Russell Investments Exchange Traded Funds Trust N-CSRS Certified semi-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

18^th Floor

Seattle, Washington 98101

206-505-4846

(Name and address of agent for service)

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

Date of fiscal year end: March 31

Date of reporting period: July 1, 2012 – September 30, 2012

Item 1. Reports to Stockholders

2012 SEMI-ANNUAL REPORT

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

SEPTEMBER 30, 2012

FUND

Russell Equity ETF

Russell Exchange Traded

Funds Trust

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

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^™

Semi-annual Report

September 30, 2012 (Unaudited)

Table of Contents

	Page
Russell Equity ETF		3
Statement of Assets and Liabilities		6
Statement of Operations		7
Statements of Changes in Net Assets		8
Financial Highlights		10
Notes to Financial Statements		12
Frequency Distribution of Discounts and Premiums		18
Shareholder Requests for Additional Information		19
Basis for Approval of Investment Advisory Contracts		20
Disclosure of Information about Fund Trustees and Officers		22
Adviser and Service Providers		24

Russell Exchange Traded Funds Trust.

Copyright © Russell Investments 2012. All rights reserved.

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.

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.

Russell Exchange Traded Funds Trust

Russell Equity ETF

Shareholder Expense Example — September 30, 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 April 1, 2012 to September 30, 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

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.

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 April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value September 30, 2012	$	1,006.90	$	1,023.25
Expenses Paid During Period*	$	1.76	$	1.78

* 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 183/365 (to reflect the one-half year period).

Russell Equity ETF 3

Russell Exchange Traded Funds Trust

Russell Equity ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Shares			Market Value $
Investments in Other ETFs - 99.0%
iShares MSCI Canada Index Fund		2,657			76
iShares MSCI EAFE Small Cap Index Fund		3,090			120
iShares Russell 1000 Growth Index Fund		2,144			143
iShares Russell 1000 Index Fund		25,092			1,993
Russell 1000 Low Volatility ETF		3,402			181
Vanguard MSCI EAFE ETF		25,772			846
Vanguard MSCI Emerging Markets ETF		5,054			211
Vanguard MSCI European ETF		3,624			164
Vanguard MSCI Pacific ETF		3,931			198
Vanguard Russell 2000		4,725			316
Total Investments in Other ETFs (cost $4,163)					4,248
Short-Term Investments - 1.0%
Russell U.S. Cash Management Fund		40,716	(¥)		41
Total Short-Term Investments (cost $41)					41
Total Investments - 100.0% (identified cost $4,204)					4,289
Other Assets and Liabilities, Net - 0.0%					—	±
Net Assets - 100.0%					4,289

(¥) Unrounded units.

± Less than $500.

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

4 Russell Equity ETF

Russell Exchange Traded Funds Trust

Russell Equity ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Investments in Other ETFs	$	4,248	$	—	$	—	$	4,248		99.0
Short-Term Investments		—		41		—		41		1.0
Total Investments		4,248		41		—		4,289		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 ended September 30, 2012.

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

Russell Equity ETF 5

Russell Exchange Traded Funds Trust

Russell Equity ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,204
Investments, at market*		4,289
Receivables:
Dividends		2
Total assets		4,291
Liabilities
Payables:
Accrued fees to affiliates		2
Total liabilities		2
Net Assets	$	4,289
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	25
Accumulated net realized gain (loss)		(157	)
Unrealized appreciation (depreciation) on investments		85
Additional paid-in capital		4,336
Net Assets	$	4,289
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	28.59
Net assets	$	4,289,149
Shares outstanding ($.001 par value)		150,000
Amounts in thousands
* Investments in Affiliates, Russell U.S. Cash Management Fund and Russell 1000 Low Volatility ETF	$	222

(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.

6 Statement of Assets and Liabilities

Russell Exchange Traded Funds Trust

Russell Equity ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Income distributions from Underlying ETFs	$	53
Total investment income		53
Expenses
Management fees		8
Total expenses		8
Net investment income (loss)		45
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(32	)
In-kind redemptions		(71	)
Net realized gain (loss)		(103	)
Net change in unrealized appreciation (depreciation) on investments		(36	)
Net realized and unrealized gain (loss)		(139	)
Net Increase (Decrease) in Net Assets from Operations	$	(94	)

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

Statement of Operations 7

Russell Exchange Traded Funds Trust

Russell Equity ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*			December 31, 2011**
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	45		$	7		$	138
Net realized gain (loss)		(103	)		1			254
Net change in unrealized appreciation (depreciation)		(36	)		621			(1,312	)
Net increase (decrease) in net assets from operations		(94	)		629			(920	)
Distributions
From net investment income		(20	)		(8	)		(138	)
From return of capital		—			—			(13	)
Net decrease in net assets from distributions		(20	)		(8	)		(151	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(1,305	)		(3	)		(3,678	)
Total Net Increase (Decrease) in Net Assets		(1,419	)		618			(4,749	)
Net Assets
Beginning of period		5,708			5,090			9,839
End of period	$	4,289		$	5,708		$	5,090
Undistributed (overdistributed) net investment income included in net assets	$	25		$	—		$	—

* For the period January 1, 2012 through the fiscal year ended March 31, 2012.

** For the period January 1, 2011 to December 31, 2011.

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

8 Statements 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			$ Total Distributions
September 30, 2012(3)		28.54		.27	(a)(d)		(.08	)		.19			(.14	)		—			(.14	)
March 31, 2012(2)		25.45		.03	(a)(d)		3.10			3.13			(.04	)		—			(.04	)
December 31, 2011		27.80		.36	(a)(d)		(2.13	)		(1.77	)		(.53	)		(.05	)		(.58	)
December 31, 2010(1)		25.00		.35			2.81			3.16			(.36	)		—			(.36	)

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

10 Financial Highlights

$ 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)
	28.59		.69			4,289		.35		.35	(d)		1.98	(d)(e)		8
	28.54		12.21			5,708		.58		.35	(d)		.48	(d)(e)		—	(h)
	25.45		(6.32	)		5,090		.65		.35	(d)		1.29	(d)		6
	27.80		12.62			9,839		.57		.53			3.57	(e)		—

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

(2) For the period January 1, 2012 through the fiscal year ended March 31, 2012.

(3) For the period ended September 30, 2012 (Unaudited).

(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 Russell Investment Management Company (“RIMCo”).

(e) The ratios for 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.

(h) Less than .5%.

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

Financial Highlights 11

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

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

1. Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET” or “Trust”) is a series investment company comprised of 26 different investment portfolios that were in operation as of September 30, 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.

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

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

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

2. Significant Accounting Policies

The 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 such money market fund securities. The Board has delegated the responsibility for administration of the securities valuation procedures to Russell Fund Services Company (“RFSC”).

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

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

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

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

12 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

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

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

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 the 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.

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 transactions may occur. 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 other of the Investment Company’s Funds.

Notes to Financial Statements 13

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

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

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 September 30, 2012, 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, 2011, 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 its capital accounts without impacting its 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 Underlying ETFs have 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 Underlying ETFs to credit risk, consist principally of cash due from counterparties and investments. The extent of the Underlying ETFs’ 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. Russell Investment Management Company (“Adviser” or “RIMCo”) 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.

14 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

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

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

3. Investment Transactions

Securities

During the period ended September 30, 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	$	380,050	$	376,691

In-kind transactions during the period ended September 30, 2012 were as follows:

	Purchases		Sales
Russell Equity ETF	$	—	$	1,301,074

4. Related Party Transactions, Fees and Expenses

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 trade placement services to RET and RIMCo.

The Fund may also invest its cash reserves in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of September 30, 2012, the Fund had invested $40,716 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 is payable monthly. The Adviser pays all of the expenses of the Fund other than the management fee, distribution fees pursuant to the Fund’s Supervision and Management Agreement, 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 September 30, 2012 were as follows:

	Management Fee
Russell Equity ETF	$	7,974

Waivers

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. This waiver may not be terminated during the relevant period except with Board approval. For the period ended September 30, 2012, there were no fees waived by RIMCo.

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

Accrued Fees Payable to Affiliate

Accrued fees payable to affiliate for the period ended September 30, 2012 were as follows:

	Russell Equity ETF
Management fees	$	2,479

Board of Trustees

The Russell Fund Complex consists of Russell Investment Company (“RIC”), which has 41 Funds, Russell Investment Funds (“RIF”), which has 10 Funds and RET, which had 26 funds as of September 30, 2012, and 1 Fund as of November 1, 2012. As of November 1, 2012, the Funds’ then-current trustees resigned and were replaced by trustee nominees elected by shareholders of the Fund who also serve as trustees of RIC and RIF. Therefore, as of November 1, 2012, each of the Fund’s Trustees is a Trustee of RIC, RIF and RET. As of the period ended September 30, 2012, and for all funds of RET, each independent Trustee was 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

Notes to Financial Statements 15

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

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

meeting and Nominating and Governance Committee meeting. Each Trustee received 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 were also compensated for out of pocket expenses. The Audit Committee Chair and Nominating Governance Chair were each paid a fee of $12,000 and $6,000, respectively, per year. The Chairman of the Board received additional annual compensation of $20,000.

5. 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 for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term. Available capital loss carryforwards are as follows:

	No Expiration
	Short-term		Long-term		Totals
Russell Equity ETF	$	53,547	$	—	$	53,547

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

	Russell Equity ETF
Cost of Investments	$	4,204,457
Unrealized Appreciation	$	238,820
Unrealized Depreciation		(153,877	)
Net Unrealized Appreciation (Depreciation)	$	84,943

6. Fund Share Transactions (amounts in thousands)

As of September 30, 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 September 30, 2012, March 31, 2012 and December 31, 2011 were as follows:

	September 30, 2012*						March 31, 2012**					December 31, 2011***
	Shares			Dollars			Shares		Dollars			Shares			Dollars
Russell Equity ETF
Shares created		—		$	—			—	$	—			500		$	13,998
Shares redeemed		(50	)		(1,305	)		—		(3	)		(654	)		(17,676	)
Total increase (decrease)		(50	)	$	(1,305	)		—	$	(3	)		(154	)	$	(3,678	)

* For the period ended September 30, 2012 (Unaudited).

** For the period January 1, 2012 through the fiscal year ended March 31, 2012.

*** For the period January 1, 2011 to December 31, 2011.

7. 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.

16 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

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

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

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

8. Subsequent Events

Management has evaluated events and/or transactions that may have occurred, through the date the financial statements were issued and noted no items requiring adjustments of the financial statements or additional disclosure except for the following:

On August 16, 2012, the Board approved an orderly liquidation of 25 of the 26 different investment portfolios of the Trust. They are: 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 Small Cap Aggressive Growth ETF, Russell Small Cap Consistent Growth ETF, Russell Small Cap Low P/E ETF, Russell Small Cap Contrarian ETF, Russell Aggressive Growth ETF, Russell Consistent Growth ETF, Russell Growth at a Reasonable Price ETF, Russell Contrarian ETF, Russell Equity Income ETF, Russell Low P/E ETF, Russell High Dividend Yield ETF and Russell Small Cap High Dividend Yield ETF, each a series of the Trust (collectively, the “Funds”). The Board determined that closing and liquidating each Fund was in the best interests of the Fund and its shareholders. As of November 1, 2012, the Trusts’ then-current trustees resigned and were replaced by trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

Notes to Financial Statements 17

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

Frequency Distribution of Discounts and Premiums — September 30, 2012 (Unaudited)

The chart below presents information about differences between the per share 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 or equal to 1.00%		10		1.14%
Greater than 0.05% and less than or equal to 0.20%		157		17.94%
Greater than -0.05% and less than or equal to 0.05%		463		52.92%
Greater than -0.20% and less than or equal to -0.05%		147		16.80%
Greater than -1.00% and less than or equal to -0.20%		98		11.20%
		875		100.00%

* Number of days are based on inception date which is one day prior to commencement of operations.

18 Frequency Distribution of Discounts and Premiums

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

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

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

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

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

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

Shareholder Requests for Additional Information 19

Russell Exchange Traded Funds Trust

Russell Equity ETF

Basis for Approval of Investment Advisory Contracts — (Unaudited)

Approval of Management Agreement

The Board of Trustees, including all of the Independent Trustees, last considered and approved the continuation of the advisory agreement with RIMCo (the “RIMCo Agreement”) at a meeting held in person on April 26, 2012 (the “Agreement Evaluation Meeting”). During the course of a year, the Trustees receive a wide variety of materials regarding the investment performance of the Fund, sales and redemptions of the Fund’s shares, management of the Fund by RIMCo and compliance with applicable regulatory requirements. In preparation for the annual review, the Independent Trustees, with the advice and assistance of their independent counsel, also requested and the Board considered (1) information and reports prepared by RIMCo relating to the services provided by RIMCo (and its affiliates) to the Fund; and (2) information (the “Third-Party Information”) received from an independent, nationally recognized provider of investment company information comparing the performance of the Fund and their respective operating expenses over various periods of time with other peer funds not managed by RIMCo, believed by the provider to be generally comparable in investment objectives to the Fund. The Fund’s 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 “Performance Universe” in the case of performance comparisons and the Fund’s “Expense Universe” in the case of operating expense comparisons. The foregoing information requested by the Trustees or provided by RIMCo is collectively called the “Agreement Evaluation Information.” The Trustees received a memorandum from counsel to the Fund discussing the legal standards for their consideration of the continuation of the RIMCo Agreement.

On April 18, 2012, the Independent Trustees in preparation for the Agreement Evaluation Meeting met by conference telephone call to review the Agreement Evaluation Information received to that date in a private session with their independent counsel at which no representatives of RIMCo or the Fund’s management were present. The Independent Trustees also met in person at the Agreement Evaluation Meeting, both with management representatives and in executive session with their independent counsel, to review any additional Agreement Evaluation Information received to that date. At the Agreement Evaluation Meeting, the Board, including the Independent Trustees, reviewed the proposed continuance of the RIMCo Agreement with management, counsel to the Fund and independent counsel to the Independent Trustees. Presentations made by RIMCo to the Board at the Agreement Evaluation Meeting as part of this review encompassed the Fund and all other RIMCo-managed ETFs for which the Board has supervisory responsibility. Prior to voting at the Agreement Evaluation Meeting, the Independent Trustees met in executive session with their independent counsel to consider additional Agreement Evaluation Information received from RIMCo and management at the Agreement Evaluation Meeting. The discussion below reflects all of these reviews.

The Board considered that RIMCo is responsible under the RIMCo Agreement for determining, implementing and maintaining the investment program for the Fund. Assets are managed directly by RIMCo pursuant to authority provided by the RIMCo Agreement. RIMCo is responsible for investing the assets of the Fund in accordance with the Fund’s investment objective and policies.

In addition to these general factors relating to the Fund, the Trustees considered, with respect to the Fund, various specific factors in evaluating renewal 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;

2. The management fee to be paid by the Fund to RIMCo (the “Management Fee”) and the fact that it encompasses fees paid 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 RIMCo’s relationship with the Fund;

4. Information provided by RIMCo as to expenses incurred by the Fund; and

5. Information provided by RIMCo as to the fact that it currently derives no profit, and does not expect to in the near term,, that RIMCo derives from its exchange traded fund operations generally and from the Fund.

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 Fund, including Fund portfolio management services, the Board considered that RIMCo’s investment management functions would consist of two primary roles: managing the Fund’s portfolio and producing the daily creation and redemption baskets. RIMCo reported, and the Board considered, that to meet the investment objective of the Fund, RIMCo seeks to provide excess performance over its benchmark through active decisions on asset allocation, based on insights of the strategist team, the use of valuation models to provide context around those insights, and RIMCo’s view on the capital markets environment.

20 Basis for Approval of Investment Advisory Contracts

Russell Exchange Traded Funds Trust

Russell Equity ETF

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

With respect to the Fund’s Management Fees, the Third-Party Information showed that the Fund had a Management Fee which on a contractual basis, on an actual basis (i.e., giving effect to any voluntary fee waivers implemented by RIMCo and the advisers to such Fund’s Comparable Funds) or on both a contractual and actual basis was ranked in the first quintile of its Expense Universe. In these rankings, the first quintile represents funds with the lowest investment Management Fees among funds in the Expense Universe and the fifth quintile represents funds with the highest investment advisory fees among the Expense Universe funds. The comparisons were based upon the latest fiscal years for the Expense Universe funds. In assessing the Fund’s Management Fee, the Board focused on actual rather than contractual Management Fees.

The Board considered for the Fund whether economies of scale have been realized and whether the Management Fee for such Fund appropriately reflects or should be revised to reflect any such economies. The Board considered the Fund’s limited operating history and opportunity for asset growth. The Board considered that RIMCo does not expect that economies of scale will be experienced in the near-term and that RIMCo has operated and expects to continue to initially operate the Fund at a loss.

The Board considered, as a general matter, that fees payable to RIMCo by institutional clients with investment objectives similar to those of the Fund are lower than the rates paid by the Fund. The Trustees considered the differences in the nature and scope of services RIMCo provides to institutional clients and the Fund. RIMCo explained, among other things, that institutional clients have fewer administrative needs than the Fund. In addition, RIMCo noted that the Fund is subject to heightened regulatory requirements relative to institutional clients. The Board noted that RIMCo provides office space and facilities to the Fund and all of the Fund’s officers. Accordingly, the Trustees concluded that the services provided to the Fund are sufficiently different from the services provided to the other clients that comparisons are not probative and should not be given significant weight.

With respect to the Fund’s total expenses, the Third-Party Information showed that the total expenses for the Fund ranked in the first quintile of its Expense Universe based upon the latest fiscal years for the Expense Universe funds. In these rankings, the first quintile represents the funds with the lowest total expenses among funds in the Expense Universe and the fifth quintile represents funds with the highest total expenses among the Expense Universe funds.

On the basis of the Agreement Evaluation Information and other information previously received by the Board from RIMCo during the course of the year, or presented at or in connection with the Agreement Evaluation Meeting by RIMCo, the Board found, after giving effect to any applicable waivers and/or reimbursements (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 Fund; (2) the relative expense ratio of the Fund was comparable to those of its Comparable Funds; (3) RIMCo’s methodology of allocating expenses of operating funds in the complex was reasonable; (4) other benefits and fees received by RIMCo or its affiliates from the Fund were not excessive; and (5) RIMCo’s profitability with respect to the Fund was not excessive in light of the nature, scope and overall quality of the investment management and other services provided by RIMCo.

The Board concluded that, under the circumstances, the performance of the Fund was consistent with continuation of the RIMCo Agreement. The Board, in assessing the Fund’s performance, noted the Fund’s limited operating history under RIMCo’s management.

In evaluating performance, the Board considered the Fund’s absolute performance and performance relative to appropriate benchmarks and indices as well as the Fund’s performance relative to its Comparable Funds. The Board noted that the Fund underperformed relative to its benchmark, but that the Fund’s performance was in the second quintile of its Performance Universe. RIMCo noted, and the Board considered, that effective November 1, 2011, the benchmark of the Russell Equity ETF changed from the S&P 500 Index to the Russell Developed Large Cap Index. RIMCo noted that it believes the Russell Developed Large Cap Index better reflects the objectives and goals of the Fund.

After considering the foregoing and other relevant factors, the Board concluded that continuation of the RIMCo Agreement on its current terms and conditions would be in the best interests of the Fund and its shareholders and voted to approve the continuation of the RIMCo Agreement.

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.

Basis for Approval of Investment Advisory Contracts 21

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

Disclosure of Information about Fund Trustees and Officers — September 30, 2012 (Unaudited)

As of September 30, 2012, 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. As of November 1, 2012, the Trust’s then-current trustees listed below resigned and were replaced by trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

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 TRUSTEE
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).		26	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).		26	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).		26	Harding Loevner Funds (Lead Director since 2008).
Daniel O. Leemon Born: October 25, 1953	Trustee	Since 2011	• Retired.		26	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	• 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).		26	None.

22 Disclosure of Information about Fund Trustees and Officers

Russell Investment Company

Russell OneFund ETFs^TM

Disclosure of Information about Fund Trustees and Officers, continued — September 30, 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	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
Gregory Friedman** Born: October 1, 1969	President and Chief Executive Officer	Since 2012; until successor is chosen and qualified by Trustees	• Managing Director, Chief Operating Officer and Head of Product for Russell ETF Business, FRC, 2010-present; Managing Director and Head of Global iShares Relationships, iShares Inc., 2008-2010; Managing Director and Head of iShares Product Management/Strategy, iShares Inc., 1999-2008.	N/A
Cheryl Wichers Born: December 16, 1966	Chief Compliance Officer	Since 2011; until successor is chosen and qualified by 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. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

Disclosure of Information about Fund Trustees and Officers 23

Russell Exchange Traded Funds Trust

Russell OneFund ETFs^TM

1301 Second Avenue, Seattle, Washington 98101

(888) 775-3837

Interested Trustee

James Polisson*

Independent Trustees

Evelyn S. Dilsaver

Jane A. Freeman

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson*, President and Chief Executive Officer

Gregory Friedman**, 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

1200 Crown Colony Drive

Crown Colony Office Park

Quincy, MA 02169

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

* Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

24 Adviser and Service Providers

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

2012 SEMI-ANNUAL REPORT

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

SEPTEMBER 30, 2012

FUND

Russell 1000 Low Beta ETF

Russell 1000 High Beta ETF

Russell 1000 Low Volatility ETF

Russell 1000 High Volatility ETF

Russell 1000 High Momentum ETF

Russell 2000 Low Beta ETF

Russell 2000 High Beta ETF

Russell 2000 Low Volatility ETF

Russell 2000 High Volatility ETF

Russell 2000 High Momentum ETF

Russell Developed ex-U.S. Low Beta ETF

Russell Developed ex-U.S. Low Volatility ETF

Russell Developed ex-U.S. High Momentum ETF

Russell Exchange Traded Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. These financial statements report on 13 of these Funds.

Russell Exchange Traded

Funds Trust

Russell Factor ETFs^™

Semi-annual Report

September 30, 2012 (Unaudited)

Table of Contents

	Page
Russell 1000 Low Beta ETF		3
Russell 1000 High Beta ETF		12
Russell 1000 Low Volatility ETF		22
Russell 1000 High Volatility ETF		32
Russell 1000 High Momentum ETF		42
Russell 2000 Low Beta ETF		52
Russell 2000 High Beta ETF		64
Russell 2000 Low Volatility ETF		74
Russell 2000 High Volatility ETF		84
Russell 2000 High Momentum ETF		96
Russell Developed ex-U.S. Low Beta ETF		108
Russell Developed ex-U.S. Low Volatility ETF		122
Russell Developed ex-U.S. High Momentum ETF		136
Notes to Schedules of Investments		150
Notes to the Financial Statements		151
Frequency Distribution of Discounts and Premiums		162
Basis for Approval of Investment Advisory Contracts		164
Shareholder Requests for Additional Information		167
Disclosure of Information about Fund Trustees and Officers		168
Adviser and Service Providers		170

Russell Exchange Traded Funds Trust.

Copyright © Russell Investments 2012. All rights reserved.

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.

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

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.

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,063.80	$	1,024.00
Expenses Paid During Period*	$	1.03	$	1.01

* Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

Russell 1000 Low Beta ETF 3

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.6%
Consumer Discretionary - 11.0%
Amazon.com, Inc. (Æ)		18		5
Apollo Group, Inc. Class A (Æ)		1,240		36
Avon Products, Inc.		716		11
Chico’s FAS, Inc.		1,029		19
Costco Wholesale Corp.		1,017		102
Dollar General Corp. (Æ)		943		49
Family Dollar Stores, Inc.		936		62
ITT Educational Services, Inc. (Æ)		44		1
JC Penney Co., Inc.		913		22
Las Vegas Sands Corp.		41		2
McDonald’s Corp.		243		22
MGM Resorts International (Æ)		389		4
Mondelez International, Inc.		757		31
priceline.com, Inc. (Æ)		118		73
Royal Caribbean Cruises, Ltd.		1,005		30
Sears Holdings Corp. (Æ)		108		6
Starwood Hotels & Resorts Worldwide, Inc. (ö)		128		7
Tractor Supply Co.		49		5
Wal-Mart Stores, Inc.		1,421		106
Wynn Resorts, Ltd.		40		5
				598
Consumer Staples - 26.0%
Altria Group, Inc.		2,909		97
Archer-Daniels-Midland Co.		1,788		49
Clorox Co. (The)		198		14
Coca-Cola Co. (The)		2,613		99
Coca-Cola Enterprises, Inc.		885		28
Colgate-Palmolive Co.		697		75
ConAgra Foods, Inc.		2,371		65
CVS Caremark Corp.		643		31
Dr Pepper Snapple Group, Inc.		61		3
Flowers Foods, Inc.		604		12
General Mills, Inc.		1,837		73
Herbalife, Ltd.		146		7
Hershey Co. (The)		497		35
HJ Heinz Co.		1,117		62
Kellogg Co.		1,088		56
Kimberly-Clark Corp.		1,200		103
Kroger Co. (The)		1,183		28
Lorillard, Inc.		689		80
Mead Johnson Nutrition Co. Class A		439		32
Molson Coors Brewing Co. Class B		426		19
PepsiCo, Inc.		1,396		99
Philip Morris International, Inc.		1,170		106
Procter & Gamble Co. (The)		1,373		95
Ralcorp Holdings, Inc. (Æ)		361		26
Reynolds American, Inc.		2,267		98
Safeway, Inc.		295		5
Sysco Corp.		388		12
Walgreen Co.		188		7
				1,416

	Principal Amount ($) or Shares		Market Value $
Energy - 4.3%
Cimarex Energy Co.		92		5
CONSOL Energy, Inc.		7		—	±
Denbury Resources, Inc. (Æ)		1,134		18
EOG Resources, Inc.		176		20
Exxon Mobil Corp.		1,075		99
Hess Corp.		132		7
Kosmos Energy, Ltd. (Æ)		3,783		43
Occidental Petroleum Corp.		186		16
QEP Resources, Inc.		85		3
Whiting Petroleum Corp. (Æ)		486		23
				234
Financial Services - 12.0%
Aflac, Inc.		1,097		53
American International Group, Inc. (Æ)		890		29
Apartment Investment & Management Co. Class A (ö)		299		8
Assurant, Inc.		125		5
AvalonBay Communities, Inc. (ö)		35		5
Berkshire Hathaway, Inc. Class B (Æ)		706		62
Boston Properties, Inc. (ö)		211		23
CBRE Group, Inc. Class A (Æ)		136		3
Citigroup, Inc.		1,118		37
Fifth Third Bancorp		5,375		82
First Republic Bank		2,966		102
Hartford Financial Services Group, Inc.		558		11
Host Hotels & Resorts, Inc. (ö)		911		15
Jefferies Group, Inc.		1,002		14
JPMorgan Chase & Co.		134		5
Leucadia National Corp.		353		8
Loews Corp.		421		17
Macerich Co. (The) (ö)		634		36
Morgan Stanley		476		8
Prologis, Inc. (ö)		1,157		41
Public Storage (ö)		15		2
St. Joe Co. (The) (Æ)		1,959		38
Visa, Inc. Class A		179		24
Wells Fargo & Co.		810		28
				656
Health Care - 24.4%
Abbott Laboratories		1,533		105
Aetna, Inc.		131		5
Alere, Inc. (Æ)		96		2
Alexion Pharmaceuticals, Inc. (Æ)		332		38
Allergan, Inc.		1,049		96
Baxter International, Inc.		1,015		61
Biogen Idec, Inc. (Æ)		711		106
Bristol-Myers Squibb Co.		2,799		94
Catamaran Corp. (Æ)		116		11
Celgene Corp. (Æ)		433		33
Cigna Corp.		158		7
Eli Lilly & Co.		1,653		78
Endo Health Solutions, Inc. (Æ)		942		30
Express Scripts Holding Co. (Æ)		267		17
Forest Laboratories, Inc. (Æ)		1,427		51

4 Russell 1000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Gilead Sciences, Inc. (Æ)		478		32
Illumina, Inc. (Æ)		124		6
Johnson & Johnson		1,587		109
Merck & Co., Inc.		2,408		109
Mylan, Inc. (Æ)		861		21
Myriad Genetics, Inc. (Æ)		603		16
Perrigo Co.		648		75
Pfizer, Inc.		4,408		110
Stryker Corp.		144		8
UnitedHealth Group, Inc.		1,425		79
VCA Antech, Inc. (Æ)		482		10
Vertex Pharmaceuticals, Inc. (Æ)		66		4
Zimmer Holdings, Inc.		265		18
				1,331
Materials and Processing - 3.5%
Allied Nevada Gold Corp. (Æ)		1,084		42
Royal Gold, Inc.		405		40
Southern Copper Corp.		1,053		36
Tahoe Resources, Inc. (Æ)		3,246		67
Westlake Chemical Corp.		110		8
				193
Producer Durables - 0.2%
RR Donnelley & Sons Co.		409		4
Terex Corp. (Æ)		326		8
				12
Technology - 6.4%
Ariba, Inc. (Æ)		442		20
Cognizant Technology Solutions Corp. Class A (Æ)		490		34
Concur Technologies, Inc. (Æ)		472		35
Google, Inc. Class A (Æ)		123		93
International Business Machines Corp.		497		102
Juniper Networks, Inc. (Æ)		772		13
LinkedIn Corp. Class A (Æ)		146		18
NCR Corp. (Æ)		74		2
NetApp, Inc. (Æ)		229		8
Rackspace Hosting, Inc. (Æ)		321		21
				346
Utilities - 11.8%
AT&T, Inc.		2,859		109
CenturyLink, Inc.		268		11
Entergy Corp.		585		41
Exelon Corp.		641		23
FirstEnergy Corp.		1,869		82
MetroPCS Communications, Inc. (Æ)		1,733		20
NextEra Energy, Inc.		572		40
NRG Energy, Inc.		1,043		22
PPL Corp.		3,164		92
Southern Co.		2,089		96

	Principal Amount ($) or Shares			Market Value $
Verizon Communications, Inc.		2,331			106
					642
Total Common Stocks (cost $5,192)					5,428
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,506	(¥)		5
Total Short-Term Investments (cost $5)					5
Total Investments - 99.7% (identified cost $5,197)					5,433
Other Assets and Liabilities, Net - 0.3%					19
Net Assets - 100.0%					5,452

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

Russell 1000 Low Beta ETF 5

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	598	$	—	$	—	$	598		11.0
Consumer Staples		1,416		—		—		1,416		26.0
Energy		234		—		—		234		4.3
Financial Services		656		—		—		656		12.0
Health Care		1,331		—		—		1,331		24.4
Materials and Processing		193		—		—		193		3.5
Producer Durables		12		—		—		12		0.2
Technology		346		—		—		346		6.4
Utilities		642		—		—		642		11.8
Short-Term Investments		—		5		—		5		0.1
Total Investments	$	5,428	$	5	$	—	$	5,433		99.7
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 ended September 30, 2012.

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

6 Russell 1000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	5,197
Investments, at market*		5,433
Receivables:
Dividends		27
Investments sold		137
Total assets		5,597
Liabilities
Payables:
Investments purchased		138
Accrued fees to affiliates		7
Total liabilities		145
Net Assets	$	5,452
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(28	)
Accumulated net realized gain (loss)		1,593
Unrealized appreciation (depreciation) on investments		236
Additional paid-in capital		3,651
Net Assets	$	5,452
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	54.52
Net assets	$	5,451,942
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.

Russell 1000 Low Beta ETF 7

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	327
Total investment income		327
Expenses
Management fees		66
Expense reductions		(39	)
Net expenses		27
Net investment income (loss)		300
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		4
In-kind redemptions		1,735
Net realized gain (loss)		1,739
Net change in unrealized appreciation (depreciation) on investments		(800	)
Net realized and unrealized gain (loss)		939
Net Increase (Decrease) in Net Assets from Operations	$	1,239

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

8 Russell 1000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	300		$	115
Net realized gain (loss)		1,739			(146	)
Net change in unrealized appreciation (depreciation)		(800	)		1,036
Net increase (decrease) in net assets from operations		1,239			1,005
Distributions
From net investment income		(344	)		(99	)
Net decrease in net assets from distributions		(344	)		(99	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(32,127	)		35,778
Total Net Increase (Decrease) in Net Assets		(31,232	)		36,684
Net Assets
Beginning of period		36,684			—
End of period	$	5,452		$	36,684
Undistributed (overdistributed) net investment income included in net assets	$	(28	)	$	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.

Russell 1000 Low Beta ETF 9

Russell Exchange Traded Funds Trust

Russell 1000 Low Beta ETF

Financial Highlights — For the Periods 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
September 30, 2012*		52.40		.59		2.74		3.33		(1.21	)		(1.21	)
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 ended September 30, 2012 (Unaudited).

** 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.

10 Russell 1000 Low Beta ETF

$ 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)
	54.52		6.38		5,452		.49		.20		2.22		17
	52.40		7.76		36,684		.79		.31		2.13		39

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 High Beta ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	983.10	$	1,024.00
Expenses Paid During Period*	$	0.99	$	1.01

* Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

12 Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 14.7%
BorgWarner, Inc. (Æ)		1,313		91
Ford Motor Co.		9,630		96
Fortune Brands Home & Security, Inc. (Æ)		406		11
Gap, Inc. (The)		116		4
General Motors Co. (Æ)		1,107		25
Harley-Davidson, Inc.		1,728		73
Home Depot, Inc.		15		1
Jarden Corp. (Æ)		1,342		71
Johnson Controls, Inc.		2,379		65
Lennar Corp. Class A		2,689		94
Nike, Inc. Class B		916		87
PulteGroup, Inc. (Æ)		857		13
Toll Brothers, Inc. (Æ)		1,814		60
Whirlpool Corp.		257		21
				712
Energy - 9.8%
CARBO Ceramics, Inc.		65		4
Cheniere Energy, Inc. (Æ)		430		7
Chevron Corp.		840		98
ConocoPhillips		1,439		82
Exxon Mobil Corp.		1,080		98
Nabors Industries, Ltd. (Æ)		266		4
National Oilwell Varco, Inc.		295		24
Oceaneering International, Inc.		320		18
Schlumberger, Ltd.		1,325		96
Spectra Energy Corp.		1,431		42
				473
Financial Services - 10.9%
American International Group, Inc. (Æ)		2,902		95
Bank of America Corp.		4,521		40
Berkshire Hathaway, Inc. Class B (Æ)		394		35
Citigroup, Inc.		1,172		38
Goldman Sachs Group, Inc. (The)		433		49
JPMorgan Chase & Co.		2,056		83
Mastercard, Inc. Class A		218		99
US Bancorp		258		9
Wells Fargo & Co.		2,343		81
				529
Health Care - 0.2%
AMERIGROUP Corp. Class A (Æ)		133		12
Materials and Processing - 12.7%
CF Industries Holdings, Inc.		218		48
Dow Chemical Co. (The)		2,554		74
Ecolab, Inc.		1,345		87
EI du Pont de Nemours & Co.		1,805		91
LyondellBasell Industries NV Class A		1,754		91
Nucor Corp.		2,487		96
Owens Corning (Æ)		1,136		38
Praxair, Inc.		282		29
Rockwood Holdings, Inc.		801		37

	Principal Amount ($) or Shares		Market Value $
Timken Co.		641		24
				615
Producer Durables - 27.4%
3M Co.		1,023		95
Boeing Co. (The)		206		14
Caterpillar, Inc.		1,094		94
Cooper Industries PLC		153		11
CSX Corp.		891		18
Cummins, Inc.		250		23
Danaher Corp.		1,697		94
Deere & Co.		1,198		99
Dover Corp.		698		42
Eaton Corp.		1,161		55
Flowserve Corp.		270		34
General Electric Co.		4,444		102
Illinois Tool Works, Inc.		1,579		94
Ingersoll-Rand PLC		2,069		93
Itron, Inc. (Æ)		351		15
Nordson Corp.		224		13
Norfolk Southern Corp.		710		45
PACCAR, Inc.		64		3
Quanta Services, Inc. (Æ)		746		18
Tyco International, Ltd.		1,093		61
Union Pacific Corp.		753		89
United Parcel Service, Inc. Class B		1,199		86
United Rentals, Inc. (Æ)		1,207		39
URS Corp.		380		13
Xerox Corp.		7,755		57
Xylem, Inc.		707		18
				1,325
Technology - 24.2%
Apple, Inc.		143		95
Ariba, Inc. (Æ)		1,864		84
Cisco Systems, Inc.		2,565		49
Corning, Inc.		4,549		60
Hewlett-Packard Co.		1,375		23
Intel Corp.		4,318		98
International Business Machines Corp.		482		100
Intuit, Inc.		1,578		93
KLA-Tencor Corp.		1,431		68
Lam Research Corp. (Æ)		2,379		76
Maxim Integrated Products, Inc.		1,504		40
Microchip Technology, Inc.		1,871		61
Micron Technology, Inc. (Æ)		9,108		55
Microsoft Corp.		3,197		95
Oracle Corp.		1,977		62
QUALCOMM, Inc.		1,547		97
Splunk, Inc. (Æ)		226		8
Western Digital Corp.		218		8
				1,172
Total Common Stocks (cost $5,015)				4,838

Russell 1000 High Beta ETF 13

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		5,950	(¥)		6
Total Short-Term Investments (cost $6)					6
Total Investments - 100.0% (identified cost $5,021)					4,844
Other Assets and Liabilities, Net - (0.0%)					(—	)±
Net Assets - 100.0%					4,844

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

14 Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	712	$	—	$	—	$	712		14.7
Energy		473		—		—		473		9.8
Financial Services		529		—		—		529		10.9
Health Care		12		—		—		12		0.2
Materials and Processing		615		—		—		615		12.7
Producer Durables		1,325		—		—		1,325		27.4
Technology		1,172		—		—		1,172		24.2
Short-Term Investments		—		6		—		6		0.1
Total Investments	$	4,838	$	6	$	—	$	4,844		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 ended September 30, 2012.

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

Russell 1000 High Beta ETF 15

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	5,021
Investments, at market*		4,844
Receivables:
Dividends		6
Investments sold		592
Total assets		5,442
Liabilities
Payables:
Investments purchased		596
Accrued fees to affiliates		2
Total liabilities		598
Net Assets	$	4,844
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	4
Accumulated net realized gain (loss)		(707	)
Unrealized appreciation (depreciation) on investments		(177	)
Additional paid-in capital		5,724
Net Assets	$	4,844
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	48 .44
Net assets	$	4,843,597
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.

16 Russell 1000 High Beta ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	46
Total investment income		46
Expenses
Management fees		12
Expense reductions		(7	)
Net expenses		5
Net investment income (loss)		41
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(132	)
In-kind investments		515
Net realized gain (loss)		383
Net change in unrealized appreciation (depreciation) on investments		(340	)
Net realized and unrealized gain (loss)		43
Net Increase (Decrease) in Net Assets from Operations	$	84

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

Russell 1000 High Beta ETF 17

Russell Exchange Traded Funds Trust

Russell 1000 High Beta ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			For the Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	41		$	140
Net realized gain (loss)		383			(1,356	)
Net change in unrealized appreciation (depreciation)		(340	)		163
Net increase (decrease) in net assets from operations		84			(1,053	)
Distributions
From net investment income		(40	)		(137	)
Net decrease in net assets from distributions		(40	)		(137	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(169	)		6,159
Total Net Increase (Decrease) in Net Assets		(125	)		4,969
Net Assets
Beginning of period		4,969			—
End of period	$	4,844		$	4,969
Undistributed (overdistributed) net investment income included in net assets	$	4		$	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.

18 Russell 1000 High Beta ETF

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Russell 1000 High Beta ETF

Financial Highlights — For the Periods 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
September 30, 2012*		49.69		.40		(1.25	)		(.85	)		(.40	)		(.40	)
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 ended September 30, 2012 (Unaudited).

** 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.

20 Russell 1000 High Beta ETF

$ 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)
	48.44		(1.69	)		4,844		.49		.20		1.69		79
	49.69		1.95			4,969		.80		.39		1.34		122

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

Russell 1000 High Beta ETF 21

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,042.90	$	1,024.00
Expenses Paid During Period*	$	1.02	$	1.01

* Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

22 Russell 1000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.6%
Consumer Discretionary - 10.0%
Cablevision Systems Corp. Class A		14,305		227
Costco Wholesale Corp.		3,678		368
Genuine Parts Co.		4,528		276
Macy’s, Inc.		161		6
Marriott International, Inc. Class A		6,967		272
McDonald’s Corp.		5,869		538
Mondelez International, Inc.		15,006		620
News Corp. Class A		8,632		212
Time Warner, Inc.		1,713		78
Walt Disney Co. (The)		10,979		575
				3,172
Consumer Staples - 17.0%
Clorox Co. (The)		2,709		195
Coca-Cola Co. (The)		15,683		595
Colgate-Palmolive Co.		2,581		277
General Mills, Inc.		15,258		608
HJ Heinz Co.		10,653		596
Kellogg Co.		12,142		627
Kimberly-Clark Corp.		7,259		623
PepsiCo, Inc.		8,133		576
Philip Morris International, Inc.		6,932		623
Procter & Gamble Co. (The)		8,718		605
Sysco Corp.		2,634		82
				5,407
Energy - 7.1%
Apache Corp.		2,508		217
Cameron International Corp. (Æ)		1,676		94
Chevron Corp.		5,436		634
Exxon Mobil Corp.		6,967		636
Marathon Oil Corp.		6,210		184
Murphy Oil Corp.		1,075		58
Occidental Petroleum Corp.		3,836		330
Spectra Energy Corp.		486		14
Sunoco, Inc.		2,164		101
Williams Cos., Inc. (The)		136		5
				2,273
Financial Services - 7.9%
American Capital, Ltd. (Æ)		7,161		81
Aon PLC		3,265		171
Franklin Resources, Inc.		929		116
Hartford Financial Services Group, Inc.		33,082		643
Host Hotels & Resorts, Inc. (ö)		30,451		489
Invesco, Ltd.		1,117		28
Jones Lang LaSalle, Inc.		2,667		204
MetLife, Inc.		3,807		131
Prudential Financial, Inc.		685		37
Taubman Centers, Inc. (ö)		346		27
Waddell & Reed Financial, Inc. Class A		8,986		294
Wells Fargo & Co.		8,368		289
				2,510

	Principal Amount ($) or Shares		Market Value $
Health Care - 18.0%
Abbott Laboratories		9,196		630
AMERIGROUP Corp. Class A (Æ)		6,236		570
Baxter International, Inc.		6,929		418
Becton Dickinson and Co.		5,682		446
Bristol-Myers Squibb Co.		13,671		461
Brookdale Senior Living, Inc. Class A (Æ)		8,118		188
CR Bard, Inc.		2,490		261
Dentsply International, Inc.		15,102		576
Eli Lilly & Co.		13,506		641
Henry Schein, Inc. (Æ)		6,289		499
Johnson & Johnson		9,278		640
Merck & Co., Inc.		3,104		140
Mylan, Inc. (Æ)		3,765		92
Pfizer, Inc.		4,801		119
Stryker Corp.		1,068		59
				5,740
Materials and Processing - 2.3%
Dow Chemical Co. (The)		2,867		83
Eastman Chemical Co.		3,134		179
Rockwood Holdings, Inc.		10,079		469
				731
Producer Durables - 10.3%
3M Co.		6,381		591
Accenture PLC Class A		516		36
Automatic Data Processing, Inc.		6,001		352
Caterpillar, Inc.		5,219		449
Cintas Corp.		14,294		593
Cooper Industries PLC		46		3
General Electric Co.		8,073		183
KBR, Inc.		6,503		194
Manitowoc Co., Inc. (The)		6,990		93
Paychex, Inc.		2,261		75
United Parcel Service, Inc. Class B		7,701		551
United Technologies Corp.		2,018		158
				3,278
Technology - 7.8%
Amdocs, Ltd.		11,148		368
Apple, Inc.		270		180
Ariba, Inc. (Æ)		14,305		641
Cadence Design Systems, Inc. (Æ)		1,692		22
International Business Machines Corp.		2,976		617
Jabil Circuit, Inc.		9,810		184
Microsoft Corp.		12,821		382
QUALCOMM, Inc.		1,391		87
SBA Communications Corp. Class A (Æ)		260		16
				2,497
Utilities - 19.2%
American Electric Power Co., Inc.		9,974		438
AT&T, Inc.		16,735		632
CenturyLink, Inc.		7,595		307
Consolidated Edison, Inc.		6,034		361

Russell 1000 Low Volatility ETF 23

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Dominion Resources, Inc.		8,412			445
Duke Energy Corp.		8,736			566
Edison International		1,090			50
Entergy Corp.		4,166			289
Great Plains Energy, Inc.		6,313			141
ONEOK, Inc.		7,866			380
Pepco Holdings, Inc.		14,647			277
Public Service Enterprise Group, Inc.		570			18
SCANA Corp.		1,435			69
Sempra Energy		1,544			100
Southern Co.		12,620			582
Verizon Communications, Inc.		13,784			628
Windstream Corp.		5,831			59
Wisconsin Energy Corp.		5,105			192
Xcel Energy, Inc.		21,092			584
					6,118
Total Common Stocks (cost $30,635)					31,726
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		36,376	(¥)		36
Total Short-Term Investments (cost $36)					36
Total Investments - 99.7% (identified cost $30,671)					31,762
Other Assets and Liabilities, Net - 0.3%					96
Net Assets - 100.0%					31,858

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

24 Russell 1000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	3,172	$	—	$	—	$	3,172		10.0
Consumer Staples		5,407		—		—		5,407		17.0
Energy		2,273		—		—		2,273		7.1
Financial Services		2,510		—		—		2,510		7.9
Health Care		5,740		—		—		5,740		18.0
Materials and Processing		731		—		—		731		2.3
Producer Durables		3,278		—		—		3,278		10.3
Technology		2,497		—		—		2,497		7.8
Utilities		6,118		—		—		6,118		19.2
Short-Term Investments		—		36		—		36		0.1
Total Investments	$	31,726	$	36	$	—	$	31,762		99.7
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 ended September 30, 2012.

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

Russell 1000 Low Volatility ETF 25

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	30,671
Investments, at market*		31,762
Receivables:
Dividends		120
Investments sold		1,913
Total assets		33,795
Liabilities
Payables:
Investments purchased		1,916
Accrued fees to affiliates		21
Total liabilities		1,937
Net Assets	$	31,858
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(27	)
Accumulated net realized gain (loss)		1,677
Unrealized appreciation (depreciation) on investments		1,091
Additional paid-in capital		29,117
Net Assets	$	31,858
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	53.10
Net assets	$	31,858,040
Shares outstanding ($.001 par value)		600,002
Amounts in thousands
*           Investments in Affiliates, Russell U.S. Cash Management Fund	$	36

(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.

26 Russell 1000 Low Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	890
Total investment income		890
Expenses
Management fees		166
Expense reductions		(98	)
Net expenses		68
Net investment income (loss)		822
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(753	)
In-kind investments		3,702
Net realized gain (loss)		2,949
Net change in unrealized appreciation (depreciation) on investments		(739	)
Net realized and unrealized gain (loss)		2,210
Net Increase (Decrease) in Net Assets from Operations	$	3,032

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

Russell 1000 Low Volatility ETF 27

Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	822		$	741
Net realized gain (loss)		2,949			(1,811	)
Net change in unrealized appreciation (depreciation)		(739	)		1,830
Net increase (decrease) in net assets from operations		3,032			760
Distributions
From net investment income		(898	)		(692	)
Net decrease in net assets from distributions		(898	)		(692	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(42,811	)		72,467
Total Net Increase (Decrease) in Net Assets		(40,677	)		72,535
Net Assets
Beginning of period		72,535			—
End of period	$	31,858		$	72,535
Undistributed (overdistributed) net investment income included in net assets	$	(27	)	$	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.

28 Russell 1000 Low Volatility ETF

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Russell Exchange Traded Funds Trust

Russell 1000 Low Volatility ETF

Financial Highlights — For the Periods 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
September 30, 2012*		51.81		.63		1.58		2.21		(.92	)		(.92	)
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 ended September 30, 2012 (Unaudited).

** 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.

30 Russell 1000 Low Volatility ETF

$ 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)
	53.10		4.29		31,858		.49		.20		2.43		47
	51.81		6.41		72,535		.77		.33		2.52		79

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

Russell 1000 Low Volatility ETF 31

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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	$	1,000.00	$	1,000.00
April 1, 2012
Ending Account Value	$	1,005.80	$	1,024.00
September 30, 2012
Expenses Paid During Period*	$	1.01	$	1.01

* Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

32 Russell 1000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 17.4%
Amazon.com, Inc. (Æ)		394		101
Apollo Group, Inc. Class A (Æ)		285		8
Avon Products, Inc.		1,457		23
Bed Bath & Beyond, Inc. (Æ)		156		10
Deckers Outdoor Corp. (Æ)		6		—	±
Dollar General Corp. (Æ)		727		37
DR Horton, Inc.		68		1
Fortune Brands Home & Security, Inc. (Æ)		1,179		32
General Motors Co. (Æ)		3,646		83
HomeAway, Inc. (Æ)		655		15
Las Vegas Sands Corp.		681		32
Lowe’s Cos., Inc.		1,674		51
Michael Kors Holdings, Ltd. (Æ)		456		24
Netflix, Inc. (Æ)		68		4
Nike, Inc. Class B		986		94
Pandora Media, Inc. (Æ)		2,166		24
PulteGroup, Inc. (Æ)		3,501		54
Sirius XM Radio, Inc. (Æ)		20,116		52
Starbucks Corp.		1,679		85
Tempur-Pedic International, Inc. (Æ)		157		5
Tesla Motors, Inc. (Æ)		691		20
TJX Cos., Inc.		309		14
Tractor Supply Co.		134		13
Ulta Salon Cosmetics & Fragrance, Inc.		256		25
Wal-Mart Stores, Inc.		705		52
Yum! Brands, Inc.		163		11
				870
Consumer Staples - 1.7%
Fresh Market, Inc. (The) (Æ)		103		6
Green Mountain Coffee Roasters, Inc. (Æ)		220		5
Monster Beverage Corp. (Æ)		613		33
Walgreen Co.		1,053		39
				83
Energy - 15.3%
Alpha Natural Resources, Inc. (Æ)		2,352		15
Baker Hughes, Inc.		572		26
Cabot Oil & Gas Corp.		1,607		72
CARBO Ceramics, Inc.		56		4
Chesapeake Energy Corp.		1,887		36
Chevron Corp.		856		101
CONSOL Energy, Inc.		170		5
EQT Corp.		91		5
EXCO Resources, Inc.		2,802		22
Exxon Mobil Corp.		1,008		93
FMC Technologies, Inc. (Æ)		291		13
HollyFrontier Corp.		830		34
Kinder Morgan, Inc.		1,954		69
Laredo Petroleum Holdings, Inc. (Æ)		705		15
National Oilwell Varco, Inc.		37		3
Occidental Petroleum Corp.		633		54
Phillips 66 Class W (Æ)		50		2
Range Resources Corp.		605		42
RPC, Inc.		726		9

	Principal Amount ($) or Shares		Market Value $
Schlumberger, Ltd.		1,285		94
Southwestern Energy Co. (Æ)		263		9
Ultra Petroleum Corp. (Æ)		1,046		23
Valero Energy Corp.		521		17
Walter Energy, Inc. Class A		103		3
				766
Financial Services - 17.7%
American International Group, Inc. (Æ)		490		16
Bank of America Corp.		8,678		77
Bank of New York Mellon Corp. (The)		1,370		31
Berkshire Hathaway, Inc. Class B (Æ)		448		40
Citigroup, Inc.		1,163		38
CME Group, Inc. Class A		355		20
Fifth Third Bancorp		1,999		31
Goldman Sachs Group, Inc. (The)		702		80
Howard Hughes Corp. (The) (Æ)		97		7
JPMorgan Chase & Co.		2,450		100
Mastercard, Inc. Class A		207		93
MBIA, Inc. (Æ)		1,378		14
PNC Financial Services Group, Inc.		1,175		74
St. Joe Co. (The) (Æ)		459		9
Thomson Reuters Corp.		153		4
US Bancorp		1,170		40
Vantiv, Inc. Class A (Æ)		656		14
Visa, Inc. Class A		740		100
Wells Fargo & Co.		2,736		94
				882
Health Care - 6.9%
Aetna, Inc.		1,416		56
Alexion Pharmaceuticals, Inc. (Æ)		403		46
Catamaran Corp. (Æ)		664		65
Cooper Cos., Inc. (The)		55		5
Health Net, Inc. (Æ)		833		19
Illumina, Inc. (Æ)		138		7
Onyx Pharmaceuticals, Inc. (Æ)		300		25
Regeneron Pharmaceuticals, Inc. (Æ)		54		8
UnitedHealth Group, Inc.		1,225		69
Vertex Pharmaceuticals, Inc. (Æ)		534		30
Watson Pharmaceuticals, Inc. Class B (Æ)		26		2
WellPoint, Inc.		198		11
				343
Materials and Processing - 10.0%
Allied Nevada Gold Corp. (Æ)		1,191		47
Fastenal Co.		1,645		71
LyondellBasell Industries NV Class A		71		4
Molycorp, Inc. (Æ)		357		4
Monsanto Co.		1,064		97
Newmont Mining Corp.		1,814		101
Polypore International, Inc. (Æ)		301		11
Royal Gold, Inc.		1,047		104
Southern Copper Corp.		910		31
Tahoe Resources, Inc. (Æ)		1,494		30
				500

Russell 1000 High Volatility ETF 33

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Producer Durables - 8.7%
Caterpillar, Inc.		275		24
CNH Global NV (Æ)		571		22
Danaher Corp.		599		33
Delta Air Lines, Inc. (Æ)		2,902		27
Emerson Electric Co.		1,864		90
General Electric Co.		4,512		102
Navistar International Corp. (Æ)		38		1
Union Pacific Corp.		769		91
United Continental Holdings, Inc. (Æ)		2,256		44
				434
Technology - 19.6%
Advanced Micro Devices, Inc. (Æ)		1,895		6
Apple, Inc.		146		97
Brocade Communications Systems, Inc. (Æ)		1,953		12
Cisco Systems, Inc.		508		10
EMC Corp. (Æ)		2,630		72
Facebook, Inc. Class A (Æ)		4,816		103
Fortinet, Inc. (Æ)		47		1
Google, Inc. Class A (Æ)		134		101
Groupon, Inc. Class A (Æ)		1,446		7
Hewlett-Packard Co.		1,737		30
Intel Corp.		3,230		73
International Business Machines Corp.		129		27
Lambda TD Software, Inc. (Æ)		1,322		14
Micron Technology, Inc. (Æ)		708		4
Microsoft Corp.		3,018		90
NetApp, Inc. (Æ)		1,009		33
Nuance Communications, Inc. (Æ)		774		19
NVIDIA Corp. (Æ)		1,199		16
Oracle Corp.		3,021		95
Polycom, Inc. (Æ)		357		4
Red Hat, Inc. (Æ)		457		26
Salesforce.com, Inc. (Æ)		177		27
VeriFone Systems, Inc. (Æ)		537		15
VMware, Inc. Class A (Æ)		655		63
Western Digital Corp.		470		18
Zynga, Inc. Class A (Æ)		7,036		20
				983
Utilities - 2.5%
Clearwire Corp. Class A (Æ)		15,206		21
Frontier Communications Corp.		4,618		23
NII Holdings, Inc. (Æ)		1,620		13
Sprint Nextel Corp. (Æ)		12,116		66
				123
Total Common Stocks (cost $4,658)				4,984

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,082	(¥)		4
Total Short-Term Investments (cost $4)					4
Total Investments - 99.9% (identified cost $4,662)					4,988
Other Assets and Liabilities, Net - 0.1%					4
Net Assets - 100.0%					4,992

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

34 Russell 1000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	870	$	—	$	—	$	870		17.4
Consumer Staples		83		—		—		83		1.7
Energy		766		—		—		766		15.3
Financial Services		882		—		—		882		17.7
Health Care		343		—		—		343		6.9
Materials and Processing		500		—		—		500		10.0
Producer Durables		434		—		—		434		8.7
Technology		983		—		—		983		19.6
Utilities		123		—		—		123		2.5
Short-Term Investments		—		4		—		4		0.1
Total Investments	$	4,984	$	4	$	—	$	4,988		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 ended September 30, 2012.

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

Russell 1000 High Volatility ETF 35

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,662
Investments, at market*		4,988
Receivables:
Dividends		3
Investments sold		167
Total assets		5,158
Liabilities
Payables:
Investments purchased		164
Accrued fees to affiliates		2
Total liabilities		166
Net Assets	$	4,992
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	—
Accumulated net realized gain (loss)		(714	)
Unrealized appreciation (depreciation) on investments		326
Additional paid-in capital		5,380
Net Assets	$	4,992
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	49.92
Net assets	$	4,992,246
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.

36 Russell 1000 High Volatility ETF

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Russell 1000 High Volatility ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	33
Total investment income		33
Expenses
Management fees		12
Expense reductions		(7	)
Net expenses		5
Net investment income (loss)		28
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		(71	)
Net change in unrealized appreciation (depreciation) on investments		71
Net realized and unrealized gain (loss)		—
Net Increase (Decrease) in Net Assets from Operations	$	28

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

Russell 1000 High Volatility ETF 37

Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	28		$	50
Net realized gain (loss)		(71	)		(1,254	)
Net change in unrealized appreciation (depreciation)		71			255
Net increase (decrease) in net assets from operations		28			(949	)
Distributions
From net investment income		(30	)		(48	)
Net decrease in net assets from distributions		(30	)		(48	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			5,991
Total Net Increase (Decrease) in Net Assets		(2	)		4,994
Net Assets
Beginning of period		4,994			—
End of period	$	4,992		$	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.

38 Russell 1000 High Volatility ETF

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Russell Exchange Traded Funds Trust

Russell 1000 High Volatility ETF

Financial Highlights — For the Periods 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
September 30, 2012*		49.94		.28		(.01	)		.27		(.29	)		(.29	)
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 ended September 30, 2012 (Unaudited).

** 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 Russell 1000 High Volatility ETF

$ 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)
	49.92		.58		4,992		.49		.20		1.16		46
	49.94		1.32		4,994		.83		.38		1.00		102

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

Russell 1000 High Volatility ETF 41

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,036.40	$	1,024.00
Expenses Paid During Period*	$	1.02	$	1.01

* Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

42 Russell 1000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.6%
Consumer Discretionary - 25.7%
American Eagle Outfitters, Inc.		62		1
Carter’s, Inc. (Æ)		169		9
CBS Corp. Class B		1,859		68
Charter Communications, Inc. Class A (Æ)		15		1
Comcast Corp. Class A		2,983		107
DISH Network Corp. Class A		58		2
Dollar Tree, Inc. (Æ)		619		30
eBay, Inc. (Æ)		938		45
Estee Lauder Cos., Inc. (The) Class A		69		4
Expedia, Inc.		271		16
Foot Locker, Inc.		63		2
Gap, Inc. (The)		573		21
GateHouse Media, Inc. Class A (Æ)		128		8
Home Depot, Inc.		1,683		102
Hyatt Hotels Corp. Class A (Æ)		6		—	±
Interpublic Group of Cos., Inc. (The)		585		7
Lennar Corp. Class A		1,835		64
Liberty Media Corp. - Interactive (Æ)		1,009		19
Liberty Media Corp. - Liberty Capital Class A (Æ)		80		8
Limited Brands, Inc.		428		21
LKQ Corp. (Æ)		2,708		50
Lowe’s Cos., Inc.		468		14
Macy’s, Inc.		1,500		56
Mondelez International, Inc.		764		32
News Corp. Class A		3,315		81
O’Reilly Automotive, Inc. (Æ)		333		28
priceline.com, Inc. (Æ)		89		55
PulteGroup, Inc. (Æ)		6,413		99
Sally Beauty Holdings, Inc. (Æ)		247		6
Starbucks Corp.		230		12
Target Corp.		96		6
Time Warner Cable, Inc.		39		4
Time Warner, Inc.		303		14
TJX Cos., Inc.		1,599		72
TripAdvisor, Inc. (Æ)		111		4
Ulta Salon Cosmetics & Fragrance, Inc.		26		3
VF Corp.		299		48
Viacom, Inc. Class B		236		13
Wal-Mart Stores, Inc.		1,321		97
Walt Disney Co. (The)		2,052		107
Wyndham Worldwide Corp.		371		19
Yum! Brands, Inc.		368		24
				1,379
Consumer Staples - 7.5%
Altria Group, Inc.		2,861		96
Church & Dwight Co., Inc.		328		18
CVS Caremark Corp.		1,095		53
GNC Holdings, Inc. Class A		148		6
Lorillard, Inc.		116		14
Monster Beverage Corp. (Æ)		283		15
Philip Morris International, Inc.		1,166		104
Procter & Gamble Co. (The)		539		37
Reynolds American, Inc.		1,265		55

	Principal Amount ($) or Shares		Market Value $
Whole Foods Market, Inc.		66		6
				404
Energy - 2.6%
Chevron Corp.		436		51
Kinder Morgan, Inc.		501		18
Marathon Oil Corp.		475		14
Occidental Petroleum Corp.		21		2
Phillips 66 Class W (Æ)		339		16
Plains Exploration & Production Co. (Æ)		253		9
Williams Cos., Inc. (The)		842		29
				139
Financial Services - 18.2%
Alliance Data Systems Corp. (Æ)		228		32
Allied World Assurance Co. Holdings AG		814		63
American Express Co.		432		25
American International Group, Inc. (Æ)		343		11
BB&T Corp.		683		23
Berkshire Hathaway, Inc. Class B (Æ)		278		25
Capital One Financial Corp.		53		3
Cincinnati Financial Corp.		132		5
CoreLogic, Inc. (Æ)		291		8
Discover Financial Services		1,515		60
Duke Realty Corp. (ö)		374		5
Equity Residential (ö)		186		11
Everest Re Group, Ltd.		78		8
Extra Space Storage, Inc. (ö)		363		12
Franklin Resources, Inc.		143		18
General Growth Properties, Inc. (ö)		763		15
Health Care REIT, Inc. (ö)		166		10
JPMorgan Chase & Co.		198		8
Kimco Realty Corp. (ö)		218		4
Lender Processing Services, Inc.		1,065		30
Mastercard, Inc. Class A		237		106
Morgan Stanley		460		8
Prologis, Inc. (ö)		391		14
Prudential Financial, Inc.		11		1
Public Storage (ö)		80		11
Regions Financial Corp.		1,524		11
Simon Property Group, Inc. (ö)		280		43
Taubman Centers, Inc. (ö)		324		25
Travelers Cos., Inc. (The)		753		51
US Bancorp		3,173		108
Ventas, Inc. (ö)		216		13
Visa, Inc. Class A		686		92
Wells Fargo & Co.		3,096		107
XL Group PLC Class A		294		7
				973
Health Care - 15.3%
Abbott Laboratories		1,160		80
Alexion Pharmaceuticals, Inc. (Æ)		748		86
Allergan, Inc.		155		14
Amgen, Inc.		492		41
Ariad Pharmaceuticals, Inc. (Æ)		248		6
Biogen Idec, Inc. (Æ)		461		69

Russell 1000 High Momentum ETF 43

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Bristol-Myers Squibb Co.		2,255		76
Catamaran Corp. (Æ)		525		51
Covidien PLC		15		1
Gilead Sciences, Inc. (Æ)		410		27
Intuitive Surgical, Inc. (Æ)		72		36
Johnson & Johnson		615		42
Medivation, Inc. (Æ)		470		26
Merck & Co., Inc.		2,376		107
Pfizer, Inc.		4,401		110
Regeneron Pharmaceuticals, Inc. (Æ)		327		50
				822
Materials and Processing - 3.4%
Airgas, Inc.		40		3
Brown-Forman Corp. Class B - ADR (Æ)		382		26
Fastenal Co.		376		16
LyondellBasell Industries NV Class A		407		21
Monsanto Co.		91		8
Praxair, Inc.		176		18
Sherwin-Williams Co. (The)		359		54
Tahoe Resources, Inc. (Æ)		1,724		35
				181
Producer Durables - 6.4%
Accenture PLC Class A		459		32
Automatic Data Processing, Inc.		649		38
Cooper Industries PLC		136		10
Copa Holdings SA Class A		43		3
General Electric Co.		4,856		111
Kansas City Southern		297		23
Manitowoc Co., Inc. (The)		776		10
Northrop Grumman Corp.		390		26
Textron, Inc.		33		1
TransDigm Group, Inc. (Æ)		39		6
Trimble Navigation, Ltd. (Æ)		93		4
Tyco International, Ltd.		88		5
Union Pacific Corp.		288		34
United Rentals, Inc. (Æ)		408		13
WW Grainger, Inc.		130		27
				343
Technology - 13.6%
Apple, Inc.		156		105
Ariba, Inc. (Æ)		118		5
Cisco Systems, Inc.		1,695		32
Concur Technologies, Inc. (Æ)		223		16
Dell, Inc.		1,541		15
EchoStar Corp. Class A (Æ)		121		3
EMC Corp. (Æ)		821		22
Equinix, Inc. (Æ)		347		71
IAC/InterActiveCorp		341		18
Intel Corp.		4,239		97
International Business Machines Corp.		515		108
Intuit, Inc.		242		14

	Principal Amount ($) or Shares			Market Value $
KLA-Tencor Corp.		416			20
Microsoft Corp.		2,426			72
Motorola Solutions, Inc.		48			2
NCR Corp. (Æ)		684			16
NetSuite, Inc. (Æ)		42			3
Nuance Communications, Inc. (Æ)		43			1
QUALCOMM, Inc.		723			45
SBA Communications Corp. Class A (Æ)		310			19
Skyworks Solutions, Inc. (Æ)		171			4
SolarWinds, Inc. (Æ)		310			17
Teradyne, Inc. (Æ)		137			2
Western Digital Corp.		351			14
Xilinx, Inc.		225			8
					729
Utilities - 6.9%
AES Corp. (The)		702			8
AT&T, Inc.		2,839			106
DTE Energy Co.		43			3
Duke Energy Corp.		345			22
NiSource, Inc.		1,793			46
ONEOK, Inc.		210			10
Sempra Energy		1,058			68
Verizon Communications, Inc.		2,316			106
					369
Total Common Stocks (cost $4,695)					5,339
Warrants & Rights - 0.0%
Warrants and Rights - 0.0%
Liberty Ventures (Æ) 2012 Rights		1			—	±
Total Warrants & Rights (cost $—)					—	±
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		4,366	(¥)		4
Total Short-Term Investments (cost $4)					4
Total Investments - 99.7% (identified cost $4,699)					5,343
Other Assets and Liabilities, Net - 0.3%					16
Net Assets - 100.0%					5,359

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

44 Russell 1000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

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

Amounts in thousands

	Market Value										% of Net Assets
Portfolio Summary	Level 1			Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,379		$	—	$	—	$	1,379			25.7
Consumer Staples		404			—		—		404			7.5
Energy		139			—		—		139			2.6
Financial Services		973			—		—		973			18.2
Health Care		822			—		—		822			15.3
Materials and Processing		181			—		—		181			3.4
Producer Durables		343			—		—		343			6.4
Technology		729			—		—		729			13.6
Utilities		369			—		—		369			6.9
Warrants & Rights		—	**		—		—		—	**		—	*
Short-Term Investments		—			4		—		4			0.1
Total Investments	$	5,339		$	4	$	—	$	5,343			99.7
Other Assets and Liabilities, Net												0.3
												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 ended September 30, 2012.

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

Russell 1000 High Momentum ETF 45

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,699
Investments, at market*		5,343
Receivables:
Dividends		8
Investments sold		215
Total assets		5,566
Liabilities
Payables:
Investments purchased		205
Accrued fees to affiliates		2
Total liabilities		207
Net Assets	$	5,359
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	2
Accumulated net realized gain (loss)		(614	)
Unrealized appreciation (depreciation) on investments		644
Additional paid-in capital		5,327
Net Assets	$	5,359
			��
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	53.59
Net assets	$	5,359,432
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.

46 Russell 1000 High Momentum ETF

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	52
Total investment income		52
Expenses
Management fees		13
Expense reductions		(8	)
Net expenses		5
Net investment income (loss)		47
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		66
Net unrealized appreciation (depreciation) on investments		75
Net realized and unrealized gain (loss)		141
Net Increase (Decrease) in Net Assets from Operations	$	188

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

Russell 1000 High Momentum ETF 47

Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	47		$	97
Net realized gain (loss)		66			(684	)
Net change in unrealized appreciation (depreciation)		75			569
Net increase (decrease) in net assets from operations		188			(18	)
Distributions
From net investment income		(46	)		(95	)
Net decrease in net assets from distributions		(46	)		(95	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			5,330
Total Net Increase (Decrease) in Net Assets		142			5,217
Net Assets
Beginning of period		5,217			—
End of period	$	5,359		$	5,217
Undistributed (overdistributed) net investment income included in net assets	$	2		$	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.

48 Russell 1000 High Momentum ETF

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Russell Exchange Traded Funds Trust

Russell 1000 High Momentum ETF

Financial Highlights — For the Periods 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
September 30, 2012*		52.17		.47		1.41		1.88		(.46	)		(.46	)
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 ended September 30, 2012 (Unaudited).

** 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 Russell 1000 High Momentum ETF

$ 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)
	53.59		3.64		5,359		.49		.20		1.80		47
	52.17		6.23		5,217		.82		.39		1.61		93

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

Russell 1000 High Momentum ETF 51

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,038.20	$	1,023.50
Expenses Paid During Period*	$	1.53	$	1.52

* Expenses are equal to the Fund’s annualized expense ratio of 0.30% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

52 Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.7%
Consumer Discretionary - 8.9%
AFC Enterprises, Inc. (Æ)		387		10
Barnes & Noble, Inc. (Æ)		548		7
Bon-Ton Stores, Inc. (The)		2,396		23
Bridgepoint Education, Inc. (Æ)		1,021		10
Buckle, Inc. (The)		119		5
Capella Education Co. (Æ)		125		4
Caribou Coffee Co., Inc. (Æ)		41		1
Cato Corp. (The) Class A		132		4
Children’s Place Retail Stores, Inc. (The) (Æ)		646		39
Citi Trends, Inc. (Æ)		354		5
Coinstar, Inc. (Æ)		379		17
Collective Brands, Inc. (Æ)		31		1
Conn’s, Inc. (Æ)		342		8
Elizabeth Arden, Inc. (Æ)		88		4
Francesca’s Holdings Corp. (Æ)		459		14
Fred’s, Inc. Class A		1,354		19
Fuel Systems Solutions, Inc. (Æ)		84		2
Gordmans Stores, Inc. (Æ)		206		4
HealthStream, Inc. (Æ)		576		16
hhgregg, Inc. (Æ)		384		3
Hot Topic, Inc.		1,408		12
HSN, Inc.		78		4
LeapFrog Enterprises, Inc. Class A (Æ)		664		6
Lincoln Educational Services Corp.		753		3
Lions Gate Entertainment Corp. (Æ)		692		11
MarineMax, Inc. (Æ)		3,302		27
Matthews International Corp. Class A		439		13
Monro Muffler Brake, Inc.		234		8
Nexstar Broadcasting Group, Inc. Class A (Æ)		2,952		31
Nutrisystem, Inc.		115		1
Orbitz Worldwide, Inc. (Æ)		1,877		5
QuinStreet, Inc. (Æ)		304		3
ReachLocal, Inc. (Æ)		1,573		20
Regis Corp.		261		5
Rent-A-Center, Inc. Class A		63		2
Saks, Inc. (Æ)		1,004		10
Sinclair Broadcast Group, Inc. Class A		2,354		26
Stamps.com, Inc. (Æ)		700		16
Stein Mart, Inc. (Æ)		3,553		30
Stewart Enterprises, Inc. Class A		359		3
Teavana Holdings, Inc. (Æ)		247		3
Town Sports International Holdings, Inc. (Æ)		435		5
Universal Technical Institute, Inc.		1,309		18
Valassis Communications, Inc. (Æ)		46		1
Viad Corp.		109		2
Wolverine World Wide, Inc.		181		8
				469
Consumer Staples - 13.6%
Andersons, Inc. (The)		383		14
B&G Foods, Inc. Class A		1,037		31
Casey’s General Stores, Inc.		702		40

	Principal Amount ($) or Shares		Market Value $
Chiquita Brands International, Inc. (Æ)		122		1
Fresh Del Monte Produce, Inc.		978		25
Hain Celestial Group, Inc. (The) (Æ)		745		47
Harris Teeter Supermarkets, Inc.		232		9
J&J Snack Foods Corp.		378		22
Lancaster Colony Corp.		574		42
Medifast, Inc. (Æ)		356		9
Nash Finch Co.		491		10
Peet’s Coffee & Tea, Inc. (Æ)		363		27
PetMed Express, Inc.		1,689		17
Pilgrim’s Pride Corp. (Æ)		365		2
Rite Aid Corp. (Æ)		1,488		2
Roundy’s, Inc.		17		—	±
Sanderson Farms, Inc.		1,506		67
Schiff Nutrition International, Inc. (Æ)		958		23
Smart Balance, Inc. (Æ)		3,201		39
Snyders-Lance, Inc.		332		8
Spartan Stores, Inc.		195		3
Star Scientific, Inc. (Æ)		3,639		13
TreeHouse Foods, Inc. (Æ)		69		4
United Natural Foods, Inc. (Æ)		620		36
Universal Corp.		1,597		81
USANA Health Sciences, Inc. (Æ)		408		19
Vector Group, Ltd.		5,799		96
WD-40 Co.		638		34
				721
Energy - 0.9%
BPZ Resources, Inc. (Æ)		4,328		12
Crimson Exploration, Inc. (Æ)		1,767		7
Kior, Inc. Class A (Æ)		276		3
Rex Energy Corp. (Æ)		326		4
Union Drilling, Inc. (Æ)		2,269		15
Venoco, Inc. (Æ)		489		6
				47
Financial Services - 24.3%
Amtrust Financial Services, Inc.		1,057		27
Argo Group International Holdings, Ltd.		104		3
ARMOUR Residential REIT, Inc. (ö)		5,816		45
Ashford Hospitality Trust, Inc. (ö)		4,157		35
BofI Holding, Inc. (Æ)		11		—	±
Capstead Mortgage Corp. (ö)		4,031		54
Cardtronics, Inc. (Æ)		2,397		71
Cedar Realty Trust, Inc. (ö)		1,726		9
Citizens, Inc. (Æ)		3,753		39
City Holding Co.		95		3
Colony Financial, Inc. (ö)		1,599		31
Columbia Banking System, Inc.		30		1
Coresite Realty Corp. Class A (ö)		133		4
CreXus Investment Corp. (ö)		2,240		24
DCT Industrial Trust, Inc. (ö)		4,070		26
DiamondRock Hospitality Co. (ö)		1,260		12
DuPont Fabros Technology, Inc. (ö)		675		17
Dynex Capital, Inc. (ö)		3,509		38
eHealth, Inc. (Æ)		498		9
Employers Holdings, Inc.		832		15

Russell 2000 Low Beta ETF 53

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Entertainment Properties Trust (ö)		138		6
Excel Trust, Inc. (ö)		1,662		19
Federal Agricultural Mortgage Corp. Class C		56		2
FelCor Lodging Trust, Inc. (Æ) (ö)		530		3
First Community Bancshares, Inc.		601		9
First Connecticut Bancorp, Inc.		897		12
First Financial Bancorp		309		5
First Financial Bankshares, Inc.		965		35
Getty Realty Corp. (ö)		286		5
Glacier Bancorp, Inc.		1,068		17
Gladstone Commercial Corp. (ö)		120		2
Glimcher Realty Trust (ö)		1,506		16
Government Properties Income Trust (ö)		999		23
Greenlight Capital Re, Ltd. Class A (Æ)		47		1
Hancock Holding Co.		834		26
Heartland Financial USA, Inc.		45		1
Higher One Holdings, Inc. (Æ)		742		10
Hilltop Holdings, Inc. (Æ)		490		6
Inland Real Estate Corp. (ö)		259		2
Investors Bancorp, Inc. (Æ)		934		17
MainSource Financial Group, Inc.		714		9
Meadowbrook Insurance Group, Inc.		723		6
MetroCorp Bancshares, Inc. (Æ)		42		1
MoneyGram International, Inc. (Æ)		141		2
Monmouth Real Estate Investment Corp. Class A (ö)		4,586		51
National Health Investors, Inc. (ö)		739		38
Nationstar Mortgage Holdings, Inc. (Æ)		2,262		75
NBT Bancorp, Inc.		122		3
Northwest Bancshares, Inc.		1,272		16
Ocwen Financial Corp. Class A (Æ)		325		9
Oritani Financial Corp.		807		12
Pebblebrook Hotel Trust (ö)		622		15
Pennsylvania Real Estate Investment Trust (ö)		866		14
PennyMac Mortgage Investment Trust (ö)		328		8
Potlatch Corp. (ö)		819		31
Prosperity Bancshares, Inc. (Æ)		1,189		51
RAIT Financial Trust (ö)		645		3
Ramco-Gershenson Properties Trust (ö)		247		3
Resource Capital Corp. (ö)		2,509		15
RLJ Lodging Trust (ö)		597		11
Sabra Health Care REIT, Inc. (ö)		959		19
Saul Centers, Inc. (ö)		102		5
Simmons First National Corp. Class A		1,812		44
Sterling Financial Corp.		948		21
Strategic Hotels & Resorts, Inc. (Æ) (ö)		5,729		35
Suffolk Bancorp (Æ)		431		6
Sunstone Hotel Investors, Inc. (Æ) (ö)		170		2
Tompkins Financial Corp.		1,062		43
UMB Financial Corp.		107		5
United Community Banks, Inc. (Æ)		1,310		11
Urstadt Biddle Properties, Inc. Class A (ö)		1,018		21
ViewPoint Financial Group, Inc.		357		7
Wilshire Bancorp, Inc. (Æ)		813		5
World Acceptance Corp. (Æ)		181		12
				1,289

	Principal Amount ($) or Shares		Market Value $
Health Care - 26.0%
Accelrys, Inc. (Æ)		1,232		11
Accretive Health, Inc. (Æ)		305		3
Accuray, Inc. (Æ)		714		5
Achillion Pharmaceuticals, Inc. (Æ)		79		1
Acorda Therapeutics, Inc. (Æ)		426		11
Aegerion Pharmaceuticals, Inc. (Æ)		423		6
Air Methods Corp. (Æ)		101		12
Akorn, Inc. (Æ)		1,592		21
Alkermes PLC (Æ)		1,679		35
Alnylam Pharmaceuticals, Inc. (Æ)		271		5
AMN Healthcare Services, Inc. (Æ)		1,115		11
Ampio Pharmaceuticals, Inc. (Æ)		2,887		11
Amsurg Corp. Class A (Æ)		2,520		72
AngioDynamics, Inc. (Æ)		632		8
Antares Pharma, Inc. (Æ)		3,217		14
Arena Pharmaceuticals, Inc. (Æ)		219		2
Array BioPharma, Inc. (Æ)		3,070		18
athenahealth, Inc. (Æ)		37		3
Auxilium Pharmaceuticals, Inc. (Æ)		251		6
AVEO Pharmaceuticals, Inc. (Æ)		653		7
Bio-Reference Labs, Inc. (Æ)		2,381		68
BioScrip, Inc. (Æ)		333		3
Cadence Pharmaceuticals, Inc. Class A (Æ)		1,016		4
Cambrex Corp. (Æ)		138		2
Centene Corp. (Æ)		598		22
Cerus Corp. (Æ)		2,453		8
Clovis Oncology, Inc. (Æ)		195		4
Computer Programs & Systems, Inc.		261		15
Corcept Therapeutics, Inc. (Æ)		3,802		11
Cubist Pharmaceuticals, Inc. (Æ)		830		40
Cynosure, Inc. Class A (Æ)		187		5
Cytori Therapeutics, Inc. (Æ)		4,747		21
Depomed, Inc. (Æ)		4,432		26
Dyax Corp. (Æ)		2,174		6
Emeritus Corp. (Æ)		185		4
Ensign Group, Inc. (The)		25		1
Enzon Pharmaceuticals, Inc. (Æ)		1,135		8
Exact Sciences Corp. (Æ)		2,712		30
ExamWorks Group, Inc. (Æ)		874		13
Exelixis, Inc. (Æ)		1,776		9
Furiex Pharmaceuticals, Inc. (Æ)		272		5
Genomic Health, Inc. (Æ)		331		11
Greatbatch, Inc. (Æ)		93		2
Greenway Medical Technologies (Æ)		260		4
Hansen Medical, Inc. (Æ)		1,439		3
HeartWare International, Inc. (Æ)		128		12
Immunogen, Inc. (Æ)		304		4
Impax Laboratories, Inc. (Æ)		205		5
Infinity Pharmaceuticals, Inc. (Æ)		407		10
Integra LifeSciences Holdings Corp. (Æ)		22		1
Invacare Corp.		85		1
IPC The Hospitalist Co., Inc. (Æ)		266		12
IRIS International, Inc. (Æ)		1,305		25
Isis Pharmaceuticals, Inc. (Æ)		232		3
Jazz Pharmaceuticals PLC (Æ)		483		28
Landauer, Inc.		170		10

54 Russell 2000 Low Beta ETF

Russell Exchange Traded Funds Trust

Russell 2000 Low Beta ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Lexicon Pharmaceuticals, Inc. (Æ)		12,002		28
LHC Group, Inc. (Æ)		315		6
Luminex Corp. (Æ)		418		8
Magellan Health Services, Inc. (Æ)		1,600		83
MannKind Corp. (Æ)		2,823		8
MAP Pharmaceuticals, Inc. (Æ)		208		3
Masimo Corp. (Æ)		1,242		30
Medicis Pharmaceutical Corp. Class A		1,330		58
Merge Healthcare, Inc. (Æ)		1,128		4
Merit Medical Systems, Inc. (Æ)		62		1
Merrimack Pharmaceuticals, Inc. (Æ)		804		8
Molina Healthcare, Inc. (Æ)		752		19
Momenta Pharmaceuticals, Inc. (Æ)		183		3
MWI Veterinary Supply, Inc. (Æ)		172		18
Natus Medical, Inc. (Æ)		193		3
NewLink Genetics Corp. (Æ)		139		2
NPS Pharmaceuticals, Inc. (Æ)		1,535		14
NxStage Medical, Inc. (Æ)		104		1
Omeros Corp. (Æ)		4,700		44
Oncothyreon, Inc. (Æ)		1,119		6
Owens & Minor, Inc.		1,851		55
PAREXEL International Corp. (Æ)		92		3
PDL BioPharma, Inc.		220		2
Pozen, Inc. (Æ)		653		4
Providence Service Corp. (The) (Æ)		51		1
Quality Systems, Inc.		678		13
Questcor Pharmaceuticals, Inc. (Æ)		764		14
Raptor Pharmaceutical Corp. (Æ)		202		1
Repros Therapeutics, Inc. (Æ)		747		11
Santarus, Inc. (Æ)		2,209		20
Sciclone Pharmaceuticals, Inc. (Æ)		1,709		9
Seattle Genetics, Inc. (Æ)		192		5
Sequenom, Inc. (Æ)		5,378		19
Spectranetics Corp. (Æ)		238		4
Staar Surgical Co. (Æ)		2,816		21
STERIS Corp.		146		5
Sunesis Pharmaceuticals, Inc. (Æ)		1,460		8
SurModics, Inc. (Æ)		892		18
Symmetry Medical, Inc. (Æ)		1,162		12
Theravance, Inc. (Æ)		131		3
Transcept Pharmaceuticals, Inc. (Æ)		113		1
Trius Therapeutics, Inc. (Æ)		861		5
Unilife Corp. (Æ)		6,195		19
Vical, Inc. (Æ)		1,727		7
Volcano Corp. (Æ)		1,009		29
Wright Medical Group, Inc. (Æ)		1,043		23
XenoPort, Inc. (Æ)		234		3
ZIOPHARM Oncology, Inc. (Æ)		3,389		18
				1,378
Materials and Processing - 0.4%
McEwen Mining, Inc. (Æ)		778		4
Schweitzer-Mauduit International, Inc.		560		18
				22
Producer Durables - 6.1%
Allegiant Travel Co. Class A (Æ)		1,440		91
Corporate Executive Board Co. (The)		628		34

	Principal Amount ($) or Shares		Market Value $
Geo Group, Inc. (The)		120		3
Heartland Express, Inc.		1,747		23
HEICO Corp.		25		1
Huron Consulting Group, Inc. (Æ)		116		4
InnerWorkings, Inc. (Æ)		907		12
JetBlue Airways Corp. (Æ)		492		2
Knight Transportation, Inc.		1,056		15
Liquidity Services, Inc. (Æ)		93		5
Marlin Business Services Corp.		267		6
MasTec, Inc. (Æ)		66		1
Mine Safety Appliances Co.		1,625		61
Navigant Consulting, Inc. (Æ)		558		6
Sypris Solutions, Inc.		4,048		29
Teledyne Technologies, Inc. (Æ)		167		11
US Airways Group, Inc. (Æ)		196		2
Werner Enterprises, Inc.		846		18
				324
Technology - 5.8%
Carbonite, Inc. (Æ)		729		5
comScore, Inc. (Æ)		256		4
Comtech Telecommunications Corp.		305		8
Deltek, Inc. (Æ)		1,155		15
Demand Media, Inc. (Æ)		1,216		13
Digital River, Inc. (Æ)		129		2
EarthLink, Inc.		1,686		12
EPIQ Systems, Inc.		389		5
ExactTarget, Inc. (Æ)		444		11
Finisar Corp. (Æ)		387		6
Inphi Corp. (Æ)		223		2
IntraLinks Holdings, Inc. (Æ)		324		2
JDA Software Group, Inc. (Æ)		374		12
Kenexa Corp. (Æ)		137		6
Loral Space & Communications, Inc.		232		16
Monolithic Power Systems, Inc. (Æ)		245		5
Multi-Fineline Electronix, Inc. (Æ)		203		5
Oclaro, Inc. (Æ)		312		1
OpenTable, Inc. (Æ)		595		25
Parkervision, Inc. (Æ)		7,530		18
Pegasystems, Inc.		149		4
Plantronics, Inc.		412		15
support.com, Inc. (Æ)		572		2
Sycamore Networks, Inc. (Æ)		386		6
Synaptics, Inc. (Æ)		469		11
TNS, Inc. (Æ)		674		10
Ubiquiti Networks, Inc. (Æ)		52		1
Ultratech, Inc. (Æ)		17		1
Unwired Planet, Inc. (Æ)		2,813		5
ViaSat, Inc. (Æ)		105		4
Vocus, Inc. (Æ)		2,976		60
Websense, Inc. (Æ)		496		8
Zix Corp. (Æ)		1,878		5
				305
Utilities - 13.7%
8x8, Inc. (Æ)		2,578		17
Allete, Inc.		585		24
Avista Corp.		1,434		37

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Black Hills Corp.		942			34
Boingo Wireless, Inc. (Æ)		809			6
California Water Service Group		2,033			38
Cbeyond, Inc. (Æ)		98			1
CH Energy Group, Inc.		1,381			90
Cleco Corp.		196			8
Cogent Communications Group, Inc.		195			4
Consolidated Communications Holdings, Inc.		400			7
Idacorp, Inc.		911			39
IDT Corp. Class B		101			1
Iridium Communications, Inc. (Æ)		1,250			9
Lumos Networks Corp. (Æ)		3,206			25
MagicJack VocalTec, Ltd. (Æ)		65			2
MGE Energy, Inc.		855			45
Neutral Tandem, Inc. (Æ)		616			6
New Jersey Resources Corp.		393			18
Northwest Natural Gas Co.		300			15
NorthWestern Corp.		209			8
NTELOS Holdings Corp.		67			1
PNM Resources, Inc.		1,182			25
Portland General Electric Co.		2,397			65
Premiere Global Services, Inc. (Æ)		1,764			17
South Jersey Industries, Inc.		651			34
UIL Holdings Corp.		529			19
UNS Energy Corp.		2,436			102
WGL Holdings, Inc.		634			27
					724
Total Common Stocks (cost $4,940)					5,279
Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		8,345	(¥)		8
Total Short-Term Investments (cost $8)					8
Total Investments - 99.9% (identified cost $4,948)					5,287
Other Assets and Liabilities, Net - 0.1%					7
Net Assets - 100.0%					5,294

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

56 Russell 2000 Low Beta ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	469	$	—	$	—	$	469		8.9
Consumer Staples		721		—		—		721		13.6
Energy		47		—		—		47		0.9
Financial Services		1,289		—		—		1,289		24.3
Health Care		1,378		—		—		1,378		26.0
Materials and Processing		22		—		—		22		0.4
Producer Durables		324		—		—		324		6.1
Technology		305		—		—		305		5.8
Utilities		724		—		—		724		13.7
Short-Term Investments		—		8		—		8		0.2
Total Investments	$	5,279	$	8	$	—	$	5,287		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 ended September 30, 2012.

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

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,948
Investments, at market*		5,287
Cash		26
Receivables:
Dividends		9
Investments sold		151
Total assets		5,473
Liabilities
Payables:
Investments purchased		176
Accrued fees to affiliates		3
Total liabilities		179
Net Assets	$	5,294
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	5
Accumulated net realized gain (loss)		3
Unrealized appreciation (depreciation) on investments		339
Additional paid-in capital		4,947
Net Assets	$	5,294
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.94
Net assets	$	5,293,690
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.

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	56
Total investment income		56
Expenses
Management fees		17
Expense reductions		(10	)
Net expenses		7
Net investment income (loss)		49
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		92
Net change in unrealized appreciation (depreciation) on investments		55
Net realized and unrealized gain (loss)		147
Net Increase (Decrease) in Net Assets from Operations	$	196

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	49		$	60
Net realized gain (loss)		92			(89	)
Net change in unrealized appreciation (depreciation)		55			284
Net increase (decrease) in net assets from operations		196			255
Distributions
From net investment income		(50	)		(54	)
Net decrease in net assets from distributions		(50	)		(54	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			4,947
Total Net Increase (Decrease) in Net Assets		146			5,148
Net Assets
Beginning of period		5,148			—
End of period	$	5,294		$	5,148
Undistributed (overdistributed) net investment income included in net assets	$	5		$	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.

60 Russell 2000 Low Beta ETF

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Financial Highlights — For the Periods 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
September 30, 2012*		51.48		.48		1.48		1.96		(.50	)		(.50	)
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 ended September 30, 2012 (Unaudited).

** 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 Russell 2000 Low Beta ETF

$ 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)
	52.94		3.82		5,294		.69		.30		1.89		30
	51.48		5.24		5,148		1.05		.50		1.49		38

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

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Russell 2000 High Beta ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	972.70	$	1,023.50
Expenses Paid During Period*	$	1.48	$	1.52

* Expenses are equal to the Fund’s annualized expense ratio of 0.30% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 18.3%
American Greetings Corp. Class A		2,627		44
Avis Budget Group, Inc. (Æ)		3,630		56
Beazer Homes USA, Inc. (Æ)		1,556		6
Blyth, Inc.		88		2
Boyd Gaming Corp. (Æ)		1,119		8
Buffalo Wild Wings, Inc. (Æ)		101		9
Cooper Tire & Rubber Co.		2,584		50
Crocs, Inc. (Æ)		1,604		26
Dana Holding Corp.		6,117		75
Dollar Thrifty Automotive Group, Inc. (Æ)		132		11
Education Management Corp. (Æ)		2,459		8
Ethan Allen Interiors, Inc.		2,691		59
Federal-Mogul Corp. (Æ)		1,488		14
Fuel Systems Solutions, Inc. (Æ)		774		13
La-Z-Boy, Inc. (Æ)		2,518		37
Mattress Firm Holding Corp. (Æ)		71		2
MDC Holdings, Inc.		2,363		91
Meritage Homes Corp. (Æ)		889		34
Meritor, Inc. (Æ)		10,483		44
Movado Group, Inc.		130		4
Ruby Tuesday, Inc. (Æ)		638		5
Ryland Group, Inc. (The)		1,673		50
Sotheby’s Class A		153		5
Standard Pacific Corp. (Æ)		4,642		31
Tenneco, Inc. (Æ)		1,985		56
Vera Bradley, Inc. (Æ)		751		18
Winnebago Industries, Inc. (Æ)		3,886		49
Yelp, Inc. (Æ)		182		5
Zipcar, Inc. (Æ)		959		7
				819
Energy - 8.4%
Ameresco, Inc. Class A (Æ)		4,206		50
Apco Oil and Gas International, Inc.		387		6
Arch Coal, Inc.		1,525		10
Basic Energy Services, Inc. (Æ)		1,724		19
C&J Energy Services, Inc. (Æ)		743		15
Dril-Quip, Inc. (Æ)		570		41
Emerald Oil, Inc. (Æ)		4,591		4
Energy XXI Bermuda, Ltd.		1,402		49
Exterran Holdings, Inc. (Æ)		1,549		31
GT Advanced Technologies, Inc. (Æ)		463		3
Harvest Natural Resources, Inc. (Æ)		43		—	±
Heckmann Corp. (Æ)		128		1
Helix Energy Solutions Group, Inc. (Æ)		3,423		62
Hornbeck Offshore Services, Inc. (Æ)		430		16
ION Geophysical Corp. (Æ)		73		1
Key Energy Services, Inc. (Æ)		1,194		8
McMoRan Exploration Co. (Æ)		1,391		16
Mitcham Industries, Inc. (Æ)		162		3
Newpark Resources, Inc. (Æ)		1,929		14
Petroquest Energy, Inc. (Æ)		444		3
STR Holdings, Inc. (Æ)		1,033		3
Tesco Corp. (Æ)		187		2

	Principal Amount ($) or Shares		Market Value $
TETRA Technologies, Inc. (Æ)		1,311		8
TGC Industries, Inc. (Æ)		1,396		10
				375
Financial Services - 2.9%
Fifth Street Finance Corp.		2,232		25
Medallion Financial Corp.		620		7
MGIC Investment Corp. (Æ)		4,325		7
New Mountain Finance Corp.		2,106		31
PennantPark Investment Corp.		1,333		14
Solar Capital, Ltd.		1,728		39
Tower Group, Inc.		338		7
				130
Health Care - 1.0%
Amicus Therapeutics, Inc. (Æ)		335		2
Arqule, Inc. (Æ)		977		5
Cepheid, Inc. (Æ)		339		12
Idenix Pharmaceuticals, Inc. (Æ)		1,364		6
Pharmacyclics, Inc. (Æ)		189		12
Threshold Pharmaceuticals, Inc. (Æ)		364		3
Vivus, Inc. (Æ)		53		1
WellCare Health Plans, Inc. (Æ)		97		5
				46
Materials and Processing - 20.7%
Aceto Corp.		2,634		25
Acuity Brands, Inc.		1,003		63
Belden, Inc.		954		35
Builders FirstSource, Inc. (Æ)		5,541		29
Century Aluminum Co. (Æ)		1,007		7
Clarcor, Inc.		1,529		68
Eagle Materials, Inc.		2,059		96
Ferro Corp. (Æ)		5,105		18
Georgia Gulf Corp.		501		18
Gibraltar Industries, Inc. (Æ)		1,077		14
Innospec, Inc. (Æ)		5		—	±
Kaiser Aluminum Corp.		1,018		59
Kaydon Corp.		2,165		48
Kraton Performance Polymers, Inc. (Æ)		477		12
Louisiana-Pacific Corp. (Æ)		998		12
Mueller Industries, Inc.		592		27
Noranda Aluminum Holding Corp.		3,366		23
Olin Corp.		1,655		36
OM Group, Inc. (Æ)		731		14
Patrick Industries, Inc. (Æ)		597		9
PolyOne Corp.		1,577		26
Quanex Building Products Corp.		1,903		36
RBC Bearings, Inc. (Æ)		579		28
Schnitzer Steel Industries, Inc. Class A		1,532		43
Simpson Manufacturing Co., Inc.		1,193		34
Texas Industries, Inc. (Æ)		792		32
U.S. Silica Holdings, Inc. (Æ)		207		3
USG Corp. (Æ)		4,055		90
Worthington Industries, Inc.		1,077		23
				928

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Producer Durables - 30.3%
A123 Systems, Inc. (Æ)		18,135		5
Accuride Corp. (Æ)		7,111		33
Actuant Corp. Class A (Æ)		1,794		51
Aegion Corp. Class A (Æ)		2,301		44
Aircastle, Ltd.		7,067		79
Albany International Corp. Class A		2,308		51
AM Castle & Co. (Æ)		126		2
AO Smith Corp.		550		32
Arkansas Best Corp.		236		2
Barnes Group, Inc.		2,128		53
Briggs & Stratton Corp.		806		15
Bristow Group, Inc.		251		13
Chart Industries, Inc. (Æ)		518		38
Commercial Vehicle Group, Inc. (Æ)		620		5
DXP Enterprises, Inc. (Æ)		192		9
EMCOR Group, Inc.		48		1
Energy Recovery, Inc. (Æ)		3,057		9
EnerSys, Inc. (Æ)		1,218		43
EnPro Industries, Inc. (Æ)		2,177		77
ESCO Technologies, Inc.		1,644		64
FARO Technologies, Inc. (Æ)		30		1
Franklin Electric Co., Inc.		94		6
Frontline, Ltd. (Æ)		1,108		4
Genesee & Wyoming, Inc. Class A (Æ)		71		5
Global Power Equipment Group, Inc.		160		3
Granite Construction, Inc.		160		5
Great Lakes Dredge & Dock Corp.		1,238		10
Gulfmark Offshore, Inc. Class A (Æ)		1,948		64
Knightsbridge Tankers, Ltd. (Æ)		2,980		20
Layne Christensen Co. (Æ)		1,851		36
Lindsay Corp.		703		51
Middleby Corp. (Æ)		247		29
Modine Manufacturing Co. (Æ)		1,595		12
Nordic American Tankers, Ltd.		1,140		11
Old Dominion Freight Line, Inc. (Æ)		370		11
OSI Systems, Inc. (Æ)		441		34
Overseas Shipholding Group, Inc.		2,428		16
Primoris Services Corp.		1,131		15
Robbins & Myers, Inc.		736		44
Rush Enterprises, Inc. Class A (Æ)		1,661		32
Saia, Inc. (Æ)		231		5
Sauer-Danfoss, Inc.		1,597		64
Ship Finance International, Ltd.		1,164		18
Swift Transportation Co. Class A (Æ)		1,601		14
TAL International Group, Inc.		2,658		89
Titan International, Inc.		2,029		36
Tutor Perini Corp. (Æ)		2,757		32
Twin Disc, Inc.		234		4
Wabash National Corp. (Æ)		1,481		11
Watts Water Technologies, Inc. Class A		508		19
Woodward, Inc.		903		31
				1,358

	Principal Amount ($) or Shares		Market Value $
Technology - 18.3%
Acacia Research Corp. (Æ)		193		5
Amkor Technology, Inc. (Æ)		2,257		10
Anixter International, Inc.		233		13
Aruba Networks, Inc. (Æ)		22		—	±
Audience, Inc. (Æ)		667		4
AVG Technologies NV (Æ)		503		5
Brightpoint, Inc. (Æ)		889		8
CACI International, Inc. Class A (Æ)		615		32
Ciena Corp. (Æ)		954		13
Cirrus Logic, Inc. (Æ)		744		29
Entegris, Inc. (Æ)		5,491		45
Fabrinet (Æ)		361		4
FEI Co.		254		14
FormFactor, Inc. (Æ)		281		2
FSI International, Inc. (Æ)		3,759		23
GeoEye, Inc. (Æ)		85		2
Glu Mobile, Inc. (Æ)		1,315		6
Guidewire Software, Inc. (Æ)		247		8
Hittite Microwave Corp. (Æ)		1,116		62
Insight Enterprises, Inc. (Æ)		4,170		73
InvenSense, Inc. Class A (Æ)		786		9
iRobot Corp. (Æ)		563		13
JDA Software Group, Inc. (Æ)		164		5
Jive Software, Inc. (Æ)		2,234		35
Kenexa Corp. (Æ)		461		21
M/A-COM Technology Solutions Holdings, Inc. (Æ)		1,242		16
MaxLinear, Inc. Class A (Æ)		1,062		7
Microsemi Corp. (Æ)		937		19
Newport Corp. (Æ)		3,254		36
OmniVision Technologies, Inc. (Æ)		1,356		19
Photronics, Inc. (Æ)		2,285		12
PLX Technology, Inc. (Æ)		911		5
Rambus, Inc. (Æ)		1,051		6
RF Micro Devices, Inc. (Æ)		2,011		8
Semtech Corp. (Æ)		3,373		86
Silicon Image, Inc. (Æ)		1,920		9
Sourcefire, Inc. (Æ)		495		24
Stratasys, Inc. (Æ)		321		17
Tangoe, Inc. (Æ)		649		9
Tessera Technologies, Inc.		2,879		39
TriQuint Semiconductor, Inc. (Æ)		3,383		17
Universal Display Corp. (Æ)		1,018		35
Websense, Inc. (Æ)		1,159		18
				823
Total Common Stocks (cost $4,483)				4,479
Total Investments - 99.9% (identified cost $4,483)				4,479
Other Assets and Liabilities, Net - 0.1%				4
Net Assets - 100.0%				4,483

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

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	819	$	—	$	—	$	819		18.3
Energy		375		—		—		375		8.4
Financial Services		130		—		—		130		2.9
Health Care		46		—		—		46		1.0
Materials and Processing		928		—		—		928		20.7
Producer Durables		1,358		—		—		1,358		30.3
Technology		823		—		—		823		18.3
Total Investments	$	4,479	$	—	$	—	$	4,479		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 ended September 30, 2012.

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

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,483
Investments, at market		4,479
Cash		24
Receivables:
Dividends		4
Investments sold		524
Total assets		5,031
Liabilities
Payables:
Investments purchased		546
Accrued fees to affiliates		2
Total liabilities		548
Net Assets	$	4,483
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	3
Accumulated net realized gain (loss)		(1,012	)
Unrealized appreciation (depreciation) on investments		(4	)
Additional paid-in capital		5,496
Net Assets	$	4,483
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	44.82
Net assets	$	4,482,537
Shares outstanding ($.001 par value)		100,002
Amounts in thousands

(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.

68 Russell 2000 High Beta ETF

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	26
Total investment income		26
Expenses
Management fees		15
Expense reductions		(9	)
Net expenses		6
Net investment income (loss)		20
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		(296	)
Net change in unrealized appreciation (depreciation) on investments		147
Net realized and unrealized gain (loss)		(149	)
Net Increase (Decrease) in Net Assets from Operations	$	(129	)

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	20		$	27
Net realized gain (loss)		(296	)		(429	)
Net change in unrealized appreciation (depreciation)		147			(151	)
Net increase (decrease) in net assets from operations		(129	)		(553	)
Distributions
From net investment income		(34	)		(9	)
Net decrease in net assets from distributions		(34	)		(9	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			5,208
Total Net Increase (Decrease) in Net Assets		(163	)		4,646
Net Assets
Beginning of period		4,646			—
End of period	$	4,483		$	4,646
Undistributed (overdistributed) net investment income included in net assets	$	3		$	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.

70 Russell 2000 High Beta ETF

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Financial Highlights — For the Periods 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
September 30, 2012*		46.46		.20		(1.49	)		(1.29	)		(.35	)		(.35	)
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 Ended September 30, 2012 (Unaudited).

** 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.

72 Russell 2000 High Beta ETF

$ 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)
	44.82		(2.73	)		4,483		.69		.30		.90		80
	46.46		(5.95	)		4,646		1.05		.52		.68		126

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

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Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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 April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value September 30, 2012	$	1,036.00	$	1,023.50
Expenses Paid During Period*	$	1.53	$	1.52

* Expenses are equal to the Fund’s annualized expense ratio of 0.30% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without and waivers and/or reimbursements, expenses would have been higher.

74 Russell 2000 Low Volatility ETF

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.7%
Consumer Discretionary - 11.2%
Belo Corp. Class A		3,084		24
CEC Entertainment, Inc.		48		1
Central European Media Enterprises, Ltd. Class A (Æ)		4,267		28
Collective Brands, Inc. (Æ)		10,159		221
Dana Holding Corp.		2,056		25
Gerber Scientific, Inc. (Æ)(Å)		245		—
Jack in the Box, Inc. (Æ)		218		6
Jones Group, Inc. (The)		346		4
La-Z-Boy, Inc. (Æ)		3,796		56
Matthews International Corp. Class A		258		8
Meritor, Inc. (Æ)		35,586		151
Pool Corp.		5,306		220
Ryman Hospitality Properties (Æ)		4,901		194
Shutterfly, Inc. (Æ)		414		13
Sinclair Broadcast Group, Inc. Class A		300		3
Sotheby’s Class A		6,503		205
Stoneridge, Inc. (Æ)		616		3
Warnaco Group, Inc. (The) (Æ)		170		9
				1,171
Consumer Staples - 6.6%
Boston Beer Co., Inc. Class A (Æ)		98		11
Cal-Maine Foods, Inc.		2,723		122
Hain Celestial Group, Inc. (The) (Æ)		239		15
Harris Teeter Supermarkets, Inc.		1,782		69
Lancaster Colony Corp.		1,092		80
Peet’s Coffee & Tea, Inc. (Æ)		1,426		105
Snyders-Lance, Inc.		218		5
Tootsie Roll Industries, Inc.		62		2
Universal Corp.		972		49
Vector Group, Ltd.		12,878		214
Weis Markets, Inc.		472		20
				692
Energy - 1.1%
Energy XXI Bermuda, Ltd.		1,283		45
Gulfport Energy Corp. (Æ)		350		11
PDC Energy, Inc. (Æ)		72		2
Pioneer Energy Services Corp. (Æ)		5,452		42
Triangle Petroleum Corp. (Æ)		2,505		18
				118
Financial Services - 30.2%
Agree Realty Corp. (ö)		331		8
Apollo Commercial Real Estate Finance, Inc. (ö)		2,379		41
ARMOUR Residential REIT, Inc. (ö)		27,695		212
Arrow Financial Corp.		2,357		59
Ashford Hospitality Trust, Inc. (ö)		9,655		81
BofI Holding, Inc. (Æ)		2,709		71
Capstead Mortgage Corp. (ö)		234		3
Cash America International, Inc.		2,146		83
Cohen & Steers, Inc.		4,605		136

	Principal Amount ($) or Shares		Market Value $
Colony Financial, Inc. (ö)		3,345		65
Community Trust Bancorp, Inc.		2,991		106
CubeSmart Class A (ö)		1,209		16
DiamondRock Hospitality Co. (ö)		4,038		39
Dynex Capital, Inc. (ö)		744		8
Euronet Worldwide, Inc. (Æ)		949		18
FelCor Lodging Trust, Inc. (Æ)(ö)		18,975		90
First Connecticut Bancorp, Inc.		4,148		56
First Financial Bancorp		3,975		67
First Industrial Realty Trust, Inc. (Æ)(ö)		656		9
Glimcher Realty Trust (ö)		3,148		33
Healthcare Realty Trust, Inc. (ö)		1,318		30
LaSalle Hotel Properties (ö)		1,866		50
Medical Properties Trust, Inc. (ö)		1,486		16
Navigators Group, Inc. (The) (Æ)		1,241		61
Parkway Properties, Inc. (ö)		8,414		112
Pebblebrook Hotel Trust (ö)		5,463		128
PennantPark Investment Corp.		3,216		34
Pennsylvania Real Estate Investment Trust (ö)		6,983		111
PennyMac Mortgage Investment Trust (ö)		4,949		116
Platinum Underwriters Holdings, Ltd.		12		—	±
Primerica, Inc.		3,936		113
Prospect Capital Corp.		2,317		27
Prosperity Bancshares, Inc. (Æ)		86		4
PS Business Parks, Inc. (ö)		582		39
Resource Capital Corp. (ö)		20,571		121
Retail Opportunity Investments Corp. (ö)		16,851		216
RLI Corp.		1,793		120
Select Income REIT (ö)		927		23
Simmons First National Corp. Class A		3,675		90
Starwood Property Trust, Inc. (ö)		6,486		151
Strategic Hotels & Resorts, Inc. (Æ)(ö)		10,920		66
Sunstone Hotel Investors, Inc. (Æ)(ö)		16,254		179
Tompkins Financial Corp.		2,128		86
Universal Health Realty Income Trust (ö)		70		3
Wright Express Corp. (Æ)		806		56
				3,153
Health Care - 9.3%
Abaxis, Inc. (Æ)		112		4
Amsurg Corp. Class A (Æ)		1,524		43
Analogic Corp.		120		9
Chemed Corp.		827		57
CONMED Corp.		5,489		156
Greatbatch, Inc. (Æ)		712		17
Haemonetics Corp. (Æ)		908		73
HealthSouth Corp. (Æ)		540		13
Integra LifeSciences Holdings Corp. (Æ)		755		31
Owens & Minor, Inc.		4,613		138
STERIS Corp.		384		14
Sun Healthcare Group, Inc. (Æ)		20,707		176
Sunrise Senior Living, Inc. (Æ)		10,321		147
West Pharmaceutical Services, Inc.		1,650		88
				966

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Materials and Processing - 6.4%
Acuity Brands, Inc.		3,040		193
AMCOL International Corp.		702		24
Boise, Inc.		7,387		65
Century Aluminum Co. (Æ)		2,861		20
HB Fuller Co.		234		7
Innospec, Inc. (Æ)		2,358		80
Kaydon Corp.		2,063		46
Koppers Holdings, Inc.		1,233		43
Kraton Performance Polymers, Inc. (Æ)		751		20
Minerals Technologies, Inc.		987		70
Olin Corp.		102		2
Sensient Technologies Corp.		168		6
U.S. Silica Holdings, Inc. (Æ)		2,805		38
Watsco, Inc.		592		45
Worthington Industries, Inc.		304		7
Zoltek Cos., Inc. (Æ)		836		6
				672
Producer Durables - 8.0%
Aircastle, Ltd.		3,301		37
Applied Industrial Technologies, Inc.		3,143		129
Atlas Air Worldwide Holdings, Inc. (Æ)		52		3
Commercial Vehicle Group, Inc. (Æ)		13,292		98
CoStar Group, Inc. (Æ)		879		72
EMCOR Group, Inc.		524		15
Esterline Technologies Corp. (Æ)		707		40
Forward Air Corp.		76		2
Genesee & Wyoming, Inc. Class A (Æ)		254		17
Greenbrier Cos., Inc. (Æ)		2,172		35
Gulfmark Offshore, Inc. Class A (Æ)		30		1
Kaman Corp. Class A		1,224		44
MAXIMUS, Inc.		1,794		107
Middleby Corp. (Æ)		262		30
Moog, Inc. Class A (Æ)		40		2
Orbital Sciences Corp. (Æ)		534		8
Teledyne Technologies, Inc. (Æ)		259		16
UniFirst Corp.		535		36
United Stationers, Inc.		4,299		112
Wabash National Corp. (Æ)		1,217		9
Werner Enterprises, Inc.		340		7
Woodward, Inc.		258		9
				829
Technology - 9.6%
Anixter International, Inc.		151		9
Arris Group, Inc. (Æ)		384		5
ATMI, Inc. (Æ)		172		3
Blackbaud, Inc.		484		12
CACI International, Inc. Class A (Æ)		1,774		92
Cognex Corp.		268		9
Coherent, Inc. (Æ)		551		25
FSI International, Inc. (Æ)		30,684		190
Hittite Microwave Corp. (Æ)		2,271		126

	Principal Amount ($) or Shares		Market Value $
II-VI, Inc. (Æ)		350		7
Jive Software, Inc. (Æ)		301		5
Microsemi Corp. (Æ)		4,531		91
Progress Software Corp. (Æ)		5,426		116
Syntel, Inc.		2,660		166
Universal Display Corp. (Æ)		4,137		142
				998
Utilities - 17.3%
Avista Corp.		234		6
Black Hills Corp.		1,314		47
CH Energy Group, Inc.		2,982		194
Cleco Corp.		4,731		199
Empire District Electric Co. (The)		6,174		133
Idacorp, Inc.		4,576		198
Laclede Group, Inc. (The)		1,777		76
Middlesex Water Co.		628		12
New Jersey Resources Corp.		3,359		154
Northwest Natural Gas Co.		4,005		197
NorthWestern Corp.		2,483		90
PNM Resources, Inc.		152		3
Portland General Electric Co.		2,412		65
South Jersey Industries, Inc.		1,569		83
UIL Holdings Corp.		3,963		142
UNS Energy Corp.		5,007		210
				1,809
Total Common Stocks (cost $10,001)				10,408
Total Investments - 99.7% (identified cost $10,001)				10,408
Other Assets and Liabilities, Net - 0.3%				29
Net Assets - 100.0%				10,437

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

76 Russell 2000 Low Volatility ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,171	$	—	$	—	$	1,171		11.2
Consumer Staples		692		—		—		692		6.6
Energy		118		—		—		118		1.1
Financial Services		3,153		—		—		3,153		30.2
Health Care		966		—		—		966		9.3
Materials and Processing		672		—		—		672		6.4
Producer Durables		829		—		—		829		8.0
Technology		998		—		—		998		9.6
Utilities		1,809		—		—		1,809		17.3
Total Investments	$	10,408	$	—	$	—	$	10,408		99.7
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 ended September 30, 2012.

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

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	10,001
Investments, at market		10,408
Cash		58
Receivables:
Dividends		25
Investments sold		336
Total assets		10,827
Liabilities
Payables:
Investments purchased		385
Accrued fees to affiliates		5
Total liabilities		390
Net Assets	$	10,437
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	23
Accumulated net realized gain (loss)		(355	)
Unrealized appreciation (depreciation) on investments		407
Additional paid-in capital		10,362
Net Assets	$	10,437
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.19
Net assets	$	10,437,113
Shares outstanding ($.001 par value)		200,002

(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.

78 Russell 2000 Low Volatility ETF

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	99
Total investment income		99
Expenses
Management fees		25
Expense reductions		(14	)
Net expenses		11
Net investment income (loss)		88
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		(190	)
Net change in unrealized appreciation (depreciation) on investments		489
Net realized and unrealized gain (loss)		299
Net Increase (Decrease) in Net Assets from Operations	$	387

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	88		$	86
Net realized gain (loss)		(190	)		148
Net change in unrealized appreciation (depreciation)		489			(82	)
Net increase (decrease) in net assets from operations		387			152
Distributions
From net investment income		(78	)		(73	)
Net decrease in net assets from distributions		(78	)		(73	)
Share Transactions
Net increase (decrease) in net assets from share transactions		5,040			5,009
Total Net Increase (Decrease) in Net Assets		5,349			5,088
Net Assets
Beginning of period		5,088			—
End of period	$	10,437		$	5,088
Undistributed (overdistributed) net investment income included in net assets	$	23		$	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.

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Financial Highlights — For the Periods 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
September 30, 2012*		50.87		.62		1.21		1.83		(.51	)		(.51	)
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 ended September 30, 2012 (Unaudited).

** 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.

82 Russell 2000 Low Volatility ETF

$ 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)
	52.19		3.60		10,437		.69		.30		2.45		57
	50.87		4.69		5,088		1.05		.50		2.13		98

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

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Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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 April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value September 30, 2012	$	963.70	$	1,023.50
Expenses Paid During Period*	$	1.48	$	1.52

* Expenses are equal to the Fund’s annualized expense ratio of 0.30% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

84 Russell 2000 High Volatility ETF

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 100.0%
Consumer Discretionary - 13.7%
Amerco, Inc.		31		3
Ancestry.com, Inc. (Æ)		83		2
Arctic Cat, Inc. (Æ)		182		8
Avis Budget Group, Inc. (Æ)		1,091		17
Barnes & Noble, Inc. (Æ)		1,601		20
Blyth, Inc.		298		8
Bon-Ton Stores, Inc. (The)		59		1
Boyd Gaming Corp. (Æ)		1,004		7
Brunswick Corp.		285		6
Buckle, Inc. (The)		505		23
Cabela’s, Inc. (Æ)		438		24
Career Education Corp. (Æ)		201		1
Casual Male Retail Group, Inc. (Æ)		975		5
Coinstar, Inc. (Æ)		303		14
Conn’s, Inc. (Æ)		472		10
Cooper Tire & Rubber Co.		1,336		26
Crocs, Inc. (Æ)		1,177		19
Digital Generation, Inc. (Æ)		806		9
Dorman Products, Inc. (Æ)		511		16
Drew Industries, Inc. (Æ)		519		16
Education Management Corp. (Æ)		7,525		23
Express, Inc. (Æ)		97		1
Finish Line, Inc. (The) Class A		731		17
Flexsteel Industries, Inc.		442		9
Fuel Systems Solutions, Inc. (Æ)		518		9
Group 1 Automotive, Inc.		128		8
hhgregg, Inc. (Æ)		672		5
HSN, Inc.		84		4
Jamba, Inc. (Æ)		140		—	±
Jones Group, Inc. (The)		687		9
KB Home		455		7
LeapFrog Enterprises, Inc. Class A (Æ)		213		2
Lions Gate Entertainment Corp. (Æ)		1,064		16
Live Nation Entertainment, Inc. (Æ)		1,251		11
Men’s Wearhouse, Inc. (The)		413		14
Meritage Homes Corp. (Æ)		497		19
Monro Muffler Brake, Inc.		622		22
Penske Automotive Group, Inc.		108		3
Pier 1 Imports, Inc.		1,326		25
Pinnacle Entertainment, Inc. (Æ)		1,415		17
RealD, Inc. (Æ)		722		6
Ryland Group, Inc. (The)		1,268		38
Skechers U.S.A., Inc. Class A (Æ)		1,280		26
Stamps.com, Inc. (Æ)		45		1
Standard Pacific Corp. (Æ)		493		3
Strayer Education, Inc.		20		1
Sturm Ruger & Co., Inc.		273		14
Teavana Holdings, Inc. (Æ)		38		—	±
TiVo, Inc. (Æ)		184		2
Tuesday Morning Corp. (Æ)		388		3
Vera Bradley, Inc. (Æ)		74		2
Wet Seal, Inc. (The) Class A (Æ)		1,995		6
Zagg, Inc. (Æ)		1,979		17
Zipcar, Inc. (Æ)		303		2
				577

	Principal Amount ($) or Shares		Market Value $
Consumer Staples - 1.5%
Central European Distribution Corp. (Æ)		369		1
Diamond Foods, Inc.		793		15
Pilgrim’s Pride Corp. (Æ)		3,297		17
Star Scientific, Inc. (Æ)		2,531		9
Susser Holdings Corp. (Æ)		558		20
				62
Energy - 14.9%
Alon USA Energy, Inc.		917		13
Ameresco, Inc. Class A (Æ)		245		3
Amyris, Inc. (Æ)		5,683		20
Approach Resources, Inc. (Æ)		59		2
Berry Petroleum Co. Class A		257		10
Bill Barrett Corp. (Æ)		210		5
BPZ Resources, Inc. (Æ)		9,199		26
C&J Energy Services, Inc. (Æ)		22		—	±
Cal Dive International, Inc. (Æ)		3,310		5
Capstone Turbine Corp. (Æ)		6,318		6
Carrizo Oil & Gas, Inc. (Æ)		51		1
Clean Energy Fuels Corp. (Æ)		789		10
Comstock Resources, Inc. (Æ)		104		2
Crosstex Energy, Inc.		531		7
CVR Energy, Inc. (Æ)		1,248		46
Delek US Holdings, Inc.		1,894		48
Dril-Quip, Inc. (Æ)		468		34
Emerald Oil, Inc. (Æ)		4,383		4
Enphase Energy, Inc. (Æ)		605		3
First Solar, Inc. (Æ)		107		2
FuelCell Energy, Inc. (Æ)		26,301		23
Goodrich Petroleum Corp. (Æ)		270		3
GT Advanced Technologies, Inc. (Æ)		3,308		18
Heckmann Corp. (Æ)		172		1
Helix Energy Solutions Group, Inc. (Æ)		103		2
Hercules Offshore, Inc. (Æ)		1,146		6
Hornbeck Offshore Services, Inc. (Æ)		762		28
Key Energy Services, Inc. (Æ)		1,716		12
KiOR, Inc. Class A (Æ)		4,679		44
Kodiak Oil & Gas Corp. (Æ)		2,538		24
Lufkin Industries, Inc.		835		45
McMoRan Exploration Co. (Æ)		1,293		15
Newpark Resources, Inc. (Æ)		1,457		11
Oasis Petroleum, Inc. (Æ)		504		15
Parker Drilling Co. (Æ)		1,474		6
Penn Virginia Corp.		671		4
Quicksilver Resources, Inc. (Æ)		808		3
Rosetta Resources, Inc. (Æ)		497		24
Solazyme, Inc. (Æ)		46		1
STR Holdings, Inc. (Æ)		1,368		4
SunCoke Energy, Inc. (Æ)		402		6
SunPower Corp. Class A (Æ)		3,495		16
Swift Energy Co. (Æ)		562		12
Vantage Drilling Co. (Æ)		10,759		20
W&T Offshore, Inc.		92		2
Western Refining, Inc.		1,431		37
				629

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Financial Services - 8.3%
Astoria Financial Corp.		4,930		48
Cathay General Bancorp		249		4
CNO Financial Group, Inc.		887		9
CVB Financial Corp.		972		12
First Commonwealth Financial Corp.		4,578		32
First Midwest Bancorp, Inc.		812		10
FNB Corp.		1,229		14
Global Cash Access Holdings, Inc. (Æ)		955		8
Higher One Holdings, Inc. (Æ)		145		2
Hudson Valley Holding Corp.		137		2
International Bancshares Corp.		443		8
Intersections, Inc.		719		8
iStar Financial, Inc. (Æ)(ö)		2,269		19
Knight Capital Group, Inc. Class A (Æ)		1,016		3
MB Financial, Inc.		131		3
National Penn Bancshares, Inc.		1,196		11
Netspend Holdings, Inc. (Æ)		367		4
Park National Corp.		253		18
Piper Jaffray Cos. (Æ)		188		5
Radian Group, Inc.		3,051		13
Sterling Financial Corp.		2,264		49
Strategic Hotels & Resorts, Inc. (Æ)(ö)		816		5
Susquehanna Bancshares, Inc.		1,661		17
Umpqua Holdings Corp.		487		6
United Community Banks, Inc. (Æ)		1,746		15
Zillow, Inc. Class A (Æ)		571		24
				349
Health Care - 14.7%
Accretive Health, Inc. (Æ)		335		4
Achillion Pharmaceuticals, Inc. (Æ)		1,546		16
Affymax, Inc. (Æ)		2,264		47
Akorn, Inc. (Æ)		1,740		23
Alkermes PLC (Æ)		165		3
Ampio Pharmaceuticals, Inc. (Æ)		1,454		6
Arena Pharmaceuticals, Inc. (Æ)		4,776		40
Array BioPharma, Inc. (Æ)		3,319		19
AVEO Pharmaceuticals, Inc. (Æ)		1,068		11
Cadence Pharmaceuticals, Inc. Class A (Æ)		925		4
Cambrex Corp. (Æ)		1,411		17
Centene Corp. (Æ)		63		2
Clovis Oncology, Inc. (Æ)		26		1
Corcept Therapeutics, Inc. (Æ)		2,938		8
Curis, Inc. (Æ)		695		3
Cytori Therapeutics, Inc. (Æ)		156		1
Endologix, Inc. (Æ)		827		11
Exelixis, Inc. (Æ)		4,078		20
Hansen Medical, Inc. (Æ)		1,025		2
Horizon Pharma, Inc. (Æ)		5,310		18
Idenix Pharmaceuticals, Inc. (Æ)		2,581		12
InterMune, Inc. Class A (Æ)		772		7
Jazz Pharmaceuticals PLC (Æ)		58		3
Keryx Biopharmaceuticals, Inc. (Æ)		104		—	±
Lexicon Pharmaceuticals, Inc. (Æ)		14,686		34
MAKO Surgical Corp. (Æ)		310		5
MannKind Corp. (Æ)		12,176		35

	Principal Amount ($) or Shares		Market Value $
Merge Healthcare, Inc. (Æ)		1,479		6
Merrimack Pharmaceuticals, Inc. (Æ)		2,423		23
Metropolitan Health Networks, Inc. (Æ)		554		5
Momenta Pharmaceuticals, Inc. (Æ)		516		8
NewLink Genetics Corp. (Æ)		488		8
NxStage Medical, Inc. (Æ)		231		3
Oncothyreon, Inc. (Æ)		164		1
Optimer Pharmaceuticals, Inc. (Æ)		1,464		21
Orexigen Therapeutics, Inc. (Æ)		333		2
Osiris Therapeutics, Inc. (Æ)		3,045		34
Pacira Pharmaceuticals, Inc. (Æ)		349		6
Pharmacyclics, Inc. (Æ)		1,199		76
Questcor Pharmaceuticals, Inc. (Æ)		513		9
Rigel Pharmaceuticals, Inc. (Æ)		1,133		12
Sangamo Biosciences, Inc. (Æ)		501		3
Sequenom, Inc. (Æ)		1,468		5
Skilled Healthcare Group, Inc. Class A (Æ)		1,802		12
Sunesis Pharmaceuticals, Inc. (Æ)		198		1
Supernus Pharmaceuticals, Inc. (Æ)		416		5
Synta Pharmaceuticals Corp. (Æ)		152		1
Tornier NV (Æ)		41		1
Transcept Pharmaceuticals, Inc. (Æ)		800		4
Unilife Corp. (Æ)		1,601		5
Vanguard Health Systems, Inc. (Æ)		334		4
Vivus, Inc. (Æ)		97		2
WellCare Health Plans, Inc. (Æ)		47		3
XenoPort, Inc. (Æ)		710		8
				620
Materials and Processing - 11.9%
AMCOL International Corp.		288		10
American Vanguard Corp.		820		29
Calgon Carbon Corp. (Æ)		1,014		15
Coeur d’Alene Mines Corp. (Æ)		1,687		48
Gibraltar Industries, Inc. (Æ)		155		2
Globe Specialty Metals, Inc.		101		2
Gold Reserve, Inc. Class A (Æ)		516		2
Gold Resource Corp.		807		17
Golden Minerals Co. (Æ)		3,061		16
Golden Star Resources, Ltd. (Æ)		18,817		37
Graphic Packaging Holding Co. (Æ)		2,188		13
Griffon Corp.		384		4
Headwaters, Inc. (Æ)		1,676		11
Hecla Mining Co.		7,071		46
Kraton Performance Polymers, Inc. (Æ)		5		—	±
McEwen Mining, Inc. (Æ)		10,240		47
Midway Gold Corp. (Æ)		10,732		18
NCI Building Systems, Inc. (Æ)		595		6
NN, Inc. (Æ)		335		3
Omnova Solutions, Inc. (Æ)		687		5
Paramount Gold and Silver Corp. (Æ)		459		1
Rentech, Inc. (Æ)		10,591		26
Resolute Forest Products (Æ)		180		2
RTI International Metals, Inc. (Æ)		50		1
Schweitzer-Mauduit International, Inc.		418		14
Simpson Manufacturing Co., Inc.		1,404		40
Stillwater Mining Co. (Æ)		1,512		18

86 Russell 2000 High Volatility ETF

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Russell 2000 High Volatility ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Texas Industries, Inc. (Æ)		601		24
Universal Forest Products, Inc.		144		6
Uranium Energy Corp. (Æ)		1,268		3
Vista Gold Corp. (Æ)		8,988		33
Zep, Inc.		223		3
				502
Producer Durables - 12.7%
A123 Systems, Inc. (Æ)		56,923		14
ACCO Brands Corp. (Æ)		738		5
Advisory Board Co. (The) (Æ)		99		5
AM Castle & Co. (Æ)		930		12
American Superconductor Corp. (Æ)		3,356		14
Angie’s List, Inc. (Æ)		40		—	±
Arkansas Best Corp.		169		1
Brady Corp. Class A		395		12
Briggs & Stratton Corp.		575		11
Bristow Group, Inc.		147		7
CAI International, Inc. (Æ)		873		18
Chart Industries, Inc. (Æ)		61		5
CRA International, Inc. (Æ)		237		4
DXP Enterprises, Inc. (Æ)		408		19
EnergySolutions, Inc. (Æ)		5,449		15
ESCO Technologies, Inc.		465		18
Frontline, Ltd. (Æ)		1,607		6
Genco Shipping & Trading, Ltd. (Æ)		2,036		7
Generac Holdings, Inc.		365		8
Gorman-Rupp Co. (The)		28		1
Great Lakes Dredge & Dock Corp.		700		5
Herman Miller, Inc.		454		9
Hub Group, Inc. Class A (Æ)		246		7
InnerWorkings, Inc. (Æ)		1,120		15
Kimball International, Inc. Class B		1,735		21
Liquidity Services, Inc. (Æ)		194		10
MasTec, Inc. (Æ)		188		4
Measurement Specialties, Inc. (Æ)		245		8
Mistras Group, Inc. (Æ)		150		3
Modine Manufacturing Co. (Æ)		721		5
Old Dominion Freight Line, Inc. (Æ)		1,985		61
Overseas Shipholding Group, Inc.		1,104		7
Pacer International, Inc. (Æ)		252		1
PMFG, Inc. (Æ)		634		5
Power-One, Inc. (Æ)		2,087		12
Quad/Graphics, Inc.		1,319		22
Raven Industries, Inc.		31		1
RPX Corp. Class A (Æ)		146		2
Sauer-Danfoss, Inc.		62		2
ServiceSource International, Inc. (Æ)		140		1
Standex International Corp.		739		33
Swift Transportation Co. Class A (Æ)		1,474		13
Swisher Hygiene, Inc. (Æ)(Þ)		7,296		10
Sypris Solutions, Inc.		632		5
Trimas Corp. (Æ)		889		21
US Airways Group, Inc. (Æ)		5,229		55
Wesco Aircraft Holdings, Inc. (Æ)		322		4
Woodward, Inc.		252		9
				533

	Principal Amount ($) or Shares		Market Value $
Technology - 20.0%
3D Systems Corp. (Æ)		1,276		42
Acacia Research Corp. (Æ)		51		1
ADTRAN, Inc.		75		1
Aeroflex Holding Corp. (Æ)		1,104		7
Alpha & Omega Semiconductor, Ltd. (Æ)		61		1
ANADIGICS, Inc. (Æ)		1,830		3
Aruba Networks, Inc. (Æ)		713		16
Aviat Networks, Inc. (Æ)		2,321		6
Bankrate, Inc. (Æ)		1,525		24
BroadSoft, Inc. (Æ)		627		26
CalAmp Corp. (Æ)		906		7
Carbonite, Inc. (Æ)		4,045		28
CIBER, Inc. (Æ)		3,318		12
Cohu, Inc.		503		5
CommVault Systems, Inc. (Æ)		136		8
Computer Task Group, Inc. (Æ)		905		15
Cymer, Inc. (Æ)		42		2
Deltek, Inc. (Æ)		1,934		25
Demand Media, Inc. (Æ)		1,787		19
Echelon Corp. (Æ)		534		2
Emulex Corp. (Æ)		3,802		27
Entropic Communications, Inc. (Æ)		1,354		8
Envestnet, Inc. (Æ)		1,183		14
Finisar Corp. (Æ)		593		8
GeoEye, Inc. (Æ)		204		5
iGATE Corp. (Æ)		416		8
Immersion Corp. (Æ)		166		1
Insight Enterprises, Inc. (Æ)		276		5
InterDigital, Inc.		1,022		38
Intermolecular, Inc. (Æ)		960		7
IntraLinks Holdings, Inc. (Æ)		262		2
InvenSense, Inc. Class A (Æ)		36		—	±
IXYS Corp. (Æ)		578		6
KEYW Holding Corp. (The) (Æ)		1,040		13
KIT Digital, Inc. (Æ)		146		—	±
Kopin Corp. (Æ)		4,234		16
LogMeIn, Inc. (Æ)		52		1
MeetMe, Inc. (Æ)		7,935		23
MEMC Electronic Materials, Inc. (Æ)		897		2
Mercury Computer Systems, Inc. (Æ)		657		7
Millennial Media, Inc. (Æ)		548		8
Multi-Fineline Electronix, Inc. (Æ)		538		12
Neonode, Inc. (Æ)		559		2
OCZ Technology Group, Inc. (Æ)		157		1
OmniVision Technologies, Inc. (Æ)		1,306		18
OpenTable, Inc. (Æ)		356		15
Parkervision, Inc. (Æ)		12,938		30
Photronics, Inc. (Æ)		928		5
Plexus Corp. (Æ)		314		10
PROS Holdings, Inc. (Æ)		560		11
QLIK Technologies, Inc. (Æ)		2,617		58
Quantum Corp. (Æ)		2,068		3
RealPage, Inc. (Æ)		529		12
RF Micro Devices, Inc. (Æ)		5,144		20
Rogers Corp. (Æ)		154		7
Rubicon Technology, Inc. (Æ)		1,110		11

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
SciQuest, Inc. (Æ)		237			4
Sonus Networks, Inc. (Æ)		3,994			8
Sourcefire, Inc. (Æ)		177			9
STEC, Inc. (Æ)		1,532			10
Synacor, Inc. (Æ)		727			6
Synchronoss Technologies, Inc. (Æ)		50			1
Take-Two Interactive Software, Inc. (Æ)		1,158			12
Tangoe, Inc. (Æ)		725			10
Tessco Technologies, Inc.		161			3
Travelzoo, Inc. (Æ)		387			9
TriQuint Semiconductor, Inc. (Æ)		1,523			8
Ubiquiti Networks, Inc. (Æ)		2,025			24
Unwired Planet, Inc. (Æ)		2,073			4
Veeco Instruments, Inc. (Æ)		731			22
VirnetX Holding Corp. (Æ)		1,358			35
Web.com Group, Inc. (Æ)		852			15
					844
Utilities - 2.3%
8x8, Inc. (Æ)		4,409			30
Boingo Wireless, Inc. (Æ)		2,703			21
IDT Corp. Class B		572			6
Leap Wireless International, Inc. (Æ)		210			1
Lumos Networks Corp. (Æ)		2,459			19
magicJack VocalTec, Ltd. (Æ)		875			21
					98
Total Common Stocks (cost $4,326)					4,214
Warrants & Rights - 0.0%
Magnum Hunter Resources Corp. (Æ)(Å) 2012 Warrants		442			—	±
Total Warrants & Rights (cost $—)					—	±
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		2,525	(¥)		3
Total Short-Term Investments (cost $3)					3
Total Investments - 100.1% (identified cost $4,329)					4,217
Other Assets and Liabilities, Net - (0.1%)					(3	)
Net Assets - 100.0%					4,214

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

88 Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

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

Amounts in thousands

	Market Value										% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3			Total
Common Stocks
Consumer Discretionary	$	577	$	—	$	—		$	577			13.7
Consumer Staples		62		—		—			62			1.5
Energy		629		—		—			629			14.9
Financial Services		349		—		—			349			8.3
Health Care		620		—		—			620			14.7
Materials and Processing		502		—		—			502			11.9
Producer Durables		533		—		—			533			12.7
Technology		844		—		—			844			20.0
Utilities		98		—		—			98			2.3
Warrants & Rights		—		—		—	**		—	**		—	*
Short-Term Investments		—		3		—			3			0.1
Total Investments	$	4,214	$	3	$	—	**	$	4,217			100.1
Other Assets and Liabilities, Net												(0.1	)
												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 ended September 30, 2012.

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

Russell 2000 High Volatility ETF 89

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,329
Investments, at market*		4,217
Receivables:
Dividends		1
Investments sold		108
Total assets		4,326
Liabilities
Payables:
Investments purchased		110
Accrued fees to affiliates		2
Total liabilities		112
Net Assets	$	4,214
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	3
Accumulated net realized gain (loss)		(1,344	)
Unrealized appreciation (depreciation) on investments		(112	)
Additional paid-in capital		5,667
Net Assets	$	4,214
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	42.14
Net assets	$	4,214,140
Shares outstanding ($.001 par value)		100,002
Amounts in thousands
*           Investments in Affiliates, Russell U.S. Cash Management Fund	$	3

(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.

90 Russell 2000 High Volatility ETF

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	13
Total investment income		13
Expenses
Management fees		14
Expense reductions		(8	)
Net expenses		6
Net investment income (loss)		7
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		(327	)
Net change in unrealized appreciation (depreciation) on investments		160
Net realized and unrealized gain (loss)		(167	)
Net Increase (Decrease) in Net Assets from Operations	$	(160	)

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

Russell 2000 High Volatility ETF 91

Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	7		$	(10	)
Net realized gain (loss)		(327	)		(2,534	)
Net change in unrealized appreciation (depreciation)		160			(272	)
Net increase (decrease) in net assets from operations		(160	)		(2,816	)
Distributions
From net investment income		(4	)		—
Net decrease in net assets from distributions		(4	)		—
Share Transactions
Net increase (decrease) in net assets from share transactions		—			7,194
Total Net Increase (Decrease) in Net Assets		(164	)		4,378
Net Assets
Beginning of period		4,378			—
End of period	$	4,214		$	4,378
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.

92 Russell 2000 High Volatility ETF

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Russell Exchange Traded Funds Trust

Russell 2000 High Volatility ETF

Financial Highlights – For the Periods 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
September 30, 2012*		43.78		.06			(1.66	)		(1.60	)		(.04	)		(.04	)
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 ended September 30, 2012 (Unaudited).

** 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.

94 Russell 2000 High Volatility ETF

$ 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)
	42.14		(3.63	)		4,214		.69		.30		.40			28
	43.78		(11.67	)		4,378		1.01		.59		(.13	)		85

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

Russell 2000 High Volatility ETF 95

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Russell 2000 High Momentum ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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 April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value September 30, 2012	$	1,056.50	$	1,023.50
Expenses Paid During Period*	$	1.55	$	1.52

* Expenses are equal to the Fund’s annualized expense ratio of 0.30% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

96 Russell 2000 High Momentum ETF

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Russell 2000 High Momentum ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 19.0%
Amerco, Inc.		170		18
American Greetings Corp. Class A		308		5
America’s Car-Mart, Inc. (Æ)		347		16
Arctic Cat, Inc. (Æ)		488		20
Asbury Automotive Group, Inc. (Æ)		670		19
Avis Budget Group, Inc. (Æ)		130		2
Buffalo Wild Wings, Inc. (Æ)		192		16
Callaway Golf Co.		785		5
Carmike Cinemas, Inc. (Æ)		247		3
Carrols Restaurant Group, Inc. (Æ)		290		2
Central Garden and Pet Co. Class A (Æ)		599		7
Cheesecake Factory, Inc. (The)		832		30
Churchill Downs, Inc.		14		1
Conn’s, Inc. (Æ)		642		14
Cracker Barrel Old Country Store, Inc.		99		7
Crocs, Inc. (Æ)		1,971		32
DineEquity, Inc. (Æ)		216		12
Dollar Thrifty Automotive Group, Inc. (Æ)		934		80
Domino’s Pizza, Inc.		520		20
Elizabeth Arden, Inc. (Æ)		805		38
EW Scripps Co. Class A (Æ)		1,906		20
Genesco, Inc. (Æ)		447		30
Grand Canyon Education, Inc. (Æ)		44		1
HealthStream, Inc. (Æ)		1,277		36
Hibbett Sports, Inc. (Æ)		926		55
Iconix Brand Group, Inc. (Æ)		237		4
Inter Parfums, Inc.		467		9
Jos A Bank Clothiers, Inc. (Æ)		138		7
LeapFrog Enterprises, Inc. Class A (Æ)		7,420		67
Libbey, Inc. (Æ)		491		8
Lions Gate Entertainment Corp. (Æ)		1,556		24
Lithia Motors, Inc. Class A		1,031		34
Lumber Liquidators Holdings, Inc. (Æ)		39		2
Marriott Vacations Worldwide Corp. (Æ)		34		1
Men’s Wearhouse, Inc. (The)		378		13
Monro Muffler Brake, Inc.		484		17
Movado Group, Inc.		135		5
Multimedia Games Holding Co., Inc. (Æ)		121		2
Pool Corp.		311		13
Pricesmart, Inc.		1,298		97
Rent-A-Center, Inc. Class A		410		14
Ruby Tuesday, Inc. (Æ)		1,019		7
Ruth’s Hospitality Group, Inc. (Æ)		2,053		13
Shuffle Master, Inc. (Æ)		86		1
Six Flags Entertainment Corp.		827		49
Smith & Wesson Holding Corp. (Æ)		5,721		63
Sotheby’s Class A		154		5
Standard Motor Products, Inc.		533		10
Steiner Leisure, Ltd. (Æ)		171		8
Steven Madden, Ltd. (Æ)		630		28
Sturm Ruger & Co., Inc.		458		23
Town Sports International Holdings, Inc. (Æ)		380		5
VOXX International Corp. Class A (Æ)		563		4
				1,022

	Principal Amount ($) or Shares		Market Value $
Consumer Staples - 6.0%
Boston Beer Co., Inc. Class A (Æ)		114		13
Calavo Growers, Inc.		33		1
Casey’s General Stores, Inc.		534		31
Hain Celestial Group, Inc. (The) (Æ)		21		1
J&J Snack Foods Corp.		380		22
Lancaster Colony Corp.		351		26
Peet’s Coffee & Tea, Inc. (Æ)		105		8
PhotoMedex, Inc. (Æ)		102		1
Schiff Nutrition International, Inc. (Æ)		585		14
Smart Balance, Inc. (Æ)		3,686		45
Susser Holdings Corp. (Æ)		2,771		100
TreeHouse Foods, Inc. (Æ)		235		12
United Natural Foods, Inc. (Æ)		400		23
Vector Group, Ltd.		1,455		24
				321
Energy - 3.4%
Approach Resources, Inc. (Æ)		858		26
Capstone Turbine Corp. (Æ)		2,778		3
CVR Energy, Inc. (Æ)		1,314		48
Delek US Holdings, Inc.		373		10
Dril-Quip, Inc. (Æ)		113		8
Energy XXI Bermuda, Ltd.		85		3
Hornbeck Offshore Services, Inc. (Æ)		108		4
Kodiak Oil & Gas Corp. (Æ)		5,844		54
Lufkin Industries, Inc.		41		2
Mitcham Industries, Inc. (Æ)		204		3
Oasis Petroleum, Inc. (Æ)		97		3
Stone Energy Corp. (Æ)		100		3
Targa Resources Corp.		21		1
Western Refining, Inc.		525		14
				182
Financial Services - 24.5%
Advent Software, Inc. (Æ)		384		9
American Capital Mortgage Investment Corp. (ö)		33		1
Ameris Bancorp (Æ)		273		3
Amtrust Financial Services, Inc.		160		4
Anworth Mortgage Asset Corp. (ö)		1,525		10
Apollo Investment Corp.		834		7
Ashford Hospitality Trust, Inc. (ö)		1,616		14
Associated Estates Realty Corp. (ö)		559		8
Bank of the Ozarks, Inc.		151		5
BlackRock Kelso Capital Corp.		2,222		22
Cardtronics, Inc. (Æ)		2,045		62
Citizens Republic Bancorp, Inc. (Æ)		5,326		104
Colonial Properties Trust (ö)		608		13
Coresite Realty Corp. Class A (ö)		1,240		33
DuPont Fabros Technology, Inc. (ö)		685		17
Dynex Capital, Inc. (ö)		2,016		22
Education Realty Trust, Inc. Class A (ö)		75		1
Entertainment Properties Trust (ö)		746		33
Epoch Holding Corp.		1,792		41
Evercore Partners, Inc. Class A		254		7
Ezcorp, Inc. Class A (Æ)		612		14

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Financial Engines, Inc. (Æ)		115		3
First California Financial Group, Inc. (Æ)		171		1
First Cash Financial Services, Inc. (Æ)		522		24
First Financial Holdings, Inc.		2,525		33
First Industrial Realty Trust, Inc. (Æ)(ö)		295		4
First Merchants Corp.		769		12
First Midwest Bancorp, Inc.		451		6
Firsthand Technology Value Fund, Inc.		92		2
Getty Realty Corp. (ö)		188		3
Gladstone Commercial Corp. (ö)		483		9
Glimcher Realty Trust (ö)		3,574		38
Global Cash Access Holdings, Inc. (Æ)		6,191		50
Government Properties Income Trust (ö)		404		9
Greenlight Capital Re, Ltd. Class A (Æ)		330		8
Heartland Payment Systems, Inc.		31		1
Hersha Hospitality Trust Class A (ö)		3,195		16
HFF, Inc. Class A (Æ)		228		3
Homeowners Choice, Inc.		4,599		109
Hudson Valley Holding Corp.		146		2
Intersections, Inc.		487		5
iStar Financial, Inc. (Æ)(ö)		1,504		12
KCAP Financial, Inc.		337		3
Kennedy-Wilson Holdings, Inc.		845		12
LaSalle Hotel Properties (ö)		387		10
Market Leader, Inc. (Æ)		390		3
MarketAxess Holdings, Inc.		519		16
MCG Capital Corp.		3,665		17
Meadowbrook Insurance Group, Inc.		1,089		8
Medical Properties Trust, Inc. (ö)		518		5
Mercantile Bank Corp. (Æ)		159		3
National Financial Partners Corp. (Æ)		361		6
National Health Investors, Inc. (ö)		420		22
Nelnet, Inc. Class A		278		7
New Mountain Finance Corp.		957		14
NewStar Financial, Inc. (Æ)		1,789		21
NorthStar Realty Finance Corp. (ö)		2,182		14
Ocwen Financial Corp. Class A (Æ)		451		12
Omega Healthcare Investors, Inc. (ö)		451		10
OmniAmerican Bancorp, Inc. (Æ)		43		1
OneBeacon Insurance Group, Ltd. Class A		330		4
Oriental Financial Group, Inc.		947		10
PennantPark Investment Corp.		2,024		21
Peoples Bancorp, Inc.		1,168		27
Presidential Life Corp.		336		5
Resource Capital Corp. (ö)		869		5
Retail Opportunity Investments Corp. (ö)		1,928		25
RLI Corp.		555		37
Sovran Self Storage, Inc. (ö)		105		6
Stewart Information Services Corp.		70		1
Strategic Hotels & Resorts, Inc. (Æ)(ö)		909		5
Sun Communities, Inc. (ö)		591		26
Susquehanna Bancshares, Inc.		519		5
Taylor Capital Group, Inc. (Æ)		2,245		38
Texas Capital Bancshares, Inc. (Æ)		23		1
TICC Capital Corp.		1,601		17
Tree.com, Inc. (Æ)		2,277		36
Trustmark Corp.		795		19

	Principal Amount ($) or Shares		Market Value $
Two Harbors Investment Corp. (ö)		310		4
Walter Investment Management Corp. (Æ)		104		4
Webster Financial Corp.		509		12
Wilshire Bancorp, Inc. (Æ)		2,523		16
Wintrust Financial Corp.		251		9
World Acceptance Corp. (Æ)		245		17
Wright Express Corp. (Æ)		48		3
				1,317
Health Care - 17.7%
Air Methods Corp. (Æ)		57		7
Akorn, Inc. (Æ)		2,368		31
Align Technology, Inc. (Æ)		84		3
Alkermes PLC (Æ)		222		5
Anika Therapeutics, Inc. (Æ)		167		3
Antares Pharma, Inc. (Æ)		7,884		34
Array BioPharma, Inc. (Æ)		243		1
athenahealth, Inc. (Æ)		169		16
Cambrex Corp. (Æ)		215		3
Cantel Medical Corp.		588		16
Cardiovascular Systems, Inc. (Æ)		1,886		22
Computer Programs & Systems, Inc.		275		15
Cyberonics, Inc. (Æ)		23		1
Cynosure, Inc. Class A (Æ)		47		1
DexCom, Inc. (Æ)		183		3
Dynavax Technologies Corp. (Æ)		1,059		5
Endologix, Inc. (Æ)		2,335		32
Ensign Group, Inc. (The)		2,705		82
Exact Sciences Corp. (Æ)		1,346		15
Halozyme Therapeutics, Inc. (Æ)		116		1
HeartWare International, Inc. (Æ)		450		43
Hi-Tech Pharmacal Co., Inc. (Æ)		832		28
HMS Holdings Corp. (Æ)		898		30
Infinity Pharmaceuticals, Inc. (Æ)		4,666		109
IPC The Hospitalist Co., Inc. (Æ)		60		3
Jazz Pharmaceuticals PLC (Æ)		433		25
Ligand Pharmaceuticals, Inc. Class B (Æ)		508		9
Merit Medical Systems, Inc. (Æ)		242		4
Metropolitan Health Networks, Inc. (Æ)		3,211		30
MWI Veterinary Supply, Inc. (Æ)		33		4
NxStage Medical, Inc. (Æ)		385		5
Obagi Medical Products, Inc. (Æ)		580		7
Omeros Corp. (Æ)		92		1
Oncothyreon, Inc. (Æ)		1,531		8
Opko Health, Inc. (Æ)		899		4
OraSure Technologies, Inc. (Æ)		1,308		15
PDL BioPharma, Inc.		473		4
Pharmacyclics, Inc. (Æ)		1,538		98
Questcor Pharmaceuticals, Inc. (Æ)		1,453		27
Repligen Corp. (Æ)		1,451		9
RTI Biologics, Inc. (Æ)		1,162		5
Santarus, Inc. (Æ)		185		2
Spectranetics Corp. (Æ)		1,624		24
Spectrum Pharmaceuticals, Inc. (Æ)		4,308		50
Synageva BioPharma Corp. (Æ)		994		52
Synta Pharmaceuticals Corp. (Æ)		1,791		14
Theravance, Inc. (Æ)		241		6

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Universal American Corp. (Æ)		99		1
ViroPharma, Inc. (Æ)		974		29
Vivus, Inc. (Æ)		631		11
				953
Materials and Processing - 11.4%
Acuity Brands, Inc.		216		14
American Vanguard Corp.		1,577		55
Beacon Roofing Supply, Inc. (Æ)		656		19
Belden, Inc.		372		14
Boise, Inc.		2,709		24
Buckeye Technologies, Inc.		496		16
Builders FirstSource, Inc. (Æ)		2,055		11
Clearwater Paper Corp. (Æ)		1,423		58
Harbinger Group, Inc. (Æ)		7,035		58
Haynes International, Inc.		96		5
Headwaters, Inc. (Æ)		8,507		56
Hexcel Corp. (Æ)		728		17
Innospec, Inc. (Æ)		401		14
KapStone Paper and Packaging Corp. (Æ)		786		18
Kraton Performance Polymers, Inc. (Æ)		69		2
LSB Industries, Inc. (Æ)		106		5
Myers Industries, Inc.		74		1
Patrick Industries, Inc. (Æ)		2,264		35
PolyOne Corp.		2,497		41
Quaker Chemical Corp.		103		5
Quanex Building Products Corp.		252		5
Rentech, Inc. (Æ)		23,127		57
Schweitzer-Mauduit International, Inc.		1,314		43
Trex Co., Inc. (Æ)		225		8
USG Corp. (Æ)		1,511		33
				614
Producer Durables - 7.0%
Actuant Corp. Class A (Æ)		155		4
Advisory Board Co. (The) (Æ)		495		24
Alaska Air Group, Inc. (Æ)		742		25
Allegiant Travel Co. Class A (Æ)		12		1
Astronics Corp. (Æ)		278		9
Blount International, Inc. (Æ)		320		4
Briggs & Stratton Corp.		512		10
Bristow Group, Inc.		211		11
CAI International, Inc. (Æ)		223		5
Ceradyne, Inc.		86		2
Chart Industries, Inc. (Æ)		344		25
CoStar Group, Inc. (Æ)		45		4
Cubic Corp.		304		15
Darling International, Inc. (Æ)		314		6
Douglas Dynamics, Inc.		303		4
DXP Enterprises, Inc. (Æ)		44		2
Electronics for Imaging, Inc. (Æ)		233		4
EnPro Industries, Inc. (Æ)		398		14
Generac Holdings, Inc.		75		2
Global Power Equipment Group, Inc.		183		3
Gorman-Rupp Co. (The)		207		6
Huron Consulting Group, Inc. (Æ)		156		5
Insperity, Inc.		307		8

	Principal Amount ($) or Shares		Market Value $
Kaman Corp. Class A		400		14
Kforce, Inc. (Æ)		1,167		14
Liquidity Services, Inc. (Æ)		414		21
Littelfuse, Inc.		55		3
MasTec, Inc. (Æ)		230		5
Measurement Specialties, Inc. (Æ)		114		4
Middleby Corp. (Æ)		109		13
Mistras Group, Inc. (Æ)		418		10
Odyssey Marine Exploration, Inc. (Æ)		1,493		5
Pacer International, Inc. (Æ)		352		1
Primoris Services Corp.		307		4
Sauer-Danfoss, Inc.		477		19
Spirit Airlines, Inc. (Æ)		893		15
Standex International Corp.		43		2
Sykes Enterprises, Inc. (Æ)		181		2
Textainer Group Holdings, Ltd.		185		6
Thermon Group Holdings, Inc. (Æ)		224		6
Titan International, Inc.		328		6
Trimas Corp. (Æ)		1,297		30
Zygo Corp. (Æ)		57		1
				374
Technology - 8.8%
3D Systems Corp. (Æ)		110		4
ACI Worldwide, Inc. (Æ)		75		3
Acorn Energy, Inc.		433		4
ADTRAN, Inc.		64		1
Anixter International, Inc.		50		3
Arris Group, Inc. (Æ)		1,854		24
Bankrate, Inc. (Æ)		48		1
CalAmp Corp. (Æ)		2,587		21
Cavium, Inc. (Æ)		37		1
Checkpoint Systems, Inc. (Æ)		305		3
CIBER, Inc. (Æ)		925		3
Cirrus Logic, Inc. (Æ)		713		27
CommVault Systems, Inc. (Æ)		778		45
Computer Task Group, Inc. (Æ)		1,259		20
Comtech Telecommunications Corp.		104		3
Datalink Corp. (Æ)		153		1
Digital River, Inc. (Æ)		458		8
Ebix, Inc.		592		14
Ellie Mae, Inc. (Æ)		288		8
Entegris, Inc. (Æ)		214		2
Fabrinet (Æ)		334		4
FEI Co.		70		4
II-VI, Inc. (Æ)		350		7
Inphi Corp. (Æ)		840		9
Insight Enterprises, Inc. (Æ)		998		17
Integrated Financial Systems, Inc. Class A		162		2
IntraLinks Holdings, Inc. (Æ)		301		2
Kenexa Corp. (Æ)		148		7
Lattice Semiconductor Corp. (Æ)		3,292		13
LogMeIn, Inc. (Æ)		283		6
Manhattan Associates, Inc. (Æ)		17		1
MicroStrategy, Inc. Class A (Æ)		16		2
NETGEAR, Inc. (Æ)		55		2
Netscout Systems, Inc. (Æ)		92		2

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
NIC, Inc.		266			4
Opnet Technologies, Inc.		519			18
Parametric Technology Corp. (Æ)		543			12
PDF Solutions, Inc. (Æ)		214			3
Procera Networks, Inc. (Æ)		1,835			42
PROS Holdings, Inc. (Æ)		182			3
RealPage, Inc. (Æ)		85			2
Semtech Corp. (Æ)		220			6
Sourcefire, Inc. (Æ)		684			34
SPS Commerce, Inc. (Æ)		47			2
Stratasys, Inc. (Æ)		19			1
Sycamore Networks, Inc. (Æ)		152			2
Synaptics, Inc. (Æ)		360			9
Synchronoss Technologies, Inc. (Æ)		278			6
Syntel, Inc.		220			14
Tessco Technologies, Inc.		115			2
Tyler Technologies, Inc. (Æ)		470			21
Ultimate Software Group, Inc. (Æ)		9			1
Web.com Group, Inc. (Æ)		1,116			20
					476
Utilities - 2.1%
8x8, Inc. (Æ)		527			3
Atlantic Power Corp.		310			5
CH Energy Group, Inc.		13			1
Cogent Communications Group, Inc.		420			10
El Paso Electric Co.		126			4
IDT Corp. Class B		798			8
Middlesex Water Co.		633			12
NorthWestern Corp.		598			22
PNM Resources, Inc.		1,883			40
Portland General Electric Co.		147			4
UIL Holdings Corp.		118			4
					113
Total Common Stocks (cost $4,673)					5,372
Warrants & Rights - 0.0%
Magnum Hunter Resources Corp (Å)(Æ) 2013 Warrants		430			—	±
Total Warrants & Rights (cost $—)					—	±
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		6,097	(¥)		6
Total Short-Term Investments (cost $6)					6

	Principal Amount ($) or Shares	Market Value $
Total Investments - 100.0% (identified cost $4,679)			5,378
Other Assets and Liabilities, Net - 0.0%			1
Net Assets - 100.0%			5,379

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

100 Russell 2000 High Momentum ETF

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

Amounts in thousands

	Market Value											% of Net Assets
Portfolio Summary	Level 1		Level 2			Level 3			Total
Common Stocks
Consumer Discretionary	$	1,022	$	—		$	—		$	1,022			19.0
Consumer Staples		321		—			—			321			6.0
Energy		182		—			—			182			3.4
Financial Services		1,317		—			—			1,317			24.5
Health Care		953		—			—			953			17.7
Materials and Processing		614		—			—			614			11.4
Producer Durables		374		—			—			374			7.0
Technology		476		—			—			476			8.8
Utilities		113		—	��		—			113			2.1
Warrants & Rights		—		—			—	**		—	**		—	*
Short-Term Investments		—		6			—			6			0.1
Total Investments	$	5,372	$	6		$	—	**	$	5,378			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 ended September 30, 2012.

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

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,679
Investments, at market*		5,378
Cash		22
Receivables:
Dividends		5
Investments sold		274
Total assets		5,679
Liabilities
Payables:
Investments purchased		297
Accrued fees to affiliates		3
Total liabilities		300
Net Assets	$	5,379
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	10
Accumulated net realized gain (loss)		(749	)
Unrealized appreciation (depreciation) on investments		699
Additional paid-in capital		5,419
Net Assets	$	5,379
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	53.79
Net assets	$	5,379,294
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.

102 Russell 2000 High Momentum ETF

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	32
Total investment income		32
Expenses
Management fees		17
Expense reductions		(10	)
Net expenses		7
Net investment income (loss)		25
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		(30	)
Net change in unrealized appreciation (depreciation) on investments		292
Net realized and unrealized gain (loss)		262
Net Increase (Decrease) in Net Assets from Operations	$	287

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	25		$	55
Net realized gain (loss)		(30	)		(450	)
Net change in unrealized appreciation (depreciation)		292			407
Net increase (decrease) in net assets from operations		287			12
Distributions
From net investment income		(26	)		(44	)
Net decrease in net assets from distributions		(26	)		(44	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			5,150
Total Net Increase (Decrease) in Net Assets		261			5,118
Net Assets
Beginning of period		5,118			—
End of period	$	5,379		$	5,118
Undistributed (overdistributed) net investment income included in net assets	$	10		$	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.

104 Russell 2000 High Momentum ETF

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Russell 2000 High Momentum ETF

Financial Highlights — For the Periods 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
September 30, 2012*		51.18		.25		2.62		2.87		(.26	)		(.26	)
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 ended September 30, 2012 (Unaudited).

** 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.

106 Russell 2000 High Momentum ETF

$ 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)
	53.79		5.65		5,379		.69		.30		.98		38
	51.18		3.68		5,118		1.02		.52		.81		88

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

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Russell Developed ex-U.S. Low Beta ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,026.50	$	1,023.75
Expenses Paid During Period*	$	1.27	$	1.27

* 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 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

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

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Russell Developed ex-U.S. Low Beta ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 98.6%
Australia - 0.4%
AGL Energy, Ltd.		542		8
Telstra Corp., Ltd.		2,986		13
				21
Austria - 0.5%
EVN AG		238		3
Oesterreichische Post AG		45		2
Raiffeisen Bank International AG		22		1
Telekom Austria AG - ADR		2,236		16
Verbund AG Class A		96		2
				24
Belgium - 2.2%
Anheuser-Busch InBev NV		1,079		91
Delhaize Group SA		74		3
KBC Groep NV		361		9
UCB SA		199		11
				114
Bermuda - 2.2%
Cheung Kong Infrastructure Holdings, Ltd.		4,000		25
Dairy Farm International Holdings, Ltd.		900		10
Esprit Holdings, Ltd.		2,000		3
Genting Hong Kong, Ltd. (Æ)		43,000		14
Hongkong Land Holdings, Ltd.		2,000		12
Kerry Properties, Ltd.		3,000		15
Li & Fung, Ltd.		8,000		12
VimpelCom, Ltd. - ADR (Æ)		373		4
VTech Holdings, Ltd.		1,600		20
				115
Canada - 12.7%
Agrium, Inc.		16		2
Aimia, Inc.		180		3
Alimentation Couche Tard, Inc. Class B		233		11
ARC Resources, Ltd.		92		2
Atco, Ltd. Class I		190		15
BCE, Inc.		1,778		77
Bell Aliant, Inc.		922		26
Boardwalk Real Estate Investment Trust (ö)		26		2
Bombardier, Inc. Class B		2,972		11
Brookfield Asset Management, Inc. Class A		326		11
Brookfield Office Properties, Inc.		601		10
Canadian National Railway Co.		475		41
Canadian Pacific Railway, Ltd.		195		16
Canadian Utilities, Ltd. Class A		482		34
Celestica, Inc. (Æ)		826		6
Centerra Gold, Inc.		951		12
CGI Group, Inc. Class A (Æ)		35		1
Emera, Inc.		229		8
Empire Co., Ltd. Class A		62		4
Encana Corp.		125		3
Fortis, Inc. Class Common Subscription Receipt		1,154		39

	Principal Amount ($) or Shares		Market Value $
George Weston, Ltd.		81		5
IAMGOLD Corp.		268		4
InterOil Corp. (Æ)		39		3
Jean Coutu Group PJC, Inc. (The) Class A		810		12
Loblaw Cos., Ltd.		143		5
Magna International, Inc. Class A		221		10
Manitoba Telecom Services, Inc. - ADR		767		26
Metro, Inc. Class A		398		24
Open Text Corp. (Æ)		151		8
Research In Motion, Ltd. (Æ)		674		5
Rogers Communications, Inc. Class B		683		28
Royal Bank of Canada - GDR		234		13
Saputo, Inc. - ADR		351		15
Shaw Communications, Inc. Class B		334		7
Shoppers Drug Mart Corp.		272		11
Talisman Energy, Inc.		981		13
TELUS Corp. Class A		462		29
TELUS Corp.		333		21
Tim Hortons, Inc.		104		5
Tourmaline Oil Corp. (Æ)		221		7
TransAlta Corp.		519		8
Valeant Pharmaceuticals International, Inc. (Æ)		665		37
Viterra, Inc. Class Common Subscription Receipt		2,300		38
				668
Cayman Islands - 0.7%
MGM China Holdings, Ltd.		2,800		5
Sands China, Ltd.		6,000		22
Wynn Macau, Ltd.		4,000		11
				38
Denmark - 0.6%
Novo Nordisk A/S Class B		195		31
Finland - 0.2%
Elisa OYJ Class A		119		3
Fortum OYJ		127		2
Orion OYJ Class B		384		8
				13
France - 2.0%
Alcatel-Lucent - ADR (Æ)		1,238		1
Cie Generale d’Optique Essilor International SA		134		13
France Telecom SA - ADR		2,093		25
Iliad SA		12		2
Ipsen SA		139		3
Pernod-Ricard SA		110		12
Safran SA		174		6
Sanofi - ADR		429		38
Suez Environnement Co.		313		4
Vivendi SA - ADR		124		2
				106

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Germany - 6.0%
Bayer AG		389		33
Beiersdorf AG (Æ)		23		2
Celesio AG		301		5
Continental AG		243		24
Daimler AG		168		8
Deutsche Telekom AG		2,646		33
E.ON AG		33		1
Fresenius Medical Care AG & Co. KGaA		388		28
Fresenius SE & Co. KGaA		138		16
Henkel AG & Co. KGaA		539		35
Linde AG		20		3
Merck KGaA		108		13
Metro AG		180		5
MTU Aero Engines Holding AG		383		31
RWE AG		340		15
SAP AG - ADR		547		40
Sky Deutschland AG (Æ)		1,923		8
United Internet AG		767		16
				316
Greece - 0.2%
Coca Cola Hellenic Bottling Co. SA - ADR (Æ)		659		12
Hong Kong - 9.7%
AIA Group, Ltd.		6,000		22
Bank of East Asia, Ltd.		2,800		11
Cathay Pacific Airways, Ltd.		3,000		5
Champion REIT (Æ)(ö)		34,000		16
Cheung Kong Holdings, Ltd.		3,000		44
CLP Holdings, Ltd.		5,000		42
Galaxy Entertainment Group, Ltd. (Æ)		6,000		20
Hang Lung Group, Ltd.		2,000		13
Hang Lung Properties, Ltd. - ADR		5,000		17
Henderson Land Development Co., Ltd.		3,000		22
Hong Kong & China Gas Co., Ltd.		18,700		47
Hysan Development Co., Ltd.		5,000		23
MTR Corp., Ltd.		3,500		13
New World Development Co., Ltd.		19,000		29
PCCW, Ltd.		92,000		38
Power Assets Holdings, Ltd.		4,500		38
Sino Land Co., Ltd.		10,000		19
SJM Holdings, Ltd.		6,000		13
Sun Hung Kai Properties, Ltd.		2,000		29
Swire Pacific, Ltd. Class A		500		6
Television Broadcasts, Ltd.		1,000		7
Wharf Holdings, Ltd.		3,000		21
Wheelock & Co., Ltd.		2,000		9
Wing Hang Bank, Ltd.		500		5
				509
Ireland - 0.8%
Elan Corp. PLC (Æ)		216		2
Kerry Group PLC Class A		499		26
Seagate Technology PLC		474		15
				43

	Principal Amount ($) or Shares		Market Value $
Israel - 1.4%
Bezeq The Israeli Telecommunication Corp., Ltd.		7,486		9
Check Point Software Technologies, Ltd. (Æ)		46		2
Mellanox Technologies, Ltd. Class benchmark with price? (Æ)		89		9
Teva Pharmaceutical Industries, Ltd.		1,356		55
				75
Italy - 0.3%
A2A SpA		15,507		8
Prada SpA		1,000		7
				15
Japan - 26.1%
Acom Co., Ltd. (Æ)		480		12
Advantest Corp.		200		3
Aeon Co., Ltd.		600		7
Aeon Credit Service Co., Ltd.		1,600		35
Aisin Seiki Co., Ltd.		400		11
Ajinomoto Co., Inc.		1,000		16
Alfresa Holdings Corp.		200		10
Asahi Group Holdings, Ltd.		400		10
Astellas Pharma, Inc.		700		36
Bridgestone Corp.		400		9
Canon, Inc.		600		19
Chubu Electric Power Co., Inc.		900		12
Chugai Pharmaceutical Co., Ltd.		300		6
Chugoku Electric Power Co., Inc. (The)		1,200		16
Citizen Holdings Co., Ltd.		2,100		11
Credit Saison Co., Ltd.		1,200		29
Daiichi Sankyo Co., Ltd.		1,100		18
Daito Trust Construction Co., Ltd.		200		20
Dena Co., Ltd.		100		3
Denso Corp.		600		19
Eisai Co., Ltd.		700		32
Electric Power Development Co., Ltd.		100		3
FamilyMart Co., Ltd.		300		15
FANUC Corp.		100		16
FUJIFILM Holdings Corp.		400		7
Fujitsu, Ltd.		3,000		11
Gree, Inc.		200		4
Hirose Electric Co., Ltd.		200		22
Hitachi High-Technologies Corp.		100		2
Hitachi, Ltd.		4,000		22
Hokuriku Electric Power Co.		500		6
Honda Motor Co., Ltd.		800		25
Hoya Corp.		500		11
Japan Tobacco, Inc.		1,700		50
Kansai Electric Power Co., Inc. (The)		900		7
Keisei Electric Railway Co., Ltd.		1,000		9
Kirin Holdings Co., Ltd.		1,000		13
Kyocera Corp.		100		9
Kyowa Hakko Kirin Co., Ltd.		1,000		12
Lawson, Inc.		100		8
Medipal Holdings Corp.		1,900		26
Mitsubishi Estate Co., Ltd.		1,000		19

110 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 — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Mitsubishi Motors Corp. (Æ)		2,000		2
Mitsubishi UFJ Financial Group, Inc.		5,000		24
Mizuho Financial Group, Inc.		9,700		16
Murata Manufacturing Co., Ltd.		300		16
NEC Corp.		2,000		3
Nintendo Co., Ltd.		100		13
Nippon Meat Packers, Inc.		1,000		13
Nippon Telegraph & Telephone Corp.		1,200		56
Nissan Motor Co., Ltd.		1,500		13
Nisshin Seifun Group, Inc.		500		6
Nissin Foods Holdings Co., Ltd.		200		8
NOK Corp.		100		2
Nomura Research Institute, Ltd.		200		4
NTT DOCOMO, Inc.		20		33
Olympus Corp.		100		2
Omron Corp.		200		4
Oracle Corp. Japan		400		21
Osaka Gas Co., Ltd.		4,000		18
Otsuka Holdings Co., Ltd.		200		6
Panasonic Corp.		100		1
Santen Pharmaceutical Co., Ltd.		200		9
Secom Co., Ltd.		200		10
Seven & I Holdings Co., Ltd.		1,000		31
Shin-Etsu Chemical Co., Ltd.		200		11
Shionogi & Co., Ltd.		1,300		20
Softbank Corp.		1,100		44
Stanley Electric Co., Ltd.		800		12
Sumitomo Mitsui Financial Group, Inc.		700		22
Suzuken Co., Ltd.		400		13
Suzuki Motor Corp.		400		8
Sysmex Corp.		100		5
Taisho Pharmaceutical Holdings Co., Ltd.		100		8
Takeda Pharmaceutical Co., Ltd.		1,700		78
TDK Corp.		100		4
Terumo Corp.		300		13
Toho Gas Co., Ltd.		1,000		7
Tohoku Electric Power Co., Inc.		1,800		15
Tokyo Electric Power Co., Inc. (Æ)		3,500		6
Tokyo Gas Co., Ltd.		5,000		28
Toshiba Corp.		4,000		13
Toyoda Gosei Co., Ltd.		200		4
Toyota Industries Corp.		100		3
Toyota Motor Corp.		2,300		89
Trend Micro, Inc.		400		11
Unicharm Corp.		100		6
Yahoo! Japan Corp.		39		15
				1,377
Luxembourg - 0.9%
L’Occitane International SA		2,750		7
Pacific Drilling SA (Æ)		968		10
Samsonite International SA		8,100		15
Ternium SA - ADR		714		14
				46
Netherlands - 2.7%
ASML Holding NV Class G		136		7
Heineken Holding NV		207		10

	Principal Amount ($) or Shares		Market Value $
Heineken NV		411		25
Koninklijke Ahold NV		2,252		28
Koninklijke KPN NV		399		3
Nutreco NV		66		5
NXP Semiconductor NV (Æ)		69		2
Unilever NV		1,698		60
				140
New Zealand - 0.4%
Contact Energy, Ltd. (Æ)		2,186		10
Telecom Corp. of New Zealand, Ltd.		5,469		10
				20
Portugal - 0.0%
Banco Espirito Santo SA Class C (Æ)		267		—	±
Singapore - 2.5%
CapitaLand, Ltd.		3,000		8
CapitaMalls Asia, Ltd.		5,000		7
City Developments, Ltd.		1,000		10
Cosco Corp. Singapore, Ltd.		4,000		3
Olam International, Ltd.		3,000		5
Singapore Technologies Engineering, Ltd.		5,000		14
Singapore Telecommunications, Ltd.		23,000		60
StarHub, Ltd.		8,000		24
				131
Spain - 0.1%
EDP Renovaveis SA (Æ)		1,163		5
Switzerland - 11.0%
Actelion, Ltd. (Æ)		996		50
Adecco SA (Æ)		176		8
Aryzta AG (Æ)		103		5
Cie Financiere Richemont SA		339		20
Dufry AG (Æ)		26		3
Logitech International SA (Æ)		717		7
Lonza Group AG (Æ)		377		20
Nestle SA		1,646		104
Novartis AG		1,727		106
Panalpina Welttransport Holding AG (Æ)		16		2
Roche Holding AG		570		106
Sonova Holding AG (Æ)		82		8
Straumann Holding AG		112		15
Sulzer AG		5		1
Swatch Group AG (The)		122		8
Swatch Group AG (The) Class B		28		11
Swiss Prime Site AG Class A (Æ)		8		1
Swisscom AG		215		86
Syngenta AG		42		16
UBS AG (Æ)		300		4
				581
United Kingdom - 14.6%
AstraZeneca PLC - ADR (Æ)		1,427		68
British American Tobacco PLC		1,930		99

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
BT Group PLC		1,838		7
Carnival PLC		141		5
Cobham PLC		1,814		6
Diageo PLC		885		25
easyJet PLC		30		—	±
Firstgroup PLC		1,343		5
GlaxoSmithKline PLC - ADR		4,309		100
Imperial Tobacco Group PLC		1,380		51
Inmarsat PLC		1,429		14
Lloyds Banking Group PLC (Æ)		10,004		6
Meggitt PLC		1,891		12
National Grid PLC		1,984		22
Pennon Group PLC		1,318		15
Persimmon PLC Class A		36		—	±
Provident Financial PLC		798		18
Reckitt Benckiser Group PLC		546		31
Rolls-Royce Holdings PLC (Æ)		1,868		25
Royal Bank of Scotland Group PLC (Æ)		2,801		12
SABMiller PLC - ADR		274		12
Scottish & Southern Energy PLC		730		16
Severn Trent PLC Class H		1,446		39
Shire PLC - ADR (Æ)		599		18
Smith & Nephew PLC		238		3
Telecity Group PLC		1,903		28
United Utilities Group PLC		2,709		31
Vodafone Group PLC - ADR (Æ)		35,565		102
				770
United States - 0.4%
AdStar, Inc. (Æ)		127		5
Aegis Group plc (Æ)		1,059		4
Lululemon Athletica, Inc. Class 3 (Æ)		100		7
Talk America Holdings, Inc. (Æ)		2,013		6
				22
Total Common Stocks (cost $4,785)				5,192
Preferred Stocks - 0.9%
Germany - 0.9%
Bayerische Motoren Werke AG		64		3
Henkel AG & Co. KGaA		544		44
				47
Total Preferred Stocks (cost $36)				47

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.1%
United States - 0.1%
Russell U.S. Cash Management Fund		5,863	(¥)		6
Total Short-Term Investments (cost $6)					6
Total Investments - 99.6% (identified cost $4,827)					5,245
Other Assets and Liabilities, Net - 0.4%					21
Net Assets - 100.0%					5,266

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

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

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Russell Developed ex-U.S. Low Beta ETF

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

Amounts in thousands

Foreign Currency Exchange Contracts
Counterparty	Amount Sold		Amount Bought		Settlement Date		Unrealized Appreciation (Depreciation) $
UBS AG	USD	30	CAD	29		10/03/12		—	*
UBS AG	USD	1	JPY	45		10/03/12		—	*
UBS AG	EUR	2	USD	2		10/02/12		—	*
UBS AG	EUR	5	USD	7		10/03/12		—	*
UBS AG	GBP	3	USD	5		10/03/12		—	*
UBS AG	HKD	7	USD	1		10/04/12		—	*
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts								—	*

* Less than $500.

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

Amounts in thousands

	Market Value										% of Net Assets
Portfolio Summary	Level 1			Level 2		Level 3		Total
Common Stocks
Australia	$	21		$	—	$	—	$	21			0.4
Austria		24			—		—		24			0.5
Belgium		114			—		—		114			2.2
Bermuda		115			—		—		115			2.2
Canada		668			—		—		668			12.7
Cayman Islands		38			—		—		38			0.7
Denmark		31			—		—		31			0.6
Finland		13			—		—		13			0.2
France		106			—		—		106			2.0
Germany		316			—		—		316			6.0
Greece		12			—		—		12			0.2
Hong Kong		509			—		—		509			9.7
Ireland		43			—		—		43			0.8
Israel		75			—		—		75			1.4
Italy		15			—		—		15			0.3
Japan		1,377			—		—		1,377			26.1
Luxembourg		46			—		—		46			0.9
Netherlands		140			—		—		140			2.7
New Zealand		20			—		—		20			0.4
Portugal		—	***		—		—		—	***		—	*
Singapore		131			—		—		131			2.5
Spain		5			—		—		5			0.1
Switzerland		581			—		—		581			11.0
United Kingdom		770			—		—		770			14.6
United States		22			—		—		22			0.4
Preferred Stocks		47			—		—		47			0.9
Short-Term Investments		—			6		—		6			0.1
Total Investments		5,239			6		—		5,245			99.6
Other Assets and Liabilities, Net												0.4
												100.0

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

Russell Developed ex-U.S. Low Beta ETF 113

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Presentation of Portfolio Holdings, continued — September 30, 2012 (Unaudited)

Amounts in thousands

Market Value

% of Net Assets

Portfolio Summary

Level 1

Level 2

Level 3

Total

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 ended September 30, 2012.

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

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

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Fair Value of Derivative Instruments — September 30, 2012 (Unaudited)

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	$	—	*
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 115

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,827
Investments, at market*		5,245
Foreign currency holdings**		5
Receivables:
Dividends		23
Investments sold		48
Foreign taxes recoverable		5
Total assets		5,326
Liabilities
Payables:
Investments purchased		58
Accrued fees to affiliates		2
Total liabilities		60
Net Assets	$	5,266
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	39
Accumulated net realized gain (loss)		(71	)
Unrealized appreciation (depreciation) on investments		418
Additional paid-in capital		4,880
Net Assets	$	5,266
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.66
Net assets	$	5,266,120
Shares outstanding ($.001 par value)		100,002
Amounts in thousands
*           Investments in Affiliates, Russell U.S. Cash Management Fund	$	6
**         Foreign currency holdings - cost	$	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.

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

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	110
Less foreign taxes withheld		(9	)
Total investment income		101
Expenses
Management fees		15
Expense reductions		(9	)
Net expenses		6
Net investment income (loss)		95
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(63	)
Foreign currency-related transactions		1
Net realized gain (loss)		(62	)
Net change in unrealized appreciation (depreciation) on investments		101
Net realized and unrealized gain (loss)		39
Net Increase (Decrease) in Net Assets from Operations	$	134

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

Russell Developed ex-U.S. Low Beta ETF 117

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	95		$	59
Net realized gain (loss)		(62	)		(10	)
Net change in unrealized appreciation (depreciation)		101			317
Net increase (decrease) in net assets from operations		134			366
Distributions
From net investment income		(76	)		(38	)
Net decrease in net assets from distributions		(76	)		(38	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			4,880
Total Net Increase (Decrease) in Net Assets		58			5,208
Net Assets
Beginning of period		5,208			—
End of period	$	5,266		$	5,208
Undistributed (overdistributed) net investment income included in net assets	$	39		$	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.

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

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Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Beta ETF

Financial Highlights — For the Periods 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
September 30, 2012*		52.08		1.10		.24		1.34		(.76	)		(.76	)
March 31, 2012**		48.80		.59		3.07		3.66		(.38	)		(.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 ended September 30, 2012 (Unaudited).

** 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.

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

$ 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)
	52.66		2.65		5,266		.59		.25		4.32		17
	52.08		7.53		5,208		.87		.25		2.91		26

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

Russell Developed ex-U.S. Low Beta ETF 121

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Russell Developed ex-U.S. Low Volatility ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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 April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value September 30, 2012	$	1,052.40	$	1,023.75
Expenses Paid During Period*	$	1.29	$	1.27

* 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 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

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

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 98.8%
Australia - 10.7%
AGL Energy, Ltd.		590		9
Amcor, Ltd. (Æ)		636		5
ASX, Ltd. - ADR		197		6
Australia & New Zealand Banking Group, Ltd. - ADR		1,985		51
BHP Billiton, Ltd. - ADR		320		11
Centro Retail Australia (ö)		4,560		10
CFS Retail Property Trust Group (ö)		3,681		7
Coca-Cola Amatil, Ltd.		998		14
Commonwealth Bank of Australia - ADR		1,823		107
CSL, Ltd.		579		28
Dexus Property Group (ö)		4,918		5
Echo Entertainment Group, Ltd.		963		4
Fairfax Media, Ltd.		5,608		2
GPT Group (ö)		1,467		5
Insurance Australia Group, Ltd.		462		2
Lend Lease Group		939		8
Metcash, Ltd.		2,003		7
National Australia Bank, Ltd. - ADR		1,564		41
Orica, Ltd.		127		3
Origin Energy, Ltd.		236		3
Qantas Airways, Ltd. (Æ)		3		—	±
Rio Tinto, Ltd. - ADR		93		5
Tabcorp Holdings, Ltd.		2,274		7
Telstra Corp., Ltd.		8,047		33
Toll Holdings, Ltd.		334		2
Transurban Group - ADR (Æ)		994		6
Wesfarmers, Ltd.		860		31
Westfield Group (ö)		2,121		22
Westfield Retail Trust (ö)		2,429		7
Westpac Banking Corp.		2,510		65
Woolworths, Ltd.		2,071		62
				568
Belgium - 1.0%
Anheuser-Busch InBev NV		435		37
Belgacom SA		168		5
Colruyt SA (Æ)		97		4
Delhaize Group SA		59		2
Groupe Bruxelles Lambert SA		21		2
Mobistar SA		63		2
				52
Canada - 14.8%
Agrium, Inc.		33		3
Astral Media, Inc. Class A (Æ)		172		8
Atco, Ltd. Class I		16		1
Bank of Montreal		687		41
Bank of Nova Scotia		997		56
BCE, Inc.		990		44
Bell Aliant, Inc.		689		19
Brookfield Asset Management, Inc. Class A		37		1
Brookfield Office Properties, Inc.		61		1
Canadian Imperial Bank of Commerce		578		45
Canadian National Railway Co.		295		26

	Principal Amount ($) or Shares		Market Value $
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
Emera, Inc.		245		9
Empire Co., Ltd. Class A		101		6
Enbridge, Inc.		1,266		49
Enerplus Corp.		115		2
First Capital Realty, Inc. Class A		775		15
Fortis, Inc. Class Common Subscription Receipt		276		9
Genworth MI Canada, Inc.		370		8
George Weston, Ltd.		99		6
Great-West Lifeco, Inc.		324		7
Husky Energy, Inc.		93		2
Imperial Oil, Ltd.		211		10
Industrial Alliance Insurance & Financial Services, Inc. (Þ)		81		2
Intact Financial Corp. Class Common Subscription Receipt		65		4
Loblaw Cos., Ltd.		352		12
Magna International, Inc. Class A		189		8
Manitoba Telecom Services, Inc. - ADR		266		9
Manulife Financial Corp.		639		8
Metro, Inc. Class A		509		30
National Bank of Canada		208		16
Potash Corp. of Saskatchewan, Inc.		116		5
RioCan Real Estate Investment Trust Class Trust Unit (ö)		52		1
Rogers Communications, Inc. Class B		405		16
Royal Bank of Canada - GDR		1,411		82
Saputo, Inc. - ADR		372		16
Shaw Communications, Inc. Class B		157		3
Shoppers Drug Mart Corp.		379		16
Sun Life Financial, Inc.		214		5
Suncor Energy, Inc.		74		2
TELUS Corp.		261		16
TELUS Corp. Class A		18		1
Toronto-Dominion Bank (The)		996		84
TransCanada Corp.		1,001		46
Valeant Pharmaceuticals International, Inc. (Æ)		21		1
Viterra, Inc.		782		13
				784
Denmark - 0.8%
Coloplast A/S Class B		8		2
FLSmidth & Co. A/S		34		2
Novo Nordisk A/S Class B		224		36
TDC A/S		197		1
				41
Finland - 0.1%
Fortum OYJ		182		3
Orion OYJ Class B		161		4
Stora Enso OYJ Class R		117		1
				8

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
France - 3.9%
Casino Guichard Perrachon SA (Æ)		60		5
Cie Generale d’Optique Essilor International SA		344		32
Danone SA		151		9
France Telecom SA - ADR		828		10
Iliad SA		5		1
L’Oreal SA		169		21
Pernod-Ricard SA		91		10
Sanofi - ADR		1,038		89
Societe BIC SA		30		4
Total SA		402		20
Unibail-Rodamco SE (ö)		35		7
Vivendi SA - ADR		60		1
				209
Germany - 5.7%
Adidas AG		24		2
BASF SE		196		17
Bayer AG		73		6
Beiersdorf AG (Æ)		262		19
Daimler AG		46		2
Deutsche Lufthansa AG		434		6
Deutsche Telekom AG		2,469		30
E.ON AG		24		1
Fresenius Medical Care AG & Co. KGaA		111		8
Fresenius SE & Co. KGaA		11		1
Henkel AG & Co. KGaA		198		13
Infineon Technologies AG - ADR		600		4
K+S AG		7		—	±
Linde AG		52		9
Merck KGaA		178		22
Metro AG		42		1
MTU Aero Engines Holding AG		86		7
Rhoen Klinikum AG		323		6
RWE AG		20		1
SAP AG - ADR		847		61
Siemens AG		866		87
				303
Hong Kong - 3.3%
AIA Group, Ltd.		1,800		7
Champion REIT (Æ)(ö)		48,000		22
CLP Holdings, Ltd.		4,000		35
Hang Seng Bank, Ltd.		400		6
Hong Kong & China Gas Co., Ltd.		9,900		25
Link REIT (The) (ö)		2,000		9
MTR Corp., Ltd.		5,500		21
Power Assets Holdings, Ltd.		2,500		21
Swire Pacific, Ltd.		10,000		23
Wheelock & Co., Ltd.		1,000		4
				173
Ireland - 0.1%
Kerry Group PLC Class A		108		6

	Principal Amount ($) or Shares		Market Value $
Isle of Man - 0.0%
Genting Singapore PLC		2,000		2
Israel - 1.1%
Check Point Software Technologies, Ltd. (Æ)		92		4
Teva Pharmaceutical Industries, Ltd.		1,381		56
				60
Italy - 0.2%
Autogrill SpA		389		4
Snam Rete Gas SpA		1,039		4
Terna Rete Elettrica Nazionale SpA		750		3
				11
Japan - 12.1%
Aeon Co., Ltd.		1,800		20
Ajinomoto Co., Inc.		1,000		16
Asahi Group Holdings, Ltd.		600		15
Asahi Kasei Corp.		1,000		5
Astellas Pharma, Inc.		500		25
Chugai Pharmaceutical Co., Ltd.		600		13
Coca-Cola West Co., Ltd.		200		3
Daiichi Sankyo Co., Ltd.		200		3
Dentsu, Inc.		100		3
East Japan Railway Co.		200		13
Eisai Co., Ltd.		800		36
FamilyMart Co., Ltd.		300		15
Hisamitsu Pharmaceutical Co., Inc.		100		6
Kao Corp.		1,300		38
Kirin Holdings Co., Ltd.		1,000		13
Lawson, Inc.		200		15
McDonald’s Holdings Co. Japan, Ltd.		1,100		31
Medipal Holdings Corp.		100		1
MEIJI Holdings Co., Ltd.		100		5
Nagoya Railroad Co., Ltd.		2,000		5
Namco Bandai Holdings, Inc.		100		2
Nippon Telegraph & Telephone Corp.		600		29
Nisshin Seifun Group, Inc.		1,000		12
Nissin Foods Holdings Co., Ltd.		600		24
Nitori Holdings Co., Ltd.		50		5
NTT DOCOMO, Inc.		28		46
Odakyu Electric Railway Co., Ltd.		1,000		11
Oriental Land Co., Ltd.		100		13
Osaka Gas Co., Ltd.		3,000		13
Otsuka Holdings Co., Ltd.		600		19
Secom Co., Ltd.		300		16
Shiseido Co., Ltd.		1,100		15
Sumitomo Mitsui Financial Group, Inc.		100		3
Suzuken Co., Ltd.		100		3
Takeda Pharmaceutical Co., Ltd.		1,300		60
Tobu Railway Co., Ltd.		3,000		16
Toho Co., Ltd.		600		11
Tokyo Gas Co., Ltd.		4,000		22
TonenGeneral Sekiyu KK		1,000		9
Tsumura & Co.		300		9
Unicharm Corp.		200		12

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

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Russell Developed ex-U.S. Low Volatility ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
USS Co., Ltd.		20		2
West Japan Railway Co.		200		9
				642
Jersey - 0.5%
Experian PLC		1,187		20
United Business Media, Ltd.		329		4
WPP PLC		252		3
				27
Luxembourg - 0.0%
Oriflame Cosmetics SA		55		2
Netherlands - 3.1%
Akzo Nobel NV		129		7
Heineken Holding NV		155		8
Heineken NV		287		17
Koninklijke Ahold NV		1,637		21
Koninklijke DSM NV (Æ)		63		3
Koninklijke KPN NV		1,004		8
Nutreco NV		12		1
Reed Elsevier NV (Æ)		334		4
Unilever NV		2,429		86
Wolters Kluwer NV		447		8
				163
New Zealand - 0.0%
Fletcher Building, Ltd.		344		2
Norway - 0.1%
Marine Harvest ASA (Æ)		1,449		1
Orkla ASA		315		2
Statoil ASA Class N		121		4
				7
Singapore - 2.3%
Ascendas Real Estate Investment Trust (ö)		9,000		18
DBS Group Holdings, Ltd.		1,000		12
Keppel Land, Ltd.		2,000		6
Oversea-Chinese Banking Corp., Ltd.		1,000		8
Singapore Press Holdings, Ltd.		9,000		29
Singapore Technologies Engineering, Ltd.		1,000		3
Singapore Telecommunications, Ltd.		5,000		13
SMRT Corp., Ltd.		11,000		15
United Overseas Bank, Ltd.		1,000		16
				120
Spain - 0.4%
Ebro Foods SA		49		1
Enagas SA		50		1
Red Electrica Corp. SA		41		2
Telefonica SA - ADR		1,197		16
				20

	Principal Amount ($) or Shares		Market Value $
Sweden - 0.5%
Getinge AB Class B		29		1
Hennes & Mauritz AB Class B		414		14
Holmen AB Class B		117		3
Securitas AB Class B		296		2
Swedish Match AB		45		2
TeliaSonera AB		658		5
				27
Switzerland - 10.3%
ABB, Ltd. (Æ)		167		3
Actelion, Ltd. (Æ)		189		9
Adecco SA (Æ)		9		—	±
Aryzta AG (Æ)		58		3
Bank Sarasin & Cie AG (Æ)		395		11
Cie Financiere Richemont SA		94		6
Clariant AG (Æ)		85		1
Geberit AG (Æ)		59		13
Kuehne + Nagel International AG		11		1
Lonza Group AG (Æ)		64		3
Nestle SA		1,657		105
Novartis AG		1,735		107
Partners Group Holding AG		5		1
PSP Swiss Property AG (Æ)		39		4
Roche Holding AG		571		108
Sonova Holding AG (Æ)		92		9
Straumann Holding AG		7		1
Swiss Life Holding AG (Æ)		153		18
Swiss Prime Site AG Class A (Æ)		228		19
Swisscom AG		133		53
Syngenta AG		68		25
Transocean, Ltd.		11		—	±
Zurich Insurance Group AG (Æ)		187		47
				547
United Kingdom - 27.8%
AMEC PLC - GDR		315		6
Associated British Foods PLC		1,509		31
AstraZeneca PLC - ADR (Æ)		2,019		96
BAE Systems PLC		562		3
BG Group PLC		543		11
BP PLC		14,854		104
British American Tobacco PLC		1,924		99
British Land Co. PLC (ö)		119		1
British Sky Broadcasting Group PLC		1,751		21
BT Group PLC		1,765		7
Bunzl PLC		314		6
Capita PLC		412		5
Capital Shopping Centres Group PLC Class H (ö)		157		1
Centrica PLC		4,027		21
Cobham PLC		762		3
Compass Group PLC		2,264		25
Diageo PLC		2,515		71
G4S PLC		2,126		9
GlaxoSmithKline PLC - ADR		4,398		101

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
HSBC Holdings PLC		8,761			81
Imperial Tobacco Group PLC		1,013			37
Inchcape PLC		67			—	±
Inmarsat PLC		309			3
InterContinental Hotels Group PLC		250			7
J Sainsbury PLC		2,740			15
Marks & Spencer Group PLC		183			1
National Grid PLC		4,014			44
Next PLC		91			5
Pearson PLC		1,731			34
Reckitt Benckiser Group PLC		787			45
Reed Elsevier PLC		1,401			13
Rexam PLC		535			4
Royal Dutch Shell PLC Class A		2,953			102
Royal Dutch Shell PLC Class B		2,850			101
RSA Insurance Group PLC		507			1
SABMiller PLC - ADR		392			17
Scottish & Southern Energy PLC		1,804			41
Serco Group PLC		541			5
Severn Trent PLC Class H		632			17
Shire PLC - ADR (Æ)		480			14
Smith & Nephew PLC		732			8
Smiths Group PLC		278			5
Tate & Lyle PLC		523			6
Tesco PLC		5,140			28
Unilever PLC		1,643			60
United Utilities Group PLC		1,820			21
Vodafone Group PLC - ADR (Æ)		35,620			101
Whitbread PLC		353			13
William Hill PLC		159			1
WM Morrison Supermarkets PLC		4,850			22
					1,473
United States - 0.0%
AdStar, Inc. (Æ)		50			2
Total Common Stocks (cost $4,801)					5,249
Preferred Stocks - 0.4%
Germany - 0.4%
Henkel AG & Co. KGaA		251			20
Porsche Automobil Holding SE		30			2
RWE AG		22			1
					23
Total Preferred Stocks (cost $17)					23
Short-Term Investments - 0.2%
United States - 0.2%
Russell U.S. Cash Management Fund		10,849	(¥)		11
Total Short-Term Investments (cost $11)					11

	Principal Amount ($) or Shares	Market Value $
Total Investments - 99.4% (identified cost $4,829)			5,283
Other Assets and Liabilities, Net - 0.6%			32
Net Assets - 100.0%			5,315

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

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

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

Amounts in thousands

Foreign Currency Exchange Contracts
Counterparty	Amount Sold		Amount Bought		Settlement Date		Unrealized Appreciation (Depreciation) $
UBS AG	USD	71	GBP	44		10/03/12		(—	)*
UBS AG	USD	10	SEK	69		10/03/12		—	*
UBS AG	EUR	13	USD	17		10/03/12		—	*
UBS AG	JPY	4,739	USD	61		10/03/12		—	*
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts								(—	)*

* Less than $500.

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

Amounts in thousands

	Market Value										% of Net Assets
Portfolio Summary	Level 1			Level 2		Level 3		Total
Common Stocks
Australia	$	568		$	—	$	—	$	568			10.7
Belgium		52			—		—		52			1.0
Canada		784			—		—		784			14.8
Denmark		41			—		—		41			0.8
Finland		8			—		—		8			0.1
France		209			—		—		209			3.9
Germany		303			—		—		303			5.7
Hong Kong		173			—		—		173			3.3
Ireland		6			—		—		6			0.1
Isle of Man		2			—		—		2			—	*
Israel		60			—		—		60			1.1
Italy		11			—		—		11			0.2
Japan		642			—		—		642			12.1
Jersey		27			—		—		27			0.5
Luxembourg		2			—		—		2			—	*
Netherlands		163			—		—		163			3.1
New Zealand		2			—		—		2			—	*
Norway		7			—		—		7			0.1
Singapore		120			—		—		120			2.3
Spain		20			—		—		20			0.4
Sweden		27			—		—		27			0.5
Switzerland		547			—		—		547			10.3
United Kingdom		1,473			—		—		1,473			27.8
United States		2			—		—		2			—	*
Preferred Stocks		23			—		—		23			0.4
Short-Term Investments		—			11		—		11			0.2
Total Investments		5,272			11		—		5,283			99.4
Other Assets and Liabilities, Net												0.6
												100.0
Other Financial Instruments
Foreign Currency Exchange Contracts		(—	)***		—		—		(—	)***		(—	)*
Total Other Financial Instruments**	$	(—	)***	$	—	$	—	$	(—	)***

* Less than .05% of net assets.

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

Russell Developed ex-U.S. Low Volatility ETF 127

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Presentation of Portfolio Holdings, continued — September 30, 2012 (Unaudited)

Amounts in thousands

** 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 ended September 30, 2012.

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

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

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Russell Developed ex-U.S. Low Volatility ETF

Fair Value of Derivative Instruments — September 30, 2012 (Unaudited)

Amounts in thousands

Derivatives not accounted for as hedging instruments	Foreign Currency Contracts
Location: Statement of Assets and Liabilities - Liabilities
Unrealized appreciation 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	$	(—	)*

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 129

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,829
Investments, at market*		5,283
Foreign currency holdings**		10
Receivables:
Dividends		23
Investments sold		78
Foreign taxes recoverable		5
Total assets		5,399
Liabilities
Payables:
Investments purchased		82
Accrued fees to affiliates		2
Total liabilities		84
Net Assets	$	5,315
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	29
Accumulated net realized gain (loss)		(51	)
Unrealized appreciation (depreciation) on investments		454
Additional paid-in capital		4,883
Net Assets	$	5,315
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	53.15
Net assets	$	5,314,687
Shares outstanding ($.001 par value)		100,002
Amounts in thousands
*           Investments in affiliates, Russell U.S. Cash Management Fund	$	11
**         Foreign currency holdings - cost	$	10

(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.

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

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Russell Developed ex-U.S. Low Volatility ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	125
Less foreign taxes withheld		(10	)
Total investment income		115
Expenses
Management fees		15
Expense reductions		(9	)
Net expenses		6
Net investment income (loss)		109
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(49	)
Foreign currency-related transactions		1
Net realized gain (loss)		(48	)
Net change in unrealized appreciation (depreciation)		201
Net realized and unrealized gain (loss)		153
Net Increase (Decrease) in Net Assets from Operations	$	262

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	109		$	70
Net realized gain (loss)		(48	)		(4	)
Net change in unrealized appreciation (depreciation)		201			253
Net increase (decrease) in net assets from operations		262			319
Distributions
From net investment income		(94	)		(55	)
Net decrease in net assets from distributions		(94	)		(55	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			4,883
Total Net Increase (Decrease) in Net Assets		168			5,147
Net Assets
Beginning of period		5,147			—
End of period	$	5,315		$	5,147
Undistributed (overdistributed) net investment income included in net assets	$	29		$	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.

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

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Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. Low Volatility ETF

Financial Highlights — For the Periods 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
September 30, 2012*		51.47		1.09		1.53		2.62		(.94	)		(.94	)
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 ended September 30, 2012 (Unaudited).

** 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.

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

$ 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)
	53.15		5.24		5,315		.59		.25		4.29		19
	51.47		6.55		5,147		.87		.25		3.44		25

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

Russell Developed ex-U.S. Low Volatility ETF 135

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,034.10	$	1,023.75
Expenses Paid During Period*	$	1.27	$	1.27

* 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 183/365 (to reflect the one-half year period). May reflect amounts waived and/or reimbursed. Without any waivers and/or reimbursements, expenses would have been higher.

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

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Russell Developed ex-U.S. High Momentum ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 98.1%
Australia - 5.9%
AGL Energy, Ltd.		567		9
ALS, Ltd.		1,220		11
Australia & New Zealand Banking Group, Ltd. - ADR		1,091		28
CFS Retail Property Trust Group (ö)		2,420		5
Coca-Cola Amatil, Ltd.		900		13
Commonwealth Bank of Australia - ADR		758		44
CSL, Ltd.		275		13
GPT Group (ö)		5,441		19
Iluka Resources, Ltd.		351		4
Mirvac Group Class REIT (ö)		874		1
National Australia Bank, Ltd. - ADR		88		2
New Hope Corp., Ltd.		1,018		5
QR National, Ltd.		3,426		12
Tatts Group, Ltd.		3,588		10
Telstra Corp., Ltd.		14,484		58
Treasury Wine Estates, Ltd.		2,397		13
Wesfarmers, Ltd.		887		32
Westfield Group (ö)		261		3
Westpac Banking Corp.		153		4
Woolworths, Ltd.		682		20
				306
Belgium - 2.3%
Ageas		230		5
Anheuser-Busch InBev NV		1,234		104
Colruyt SA (Æ)		58		3
Delhaize Group SA		39		2
D’ieteren SA		65		3
KBC Groep NV		23		1
				118
Bermuda - 1.1%
First Pacific Co., Ltd.		19,000		21
Gulf Keystone Petroleum, Ltd. (Æ)		751		3
Jardine Strategic Holdings, Ltd.		500		17
Seadrill, Ltd.		442		17
				58
Canada - 7.3%
Atco, Ltd. Class I		10		1
Bank of Montreal		390		23
Bank of Nova Scotia		614		34
Boardwalk Real Estate Investment Trust Class Trust Unit (ö)		602		39
Canadian Imperial Bank of Commerce		37		3
Canadian National Railway Co.		151		13
Canadian Utilities, Ltd. Class A		127		9
CGI Group, Inc. Class A (Æ)		523		14
Dollarama, Inc.		270		17
Empire Co., Ltd. Class A		62		4
H&R Real Estate Investment Trust (ö)		1,094		28
Jean Coutu Group PJC, Inc. (The) Class A		1,873		27
Keyera Corp.		32		2
National Bank of Canada		328		25

	Principal Amount ($) or Shares		Market Value $
Power Corp. of Canada		81		2
Royal Bank of Canada - GDR		846		48
TELUS Corp. Class A		449		28
TELUS Corp.		348		22
Tim Hortons, Inc.		36		2
Toronto-Dominion Bank (The)		344		29
TransCanada Corp.		99		5
Valeant Pharmaceuticals International, Inc. (Æ)		78		4
				379
Cayman Islands - 0.0%
Sands China, Ltd.		400		1
Denmark - 3.2%
Carlsberg A/S Class B		93		8
Coloplast A/S Class B		118		25
GN Store Nord A/S		1,880		29
Novo Nordisk A/S Class B		649		103
Novozymes A/S Class B		53		1
				166
Finland - 0.9%
Fortum OYJ		13		—	±
Kone OYJ Class B		26		2
Metso OYJ		690		24
Nokian Renkaat OYJ		164		7
Sampo OYJ Class A		370		12
Wartsila OYJ Abp Class B		25		1
				46
France - 8.2%
Air Liquide SA Class A		116		14
Arkema SA		61		6
Christian Dior SA		46		6
Cie Generale de Geophysique - Veritas (Æ)		1,280		40
Cie Generale d’Optique Essilor International SA		81		8
Danone SA		357		22
France Telecom SA - ADR		1,710		21
GDF Suez		135		3
Hermes International		214		57
Lafarge SA		340		18
L’Oreal SA		71		9
LVMH Moet Hennessy Louis Vuitton SA - ADR		124		19
Pernod-Ricard SA		139		16
Remy Cointreau SA		82		9
Renault SA		300		14
Sanofi - ADR		664		57
SCOR SE - ADR		118		3
Sodexo		81		6
Technip SA		40		4
Total SA		856		43
Unibail-Rodamco SE (ö)		19		4
Vivendi SA - ADR		144		3
Zodiac Aerospace		424		41
				423

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Germany - 7.9%
Allianz SE		240		29
BASF SE		490		41
Bayer AG		621		54
Bayerische Motoren Werke AG		504		37
Continental AG		237		23
Deutsche Telekom AG		239		3
E.ON AG		266		6
Fresenius Medical Care AG & Co. KGaA		212		16
Fresenius SE & Co. KGaA		88		10
Hannover Rueckversicherung AG		299		19
Henkel AG & Co. KGaA		305		20
Infineon Technologies AG - ADR		839		5
Lanxess AG		233		19
MAN SE		22		2
Merck KGaA		280		35
MTU Aero Engines Holding AG		74		6
Muenchener Rueckversicherungs AG		66		10
SAP AG - ADR		298		21
Siemens AG		348		35
Volkswagen AG		108		18
				409
Guernsey - 0.2%
Resolution, Ltd.		2,299		8
Hong Kong - 0.5%
Hang Lung Properties, Ltd. - ADR		1,000		3
Hutchison Whampoa, Ltd.		1,000		10
Link REIT (The) (ö)		3,000		14
				27
Ireland - 2.1%
CRH PLC		491		9
Elan Corp. PLC (Æ)		3,220		35
Governor & Co. of the Bank of Ireland (The) (Æ)		40,000		5
James Hardie Industries SE		1,475		13
Seagate Technology PLC		1,446		45
				107
Israel - 0.8%
Check Point Software Technologies, Ltd. (Æ)		307		15
Mellanox Technologies, Ltd. (Æ)		232		24
				39
Italy - 2.1%
ENI SpA - ADR		1,170		26
Fiat Industrial SpA Class A		1,430		14
Intesa Sanpaolo SpA		1,900		3
Lottomatica Group SpA		110		2
Pirelli & C. SpA - ADR		1,000		11
Prada SpA		1,500		11
Prysmian SpA		60		1

	Principal Amount ($) or Shares		Market Value $
Saipem SpA - ADR		500		24
Salvatore Ferragamo Italia SpA		777		16
				108
Japan - 8.6%
Acom Co., Ltd. (Æ)		1,430		36
Aozora Bank, Ltd.		2,000		6
Daito Trust Construction Co., Ltd.		100		10
East Japan Railway Co.		100		7
Fuji Heavy Industries, Ltd.		1,000		8
Hino Motors, Ltd.		5,000		33
Itochu Techno-Solutions Corp.		200		10
J Front Retailing Co., Ltd.		1,000		6
Japan Tobacco, Inc.		1,200		36
Keisei Electric Railway Co., Ltd.		1,000		9
Lawson, Inc.		400		31
Medipal Holdings Corp.		3,700		52
Mitsubishi UFJ Financial Group, Inc.		3,600		17
Nikon Corp.		800		22
NOK Corp.		300		5
Otsuka Holdings Co., Ltd.		600		19
Seven & I Holdings Co., Ltd.		200		6
Softbank Corp.		300		12
Tobu Railway Co., Ltd.		5,000		27
Tokyo Gas Co., Ltd.		2,000		11
Toyota Motor Corp.		2,000		78
Unicharm Corp.		100		6
				447
Jersey - 0.7%
Experian PLC		1,001		16
Petrofac, Ltd.		215		6
Randgold Resources, Ltd.		37		5
Wolseley PLC		166		7
				34
Luxembourg - 0.6%
Tenaris SA		1,460		30
Netherlands - 3.7%
ASML Holding NV Class G		1,130		61
European Aeronautic Defence and Space Co. NV		92		3
Gemalto NV		390		35
Koninklijke Ahold NV		831		10
Koninklijke Boskalis Westminster NV		95		3
Koninklijke DSM NV (Æ)		65		3
Koninklijke Vopak NV		347		24
Nutreco NV		29		2
NXP Semiconductor NV (Æ)		487		12
Unilever NV		1,139		41
				194
New Zealand - 0.7%
Telecom Corp. of New Zealand, Ltd.		18,980		38

138 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 — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Norway - 0.7%
Petroleum Geo-Services ASA		1,100		18
Statoil ASA Class N		422		11
TGS Nopec Geophysical Co. ASA - ADR		210		7
				36
Singapore - 0.3%
City Developments, Ltd.		1,000		9
Keppel Land, Ltd.		2,000		6
				15
Spain - 1.7%
Acciona SA		50		3
Amadeus IT Holding SA Class A		60		1
Endesa SA - ADR		141		3
Gas Natural SDG SA		552		8
Grifols SA (Æ)		695		23
Grifols SA - ADR (Æ)		80		2
Iberdrola SA		926		4
Inditex SA		279		34
Mapfre SA		2,150		6
Repsol SA - ADR		140		3
Telefonica SA - ADR		238		3
				90
Sweden - 3.4%
Assa Abloy AB Class B		108		4
Atlas Copco AB Class A		300		7
Electrolux AB		300		7
Elekta AB Class B		20		—	±
Hennes & Mauritz AB Class B		718		25
Lundin Petroleum AB (Æ)		747		18
Meda AB Class A		422		4
Sandvik AB		580		8
Skandinaviska Enskilda Banken AB Class A		4,600		39
Svenska Handelsbanken AB Class A		530		20
Swedbank AB Class A		1,210		23
Swedish Match AB		160		6
TeliaSonera AB		351		3
Trelleborg AB Class B		1,100		12
				176
Switzerland - 7.8%
ABB, Ltd. (Æ)		503		9
Cie Financiere Richemont SA		170		10
Nestle SA		1,582		100
Novartis AG		1,428		87
Roche Holding AG		560		106
Swiss Re AG (Æ)		1,231		79
Syngenta AG		10		4
Zurich Insurance Group AG (Æ)		45		11
				406

	Principal Amount ($) or Shares		Market Value $
United Kingdom - 27.1%
Aggreko PLC		1,356		51
AMEC PLC - GDR		291		5
Amlin PLC		2,066		13
Anglo American PLC		499		15
Associated British Foods PLC		535		11
AstraZeneca PLC - ADR (Æ)		515		25
Aviva PLC		600		3
BAE Systems PLC		661		3
Barclays PLC		3,000		10
BG Group PLC		2,455		50
BHP Billiton PLC		541		17
BP PLC		6,482		46
British American Tobacco PLC		1,858		95
British Land Co. PLC (ö)		1,539		13
Burberry Group PLC		1,212		20
Carnival PLC		17		1
Compass Group PLC		3,090		34
Diageo PLC		1,246		35
Drax Group PLC		2,056		17
easyJet PLC		2,238		21
GlaxoSmithKline PLC - ADR		2,460		57
Hammerson PLC (ö)		342		2
HSBC Holdings PLC		5,341		49
IMI PLC - ADR		854		12
Imperial Tobacco Group PLC		1,015		38
Inchcape PLC		1,049		6
Investec PLC		434		3
J Sainsbury PLC		1,376		8
Johnson Matthey PLC		36		1
Kingfisher PLC		4,418		19
Land Securities Group PLC (ö)		715		9
Meggitt PLC		954		6
Mondi PLC		3,106		32
National Grid PLC		1,464		16
Next PLC		282		16
Old Mutual PLC		26,414		72
Ophir Energy PLC (Æ)		3,513		34
Pearson PLC		942		18
Provident Financial PLC		14		—	±
Prudential PLC		541		7
Reed Elsevier PLC		1,602		15
Rexam PLC		792		6
Rolls-Royce Holdings PLC (Æ)		1,371		19
Royal Bank of Scotland Group PLC (Æ)		937		4
Royal Dutch Shell PLC Class A		2,761		95
Royal Dutch Shell PLC Class B		2,509		89
RSA Insurance Group PLC		5,544		10
SABMiller PLC - ADR		1,170		51
Sage Group PLC (The)		498		3
Scottish & Southern Energy PLC		1,153		26
Shire PLC - ADR (Æ)		503		15
Smith & Nephew PLC		1,048		12
Standard Chartered PLC		1,035		23
Standard Life PLC		942		4

Russell Developed ex-U.S. High Momentum ETF 139

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Tate & Lyle PLC		276			3
Tesco PLC		905			5
Travis Perkins PLC		841			14
TUI Travel PLC		348			1
Tullow Oil PLC		400			9
Unilever PLC		1,065			39
Vodafone Group PLC - ADR (Æ)		23,604			67
					1,400
United States - 0.3%
Lululemon Athletica, Inc. (Æ)		240			18
Total Common Stocks (cost $4,661)					5,079
Preferred Stocks - 1.3%
Germany - 1.3%
Henkel AG & Co. KGaA		349			28
Porsche Automobil Holding SE		82			5
Volkswagen AG		177			32
					65
Total Preferred Stocks (cost $57)					65
Warrants & Rights - 0.0%
France - 0.0%
Cie Generale de Geophysique - Veritas (Æ) 2012 Rights		1,280			2
Total Warrants & Rights (cost $—)					2
Short-Term Investments - 0.0%
United States - 0.0%
Russell U.S. Cash Management Fund		1,635	(¥)		2
Total Short-Term Investments (cost $2)					2
Total Investments - 99.4% (identified cost $4,720)					5,148
Other Assets and Liabilities, Net - 0.6%					32
Net Assets - 100.0%					5,180

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

140 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 — September 30, 2012 (Unaudited)

Amounts in thousands

Foreign Currency Exchange Contracts
Counterparty	Amount Sold		Amount Bought		Settlement Date		Unrealized Appreciation (Depreciation) $
UBS AG	USD	99	JPY	7,681		10/03/12		—	*
UBS AG	EUR	11	USD	14		10/03/12		—	*
UBS AG	GBP	54	USD	86		10/03/12		—	*
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts								—	*

* Less than $500.

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	306	$	—	$	—	$	306		5.9
Belgium		118		—		—		118		2.3
Bermuda		58		—		—		58		1.1
Canada		379		—		—		379		7.3
Cayman Islands		1		—		—		1		—	*
Denmark		166		—		—		166		3.2
Finland		46		—		—		46		0.9
France		423		—		—		423		8.2
Germany		409		—		—		409		7.9
Guernsey		8		—		—		8		0.2
Hong Kong		27		—		—		27		0.5
Ireland		107		—		—		107		2.1
Israel		39		—		—		39		0.8
Italy		108		—		—		108		2.1
Japan		447		—		—		447		8.6
Jersey		34		—		—		34		0.7
Luxembourg		30		—		—		30		0.6
Netherlands		194		—		—		194		3.7
New Zealand		38		—		—		38		0.7
Norway		36		—		—		36		0.7
Singapore		15		—		—		15		0.3
Spain		90		—		—		90		1.7
Sweden		176		—		—		176		3.4
Switzerland		406		—		—		406		7.8
United Kingdom		1,400		—		—		1,400		27.1
United States		18		—		—		18		0.3
Preferred Stocks		65		—		—		65		1.3
Warrants & Rights		2		—		—		2		—	*
Short-Term Investments		—		2		—		2		—	*
Total Investments		5,146		2		—		5,148		99.4
Other Assets and Liabilities, Net										0.6
										100.0

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

Russell Developed ex-U.S. High Momentum ETF 141

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Presentation of Portfolio Holdings, continued — September 30, 2012 (Unaudited)

Amounts in thousands

Market Value

% of Net Assets

Portfolio Summary

Level 1

Level 2

Level 3

Total

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 ended September 30, 2012.

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

142 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 — September 30, 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	$	—	*
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 143

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,720
Investments, at market*		5,148
Foreign currency holdings**		13
Receivables:
Dividends		15
Investments sold		101
Foreign taxes recoverable		4
Total assets		5,281
Liabilities
Payables:
Investments purchased		99
Accrued fees to affiliates		2
Total liabilities		101
Net Assets	$	5,180
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(12	)
Accumulated net realized gain (loss)		(114	)
Unrealized appreciation (depreciation) on investments		428
Additional paid-in capital		4,878
Net Assets	$	5,180
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.80
Net assets	$	5,179,888
Shares outstanding ($.001 par value)		100,002
Amounts in thousands
*           Investments in Affiliates, Russell U.S. Cash Management Fund	$	2
**         Foreign currency holdings – cost	$	13

(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.

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

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	96
Less foreign taxes withheld		(8	)
Total investment income		88
Expenses
Management fees		15
Expense reductions		(9	)
Net expenses		6
Net investment income (loss)		82
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(96	)
Foreign currency-related transactions		(2	)
Net realized gain (loss)		(98	)
Net change in unrealized appreciation (depreciation) on investments		185
Net realized and unrealized gain (loss)		87
Net Increase (Decrease) in Net Assets from Operations	$	169

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

Russell Developed ex-U.S. High Momentum ETF 145

Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	82		$	62
Net realized gain (loss)		(98	)		(17	)
Net change in unrealized appreciation (depreciation)		185			243
Net increase (decrease) in net assets from operations		169			288
Distributions
From net investment income		(107	)		(48	)
Net decrease in net assets from distributions		(107	)		(48	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			4,878
Total Net Increase (Decrease) in Net Assets		62			5,118
Net Assets
Beginning of period		5,118			—
End of period	$	5,180		$	5,118
Undistributed (overdistributed) net investment income included in net assets	$	(12	)	$	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.

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

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Russell Exchange Traded Funds Trust

Russell Developed ex-U.S. High Momentum ETF

Financial Highlights — For the Periods 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
September 30, 2012*		51.17		.83		.87		1.70		(1.07	)		(1.07	)
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 ended September 30, 2012 (Unaudited).

** 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.

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

$ 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)
	51.80		3.41		5,180		.59		.25		3.32		31
	51.17		5.95		5,118		.87		.25		3.09		32

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

Russell Developed ex-U.S. High Momentum ETF 149

Russell Exchange Traded Funds Trust

Russell Factor ETFs^TM

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

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

150 Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

1. Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET”) is a series investment company comprised of 26 different investment portfolios that were in operation as of September 30, 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.

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

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

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

2. Significant Accounting Policies

The 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 Fund Services Company (“RFSC”).

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

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

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

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

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

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.

Notes to Financial Statements 151

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

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

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

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

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

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

Level 3 Trading Assets and Trading Liabilities, at Fair Value

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

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

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

In 2011, the Financial Accounting Standards Board (“FASB”) issued an update to requirements relating to fair valuation measurements which represent amendments to achieve common fair value measurements and disclosure requirements in U.S. GAAP and International Financial 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.

152 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

Investment Transactions

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

Investment Income

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

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.

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 Fund files a U.S. tax return. At September 30, 2012, 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. 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 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

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 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.

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.

Notes to Financial Statements 153

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

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 September 30, 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 September 30, 2012. None of the Funds had a realized gain (loss) on investments for capital gains taxes for the period ended September 30, 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 September 30, 2012, the following Funds entered into foreign currency exchange contracts primarily for the strategies listed below:

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

The Funds’ 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	March 31, 2012		September 30, 2012
Russell Developed ex-U.S. Low Beta ETF	$	267,034	$	163,304
Russell Developed ex-U.S. Low Volatility ETF		222,513		47,416
Russell Developed ex-U.S. High Momentum ETF		560,998		4,833,453

	Outstanding Contract Amounts Bought
Quarter Ended	March 31, 2012		September 30, 2012
Russell Developed ex-U.S. Low Beta ETF	$	267,034	$	256,624
Russell Developed ex-U.S. Low Volatility ETF		222,513		49,765
Russell Developed ex-U.S. High Momentum ETF		560,999		103,859

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.

154 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

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.

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.

3. Investment Transactions

Securities

During the period ended September 30, 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	$	4,173,505	$	4,233,777
Russell 1000 High Beta ETF		3,722,131		3,709,220
Russell 1000 Low Volatility ETF		29,982,559		30,053,413
Russell 1000 High Volatility ETF		2,219,282		2,220,951
Russell 1000 High Momentum ETF		2,446,805		2,450,585
Russell 2000 Low Beta ETF		1,504,431		1,506,906
Russell 2000 High Beta ETF		3,497,084		3,507,500
Russell 2000 Low Volatility ETF		4,216,996		4,115,143
Russell 2000 High Volatility ETF		1,166,027		1,155,094
Russell 2000 High Momentum ETF		1,954,777		1,941,958
Russell Developed ex-U.S. Low Beta ETF		897,447		864,448
Russell Developed ex-U.S. Low Volatility ETF		973,820		965,011
Russell Developed ex-U.S. High Momentum ETF		1,562,498		1,580,543

For the period ended September 30, 2012, purchases and sales of the Funds resulting from in-kind redemptions were:

	Purchases		Sales
Russell 1000 Low Beta ETF	$	—	$	32,063,119
Russell 1000 High Beta ETF		4,876,743		5,054,167
Russell 1000 Low Volatility ETF		10,029,492		52,755,945
Russell 2000 Low Volatility ETF		5,029,299		—

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 September 30, 2012, are disclosed in the Funds’ Statements of Operations.

4. 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.

Notes to Financial Statements 155

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

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 September 30, 2012, the Funds presented herein have invested $90,594 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 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 September 30, 2012:

	Management Fees
Russell 1000 Low Beta ETF	$	66,326
Russell 1000 High Beta ETF		11,840
Russell 1000 Low Volatility ETF		165,958
Russell 1000 High Volatility ETF		11,658
Russell 1000 High Momentum ETF		12,750
Russell 2000 Low Beta ETF		17,499
Russell 2000 High Beta ETF		14,966
Russell 2000 Low Volatility ETF		24,719
Russell 2000 High Volatility ETF		14,010
Russell 2000 High Momentum ETF		17,469
Russell Developed ex-U.S. Low Beta ETF		14,983
Russell Developed ex-U.S. Low Volatility ETF		14,988
Russell Developed ex-U.S. High Momentum ETF		14,752

Waivers

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 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 September 30, 2012 was:

	Waiver
Russell 1000 Low Beta ETF	$	39,254
Russell 1000 High Beta ETF		7,007
Russell 1000 Low Volatility ETF		98,220
Russell 1000 High Volatility ETF		6,900
Russell 1000 High Momentum ETF		7,546

156 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

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 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 September 30, 2012 was:

	Waiver
Russell 2000 Low Beta ETF	$	9,927
Russell 2000 High Beta ETF		8,559
Russell 2000 Low Volatility ETF		13,972
Russell 2000 High Volatility ETF		7,919
Russell 2000 High Momentum ETF		9,874

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 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 September 30, 2012 was:

	Waiver
Russell Developed ex-U.S. Low Beta ETF	$	8,634
Russell Developed ex-U.S. Low Volatility ETF		8,637
Russell Developed ex-U.S. High Momentum ETF		8,501

Accrued Fees Payable to Affiliates

Accrued fees payable to affiliates for the period ended September 30, 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	$	6,719	$	1,743	$	20,777	$	1,627	$	1,771
	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	$	2,601	$	2,237	$	5,185	$	2,068	$	2,635
	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	$	2,171	$	2,188	$	2,172

Board of Trustees

The Russell Fund Complex consists of Russell Investment Company (“RIC”), which has 41 Funds, Russell Investment Funds (“RIF”), which has 10 Funds, and RET, which had 26 Funds as of September 30, 2012, and 1 Fund as of November 1, 2012. As of November 1, 2012, the Funds’ then-current trustees resigned and were replaced by trustee nominees elected by shareholders of the Fund who also serve as trustees of RIC and RIF. Therefore, as of November 1, 2012, each of the Fund’s Trustees is a Trustee of RIC, RIF and RET. As of the period ended September 30, 2012, and for all funds of RET, each independent trustee was 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 received 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 were also compensated for out of pocket expenses. The Audit Committee Chair and Nominating and Governance Chair were each paid a fee of $12,000 and $6,000, respectively, per year. The Chairman of the Board received additional annual compensation of $20,000.

Notes to Financial Statements 157

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

5. 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

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

	Russell 1000 Low Beta ETF			Russell 1000 High Beta ETF			Russell 1000 Low Volatility ETF			Russell 1000 High Volatility ETF			Russell 1000 High Momentum ETF
Cost of Investments	$	5,197,738		$	5,026,548		$	30,722,632		$	4,674,214		$	4,702,051
Unrealized Appreciation		361,553			39,352			1,650,926			491,976			679,994
Unrealized Depreciation		(126,220	)		(222,118	)		(611,706	)		(178,250	)		(38,813	)
Net Unrealized Appreciation (Depreciation)	$	235,333		$	(182,766	)	$	1,039,220		$	313,726		$	641,181
	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	$	4,958,825		$	4,525,646		$	10,082,896		$	4,390,905		$	4,691,037
Unrealized Appreciation		607,711			3,327,604			463,210			956,845			846,715
Unrealized Depreciation		(279,916	)		(3,374,711	)		(138,079	)		(1,130,849	)		(159,555	)
Net Unrealized Appreciation (Depreciation)	$	327,795		$	(47,107	)	$	325,131		$	(174,004	)	$	687,160
	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	$	4,832,081		$	4,832,373		$	4,723,228
Unrealized Appreciation		542,251			509,089			522,650
Unrealized Depreciation		(129,345	)		(58,253	)		(97,823	)
Net Unrealized Appreciation (Depreciation)	$	412,906		$	450,836		$	424,827

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 September 30, 2012, the Funds had realized capital losses as follows:

Fund			Fund
Russell 1000 Low Beta ETF	$	6,926	Russell 2000 Low Volatility ETF	$	72,651
Russell 1000 High Beta ETF		56,771	Russell 2000 High Volatility ETF		352,855
Russell 1000 Low Volatility ETF		612,476	Russell 2000 High Momentum ETF		234,388
Russell 1000 High Volatility ETF		232,819	Russell Developed ex-U.S. Low Beta ETF		6,493
Russell 1000 High Momentum ETF		43,153	Russell Developed ex-U.S. Low Volatility ETF		2,185
Russell 2000 Low Beta ETF		7,012	Russell Developed ex-U.S. High Momentum ETF		15,952
Russell 2000 High Beta ETF		263,679

158 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

6. Fund Share Transactions (amounts in thousands)

As of September 30, 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 September 30, 2012 were as follows:

	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 1000 Low Beta ETF
Shares created		—		$	—			700		$	35,778
Shares redeemed		(600	)		(32,127	)		(—	)		(—	)
Total increase (decrease)		(600	)	$	(32,127	)		700		$	35,778
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 1000 High Beta ETF
Shares created		100		$	4,896			500		$	23,556
Shares redeemed		(100	)		(5,065	)		(400	)		(17,397	)
Total increase (decrease)		—		$	(169	)		100		$	6,159
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 1000 Low Volatility ETF
Shares created		200		$	10,050			2,200		$	109,901
Shares redeemed		(1,000	)		(52,861	)		(800	)		(37,434	)
Total increase (decrease)		(800	)	$	(42,811	)		1,400		$	72,467
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 1000 High Volatility ETF
Shares created		—		$	—			300		$	14,720
Shares redeemed		(—	)		(—	)		(200	)		(8,729	)
Total increase (decrease)		—		$	—			100		$	5,991
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 1000 High Momentum ETF
Shares created		—		$	—			200		$	9,926
Shares redeemed		(—	)		(—	)		(100	)		(4,596	)
Total increase (decrease)		—		$	—			100		$	5,330

Notes to Financial Statements 159

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

6. Fund Share Transactions (amounts in thousands) (continued)

	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 2000 Low Beta ETF
Shares created		—		$	—			100		$	4,947
Shares redeemed		(—	)		(—	)		(—	)		(—	)
Total increase (decrease)		—		$	—			100		$	4,947
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 2000 High Beta ETF
Shares created		—		$	—			300		$	13,283
Shares redeemed		(—	)		(—	)		(200	)		(8,075	)
Total increase (decrease)		—		$	—			100		$	5,208
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 2000 Low Volatility ETF
Shares created		100		$	5,040			200		$	10,016
Shares redeemed		(—	)		(—	)		(100	)		(5,007	)
Total increase (decrease)		100		$	5,040			100		$	5,009
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 2000 High Volatility ETF
Shares created		—		$	—			400		$	18,455
Shares redeemed		(—	)		(—	)		(300	)		(11,261	)
Total increase (decrease)		—		$	—			100		$	7,194
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell 2000 High Momentum ETF
Shares created		—		$	—			200		$	9,886
Shares redeemed		(—	)		(—	)		(100	)		(4,736	)
Total increase (decrease)		—		$	—			100		$	5,150
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012**
	Shares			Dollars			Shares			Dollars
Russell Developed ex-U.S. Low Beta ETF
Shares created		—		$	—			100		$	4,880
Shares redeemed		(—	)		(—	)		(—	)		(—	)
Total increase (decrease)		—		$	—			100		$	4,880

160 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

6. Fund Share Transactions (amounts in thousands) (continued)

	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012**
	Shares			Dollars			Shares			Dollars
Russell Developed ex-U.S. Volatility ETF
Shares created		—		$	—			100		$	4,883
Shares redeemed		(—	)		(—	)		(—	)		(—	)
Total increase (decrease)		—		$	—			100		$	4,883
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012**
	Shares			Dollars			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.

7. 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.

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 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.

Illiquid securities and restricted securities may be priced by the Funds using fair valuation procedures approved by the Board.

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

8. Subsequent Events

Management has evaluated events and/or transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustments of the financial statements or additional disclosures except for the following:

On August 16, 2012, the Board approved an orderly liquidation of the Funds. The Board determined that closing and liquidating each Fund was in the best interests of each Fund and its shareholders. As of November 1, 2012, the Trusts’ then-current trustees resigned and were replaced by trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

Notes to Financial Statements 161

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Frequency Distribution of Discounts and Premiums — September 30, 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 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		0.20	%		7		1.41	%
Greater than 0.20% and Less than or equal to 1.00%		13		2.63	%		24		4.85	%
Greater than 0.05% and Less than or equal to 0.20%		38		7.68	%		199		40.20	%
Greater than -0.05% and Less than or equal to 0.05%		379		76.56	%		149		30.10	%
Greater than -0.20% and Less than or equal to -0.05%		62		12.53	%		107		21.62	%
Greater than -1.00% and Less than or equal to -0.20%		2		0.40	%		8		1.62	%
Less than -1.00%		—		0.00	%		1		0.20	%
		495		100.00	%		495		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		0.61	%		5		1.01	%
Greater than 0.20% and Less than or equal to 1.00%		53		10.71	%		16		3.23	%
Greater than 0.05% and Less than or equal to 0.20%		150		30.30	%		8		1.62	%
Greater than -0.05% and Less than or equal to 0.05%		148		29.90	%		291		58.79	%
Greater than -0.20% and Less than or equal to -0.05%		124		25.05	%		150		30.30	%
Greater than -1.00% and Less than or equal to -0.20%		17		3.43	%		19		3.84	%
Less than -1.00%		—		0.00	%		6		1.21	%
		495		100.00	%		495		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 0.20% and Less than or equal to 1.00%		18		3.64	%		23		4.65	%
Greater than 0.05% and Less than or equal to 0.20%		21		4.24	%		149		30.10	%
Greater than -0.05% and Less than or equal to 0.05%		352		71.11	%		205		41.41	%
Greater than -0.20% and Less than or equal to -0.05%		93		18.79	%		102		20.61	%
Greater than -1.00% and Less than or equal to -0.20%		11		2.22	%		16		3.23	%
		495		100.00	%		495		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		0.61	%		3		0.61	%
Greater than 0.20% and Less than or equal to 1.00%		5		1.01	%		18		3.64	%
Greater than 0.05% and Less than or equal to 0.20%		103		20.81	%		127		25.66	%
Greater than -0.05% and Less than or equal to 0.05%		268		54.14	%		184		37.16	%
Greater than -0.20% and Less than or equal to -0.05%		113		22.83	%		137		27.68	%
Greater than -1.00% and Less than or equal to -0.20%		1		0.20	%		26		5.25	%
Less than -1.00%		2		0.40	%		—		0.00	%
		495		100.00	%		495		100.00	%

162 Frequency Distribution of Discounts and Premiums

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Frequency Distribution of Discounts and Premiums, continued — September 30, 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		0.61	%		—		0.00	%
Greater than 0.20% and Less than or equal to 1.00%		18		3.64	%		1		0.20	%
Greater than 0.05% and Less than or equal to 0.20%		127		25.66	%		58		11.72	%
Greater than -0.05% and Less than or equal to 0.05%		184		37.16	%		279		56.37	%
Greater than -0.20% and Less than or equal to -0.05%		137		27.68	%		135		27.27	%
Greater than -1.00% and Less than or equal to -0.20%		26		5.25	%		22		4.44	%
Less than -1.00%		—		0.00	%		—		0.00	%
		495		100.00	%		495		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		34.13	%		63		18.86	%
Greater than 0.20% and Less than or equal to 1.00%		13		3.89	%		169		50.60	%
Greater than 0.05% and Less than or equal to 0.20%		7		2.10	%		38		11.38	%
Greater than -0.05% and Less than or equal to 0.05%		2		0.60	%		14		4.19	%
Greater than -0.20% and Less than or equal to -0.05%		2		0.60	%		15		4.49	%
Greater than -1.00% and Less than or equal to -0.20%		49		14.67	%		28		8.38	%
Less than -1.00%		147		44.01	%		7		2.10	%
		334		100.00	%		334		100.00	%
	Russell Developed ex-U.S. High Momentum ETF
Premium/Discount Range	Number of Days*		Percentage of Total Days
Greater than 1.00%		35		10.48	%
Greater than 0.20% and Less than or equal to 1.00%		198		59.27	%
Greater than 0.05% and Less than or equal to 0.20%		24		7.19	%
Greater than -0.05% and Less than or equal to 0.05%		21		6.29	%
Greater than -0.20% and Less than or equal to -0.05%		16		4.79	%
Greater than -1.00% and Less than or equal to -0.20%		35		10.48	%
Less than -1.00%		5		1.50	%
		334		100.00	%

* Number of days are based on inception date which is one day prior to commencement of operation.

Frequency Distribution of Discounts and Premiums 163

Russell Exchange Traded Funds Trust

Russell Factor ETFs

Basis for Approval of Investment Advisory Contracts — (Unaudited)

Approval of Management Agreement

The Board of Trustees, including all of the Independent Trustees, last considered and approved the continuation of the advisory agreement with RIMCo (the “RIMCo Agreement”) at a meeting held in person on April 26, 2012 (the “Agreement Evaluation Meeting”). During the course of a year, the Trustees receive a wide variety of materials regarding the investment performance of the Funds, sales and redemptions of the Funds’ shares, management of the Funds by RIMCo and compliance with applicable regulatory requirements. In preparation for the annual review, the Independent Trustees, with the advice and assistance of their independent counsel, also requested and the Board considered (1) information and reports prepared by RIMCo relating to the services provided by RIMCo (and its affiliates) to the Funds; and (2) information (the “Third-Party Information”) received from an independent, nationally recognized provider of investment company information comparing each Fund’s operating expenses with other peer funds not managed by RIMCo, believed by the provider to be generally comparable in investment objectives to the Funds. 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 requested by the Trustees or provided by RIMCo is collectively called the “Agreement Evaluation Information.” The Trustees received a memorandum from counsel to the Funds discussing the legal standards for their consideration of the continuations of the RIMCo Agreement.

On April 18, 2012, the Independent Trustees in preparation for the Agreement Evaluation Meeting met by conference telephone call to review the Agreement Evaluation Information received to that date in a private session with their independent counsel at which no representatives of RIMCo or the Funds’ management were present. The Independent Trustees also met in person at the Agreement Evaluation Meeting, both with management representatives and in executive session with their independent counsel, to review any additional Agreement Evaluation Information received to that date. At the Agreement Evaluation Meeting, the Board, including the Independent Trustees, reviewed the proposed continuance of the RIMCo Agreement with management, counsel to the Funds and independent counsel to the Independent Trustees. Presentations made by RIMCo to the Board at the Agreement Evaluation Meeting as part of this review encompassed the Funds and all other RIMCo-managed ETFs for which the Board has supervisory responsibility. Prior to voting at the Agreement Evaluation Meeting, the Independent Trustees met in executive session with their independent counsel to consider additional Agreement Evaluation Information received from RIMCo and management at the Agreement Evaluation Meeting. The discussion below reflects all of 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 renewal 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;

2. The management fee to be paid by the Fund to RIMCo (the “Management Fee”) and the fact that it encompasses fees paid 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, but does not encompass any 12b-1 fees that may in the future be instituted with respect to a Fund;

3. Information provided by RIMCo as to other fees and benefits received by RIMCo or its affiliates from RIMCo’s relationship with the Fund, including index-licensing fees;

4. Information provided by RIMCo as to expenses incurred by the Fund; and

5. Information provided by RIMCo as to the fact that it currently derives no profit, and does not expect to in the near term, that RIMCo derives from its exchange traded fund operations generally and from the Fund.

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. 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

164 Basis for Approval of Investment Advisory Contracts

Russell Exchange Traded Funds Trust

Russell Factor ETFs

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

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.

In evaluating the reasonableness of the Funds’ Management Fees in light of Fund performance, the Board considered that, in the Agreement Evaluation Information, RIMCo noted differences between the investment strategies of certain Funds and their respective Comparable Funds in pursuing their investment objectives, including Fund strategies which seek to track Underlying 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 such Funds’ Comparable Funds. RIMCo also noted, and the Board considered, that such Underlying Indexes typically rebalance more frequently which requires additional work on the part of RIMCo to track the index.

With respect to the Funds’ Management Fees, the Third-Party Information showed that each Fund had a Management Fee which on a contractual basis, on an actual basis (i.e., giving effect to any voluntary fee waivers implemented by RIMCo and the advisers to such Fund’s Comparable Funds) or on both a contractual and actual basis was ranked in the first, second or third quintile of its Expense Universe. In these rankings, the first quintile represents funds with the lowest investment Management Fees among funds in the Expense Universe and the fifth quintile represents funds with the highest investment advisory fees among the Expense Universe funds. The comparisons were based upon the latest fiscal years for the Expense Universe funds. RIMCo noted, and the Board considered, that each such Fund has a unitary fee structure, whereas certain other funds in the Expense Universe have additional non-management fees that increase their total expenses. In assessing the Funds’ Management Fees, the Board focused on actual rather than contractual Management Fees.

The Board considered for each Fund whether economies of scale have been realized and whether the Management Fee for such Fund appropriately reflects or should be revised to reflect any such economies. The Board considered each Fund’s limited operating history and opportunity for asset growth. The Board considered that RIMCo does not expect that economies of scale will be experienced in the near-term and that RIMCo has operated and expects to continue to initially operate the Funds at a loss.

The Board considered, as a general matter, that fees payable to RIMCo by institutional clients with investment objectives similar to those of the Funds are lower than the rates paid by the Funds. The Trustees considered the differences in the nature and scope of services RIMCo provides to institutional clients and the Funds. RIMCo explained, among other things, that institutional clients have fewer administrative needs than the Funds. In addition, RIMCo noted that the Funds are subject to heightened regulatory requirements relative to institutional clients. The Board noted that RIMCo provides office space and facilities to the Funds and all of the Funds’ officers. Accordingly, the Trustees concluded that the services provided to the Funds are sufficiently different from the services provided to the other clients that comparisons are not probative and should not be given significant weight.

With respect to the Funds’ total expenses, the Third-Party Information showed that the total expenses for each Fund was ranked in the first, second or third quintile of its Expense Universe. In these rankings, the first quintile represents the funds with the lowest total expenses among funds in the Expense Universe and the fifth quintile represents funds with the highest total expenses among the Expense Universe funds.

On the basis of the Agreement Evaluation Information and other information previously received by the Board from RIMCo during the course of the year, or presented at or in connection with the Agreement Evaluation Meeting by RIMCo, the Board, in respect of each Fund, found, 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 the Fund was comparable to those of its Comparable Funds; (3) RIMCo’s methodology of allocating expenses of operating funds in the complex was reasonable; (4) other benefits and fees received by RIMCo or its affiliates from the Funds were not excessive; and (5) RIMCo’s profitability with respect to the Fund was not excessive in light of the nature, scope and overall quality of the investment management and other services provided by RIMCo.

The Board concluded that, under the circumstances, the performance of each of the Funds was consistent with continuation of the RIMCo Agreement. The Board, in assessing the Funds’ performance, noted each Fund’s limited operating history and considered that no Fund had a full calendar year of performance.

In evaluating performance, the Board considered each Fund’s performance relative to appropriate benchmarks and indices. The Board considered that the Third-Party Information did not include performance universe comparisons, as RIMCo believes that the Funds’ Comparable Funds are mainly funds that track broad based market indexes and are therefore not comparable to the Funds, which track specialized indexes designed to provide specific outcomes or characteristics. Instead, the Board considered tracking error information with respect to a peer group created by RIMCo which RIMCo believes is more appropriate (the “Internal Performance Universe”).

Basis for Approval of Investment Advisory Contracts 165

Russell Exchange Traded Funds Trust

Russell Factor ETFs

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

The Board noted that each Fund’s tracking error was within the tracking error target established by RIMCo. The Board further considered that the tracking error of each Fund was comparable to the tracking error of the funds in its respective Internal Performance Universe.

After considering the foregoing and other relevant factors, the Board concluded that continuation of the RIMCo Agreement on its current terms and conditions would be in the best interests of each Fund and its respective shareholders and voted to approve the continuation of the RIMCo Agreement.

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.

166 Basis for Approval of Investment Advisory Contracts

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

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

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

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

To reduce expenses, we may mail only one copy of the Funds’ prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual 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 167

Russell Exchange Traded Funds Trust

Russell Factor ETFs^™

Disclosure of Information about Fund Trustees and Officers — September 30, 2012 (Unaudited)

As of September 30, 2012, 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. As of November 1, 2012, the Trust’s then-current trustees listed below resigned and were replaced by trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

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 TRUSTEE
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).		26	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).		26	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).		26	Harding Loevner Funds (Lead Director since 2008).
Daniel O. Leemon Born: October 25, 1953	Trustee	Since 2011	Retired.		26	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	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).		26	None.

168 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 — September 30, 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	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
Gregory Friedman** Born: October 1, 1969	President and Chief Executive Officer	Since 2012; until successor is chosen and qualified by Trustees	Managing Director, Chief Operating Officer and Head of Product for Russell ETF Business, FRC, 2010-present; Managing Director and Head of Global iShares Relationships, iShares Inc., 2008-2010; Managing Director and Head of iShares Product Management/Strategy, iShares Inc., 1999-2008.	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 2011: 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. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

Disclosure of Information about Fund Trustees and Officers 169

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

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson*, President and Chief Executive Officer

Gregory Friedman**, 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

1200 Crown Colony Drive

Crown Colony Office Park

Quincy, MA 02169

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

* Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

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.

170 Adviser and Service Providers

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

80-42-037

2012 SEMI-ANNUAL REPORT

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^™

SEPTEMBER 30, 2012

FUND

Russell High Dividend Yield ETF

Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Exchange Traded Funds Trust is a series investment company with 26 different investment portfolios referred to as Funds. These financial statements report on 2 of these Funds.

Russell Exchange Traded

Funds Trust

Russell High Dividend Yield ETFs^TM

Semi-annual Report

September 30, 2012 (Unaudited)

Table of Contents

	Page
Russell High Dividend Yield ETF		3
Russell Small Cap High Dividend Yield ETF		12
Notes to Schedule of Investments		22
Notes to Financial Statements		23
Frequency Distribution of Discounts and Premiums		28
Basis for Approval of Investment Advisory Contracts		29
Shareholder Requests for Additional Information		31
Disclosure of Information about Fund Trustees and Officers		32
Adviser and Service Providers		34

Russell Exchange Traded Funds Trust.

Copyright © Russell Investments 2012. All rights reserved.

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.

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.

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,067.70	$	1,023.35
Expenses Paid During Period*	$	1.71	$	1.67

* 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 183/365 (to reflect the one-half year period).

Russell High Dividend Yield ETF 3

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.4%
Consumer Discretionary - 2.5%
Cinemark Holdings, Inc.		1,480		33
Garmin, Ltd.		1,411		59
H&R Block, Inc.		3,809		66
Hasbro, Inc.		1,494		57
Leggett & Platt, Inc.		1,809		45
				260
Consumer Staples - 9.6%
ConAgra Foods, Inc.		5,386		149
HJ Heinz Co.		4,157		233
Kimberly-Clark Corp.		5,099		437
Reynolds American, Inc.		4,274		185
				1,004
Energy - 8.0%
ConocoPhillips		9,187		525
Diamond Offshore Drilling, Inc.		891		59
Spectra Energy Corp.		8,484		249
				833
Financial Services - 11.7%
Ares Capital Corp.		2,651		45
Arthur J Gallagher & Co.		1,419		51
Bank of Hawaii Corp.		539		25
BioMed Realty Trust, Inc. (ö)		588		11
Capitol Federal Financial, Inc.		1,941		23
Chimera Investment Corp. (ö)		3,731		10
Cincinnati Financial Corp.		1,736		66
Digital Realty Trust, Inc. (ö)		433		30
Equity Residential (ö)		1,183		68
Federated Investors, Inc. Class B		1,088		23
HCP, Inc. (ö)		1,649		73
Health Care REIT, Inc. (ö)		845		49
Hospitality Properties Trust (ö)		472		11
Kimco Realty Corp. (ö)		1,577		32
Liberty Property Trust (ö)		386		14
M&T Bank Corp.		1,518		144
Macerich Co. (The) (ö)		511		29
Mack-Cali Realty Corp. (ö)		315		8
Mercury General Corp.		312		12
National Retail Properties, Inc. (ö)		409		12
NYSE Euronext		3,026		75
PartnerRe, Ltd. - ADR		767		57
People’s United Financial, Inc.		4,209		51
Piedmont Office Realty Trust, Inc. Class A (ö)		632		11
Realty Income Corp. (ö)		509		21
Regency Centers Corp. (ö)		339		17
Senior Housing Properties Trust (ö)		604		13
Thomson Reuters Corp.		4,439		128
Ventas, Inc. (ö)		1,137		71
Waddell & Reed Financial, Inc. Class A		1,027		34
Weingarten Realty Investors (ö)		465		13
				1,227

	Principal Amount ($) or Shares		Market Value $
Health Care - 15.3%
Bristol-Myers Squibb Co.		14,278		482
Eli Lilly & Co.		11,966		567
Merck & Co., Inc.		12,298		555
				1,604
Materials and Processing - 2.2%
Nucor Corp.		4,114		157
Southern Copper Corp.		2,094		72
				229
Producer Durables - 3.2%
Paychex, Inc.		4,202		140
Waste Management, Inc.		6,011		193
				333
Technology - 2.2%
CA, Inc.		4,598		118
Diebold, Inc.		795		27
Microchip Technology, Inc.		2,498		82
				227
Utilities - 44.7%
AGL Resources, Inc.		1,521		62
Alliant Energy Corp.		1,427		62
Ameren Corp.		3,140		103
American Electric Power Co., Inc.		6,290		276
AT&T, Inc.		14,398		544
CenturyLink, Inc.		8,074		326
Consolidated Edison, Inc.		3,806		228
DTE Energy Co.		2,200		132
Exelon Corp.		11,083		394
FirstEnergy Corp.		5,435		240
Hawaiian Electric Industries, Inc.		1,227		32
Integrys Energy Group, Inc.		1,004		52
NextEra Energy, Inc.		5,422		381
Pinnacle West Capital Corp.		1,412		75
PPL Corp.		7,535		219
Public Service Enterprise Group, Inc.		6,571		211
Southern Co.		11,087		512
TECO Energy, Inc.		2,765		49
UGI Corp.		1,452		46
Vectren Corp.		1,055		30
Verizon Communications, Inc.		11,552		527
Xcel Energy, Inc.		6,317		175
				4,676
Total Common Stocks (cost $10,347)				10,393

4 Russell High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Short-Term Investments - 0.3%
Russell U.S. Cash Management Fund		26,262	(¥)		26
Total Short-Term Investments (cost $26)					26
Total Investments - 99.7% (identified cost $10,373)					10,419
Other Assets and Liabilities, Net - 0.3%					32
Net Assets - 100.0%					10,451

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

Russell High Dividend Yield ETF 5

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	260	$	—	$	—	$	260		2.5
Consumer Staples		1,004		—		—		1,004		9.6
Energy		833		—		—		833		8.0
Financial Services		1,227		—		—		1,227		11.7
Health Care		1,604		—		—		1,604		15.3
Materials and Processing		229		—		—		229		2.2
Producer Durables		333		—		—		333		3.2
Technology		227		—		—		227		2.2
Utilities		4,676		—		—		4,676		44.7
Short-Term Investments		—		26		—		26		0.3
Total Investments	$	10,393	$	26	$	—	$	10,419		99.7
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 ended September 30, 2012.

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

6 Russell High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	10,373
Investments, at market*		10,419
Receivables:
Dividends and interest		41
Total assets		10,460
Liabilities
Payables:
Accrued fees to affiliates		9
Total liabilities		9
Net Assets	$	10,451
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	21
Accumulated net realized gain (loss)		609
Unrealized appreciation (depreciation) on investments		46
Additional paid-in capital		9,775
Net Assets	$	10,451
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	26.13
Net assets	$	10,450,609
Shares outstanding ($.001 par value)		400,004
Amounts in thousands
*           Investments in Affiliates, Russell U.S. Cash Management Fund	$	26

(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.

Russell High Dividend Yield ETF 7

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	273
Total investment income		273
Expenses
Management fees		20
Total expenses		20
Net investment income (loss)		253
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(33	)
In-kind redemptions		642
Net realized gain (loss)		609
Net change in unrealized appreciation (depreciation) on investments		33
Net realized and unrealized gain (loss)		642
Net Increase (Decrease) in Net Assets from Operations	$	895

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

8 Russell High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	253		$	2
Net realized gain (loss)		609			—
Net change in unrealized appreciation (depreciation)		33			13
Net increase (decrease) in net assets from operations		895			15
Distributions
From net investment income		(234	)		—
Net decrease in net assets from distributions		(234	)		—
Share Transactions
Net increase (decrease) in net assets from share transactions		4,812			4,963
Total Net Increase (Decrease) in Net Assets		5,473			4,978
Net Assets
Beginning of period		4,978			—
End of period	$	10,451		$	4,978
Undistributed (overdistributed) net investment income included in net assets	$	21		$	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.

Russell High Dividend Yield ETF 9

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETF

Financial Highlights — For the Periods 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
September 30, 2012*		24.89		.53			1.29		1.82		(.58	)		(.58	)
March 31, 2012**		24.85		.01	(e)		.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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

10 Russell High Dividend Yield ETF

$ 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)
	26.13		6.77		10,451		.33		.33			4.12			26
	24.89		.16		4,978		.59		.33	(e)		1.04	(e)		—

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

Russell High Dividend Yield ETF 11

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,027.80	$	1,023.09
Expenses Paid During Period*	$	1.93	$	1.93

* 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 183/365 (to reflect the one-half year period).

12 Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.5%
Consumer Discretionary - 4.5%
Bob Evans Farms, Inc.		648		25
Cato Corp. (The) Class A		609		18
Cherokee, Inc.		184		3
Courier Corp.		229		3
CSS Industries, Inc.		215		4
Frisch’s Restaurants, Inc.		69		1
Harte-Hanks, Inc.		989		7
Hooker Furniture Corp.		238		3
Marcus Corp.		435		5
Meredith Corp.		806		28
Nutrisystem, Inc.		631		7
Speedway Motorsports, Inc.		258		4
World Wrestling Entertainment, Inc. Class A		600		5
				113
Consumer Staples - 3.3%
Cal-Maine Foods, Inc.		321		14
Snyders-Lance, Inc.		981		25
Universal Corp.		517		26
WD-40 Co.		355		19
				84
Financial Services - 56.9%
American National Bankshares, Inc.		173		4
Arrow Financial Corp.		230		6
Baldwin & Lyons, Inc. Class B		202		5
Bancfirst Corp.		142		6
Bank of Kentucky Financial Corp.		129		4
Berkshire Hills Bancorp, Inc.		493		11
BlackRock Kelso Capital Corp.		1,632		16
Bridge Bancorp, Inc.		190		4
Brookline Bancorp, Inc.		1,558		14
Bryn Mawr Bank Corp.		253		6
Chemical Financial Corp.		612		15
Citizens & Northern Corp.		271		5
City Holding Co.		327		12
CNB Financial Corp.		275		5
Cohen & Steers, Inc.		411		12
Community Bank System, Inc.		877		25
Community Trust Bancorp, Inc.		310		11
CVB Financial Corp.		1,960		23
Donegal Group, Inc. Class A		172		2
Entertainment Properties Trust (ö)		1,043		46
Epoch Holding Corp.		354		8
Equity One, Inc. (ö)		1,220		26
Financial Institutions, Inc.		306		6
First Bancorp		334		4
First Community Bancshares, Inc.		350		5
First Financial Bancorp		1,300		22
First Financial Bankshares, Inc.		700		25
First Financial Corp.		248		8
First of Long Island Corp. (The)		171		5
FirstMerit Corp.		2,442		36
Flushing Financial Corp.		687		11

	Principal Amount ($) or Shares		Market Value $
FNB Corp.		3,107		35
Franklin Street Properties Corp. (ö)		1,610		18
GAMCO Investors, Inc. Class A		143		7
German American Bancorp, Inc.		280		7
Glacier Bancorp, Inc.		1,600		25
Gladstone Investment Corp.		488		4
Great Southern Bancorp, Inc.		226		7
Hancock Holding Co.		1,700		53
Healthcare Realty Trust, Inc. (ö)		1,736		40
Hercules Technology Growth Capital, Inc.		1,106		12
Horace Mann Educators Corp.		883		16
Hudson Valley Holding Corp.		344		6
Iberiabank Corp.		657		30
Independent Bank Corp.		481		14
KCAP Financial, Inc.		480		4
Lakeland Bancorp, Inc.		598		6
LTC Properties, Inc. (ö)		676		22
Maiden Holdings, Ltd.		1,114		10
Main Street Capital Corp. Class A		532		16
Medical Properties Trust, Inc. (ö)		3,017		32
Monmouth Real Estate Investment Corp. Class A (ö)		894		10
MVC Capital, Inc.		531		7
National Bankshares, Inc.		154		5
National Health Investors, Inc. (ö)		545		28
NBT Bancorp, Inc.		740		16
Northrim BanCorp, Inc.		143		3
Northwest Bancshares, Inc.		2,171		27
OceanFirst Financial Corp.		318		5
Omega Healthcare Investors, Inc. (ö)		2,358		54
OneBeacon Insurance Group, Ltd. Class A		504		7
Park National Corp.		252		18
PennantPark Investment Corp.		1,254		13
Prospect Capital Corp.		2,715		31
Provident Financial Services, Inc.		1,337		21
Provident New York Bancorp		752		7
PS Business Parks, Inc. (ö)		410		27
Ramco-Gershenson Properties Trust (ö)		1,022		13
Renasant Corp.		558		11
RLI Corp.		472		31
Rockville Financial, Inc.		634		8
S&T Bancorp, Inc.		643		11
Safety Insurance Group, Inc.		282		13
Selective Insurance Group, Inc.		1,218		23
Simmons First National Corp. Class A		380		9
Sovran Self Storage, Inc. (ö)		646		37
Sterling Bancorp		686		7
SY Bancorp, Inc.		270		6
TICC Capital Corp.		838		9
Tompkins Financial Corp.		206		8
Tower Group, Inc.		774		15
Triangle Capital Corp.		607		16
Trico Bancshares		354		6
TrustCo Bank Corp.		2,083		12
Trustmark Corp.		1,442		35
UMH Properties, Inc. (ö)		291		3
United Bankshares, Inc.		1,118		28
United Fire Group, Inc.		447		11

Russell Small Cap High Dividend Yield ETF 13

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Univest Corp. of Pennsylvania		372		7
Urstadt Biddle Properties, Inc. Class A (ö)		509		10
Washington Real Estate Investment Trust (ö)		1,477		40
WesBanco, Inc.		520		11
Westamerica Bancorporation		620		29
Westfield Financial, Inc.		588		4
				1,444
Health Care - 3.7%
Computer Programs & Systems, Inc.		246		14
Landauer, Inc.		210		13
Meridian Bioscience, Inc.		919		18
Owens & Minor, Inc.		1,415		41
Utah Medical Products, Inc.		72		2
Young Innovations, Inc.		121		5
				93
Materials and Processing - 6.0%
Aceto Corp.		594		6
Kaydon Corp.		711		16
Olin Corp.		1,784		39
PH Glatfelter Co.		952		17
Watsco, Inc.		655		49
Worthington Industries, Inc.		1,162		25
				152
Producer Durables - 5.9%
ABM Industries, Inc.		1,194		23
CDI Corp.		303		5
Ennis, Inc.		581		10
Healthcare Services Group, Inc.		1,495		33
HNI Corp.		1,013		26
MicroFinancial, Inc.		185		2
Mine Safety Appliances Co.		613		23
MTS Systems Corp.		358		19
US Ecology, Inc.		407		9
				150
Utilities - 19.2%
ALLETE, Inc.		849		35
Artesian Resources Corp. Class A		165		4
Avista Corp.		1,306		34
CH Energy Group, Inc.		331		22
Chesapeake Utilities Corp.		213		10
Cleco Corp.		1,358		58
Connecticut Water Service, Inc.		192		6
Delta Natural Gas Co., Inc.		150		3
Laclede Group, Inc. (The)		500		22
MGE Energy, Inc.		514		27
New Jersey Resources Corp.		925		42
Northwest Natural Gas Co.		596		29
NorthWestern Corp.		810		29
Otter Tail Corp.		803		19

	Principal Amount ($) or Shares			Market Value $
Piedmont Natural Gas Co., Inc.		1,597			52
Portland General Electric Co.		1,682			45
WGL Holdings, Inc.		1,148			46
York Water Co.		284			5
					488
Total Common Stocks (cost $2,498)					2,524
Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		4,382	(¥)		4
Total Short-Term Investments (cost $4)					4
Total Investments - 99.7% (identified cost $2,502)					2,528
Other Assets and Liabilities, Net - 0.3%					7
Net Assets - 100.0%					2,535

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

14 Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	113	$	—	$	—	$	113		4.5
Consumer Staples		84		—		—		84		3.3
Financial Services		1,444		—		—		1,444		56.9
Health Care		93		—		—		93		3.7
Materials and Processing		152		—		—		152		6.0
Producer Durables		150		—		—		150		5.9
Utilities		488		—		—		488		19.2
Short-Term Investments		—		4		—		4		0.2
Total Investments	$	2,524	$	4	$	—	$	2,528		99.7
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 ended September 30, 2012.

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

Russell Small Cap High Dividend Yield ETF 15

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	2,502
Investments, at market*		2,528
Receivables:
Dividends and interest		8
Total assets		2,536
Liabilities
Payables:
Accrued fees to affiliates		1
Total liabilities		1
Net Assets	$	2,535
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	16
Accumulated net realized gain (loss)		15
Unrealized appreciation (depreciation) on investments		26
Additional paid-in capital		2,478
Net Assets	$	2,535
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	25.35
Net assets	$	2,534,967
Shares outstanding ($.001 par value)		100,004
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.

16 Russell Small Cap High Dividend Yield ETF

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	51
Total investment income		51
Expenses
Management fees		5
Total expenses		5
Net investment income (loss)		46
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		15
Net change in unrealized appreciation (depreciation) on investments		8
Net realized and unrealized gain (loss)		23
Net Increase (Decrease) in Net Assets from Operations	$	69

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

Russell Small Cap High Dividend Yield ETF 17

Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	46		$	10
Net realized gain (loss)		15			—
Net change in unrealized appreciation (depreciation)		8			18
Net increase (decrease) in net assets from operations		69			28
Distributions
From net investment income		(40	)		—
Net decrease in net assets from distributions		(40	)		—
Share Transactions
Net increase (decrease) in net assets from share transactions		—			2,478
Total Net Increase (Decrease) in Net Assets		29			2,506
Net Assets
Beginning of period		2,506			—
End of period	$	2,535		$	2,506
Undistributed (overdistributed) net investment income included in net assets	$	16		$	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.

18 Russell Small Cap High Dividend Yield ETF

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Russell Exchange Traded Funds Trust

Russell Small Cap High Dividend Yield ETF

Financial Highlights — For the Periods 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
September 30, 2012*		25.06		.45			.24		.69		(.40	)		(.40	)
March 31, 2012**		24.78		.11	(e)		.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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

20 Russell Small Cap High Dividend Yield ETF

$ 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)
	25.35		2.78		2,535		.38		.38			3.66			36
	25.06		1.14		2,506		.63		.38	(e)		8.89	(e)		—

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

Russell Small Cap High Dividend Yield ETF 21

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

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

Footnotes:

(ö) Real Estate Investment Trust (REIT).

(¥) Unrounded units.

Abbreviations:

ADR - American Depositary Receipt

22 Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

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

1. Organization

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

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

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

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

2. Significant Accounting Policies

The 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 Fund Services Company (“RFSC”).

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

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

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

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

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

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

Notes to Financial Statements 23

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

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

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

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:

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 was effective for annual periods beginning after December 15, 2011.

Investment Transactions

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

Investment Income

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

24 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

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

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.

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 Fund files a U.S. tax return. At September 30, 2012, 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. 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 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

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 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

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.

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.

Notes to Financial Statements 25

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

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

3. Investment Transactions

Securities

During the period ended September 30, 2012, purchases and sales of the Funds (excluding investments held for short-term purposes and in-kind transactions) were as follows:

	Purchases		Sales
Russell High Dividend Yield ETF	$	2.999,941	$	3,016,738
Russell Small Cap High Dividend Yield ETF		902,993		898,605

For the period ended September 30, 2012, the Funds’ purchases and sales resulting from in-kind redemptions were as follows:

	Purchases		Sales
Russell High Dividend Yield ETF	$	15,289,819	$	10,487,277

4. 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 in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of September 30, 2012, the Funds have invested $30,644 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 Agreement 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 September 30, 2012:

	Management Fees
Russell High Dividend Yield ETF	$	20,243
Russell Small Cap High Dividend Yield ETF		4,714

Accrued Fees Payable to Affiliate

Accrued fees payable to affiliate for the period ended September 30, 2012 were as follows:

	Russell High Dividend Yield ETF		Russell Small Cap High Dividend Yield ETF
Management fees	$	8,538	$	1,281

Board of Trustees

The Russell Fund Complex consists of Russell Investment Company (“RIC”), which has 41 Funds, Russell Investment Funds (“RIF”), which has 10 Funds and RET, which had 26 funds as of September 30, 2012, and 1 Fund as of November 1, 2012. As of November 1, 2012, the Funds’ then-current trustees resigned and were replaced by trustee nominees elected by shareholders of the Fund who also serve as trustees of RIC and RIF. Therefore, as of November 1, 2012, each of the Fund’s Trustees is a Trustee of RIC, RIF and RET. As of the period ended September 30, 2012, and for all funds of RET, each independent trustee was 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 received 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 were also compensated for out of pocket expenses. The Audit Committee Chair and Nominating and Governance Chair were each paid a fee of $12,000 and $6,000, respectively, per year. The Chairman of the Board received additional annual compensation of $20,000.

26 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

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

5. 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.

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

	Russell High Dividend Yield ETF			Russell Small Cap High Dividend Yield ETF
Cost of Investments	$	10,373,414		$	2,502,307
Unrealized Appreciation	$	248,491		$	90,678
Unrealized Depreciation		(203,321	)		(64,855	)
Net Unrealized Appreciation (Depreciation)	$	45,170		$	25,823

6. Fund Share Transactions (amounts in thousands)

As of September 30, 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 periods ended September 30, 2012 and March 31, 2012 were as follows:

	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares		Dollars
Russell High Dividend Yield ETF
Shares created		600		$	15,321			200	$	4,963
Shares redeemed		(400	)		(10,509	)		—		—
Total increase (decrease)		200		$	4,812			200	$	4,963
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.

7. 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 September 30, 2012, there were no restricted securities held by a fund that were illiquid.

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

8. Subsequent Events

Management has evaluated events and/or transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustments of the financial statements or additional disclosure except for the following:

On August 16, 2012, the Board approved an orderly liquidation of the Funds. The Board determined that closing and liquidating each Fund was in the best interests of each Fund and its shareholders. As of November 1, 2012, the Trusts’ then-current trustees resigned and were replaced by the trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

Notes to Financial Statements 27

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

Frequency Distribution of Discounts and Premiums — September 30, 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 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 or equal to 1.00%		3		1.49	%		7		3.48	%
Greater than 0.05% and less than or equal to 0.20%		34		16.92	%		55		27.36	%
Greater than -0.05% and less than or equal to 0.05%		118		58.70	%		116		57.72	%
Greater than -0.20% and less than or equal to -0.05%		45		22.39	%		23		11.44	%
Greater than -1.00% and less than or equal to -0.20%		1		0.50	%		0		0.00	%
		201		100.00	%		201		100.00	%

* Number of days are based on inception date which is one day prior to commencement of operations.

28 Frequency Distribution of Discounts and Premiums

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs

Basis for Approval of Investment Advisory Contracts—(Unaudited)

Approval of Management Agreement

The Board of Trustees, including all of the Independent Trustees, last considered and approved the continuation of the advisory agreement with RIMCo (the “RIMCo Agreement”) at a meeting held in person on April 26, 2012 (the “Agreement Evaluation Meeting”). During the time period following the initial approval of the advisory agreement with respect to the Funds, the Trustees received a wide variety of materials regarding sales and redemptions of the Funds’ shares, management of the Funds by RIMCo and compliance with applicable regulatory requirements. In preparation for the annual review, the Independent Trustees, with the advice and assistance of their independent counsel, also requested and the Board considered (1) information and reports prepared by RIMCo relating to the services provided by RIMCo (and its affiliates) to the Funds; and (2) information (the “Third-Party Information”) received from an independent, nationally recognized provider of investment company information comparing each Fund’s operating expenses with other peer funds not managed by RIMCo, believed by the provider to be generally comparable in investment objectives to the Funds. 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 requested by the Trustees or provided by RIMCo is collectively called the “Agreement Evaluation Information.” The Trustees received a memorandum from counsel to the Funds discussing the legal standards for their consideration of the continuations of the RIMCo Agreement.

On April 18, 2012, the Independent Trustees in preparation for the Agreement Evaluation Meeting met by conference telephone call to review the Agreement Evaluation Information received to that date in a private session with their independent counsel at which no representatives of RIMCo or the Funds’ management were present. The Independent Trustees also met in person at the Agreement Evaluation Meeting, both with management representatives and in executive session with their independent counsel, to review any additional Agreement Evaluation Information received to that date. At the Agreement Evaluation Meeting, the Board, including the Independent Trustees, reviewed the proposed continuance of the RIMCo Agreement with management, counsel to the Funds and independent counsel to the Independent Trustees. Presentations made by RIMCo to the Board at the Agreement Evaluation Meeting as part of this review encompassed the Funds and all other RIMCo-managed ETFs for which the Board has supervisory responsibility. Prior to voting at the Agreement Evaluation Meeting, the Independent Trustees met in executive session with their independent counsel to consider additional Agreement Evaluation Information received from RIMCo and management at the Agreement Evaluation Meeting. The discussion below reflects all of 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 renewal 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;

2. The management fee to be paid by the Fund to RIMCo (the “Management Fee”) and the fact that it encompasses fees paid 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, but does not encompass any 12b-1 fees that may in the future be instituted with respect to a Fund;

3. Information provided by RIMCo as to other fees and benefits received by RIMCo or its affiliates from RIMCo’s relationship with the Fund, including index-licensing fees;

4. Information provided by RIMCo as to expenses incurred by the Fund; and

5. Information provided by RIMCo as to the fact that it currently derives no profit, and does not expect to in the near term, that RIMCo derives from its exchange traded fund operations generally and from the Fund.

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. 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

Basis for Approval of Investment Advisory Contracts 29

Russell Exchange Traded Funds

Trust Russell High Dividend Yield ETFs

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

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 the Funds’ Management Fees, the Third-Party Information showed that the Russell High Dividend Yield ETF had a Management Fee which on an actual basis (i.e., giving effect to any voluntary fee waivers implemented by RIMCo and the advisers to such Fund’s Comparable Funds) was ranked in the first quintile of its Expense Universe. The Third-Party Information also showed that the Russell Small Cap High Dividend Yield ETF had a Management Fee which was ranked in the second quintile of its Expense Universe. In these rankings, the first quintile represents funds with the lowest investment Management Fees among funds in the Expense Universe and the fifth quintile represents funds with the highest investment advisory fees among the Expense Universe funds. The comparisons were based upon the latest fiscal years for the Expense Universe funds. RIMCo noted, and the Board considered, that each such Fund has a unitary fee structure, whereas certain other funds in the Expense Universe have additional non-management fees that increase their total expenses. In assessing the Funds’ Management Fees, the Board focused on actual rather than contractual Management Fees.

The Board considered for each Fund whether economies of scale have been realized and whether the Management Fee for such Fund appropriately reflects or should be revised to reflect any such economies. The Board considered each Fund’s limited operating history and opportunity for asset growth. The Board considered that RIMCo does not expect that economies of scale will be experienced in the near-term and that RIMCo has operated and expects to continue to initially operate the Funds at a loss.

The Board considered, as a general matter, that fees payable to RIMCo by institutional clients with investment objectives similar to those of the Funds are lower than the rates paid by the Funds. The Trustees considered the differences in the nature and scope of services RIMCo provides to institutional clients and the Funds. RIMCo explained, among other things, that institutional clients have fewer administrative needs than the Funds. In addition, RIMCo noted that the Funds are subject to heightened regulatory requirements relative to institutional clients. The Board noted that RIMCo provides office space and facilities to the Funds and all of the Funds’ officers. Accordingly, the Trustees concluded that the services provided to the Funds are sufficiently different from the services provided to the other clients that comparisons are not probative and should not be given significant weight.

With respect to the Funds’ total expenses, the Third-Party Information showed that the total expenses for the Russell High Dividend Yield ETF were ranked in the first quintile of its Expense Universe based upon the latest fiscal years for the Expense Universe funds. The Third-Party Information also showed that the total expenses for the Russell Small Cap High Dividend Yield ETF were ranked in the second quintile of its Expense Universe. In these rankings, the first quintile represents the funds with the lowest total expenses among funds in the Expense Universe and the fifth quintile represents funds with the highest total expenses among the Expense Universe funds.

On the basis of the Agreement Evaluation Information and other information previously received by the Board from RIMCo during the course of the year, or presented at or in connection with the Agreement Evaluation Meeting by RIMCo, the Board, in respect of each Fund, found, 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 the Fund was comparable to those of its Comparable Funds; (3) RIMCo’s methodology of allocating expenses of funds in the complex was reasonable; (4) other benefits and fees received by RIMCo or its affiliates from the Funds were not excessive; and (5) RIMCo’s profitability with respect to the Fund was not excessive in light of the nature, scope and overall quality of the investment management and other services provided by RIMCo.

The Board noted that each Fund had commenced operations in March 2012 and, therefore, no performance data was available for the Funds.

After considering the foregoing and other relevant factors, the Board concluded that continuation of the RIMCo Agreement on its current terms and conditions would be in the best interests of each Fund and its respective shareholders and voted to approve the continuation of the RIMCo Agreement.

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.

30 Basis for Approval of Investment Advisory Contracts

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

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

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

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

To reduce expenses, we may mail only one copy of the Funds’ prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual 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 31

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

Disclosure of Information about Fund Trustees and Officers — September 30, 2012 (Unaudited)

As of September 30, 2012, 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. As of November 1, 2012, the Trust’s then-current trustees listed below resigned and were replaced by trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

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 TRUSTEE
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).		26	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).		26	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).		26	Harding Loevner Funds (Lead Director since 2008).
Daniel O. Leemon Born: October 25, 1953	Trustee	Since 2011	Retired.		26	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	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).		26	None.

32 Disclosure of Information about Fund Trustees and Officers

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

Disclosure of Information about Fund Trustees and Officers, continued — September 30, 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	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
Gregory Friedman** Born: October 1, 1969	President and Chief Executive Officer	Since 2012; until successor is chosen and qualified by Trustees	Managing Director, Chief Operating Officer and Head of Product for Russell ETF Business, FRC, 2010-present; Managing Director and Head of Global iShares Relationships, iShares Inc., 2008–2010; Managing Director and Head of iShares Product Management/Strategy, iShares Inc., 1999–2008.	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 2011: 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. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

Disclosure of Information about Fund Trustees and Officers 33

Russell Exchange Traded Funds Trust

Russell High Dividend Yield ETFs^TM

1301 Second Avenue, Seattle, Washington 98101

(888) 775-3837

Interested Trustee

James Polisson*

Independent Trustees

Evelyn S. Dilsaver

Jane A. Freeman

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson*, President and Chief Executive Officer

Gregory Friedman**, President and Chief Executive 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

1200 Crown Colony Drive

Crown Colony Office Park

Quincy, MA 02169

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

* Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

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.

34 Adviser and Service Providers

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

XX-XX-XXX

2012 SEMI-ANNUAL REPORT

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

SEPTEMBER 30, 2012

FUND

Russell Aggressive Growth ETF

Russell Consistent Growth ETF

Russell Growth at a Reasonable Price ETF

Russell Contrarian ETF

Russell Equity Income ETF

Russell Low P/E ETF

Russell Small Cap Aggressive Growth ETF

Russell Small Cap Consistent Growth ETF

Russell Small Cap Low P/E ETF

Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

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

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Semi-annual Report

September 30, 2012 (Unaudited)

Table of Contents

	Page
Russell Aggressive Growth ETF		3
Russell Consistent Growth ETF		14
Russell Growth at a Reasonable Price ETF		24
Russell Contrarian ETF		34
Russell Equity Income ETF		44
Russell Low P/E ETF		54
Russell Small Cap Aggressive Growth ETF		66
Russell Small Cap Consistent Growth ETF		76
Russell Small Cap Low P/E ETF		86
Russell Small Cap Contrarian ETF		98
Notes to Schedules of Investments		108
Notes to Financial Statements		109
Frequency Distribution of Discounts and Premiums		117
Basis for Approval of Investment Advisory Contracts		119
Shareholder Requests for Additional Information		122
Disclosure of Information about Fund Trustees and Officers		123
Adviser and Service Providers		125

Russell Exchange Traded Funds Trust.

Copyright © Russell Investments 2012. All rights reserved.

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.

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

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.

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,016.20	$	1,023.14
Expenses Paid During Period*	$	1.87	$	1.88

* 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 183/365 (to reflect the one-half year period).

Russell Aggressive Growth ETF 3

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 21.2%
Advance Auto Parts, Inc.		112		8
Amazon.com, Inc. (Æ)		257		65
American Eagle Outfitters, Inc.		350		7
Bed Bath & Beyond, Inc. (Æ)		224		14
BorgWarner, Inc. (Æ)		141		10
CarMax, Inc. (Æ)		317		9
Chipotle Mexican Grill, Inc. Class A (Æ)		32		10
Coach, Inc.		267		15
Comcast Corp. Class A		1,897		68
Costco Wholesale Corp.		329		33
Delphi Automotive PLC (Æ)		385		12
Discovery Communications, Inc. Class A (Æ)		249		15
Dollar General Corp. (Æ)		201		10
Dollar Tree, Inc. (Æ)		234		11
eBay, Inc. (Æ)		867		42
Estee Lauder Cos., Inc. (The) Class A		236		15
Family Dollar Stores, Inc.		130		9
Foot Locker, Inc.		250		9
Fossil, Inc. (Æ)		93		8
Gap, Inc. (The)		361		13
Gentex Corp.		304		5
Harley-Davidson, Inc.		253		11
Hertz Global Holdings, Inc. (Æ)		504		7
Home Depot, Inc.		1,087		66
Interpublic Group of Cos., Inc. (The)		708		8
Jarden Corp. (Æ)		159		8
Johnson Controls, Inc.		610		17
Kohl’s Corp.		263		13
Las Vegas Sands Corp.		359		17
LKQ Corp. (Æ)		460		9
Lowe’s Cos., Inc.		947		29
McDonald’s Corp.		715		66
Michael Kors Holdings, Ltd. (Æ)		160		9
Netflix, Inc. (Æ)		100		5
Nike, Inc. Class B		287		27
Nordstrom, Inc.		196		11
Omnicom Group, Inc.		269		14
O’Reilly Automotive, Inc. (Æ)		137		11
Panera Bread Co. Class A (Æ)		51		9
PetSmart, Inc.		136		9
Polaris Industries, Inc.		106		9
priceline.com, Inc. (Æ)		39		24
PVH Corp.		102		10
Ralph Lauren Corp. Class A		72		11
Ross Stores, Inc.		219		14
Signet Jewelers, Ltd.		154		8
Starbucks Corp.		577		29
Target Corp.		507		32
Tiffany & Co.		165		10
Time Warner Cable, Inc.		258		25
TJX Cos., Inc.		586		26
Tractor Supply Co.		103		10
TripAdvisor, Inc. (Æ)		153		5
Tupperware Brands Corp.		118		6

	Principal Amount ($) or Shares		Market Value $
Ulta Salon Cosmetics & Fragrance, Inc.		88		8
Under Armour, Inc. Class A (Æ)		146		8
VF Corp.		92		15
Viacom, Inc. Class B		438		23
Virgin Media, Inc.		370		11
WABCO Holdings, Inc. (Æ)		130		7
Walt Disney Co. (The)		1,262		66
Williams-Sonoma, Inc.		191		8
Wyndham Worldwide Corp.		180		9
Yum! Brands, Inc.		369		24
				1,132
Consumer Staples - 3.6%
Coca-Cola Co. (The)		2,652		101
CVS Caremark Corp.		935		45
Energizer Holdings, Inc.		100		7
Herbalife, Ltd.		167		8
Ingredion, Inc.		144		8
Kroger Co. (The)		554		13
Monster Beverage Corp. (Æ)		157		9
				191
Energy - 13.0%
Anadarko Petroleum Corp.		392		27
Cabot Oil & Gas Corp.		250		11
Cameron International Corp. (Æ)		263		15
Concho Resources, Inc. (Æ)		122		12
CONSOL Energy, Inc.		303		9
Dresser-Rand Group, Inc. (Æ)		148		8
EOG Resources, Inc.		228		26
EQT Corp.		169		10
Exxon Mobil Corp.		3,108		284
FMC Technologies, Inc. (Æ)		267		12
Halliburton Co.		767		26
Hubbell, Inc. Class B (Æ)		98		8
Marathon Petroleum Corp.		321		18
Noble Energy, Inc.		169		16
Occidental Petroleum Corp.		584		50
Oceaneering International, Inc.		168		9
Oil States International, Inc. (Æ)		101		8
Pioneer Natural Resources Co.		130		14
QEP Resources, Inc.		268		8
Range Resources Corp.		178		12
SandRidge Energy, Inc. (Æ)		973		7
Schlumberger, Ltd.		942		68
SM Energy Co.		131		7
Southwestern Energy Co. (Æ)		367		13
Sunoco, Inc.		160		7
Whiting Petroleum Corp. (Æ)		183		9
				694
Financial Services - 6.1%
Affiliated Managers Group, Inc. (Æ)		76		9
Alliance Data Systems Corp. (Æ)		66		9
American Tower Corp. Class A (ö)		321		23
Aon PLC		308		16

4 Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Boston Properties, Inc. (ö)		142		16
CBRE Group, Inc. Class A (Æ)		481		9
Extra Space Storage, Inc. (ö)		211		7
FactSet Research Systems, Inc.		77		7
First Republic Bank		197		7
Fiserv, Inc. (Æ)		151		11
Franklin Resources, Inc.		130		16
Global Payments, Inc.		154		6
IntercontinentalExchange, Inc. (Æ)		83		11
Jack Henry & Associates, Inc.		184		7
Jones Lang LaSalle, Inc.		91		7
Marsh & McLennan Cos., Inc.		494		17
Mastercard, Inc. Class A		81		37
Moody’s Corp.		247		11
MSCI, Inc. Class A (Æ)		216		8
Raymond James Financial, Inc.		210		8
T Rowe Price Group, Inc.		237		15
TD Ameritrade Holding Corp.		408		6
Visa, Inc. Class A		379		51
Western Union Co. (The)		664		12
				326
Health Care - 11.0%
Alexion Pharmaceuticals, Inc. (Æ)		169		19
Allergan, Inc.		246		23
AMERIGROUP Corp. Class A (Æ)		98		9
Amgen, Inc.		571		49
Biogen Idec, Inc. (Æ)		187		28
Catamaran Corp. (Æ)		142		14
Celgene Corp. (Æ)		362		28
Cerner Corp. (Æ)		148		11
Cooper Cos., Inc. (The)		89		8
CR Bard, Inc.		96		10
DaVita, Inc. (Æ)		107		11
Dentsply International, Inc.		208		8
Edwards Lifesciences Corp. (Æ)		118		13
Endo Health Solutions, Inc. (Æ)		217		7
Express Scripts Holding Co. (Æ)		604		38
Forest Laboratories, Inc. (Æ)		298		11
Gilead Sciences, Inc. (Æ)		579		38
Henry Schein, Inc. (Æ)		115		9
Humana, Inc.		166		12
IDEXX Laboratories, Inc. (Æ)		82		8
Illumina, Inc. (Æ)		189		9
Intuitive Surgical, Inc. (Æ)		34		17
Laboratory Corp. of America Holdings (Æ)		111		10
McKesson Corp.		200		17
MEDNAX, Inc. (Æ)		96		7
Onyx Pharmaceuticals, Inc. (Æ)		108		9
Patterson Cos., Inc.		188		6
Perrigo Co.		101		12
Quest Diagnostics, Inc.		181		11
ResMed, Inc.		243		10
Salix Pharmaceuticals, Ltd. (Æ)		118		5
St. Jude Medical, Inc.		326		14
Stryker Corp.		283		16
UnitedHealth Group, Inc.		751		42

	Principal Amount ($) or Shares		Market Value $
Universal Health Services, Inc. Class B		159		7
Varian Medical Systems, Inc. (Æ)		145		9
Vertex Pharmaceuticals, Inc. (Æ)		217		12
Watson Pharmaceuticals, Inc. Class B (Æ)		143		12
Zimmer Holdings, Inc.		184		12
				591
Materials and Processing - 5.0%
Airgas, Inc.		98		8
Albemarle Corp.		133		7
Aptargroup, Inc.		132		7
Ball Corp.		211		9
Celanese Corp. Class A		228		9
CF Industries Holdings, Inc.		66		15
Ecolab, Inc.		234		15
Fastenal Co.		301		13
FMC Corp.		173		10
LyondellBasell Industries NV Class A		318		16
Monsanto Co.		401		37
Mosaic Co. (The)		275		16
PPG Industries, Inc.		141		16
Praxair, Inc.		235		24
Precision Castparts Corp.		124		20
Rockwood Holdings, Inc.		143		7
Royal Gold, Inc.		95		9
Sherwin-Williams Co. (The)		90		13
Timken Co.		159		6
Valspar Corp.		146		8
				265
Producer Durables - 13.9%
3M Co.		505		47
Accenture PLC Class A		493		35
Agilent Technologies, Inc.		345		13
Ametek, Inc.		288		10
B/E Aerospace, Inc. (Æ)		163		7
Caterpillar, Inc.		477		41
CH Robinson Worldwide, Inc.		182		11
Chicago Bridge & Iron Co. NV		186		7
Cintas Corp.		192		8
Cooper Industries PLC		169		13
CSX Corp.		875		18
Cummins, Inc.		173		16
Danaher Corp.		469		26
Deere & Co.		314		26
Donaldson Co., Inc.		230		8
Dover Corp.		207		12
FedEx Corp.		254		21
Flir Systems, Inc.		325		6
Flowserve Corp.		77		10
Fluor Corp.		205		12
Honeywell International, Inc.		587		35
IDEX Corp.		174		7
IHS, Inc. Class A (Æ)		74		7
Illinois Tool Works, Inc.		360		21
JB Hunt Transport Services, Inc.		134		7
Joy Global, Inc.		146		8

Russell Aggressive Growth ETF 5

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Lincoln Electric Holdings, Inc.		157		6
Mettler-Toledo International, Inc. (Æ)		49		8
Norfolk Southern Corp.		274		17
Pall Corp.		155		10
Pentair, Inc.		179		8
Robert Half International, Inc.		250		7
Rockwell Automation, Inc.		161		11
Roper Industries, Inc.		111		12
Stanley Black & Decker, Inc.		181		14
Stericycle, Inc. (Æ)		104		9
Towers Watson & Co. Class A		114		6
TransDigm Group, Inc. (Æ)		67		10
Trimble Navigation, Ltd. (Æ)		177		8
Union Pacific Corp.		350		42
United Parcel Service, Inc. Class B		528		38
United Rentals, Inc. (Æ)		190		6
United Technologies Corp.		656		52
Wabtec Corp.		87		7
Waste Connections, Inc.		236		7
Waters Corp. (Æ)		117		10
WW Grainger, Inc.		62		13
Xylem, Inc.		306		8
				741
Technology - 26.0%
Adobe Systems, Inc. (Æ)		461		15
Akamai Technologies, Inc. (Æ)		264		10
Amdocs, Ltd.		269		9
Amphenol Corp. Class A		188		11
Ansys, Inc. (Æ)		132		10
Apple, Inc.		618		412
Applied Materials, Inc.		1,215		14
Ariba, Inc. (Æ)		162		7
Autodesk, Inc. (Æ)		275		9
Avago Technologies, Ltd.		290		10
BMC Software, Inc. (Æ)		210		9
Cadence Design Systems, Inc. (Æ)		578		7
Citrix Systems, Inc. (Æ)		174		13
Cognizant Technology Solutions Corp. Class A (Æ)		273		19
Concur Technologies, Inc. (Æ)		94		7
Crown Castle International Corp. (Æ)		267		17
Electronic Arts, Inc. (Æ)		561		7
EMC Corp. (Æ)		1,553		42
Equinix, Inc. (Æ)		57		12
F5 Networks, Inc. (Æ)		96		10
Facebook, Inc. Class A (Æ)		415		9
Fortinet, Inc. (Æ)		273		7
Gartner, Inc. (Æ)		172		8
Google, Inc. Class A (Æ)		177		134
IAC/InterActiveCorp		143		7
International Business Machines Corp.		735		152
Intuit, Inc.		266		16
Jabil Circuit, Inc.		336		6
KLA-Tencor Corp.		197		9

	Principal Amount ($) or Shares			Market Value $
Lam Research Corp. (Æ)		250			8
LinkedIn Corp. Class A (Æ)		81			10
MICROS Systems, Inc. (Æ)		144			7
Microsoft Corp.		5,062			151
NCR Corp. (Æ)		315			7
NetApp, Inc. (Æ)		373			12
Nuance Communications, Inc. (Æ)		347			9
ON Semiconductor Corp. (Æ)		911			6
QUALCOMM, Inc.		1,201			75
Rackspace Hosting, Inc. (Æ)		171			11
Red Hat, Inc. (Æ)		207			12
Salesforce.com, Inc. (Æ)		122			19
SBA Communications Corp. Class A (Æ)		156			10
Skyworks Solutions, Inc. (Æ)		291			7
Symantec Corp. (Æ)		768			14
Teradata Corp. (Æ)		172			13
TIBCO Software, Inc. (Æ)		260			8
VeriFone Systems, Inc. (Æ)		202			6
VMware, Inc. Class A (Æ)		105			10
					1,393
Utilities - 0.1%
Time Warner Telecom, Inc. Class A (Æ)		273			7
Total Common Stocks (cost $4,767)					5,340
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		5,912	(¥)		6
Total Short-Term Investments (cost $6)					6
Total Investments - 100.0% (identified cost $4,773)					5,346
Other Assets and Liabilities, Net - 0.0%					1
Net Assets - 100.0%					5,347

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

6 Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,132	$	—	$	—	$	1,132		21.2
Consumer Staples		191		—		—		191		3.6
Energy		694		—		—		694		13.0
Financial Services		326		—		—		326		6.1
Health Care		591		—		—		591		11.0
Materials and Processing		265		—		—		265		5.0
Producer Durables		741		—		—		741		13.9
Technology		1,393		—		—		1,393		26.0
Utilities		7		—		—		7		0.1
Short-Term Investments		—		6		—		6		0.1
Total Investments	$	5,340	$	6	$	—	$	5,346		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 ended September 30, 2012.

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

Russell Aggressive Growth ETF 7

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,773
Investments, at market*		5,346
Receivables:
Dividends		4
Total assets		5,350
Liabilities
Payables:
Accrued fees to affiliates		3
Total liabilities		3
Net Assets	$	5,347
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	2
Accumulated net realized gain (loss)		(369	)
Unrealized appreciation (depreciation) on investments		573
Additional paid-in capital		5,141
Net Assets	$	5,347
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	53.47
Net assets	$	5,347,053
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.

8 Russell Aggressive Growth ETF

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	32
Total investment income		32
Expenses
Management fees		9
Total expenses		9
Net investment income (loss)		23
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		13
Net change in unrealized appreciation (depreciation) on investments		48
Net realized and unrealized gain (loss)		61
Net Increase (Decrease) in Net Assets from Operations	$	84

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

Russell Aggressive Growth ETF 9

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	23		$	29
Net realized gain (loss)		13			(297	)
Net change in unrealized appreciation (depreciation)		48			525
Net increase (decrease) in net assets from operations		84			257
Distributions
From net investment income		(22	)		(28	)
Net decrease in net assets from distributions		(22	)		(28	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			5,056
Total Net Increase (Decrease) in Net Assets		62			5,285
Net Assets
Beginning of period		5,285			—
End of period	$	5,347		$	5,285
Undistributed (overdistributed) net investment income included in net assets	$	2		$	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.

10 Russell Aggressive Growth ETF

(This page intentionally left blank)

Russell Exchange Traded Funds Trust

Russell Aggressive Growth ETF

Financial Highlights — For the Periods 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
September 30, 2012*		52.84		.23			.62		.85		(.22	)		(.22	)
March 31, 2012**		48.91		.29	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”)

* For the period September 30, 2012 (Unaudited).

** 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.

12 Russell Aggressive Growth ETF

$ 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)
	53.47		1.62		5,347		.37		.37			.88			35
	52.84		8.68		5,285		.72		.37	(e)		.70	(e)		37

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

Russell Aggressive Growth ETF 13

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,022.60	$	1,023.14
Expenses Paid During Period*	$	1.88	$	1.88

* 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 183/365 (to reflect the one-half year period).

14 Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 17.3%
Amazon.com, Inc. (Æ)		510		130
Bed Bath & Beyond, Inc. (Æ)		504		32
BorgWarner, Inc. (Æ)		340		23
Chipotle Mexican Grill, Inc. Class A (Æ)		75		24
Coach, Inc.		584		33
Comcast Corp. Class A		3,773		134
Darden Restaurants, Inc.		418		23
Discovery Communications, Inc. Class A (Æ)		565		34
Dollar General Corp. (Æ)		470		24
Dollar Tree, Inc. (Æ)		537		26
eBay, Inc. (Æ)		1,757		85
Estee Lauder Cos., Inc. (The) Class A		530		33
Family Dollar Stores, Inc.		320		21
Harley-Davidson, Inc.		584		25
Home Depot, Inc.		2,163		131
McDonald’s Corp.		1,420		130
McGraw-Hill Cos., Inc. (The)		639		35
Mondelez International, Inc.		2,556		106
News Corp. Class A		3,229		79
Nike, Inc. Class B		609		58
Nordstrom, Inc.		469		26
Omnicom Group, Inc.		601		31
O’Reilly Automotive, Inc. (Æ)		316		26
PetSmart, Inc.		330		23
priceline.com, Inc. (Æ)		83		51
Ralph Lauren Corp. Class A		170		26
Ross Stores, Inc.		495		32
Starbucks Corp.		1,211		61
Starwood Hotels & Resorts Worldwide, Inc. (ö)		494		29
Tiffany & Co.		402		25
TJX Cos., Inc.		1,241		56
Tractor Supply Co.		247		24
Ulta Salon Cosmetics & Fragrance, Inc.		217		21
VF Corp.		211		34
Viacom, Inc. Class B		943		51
Walt Disney Co. (The)		2,508		130
Yum! Brands, Inc.		786		52
				1,884
Consumer Staples - 5.3%
Church & Dwight Co., Inc.		410		22
Coca-Cola Co. (The)		5,209		197
Colgate-Palmolive Co.		728		78
Herbalife, Ltd.		416		20
Hershey Co. (The)		369		26
McCormick & Co., Inc.		382		24
Monster Beverage Corp. (Æ)		366		20
PepsiCo, Inc.		2,145		152
Whole Foods Market, Inc.		374		36
				575
Energy - 9.3%
Cabot Oil & Gas Corp.		596		27
Cameron International Corp. (Æ)		611		34
CONSOL Energy, Inc.		734		22
EOG Resources, Inc.		479		54
EQT Corp.		411		24

	Principal Amount ($) or Shares		Market Value $
Exxon Mobil Corp.		4,822		442
FMC Technologies, Inc. (Æ)		629		29
Halliburton Co.		1,607		54
Noble Energy, Inc.		377		35
Occidental Petroleum Corp.		1,167		100
Pioneer Natural Resources Co.		300		31
Schlumberger, Ltd.		1,872		135
Southwestern Energy Co. (Æ)		849		30
				1,017
Financial Services - 7.7%
Affiliated Managers Group, Inc. (Æ)		184		23
Alliance Data Systems Corp. (Æ)		162		23
American Express Co.		1,487		84
American Tower Corp. Class A (ö)		684		49
Aon PLC		700		37
AvalonBay Communities, Inc. (ö)		208		28
Boston Properties, Inc. (ö)		308		34
Discover Financial Services		1,049		42
Equifax, Inc.		430		20
Fiserv, Inc. (Æ)		353		26
Franklin Resources, Inc.		295		37
Marsh & McLennan Cos., Inc.		1,077		37
Mastercard, Inc. Class A		168		75
Moody’s Corp.		601		27
Progressive Corp. (The)		1,391		29
Public Storage (ö)		266		37
Simon Property Group, Inc. (ö)		462		70
T Rowe Price Group, Inc.		520		33
Visa, Inc. Class A		759		101
Western Union Co. (The)		1,517		28
				840
Health Care - 9.7%
Abbott Laboratories		2,175		149
Alexion Pharmaceuticals, Inc. (Æ)		368		42
Allergan, Inc.		527		48
Amgen, Inc.		1,151		97
Baxter International, Inc.		929		56
Becton Dickinson and Co.		432		34
Biogen Idec, Inc. (Æ)		394		59
Celgene Corp. (Æ)		751		57
Cerner Corp. (Æ)		340		26
Covidien PLC		852		51
CR Bard, Inc.		228		24
DaVita, Inc. (Æ)		252		26
Edwards Lifesciences Corp. (Æ)		270		29
Gilead Sciences, Inc. (Æ)		1,210		80
Intuitive Surgical, Inc. (Æ)		74		37
Laboratory Corp. of America Holdings (Æ)		263		24
Life Technologies Corp. (Æ)		514		25
Perrigo Co.		230		27
Quest Diagnostics, Inc.		409		26
St. Jude Medical, Inc.		728		31
Stryker Corp.		617		34
Varian Medical Systems, Inc. (Æ)		351		21
Watson Pharmaceuticals, Inc. Class B (Æ)		337		29
Zimmer Holdings, Inc.		425		29
				1,061

Russell Consistent Growth ETF 15

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Materials and Processing - 5.9%
Air Products & Chemicals, Inc.		421		35
Airgas, Inc.		244		20
Brown-Forman Corp. Class B - ADR (Æ)		389		25
CF Industries Holdings, Inc.		151		34
Eastman Chemical Co.		423		24
Ecolab, Inc.		518		34
EI du Pont de Nemours & Co.		1,427		72
Fastenal Co.		693		30
FMC Corp.		418		23
Monsanto Co.		830		75
Mosaic Co. (The)		619		36
Newmont Mining Corp.		895		50
PPG Industries, Inc.		315		36
Praxair, Inc.		500		52
Precision Castparts Corp.		266		43
Sherwin-Williams Co. (The)		210		31
Sigma-Aldrich Corp.		329		24
				644
Producer Durables - 16.5%
3M Co.		1,022		93
Accenture PLC Class A		1,019		71
Agilent Technologies, Inc.		782		30
Ametek, Inc.		699		25
Automatic Data Processing, Inc.		853		50
Boeing Co. (The)		1,110		77
Caterpillar, Inc.		969		83
CH Robinson Worldwide, Inc.		423		25
Cooper Industries PLC		394		30
CSX Corp.		1,895		39
Cummins, Inc.		375		35
Danaher Corp.		981		54
Deere & Co.		664		55
Dover Corp.		466		28
Emerson Electric Co.		1,193		58
Expeditors International of Washington, Inc.		601		22
Flowserve Corp.		184		24
General Electric Co.		13,937		316
Honeywell International, Inc.		1,206		72
Illinois Tool Works, Inc.		774		46
Joy Global, Inc.		362		20
Kansas City Southern		319		24
Norfolk Southern Corp.		593		38
Pall Corp.		382		24
Rockwell Automation, Inc.		374		26
Rockwell Collins, Inc.		457		25
Roper Industries, Inc.		250		27
Stericycle, Inc. (Æ)		251		23
TransDigm Group, Inc. (Æ)		161		23
Trimble Navigation, Ltd. (Æ)		439		21
Union Pacific Corp.		704		84
United Parcel Service, Inc. Class B		1,070		77
United Technologies Corp.		1,313		102
Waters Corp. (Æ)		283		24
WW Grainger, Inc.		142		30
				1,801

	Principal Amount ($) or Shares			Market Value $
Technology - 28.2%
Adobe Systems, Inc. (Æ)		1,041			34
Akamai Technologies, Inc. (Æ)		622			24
Altera Corp.		788			27
Amphenol Corp. Class A		443			26
Analog Devices, Inc.		724			28
Ansys, Inc. (Æ)		321			24
Apple, Inc.		1,199			800
Applied Materials, Inc.		2,778			31
Autodesk, Inc. (Æ)		659			22
Avago Technologies, Ltd.		667			23
BMC Software, Inc. (Æ)		510			21
Broadcom Corp. Class A (Æ)		1,075			37
Cisco Systems, Inc.		7,473			143
Citrix Systems, Inc. (Æ)		392			30
Cognizant Technology Solutions Corp. Class A (Æ)		597			42
EMC Corp. (Æ)		3,132			85
F5 Networks, Inc. (Æ)		229			24
Google, Inc. Class A (Æ)		348			263
Intel Corp.		6,798			154
International Business Machines Corp.		1,436			298
KLA-Tencor Corp.		469			22
Lam Research Corp. (Æ)		595			19
Linear Technology Corp.		704			22
LinkedIn Corp. Class A (Æ)		198			24
Maxim Integrated Products, Inc.		862			23
Microsoft Corp.		9,886			294
NetApp, Inc. (Æ)		861			28
NVIDIA Corp. (Æ)		1,757			23
Oracle Corp.		5,235			165
QUALCOMM, Inc.		2,383			149
Red Hat, Inc. (Æ)		478			27
Teradata Corp. (Æ)		396			30
Texas Instruments, Inc.		1,915			53
VMware, Inc. Class A (Æ)		254			25
Xilinx, Inc.		719			24
					3,064
Total Common Stocks (cost $10,533)					10,886
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		9,563	(¥)		10
Total Short-Term Investments (cost $10)					10
Total Investments - 100.0% (identified cost $10,543)					10,896
Other Assets and Liabilities, Net - 0.0%					1
Net Assets - 100.0%					10,897

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

16 Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,884	$	—	$	—	$	1,884		17.3
Consumer Staples		575		—		—		575		5.3
Energy		1,017		—		—		1,017		9.3
Financial Services		840		—		—		840		7.7
Health Care		1,061		—		—		1,061		9.7
Materials and Processing		644		—		—		644		5.9
Producer Durables		1,801		—		—		1,801		16.5
Technology		3,064		—		—		3,064		28.2
Short-Term Investments		—		10		—		10		0.1
Total Investments	$	10,886	$	10	$	—	$	10,896		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 ended September 30, 2012.

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

Russell Consistent Growth ETF 17

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	10,543
Investments, at market*		10,896
Receivables:
Dividends		14
Total assets		10,910
Liabilities
Payables:
Accrued fees to affiliates		13
Total liabilities		13
Net Assets	$	10,897
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(4	)
Accumulated net realized gain (loss)		3,838
Unrealized appreciation (depreciation) on investments		353
Additional paid-in capital		6,710
Net Assets	$	10,897
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	54.48
Net assets	$	10,896,638
Shares outstanding ($.001 par value)		200,002
Amounts in thousands
*           Investments in Affiliates, Russell U.S. Cash Management Fund	$	10

(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.

18 Russell Consistent Growth ETF

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	222
Total investment income		222
Expenses
Management fees		49
Total expenses		49
Net investment income (loss)		173
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(540	)
In-kind redemptions		4,825
Net realized gain (loss)		4,285
Net change in unrealized appreciation (depreciation) on investments		(3,870	)
Net realized and unrealized gain (loss)		415
Net Increase (Decrease) in Net Assets from Operations	$	588

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

Russell Consistent Growth ETF 19

Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	173		$	156
Net realized gain (loss)		4,285			(367	)
Net change in unrealized appreciation (depreciation)		(3,870	)		4,223
Net increase (decrease) in net assets from operations		588			4,012
Distributions
From net investment income		(189	)		(144	)
Net decrease in net assets from distributions		(189	)		(144	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(21,869	)		28,499
Total Net Increase (Decrease) in Net Assets		(21,470	)		32,367
Net Assets
Beginning of period		32,367			—
End of period	$	10,897		$	32,367
Undistributed (overdistributed) net investment income included in net assets	$	(4	)	$	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.

20 Russell Consistent Growth ETF

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Russell Exchange Traded Funds Trust

Russell Consistent Growth ETF

Financial Highlights — For the Periods 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
September 30, 2012*		53.95		.34			.86		1.20		(.67	)		(.67	)
March 31, 2012**		49.02		.48	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

22 Russell Consistent Growth ETF

$ 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)
	54.48		2.26		10,897		.37		.37			1.30			38
	53.95		10.95		32,367		.68		.37	(e)		1.14	(e)		22

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

Russell Consistent Growth ETF 23

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,017.40	$	1,023.21
Expenses Paid During Period*	$	1 .87	$	1 .88

* 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 183/365 (to reflect the one-half year period).

24 Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.9%
Consumer Discretionary - 17.0%
Advance Auto Parts, Inc.		130		9
American Eagle Outfitters, Inc.		410		9
Apollo Group, Inc. Class A (Æ)		219		6
AutoZone, Inc. (Æ)		41		15
Bed Bath & Beyond, Inc. (Æ)		245		15
CarMax, Inc. (Æ)		364		10
Coach, Inc.		291		16
Costco Wholesale Corp.		355		36
Darden Restaurants, Inc.		195		11
Dollar Tree, Inc. (Æ)		260		13
Family Dollar Stores, Inc.		148		10
Fossil, Inc. (Æ)		108		9
Gap, Inc. (The)		406		15
Garmin, Ltd.		216		9
Gentex Corp.		357		6
Genuine Parts Co.		198		12
Home Depot, Inc.		1,149		69
International Game Technology		544		7
Kohl’s Corp.		287		15
Lowe’s Cos., Inc.		1,016		31
McDonald’s Corp.		756		69
McGraw-Hill Cos., Inc. (The)		313		17
Nike, Inc. Class B		311		30
Nordstrom, Inc.		218		12
Nu Skin Enterprises, Inc. Class A		154		6
Omnicom Group, Inc.		300		15
O’Reilly Automotive, Inc. (Æ)		152		13
Panera Bread Co. Class A (Æ)		59		10
PetSmart, Inc.		154		11
Polaris Industries, Inc.		120		10
Ralph Lauren Corp. Class A		80		12
Ross Stores, Inc.		242		16
Staples, Inc.		885		10
Starbucks Corp.		624		32
Target Corp.		548		35
Tiffany & Co.		190		12
TJX Cos., Inc.		637		29
Tractor Supply Co.		114		11
Tupperware Brands Corp.		137		7
Urban Outfitters, Inc. (Æ)		271		10
VF Corp.		101		16
Wal-Mart Stores, Inc.		1,235		90
Walt Disney Co. (The)		1,334		69
Yum! Brands, Inc.		401		27
				892
Consumer Staples - 3.3%
Archer-Daniels-Midland Co.		636		17
Church & Dwight Co., Inc.		193		10
ConAgra Foods, Inc.		492		14
Energizer Holdings, Inc.		118		9
General Mills, Inc.		587		23
Herbalife, Ltd.		192		9
HJ Heinz Co.		320		18
Kellogg Co.		277		14

	Principal Amount ($) or Shares			Market Value $
Kimberly-Clark Corp.		335			30
Walgreen Co.		778			28
					172
Energy - 15.8%
Baker Hughes, Inc.		434			20
Cameron International Corp. (Æ)		297			17
Chevron Corp.		1,404			164
Consol Energy, Inc.		334			10
EQT Corp.		192			11
Exxon Mobil Corp.		3,271			298
FMC Technologies, Inc. (Æ)		303			14
Halliburton Co.		827			28
Helmerich & Payne, Inc.		190			9
Hubbell, Inc. Class B (Æ)		109			9
Marathon Oil Corp.		699			21
Murphy Oil Corp.		240			13
National Oilwell Varco, Inc.		378			30
Occidental Petroleum Corp.		618			53
Oceaneering International, Inc.		187			10
Peabody Energy Corp.		406			9
Phillips 66 Class W (Æ)		594			28
QEP Resources, Inc.		302	��		10
Schlumberger, Ltd.		996			72
World Fuel Services Corp.		191			7
					833
Financial Services - 7.5%
ACE, Ltd.		306			23
Aflac, Inc.		449			21
Alliance Data Systems Corp. (Æ)		75			11
Allied World Assurance Co. Holdings AG		93			7
American Express Co.		776			44
Arch Capital Group, Ltd. (Æ)		232			10
Arthur J Gallagher & Co.		235			8
Brown & Brown, Inc.		280			7
Chubb Corp. (The)		261			20
Eaton Vance Corp.		279			8
Equifax, Inc.		199			9
FactSet Research Systems, Inc.		90			9
Fiserv, Inc. (Æ)		169			13
Franklin Resources, Inc.		145			18
Global Payments, Inc.		179			7
HCC Insurance Holdings, Inc.		245			8
IntercontinentalExchange, Inc. (Æ)		90			12
Jack Henry & Associates, Inc.		216			8
Northern Trust Corp.		265			12
ProAssurance Corp.		83			8
SEI Investments Co.		365			8
T Rowe Price Group, Inc.		262			17
Torchmark Corp.		175			9
Total System Services, Inc.		342			8
Travelers Cos., Inc. (The)		353			24
US Bancorp		1,462			51
Waddell & Reed Financial, Inc. Class A		237			8
WR Berkley Corp.		216			8
					396

Russell Growth at a Reasonable Price ETF 25

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Health Care - 12.0%
Abbott Laboratories		1,161		81
Aetna, Inc.		380		15
AmerisourceBergen Corp. Class A		310		12
Amgen, Inc.		606		52
Baxter International, Inc.		481		29
Becton Dickinson and Co.		210		16
Biogen Idec, Inc. (Æ)		201		30
Cardinal Health, Inc.		368		14
Cigna Corp.		322		15
Covance, Inc. (Æ)		152		7
Coventry Health Care, Inc.		267		11
CR Bard, Inc.		108		11
DaVita, Inc. (Æ)		120		12
Dentsply International, Inc.		240		9
Express Scripts Holding Co. (Æ)		646		40
Gilead Sciences, Inc. (Æ)		622		41
Henry Schein, Inc. (Æ)		132		10
Humana, Inc.		183		13
Laboratory Corp. of America Holdings (Æ)		124		11
McKesson Corp.		219		19
Mednax, Inc. (Æ)		113		8
Patterson Cos., Inc.		224		8
Perrigo Co.		110		13
Quest Diagnostics, Inc.		200		13
ResMed, Inc.		269		11
St. Jude Medical, Inc.		350		15
Stryker Corp.		312		17
UnitedHealth Group, Inc.		801		45
Universal Health Services, Inc. Class B		189		9
Varian Medical Systems, Inc. (Æ)		165		10
WellPoint, Inc.		313		18
Zimmer Holdings, Inc.		206		14
				629
Materials and Processing - 3.8%
Air Products & Chemicals, Inc.		213		18
Airgas, Inc.		112		9
Albemarle Corp.		152		8
Aptargroup, Inc.		151		8
Ball Corp.		239		10
Eastman Chemical Co.		202		12
Ecolab, Inc.		257		17
Fastenal Co.		339		15
Packaging Corp. of America		258		9
PPG Industries, Inc.		156		18
Praxair, Inc.		256		26
Precision Castparts Corp.		133		21
Reliance Steel & Aluminum Co.		158		8
Sherwin-Williams Co. (The)		101		15
Sonoco Products Co.		248		8
				202
Producer Durables - 20.4%
3M Co.		534		49
Accenture PLC Class A		533		37
AGCO Corp. (Æ)		185		9

	Principal Amount ($) or Shares		Market Value $
Ametek, Inc.		327		12
Boeing Co. (The)		584		41
Caterpillar, Inc.		509		44
CH Robinson Worldwide, Inc.		204		12
Cooper Industries PLC		189		14
CSX Corp.		959		20
Cummins, Inc.		189		17
Danaher Corp.		504		28
Deere & Co.		341		28
Donaldson Co., Inc.		264		9
Dover Corp.		228		14
Eaton Corp.		370		17
Emerson Electric Co.		622		30
Flir Systems, Inc.		382		8
Fluor Corp.		227		13
General Dynamics Corp.		301		20
General Electric Co.		7,523		171
Honeywell International, Inc.		630		38
IDEX Corp.		196		8
IHS, Inc. Class A (Æ)		85		8
Illinois Tool Works, Inc.		396		24
Jacobs Engineering Group, Inc. (Æ)		231		9
JB Hunt Transport Services, Inc.		153		8
Joy Global, Inc.		168		9
KBR, Inc.		320		10
Kirby Corp. (Æ)		153		8
Landstar System, Inc.		137		6
Lincoln Electric Holdings, Inc.		181		7
Lockheed Martin Corp.		242		23
Mettler-Toledo International, Inc. (Æ)		57		10
MSC Industrial Direct Co., Inc. Class A		114		8
Norfolk Southern Corp.		300		19
PACCAR, Inc.		385		15
Pall Corp.		178		11
Parker Hannifin Corp.		175		15
Paychex, Inc.		396		13
Raytheon Co.		324		19
Robert Half International, Inc.		287		8
Rockwell Automation, Inc.		181		13
Rockwell Collins, Inc.		209		11
Roper Industries, Inc.		121		13
Stericycle, Inc. (Æ)		118		11
Towers Watson & Co. Class A		132		7
Triumph Group, Inc.		130		8
Union Pacific Corp.		370		44
United Technologies Corp.		695		54
Wabtec Corp.		104		8
Waters Corp. (Æ)		129		11
WESCO International, Inc. (Æ)		124		7
WW Grainger, Inc.		69		14
				1,070
Technology - 19.7%
Adobe Systems, Inc. (Æ)		509		17
Altera Corp.		383		13
Amphenol Corp. Class A		211		12
Analog Devices, Inc.		350		14

26 Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Autodesk, Inc. (Æ)		312		10
CA, Inc.		445		11
Cisco Systems, Inc.		3,981		76
Cognizant Technology Solutions Corp. Class A (Æ)		300		21
Dell, Inc.		1,450		14
F5 Networks, Inc. (Æ)		108		11
Google, Inc. Class A (Æ)		187		141
Hewlett-Packard Co.		1,631		28
Intel Corp.		3,647		83
International Business Machines Corp.		775		162
Microchip Technology, Inc.		295		10
MICROS Systems, Inc. (Æ)		160		8
Microsoft Corp.		5,338		159
NetApp, Inc. (Æ)		421		14
Oracle Corp.		2,800		88
QUALCOMM, Inc.		1,271		79
Teradata Corp. (Æ)		192		14
Texas Instruments, Inc.		977		27
Western Digital Corp.		337		13
Xilinx, Inc.		341		11
				1,036
Utilities - 0.4%
Energen Corp.		169		9
ONEOK, Inc.		272		13
				22
Total Common Stocks (cost $5,274)				5,252
Total Investments - 99.9% (identified cost $5,274)				5,252
Other Assets and Liabilities, Net - 0.1%				5
Net Assets - 100.0%				5,257

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

Russell Growth at a Reasonable Price ETF 27

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	892	$	—	$	—	$	892		17.0
Consumer Staples		172		—		—		172		3.3
Energy		833		—		—		833		15.8
Financial Services		396		—		—		396		7.5
Health Care		629		—		—		629		12.0
Materials and Processing		202		—		—		202		3.8
Producer Durables		1,070		—		—		1,070		20.4
Technology		1,036		—		—		1,036		19.7
Utilities		22		—		—		22		0.4
Total Investments	$	5,252	$	—	$	—	$	5,252		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 ended September 30, 2012.

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

28 Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	5,274
Investments, at market		5,252
Receivables:
Dividends		12
Investments sold		3
Total assets		5,267
Liabilities
Payables:
Due to custodian		3
Accrued fees to affiliates		7
Total liabilities		10
Net Assets	$	5,257
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(3	)
Accumulated net realized gain (loss)		2,133
Unrealized appreciation (depreciation) on investments		(22	)
Additional paid-in capital		3,149
Net Assets	$	5,257
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	52.57
Net assets	$	5,256,981
Shares outstanding ($.001 par value)		100,002

(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.

Russell Growth at a Reasonable Price ETF 29

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	155
Total investment income		155
Expenses
Management fees		31
Total expenses		31
Net investment income (loss)		124
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(215	)
In-kind redemptions		2,411
Net realized gain (loss)		2,196
Net change in unrealized appreciation (depreciation) on investments		(2,730	)
Net realized and unrealized gain (loss)		(534	)
Net Increase (Decrease) in Net Assets from Operations	$	(410	)

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

30 Russell Growth at a Reasonable Price ETF

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	124		$	201
Net realized gain (loss)		2,196			(790	)
Net change in unrealized appreciation (depreciation)		(2,730	)		2,708
Net increase (decrease) in net assets from operations		(410	)		2,119
Distributions
From net investment income		(137	)		(191	)
Net decrease in net assets from distributions		(137	)		(191	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(20,318	)		24,194
Total Net Increase (Decrease) in Net Assets		(20,865	)		26,122
Net Assets
Beginning of period		26,122			—
End of period	$	5,257		$	26,122
Undistributed (overdistributed) net investment income included in net assets	$	(3	)	$	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.

Russell Growth at a Reasonable Price ETF 31

Russell Exchange Traded Funds Trust

Russell Growth at a Reasonable Price ETF

Financial Highlights — For the Periods 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
September 30, 2012*		52.24		.38			.52		.90		(.57	)		(.57	)
March 31, 2012**		49.34		.64	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

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

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

32 Russell Growth at a Reasonable Price ETF

$ 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)
	52.57		1.74		5,257		.37		.37			1.50			22
	52.24		7.38		26,122		.71		.37	(e)		1.52	(e)		15

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

Russell Growth at a Reasonable Price ETF 33

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1 , 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,005.50	$	1,023.14
Expenses Paid During Period*	$	1.86	$	1.88

* 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 183/365 (to reflect the one-half year period).

34 Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 9.0%
Apollo Group, Inc. Class A (Æ)		392		11
Avon Products, Inc.		1,208		19
Best Buy Co., Inc.		828		14
Cablevision Systems Corp. Class A		935		15
Carnival Corp.		905		33
DISH Network Corp. Class A		618		19
GameStop Corp. Class A		632		13
Goodyear Tire & Rubber Co. (The) (Æ)		1,083		13
H&R Block, Inc.		986		17
Hanesbrands, Inc. (Æ)		435		14
Harman International Industries, Inc.		319		15
Hasbro, Inc.		427		16
JC Penney Co., Inc.		607		15
Johnson Controls, Inc.		1,393		39
Kohl’s Corp.		577		30
Liberty Media Corp. - Interactive (Æ)		1,372		25
Liberty Ventures (Æ)		68		3
MGM Resorts International (Æ)		1,378		15
Mohawk Industries, Inc. (Æ)		209		17
Newell Rubbermaid, Inc.		919		18
Omnicom Group, Inc.		605		31
Orchard Supply Hardware Stores Corp. Class A (Æ)		7		—	±
Staples, Inc.		1,752		20
Urban Outfitters, Inc. (Æ)		452		17
				429
Consumer Staples - 6.5%
Archer-Daniels-Midland Co.		1,339		36
Bunge, Ltd.		369		25
Campbell Soup Co.		529		18
Dean Foods Co. (Æ)		780		13
Energizer Holdings, Inc.		214		16
Ingredion, Inc.		288		16
Kellogg Co.		551		28
Kroger Co. (The)		1,272		30
Safeway, Inc.		829		13
Smithfield Foods, Inc. (Æ)		639		13
Sysco Corp.		1,235		39
Walgreen Co.		1,677		61
				308
Energy - 5.8%
Apache Corp.		729		63
Baker Hughes, Inc.		918		42
Cameron International Corp. (Æ)		593		33
Chesapeake Energy Corp.		1,524		29
CONSOL Energy, Inc.		642		19
Halliburton Co.		1,788		60
Nabors Industries, Ltd. (Æ)		1,038		15
Superior Energy Services, Inc. (Æ)		656		13
				274
Financial Services - 35.3%
Aflac, Inc.		948		45
Allstate Corp. (The)		1,037		41

	Principal Amount ($) or Shares		Market Value $
American International Group, Inc. (Æ)		1,297		43
Aon PLC		700		37
Assurant, Inc.		371		14
Axis Capital Holdings, Ltd.		422		15
Bank of New York Mellon Corp. (The)		2,308		52
Berkshire Hathaway, Inc. Class B (Æ)		2,674		236
Broadridge Financial Solutions, Inc.		582		14
CBRE Group, Inc. Class A (Æ)		1,005		19
Citigroup, Inc.		5,102		167
Dun & Bradstreet Corp. (The)		192		15
First Niagara Financial Group, Inc.		1,623		13
Genworth Financial, Inc. Class A (Æ)		2,228		12
Global Payments, Inc.		315		13
Goldman Sachs Group, Inc. (The)		889		101
Hartford Financial Services Group, Inc.		1,181		23
Hudson City Bancorp, Inc.		2,067		16
Huntington Bancshares, Inc.		2,610		18
Jones Lang LaSalle, Inc.		184		14
JPMorgan Chase & Co.		6,476		261
KeyCorp		2,604		23
Lazard, Ltd. Class A		491		14
Legg Mason, Inc.		536		13
Leucadia National Corp.		702		16
Lincoln National Corp.		836		20
Loews Corp.		711		29
Markel Corp. (Æ)		34		16
MetLife, Inc.		1,646		57
NASDAQ OMX Group, Inc. (The)		545		13
NYSE Euronext		731		18
PartnerRe, Ltd. - ADR		104		8
Principal Financial Group, Inc.		801		22
Progressive Corp. (The)		1,394		29
Prudential Financial, Inc.		926		50
Regions Financial Corp.		3,512		25
SLM Corp.		645		10
SunTrust Banks, Inc.		1,217		34
Thomson Reuters Corp.		894		26
Unum Group		892		17
Western Union Co. (The)		1,484		27
White Mountains Insurance Group, Ltd.		25		13
XL Group PLC Class A		447		11
Zions Bancorporation		718		15
				1,675
Health Care - 6.4%
Aetna, Inc.		780		31
Boston Scientific Corp. (Æ)		3,776		22
Community Health Systems, Inc. (Æ)		438		13
Covance, Inc. (Æ)		259		12
Coventry Health Care, Inc.		488		20
Eli Lilly & Co.		1,863		89
Hospira, Inc. (Æ)		497		16
Omnicare, Inc.		444		15
Patterson Cos., Inc.		382		13
PerkinElmer, Inc.		492		14
Teleflex, Inc.		199		14
Thermo Fisher Scientific, Inc.		751		44
				303

Russell Contrarian ETF 35

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Materials and Processing - 5.5%
Air Products & Chemicals, Inc.		448		37
Alcoa, Inc.		2,678		24
Celanese Corp. Class A		489		19
Dow Chemical Co. (The)		2,207		63
Masco Corp.		1,168		18
Nucor Corp.		735		28
Owens-Illinois, Inc. (Æ)		691		13
Reliance Steel & Aluminum Co.		283		15
Sealed Air Corp.		839		13
Sonoco Products Co.		432		13
Steel Dynamics, Inc.		1,043		12
United States Steel Corp.		312		6
				261
Producer Durables - 14.7%
Avery Dennison Corp.		462		15
CH Robinson Worldwide, Inc.		406		24
Corrections Corp. of America		437		15
Dover Corp.		452		27
Engility Holdings, Inc. (Æ)		53		1
Expeditors International of Washington, Inc.		558		20
FedEx Corp.		607		52
Fluor Corp.		433		24
General Dynamics Corp.		638		42
IDEX Corp.		345		14
Ingersoll-Rand PLC		683		31
Jacobs Engineering Group, Inc. (Æ)		423		17
KBR, Inc.		567		17
Kennametal, Inc.		371		14
Kirby Corp. (Æ)		262		14
L-3 Communications Holdings, Inc. Class 3		269		19
Landstar System, Inc.		232		11
Lockheed Martin Corp.		516		48
Manpower, Inc.		350		13
Northrop Grumman Corp.		533		35
PACCAR, Inc.		793		32
Pitney Bowes, Inc.		818		11
Quanta Services, Inc. (Æ)		677		17
Raytheon Co.		683		39
Republic Services, Inc. Class A		804		22
Rockwell Collins, Inc.		402		22
Southwest Airlines Co.		2,141		19
Towers Watson & Co. Class A		234		12
URS Corp.		354		12
Waste Management, Inc.		1,003		32
Xerox Corp.		3,245		24
				695
Technology - 7.5%
Amdocs, Ltd.		542		18
Applied Materials, Inc.		2,768		31
Arrow Electronics, Inc. (Æ)		428		14
Avnet, Inc. (Æ)		499		15
Computer Sciences Corp.		579		19
Dell, Inc.		3,078		30

	Principal Amount ($) or Shares			Market Value $
Electronic Arts, Inc. (Æ)		1,176			15
Harris Corp.		380			19
Hewlett-Packard Co.		3,629			62
Ingram Micro, Inc. Class A (Æ)		710			11
JDS Uniphase Corp. (Æ)		1,073			13
Juniper Networks, Inc. (Æ)		1,364			23
Lam Research Corp. (Æ)		546			17
LSI Corp. (Æ)		2,189			15
Marvell Technology Group, Ltd.		1,486			14
Molex, Inc.		563			15
ON Semiconductor Corp. (Æ)		1,879			12
SAIC, Inc.		1,133			14
					357
Utilities - 9.1%
AES Corp. (The)		1,684			18
Ameren Corp.		639			21
American Electric Power Co., Inc.		987			44
Edison International		711			32
Entergy Corp.		410			28
Exelon Corp.		1,604			58
FirstEnergy Corp.		853			38
Frontier Communications Corp.		3,633			18
Great Plains Energy, Inc.		597			13
Level 3 Communications, Inc. (Æ)		314			7
MDU Resources Group, Inc.		682			15
NRG Energy, Inc.		837			18
Pepco Holdings, Inc.		786			15
PPL Corp.		1,245			36
Public Service Enterprise Group, Inc.		1,081			35
Sprint Nextel Corp. (Æ)		3,634			20
Windstream Corp.		1,804			18
					434
Total Common Stocks (cost $4,751)					4,736
Warrants & Rights - 0.0%
Warrants and Rights - 0.0%
Liberty Ventures (Æ) 2012 Rights		1			—	±
Total Warrants & Rights (cost $—)					—	±
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		6,215	(¥)		6
Total Short-Term Investments (cost $6)					6
Total Investments - 99.9% (identified cost $4,757)					4,742
Other Assets and Liabilities, Net - 0.1%					3
Net Assets - 100.0%					4,745

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

36 Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

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

Amounts in thousands

	Market Value											% of Net Assets
Portfolio Summary	Level 1			��	Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	429			$	—	$	—	$	429			9.0
Consumer Staples		308				—		—		308			6.5
Energy		274				—		—		274			5.8
Financial Services		1,675				—		—		1,675			35.3
Health Care		303				—		—		303			6.4
Materials and Processing		261				—		—		261			5.5
Producer Durables		695				—		—		695			14.7
Technology		357				—		—		357			7.5
Utilities		434				—		—		434			9.1
Warrants & Rights		—	**			—		—		—	**		—	*
Short-Term Investments		—				6		—		6			0 .1
Total Investments	$	4,736			$	6	$	—	$	4,742			99.9
Other Assets and Liabilities, Net													0.1
													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 ended September 30, 2012.

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

Russell Contrarian ETF 37

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,757
Investments, at market*		4,742
Receivables:
Dividends		6
Total assets		4,748
Liabilities
Payables:
Accrued fees to affiliates		3
Total liabilities		3
Net Assets	$	4,745
Net Assets Consist of:
Accumulated net realized gain (loss)		(289	)
Unrealized appreciation (depreciation) on investments		(15	)
Additional paid-in capital		5,049
Net Assets	$	4,745
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	47 .45
Net assets	$	4,745,302
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.

38 Russell Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Contrarian ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	54
Total investment income		54
Expenses
Management fees		8
Total expenses		8
Net investment income (loss)		46
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		116
Net change in unrealized appreciation (depreciation) on investments		(137	)
Net realized and unrealized gain (loss)		(21	)
Net Increase (Decrease) in Net Assets from Operations	$	25

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

Russell Contrarian ETF 39

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Russell Contrarian ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	46		$	69
Net realized gain (loss)		116			(475	)
Net change in unrealized appreciation (depreciation)		(137	)		122
Net increase (decrease) in net assets from operations		25			(284	)
Distributions
From net investment income		(50	)		(65	)
Net decrease in net assets from distributions		(50	)		(65	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			5,119
Total Net Increase (Decrease) in Net Assets		(25	)		4,770
Net Assets
Beginning of period		4,770			—
End of period	$	4,745		$	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.

40 Russell Contrarian ETF

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Russell Contrarian ETF

Financial Highlights — For the Periods 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
September 30, 2012*		47.70		.46			(.22	)		.24			(.49	)		(.49	)
March 31, 2012**		49.51		.69	(e)		(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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

42 Russell Contrarian ETF

$ 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)
	47.45		.55			4,745		.37		.37			1.98			41
	47.70		(2.20	)		4,770		.72		.37	(e)		1.80	(e)		30

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

Russell Contrarian ETF 43

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Russell Equity Income ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,029.10	$	1,023.14
Expenses Paid During Period*	$	1.88	$	1.88

* 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 183/365 (to reflect the one-half year period).

44 Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.7%
Consumer Discretionary - 9.7%
American Eagle Outfitters, Inc.		757		16
Best Buy Co., Inc.		849		15
Carnival Corp.		785		29
Costco Wholesale Corp.		547		55
Darden Restaurants, Inc.		371		21
Foot Locker, Inc.		561		20
Garmin, Ltd.		427		18
Genuine Parts Co.		365		22
Hasbro, Inc.		474		18
International Game Technology		1,067		14
Interpublic Group of Cos., Inc. (The)		1,566		17
Jarden Corp. (Æ)		343		18
Kohl’s Corp.		514		26
Lear Corp.		422		16
Lowe’s Cos., Inc.		1,580		48
Mattel, Inc.		731		26
Mondelez International, Inc.		2,035		84
Newell Rubbermaid, Inc.		990		19
Nike, Inc. Class B		488		46
Omnicom Group, Inc.		533		27
PVH Corp.		227		21
Ralph Lauren Corp. Class A		152		23
Staples, Inc.		1,625		19
Target Corp.		849		54
VF Corp.		182		29
Viacom, Inc. Class B		801		43
Wal-Mart Stores, Inc.		1,831		135
Walt Disney Co. (The)		2,008		105
Williams-Sonoma, Inc.		406		18
				1,002
Consumer Staples - 6.5%
Archer-Daniels-Midland Co.		1,081		29
Beam, Inc.		355		20
Bunge, Ltd.		340		23
Church & Dwight Co., Inc.		370		20
Coca-Cola Enterprises, Inc.		751		23
ConAgra Foods, Inc.		886		24
CVS Caremark Corp.		1,512		74
Dr Pepper Snapple Group, Inc.		505		22
General Mills, Inc.		980		39
Ingredion, Inc.		323		18
JM Smucker Co. (The)		279		24
Kroger Co. (The)		1,090		26
Molson Coors Brewing Co. Class B		420		19
Procter & Gamble Co. (The)		2,883		201
Safeway, Inc.		944		15
Sysco Corp.		1,006		31
Tyson Foods, Inc. Class A		976		16
Walgreen Co.		1,287		47
				671
Energy - 11.1%
Apache Corp.		515		45
Chevron Corp.		2,060		240

	Principal Amount ($) or Shares		Market Value $
ConocoPhillips		1,453		83
Exxon Mobil Corp.		4,744		434
Halliburton Co.		1,319		44
Helmerich & Payne, Inc.		376		18
HollyFrontier Corp.		516		21
Hubbell, Inc. Class B (Æ)		218		18
Marathon Oil Corp.		1,203		36
National Oilwell Varco, Inc.		600		48
Occidental Petroleum Corp.		935		80
Peabody Energy Corp.		770		17
Spectra Energy Corp.		1,092		32
Valero Energy Corp.		1,077		34
				1,150
Financial Services - 19.6%
ACE, Ltd.		485		37
Aflac, Inc.		767		37
Allstate Corp. (The)		804		32
American Capital Agency Corp. (ö)		676		23
American Express Co.		1,186		67
American Financial Group, Inc.		397		15
Ameriprise Financial, Inc.		426		24
Annaly Capital Management, Inc. (ö)		1,717		29
Aon PLC		597		31
Ares Capital Corp.		983		17
Arthur J Gallagher & Co.		466		17
Axis Capital Holdings, Ltd.		496		17
Bank of New York Mellon Corp. (The)		1,695		38
BB&T Corp.		1,103		37
BlackRock, Inc. Class A		191		34
Boston Properties, Inc. (ö)		267		30
Brown & Brown, Inc.		564		15
Capital One Financial Corp.		782		45
Charles Schwab Corp. (The)		2,054		26
Chubb Corp. (The)		418		32
Cincinnati Financial Corp.		429		16
CME Group, Inc. Class A		570		33
Comerica, Inc.		592		18
Cullen/Frost Bankers, Inc.		265		15
Discover Financial Services		840		33
East West Bancorp, Inc.		663		14
Equifax, Inc.		387		18
Essex Property Trust, Inc. (ö)		114		17
Everest Re Group, Ltd.		172		18
Fidelity National Financial, Inc. Class A		879		19
Fidelity National Information Services, Inc.		624		19
First Republic Bank		464		16
Franklin Resources, Inc.		254		32
Goldman Sachs Group, Inc. (The)		607		69
HCC Insurance Holdings, Inc.		493		17
HCP, Inc. (ö)		666		30
Invesco, Ltd.		930		23
Jack Henry & Associates, Inc.		439		17
Jones Lang LaSalle, Inc.		217		17
JPMorgan Chase & Co.		4,084		165
Kimco Realty Corp. (ö)		1,047		21
Liberty Property Trust (ö)		445		16

Russell Equity Income ETF 45

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
M&T Bank Corp.		280		27
Marsh & McLennan Cos., Inc.		936		32
MetLife, Inc.		1,186		41
New York Community Bancorp, Inc.		1,412		20
Northern Trust Corp.		482		22
NYSE Euronext		731		18
PartnerRe, Ltd. - ADR		207		15
PNC Financial Services Group, Inc.		707		45
Progressive Corp. (The)		1,218		25
Rayonier, Inc. (ö)		367		18
Realty Income Corp. (ö)		434		18
Reinsurance Group of America, Inc. Class A		301		17
RenaissanceRe Holdings, Ltd.		211		16
Senior Housing Properties Trust (ö)		711		15
State Street Corp.		724		30
TD Ameritrade Holding Corp.		948		15
Torchmark Corp.		346		18
Total System Services, Inc.		677		16
Travelers Cos., Inc. (The)		556		38
Unum Group		923		18
US Bancorp		2,229		76
Validus Holdings, Ltd.		478		16
Ventas, Inc. (ö)		490		31
Wells Fargo & Co.		5,184		180
WR Berkley Corp.		386		14
				2,027
Health Care - 14.0%
Abbott Laboratories		1,739		119
Aetna, Inc.		624		25
AmerisourceBergen Corp. Class A		527		20
Amgen, Inc.		916		77
Becton Dickinson and Co.		370		29
Bristol-Myers Squibb Co.		1,984		67
Cardinal Health, Inc.		642		25
Cigna Corp.		533		25
Coventry Health Care, Inc.		492		21
Covidien PLC		721		43
Dentsply International, Inc.		465		18
Eli Lilly & Co.		1,275		60
Humana, Inc.		321		23
Johnson & Johnson		2,877		199
McKesson Corp.		351		30
Medtronic, Inc.		1,319		57
Merck & Co., Inc.		3,277		148
Patterson Cos., Inc.		445		15
Pfizer, Inc.		7,853		195
Quest Diagnostics, Inc.		364		23
St. Jude Medical, Inc.		621		26
Stryker Corp.		541		30
Thermo Fisher Scientific, Inc.		613		36
UnitedHealth Group, Inc.		1,220		68
Universal Health Services, Inc. Class B		380		17
WellPoint, Inc.		530		31
Zimmer Holdings, Inc.		373		25
				1,452

	Principal Amount ($) or Shares		Market Value $
Materials and Processing - 4.9%
Air Products & Chemicals, Inc.		369		31
Airgas, Inc.		215		18
Albemarle Corp.		266		14
Aptargroup, Inc.		304		16
Bemis Co., Inc.		496		16
CF Industries Holdings, Inc.		130		29
Eastman Chemical Co.		381		22
Ecolab, Inc.		417		27
Freeport-McMoRan Copper & Gold, Inc.		1,275		49
International Flavors & Fragrances, Inc.		303		18
Martin Marietta Materials, Inc.		200		17
Monsanto Co.		652		58
Mosaic Co. (The)		530		31
Nucor Corp.		600		23
Precision Castparts Corp.		211		33
Reliance Steel & Aluminum Co.		316		17
Rock-Tenn Co. Class A		301		22
RPM International, Inc.		590		17
Sigma-Aldrich Corp.		292		21
Sonoco Products Co.		503		16
Valspar Corp.		298		17
				512
Producer Durables - 13.8%
3M Co.		814		75
Agilent Technologies, Inc.		672		26
Ametek, Inc.		571		20
Automatic Data Processing, Inc.		671		39
Cintas Corp.		425		18
Cooper Industries PLC		345		26
CSX Corp.		1,522		32
Cummins, Inc.		303		28
Danaher Corp.		793		44
Dover Corp.		386		23
Eaton Corp.		658		31
Emerson Electric Co.		964		47
Engility Holdings, Inc. (Æ)		45		1
Expeditors International of Washington, Inc.		527		19
FedEx Corp.		456		39
Flir Systems, Inc.		778		16
Fluor Corp.		392		22
General Dynamics Corp.		508		34
General Electric Co.		11,095		251
Honeywell International, Inc.		977		58
IDEX Corp.		396		17
Illinois Tool Works, Inc.		662		39
Kansas City Southern		291		22
KBR, Inc.		640		19
L-3 Communications Holdings, Inc. Class 3		268		19
Lincoln Electric Holdings, Inc.		362		14
Norfolk Southern Corp.		505		32
Northrop Grumman Corp.		421		28
Pall Corp.		339		22
Parker Hannifin Corp.		315		26
Pentair, Inc.		426		19

46 Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Raytheon Co.		526		30
Republic Services, Inc. Class A		779		21
Roper Industries, Inc.		221		24
Stanley Black & Decker, Inc.		367		28
Towers Watson & Co. Class A		264		14
Union Pacific Corp.		566		67
United Technologies Corp.		1,053		82
Wabtec Corp.		209		17
Xerox Corp.		2,951		22
Xylem, Inc.		669		17
				1,428
Technology - 11.7%
Activision Blizzard, Inc.		1,439		16
Altera Corp.		696		24
Amphenol Corp. Class A		390		23
Analog Devices, Inc.		634		25
Applied Materials, Inc.		2,389		27
Avago Technologies, Ltd.		584		20
Broadcom Corp. Class A (Æ)		928		32
CA, Inc.		820		21
Cisco Systems, Inc.		5,964		114
Corning, Inc.		2,481		33
Harris Corp.		405		21
Hewlett-Packard Co.		2,512		43
Intel Corp.		5,353		121
KLA-Tencor Corp.		423		20
Maxim Integrated Products, Inc.		782		21
Microchip Technology, Inc.		562		18
Microsoft Corp.		9,696		289
Molex, Inc.		597		16
Oracle Corp.		4,154		131
QUALCOMM, Inc.		1,907		119
SAIC, Inc.		1,287		15
Texas Instruments, Inc.		1,524		42
Xilinx, Inc.		629		21
				1,212
Utilities - 8.4%
AES Corp. (The)		1,610		18
Alliant Energy Corp.		347		15
American Electric Power Co., Inc.		797		35
Aqua America, Inc.		627		16
AT&T, Inc.		6,124		230
CenterPoint Energy, Inc.		949		20
CenturyLink, Inc.		937		38
Consolidated Edison, Inc.		467		28
DTE Energy Co.		386		23
Entergy Corp.		363		25
Exelon Corp.		1,123		40
Integrys Energy Group, Inc.		300		16
MDU Resources Group, Inc.		751		17
NV Energy, Inc.		960		17
Pinnacle West Capital Corp.		354		19

	Principal Amount ($) or Shares			Market Value $
Public Service Enterprise Group, Inc.		901			29
Questar Corp.		793			16
Southern Co.		1,104			51
TECO Energy, Inc.		891			16
Verizon Communications, Inc.		3,080			139
Windstream Corp.		1,850			19
Wisconsin Energy Corp.		554			21
Xcel Energy, Inc.		867			24
					872
Total Common Stocks (cost $9,799)					10,326
Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		20,211	(¥)		20
Total Short-Term Investments (cost $20)					20
Total Investments - 99.9% (identified cost $9,819)					10,346
Other Assets and Liabilities, Net - 0.1%					15
Net Assets - 100.0%					10,361

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

Russell Equity Income ETF 47

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Russell Equity Income ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,002	$	—	$	—	$	1,002		9.7
Consumer Staples		671		—		—		671		6.5
Energy		1,150		—		—		1,150		11.1
Financial Services		2,027		—		—		2,027		19.6
Health Care		1,452		—		—		1,452		14.0
Materials and Processing		512		—		—		512		4.9
Producer Durables		1,428		—		—		1,428		13.8
Technology		1,212		—		—		1,212		11.7
Utilities		872		—		—		872		8.4
Short-Term Investments		—		20		—		20		0.2
Total Investments	$	10,326	$	20	$	—	$	10,346		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 ended September 30, 2012.

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

48 Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	9,819
Investments, at market*		10,346
Receivables:
Dividends		41
Total assets		10,387
Liabilities
Payables:
Accrued fees to affiliates		26
Total liabilities		26
Net Assets	$	10,361
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(26	)
Accumulated net realized gain (loss)		5,499
Unrealized appreciation (depreciation) on investments		527
Additional paid-in capital		4,361
Net Assets	$	10,361
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	51.80
Net assets	$	10,361,029
Shares outstanding ($.001 par value)		200,002
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.

Russell Equity Income ETF 49

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Russell Equity Income ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	693
Total investment income		693
Expenses
Management fees		93
Total expenses		93
Net investment income (loss)		600
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		574
In-kind redemptions		5,605
Net realized gain (loss)		6,179
Net change in unrealized appreciation (depreciation) on investments		(5,286	)
Net realized and unrealized gain (loss)		893
Net Increase (Decrease) in Net Assets from Operations	$	1,493

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

50 Russell Equity Income ETF

Russell Exchange Traded Funds Trust

Russell Equity Income ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	600		$	650
Net realized gain (loss)		6,179			1,165
Net change in unrealized appreciation (depreciation)		(5,286	)		5,813
Net increase (decrease) in net assets from operations		1,493			7,628
Distributions
From net investment income		(664	)		(612	)
Net decrease in net assets from distributions		(664	)		(612	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(47,123	)		49,639
Total Net Increase (Decrease) in Net Assets		(46,294	)		56,655
Net Assets
Beginning of period		56,655			—
End of period	$	10,361		$	56,655
Undistributed (overdistributed) net investment income included in net assets	$	(26	)	$	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.

Russell Equity Income ETF 51

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Financial Highlights — For the Periods 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
September 30, 2012*		51.50		.60			.88		1.48		(1.18	)		(1.18	)
March 31, 2012**		49.57		1.00	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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 Russell Equity Income ETF

$ 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)
	51.80		2.91		10,361		.37		.37			2.38			25
	51.50		5.57		56,655		.67		.37	(e)		2.43	(e)		27

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

Russell Equity Income ETF 53

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,008.20	$	1,023.14
Expenses Paid During Period*	$	1.86	$	1.88

* 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 183/365 (to reflect the one-half year period).

54 Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 9.3%
Abercrombie & Fitch Co. Class A		135		5
Avon Products, Inc.		221		4
Best Buy Co., Inc.		332		6
Cablevision Systems Corp. Class A		315		5
CarMax, Inc. (Æ)		244		7
CBS Corp. Class B		502		18
Clear Channel Outdoor Holdings, Inc. Class A (Æ)		430		3
Comcast Corp. Class A		1,196		43
Deckers Outdoor Corp. (Æ)		64		2
DeVry, Inc.		126		3
Dillard’s, Inc. Class A		62		4
DISH Network Corp. Class A		116		4
DSW, Inc. Class A		47		3
Expedia, Inc.		78		5
Foot Locker, Inc.		177		6
Ford Motor Co.		3,242		32
GameStop Corp. Class A		240		5
Gannett Co., Inc.		355		6
General Motors Co. (Æ)		730		17
Guess?, Inc.		127		3
Harman International Industries, Inc.		114		5
Hertz Global Holdings, Inc. (Æ)		266		4
HomeAway, Inc. (Æ)		109		3
Hyatt Hotels Corp. Class A (Æ)		98		4
Interpublic Group of Cos., Inc. (The)		542		6
Jarden Corp. (Æ)		108		6
JC Penney Co., Inc.		233		6
John Wiley & Sons, Inc. Class A (Æ)		68		3
Johnson Controls, Inc.		622		17
KAR Auction Services, Inc. (Æ)		168		3
Kohl’s Corp.		230		12
Lear Corp.		145		5
Leggett & Platt, Inc.		220		6
Liberty Media Corp. (Æ)		519		10
Liberty Ventures (Æ)		25		1
Macy’s, Inc.		357		13
MGM Resorts International (Æ)		521		6
Mohawk Industries, Inc. (Æ)		81		6
Newell Rubbermaid, Inc.		367		7
Nielsen Holdings NV (Æ)		160		5
Penn National Gaming, Inc. (Æ)		104		4
PVH Corp.		34		3
Regal Entertainment Group Class A		222		3
Royal Caribbean Cruises, Ltd.		208		6
Signet Jewelers, Ltd.		124		6
Snap-on, Inc.		77		6
Staples, Inc.		737		8
Target Corp.		537		34
Thor Industries, Inc.		122		4
Time Warner, Inc.		825		37
Toll Brothers, Inc. (Æ)		198		7
TRW Automotive Holdings Corp. (Æ)		147		6
Visteon Corp. (Æ)		100		4
WABCO Holdings, Inc. (Æ)		47		3

	Principal Amount ($) or Shares		Market Value $
Washington Post Co. (The) Class B		10		4
Wendy’s Co. (The)		749		3
Whirlpool Corp.		103		9
Williams-Sonoma, Inc.		97		4
				460
Consumer Staples - 3.5%
Beam, Inc.		165		9
Bunge, Ltd.		157		11
Coca-Cola Enterprises, Inc.		303		9
ConAgra Foods, Inc.		418		12
Constellation Brands, Inc. Class A (Æ)		216		7
CVS Caremark Corp.		864		42
Dean Foods Co. (Æ)		167		3
Energizer Holdings, Inc.		85		6
Green Mountain Coffee Roasters, Inc. (Æ)		123		3
Hillshire Brands Co.		93		2
Ingredion, Inc.		94		5
Molson Coors Brewing Co. Class B		161		7
Ralcorp Holdings, Inc. (Æ)		81		6
Safeway, Inc.		302		5
Smithfield Foods, Inc. (Æ)		243		5
Sysco Corp.		297		9
Tyson Foods, Inc. Class A		363		6
Walgreen Co.		762		28
				175
Energy - 20.9%
Alpha Natural Resources, Inc. (Æ)		439		3
Apache Corp.		336		29
Atwood Oceanics, Inc. (Æ)		92		4
Baker Hughes, Inc.		404		18
Cameron International Corp. (Æ)		104		6
Chesapeake Energy Corp.		659		12
Chevron Corp.		1,585		185
ConocoPhillips		1,043		60
CONSOL Energy, Inc.		257		8
Denbury Resources, Inc. (Æ)		462		7
Devon Energy Corp.		363		22
Exxon Mobil Corp.		4,767		436
Halliburton Co.		580		20
Helmerich & Payne, Inc.		112		5
Hess Corp.		295		16
HollyFrontier Corp.		229		9
Laredo Petroleum Holdings, Inc. (Æ)		112		2
Marathon Oil Corp.		656		19
McDermott International, Inc. (Æ)		393		5
Murphy Oil Corp.		200		11
Nabors Industries, Ltd. (Æ)		390		6
Newfield Exploration Co. (Æ)		185		6
Occidental Petroleum Corp.		673		58
Oil States International, Inc. (Æ)		43		3
Patterson-UTI Energy, Inc.		295		5
Peabody Energy Corp.		310		7
Pioneer Natural Resources Co.		42		4
Plains Exploration & Production Co. (Æ)		173		7
QEP Resources, Inc.		218		7

Russell Low P/E ETF 55

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
RPC, Inc.		200		2
SEACOR Holdings, Inc. (Æ)		37		3
Superior Energy Services, Inc. (Æ)		239		5
Tesoro Corp.		211		9
Ultra Petroleum Corp. (Æ)		221		5
Unit Corp. (Æ)		108		5
Valero Energy Corp.		541		17
Walter Energy, Inc. Class A		101		3
Whiting Petroleum Corp. (Æ)		136		6
				1,035
Financial Services - 32.1%
ACE, Ltd.		302		23
Aflac, Inc.		429		21
Alexander & Baldwin, Inc. (Æ)		78		2
Alleghany Corp. (Æ)		21		7
Allied World Assurance Co. Holdings AG		45		3
Allstate Corp. (The)		460		18
American Capital, Ltd. (Æ)		511		6
American Express Co.		323		18
American Financial Group, Inc.		131		5
American International Group, Inc. (Æ)		590		19
Ameriprise Financial, Inc.		221		13
Annaly Capital Management, Inc. (ö)		921		16
Aon PLC		290		15
Aspen Insurance Holdings, Ltd.		143		4
Associated Banc-Corp.		312		4
Assurant, Inc.		139		5
Assured Guaranty, Ltd.		304		4
Axis Capital Holdings, Ltd.		163		6
Bank of America Corp.		8,823		78
Bank of New York Mellon Corp. (The)		1,059		24
BB&T Corp.		637		21
Berkshire Hathaway, Inc. Class B (Æ)		1,439		127
BlackRock, Inc. Class A		61		11
BOK Financial Corp.		63		4
Camden Property Trust (ö)		50		3
Capital One Financial Corp.		502		29
CapitalSource, Inc.		554		4
Capitol Federal Financial, Inc.		339		4
CBL & Associates Properties, Inc. (ö)		236		5
CBOE Holdings, Inc.		93		3
Charles Schwab Corp. (The)		1,046		13
Chimera Investment Corp. (ö)		1,849		5
CIT Group, Inc. (Æ)		229		9
Citigroup, Inc.		2,408		79
City National Corp.		88		5
CME Group, Inc. Class A		310		18
CNA Financial Corp.		111		3
Comerica, Inc.		237		7
CoreLogic, Inc. (Æ)		220		6
Discover Financial Services		488		19
E*Trade Financial Corp. (Æ)		517		5
Endurance Specialty Holdings, Ltd.		96		4
Equity Residential (ö)		259		15
Fidelity National Financial, Inc. Class A		306		7
Fidelity National Information Services, Inc.		272		9

	Principal Amount ($) or Shares		Market Value $
Fifth Third Bancorp		915		14
First Horizon National Corp.		467		5
First Niagara Financial Group, Inc.		604		5
Fulton Financial Corp.		408		4
Genworth Financial, Inc. Class A (Æ)		840		4
Goldman Sachs Group, Inc. (The)		416		47
Hanover Insurance Group, Inc. (The)		83		3
Hartford Financial Services Group, Inc.		491		10
HCC Insurance Holdings, Inc.		159		5
HCP, Inc. (ö)		366		16
Home Properties, Inc. (ö)		60		4
Hudson City Bancorp, Inc.		779		6
Huntington Bancshares, Inc.		1,074		7
Interactive Brokers Group, Inc. Class A		188		3
Invesco, Ltd.		465		12
Janus Capital Group, Inc.		468		4
Jefferies Group, Inc.		308		4
Jones Lang LaSalle, Inc.		67		5
JPMorgan Chase & Co.		3,082		125
Kemper Corp.		120		4
KeyCorp		1,077		9
Legg Mason, Inc.		206		5
Leucadia National Corp.		237		5
Liberty Property Trust (ö)		150		5
Lincoln National Corp.		340		8
Loews Corp.		308		13
LPL Financial Holdings, Inc.		79		2
M&T Bank Corp.		130		12
Macerich Co. (The) (ö)		144		8
Marsh & McLennan Cos., Inc.		167		6
Mercury General Corp.		76		3
MetLife, Inc.		754		26
MFA Financial, Inc. (ö)		575		5
Mid-America Apartment Communities, Inc. (ö)		36		2
Morgan Stanley		1,392		23
NASDAQ OMX Group, Inc. (The)		194		5
New York Community Bancorp, Inc.		547		8
NYSE Euronext		291		7
Old Republic International Corp.		511		5
PartnerRe, Ltd. - ADR		84		6
People’s United Financial, Inc.		435		5
PNC Financial Services Group, Inc.		460		29
Popular, Inc. (Æ)		237		4
Post Properties, Inc. (ö)		72		3
Principal Financial Group, Inc.		333		9
Protective Life Corp.		149		4
Prudential Financial, Inc.		422		23
Raymond James Financial, Inc.		157		6
Regions Financial Corp.		1,461		11
Reinsurance Group of America, Inc. Class A		105		6
Signature Bank NY (Æ)		70		5
SLM Corp.		545		9
StanCorp Financial Group, Inc.		102		3
State Street Corp.		443		19
SunTrust Banks, Inc.		529		15

56 Russell Low P/E ETF

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
SVB Financial Group (Æ)		74		4
Synovus Financial Corp.		1,879		4
TFS Financial Corp. (Æ)		324		3
Thomson Reuters Corp.		375		11
Torchmark Corp.		124		6
Travelers Cos., Inc. (The)		213		15
Unum Group		354		7
US Bancorp		1,579		54
Validus Holdings, Ltd.		144		5
Valley National Bancorp		391		4
Washington Federal, Inc.		232		4
Wells Fargo & Co.		3,952		136
Weyerhaeuser Co. (ö)		401		10
White Mountains Insurance Group, Ltd.		9		5
XL Group PLC Class A		365		9
Zions Bancorporation		274		6
				1,590
Health Care - 5.4%
Aetna, Inc.		339		13
Alere, Inc. (Æ)		191		4
Allscripts Healthcare Solutions, Inc. (Æ)		362		5
Becton Dickinson and Co.		42		3
Bio-Rad Laboratories, Inc. Class A (Æ)		41		4
Boston Scientific Corp. (Æ)		1,571		9
Cardinal Health, Inc.		185		7
CareFusion Corp. (Æ)		265		8
Cigna Corp.		285		13
Community Health Systems, Inc. (Æ)		161		5
Cooper Cos., Inc. (The)		58		6
Covance, Inc. (Æ)		89		4
Coventry Health Care, Inc.		192		8
Covidien PLC		410		24
Endo Health Solutions, Inc. (Æ)		109		3
Forest Laboratories, Inc. (Æ)		282		10
Health Management Associates, Inc. Class A (Æ)		496		4
Health Net, Inc. (Æ)		161		4
Hill-Rom Holdings, Inc.		124		4
Hologic, Inc. (Æ)		348		7
Hospira, Inc. (Æ)		197		6
Humana, Inc.		161		11
Life Technologies Corp. (Æ)		184		9
LifePoint Hospitals, Inc. (Æ)		99		4
MEDNAX, Inc. (Æ)		73		5
Mylan, Inc. (Æ)		135		3
Omnicare, Inc.		169		6
Qiagen NV (Æ)		336		6
Quest Diagnostics, Inc.		154		10
St. Jude Medical, Inc.		115		5
Teleflex, Inc.		73		5
Tenet Healthcare Corp. (Æ)		784		5
Thermo Fisher Scientific, Inc.		339		20
Universal Health Services, Inc. Class B		120		6
VCA Antech, Inc. (Æ)		182		4
WellPoint, Inc.		285		17
				267

	Principal Amount ($) or Shares		Market Value $
Materials and Processing - 4.9%
Alcoa, Inc.		1,129		10
Allegheny Technologies, Inc.		157		5
Ashland, Inc.		98		7
Cabot Corp.		111		4
Carpenter Technology Corp.		81		4
CF Industries Holdings, Inc.		52		11
Cliffs Natural Resources, Inc.		160		6
Commercial Metals Co.		289		4
Cytec Industries, Inc.		76		5
Domtar Corp.		58		4
Dow Chemical Co. (The)		1,026		30
Greif, Inc. Class A		81		4
Huntsman Corp.		331		5
International Paper Co.		427		15
Intrepid Potash, Inc. (Æ)		124		3
Kronos Worldwide, Inc.		162		2
MeadWestvaco Corp.		217		7
Molycorp, Inc. (Æ)		146		2
Mosaic Co. (The)		277		16
Newmont Mining Corp.		440		25
Nucor Corp.		317		12
Owens Corning (Æ)		183		6
Owens-Illinois, Inc. (Æ)		164		3
Reliance Steel & Aluminum Co.		108		6
Rock-Tenn Co. Class A		92		7
Rockwood Holdings, Inc.		90		4
Sealed Air Corp.		320		5
Sonoco Products Co.		162		5
Southern Copper Corp.		106		4
Steel Dynamics, Inc.		333		4
Timken Co.		113		4
Titanium Metals Corp.		266		3
United States Steel Corp.		240		5
Westlake Chemical Corp.		56		4
WR Grace & Co. (Æ)		51		3
				244
Producer Durables - 12.1%
AECOM Technology Corp. (Æ)		230		5
AGCO Corp. (Æ)		131		6
Air Lease Corp. Class A (Æ)		172		4
Alliant Techsystems, Inc.		75		4
Avery Dennison Corp.		173		6
Boeing Co. (The)		91		6
Booz Allen Hamilton Holding Corp. Class A		168		2
Chicago Bridge & Iron Co. NV		95		4
CNH Global NV (Æ)		86		3
Con-way, Inc.		89		2
Crane Co.		102		4
CSX Corp.		369		8
Delta Air Lines, Inc. (Æ)		470		4
Dover Corp.		189		11
Eaton Corp.		326		15
Engility Holdings, Inc. (Æ)		18		—	±
FedEx Corp.		261		22
Flir Systems, Inc.		141		3

Russell Low P/E ETF 57

Russell Exchange Traded Funds Trust

Russell Low P/E ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Fluor Corp.		81		5
Gardner Denver, Inc.		83		5
General Cable Corp. (Æ)		129		4
General Dynamics Corp.		289		19
General Electric Co.		8,508		193
Genpact, Ltd.		169		3
GrafTech International, Ltd. (Æ)		364		3
Harsco Corp.		186		4
Illinois Tool Works, Inc.		66		4
Itron, Inc. (Æ)		92		4
ITT Corp.		187		4
Jacobs Engineering Group, Inc. (Æ)		168		7
KBR, Inc.		221		7
Kennametal, Inc.		140		5
Kirby Corp. (Æ)		60		3
L-3 Communications Holdings, Inc.		111		8
Lexmark International, Inc. Class A		142		3
Manitowoc Co., Inc. (The)		221		3
Manpower, Inc.		134		5
Matson, Inc.		79		2
Navistar International Corp. (Æ)		129		3
Norfolk Southern Corp.		293		19
Northrop Grumman Corp.		238		16
Oshkosh Corp. (Æ)		191		5
PACCAR, Inc.		285		11
Pitney Bowes, Inc.		218		3
Quanta Services, Inc. (Æ)		269		7
Raytheon Co.		308		18
Regal-Beloit Corp.		71		5
Republic Services, Inc. Class A		334		9
RR Donnelley & Sons Co.		354		4
Ryder System, Inc.		111		4
Shaw Group, Inc. (The) (Æ)		143		6
Southwest Airlines Co.		760		7
Spirit Aerosystems Holdings, Inc. Class A (Æ)		177		4
SPX Corp.		66		4
Stanley Black & Decker, Inc.		174		13
Teekay Corp.		114		4
Terex Corp. (Æ)		230		5
Textron, Inc.		308		8
Tidewater, Inc.		90		4
Towers Watson & Co. Class A		91		5
Trinity Industries, Inc.		161		5
Triumph Group, Inc.		67		4
URS Corp.		126		5
UTi Worldwide, Inc.		240		3
Verisk Analytics, Inc. Class A (Æ)		66		3
Waste Connections, Inc.		169		5
WESCO International, Inc. (Æ)		75		4
Xerox Corp.		1,384		10
				603
Technology - 6.8%
Activision Blizzard, Inc.		543		6
Akamai Technologies, Inc. (Æ)		89		3
Amdocs, Ltd.		217		7

	Principal Amount ($) or Shares		Market Value $
AOL, Inc. (Æ)		146		5
Applied Materials, Inc.		1,238		14
Arrow Electronics, Inc. (Æ)		166		6
Avnet, Inc. (Æ)		194		6
AVX Corp.		278		3
Broadcom Corp. Class A (Æ)		234		8
Brocade Communications Systems, Inc. (Æ)		869		5
CA, Inc.		350		9
Computer Sciences Corp.		223		7
Corning, Inc.		1,395		18
Cree, Inc. (Æ)		184		5
Dell, Inc.		1,352		13
Diebold, Inc.		113		4
Dolby Laboratories, Inc. Class A (Æ)		72		2
EchoStar Corp. Class A (Æ)		117		3
Electronic Arts, Inc. (Æ)		438		6
Fairchild Semiconductor International, Inc. Class A (Æ)		277		4
Harris Corp.		123		6
Hewlett-Packard Co.		1,691		29
Ingram Micro, Inc. Class A (Æ)		263		4
Intel Corp.		1,118		25
Jabil Circuit, Inc.		233		4
JDS Uniphase Corp. (Æ)		392		5
Juniper Networks, Inc. (Æ)		561		10
KLA-Tencor Corp.		179		9
Lam Research Corp. (Æ)		170		5
Lambda TD Software, Inc. (Æ)		381		4
Marvell Technology Group, Ltd.		593		5
Micron Technology, Inc. (Æ)		1,151		7
Molex, Inc.		213		6
NetApp, Inc. (Æ)		167		5
PMC - Sierra, Inc. (Æ)		589		3
Polycom, Inc. (Æ)		359		4
Rovi Corp. (Æ)		187		3
SAIC, Inc.		351		4
SanDisk Corp. (Æ)		257		11
Symantec Corp. (Æ)		710		13
Tech Data Corp. (Æ)		83		4
Teradyne, Inc. (Æ)		307		4
VeriSign, Inc. (Æ)		63		3
Vishay Intertechnology, Inc. (Æ)		359		4
Western Digital Corp.		192		7
Yahoo!, Inc. (Æ)		1,123		18
				336
Utilities - 4.8%
Ameren Corp.		266		9
American Electric Power Co., Inc.		446		20
Aqua America, Inc.		197		5
Atmos Energy Corp.		142		5
CenterPoint Energy, Inc.		459		10
DTE Energy Co.		177		11
Duke Energy Corp.		390		25
Entergy Corp.		177		12
FirstEnergy Corp.		382		17
Frontier Communications Corp.		1,441		7

58 Russell Low P/E ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Great Plains Energy, Inc.		224			5
Hawaiian Electric Industries, Inc.		164			4
Integrys Energy Group, Inc.		106			5
MDU Resources Group, Inc.		256			6
MetroPCS Communications, Inc. (Æ)		631			7
National Fuel Gas Co.		110			6
NII Holdings, Inc. (Æ)		360			3
NiSource, Inc.		326			8
NRG Energy, Inc.		324			7
NV Energy, Inc.		329			6
Pepco Holdings, Inc.		308			6
PG&E Corp.		391			17
Pinnacle West Capital Corp.		135			7
PPL Corp.		549			16
TECO Energy, Inc.		309			5
Telephone & Data Systems, Inc.		192			5
US Cellular Corp. (Æ)		75			3
					237
Total Common Stocks (cost $4,974)					4,947
Warrants & Rights - 0.0%
Warrants and Rights - 0.0%
Liberty Ventures (Æ) 2012 Rights		1			—	±
Total Warrants & Rights (cost $— )					—	±
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		5,878	(¥)		6
Total Short-Term Investments (cost $6)					6
Total Investments - 99.9% (identified cost $4,980)					4,953
Other Assets and Liabilities, Net - 0.1%					3
Net Assets - 100.0%					4,956

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

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

Amounts in thousands

	Market Value										% of Net Assets
Portfolio Summary	Level 1			Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	460		$	—	$	—	$	460			9.3
Consumer Staples		175			—		—		175			3.5
Energy		1,035			—		—		1,035			20.9
Financial Services		1,590			—		—		1,590			32.1
Health Care		267			—		—		267			5.4
Materials and Processing		244			—		—		244			4.9
Producer Durables		603			—		—		603			12.1
Technology		336			—		—		336			6.8
Utilities		237			—		—		237			4.8
Warrants & Rights		—	**		—		—		—	**		—	*
Short-Term Investments		—			6		—		6			0.1
Total Investments	$	4,947		$	6	$	—	$	4,953			99.9
Other Assets and Liabilities, Net												0.1
												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 ended September 30, 2012.

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

60 Russell Low P/E ETF

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Russell Low P/E ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	4,980
Investments, at market*		4,953
Receivables:
Dividends		6
Total assets		4,959
Liabilities
Payables:
Accrued fees to affiliates		3
Total liabilities		3
Net Assets	$	4,956
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	3
Accumulated net realized gain (loss)		(299	)
Unrealized appreciation (depreciation) on investments		(27	)
Additional paid-in capital		5,279
Net Assets	$	4,956
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	49.56
Net assets	$	4,956,363
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.

Russell Low P/E ETF 61

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	57
Total investment income		57
Expenses
Management fees		9
Total expenses		9
Net investment income (loss)		48
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		5
Net change in unrealized appreciation (depreciation) on investments		(14	)
Net realized and unrealized gain (loss)		(9	)
Net Increase (Decrease) in Net Assets from Operations	$	39

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

62 Russell Low P/E ETF

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Russell Low P/E ETF

Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	48		$	127
Net realized gain (loss)		5			(363	)
Net change in unrealized appreciation (depreciation)		(14	)		(13	)
Net increase (decrease) in net assets from operations		39			(249	)
Distributions
From net investment income		(49	)		(122	)
Net decrease in net assets from distributions		(49	)		(122	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			5,337
Total Net Increase (Decrease) in Net Assets		(10	)		4,966
Net Assets
Beginning of period		4,966			—
End of period	$	4,956		$	4,966
Undistributed (overdistributed) net investment income included in net assets	$	3		$	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.

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Financial Highlights — For the Periods Ended (Unaudited)

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
September 30, 2012*		49.66		.48			(.09	)		.39		(.49	)		(.49	)
March 31, 2012**		49.51		.77	(e)		.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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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 Russell Low P/E ETF

$ 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)
	49.56		.82		4,956		.37		.37			2.03			41
	49.66		2.02		4,966		.70		.37	(e)		1.98	(e)		48

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

Russell Low P/E ETF 65

Russell Exchange Traded Funds Trust

Russell Small Cap Aggressive Growth ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	995.80	$	1,022.74
Expenses Paid During Period*	$	2.25	$	2.28

* Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

66 Russell Small Cap Aggressive Growth ETF

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Common Stocks - 99.5%
Consumer Discretionary - 15.8%
Aeropostale, Inc. (Æ)		1,044			14
Arctic Cat, Inc. (Æ)		967			40
Big Lots, Inc. (Æ)		456			13
Brunswick Corp.		860			19
Cabela’s, Inc. (Æ)		499			27
Caribou Coffee Co., Inc. (Æ)		1,442			20
Carter’s, Inc. (Æ)		664			36
Cheesecake Factory, Inc. (The)		598			21
Chico’s FAS, Inc.		1,286			23
Churchill Downs, Inc.		325			20
Coinstar, Inc. (Æ)		270			12
Collective Brands, Inc. (Æ)		892			19
Dick’s Sporting Goods, Inc.		392			20
Drew Industries, Inc. (Æ)		686			21
Elizabeth Arden, Inc. (Æ)		486			23
Genesco, Inc. (Æ)		317			21
Grand Canyon Education, Inc. (Æ)		1,668			39
Hanesbrands, Inc. (Æ)		689			22
HealthStream, Inc. (Æ)		1,361			39
Hibbett Sports, Inc. (Æ)		326			19
HSN, Inc.		473			23
Interval Leisure Group, Inc.		1,837			35
Lamar Advertising Co. Class A (Æ)		668			25
Lithia Motors, Inc. Class A		828			28
Madison Square Garden Co. (The) Class A (Æ)		510			21
Movado Group, Inc.		762			26
Oxford Industries, Inc.		427			24
Pandora Media, Inc. (Æ)		3,256			36
Pier 1 Imports, Inc.		1,163			22
Pool Corp.		473			20
Select Comfort Corp. (Æ)		1,690			54
Six Flags Entertainment Corp.		644			38
Stamps.com, Inc. (Æ)		1,435			33
Vail Resorts, Inc.		697			40
ValueClick, Inc. (Æ)		1,136			20
Vitamin Shoppe, Inc. (Æ)		636			37
Winnebago Industries, Inc. (Æ)		3,472			44
Zumiez, Inc. (Æ)		894			25
					1,019
Consumer Staples - 3.9%
Boston Beer Co., Inc. Class A (Æ)		154	��		17
Calavo Growers, Inc.		1,365			34
Casey’s General Stores, Inc.		319			18
GNC Holdings, Inc. Class A		903			35
Hain Celestial Group, Inc. (The) (Æ)		347			22
Peet’s Coffee & Tea, Inc. (Æ)		589			43
Rite Aid Corp. (Æ)		13,294			16
Smart Balance, Inc. (Æ)		3,766			46
Susser Holdings Corp. (Æ)		501			18
					249

	Principal Amount ($) or Shares		Market Value $
Energy - 4.8%
Approach Resources, Inc. (Æ)		1,385		42
Capstone Turbine Corp. (Æ)		34,574		35
Clean Energy Fuels Corp. (Æ)		2,284		30
FX Energy, Inc. (Æ)		5,942		45
Goodrich Petroleum Corp. (Æ)		2,553		32
Kodiak Oil & Gas Corp. (Æ)		4,309		40
Oasis Petroleum, Inc. (Æ)		1,463		43
Rex Energy Corp. (Æ)		3,155		42
				309
Financial Services - 7.6%
Advent Software, Inc. (Æ)		706		17
Cardtronics, Inc. (Æ)		633		19
DuPont Fabros Technology, Inc. (ö)		1,239		31
eHealth, Inc. (Æ)		2,196		41
Euronet Worldwide, Inc. (Æ)		1,116		21
Extra Space Storage, Inc. (ö)		617		21
Fair Isaac Corp.		452		20
Financial Engines, Inc. (Æ)		1,628		39
FXCM, Inc. Class A		1,583		15
Heartland Payment Systems, Inc.		635		20
Investors Bancorp, Inc. (Æ)		1,266		23
MSCI, Inc. Class A (Æ)		562		20
Netspend Holdings, Inc. (Æ)		2,080		20
Ocwen Financial Corp. Class A (Æ)		1,883		52
Ryman Hospitality Properties (Æ)		905		36
Virtus Investment Partners, Inc. (Æ)		437		38
WisdomTree Investments, Inc. (Æ)		5,387		36
Wright Express Corp. (Æ)		305		21
				490
Health Care - 20.0%
Abiomed, Inc. (Æ)		1,551		33
Air Methods Corp. (Æ)		194		23
Align Technology, Inc. (Æ)		1,058		39
Alkermes PLC (Æ)		2,085		43
AMERIGROUP Corp. Class A (Æ)		289		26
Arqule, Inc. (Æ)		3,221		16
Auxilium Pharmaceuticals, Inc. (Æ)		1,317		32
AVANIR Pharmaceuticals, Inc. Class A (Æ)		8,923		29
AVEO Pharmaceuticals, Inc. (Æ)		1,531		16
BioScrip, Inc. (Æ)		4,699		43
Cepheid, Inc. (Æ)		791		27
Cooper Cos., Inc. (The)		240		23
Curis, Inc. (Æ)		3,447		14
Depomed, Inc. (Æ)		6,221		37
DexCom, Inc. (Æ)		2,731		41
Endologix, Inc. (Æ)		2,294		32
Genomic Health, Inc. (Æ)		1,059		37
HeartWare International, Inc. (Æ)		393		37
HMS Holdings Corp. (Æ)		1,062		36
Insulet Corp. (Æ)		1,635		35
Jazz Pharmaceuticals PLC (Æ)		776		44
Ligand Pharmaceuticals, Inc. Class B (Æ)		2,089		36
Luminex Corp. (Æ)		1,446		28

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
MAKO Surgical Corp. (Æ)		1,385		24
MedAssets, Inc. (Æ)		1,402		25
Medicines Co. (The) (Æ)		1,542		40
Medidata Solutions, Inc. (Æ)		1,083		45
Neurocrine Biosciences, Inc. (Æ)		2,418		19
Omnicell, Inc. (Æ)		1,271		18
Optimer Pharmaceuticals, Inc. (Æ)		2,250		32
OraSure Technologies, Inc. (Æ)		3,150		35
Orexigen Therapeutics, Inc. (Æ)		6,287		36
PAREXEL International Corp. (Æ)		1,237		38
Prestige Brands Holdings, Inc. (Æ)		1,177		20
Questcor Pharmaceuticals, Inc. (Æ)		665		12
Quidel Corp. (Æ)		2,256		43
Salix Pharmaceuticals, Ltd. (Æ)		651		28
Sciclone Pharmaceuticals, Inc. (Æ)		5,055		28
Spectrum Pharmaceuticals, Inc. (Æ)		1,196		14
Staar Surgical Co. (Æ)		4,491		34
Team Health Holdings, Inc. (Æ)		783		21
Vical, Inc. (Æ)		5,170		22
Volcano Corp. (Æ)		1,219		35
				1,296
Materials and Processing - 5.6%
Allied Nevada Gold Corp. (Æ)		1,246		48
American Vanguard Corp.		1,331		46
Armstrong World Industries, Inc.		379		18
Buckeye Technologies, Inc.		671		22
Clearwater Paper Corp. (Æ)		560		23
Compass Minerals International, Inc.		244		18
Eagle Materials, Inc.		947		44
Lennox International, Inc.		410		20
Quanex Building Products Corp.		1,953		37
Royal Gold, Inc.		451		45
Simpson Manufacturing Co., Inc.		631		18
Valmont Industries, Inc.		154		20
				359
Producer Durables - 14.0%
Advisory Board Co. (The) (Æ)		703		34
American Railcar Industries, Inc. (Æ)		694		20
AO Smith Corp.		386		22
Barnes Group, Inc.		766		19
Celadon Group, Inc.		1,136		18
Chart Industries, Inc. (Æ)		515		38
Clean Harbors, Inc. (Æ)		330		16
Covanta Holding Corp.		1,085		19
DXP Enterprises, Inc. (Æ)		460		22
Dycom Industries, Inc. (Æ)		1,000		14
ESCO Technologies, Inc.		525		20
FARO Technologies, Inc. (Æ)		841		35
Federal Signal Corp. (Æ)		3,272		21
Forward Air Corp.		592		18
H&E Equipment Services, Inc.		1,270		15
Huron Consulting Group, Inc. (Æ)		604		21
InnerWorkings, Inc. (Æ)		2,582		34
Kforce, Inc. (Æ)		1,383		16
Lincoln Electric Holdings, Inc.		437		17

	Principal Amount ($) or Shares		Market Value $
Liquidity Services, Inc. (Æ)		691		35
Littelfuse, Inc.		327		18
Measurement Specialties, Inc. (Æ)		573		19
Mistras Group, Inc. (Æ)		1,330		31
NACCO Industries, Inc. Class A		160		20
National Instruments Corp.		712		18
Old Dominion Freight Line, Inc. (Æ)		661		20
On Assignment, Inc. (Æ)		1,197		24
OSI Systems, Inc. (Æ)		301		23
RailAmerica, Inc. (Æ)		1,462		40
Roadrunner Transportation Systems, Inc. (Æ)		1,102		18
Robert Half International, Inc.		651		17
Saia, Inc. (Æ)		873		18
Spirit Aerosystems Holdings, Inc. Class A (Æ)		802		18
Team, Inc. (Æ)		1,135		36
Tennant Co.		478		20
Thermon Group Holdings, Inc. (Æ)		1,708		44
Titan International, Inc.		759		13
Toro Co. (The)		522		21
TrueBlue, Inc. (Æ)		1,235		19
US Airways Group, Inc. (Æ)		1,396		15
				906
Technology - 25.2%
3D Systems Corp. (Æ)		1,036		34
ACI Worldwide, Inc. (Æ)		800		34
Active Network, Inc. (The) (Æ)		2,303		29
Actuate Corp. (Æ)		5,106		36
Ariba, Inc. (Æ)		780		35
Aspen Technology, Inc. (Æ)		1,528		39
Bankrate, Inc. (Æ)		1,925		30
BroadSoft, Inc. (Æ)		659		27
Cadence Design Systems, Inc. (Æ)		1,737		22
Callidus Software, Inc. (Æ)		7,109		35
Cavium, Inc. (Æ)		1,263		42
Ciena Corp. (Æ)		2,133		29
Cirrus Logic, Inc. (Æ)		1,183		45
Cognex Corp.		603		21
Compuware Corp. (Æ)		2,056		20
Concur Technologies, Inc. (Æ)		513		38
Cornerstone OnDemand, Inc. (Æ)		1,486		45
Cymer, Inc. (Æ)		592		30
Datalink Corp. (Æ)		3,708		31
DealerTrack Holdings, Inc. (Æ)		1,176		33
Demand Media, Inc. (Æ)		1,662		18
FEI Co.		399		21
Fortinet, Inc. (Æ)		822		20
Geospace Technologies Corp. (Æ)		207		25
IAC/InterActiveCorp		776		40
iGATE Corp. (Æ)		2,080		38
Interactive Intelligence Group, Inc. (Æ)		1,238		37
JDA Software Group, Inc. (Æ)		644		20
Kenexa Corp. (Æ)		1,217		55
LTX-Credence Corp. (Æ)		2,778		16
Mentor Graphics Corp. (Æ)		1,273		20

68 Russell Small Cap Aggressive Growth ETF

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Russell Small Cap Aggressive Growth ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Microsemi Corp. (Æ)		1,033			21
MicroStrategy, Inc. Class A (Æ)		269			36
MIPS Technologies, Inc. Class A (Æ)		2,790			21
NetSuite, Inc. (Æ)		646			41
NeuStar, Inc. Class A (Æ)		572			23
Parametric Technology Corp. (Æ)		912			20
Pegasystems, Inc.		1,074			31
Procera Networks, Inc. (Æ)		1,456			34
PROS Holdings, Inc. (Æ)		2,104			40
QLIK Technologies, Inc. (Æ)		1,600			36
RealPage, Inc. (Æ)		1,527			35
Responsys, Inc. (Æ)		2,923			30
Saba Software, Inc. (Æ)		3,815			38
Semtech Corp. (Æ)		786			20
Silicon Laboratories, Inc. (Æ)		491			18
Stratasys, Inc. (Æ)		714			39
TNS, Inc. (Æ)		1,037			16
Ultimate Software Group, Inc. (Æ)		397			41
Ultratech, Inc. (Æ)		607			19
Universal Display Corp. (Æ)		984			34
ViaSat, Inc. (Æ)		937			35
Vocus, Inc. (Æ)		1,902			38
					1,631
Utilities - 2.6%
8x8, Inc. (Æ)		4,542			30
Cincinnati Bell, Inc. (Æ)		5,132			29
Cogent Communications Group, Inc.		1,838			42
Time Warner Telecom, Inc. Class A (Æ)		1,361			35
Towerstream Corp. (Æ)		8,527			35
					171
Total Common Stocks (cost $5,871)					6,430
Short-Term Investments - 0.3%
Russell U.S. Cash Management Fund		17,876	(¥)		18
Total Short-Term Investments (cost $18)					18
Total Investments - 99.8% (identified cost $5,889)					6,448
Other Assets and Liabilities, Net - 0.2%					15
Net Assets - 100.0%					6,463

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

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,019	$	—	$	—	$	1,019		15.8
Consumer Staples		249		—		—		249		3.9
Energy		309		—		—		309		4.8
Financial Services		490		—		—		490		7.6
Health Care		1,296		—		—		1,296		20.0
Materials and Processing		359		—		—		359		5.6
Producer Durables		906		—		—		906		14.0
Technology		1,631		—		—		1,631		25.2
Utilities		171		—		—		171		2.6
Short-Term Investments		—		18		—		18		0.3
Total Investments	$	6,430	$	18	$	—	$	6,448		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 ended September 30, 2012.

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

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	5,889
Investments, at market*		6,448
Cash		19
Receivables:
Dividends		1
Total assets		6,468
Liabilities
Payables:
Accrued fees to affiliates		5
Total liabilities		5
Net Assets	$	6,463
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	4
Accumulated net realized gain (loss)		(6	)
Unrealized appreciation (depreciation) on investments		559
Additional paid-in capital		5,906
Net Assets	$	6,463
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	64 .63
Net assets	$	6,463,238
Shares outstanding ($.001 par value)		100,002
Amounts in thousands
*           Investments in Affiliates, Russell U.S. Cash Management	$	18

(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.

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	18
Total investment income		18
Expenses
Management fees		14
Total expenses		14
Net investment income (loss)		4
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		136
Net change in unrealized appreciation (depreciation) on investments		(168	)
Net realized and unrealized gain (loss)		(32	)
Net Increase (Decrease) in Net Assets from Operations	$	(28	)

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	4		$	4
Net realized gain (loss)		136			1,084
Net change in unrealized appreciation (depreciation)		(168	)		727
Net increase (decrease) in net assets from operations		(28	)		1,815
Distributions
From net investment income		(1	)		(3	)
Net decrease in net assets from distributions		(1	)		(3	)
Share Transactions
Net increase (decrease) in net assets from share transactions		—			4,680
Total Net Increase (Decrease) in Net Assets		(29	)		6,492
Net Assets
Beginning of period		6,492			—
End of period	$	6,463		$	6,492
Undistributed (overdistributed) net investment income included in net assets	$	4		$	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.

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Financial Highlights — For the Periods 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
September 30, 2012*		64.92		.04			(.32	)		(.28	)		(.01	)		(.01	)
March 31, 2012**		47.22		.04	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

74 Russell Small Cap Aggressive Growth ETF

$ 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)
	64.63		(.42	)		6,463		.45		.45			.12			102
	64.92		37.52			6,492		.72		.45	(e)		.13	(e)		35

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

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Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	999.70	$	1,022.74
Expenses Paid During Period*	$	2.26	$	2 .28

* Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.7%
Consumer Discretionary - 21.2%
Aaron’s, Inc. Class A		588		16
American Public Education, Inc. (Æ)		981		36
Ancestry.com, Inc. (Æ)		1,135		34
Arbitron, Inc.		475		18
Ascena Retail Group, Inc. (Æ)		1,680		36
BJ’s Restaurants, Inc. (Æ)		823		37
Blue Nile, Inc. (Æ)		1,056		39
Brinker International, Inc.		522		18
Buffalo Wild Wings, Inc. (Æ)		357		31
Carter’s, Inc. (Æ)		592		32
Chico’s FAS, Inc.		2,107		38
Coinstar, Inc. (Æ)		450		20
Columbia Sportswear Co.		315		17
Deckers Outdoor Corp. (Æ)		702		26
Dorman Products, Inc. (Æ)		1,241		39
Drew Industries, Inc. (Æ)		1,118		34
Ethan Allen Interiors, Inc.		835		18
Express, Inc. (Æ)		929		14
Grand Canyon Education, Inc. (Æ)		1,499		35
Guess?, Inc.		548		14
Hibbett Sports, Inc. (Æ)		540		32
HomeAway, Inc. (Æ)		1,438		34
Inter Parfums, Inc.		963		18
Interval Leisure Group, Inc.		875		17
John Wiley & Sons, Inc. Class A (Æ)		345		16
Jos A Bank Clothiers, Inc. (Æ)		392		19
K12, Inc. (Æ)		1,326		27
Life Time Fitness, Inc. (Æ)		358		16
Lumber Liquidators Holdings, Inc. (Æ)		924		47
Madison Square Garden Co. (The) Class A (Æ)		444		18
Maidenform Brands, Inc. (Æ)		1,569		32
Matthews International Corp. Class A		512		15
Monro Muffler Brake, Inc.		936		33
Nu Skin Enterprises, Inc. Class A		360		14
Papa John’s International, Inc. (Æ)		355		19
Pier 1 Imports, Inc.		1,028		19
Pricesmart, Inc.		462		35
rue21 inc (Æ)		1,242		39
Select Comfort Corp. (Æ)		1,491		48
Shuffle Master, Inc. (Æ)		1,205		19
Stamps.com, Inc. (Æ)		1,252		29
Steiner Leisure, Ltd. (Æ)		364		17
Steven Madden, Ltd. (Æ)		984		43
Stewart Enterprises, Inc. Class A		2,363		20
Sturm Ruger & Co., Inc.		414		20
Texas Roadhouse, Inc. Class A		903		15
True Religion Apparel, Inc.		1,066		23
Vera Bradley, Inc. (Æ)		1,483		35
VistaPrint NV (Æ)		964		33
Vitamin Shoppe, Inc. (Æ)		568		33
Zagg, Inc. (Æ)		2,867		24
Zumiez, Inc. (Æ)		780		22
				1,383

	Principal Amount ($) or Shares		Market Value $
Consumer Staples - 3.3%
Boston Beer Co., Inc. Class A (Æ)		140		16
Fresh Market, Inc. (The) (Æ)		583		35
Hain Celestial Group, Inc. (The) (Æ)		302		19
Lancaster Colony Corp.		237		17
Medifast, Inc. (Æ)		1,586		42
Peet’s Coffee & Tea, Inc. (Æ)		520		38
Snyders-Lance, Inc.		659		16
TreeHouse Foods, Inc. (Æ)		267		14
USANA Health Sciences, Inc. (Æ)		405		19
				216
Energy - 2.1%
Ameresco, Inc. Class A (Æ)		2,610		31
CARBO Ceramics, Inc.		403		25
Dril-Quip, Inc. (Æ)		477		35
Lufkin Industries, Inc.		569		31
Vaalco Energy, Inc. (Æ)		1,927		16
				138
Financial Services - 7.4%
Advent Software, Inc. (Æ)		614		15
Alexander & Baldwin, Inc. (Æ)		319		9
Amtrust Financial Services, Inc.		616		16
Broadridge Financial Solutions, Inc.		794		19
CBOE Holdings, Inc.		601		18
Duff & Phelps Corp. Class A		1,147		16
Encore Capital Group, Inc. (Æ)		1,053		30
Ezcorp, Inc. Class A (Æ)		1,317		30
Fair Isaac Corp.		393		17
First Cash Financial Services, Inc. (Æ)		779		35
FleetCor Technologies, Inc. (Æ)		895		39
Green Dot Corp. Class A (Æ)		1,397		17
HFF, Inc. Class A (Æ)		1,193		18
Higher One Holdings, Inc. (Æ)		2,568		35
LPL Financial Holdings, Inc.		493		14
Morningstar, Inc.		541		34
Netspend Holdings, Inc. (Æ)		3,388		33
SEI Investments Co.		1,565		34
SVB Financial Group (Æ)		283		17
TFS Financial Corp. (Æ)		1,742		16
Wright Express Corp. (Æ)		270		19
				481
Health Care - 11.8%
Abaxis, Inc. (Æ)		835		30
Accretive Health, Inc. (Æ)		2,846		32
Align Technology, Inc. (Æ)		935		35
Bio-Reference Labs, Inc. (Æ)		1,185		34
Bruker Corp. (Æ)		2,321		30
Cantel Medical Corp.		610		17
Chemed Corp.		275		19
Computer Programs & Systems, Inc.		540		30
Covance, Inc. (Æ)		348		16
Cubist Pharmaceuticals, Inc. (Æ)		439		21
Cyberonics, Inc. (Æ)		693		36

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Ensign Group, Inc. (The)		588		18
Haemonetics Corp. (Æ)		224		18
Hanger, Inc. (Æ)		649		19
ICU Medical, Inc. (Æ)		316		19
Impax Laboratories, Inc. (Æ)		1,542		40
Integra LifeSciences Holdings Corp. (Æ)		454		19
IPC The Hospitalist Co., Inc. (Æ)		682		31
Masimo Corp. (Æ)		1,391		34
Medicis Pharmaceutical Corp. Class A		487		21
Merit Medical Systems, Inc. (Æ)		1,223		18
Metropolitan Health Networks, Inc. (Æ)		1,738		16
Myriad Genetics, Inc. (Æ)		700		19
Omnicell, Inc. (Æ)		1,136		16
PAREXEL International Corp. (Æ)		1,108		34
Quality Systems, Inc.		1,123		21
Sciclone Pharmaceuticals, Inc. (Æ)		4,450		25
Sirona Dental Systems, Inc. (Æ)		370		21
Thoratec Corp. (Æ)		495		17
United Therapeutics Corp. (Æ)		633		35
VCA Antech, Inc. (Æ)		757		15
West Pharmaceutical Services, Inc.		329		17
				773
Materials and Processing - 8.6%
Acuity Brands, Inc.		327		21
American Vanguard Corp.		1,179		41
Armstrong World Industries, Inc.		338		16
Balchem Corp.		510		19
Buckeye Technologies, Inc.		593		19
Cabot Corp.		409		15
Cabot Microelectronics Corp.		1,074		38
Carpenter Technology Corp.		646		34
Compass Minerals International, Inc.		221		16
Eagle Materials, Inc.		835		39
Globe Specialty Metals, Inc.		1,239		19
Haynes International, Inc.		327		17
Hexcel Corp. (Æ)		645		15
Innospec, Inc. (Æ)		570		19
Intrepid Potash, Inc. (Æ)		1,368		29
LSB Industries, Inc. (Æ)		538		24
NewMarket Corp.		78		19
Polypore International, Inc. (Æ)		418		15
RBC Bearings, Inc. (Æ)		658		32
Schweitzer-Mauduit International, Inc.		488		16
Simpson Manufacturing Co., Inc.		564		16
Titanium Metals Corp.		2,765		35
Universal Stainless & Alloy (Æ)		752		28
Valmont Industries, Inc.		138		18
				560
Producer Durables - 21.5%
Actuant Corp. Class A (Æ)		622		18
Aerovironment, Inc. (Æ)		1,174		28
Allegiant Travel Co. Class A (Æ)		448		28
American Railcar Industries, Inc. (Æ)		614		17
AO Smith Corp.		340		20
Barnes Group, Inc.		685		17

	Principal Amount ($) or Shares			Market Value $
Cascade Corp.		354			19
Chart Industries, Inc. (Æ)		453			33
Clean Harbors, Inc. (Æ)		299			15
Copa Holdings SA Class A		375			30
Copart, Inc. (Æ)		702			19
Corporate Executive Board Co. (The)		407			22
Darling International, Inc. (Æ)		1,897			35
Dice Holdings, Inc. (Æ)		1,771			15
EnerSys, Inc. (Æ)		481			17
ESCO Technologies, Inc.		456			18
ExlService Holdings, Inc. (Æ)		1,273			37
Exponent, Inc. (Æ)		315			18
FARO Technologies, Inc. (Æ)		743			31
Forrester Research, Inc.		912			26
Forward Air Corp.		515			16
Franklin Electric Co., Inc.		325			20
Genesee & Wyoming, Inc. Class A (Æ)		591			39
Genpact, Ltd.		1,880	��		31
Gorman-Rupp Co. (The)		558			15
Graco, Inc.		366			18
HEICO Corp.		782			30
InnerWorkings, Inc. (Æ)		2,283			30
Kennametal, Inc.		509			19
Kirby Corp. (Æ)		359			20
Knight Transportation, Inc.		1,040			15
Landstar System, Inc.		605			29
Lindsay Corp.		256			18
Liquidity Services, Inc. (Æ)		611			31
Littelfuse, Inc.		292			17
Matson, Inc.		321			7
MAXIMUS, Inc.		606			36
Measurement Specialties, Inc. (Æ)		512			17
Middleby Corp. (Æ)		313			36
Mine Safety Appliances Co.		413			15
National Instruments Corp.		1,165			29
Old Dominion Freight Line, Inc. (Æ)		1,071			32
On Assignment, Inc. (Æ)		1,042			21
OSI Systems, Inc. (Æ)		263			20
Raven Industries, Inc.		478			14
Regal-Beloit Corp.		267			19
RPX Corp. Class A (Æ)		2,153			24
Spirit Airlines, Inc. (Æ)		1,602			27
Sun Hydraulics Corp.		1,272			34
Team, Inc. (Æ)		991			32
TeleTech Holdings, Inc. (Æ)		1,040			18
Tennant Co.		783			34
Tetra Tech, Inc. (Æ)		638			17
Thermon Group Holdings, Inc. (Æ)		803			20
Titan International, Inc.		688			12
Toro Co. (The)		454			18
Triumph Group, Inc.		296			19
Werner Enterprises, Inc.		696			15
Wesco Aircraft Holdings, Inc. (Æ)		2,451			33
Woodward, Inc.		783			27
Zebra Technologies Corp. Class A (Æ)		484			18
					1,405

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Technology - 23.1%
Acme Packet, Inc. (Æ)		1,675		29
Actuate Corp. (Æ)		4,458		31
Acxiom Corp. (Æ)		1,117		20
ADTRAN, Inc.		1,023		18
Anaren, Inc. (Æ)		1,592		32
Blackbaud, Inc.		1,213		29
Ceva, Inc. (Æ)		1,754		25
Cognex Corp.		526		18
Coherent, Inc. (Æ)		384		18
Compuware Corp. (Æ)		1,791		18
Cymer, Inc. (Æ)		282		14
DTS, Inc. (Æ)		1,184		28
Ebix, Inc.		1,564		36
Extreme Networks (Æ)		9,071		30
FEI Co.		348		19
Geospace Technologies Corp. (Æ)		346		42
Hittite Microwave Corp. (Æ)		612		34
II-VI, Inc. (Æ)		1,876		36
Interactive Intelligence Group, Inc. (Æ)		1,095		33
InvenSense, Inc. Class A (Æ)		2,763		33
IPG Photonics Corp. (Æ)		717		40
iRobot Corp. (Æ)		1,412		32
JDA Software Group, Inc. (Æ)		560		18
Manhattan Associates, Inc. (Æ)		364		21
Micrel, Inc.		3,282		34
Microsemi Corp. (Æ)		1,691		34
MKS Instruments, Inc.		1,079		28
Monolithic Power Systems, Inc. (Æ)		1,555		31
Monotype Imaging Holdings, Inc.		992		15
NETGEAR, Inc. (Æ)		906		35
Netscout Systems, Inc. (Æ)		770		20
NeuStar, Inc. Class A (Æ)		498		20
NIC, Inc.		2,451		36
NVE Corp. (Æ)		575		34
OpenTable, Inc. (Æ)		686		29
Parametric Technology Corp. (Æ)		807		18
Plantronics, Inc.		505		18
Power Integrations, Inc.		828		25
PROS Holdings, Inc. (Æ)		1,856		35
QLogic Corp. (Æ)		1,215		14
Responsys, Inc. (Æ)		2,549		26
Riverbed Technology, Inc. (Æ)		1,933		44
Rogers Corp. (Æ)		780		33
Sapient Corp. (Æ)		3,106		33
Semtech Corp. (Æ)		684		17
Silicon Laboratories, Inc. (Æ)		825		30
SS&C Technologies Holdings, Inc. (Æ)		665		17
Synaptics, Inc. (Æ)		581		14
Synchronoss Technologies, Inc. (Æ)		1,693		38
Syntel, Inc.		509		32
Travelzoo, Inc. (Æ)		743		18
Tyler Technologies, Inc. (Æ)		766		34
Ultratech, Inc. (Æ)		981		31

	Principal Amount ($) or Shares			Market Value $
VASCO Data Security International, Inc. (Æ)		3,821			36
Volterra Semiconductor Corp. (Æ)		1,328			29
					1,512
Utilities - 0.7%
j2 Global, Inc.		639			21
Neutral Tandem, Inc. (Æ)		2,366			22
					43
Total Common Stocks (cost $6,463)					6,511
Short-Term Investments - 0.2%
Russell U.S. Cash Management Fund		10,594	(¥)		11
Total Short-Term Investments (cost $11)					11
Total Investments - 99.9% (identified cost $6,474)					6,522
Other Assets and Liabilities, Net - 0.1%					8
Net Assets - 100.0%					6,530

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

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,383	$	—	$	—	$	1,383		21.2
Consumer Staples		216		—		—		216		3 .3
Energy		138		—		—		138		2.1
Financial Services		481		—		—		481		7.4
Health Care		773		—		—		773		11.8
Materials and Processing		560		—		—		560		8 .6
Producer Durables		1,405		—		—		1,405		21.5
Technology		1,512		—		—		1,512		23.1
Utilities		43		—		—		43		0.7
Short-Term Investments		—		11		—		11		0.2
Total Investments	$	6,511	$	11	$	—	$	6,522		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 ended September 30, 2012.

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

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	6,474
Investments, at market*		6,522
Cash		17
Receivables:
Dividends		1
Total assets		6,540
Liabilities
Payables:
Investments purchased		5
Accrued fees to affiliates		5
Total liabilities		10
Net Assets	$	6,530
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	6
Accumulated net realized gain (loss)		237
Unrealized appreciation (depreciation) on investments		48
Additional paid-in capital		6,239
Net Assets	$	6,530
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	65 .30
Net assets	$	6,529,778
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.

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	20
Total investment income		20
Expenses
Management fees		14
Total expenses		14
Net investment income (loss)		6
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(66	)
In-kind redemptions		400
Net realized gain (loss)		334
Net change in unrealized appreciation (depreciation) on investments		(597	)
Net realized and unrealized gain (loss)		(263	)
Net Increase (Decrease) in Net Assets from Operations	$	(257	)

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	6		$	13
Net realized gain (loss)		334			1,136
Net change in unrealized appreciation (depreciation)		(597	)		645
Net increase (decrease) in net assets from operations		(257	)		1,794
Distributions
From net investment income		(5	)		(8	)
Net decrease in net assets from distributions		(5	)		(8	)
Share Transactions
Net increase (decrease) in net assets from share transactions		254			4,752
Total Net Increase (Decrease) in Net Assets		(8	)		6,538
Net Assets
Beginning of period		6,538			—
End of period	$	6,530		$	6,538
Undistributed (overdistributed) net investment income included in net assets	$	6		$	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.

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Financial Highlights — For the Periods 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
September 30, 2012*		65.37		.06			(.08	)		(.02	)		(.05	)		(.05	)
March 31, 2012**		47.56		.12	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

84 Russell Small Cap Consistent Growth ETF

$ 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)
	65.30		(.03	)		6,530		.45		.45			.18			47
	65.37		37.62			6,538		.72		.45	(e)		.42	(e)		21

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

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Russell Small Cap Low P/E ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	1,015.10	$	1,022.74
Expenses Paid During Period*	$	2.27	$	2.28

* Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.7%
Consumer Discretionary - 18.5%
Aaron’s, Inc. Class A		605		17
Amerco, Inc.		194		21
America’s Car-Mart, Inc. (Æ)		449		20
ANN, Inc. (Æ)		679		25
Arbitron, Inc.		499		19
Ascena Retail Group, Inc. (Æ)		928		20
Barnes & Noble, Inc. (Æ)		1,041		13
Big Lots, Inc. (Æ)		420		12
Bob Evans Farms, Inc.		426		17
Brown Shoe Co., Inc.		1,357		22
Capella Education Co. (Æ)		493		17
Central Garden and Pet Co. Class A (Æ)		1,572		19
Chico’s FAS, Inc.		1,164		21
Children’s Place Retail Stores, Inc. (The) (Æ)		350		21
Churchill Downs, Inc.		294		18
Cinemark Holdings, Inc.		756		17
Columbia Sportswear Co.		320		17
Cooper Tire & Rubber Co.		977		19
Dorman Products, Inc. (Æ)		689		22
DreamWorks Animation SKG, Inc. Class A (Æ)		899		17
Drew Industries, Inc. (Æ)		620		19
DSW, Inc. Class A		315		21
Elizabeth Arden, Inc. (Æ)		451		21
Finish Line, Inc. (The) Class A		833		19
Fred’s, Inc. Class A		1,132		16
Genesco, Inc. (Æ)		291		19
Harman International Industries, Inc.		433		20
Harte-Hanks, Inc.		1,874		13
Helen of Troy, Ltd. (Æ)		510		16
hhgregg, Inc. (Æ)		1,515		10
International Speedway Corp. Class A		661		19
Jack in the Box, Inc. (Æ)		620		17
JAKKS Pacific, Inc.		1,070		16
Jarden Corp. (Æ)		411		22
John Wiley & Sons, Inc. Class A (Æ)		353		16
Jones Group, Inc. (The)		1,827		24
Jos A Bank Clothiers, Inc. (Æ)		403		20
Kirkland’s, Inc. (Æ)		1,523		15
La-Z-Boy, Inc. (Æ)		1,394		20
Leggett & Platt, Inc.		824		21
Life Time Fitness, Inc. (Æ)		377		17
Matthews International Corp. Class A		539		16
Meredith Corp.		542		19
Nu Skin Enterprises, Inc. Class A		373		14
Penn National Gaming, Inc. (Æ)		384		17
Pep Boys-Manny Moe & Jack (The)		1,730		18
Perry Ellis International, Inc. (Æ)		826		18
Ryman Hospitality Properties (Æ) (ö)		444		18
Saks, Inc. (Æ)		1,609		17
Service Corp. International		1,397		19
Shoe Carnival, Inc.		804		19
Snap-on, Inc.		278		20
Stage Stores, Inc.		943		20

	Principal Amount ($) or Shares		Market Value $
Standard Motor Products, Inc.		1,243		23
Steiner Leisure, Ltd. (Æ)		373		17
Steven Madden, Ltd. (Æ)		549		23
Stewart Enterprises, Inc. Class A		2,419		20
Texas Roadhouse, Inc. Class A		937		16
Thor Industries, Inc.		637		23
True Religion Apparel, Inc.		591		13
Tupperware Brands Corp.		316		17
ValueClick, Inc. (Æ)		1,045		18
Viad Corp.		857		18
VOXX International Corp. Class A (Æ)		1,838		14
Warnaco Group, Inc. (The) (Æ)		411		21
Wendy’s Co. (The)		3,713		17
Williams-Sonoma, Inc.		490		22
Wolverine World Wide, Inc.		446		20
World Wrestling Entertainment, Inc. Class A		2,191		18
				1,270
Consumer Staples - 3.3%
Andersons, Inc. (The)		402		15
Boston Beer Co., Inc. Class A (Æ)		143		16
Calavo Growers, Inc.		670		17
Cal-Maine Foods, Inc.		438		20
Core-Mark Holding Co., Inc.		359		17
Harris Teeter Supermarkets, Inc.		422		16
J&J Snack Foods Corp.		295		17
PetMed Express, Inc.		1,409		14
Sanderson Farms, Inc.		374		17
Smithfield Foods, Inc. (Æ)		792		16
Snyders-Lance, Inc.		685		17
Spartan Stores, Inc.		966		15
TreeHouse Foods, Inc. (Æ)		281		15
United Natural Foods, Inc. (Æ)		315		18
				230
Energy - 2.8%
Atwood Oceanics, Inc. (Æ)		460		21
Clayton Williams Energy, Inc. (Æ)		354		18
Dril-Quip, Inc. (Æ)		266		19
Energy XXI Bermuda, Ltd.		553		19
EPL Oil & Gas Inc. (Æ)		1,022		21
Flotek Industries, Inc. (Æ)		1,836		24
Matrix Service Co. (Æ)		1,522		16
Mitcham Industries, Inc. (Æ)		1,010		16
PDC Energy, Inc. (Æ)		699		22
SEACOR Holdings, Inc. (Æ)		196		16
				192
Financial Services - 14.3%
Advent Software, Inc. (Æ)		638		16
American Capital, Ltd. (Æ)		1,716		19
American Equity Investment Life Holding Co.		1,556		18
Argo Group International Holdings, Ltd.		585		19
Broadridge Financial Solutions, Inc.		805		19

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Brookline Bancorp, Inc.		1,955		17
City National Corp.		353		18
CNO Financial Group, Inc.		2,197		21
Colonial Properties Trust (ö)		774		16
CoreLogic, Inc. (Æ)		952		26
Credit Acceptance Corp. (Æ)		206		18
Duff & Phelps Corp. Class A		1,181		16
Eaton Vance Corp.		642		19
Encore Capital Group, Inc. (Æ)		583		16
Euronet Worldwide, Inc. (Æ)		1,018		19
FBL Financial Group, Inc. Class A		612		20
Federated Investors, Inc. Class B		784		16
First Commonwealth Financial Corp.		2,546		18
FirstMerit Corp.		1,046		15
Franklin Street Properties Corp. (ö)		1,619		18
Fulton Financial Corp.		1,715		17
Global Payments, Inc.		403		17
Hercules Technology Growth Capital, Inc.		1,523		17
HFF, Inc. Class A (Æ)		1,229		18
Iberiabank Corp.		340		16
Independent Bank Corp.		591		18
Infinity Property & Casualty Corp.		300		18
Inland Real Estate Corp. (ö)		2,044		17
Jack Henry & Associates, Inc.		501		19
Janus Capital Group, Inc.		2,241		21
LaSalle Hotel Properties (ö)		588		16
MB Financial, Inc.		795		16
Meadowbrook Insurance Group, Inc.		1,949		15
Morningstar, Inc.		303		19
NASDAQ OMX Group, Inc. (The)		756		18
Navigators Group, Inc. (The) (Æ)		348		17
Northwest Bancshares, Inc.		1,488		18
Oritani Financial Corp.		1,211		18
PrivateBancorp, Inc. Class A		1,161		19
S&T Bancorp, Inc.		928		16
SEI Investments Co.		860		18
StanCorp Financial Group, Inc.		472		15
Susquehanna Bancshares, Inc.		1,677		18
Synovus Financial Corp.		8,653		21
TFS Financial Corp. (Æ)		1,812		16
Tower Group, Inc.		821		16
TrustCo Bank Corp. NY		3,192		18
United Community Banks, Inc. (Æ)		1,999		17
ViewPoint Financial Group, Inc.		1,116		21
Waddell & Reed Financial, Inc. Class A		577		19
Washington Federal, Inc.		1,023		17
Western Alliance Bancorp (Æ)		1,830		19
Wintrust Financial Corp.		487		18
World Acceptance Corp. (Æ)		265		18
Zions Bancorporation		890		18
				983
Health Care - 10.1%
AMERIGROUP Corp. Class A (Æ)		262		23
Amsurg Corp. Class A (Æ)		576		16
AngioDynamics, Inc. (Æ)		1,426		17
ArthroCare Corp. (Æ)		595		19

	Principal Amount ($) or Shares		Market Value $
Bio-Rad Laboratories, Inc. Class A (Æ)		173		18
Centene Corp. (Æ)		578		21
Charles River Laboratories International, Inc. (Æ)		523		21
Computer Programs & Systems, Inc.		299		17
CONMED Corp.		625		18
Covance, Inc. (Æ)		364		17
Ensign Group, Inc. (The)		606		19
Greatbatch, Inc. (Æ)		762		19
Haemonetics Corp. (Æ)		233		19
Hanger, Inc. (Æ)		674		19
ICU Medical, Inc. (Æ)		324		20
LifePoint Hospitals, Inc. (Æ)		422		18
Magellan Health Services, Inc. (Æ)		378		20
MedAssets, Inc. (Æ)		1,297		22
Medicis Pharmaceutical Corp. Class A		510		21
MEDNAX, Inc. (Æ)		250		19
Molina Healthcare, Inc. (Æ)		736		19
Myriad Genetics, Inc. (Æ)		727		20
Omnicare, Inc.		549		19
Owens & Minor, Inc.		569		17
PAREXEL International Corp. (Æ)		612		19
Patterson Cos., Inc.		501		17
PerkinElmer, Inc.		670		20
Prestige Brands Holdings, Inc. (Æ)		1,093		19
Sciclone Pharmaceuticals, Inc. (Æ)		2,464		14
Sirona Dental Systems, Inc. (Æ)		387		21
STERIS Corp.		556		20
Symmetry Medical, Inc. (Æ)		2,017		20
Teleflex, Inc.		284		20
Triple-S Management Corp. Class S (Æ)		958		20
Universal American Corp. (Æ)		1,627		15
VCA Antech, Inc. (Æ)		786		16
West Pharmaceutical Services, Inc.		342		18
				697
Materials and Processing - 12.4%
Acuity Brands, Inc.		342		22
Allied Nevada Gold Corp. (Æ)		617		24
Apogee Enterprises, Inc.		1,090		21
Aptargroup, Inc.		339		18
Armstrong World Industries, Inc.		348		16
Belden, Inc.		519		19
Bemis Co., Inc.		552		17
Boise, Inc.		2,652		23
Buckeye Technologies, Inc.		613		20
Cabot Corp.		421		15
Calgon Carbon Corp. (Æ)		1,226		18
Commercial Metals Co.		1,378		18
Cytec Industries, Inc.		295		19
Domtar Corp.		223		17
Encore Wire Corp.		646		19
Georgia Gulf Corp.		673		24
Gibraltar Industries, Inc. (Æ)		1,687		22
Gold Resource Corp.		659		14
Griffon Corp.		2,034		21
Haynes International, Inc.		336		18

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Hexcel Corp. (Æ)		664		16
Innophos Holdings, Inc.		310		15
Innospec, Inc. (Æ)		584		20
Kaiser Aluminum Corp.		336		20
Martin Marietta Materials, Inc.		221		18
Minerals Technologies, Inc.		271		19
Mueller Industries, Inc.		406		18
Northwest Pipe Co. (Æ)		706		17
Olin Corp.		820		18
Packaging Corp. of America		613		22
PH Glatfelter Co.		1,055		19
PolyOne Corp.		1,263		21
Quaker Chemical Corp.		374		17
RPM International, Inc.		635		18
Sensient Technologies Corp.		475		17
Simpson Manufacturing Co., Inc.		581		17
Sonoco Products Co.		568		18
Stepan Co.		185		18
Texas Industries, Inc. (Æ)		448		18
Tredegar Corp.		1,177		21
Universal Stainless & Alloy (Æ)		421		16
Vista Gold Corp. (Æ)		6,017		22
Watsco, Inc.		232		18
Westlake Chemical Corp.		334		25
Worthington Industries, Inc.		844		18
				851
Producer Durables - 18.6%
ABM Industries, Inc.		876		17
Actuant Corp. Class A (Æ)		636		18
Advanced Energy Industries, Inc. (Æ)		1,277		16
Aircastle, Ltd.		1,422		16
American Railcar Industries, Inc. (Æ)		644		18
Applied Industrial Technologies, Inc.		473		20
Badger Meter, Inc.		456		17
Brady Corp. Class A		623		18
Briggs & Stratton Corp.		988		18
Bristow Group, Inc.		429		22
Carlisle Cos., Inc.		326		17
Cascade Corp.		370		20
Celadon Group, Inc.		1,046		17
Clean Harbors, Inc. (Æ)		304		15
Convergys Corp.		1,170		18
Copart, Inc. (Æ)		740		21
Corporate Executive Board Co. (The)		428		23
Curtiss-Wright Corp.		563		18
Darling International, Inc. (Æ)		1,039		19
Electronics for Imaging, Inc. (Æ)		1,065		18
EMCOR Group, Inc.		622		18
EnerSys, Inc. (Æ)		493		17
Esterline Technologies Corp. (Æ)		275		15
FARO Technologies, Inc. (Æ)		407		17
Federal Signal Corp. (Æ)		2,934		19
Forward Air Corp.		536		16
Franklin Electric Co., Inc.		341		21
G&K Services, Inc. Class A		560		18
Genpact, Ltd.		1,041		17

	Principal Amount ($) or Shares		Market Value $
Geo Group, Inc. (The)		754		21
Granite Construction, Inc.		668		19
Great Lakes Dredge & Dock Corp.		2,426		19
Greenbrier Cos., Inc. (Æ)		974		16
Heartland Express, Inc.		1,209		16
Heidrick & Struggles International, Inc.		979		12
HNI Corp.		677		17
Hub Group, Inc. Class A (Æ)		477		14
ICF International, Inc. (Æ)		719		14
Kaman Corp. Class A		554		20
Kennametal, Inc.		517		19
Kirby Corp. (Æ)		364		20
Knight Transportation, Inc.		1,071		15
Lincoln Electric Holdings, Inc.		391		15
Littelfuse, Inc.		301		17
MAXIMUS, Inc.		334		20
Measurement Specialties, Inc. (Æ)		531		18
Mine Safety Appliances Co.		426		16
Moog, Inc. Class A (Æ)		423		16
MSC Industrial Direct Co., Inc. Class A		267		18
MTS Systems Corp.		452		24
Navigant Consulting, Inc. (Æ)		1,367		15
Pacer International, Inc. (Æ)		3,161		13
Powell Industries, Inc. (Æ)		459		18
Regal-Beloit Corp.		278		20
Rush Enterprises, Inc. Class A (Æ)		1,048		20
Saia, Inc. (Æ)		783		16
Shaw Group, Inc. (The) (Æ)		638		28
Spirit Aerosystems Holdings, Inc. Class A (Æ)		719		16
SPX Corp.		265		17
Steelcase, Inc. Class A		1,913		19
Teledyne Technologies, Inc. (Æ)		283		18
Tetra Tech, Inc. (Æ)		662		17
Tidewater, Inc.		370		18
Towers Watson & Co. Class A		286		15
Triumph Group, Inc.		309		19
UniFirst Corp.		271		18
URS Corp.		500		18
Waste Connections, Inc.		573		17
Watts Water Technologies, Inc. Class A		526		20
Werner Enterprises, Inc.		724		15
WESCO International, Inc. (Æ)		300		17
Zebra Technologies Corp. Class A (Æ)		499		19
				1,283
Technology - 13.4%
Acxiom Corp. (Æ)		1,160		21
Amkor Technology, Inc. (Æ)		3,511		15
Anaren, Inc. (Æ)		881		18
Anixter International, Inc.		330		19
Arris Group, Inc. (Æ)		1,242		16
Arrow Electronics, Inc. (Æ)		534		18
Benchmark Electronics, Inc. (Æ)		1,248		19
Blackbaud, Inc.		680		16
Blucora, Inc. (Æ)		1,415		25
Brooks Automation, Inc.		1,833		15

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
CACI International, Inc. Class A (Æ)		318		16
Cognex Corp.		552		19
Coherent, Inc. (Æ)		396		18
Compuware Corp. (Æ)		1,863		18
DealerTrack Holdings, Inc. (Æ)		574		16
Diebold, Inc.		464		16
DST Systems, Inc.		315		18
EarthLink, Inc.		2,303		16
Emulex Corp. (Æ)		2,379		17
Entegris, Inc. (Æ)		2,006		16
Fairchild Semiconductor International, Inc. Class A (Æ)		1,215		16
FEI Co.		365		20
Finisar Corp. (Æ)		1,145		16
Geospace Technologies Corp. (Æ)		193		24
GSI Group, Inc. (Æ)		1,510		13
IAC/InterActiveCorp		376		20
Ingram Micro, Inc. Class A (Æ)		1,003		15
Insight Enterprises, Inc. (Æ)		1,026		18
Ixia (Æ)		1,451		23
JDA Software Group, Inc. (Æ)		587		19
Kenexa Corp. (Æ)		602		29
Manhattan Associates, Inc. (Æ)		375		21
Mentor Graphics Corp. (Æ)		1,152		18
Microsemi Corp. (Æ)		936		19
Molex, Inc.		727		19
Monotype Imaging Holdings, Inc.		1,032		16
NCR Corp. (Æ)		760		18
Netscout Systems, Inc. (Æ)		793		20
NeuStar, Inc. Class A (Æ)		513		21
Plantronics, Inc.		522		18
Plexus Corp. (Æ)		618		19
PMC - Sierra, Inc. (Æ)		2,790		16
Progress Software Corp. (Æ)		836		18
QLogic Corp. (Æ)		1,251		14
Rogers Corp. (Æ)		440		19
Rudolph Technologies, Inc. (Æ)		2,002		21
Sanmina-SCI Corp. (Æ)		2,128		18
ScanSource, Inc. (Æ)		559		18
Super Micro Computer, Inc. (Æ)		1,089		13
Tech Data Corp. (Æ)		356		16
Teradyne, Inc. (Æ)		1,246		18
				925
Utilities - 6.3%
ALLETE, Inc.		414		17
Aqua America, Inc.		692		17
Atmos Energy Corp.		493		18
Black Hills Corp.		542		19
California Water Service Group		937		17
Chesapeake Utilities Corp.		399		19
Cleco Corp.		410		17
El Paso Electric Co.		517		18
Empire District Electric Co. (The)		826		18
Energen Corp.		380		21

	Principal Amount ($) or Shares			Market Value $
Great Plains Energy, Inc.		808			18
Hawaiian Electric Industries, Inc.		611			16
MGE Energy, Inc.		362			19
Northwest Natural Gas Co.		366			18
Ormat Technologies, Inc.		801			15
Otter Tail Corp.		762			18
Piedmont Natural Gas Co., Inc.		543			18
PNM Resources, Inc.		877			18
Premiere Global Services, Inc. (Æ)		2,075			19
South Jersey Industries, Inc.		342			18
UGI Corp.		588			19
UIL Holdings Corp.		486			17
Unitil Corp.		646			18
UNS Energy Corp.		446			19
					431
Total Common Stocks (cost $6,607)					6,862
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		8,320	(¥)		8
Total Short-Term Investments (cost $8)					8
Total Investments - 99.8% (identified cost $6,615)					6,870
Other Assets and Liabilities, Net - 0.2%					11
Net Assets - 100.0%					6,881

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

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	1,270	$	—	$	—	$	1,270		18.5
Consumer Staples		230		—		—		230		3.3
Energy		192		—		—		192		2.8
Financial Services		983		—		—		983		14.3
Health Care		697		—		—		697		10.1
Materials and Processing		851		—		—		851		12.4
Producer Durables		1,283		—		—		1,283		18.6
Technology		925		—		—		925		13.4
Utilities		431		—		—		431		6.3
Short-Term Investments		—		8		—		8		0.1
Total Investments	$	6,862	$	8	$	—	$	6,870		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 ended September 30, 2012.

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

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Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	6,615
Investments, at market*		6,870
Cash		17
Receivables:
Dividends		5
Total assets		6,892
Liabilities
Payables:
Investments purchased		6
Accrued fees to affiliates		5
Total liabilities		11
Net Assets	$	6,881
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(1	)
Accumulated net realized gain (loss)		392
Unrealized appreciation (depreciation) on investments		255
Additional paid-in capital		6,235
Net Assets	$	6,881
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	68.81
Net assets	$	6,881,153
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.

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Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	54
Total investment income		54
Expenses
Management fees		15
Total expenses		15
Net investment income (loss)		39
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(225	)
In-kind redemtions		694
Net realized gain (loss)		469
Net change in unrealized appreciation (depreciation) on investments		(590	)
Net realized and unrealized gain (loss)		(121	)
Net Increase (Decrease) in Net Assets from Operations	$	(82	)

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

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Statements of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	39		$	28
Net realized gain (loss)		469			495
Net change in unrealized appreciation (depreciation)		(590	)		845
Net increase (decrease) in net assets from operations		(82	)		1,368
Distributions
From net investment income		(42	)		(25	)
Net decrease in net assets from distributions		(42	)		(25	)
Share Transactions
Net increase (decrease) in net assets from share transactions		183			5,479
Total Net Increase (Decrease) in Net Assets		59			6,822
Net Assets
Beginning of period		6,822			—
End of period	$	6,881		$	6,822
Undistributed (overdistributed) net investment income included in net assets	$	(1	)	$	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.

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Financial Highlights — For the Periods Ended (Unaudited)

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
September 30, 2012*		68.22		.37			.64		1.01		(.42	)		(.42	)
March 31, 2012**		52.94		.28	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

96 Russell Small Cap Low P/E ETF

$ 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)
	68.81		1.51		6,881		.45		.45			1.15			46
	68.22		29.37		6,822		.73		.45	(e)		.91	(e)		43

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

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Russell Small Cap Contrarian ETF

Shareholder Expense Example — September 30, 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 Semi-annual Report. 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 April 1, 2012 to September 30, 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

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.

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
April 1, 2012	$	1,000.00	$	1,000.00
Ending Account Value
September 30, 2012	$	991.80	$	1,022.74
Expenses Paid During Period*	$	2.25	$	2.28

* Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

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Schedule of Investments — September 30, 2012 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.8%
Consumer Discretionary - 11.8%
American Greetings Corp. Class A		1,978		33
Bob Evans Farms, Inc.		703		27
Central Garden and Pet Co. Class A (Æ)		2,653		32
Children’s Place Retail Stores, Inc. (The) (Æ)		572		34
Digital Generation, Inc. (Æ)		2,283		26
Fred’s, Inc. Class A		1,847		26
GameStop Corp. Class A		1,552		33
Harte-Hanks, Inc.		3,090		21
International Speedway Corp. Class A		1,097		31
Kirkland’s, Inc. (Æ)		2,511		25
Lincoln Educational Services Corp.		4,345		18
Men’s Wearhouse, Inc. (The)		1,013		35
Meredith Corp.		894		31
Penn National Gaming, Inc. (Æ)		644		28
Pep Boys-Manny Moe & Jack (The)		2,853		29
RadioShack Corp.		7,479		18
Rent-A-Center, Inc. Class A		851		30
Stage Stores, Inc.		1,555		33
Stewart Enterprises, Inc. Class A		4,022		34
Superior Industries International, Inc.		1,755		30
Thor Industries, Inc.		1,048		38
Universal Technical Institute, Inc.		2,091		29
VOXX International Corp. Class A (Æ)		3,082		23
Warnaco Group, Inc. (The) (Æ)		675		35
Washington Post Co. (The) Class B		76		28
WMS Industries, Inc. (Æ)		1,416		23
World Wrestling Entertainment, Inc. Class A		3,696		30
				780
Consumer Staples - 3.1%
Cal-Maine Foods, Inc.		735		33
Core-Mark Holding Co., Inc.		587		28
Diamond Foods, Inc.		1,610		30
Fresh Del Monte Produce, Inc.		1,224		32
Harris Teeter Supermarkets, Inc.		701		27
Nash Finch Co.		1,337		27
Smithfield Foods, Inc. (Æ)		1,306		26
				203
Energy - 1.9%
Green Plains Renewable Energy, Inc. (Æ)		4,526		26
Parker Drilling Co. (Æ)		6,368		27
SEACOR Holdings, Inc. (Æ)		321		27
Tesoro Corp.		1,144		48
				128
Financial Services - 18.9%
Alterra Capital Holdings, Ltd.		1,210		29
American Equity Investment Life Holding Co.		2,609		30
American Financial Group, Inc.		720		27
Anworth Mortgage Asset Corp. (ö)		4,006		27
Argo Group International Holdings, Ltd.		981		32

	Principal Amount ($) or Shares		Market Value $
Associated Banc-Corp.		2,141		28
Assurant, Inc.		817		30
Astoria Financial Corp.		2,931		29
Axis Capital Holdings, Ltd.		888		31
BGC Partners, Inc. Class A		4,894		24
Capstead Mortgage Corp. (ö)		2,065		28
Cathay General Bancorp		1,751		30
Columbia Banking System, Inc.		1,501		28
Dime Community Bancshares, Inc.		2,161		31
Duff & Phelps Corp. Class A		1,948		26
Dynex Capital, Inc. (ö)		2,743		29
Employers Holdings, Inc.		1,603		29
Endurance Specialty Holdings, Ltd.		743		29
Euronet Worldwide, Inc. (Æ)		1,678		31
Fifth Street Finance Corp.		2,878		32
First Midwest Bancorp, Inc.		2,600		33
First Niagara Financial Group, Inc.		3,717		30
FNB Corp.		2,643		30
Fulton Financial Corp.		2,895		29
Horace Mann Educators Corp.		1,643		30
Infinity Property & Casualty Corp.		490		30
Investment Technology Group, Inc. (Æ)		3,070		27
Knight Capital Group, Inc. Class A (Æ)		2,406		6
Maiden Holdings, Ltd.		3,330		30
Mercury General Corp.		678		26
NASDAQ OMX Group, Inc. (The)		1,275		30
Navigators Group, Inc. (The) (Æ)		574		28
PennantPark Investment Corp.		2,775		29
Provident Financial Services, Inc.		1,871		30
S&T Bancorp, Inc.		1,555		27
Safety Insurance Group, Inc.		707		32
TCF Financial Corp.		2,519		30
Tower Group, Inc.		1,376		27
Two Harbors Investment Corp. (ö)		2,772		33
Umpqua Holdings Corp.		2,183		28
Validus Holdings, Ltd.		902		31
Walter Investment Management Corp. (Æ)		1,225		45
Washington Federal, Inc.		1,672		28
				1,249
Health Care - 8.0%
AngioDynamics, Inc. (Æ)		2,352		29
CONMED Corp.		1,021		29
Endo Health Solutions, Inc. (Æ)		933		29
Greatbatch, Inc. (Æ)		1,265		31
Hanger, Inc. (Æ)		1,127		32
Health Net, Inc. (Æ)		1,183		27
Healthways, Inc. (Æ)		3,597		42
Invacare Corp.		1,861		26
LifePoint Hospitals, Inc. (Æ)		701		30
Magellan Health Services, Inc. (Æ)		634		33
MedAssets, Inc. (Æ)		2,136		38
Molina Healthcare, Inc. (Æ)		1,223		31
Omnicare, Inc.		920		31
PharMerica Corp. (Æ)		2,631		33
Symmetry Medical, Inc. (Æ)		3,320		33
Triple-S Management Corp. Class S (Æ)		1,571		33

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
VCA Antech, Inc. (Æ)		1,307		26
				533
Materials and Processing - 9.1%
A Schulman, Inc.		1,447		35
AMCOL International Corp.		1,014		34
Apogee Enterprises, Inc.		1,787		35
Commercial Metals Co.		2,272		30
Encore Wire Corp.		1,072		31
Greif, Inc. Class A		705		31
Griffon Corp.		3,322		34
Hecla Mining Co.		6,004		39
Kaiser Aluminum Corp.		549		32
Minerals Technologies, Inc.		453		32
Northwest Pipe Co. (Æ)		1,184		29
Olin Corp.		1,384		30
OM Group, Inc. (Æ)		1,487		28
Owens-Illinois, Inc. (Æ)		1,499		28
RTI International Metals, Inc. (Æ)		1,269		30
Sealed Air Corp.		1,860		29
Sonoco Products Co.		959		30
Steel Dynamics, Inc.		2,444		28
Tredegar Corp.		1,958		35
				600
Producer Durables - 20.9%
ABM Industries, Inc.		1,478		28
Advanced Energy Industries, Inc. (Æ)		2,140		26
Aircastle, Ltd.		2,383		27
Albany International Corp. Class A		1,535		34
Atlas Air Worldwide Holdings, Inc. (Æ)		660		34
Avery Dennison Corp.		1,051		33
Brady Corp. Class A		1,035		30
Briggs & Stratton Corp.		1,642		31
Brink’s Co. (The)		1,228		32
Bristow Group, Inc.		706		36
Celadon Group, Inc.		1,754		28
Ceradyne, Inc.		1,101		27
Consolidated Graphics, Inc. (Æ)		972		25
Electronics for Imaging, Inc. (Æ)		1,738		29
EMCOR Group, Inc.		1,033		29
FTI Consulting, Inc. (Æ)		982		26
G&K Services, Inc. Class A		906		28
GATX Corp.		742		32
General Cable Corp. (Æ)		1,107		33
GrafTech International, Ltd. (Æ)		2,959		27
Granite Construction, Inc.		1,091		31
H&E Equipment Services, Inc.		1,911		23
Heidrick & Struggles International, Inc.		1,614		21
ICF International, Inc. (Æ)		1,205		24
ITT Corp.		1,632		33
Kaman Corp. Class A		928		33
Kelly Services, Inc. Class A		2,188		28
Knightsbridge Tankers, Ltd. (Æ)		3,528		23
Layne Christensen Co. (Æ)		1,388		27
Manpower, Inc.		777		29
MasTec, Inc. (Æ)		1,909		38

	Principal Amount ($) or Shares		Market Value $
Navigant Consulting, Inc. (Æ)		2,273		25
Orbital Sciences Corp. (Æ)		2,223		32
PMFG, Inc. (Æ)		3,677		30
Rush Enterprises, Inc. Class A (Æ)		1,757		34
Ryder System, Inc.		793		31
Saia, Inc. (Æ)		1,304		26
SkyWest, Inc.		4,398		45
Spirit Aerosystems Holdings, Inc. Class A (Æ)		1,206		27
SPX Corp.		440		29
Sykes Enterprises, Inc. (Æ)		1,770		24
Tidewater, Inc.		620		30
Trinity Industries, Inc.		1,143		34
URS Corp.		829		29
UTi Worldwide, Inc.		1,966		26
Watts Water Technologies, Inc. Class A		862		33
Werner Enterprises, Inc.		1,202		26
				1,386
Technology - 14.2%
Acxiom Corp. (Æ)		1,901		35
Amkor Technology, Inc. (Æ)		5,850		26
ATMI, Inc. (Æ)		1,373		25
AVX Corp.		2,642		25
Benchmark Electronics, Inc. (Æ)		2,046		31
Brocade Communications Systems, Inc. (Æ)		5,781		34
CACI International, Inc. Class A (Æ)		522		27
Checkpoint Systems, Inc. (Æ)		3,243		27
Comtech Telecommunications Corp.		1,005		28
DigitalGlobe, Inc. (Æ)		1,895		39
Diodes, Inc. (Æ)		1,505		26
EarthLink, Inc.		3,861		27
Emulex Corp. (Æ)		3,923		28
Fairchild Semiconductor International, Inc. Class A (Æ)		2,051		27
GeoEye, Inc. (Æ)		1,844		49
Harmonic, Inc. (Æ)		6,686		30
Ingram Micro, Inc. Class A (Æ)		1,617		25
International Rectifier Corp. (Æ)		1,413		24
Molex, Inc.		1,193		31
OmniVision Technologies, Inc. (Æ)		2,137		30
ON Semiconductor Corp. (Æ)		3,978		24
Oplink Communications, Inc. (Æ)		2,106		35
Polycom, Inc. (Æ)		2,707		27
Rofin-Sinar Technologies, Inc. (Æ)		1,518		30
Rubicon Technology, Inc. (Æ)		2,814		27
SYNNEX Corp. (Æ)		819		27
Tech Data Corp. (Æ)		596		27
TNS, Inc. (Æ)		1,601		24
TriQuint Semiconductor, Inc. (Æ)		5,258		26
TTM Technologies, Inc. (Æ)		3,053		29
United Online, Inc.		6,755		37
Vishay Intertechnology, Inc. (Æ)		3,027		30
				937

100 Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

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

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Utilities - 11.9%
ALLETE, Inc.		676			28
Atmos Energy Corp.		819			29
Avista Corp.		1,058			27
Black Hills Corp.		885			32
CH Energy Group, Inc.		440			29
Chesapeake Utilities Corp.		657			31
Empire District Electric Co. (The)		1,349			29
General Communication, Inc. Class A (Æ)		3,455			34
Great Plains Energy, Inc.		1,342			30
Hawaiian Electric Industries, Inc.		1,007			27
Laclede Group, Inc. (The)		722			31
Neutral Tandem, Inc. (Æ)		2,179			20
Northwest Natural Gas Co.		604			30
NorthWestern Corp.		770			28
Ormat Technologies, Inc.		1,320			25
Otter Tail Corp.		1,256			30
PNM Resources, Inc.		1,470			31
Portland General Electric Co.		1,078			29
Premiere Global Services, Inc. (Æ)		3,423			32
Telephone & Data Systems, Inc.		1,341			34
UGI Corp.		982			31
UIL Holdings Corp.		788			28
Unitil Corp.		1,084			30
UNS Energy Corp.		748			31
US Cellular Corp. (Æ)		744			29
Vectren Corp.		957			27
WGL Holdings, Inc.		711			29
					791
Total Common Stocks (cost $6,454)					6,607
Short-Term Investments - 0.1%
Russell U.S. Cash Management Fund		7,921	(¥)		8
Total Short-Term Investments
(cost $8)					8
Total Investments - 99.9% (identified cost $6,462)					6,615
Other Assets and Liabilities, Net - 0.1%					5
Net Assets - 100.0%					6,620

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

Russell Small Cap Contrarian ETF 101

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

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

Amounts in thousands

	Market Value								% of Net Assets
Portfolio Summary	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	780	$	—	$	—	$	780		11.8
Consumer Staples		203		—		—		203		3.1
Energy		128		—		—		128		1.9
Financial Services		1,249		—		—		1,249		18.9
Health Care		533		—		—		533		8.0
Materials and Processing		600		—		—		600		9.1
Producer Durables		1,386		—		—		1,386		20.9
Technology		937		—		—		937		14.2
Utilities		791		—		—		791		11.9
Short-Term Investments		—		8		—		8		0.1
Total Investments		6,607		8		—		6,615		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 ended September 30, 2012.

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

102 Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Statement of Assets and Liabilities — September 30, 2012 (Unaudited)

Amounts in thousands
Assets
Investments, at identified cost	$	6,462
Investments, at market*		6,615
Receivables:
Dividends		10
Total assets		6,625
Liabilities
Payables:
Accrued fees to affiliates		5
Total liabilities		5
Net Assets	$	6,620
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	11
Accumulated net realized gain (loss)		427
Unrealized appreciation (depreciation) on investments		153
Additional paid-in capital		6,029
Net Assets	$	6,620
Net Asset Value, offering and redemption price per share:
Net asset value per share:(a)	$	66.19
Net assets	$	6,619,625
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.

Russell Small Cap Contrarian ETF 103

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Statement of Operations — For the Period Ended September 30, 2012 (Unaudited)

Amounts in thousands
Investment Income
Dividends	$	86
Total investment income		86
Expenses
Management fees		15
Total expenses		15
Net investment income (loss)		71
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(306	)
In-kind redemptions		826
Net realized gain (loss)		520
Net change in unrealized appreciation (depreciation) on investments		(797	)
Net realized and unrealized gain (loss)		(277	)
Net Increase (Decrease) in Net Assets from Operations	$	(206	)

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

104 Russell Small Cap Contrarian ETF

Russell Exchange Traded Funds Trust

Russell Small Cap Contrarian ETF

Statement of Changes in Net Assets

Amounts in thousands	Period Ended September 30, 2012 (Unaudited)			Fiscal Year Ended March 31, 2012*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	71		$	71
Net realized gain (loss)		520			1,570
Net change in unrealized appreciation (depreciation)		(797	)		950
Net increase (decrease) in net assets from operations		(206	)		2,591
Distributions
From net investment income		(63	)		(67	)
Net decrease in net assets from distributions		(63	)		(67	)
Share Transactions
Net increase (decrease) in net assets from share transactions		149			4,216
Total Net Increase (Decrease) in Net Assets		(120	)		6,740
Net Assets
Beginning of period		6,740			—
End of period	$	6,620		$	6,740
Undistributed (overdistributed) net investment income included in net assets	$	11		$	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.

Russell Small Cap Contrarian ETF 105

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
September 30, 2012*		67.40		.68			(1.26	)		(.58	)		(.63	)		(.63	)
March 31, 2012**		52.93		.43	(e)		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.

(e) Reflects amounts waived by Russell Investment Management Company (“RIMCo”).

* For the period ended September 30, 2012 (Unaudited).

** 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.

106 Russell Small Cap Contrarian ETF

$ 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)
	66.19		(.82	)		6,620		.45		.45			2.16			50
	67.40		28.19			6,740		.74		.45	(e)		1.40	(e)		57

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

Russell Small Cap Contrarian ETF 107

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

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

Footnotes:

(Æ) Nonincome-producing security.

(ö) Real Estate Investment Trust (REIT).

(¥) Unrounded units.

± Less than $500.

Abbreviations:

ADR - American Depositary Receipt

108 Notes to Schedules of Investments

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

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

1. Organization

Russell Exchange Traded Funds Trust (the “Investment Company” or “RET”) is a series investment company comprised of 26 different investment portfolios that were in operation as of September 30, 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.

2. 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”).

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

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

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

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

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

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 109

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

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

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

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

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

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

Level 3 Trading Assets and Trading Liabilities, at Fair Value

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

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

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

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

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011.

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.

110 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

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

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.

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 Fund files a U.S. tax return. At September 30, 2012, 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. 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 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 111

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

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

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.

3. Investment Transactions

Securities

During the period ended September 30, 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	$	1,817,288	$	1,813,947
Russell Consistent Growth ETF		9,100,039		9,124,144
Russell Growth at a Reasonable Price ETF		3,599,453		3,554,247
Russell Contrarian ETF		1,887,436		1,891,222
Russell Equity Income ETF		11,894,898		11,884,103
Russell Low P/E ETF		1,945,577		1,943,728
Russell Small Cap Aggressive Growth ETF		6,364,256		6,376,957
Russell Small Cap Consistent Growth ETF		3,014,257		2,957,521
Russell Small Cap Low P/E ETF		3,057,606		3,085,356
Russell Small Cap Contrarian ETF		3,239,252		3,221,831

For the period ended September 30, 2012, the purchases and sales of the Funds resulting from in-kind transactions were:

	Purchases		Sales
Russell Consistent Growth ETF	$	15,792,447	$	37,630,635
Russell Growth at a Reasonable Price ETF		10,343,162		30,679,836
Russell Equity Income ETF		4,848,671		51,869,379
Russell Small Cap Consistent Growth ETF		12,704,045		12,504,796
Russell Small Cap Low P/E ETF		13,323,092		13,112,145
Russell Small Cap Contrarian ETF		12,951,829		12,809,651

Because gains and losses resulting from 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 September 30, 2012 are disclosed in the Funds’ Statements of Operations.

4. 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 in the Russell U.S. Cash Management Fund, an unregistered fund advised by RIMCo and administered by RFSC. As of September 30, 2012, the Funds presented herein have invested $92,490 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
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

112 Notes to Financial Statements

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

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

The following shows the amount of the management fees paid by the Funds for the period ended September 30, 2012:

	Management Fees
Russell Aggressive Growth ETF	$	9,493
Russell Consistent Growth ETF		49,267
Russell Growth at a Reasonable Price ETF		30,594
Russell Contrarian ETF		8,488
Russell Equity Income ETF		93,233
Russell Low P/E ETF		8,811
Russell Small Cap Aggressive Growth ETF		13,983
Russell Small Cap Consistent Growth ETF		14,483
Russell Small Cap Low P/E ETF		15,168
Russell Small Cap Contrarian ETF		14,799

Accrued Fees Payable to Affiliate

Accrued fees payable to affiliate for the period ended September 30, 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	$	3,257	$	12,770	$	6,693	$	2,918	$	26,455
	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	$	3,026	$	4,738	$	4,835	$	5,095	$	4,935

Board of Trustees

The Russell Fund Complex consists of Russell Investment Company (“RIC”), which has 41 Funds, Russell Investment Funds (“RIF”), which has 10 Funds, and RET, which had 26 Funds as of September 30, 2012, and 1 Fund as of November 1, 2012. As of November 1, 2012, the Funds’ then-current trustees resigned and were replaced by trustee nominees elected by shareholders of the Fund who also serve as trustees of RIC and RIF. Therefore, as of November 1, 2012, each of the Fund’s Trustees is a Trustee of RIC, RIF and RET. As of the period ended September 30, 2012, and for all funds of RET, each independent trustee was 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 received 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 were also compensated for out of pocket expenses. The Audit Committee Chair and Nominating and Governance Chair were each paid a fee of $12,000 and $6,000, respectively, per year. The Chairman of the Board received additional annual compensation of $20,000.

5. 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. 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		—		299,575

Notes to Financial Statements 113

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

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

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

	Russell Aggressive Growth ETF			Russell Consistent Growth ETF			Russell Growth at a Reasonable Price ETF			Russell Contrarian ETF			Russell Equity Income ETF
Cost of Investments	$	4,774,192		$	10,543,897		$	5,274,848		$	4,760,541		$	9,822,393
Unrealized Appreciation	$	741,954		$	703,168		$	278,478		$	367,704		$	746,301
Unrealized Depreciation		(169,980	)		(350,716	)		(301,703	)		(386,674	)		(222,815	)
Net Unrealized Appreciation (Depreciation)	$	571,974		$	352,452		$	(23,225	)	$	(18,970	)	$	523,486
	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	$	4,986,094		$	5,890,024		$	6,474,734		$	6,616,499		$	6,464,288
Unrealized Appreciation	$	437,374		$	792,830		$	395,334		$	454,799		$	410,446
Unrealized Depreciation		(470,930	)		(234,573	)		(347,924	)		(201,544	)		(259,241	)
Net Unrealized Appreciation (Depreciation)	$	(33,556	)	$	558,257		$	47,410		$	253,255		$	151,205

6. Fund Share Transactions (amounts in thousands)

As of September 30, 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 September 30, 2012 were as follows:

	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell Aggressive Growth ETF
Shares created		—		$	—			200		$	9,753
Shares redeemed		(—	)		(—	)		(100	)		(4,697	)
Total increase (decrease)		—		$	—			100		$	5,056
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell Consistent Growth ETF
Shares created		300		$	15,824			900		$	42,625
Shares redeemed		(700	)		(37,693	)		(300	)		(14,126	)
Total increase (decrease)		(400	)	$	(21,869	)		600		$	28,499
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell Growth at a Reasonable Price ETF
Shares created		200		$	10,364			800		$	38,314
Shares redeemed		(600	)		(30,682	)		(300	)		(14,120	)
Total increase (decrease)		(400	)	$	(20,318	)		500		$	24,194

114 Notes to Financial Statements

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

6. Fund Share Transactions (amounts in thousands) (continued)

	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell Contrarian ETF
Shares created		—		$	—			200		$	9,585
Shares redeemed		(—	)		(—	)		(100	)		(4,466	)
Total increase (decrease)		—		$	—			100		$	5,119
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell Equity Income ETF
Shares created		100		$	4,859			1.600		$	73,801
Shares redeemed		(1,000	)		(51,982	)		(500	)		(24,162	)
Total increase (decrease)		(900	)	$	(47,123	)		1,100		$	49,639
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012*
	Shares			Dollars			Shares			Dollars
Russell Low P/E ETF
Shares created		—		$	—			400		$	19,467
Shares redeemed		(—	)		(—	)		(300	)		(14,130	)
Total increase (decrease)		—		$	—			100		$	5,337
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012**
	Shares			Dollars			Shares			Dollars
Russell Small Cap Aggressive Growth ETF
Shares created		—		$	—			300		$	16,219
Shares redeemed		(—	)		(—	)		(200	)		(11,539	)
Total increase (decrease)		—		$	—			100		$	4,680
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012**
	Shares			Dollars			Shares			Dollars
Russell Small Cap Consistent Growth ETF
Shares created		200		$	12,729			300		$	16,547
Shares redeemed		(200	)		(12,475	)		(200	)		(11,795	)
Total increase (decrease)		—		$	254			100		$	4,752
	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012***
	Shares			Dollars			Shares			Dollars
Russell Small Cap Low P/E ETF
Shares created		200		$	13,347			200		$	11,409
Shares redeemed		(200	)		(13,164	)		(100	)		(5,930	)
Total increase (decrease)		—		$	183			100		$	5,479

Notes to Financial Statements 115

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

6. Fund Share Transactions (amounts in thousands) (continued)

	Period Ended September 30, 2012 (Unaudited)						Fiscal Year Ended March 31, 2012***
	Shares			Dollars			Shares			Dollars
Russell Small Cap Contrarian ETF
Shares created		200		$	12,979			300		$	16,681
Shares redeemed		(200	)		(12,830	)		(200	)		(12,465	)
Total increase (decrease)		—		$	149			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.

7. 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 September 30, 2012, there were no restricted securities held by a Fund that were illiquid.

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

8. Subsequent Events

Management has evaluated events and/or transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustments of the financial statements or additional disclosures except for the following:

On August 16, 2012, the Board approved an orderly liquidation of the Funds. The Board determined that closing and liquidating each Fund was in the best interests of each Fund and its shareholders. As of November 1, 2012, the Trusts’ then-current trustees resigned and were replaced by trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

116 Notes to Financial Statements

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Russell Investment Discipline ETFs^™

Frequency Distribution of Discounts and Premiums — September 30, 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 or equal to 1.00%			5		0.99	%		3		0.60	%
Greater than 0.05% and less than or equal to 0.20%			25		4.97	%		58		11.53	%
Greater than -0.05% and less than or equal to 0.05%			417		82.91	%		343		68.19	%
Greater than -0.20% and less than or equal to -0.05%			56		11.13	%		90		17.89	%
Greater than -1.00% and less than or equal to -0.20%			—		0.00	%		9		1.79	%
			503		100.00	%		503		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 1.00%			—		0.00	%		6		1.19	%
Greater than 0.20% and less than or equal to 1.00%			4		0.80	%		7		1.39	%
Greater than 0.05% and less than or equal to 0.20%			104		20.68	%		21		4.17	%
Greater than -0.05% and less than or equal to 0.05%			299		59.43	%		339		67.40	%
Greater than -0.20% and less than or equal to -0.05%			4		0.80	%		86		17.10	%
Greater than -1.00% and less than or equal to -0.20%			92		18.29	%		35		6.96	%
Less than -1.00%			—		0.00	%		9		1.79	%
			503		100.00	%		503		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 or equal to 1.00%			29		5.77	%		19		3.78	%
Greater than 0.05% and less than or equal to 0.20%			65		12.92	%		244		48.51	%
Greater than -0.05% and less than or equal to 0.05%			319		63.42	%		199		39.56	%
Greater than -0.20% and less than or equal to -0.05%			75		14.91	%		41		8.15	%
Greater than -1.00% and less than or equal to -0.20%			15		2.98	%		—		0.00	%
			503		100.00	%		503		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		0.27	%		—		0.00	%
Greater than 0.20% and less than or equal to 1.00%			—		0.00	%		1		0.27	%
Greater than 0.05% and less than or equal to 0.20%			8		2.20	%		36		9.89	%
Greater than -0.05% and less than or equal to 0.05%			71		19.51	%		164		45.06	%
Greater than -0.20% and less than or equal to -0.05%	��		118		32.42	%		103		28.30	%
Greater than -1.00% and less than or equal to -0.20%			166		45.60	%		60		16.48	%
			364		100.00	%		364		100.00	%

Frequency Distribution of Discounts and Premiums 117

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Frequency Distribution of Discounts and Premiums, continued — September 30, 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 or equal to 1.00%		—		0.00	%		92		25.34	%
Greater than 0.05% and less than or equal to 0.20%		12		3.31	%		106		29.20	%
Greater than -0.05% and less than or equal to 0.05%		113		31.13	%		137		37.74	%
Greater than -0.20% and less than or equal to -0.05%		95		26.17	%		27		7.44	%
Greater than -1.00% and less than or equal to -0.20%		143		39.39	%		1		0.28	%
		363		100.00	%		363		100.00	%

* Number of days are based on inception date which is one day prior to commencement of operations.

118 Frequency Distribution of Discounts and Premiums

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Basis for Approval of Investment Advisory Contracts — (Unaudited)

Approval of Management Agreement

The Board of Trustees, including all of the Independent Trustees, last considered and approved the continuation of the advisory agreement with RIMCo (the “RIMCo Agreement”) at a meeting held in person on April 26, 2012 (the “Agreement Evaluation Meeting”). During the course of a year, the Trustees receive a wide variety of materials regarding the investment performance of the Funds, sales and redemptions of the Funds’ shares, management of the Funds by RIMCo and compliance with applicable regulatory requirements. In preparation for the annual review, the Independent Trustees, with the advice and assistance of their independent counsel, also requested and the Board considered (1) information and reports prepared by RIMCo relating to the services provided by RIMCo (and its affiliates) to the Funds; and (2) information (the “Third-Party Information”) received from an independent, nationally recognized provider of investment company information comparing each Fund’s operating expenses with other peer funds not managed by RIMCo, believed by the provider to be generally comparable in investment objectives to the Funds. 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 requested by the Trustees or provided by RIMCo is collectively called the “Agreement Evaluation Information.” The Trustees received a memorandum from counsel to the Funds discussing the legal standards for their consideration of the continuations of the RIMCo Agreement.

On April 18, 2012, the Independent Trustees in preparation for the Agreement Evaluation Meeting met by conference telephone call to review the Agreement Evaluation Information received to that date in a private session with their independent counsel at which no representatives of RIMCo or the Funds’ management were present. The Independent Trustees also met in person at the Agreement Evaluation Meeting, both with management representatives and in executive session with their independent counsel, to review any additional Agreement Evaluation Information received to that date. At the Agreement Evaluation Meeting, the Board, including the Independent Trustees, reviewed the proposed continuance of the RIMCo Agreement with management, counsel to the Funds and independent counsel to the Independent Trustees. Presentations made by RIMCo to the Board at the Agreement Evaluation Meeting as part of this review encompassed the Funds and all other RIMCo-managed ETFs for which the Board has supervisory responsibility. Prior to voting at the Agreement Evaluation Meeting, the Independent Trustees met in executive session with their independent counsel to consider additional Agreement Evaluation Information received from RIMCo and management at the Agreement Evaluation Meeting. The discussion below reflects all of 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 renewal 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;

2. The management fee to be paid by the Fund to RIMCo (the “Management Fee”) and the fact that it encompasses fees paid 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, but does not encompass any 12b-1 fees that may in the future be instituted with respect to a Fund;

3. Information provided by RIMCo as to other fees and benefits received by RIMCo or its affiliates from RIMCo’s relationship with the Fund, including index-licensing fees;

4. Information provided by RIMCo as to expenses incurred by the Fund; and

5. Information provided by RIMCo as to the fact that it currently derives no profit, and does not expect to in the near term, that RIMCo derives from its exchange traded fund operations generally and from the Fund.

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. 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

Basis for Approval of Investment Advisory Contracts 119

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Russell Investment Discipline ETFs^™

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

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.

In evaluating the reasonableness of the Funds’ Management Fees in light of Fund performance, the Board considered that, in the Agreement Evaluation Information, RIMCo noted differences between the investment strategies of certain Funds and their respective Comparable Funds in pursuing their investment objectives, including Fund strategies which seek to track Underlying 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 such Funds’ Comparable Funds. RIMCo also noted, and the Board considered, that such Underlying Indexes typically rebalance more frequently which requires additional work on the part of RIMCo to track the index.

With respect to the Funds’ Management Fees, the Third-Party Information showed that each Fund had a Management Fee which on a contractual basis, on an actual basis (i.e., giving effect to any voluntary fee waivers implemented by RIMCo and the advisers to such Fund’s Comparable Funds) or on both a contractual and actual basis was ranked in the fifth quintile of its Expense Universe. In these rankings, the first quintile represents funds with the lowest investment Management Fees among funds in the Expense Universe and the fifth quintile represents funds with the highest investment advisory fees among the Expense Universe funds. The comparisons were based upon the latest fiscal years for the Expense Universe funds. RIMCo noted, and the Board considered, that each such Fund has a unitary fee structure, whereas certain other funds in the Expense Universe have additional non-management fees that increase their total expenses and that when taking into account non-management fees of other funds in the Expense Universe, each such Fund’s total expenses are in the fourth quintile. In assessing the Funds’ Management Fees, the Board focused on actual rather than contractual Management Fees. The Board further considered RIMCo’s explanation of the reasons for these Funds’ actual Management Fee rankings and its belief that the Funds’ Management Fees are fair and reasonable notwithstanding such comparisons.

The Board considered for each Fund whether economies of scale have been realized and whether the Management Fee for such Fund appropriately reflects or should be revised to reflect any such economies. The Board considered each Fund’s limited operating history and opportunity for asset growth. The Board considered that RIMCo does not expect that economies of scale will be experienced in the near-term and that RIMCo has operated and expects to continue to initially operate the Funds at a loss.

The Board considered, as a general matter, that fees payable to RIMCo by institutional clients with investment objectives similar to those of the Funds are lower than the rates paid by the Funds. The Trustees considered the differences in the nature and scope of services RIMCo provides to institutional clients and the Funds. RIMCo explained, among other things, that institutional clients have fewer administrative needs than the Funds. In addition, RIMCo noted that the Funds are subject to heightened regulatory requirements relative to institutional clients. The Board noted that RIMCo provides office space and facilities to the Funds and all of the Funds’ officers. Accordingly, the Trustees concluded that the services provided to the Funds are sufficiently different from the services provided to the other clients that comparisons are not probative and should not be given significant weight.

With respect to the Funds’ total expenses, the Third-Party Information showed that the total expenses for each Fund was ranked in the fourth quintile of its Expense Universe based upon the latest fiscal years for the Expense Universe funds. In these rankings, the first quintile represents the funds with the lowest total expenses among funds in the Expense Universe and the fifth quintile represents funds with the highest total expenses among the Expense Universe funds.

On the basis of the Agreement Evaluation Information and other information previously received by the Board from RIMCo during the course of the year, or presented at or in connection with the Agreement Evaluation Meeting by RIMCo, the Board, in respect of each Fund, found, 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 the Fund was comparable to those of its Comparable Funds; (3) RIMCo’s methodology of allocating expenses of operating funds in the complex was reasonable; (4) other benefits and fees received by RIMCo or its affiliates from the Funds were not excessive; and (5) RIMCo’s profitability with respect to the Fund was not excessive in light of the nature, scope and overall quality of the investment management and other services provided by RIMCo.

The Board concluded that, under the circumstances, the performance of each of the Funds was consistent with continuation of the RIMCo Agreement. The Board, in assessing the Funds’ performance, noted each Fund’s limited operating history and considered that no Fund had a full calendar year of performance.

In evaluating performance, the Board considered each Fund’s performance relative to appropriate benchmarks and indices. The Board considered that the Third-Party Information did not include performance universe comparisons, as RIMCo believes that the

120 Basis for Approval of Investment Advisory Contracts

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Russell Investment Discipline ETFs

Basis for Approval of Investment Advisory Contracts, continued — (Unaudited)

Funds’ Comparable Funds are mainly funds that track broad based market indexes and are therefore not comparable to the Funds, which track specialized indexes designed to provide specific outcomes or characteristics. Instead, the Board considered tracking error information with respect to a peer group created by RIMCo which RIMCo believes is more appropriate (the “Internal Performance Universe”).

The Board noted that each Fund’s tracking error was within the tracking error target established by RIMCo. The Board further considered that the tracking error of each Fund was comparable to the tracking error of the funds in its respective Internal Performance Universe, with the exception of the Russell Small Cap Consistent Growth ETF, Russell Small Cap Aggressive Growth ETF, Russell Small Cap Low P/E ETF and Russell Small Cap Contrarian ETF. RIMCo noted that the aforementioned Funds had tracking errors in excess of their peers primarily due to trading costs, cash and other, as described in the Agreement Evaluation Meeting materials. RIMCo further noted that these Funds are relatively new, and their small size amplifies the impact of trading costs associated with the small cap market.

After considering the foregoing and other relevant factors, the Board concluded that continuation of the RIMCo Agreement on its current terms and conditions would be in the best interests of each Fund and its respective shareholders and voted to approve the continuation of the RIMCo Agreement.

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 121

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Russell Investment Discipline ETFs^™

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

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

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

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

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

122 Shareholder Requests for Additional Information

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Russell Investment Discipline ETFs^™

Disclosure of Information about Fund Trustees and Officers — September 30, 2012 (Unaudited)

As of September 30, 2012, 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. As of November 1, 2012, the Trust’s then-current trustees listed below resigned and were replaced by trustee nominees elected by shareholders of the Russell Equity ETF who also serve as trustees of RIC and RIF.

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 TRUSTEE
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).		26	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).		26	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).		26	Harding Loevner Funds (Lead Director since 2008).
Daniel O. Leemon Born: October 25, 1953	Trustee	Since 2011	Retired.		26	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	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).		26	None.

Disclosure of Information about Fund Trustees and Officers 123

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

Disclosure of Information about Fund Trustees and Officers, continued — September 30, 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
Gregory Friedman** Born: October 1, 1969	President and Chief Executive Officer	Since 2012; until successor is chosen and qualified by Trustees	Managing Director, Chief Operating Officer and Head of Product for Russell ETF Business, FRC, 2010-present; Managing Director and Head of Global iShares Relationships, iShares Inc., 2008-2010; Managing Director and Head of iShares Product Management/Strategy, iShares Inc., 1999-2008.	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 2011; 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. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

124 Disclosure of Information about Fund Trustees and Officers

Russell Exchange Traded Funds Trust

Russell Investment Discipline ETFs^™

1301 Second Avenue, Seattle, Washington 98101

(888) 775-3837

Interested Trustee

James Polisson*

Independent Trustees

Evelyn S. Dilsaver

Jane A. Freeman

Daniel O. Leemon

Ernest L. Schmider

Officers

James Polisson*, President and Chief Executive Officer

Gregory Friedman**, 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

1200 Crown Colony Drive

Crown Colony Office Park

Quincy, MA 02169

Office of Shareholder Inquiries

1301 Second Avenue

Seattle, Washington 98101

(888) 775-3837

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

* Mr. Polisson is also an officer and/or director of one or more affiliates of RET and is therefore an Interested Trustee. Effective August 15, 2012, Mr. Polisson resigned from the Board and no longer serves as Trustee of the Trust. Effective August 16, 2012, Mr. Polisson was replaced as President and Chief Executive Officer.

** Effective August 16, 2012, Mr. Friedman was appointed as President and Chief Executive Officer.

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.

Adviser and Service Providers 125

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

80-44-032

Item 2. Code of Ethics. [Annual Report Only]

Item 3. Audit Committee Financial Expert. [Annual Report Only]

Item 4. Principal Accountant Fees and Services. [Annual Report Only]

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/ Sandra Cavanaugh
	Sandra Cavanaugh
	Principal Executive Officer and Chief Executive Officer

Date: November 29, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/ Sandra Cavanaugh
	Sandra Cavanaugh
	Principal Executive Officer and Chief Executive Officer

Date: November 29, 2012

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

Date: November 29, 2012