outstanding.

See accompanying notes which are an integral part of the financial statements.


	24			Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Statement of Operations — For the Period Ended March 31, 2012


Amounts in thousands	Russell Small Cap High Dividend Yield ETF*

Investment Income
Dividends	$	10

Total investment income		10


Expenses
Management fees		—	**
Trustee and trustee related fees		—	**

Expenses before reductions		—	**
Expense reductions		(—	)**

Net expenses		—	**

Net investment income (loss)		10


Net Realized and Unrealized Gain (Loss)
Net change in unrealized appreciation (depreciation) on investments		18

Net realized and unrealized gain (loss)		18

Net Increase (Decrease) in Net Assets from Operations	$	28

*	For the period March 15, 2012 (commencement of operations) to March 31, 2012.

**	Less than $500.

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		25

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Statement of Changes in Net Assets — For the Period Ended March 31,


	Russell Small Cap High Dividend Yield ETF

Amounts in thousands	2012*
Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	10
Net change in unrealized appreciation (depreciation)		18

Net increase (decrease) in net assets from operations		28


Share Transactions
Net increase (decrease) in net assets from share transactions		2,478

Total Net Increase (Decrease) in Net Assets		2,506

Net Assets
Beginning of period		—

End of period	$	2,506

Undistributed (overdistributed) net investment income included in net assets	$	10

*	For the period March 15, 2012 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	26			Statement of Changes in Net Assets

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Financial Highlights — For the Period Ended

For a Share Outstanding Throughout Each Period.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations
Russell Small Cap High Dividend Yield ETF
March 31, 2012*		24.78		.11		.17		.28

(a)	Average daily shares outstanding were used for this calculation.

(b)	Periods less than one year are not annualized.

(c)	The ratios for periods less than one year are annualized.

(d)	Portfolio turnover rate excludes securities received or delivered from in-kind creation or redemption units.

*	For the period March 15, 2012 (commencement of operations) to March 31, 2012.

See accompanying notes which are an integral part of the financial statements.


	28			Financial Highlights


$ Net Asset Value, End of Period		% Total Return(b)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Gross(c)		% Ratio of Expenses to Average Net Assets, Net(c)		% Ratio of Net Investment Income to Average Net Assets(c)		% Portfolio Turnover Rate(b)(d)

	25.06		1.14		2,506		.63		.38		8.89		—

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		29

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Schedules of Investments — March 31, 2012

Footnotes:

(Æ)	Nonincome-producing security.

(ö)	Real Estate Investment Trust (REIT).

(¥)	Unrounded units.

Abbreviations:

ADR - American Depositary Receipt


	30			Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Financial Statements — March 31, 2012

Organization

Significant Accounting Policies

Security Valuation

•

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

•

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board of Trustees (the “Board”) or persons acting at their direction that are used in determining the fair market value of investments.

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


Notes to Financial Statements		31

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Financial Statements, continued — March 31, 2012

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

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

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

Level 3 Trading Assets and Trading Liabilities, at Fair Value

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

principle or requirement for measuring fair value or for disclosing information about fair value measurements.

Investment Transactions

Investment Income

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


	32			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Federal Income Taxes

The Funds comply with the authoritative guidance for uncertainty in income taxes which requires management to determine whether a tax position of the Funds is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For tax positions meeting the more likely than not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than 50% likelihood of being realized upon ultimate settlement with the relevant taxing authority. Management determined that no accruals need to be made in the financial statements due to uncertain tax positions. Management continually reviews and adjusts its liability for income taxes based on analyses of tax laws and regulations, as well as their interpretations, and other relevant factors.

Dividends and Distributions to Shareholders

The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations which may differ from U.S. GAAP. As a result, net investment income and net realized gain (or loss) from investment transactions for a reporting period may differ significantly from distributions during such period. The differences between tax regulations and U.S. GAAP relate primarily to wash sale deferrals and certain securities sold at a loss. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset values.

Guarantees

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

Market, Credit and Counterparty Risk

ETF Specific Risk


Notes to Financial Statements		33

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Investment Transactions

Securities

During the period ended March 31, 2012, purchases and sales of the Funds (excluding investments held for short-term purposes and in-kind transactions) were as follows:


	Purchases		Sales

Russell Small Cap High Dividend Yield ETF	$	5,680	$	—

For the period ended March 31, 2012, the Funds’ purchases and sales resulting from in-kind redemptions were as follows:


	Purchases		Sales

Russell High Dividend Yield ETF	$	4,952,521	$	—
Russell Small Cap High Dividend Yield ETF		2,472,357		—

Related Party Transactions, Fees and Expenses

The Funds may also invest their cash reserves (the “Cash Balances”) in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of March 31, 2012, the Funds have invested $22,874 in the Russell U.S. Cash Management Fund.

The management fees specified in the table below are based upon the average daily net assets of the Funds and are payable monthly. The Adviser pays all of the expenses of the Funds other than the management fee, distribution fees pursuant to the Funds’ Supervision and Management Agreements, if any, brokerage expenses, taxes, interest fees, litigation expenses, acquired fund fees and other extraordinary expenses.


		Annual Rate

Russell High Dividend Yield ETF		0.33%
Russell Small Cap High Dividend Yield ETF		0.38%

The following shows the respective totals for management fees for the period ended March 31, 2012:


	Management

Russell High Dividend Yield ETF	$	581
Russell Small Cap High Dividend Yield ETF		440

Waivers and Reimbursements

The Adviser has voluntarily agreed to waive trustee and trustee related expenses paid by the Funds. For the period ended March 31, 2012, the total trustee and trustee related fees waived amounted to:


	Trustee

Russell High Dividend Yield ETF	$	464
Russell Small Cap High Dividend Yield ETF		294

Accrued Fees Payable to Affiliate

Accrued fees payable to affiliate for the period ended March 31, 2012 were as follows:


	Russell High Dividend Yield ETF		Russell Small Cap High Dividend Yield ETF

Management fees	$	581	$	440

Board of Trustees


	34			Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Notes to Financial Statements, continued — March 31, 2012

Chair and Nominating and Governance Chair are each paid a fee of $12,000 and $6,000, respectively, per year. The Chairman of the Board receives additional annual compensation of $20,000.

Federal Income Taxes

At March 31, 2012, the Funds did not have a net tax basis capital loss carryforwards which may be applied against any net realized taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first.

At March 31, 2012, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:


	Russell High Dividend Yield ETF			Russell Small Cap High Dividend Yield ETF

Cost of Investments	$	4,963,373		$	2,490,059

Unrealized Appreciation	$	41,552		$	38,933
Unrealized Depreciation		(29,031	)		(21,015	)

Net Unrealized Appreciation (Depreciation)	$	12,521		$	17,918

Undistributed Ordinary Income	$	1,890		$	9,817
Undistributed Long-Term Capital Gains (Capital Loss Carryforward)	$	—		$	—
Tax Composition of Distributions
Ordinary Income	$	—		$	—
Tax-Exempt Income	$	—		$	—
Long-Term Capital Gains	$	—		$	—
Distributions in Excess	$	—		$	—
Tax Return of Capital	$	—		$	—

Fund Share Transactions (amounts in thousands)

As of March 31, 2012, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Investment Company. Shares are created and redeemed by the Funds at their NAV only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of the Funds are not redeemable. The Shares are listed on the New York Stock Exchange Arca (“NYSE Arca” or the “Exchange”), subject to notice of issuance. The Shares trade on the Exchange at market prices. These prices may differ from the Shares’ NAV. The Shares are also redeemable only in Creation Unit aggregations, and generally in exchange for portfolio securities and a specified cash payment. Investors purchasing and redeeming Creation Units pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Funds’ Custodian. A Creation Unit of a Fund consists of at least 50,000 Shares. Transactions in shares for the Funds for the period ended March 31, 2012 were as follows:


	2012*
	Shares		Dollars

Russell High Dividend Yield ETF
Shares created		200	$	4,963
Shares redeemed		—		—

Total increase (decrease)		200	$	4,963


	2012*
	Shares		Dollars
Russell Small Cap High Dividend Yield ETF
Shares created		100	$	2,478
Shares redeemed		—		—

Total increase (decrease)		100	$	2,478

*	For the period March 15, 2012 (commencement of operations) to March 31, 2012.

Subsequent Events


Notes to Financial Statements		35

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders:

In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF (two of the portfolios constituting the Russell Exchange Traded Funds Trust, hereafter referred to as the “Funds”) at March 31, 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2012 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received, provide a reasonable basis for our opinion.

LOGO

PricewaterhouseCoopers LLP

Seattle, Washington

May 29, 2012


	36			Report of Independent Registered Public Accounting Firm

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Frequency Distribution of Discounts and Premiums (Unaudited)


	Russell High Dividend Yield ETF					Russell Small Cap High Dividend Yield ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days			Number of Days*		Percentage of Total Days

Greater than 0.20% and Less than 1.00%		1		5.56	%		0		0.00	%
Greater than 0.05% and Less than 0.20%		9		50.00	%		15		83.33	%
Between 0.05% and -0.05%		8		44.44	%		3		16.67	%
Greater than -0.05% and Less than -0.20%		0		0.00	%		0		0.00	%
Greater than -0.20% and less than -1.00%		0		0.00	%		0		0.00	%

		18		100.00	%		18		100.00	%

*	Number of days are based on inception date which is one day prior to commencement of operations.


Frequency Distribution of Discounts and Premiums		37

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Tax Information — March 31, 2012 (Unaudited)

For the tax year ended March 31, 2012, the Funds hereby designate 100% or the maximum amount allowable, of its net taxable income as qualified dividends taxed at individual net capital gain rates.

The Form 1099 you receive in January 2013 will show the tax status of all distributions paid to your account in calendar year 2012.

The Funds designate dividends distributed during the fiscal year as qualifying for the dividends received deduction for corporate shareholders as follows:


Russell High Dividend Yield ETF	0.0	%
Russell Small Cap High Dividend Yield ETF	0.0	%

Please consult a tax adviser for any questions about federal or state income tax laws.


	38			Tax Information

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Shareholder Requests for Additional Information — March 31, 2012 (Unaudited)

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

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

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


Shareholder Requests for Additional Information		39

Russell Investment Company

Russell Funds

Basis for Approval of Investment Advisory Contracts — (Unaudited)

The Board of Trustees, including all of the Independent Trustees, considered and approved the adoption of the management agreement with RIMCo (the “RIMCo Agreement”) with respect to Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF (the “Funds”) at a meeting held in person on December 9, 2011 (the “Agreement Evaluation Meeting”). In preparation for the Agreement Evaluation Meeting, the Independent Trustees, with the advice and assistance of their counsel, requested and the Board considered (1) information, reports and analyses prepared by RIMCo relating to the services provided by RIMCo (and its affiliates) to the Funds at this and prior meetings; and (2) information (the “Comparative Information”) received from RIMCo comparing the operating expenses of each of the Funds with other peer funds not managed by RIMCo within a subset of dividend yield ETFs chosen by RIMCo using industry information provided by Morningstar, an independent third party. In the case of each Fund its other peer funds are collectively hereinafter referred to as the Fund’s “Comparable Funds,” and, with the Fund, such Comparable Funds are collectively hereinafter referred to as the Fund’s “Expense Universe.” The foregoing information provided by RIMCo is collectively called the “Agreement Evaluation Information.” In connection with their consideration of the RIMCo Agreement, the Trustees had previously received and reviewed a memorandum from counsel to the Funds discussing the legal standards for their consideration of the adoption of the RIMCo Agreement.

In addition to these general factors relating to the Funds, the Trustees considered, with respect to each Fund, various specific factors in evaluating the adoption of the RIMCo Agreement, including the following:

1.	The nature, scope and overall quality of the investment management and other services provided, and expected to be provided, to the Fund by RIMCo;

3.	Information provided by RIMCo as to other fees and benefits received by RIMCo or its affiliates from the Fund, including soft dollar arrangements and commissions in connection with portfolio securities transactions;

4.	Information provided by RIMCo as to expenses to be incurred by the Fund; and

5.	Information provided by RIMCo at prior meetings as to the profits that RIMCo expects to derive from the Fund’s operations.


	40			Basis for Approval of Investment Advisory Contracts

Russell Investment Company

Russell Funds

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

RIMCo also reported, and the Board considered, that on an ongoing basis, RIMCo will provide rebalancing, trade execution and account reconciliation services for the Funds.

With respect to the Management Fee for each of Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF, the Comparative Information showed that the Management Fee for each Fund was ranked in the second quintile of its Expense Universe. RIMCo reported, and the Board considered, that RIMCo believes these Funds track indexes that are representative of the analysis done by active managers and therefore merit fees that are higher than those of the more traditional passively managed ETFs contained in the Funds’ Expense Universe. The comparisons were based upon the latest fiscal years for the Expense Universe Funds.

In their deliberations, the Trustees did not identify any particular information as to the RIMCo Agreement that was all-important or controlling, and each Trustee attributed different weights to the various factors considered. The Trustees evaluated all information available to them on a Fund-by-Fund basis and their determinations were made in respect of each Fund.


Basis for Approval of Investment Advisory Contracts		41

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Disclosure of Information about Fund Trustees and Officers — March 31, 2012 (Unaudited)

Name, Address,
and Date of Birth

Position(s) Held
with the Fund

Term of Office
and Length of
Time Served

Principal Occupation(s)
During Past 5 Years

Number of
Portfolios in
Fund
Complex
Overseen
by Trustee

Other
Directorships Held
by Trustee

INTERESTED TRUSTEES

James Polisson*

Born: November 11, 1959

Trustee

Since 2011

Managing Director and Head of Global ETF Business, Frank Russell Company (2010 to present); and Chief Marketing Officer, Barclays Global Investors/iShares ETFs (2005 to 2010).

None.

INDEPENDENT TRUSTEES

Evelyn S. Dilsaver

Born: May 4, 1955

Trustee, Chair since 2012

Since 2011

Corporate Director, Charles Schwab Investment Management (2003 to 2007); and President and Chief Executive Officer, Charles Schwab Investment Management (2004 to 2007).

Aeropostale,

Inc. (retailer) (2008 to present); High Mark Funds

(2008 to present); and Tempur-pedic, Int’l. (retailer) (2010 to present).

Jane A. Freeman

Born: July 15, 1953

Trustee, Chair of Audit Committee since 2011

Since 2011

Consultant (2008 to present); and Executive Vice President and Chief Financial Officer, Scientific Learning (Educational Support Services) (1999 to 2008).

Harding Loevner Funds (Lead Director since 2008).

Lee T. Kranefuss**

Born: September 27, 1961

Trustee

Since 2011

Barclays Global Investors Funds and Master Investment Portfolio (2001 to present).

Daniel O. Leemon

Born: October 25, 1953

Trustee

Since 2011

Retired.

Director, Corporate Executive Board (2003 to

present).

Ernest L. Schmider

Born: July 4, 1957

Trustee, Chairman of Nominating and Governance Committee since 2012

Since 2011

None.


	42			Disclosure of Information about Fund Trustees and Officers

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

Disclosure of Information about Fund Trustees and Officers, continued — March 31, 2012 (Unaudited)


	Position(s) Held with the Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee
OFFICERS
James Polisson* Born: November 11, 1959	President and Chief Executive Officer	Since 2011; until successor is chosen and qualified by Trustees	Managing Director and Head of Global ETF Business, FRC; Chief Marketing Officer, Barclays Global Investors/ iShares ETFs, 2005–2010	N/A

Mark E. Swanson Born: November 26, 1963	Treasurer, Chief Financial Officer and Chief Accounting Officer	Since 2011; until successor is chosen and qualified by Trustees	Treasurer, Chief Accounting Officer and CFO, Russell Investment Company and Russell Investment Funds; Director, Funds Administration, RIMCo, Russell Fund Services Company, Russell Trust Company (a non-depository trust company), and Russell Financial Services, Inc.; and Treasurer and Principal Accounting Officer, SSgA Funds	N/A

Mary Beth Rhoden Born: April 25, 1969	Secretary and Chief Legal Officer	Since 2011; until successor is chosen and qualified by Trustees	Associate General Counsel, FRC; Assistant Secretary, Russell Investment Company and Russell Investment Funds, 1999–2010; Secretary, RIMCo, Russell Fund Services Company and Russell Financial Services, Inc.; and Secretary and Chief Legal Officer, Russell Investment Company and Russell Investment Funds	N/A

Cheryl Wichers Born December 16, 1966	Chief Compliance Officer since 2005	Until removed by Independent Trustees	Chief Compliance Officer, RIC; Chief Compliance Officer, RIF; Chief Compliance Officer, RIMCo; Chief Compliance Officer, RFSC; Chief Compliance Officer, Russell Exchange Traded Funds Trust April 2002-May 2005, Manager, Global Regulatory Policy	N/A

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012.


Disclosure of Information about Fund Trustees and Officers		43

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

1301 Second Avenue, Seattle, Washington 98101

(888) 775-3837

Interested Trustee

James Polisson*

Independent Trustees

Evelyn S. Dilsaver

Jane A. Freeman

Lee T. Kranefuss**

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson, President and Chief Executive Officer

Mark E. Swanson, Treasurer, Chief Financial Officer and Chief Accounting Officer

Mary Beth Rhoden, Secretary and Chief Legal Officer

Cheryl Wichers, Chief Compliance Officer

Adviser

Russell Investment Management Company

1301 Second Avenue

Seattle, Washington 98101

Administrator

Russell Fund Services Company

1301 Second Avenue

Seattle, Washington 98101

Transfer and Dividend Disbursing Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Custodian

State Street Bank and Trust Company

Josiah Quincy Building

200 Newport Avenue

North Quincy, MA 02171

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1420 Fifth Avenue, Suite 1900

Seattle, WA 98101

*	Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee.

**	Ceased to be a Trustee effective April 25, 2012.


	44			Adviser and Service Providers


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

LOGO

Item 2. Code of Ethics. [Annual Report Only]

(a)	As of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer (“Code”).

(b)	That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote:

honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by each Mutual Fund;

compliance with applicable laws and governmental rules and regulations;

the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

accountability for adherence to the Code.

(c)	The Code was restated as of December 6, 2004; the restatement did not involve any material change.

(d)	As of the end of the period covered by the report, there have been no waivers granted from a provision of the Code that applies to the registrant’s principal executive officer and principal financial officer.

(e)	Not applicable.

(f)

The registrant has filed with the SEC, pursuant to Item 12(a)(1), a copy of the Code that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, as an exhibit to its annual report on this Form N-CSR.

Item 3. Audit Committee Financial Expert. [Annual Report Only]

Registrant’s board of trustees has determined at a meeting held on December 9, 2011, that the Registrant has at least one audit committee financial expert serving on its audit committee. Jane Freeman was determined to be the Audit Committee Financial Expert and is also determined to be “independent” for purposes of Item 3, paragraph (a)(2)(i) and (ii) of Form N-CSR.

Item 4. Principal Accountant Fees and Services. [Annual Report Only]

The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were as follows:


2011		$0
2012		$263,100

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item and the nature of the services comprising those fees were as follows:


	Fees	Nature of Services
2011	$0	Performance of the audit of the Trust’s financial statements
2012	$0	Performance of the audit of the Trust’s financial statements

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning and the nature of the services comprising the fees were as follows:


	Fees	Nature of Services
2011	$0	Tax services
2012	$43,110	Tax services

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item and the nature of the services comprising those fees were as follows:


	Fees	Nature of Services
2011	$0	Review excise reconciliations, transfer agent internal controls analysis, overhead/travel
2012	$0	Review excise reconciliations, transfer agent internal controls analysis, overhead/travel

(e) (1) Registrant’s audit committee has adopted the following pre-approval policies and procedures for certain services provided by Registrant’s accountants:

Russell Exchange Traded Fund Trust (“RET”)

Audit and Non-Audit Services Pre-Approval Policy

Effective Date: August 31, 2011

I.	Statement of Purpose.

This Policy has been adopted by the Audit Committee (the “Audit Committee”) of Russell Exchange Traded Fund Trust (“RET”) to apply to any and all engagements of the independent auditor to RET for audit, non-audit, tax or other services. The term “Fund” shall collectively refer to RET. The term “Investment Adviser” shall refer to the Fund’s advisor, Russell Investment Management Company (“RIMCo”). This Policy does not delegate to management the responsibilities set forth herein for the pre-approval of services performed by the Fund’s independent auditor.

II.

Statement of Principles.

Under the Sarbanes-Oxley Act of 2002 (the “Act”), the Audit Committee of a Fund’s Board of Trustees (the “Audit Committee”) is charged with responsibility for the appointment, compensation and oversight of the work of the independent auditor for the fund. As part of these responsibilities, the Audit Committee is required to pre-approve the audit services and permissible non-audit services (“non-audit services”) performed by the independent auditor for the fund to assure that the independence of the auditor is not in any way compromised or impaired. In determining whether an auditor is independent, there are three guiding principles under the Act that must be considered. In general, the independence of the auditor to the fund would be deemed impaired if the auditor provides a service whereby it:

•

Functions in the role of management of the fund, the adviser of the fund or any other affiliate* of the fund;

•

Is in the position of auditing its own work; or

•

Serves in an advocacy role for the fund, the adviser of the fund or any other affiliate of the fund.

Accordingly, it is the Fund’s policy that the independent auditor for the Fund must not be engaged to perform any service that contravenes any of the three guidelines set forth above, or which in any way could be deemed to impair or compromise the independence of the auditor for the Fund. This Policy is designed to accomplish those requirements and will henceforth be applied to all engagements by the Fund of its independent auditor, whether for audit, audit-related, tax, or other non-audit services.

Rules adopted by the United States Securities and Exchange Commission (the “SEC”) establish two distinct approaches to the pre-approval of services by the Audit Committee. The proposed services either may receive general pre-approval through adoption by the Audit Committee of a list of authorized services for the fund, together with a budget of expected costs for those services (“general pre-approval”), or specific pre-approval by the Audit Committee of all services provided to the fund on a case-by-case basis (“specific pre-approval”).

* For purposes of this Policy, an affiliate of the Fund is defined as the Fund’s investment adviser (but not a sub-adviser whose role is primarily portfolio management and whose activities are overseen by the principal investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund.

The Fund’s Audit Committee believes that the combination of these two approaches reflected in this Policy will result in an effective and efficient procedure for the pre-approval of permissible services performed by the Fund’s independent audit. The Fund’s Audit and Non-Audit Pre-Approved Services Schedule lists the audit, audit-related, tax and other services that have the general pre-approval of the Audit Committee. As set forth in this Policy, unless a particular service has received general pre-approval, those services will require specific pre-approval by the Audit Committee before any such services can be provided by the independent auditor. Any proposed service to the Fund that exceeds the pre-approved budget for those services will also require specific pre-approval by the appropriate Audit Committee.

In assessing whether a particular audit or non-audit service should be approved, the Audit Committee will take into account the ratio between the total amounts paid for audit, audit-related, tax and other services, based on historical patterns, with a view toward assuring that the level of fees paid for non-audit services as they relate to the fees paid for audit services does not compromise or impair the independence of the auditor. The Audit Committee will review the list of general pre-approved services, including the pre-approved budget for those services, at least annually and more frequently if deemed appropriate by the Audit Committee, and may implement changes thereto from time to time.

III.

Delegation.

As provided in the Act and in the SEC’s rules, the Audit Committee from time to time may delegate either general or specific pre-approval authority to one or more of its members. Any member to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next scheduled meeting.

IV.

Audit Services.

The annual audit services engagement terms and fees for the independent auditor for the Fund require specific pre-approval of the Audit Committee. Audit services include the annual financial statement audit and other procedures required to be performed by the independent auditor in order to be able to form an opinion on the financial statements for the Fund for that year. These other procedures include reviews of information systems, procedural reviews and testing performed in order to understand and rely on the Fund’s systems of internal control, and consultations relating to the audit. Audit services also include the attestation engagement for the independent auditor’s report on the report from management on financial reporting internal controls. The Audit Committee will review the audit services engagement as necessary or appropriate in the sole judgment of the Audit Committee.

In addition to the pre-approval by the Audit Committee of the annual engagement of the independent auditor to perform audit services, the Audit Committee may grant general pre-approval to other audit services, which are those services that only the independent auditor reasonably can provide. These may include statutory audits and services associated with the Fund’s SEC registration statement on Form N-1A, periodic reports and documents filed with the SEC or other documents issued in connection with the Fund’s securities offerings.

The Audit Committee has pre-approved the audit services set forth in Schedule A of the Audit and Non-Audit Pre-Approved Services Schedule. All other audit services not listed in Schedule A of the Audit and Non-Audit Pre-Approved Services Schedule must be specifically pre-approved by the Audit Committee.

V.	Audit-Related Services.

Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the financial statements for the Fund, or the separate financial statements for a series of the Fund that are traditionally performed by the independent auditor. Because the Audit Committee believes that the provision of audit-related services does not compromise or impair the independence of the auditor and is consistent with the SEC’s rules on auditor independence, the Audit Committee may grant pre-approval to audit related services. “Audit related services” include, among others, accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services;” assistance with understanding and implementing new accounting and financial report or disclosure matters not classified as “audit services;” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal reporting requirements under Form N-SAR and Form N-CSR.

The Audit Committee has pre-approved the audit-related services set forth in Schedule B of the Audit and Non-Audit Pre-Approved Services Schedule. All other audit-related services not listed in Schedule B of the Audit and Non-Audit Pre-Approved Services Schedule must be specifically pre-approved by the Audit Committee.

VI.

Tax Services.

The Audit Committee believes that the independent auditor can provide tax services to the Fund, such as tax compliance, tax planning and tax advice, without impairing the auditor’s independence and the SEC has stated that the independent auditor may provide such services. Consequently, the Audit Committee believes that it may grant general pre-approval to those tax services that have historically been provided by the auditor, that the Audit Committee has reviewed and believes would not impair the independence of the auditor, and that are consistent with the SEC’s rules on auditor independence. However, the Audit Committee will not permit the retention of the independent auditor to provide

tax advice in connection with any transaction recommended by the independent auditor, the sole business purpose of which may be tax avoidance and the tax treatment of which may not be supported by the United States Internal Revenue Code and related regulations or the applicable tax statutes and regulations that apply to the Fund’s investments outside the United States. The Audit Committees will consult with the Treasurer of the Fund or outside counsel to determine that the Fund’s tax planning and reporting positions are consistent with this policy.

The Audit Committee has pre-approved the tax services set forth in Schedule C of the Audit and Non-Audit Pre-Approved Services Schedule. All other tax services not listed in Schedule C of the Audit and Non-Audit Pre-Approved Services Schedule must be specifically pre-approved by the Audit Committee.

VII.

All Other Services.

The Audit Committee believes, based on the SEC’s rules prohibiting the independent auditor from providing specific non-audit services, that other types of non-audit services are permitted. Accordingly, the Audit Committee believes that it may grant general pre-approval to those permissible non-audit services classified as “all other” services that the Audit Committee believes are routine and recurring services, would not impair or compromise the independence of the auditor and are consistent with the SEC’s rules on auditor independence.

The Audit Committee has pre-approved the permissible “all other services” set forth in Schedule D of the Audit and Non-Audit Pre-Approved Services Schedule. Permissible “all other services” not listed in Schedule D of the Audit and Non-Audit Pre-Approved Services Schedule must be specifically pre-approved by the Audit Committee.

A list of the SEC’s prohibited non-audit services are as follows:

•

Bookkeeping or other services relating to the accounting records or financial statements of the Funds

•

Financial information system design and implementation

•

Appraisal or valuation services, fairness opinions or contribution-in-kind reports

•

Actuarial services

•

Internal audit outsourcing services

•

Management functions

•

Human resources services

•

Broker-dealer, investment adviser or investment banking services

•

Legal services

•

Expert services unrelated to the audit

The SEC’s rules and relevant official interpretations and guidance should be consulted to determine the scope of these prohibited services and the applicability of any exceptions to certain of the prohibitions. Under no circumstance may an executive, manager or associate of the Fund, or the Investment Advisor, authorize the independent auditor for the Fund to provide prohibited non-audit services.

VIII.

Pre-Approval Fee Levels or Budgeted Amounts.

Pre-Approval fee levels or budgeted amounts for all services to be provided by the independent auditor will be established annually by the Audit Committee and shall be subject to periodic subsequent review during the year if deemed appropriate by the Audit Committee (separate amounts may be specified for the Fund and for other affiliates in the investment company complex subject to pre-approval). Any proposed services exceeding these levels or amounts will require specific pre-approval by the Audit Committee. The Audit Committee will be mindful of the overall relationship of fees for audit and non-audit services in determining whether to pre-approve any such services. For each fiscal year, the Audit Committee may determine the appropriateness of the ratio between the total amount of fees for Audit, Audit-related, and Tax services for the Fund (including any Audit-related or Tax services fees for affiliates subject to pre-approval), and the total amount of fees for certain permissible non-audit services classified as “all other services” for the Fund (including any such services for affiliates subject to pre-approval by the Audit Committee).

IX.

Procedures.

All requests or applications for services to be provided by the independent auditor that do not require specific pre-approval by the Audit Committee will be submitted to the “RET Clearance Committee” (the “Clearance Committee”) (which shall be comprised of not less than three members, including the Treasurer of the Fund who shall serve as its Chairperson) and must include a detailed description of the services to be rendered and the estimated costs of those services. The Clearance Committee will determine whether such services are included within the list of services that have received general pre-approval by the Audit Committee. The Audit Committee will be informed not less frequently than quarterly by the Chairperson of the Clearance Committee of any such services rendered by the independent auditor for the Fund and the fees paid to the independent auditors for such services.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by both the independent auditor and the Clearance Committee and must include a joint certification by the engagement partner of the independent auditor and the Chairperson of the Clearing Committee that, in their view, the request or application is consistent with the SEC’s rules governing auditor independence.

The Internal Audit Department of Frank Russell Company, the parent company of RIMCo, and the officers of RET will report to the Chairman of the Audit Committee any breach of this Policy that comes to the attention of the Internal Audit Department of Frank Russell Company or an officer of RET.

X.	Additional Requirements.

The Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work performed by the independent auditor and to assure the independent auditor’s continuing independence from the Fund and its affiliates, including Frank Russell Company. Such efforts will include, but not be limited to, reviewing a written annual statement from the independent auditor delineating all relationships between the independent auditor and RET and Franks Russell Company and its subsidiaries and affiliates, consistent with Independence Standards Board Standard No. 1, and discussing with the independent auditor its methods and procedures for ensuring its independence.

(e) (2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X is as follows:


Audit Fees	0	%
Audit-Related Fees	0	%
Tax Fees	0	%
All Other Fees	0	%

(f) For services, 50 percent or more of which were pre-approved, the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) The aggregate non-audit fees billed by registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were as follows:


2011		$0
2012		$0

(h) The registrant’s audit committee of the board of trustees has considered whether the provision of nonaudit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant 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.

Items 5. Audit Committee of Listed Registrants. [Not Applicable]

Item 6. [Schedule of investments is included as part of the report to shareholders filed under Item 1 of this form]

Items 7-9. [Not Applicable]

Item 10. Submission of Matters to a Vote of Security Holders

There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.

Item 11. Controls and Procedures

(a) Registrant’s principal executive officer and principal financial officer have concluded that Registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the date this report is filed with the Securities and Exchange Commission.

(b) There were no significant changes in Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected or is likely to materially affect Registrant’s internal control over financial reporting.

Item 12. Exhibit List

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

(b) Certification for principal executive officer and principal financial officer of Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Russell Exchange Traded Funds Trust


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

Date: June 7, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


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

Date: June 7, 2012


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

Date: June 7, 2012

Russell Investments Exchange Traded Funds Trust Inactive N-CSRCertified annual shareholder report (management investment company)