UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04984
AMERICAN BEACON FUNDS
(Exact name of registrant as specified in charter)
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Address of principal executive offices)-(Zip code)
Gene L. Needles, Jr., PRESIDENT
4151 Amon Carter Boulevard, MD 2450
Fort Worth, Texas 76155
(Name and address of agent for service)
Registrant’s telephone number, including area code: (817) 391-6100
Date of fiscal year end: December 31, 2013
Date of reporting period: June 30, 2013
ITEM 1. REPORTS TO STOCKHOLDERS.
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
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Schedules of Investments: | ||||
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Back Cover |
The Bridgeway Large Cap Value Fund may invest in futures contracts, which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. The intrinsic value of stocks selected for the Fund may never be realized by the market, and the prices of value stocks may go down. While investing in value stocks may limit downside risk over time, the Fund may produce more modest gains than riskier stock funds as a trade-off for this potentially lower risk. The Holland Large Cap Growth Fund may invest in futures contracts, which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Because the Fund may invest in fewer companies than a more diversified portfolio, the fluctuating value of a single holding may have a greater impact on the value of the Fund. The Stephens Mid-Cap Growth and Stephens Small Cap Growth Funds may invest in futures contracts, which are a type of derivative investment. Investing in derivatives could result in losing more than the amount invested. Investing in foreign securities entails additional risk not associated with domestic securities, such as currency fluctuations, economic and political instability and differences in accounting standards. Investing in the securities of small and mid-capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Please see the prospectus for a complete discussion of each Fund’s risks. There can be no assurances that the investment objectives of these Funds will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. The advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2013 |
The first six months of 2013 have been a strong period for U.S. equities. But even in a landscape like this one, there tend to be some pretty stark differences in how different areas of the market react to that rising tide.
While the S&P 500 Index was gaining 13.82% for the first half of the year, the Health Care sector was up more than 20%. The Materials sector, by contrast, was up just 2.90%. Among the stocks within the S&P 500, the returns for the first half of 2013 range from Netflix’s gain of 130% to Cliffs Natural Resources, which lost 58% of its value.
Even within a strong landscape for equities, we can see a significant amount of variation. That puts a premium on careful stock selection. American Beacon Advisors is proud to offer several equity funds that are sub-advised by some of the most highly respected investment teams in the nation.
For the six-month period ended June 30, 2013:
• | American Beacon Bridgeway Large Cap Value Fund (Institutional Class) returned 17.35%. |
• | American Beacon Holland Large Cap Growth Fund (Institutional Class) returned 13.05%. |
• | American Beacon Stephens Small Cap Growth Fund (Institutional Class) returned 17.53%. |
• | American Beacon Stephens Mid-Cap Growth Fund (Institutional Class) returned 13.02%. |
Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.
Best Regards, |
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Gene L. Needles, Jr. |
President |
American Beacon Funds |
1
American Beacon Bridgeway Large Cap Value FundSM
June 30, 2013 (Unaudited)
The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 17.14% for the six months ended June 30, 2013, compared to the Russell 1000® Value Index (the “Index”) return of 15.90% and the Lipper Large-Cap Value Funds Index return of 15.71%.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | Since Incep. 10/31/03 | |||||||||||||
Institutional Class (1,7) | 17.35 | % | 27.96 | % | 8.35 | % | 8.45 | % | ||||||||
Y Class (1,2,7) | 17.23 | % | 27.76 | % | 8.32 | % | 8.43 | % | ||||||||
Investor Class (1, 3, 7) | 17.14 | % | 27.50 | % | 8.24 | % | 8.39 | % | ||||||||
A Class with sales charge (1,4,7) | 10.33 | % | 20.01 | % | 6.93 | % | 7.71 | % | ||||||||
A Class without sales charge (1,4,7) | 17.05 | % | 27.32 | % | 8.20 | % | 8.37 | % | ||||||||
C Class with sales charge (1,5,7) | 15.56 | % | 25.52 | % | 8.00 | % | 8.27 | % | ||||||||
C Class without sales charge (1,5,7) | 16.56 | % | 26.52 | % | 8.00 | % | 8.27 | % | ||||||||
Lipper Large-Cap Value Funds Index (6) | 15.71 | % | 24.61 | % | 5.96 | % | 6.32 | % | ||||||||
Russell 1000 Value Index (6) | 15.90 | % | 25.32 | % | 6.67 | % | 7.18 | % |
* | Not annualized. |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to the Institutional Class was waived since 2008 and since 2012 for the Y, Investor, A, and C Classes. |
2. | Fund performance for the five-year and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 up to 2/3/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 10/31/03. |
3. | Fund performance for the five-year and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 up to 2/3/12, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional |
Class. Therefore, total returns shown may be higher than they would have been had the Investor Class been in existence since 10/31/03. |
4. | Fund performance for the five-year and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 through 2/3/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 10/31/03. A Class shares have a maximum sales charge of 5.75%. |
5. | Fund performance for the five-year and since inception periods represent the returns achieved by the Institutional Class from 10/31/03 through 2/3/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 10/31/03. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
6. | The Russell 1000 Value Index is an unmanaged index of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell 1000® Value Index and Russell 1000 Index are registered trademarks of the Frank Russell Company. The Lipper Large-Cap Value Funds Index tracks the results of the 30 largest mutual funds in the Lipper Large-Cap Value Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.73%, 3.75%, 2.26% 2.21%, and 6.81%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund outperformed the Index as both stock selection and sector allocation added value relative to the Index.
Investments in the Consumer Staples and Energy sectors contributed most to the Fund’s performance. In the Consumer Staples sector, Green Mountain Coffee (up 62.5%), Constellation Brands (up 47.3%) and Campbell Soup (up 28.4%) were the largest contributors. Exxon Mobil (up 3.1%), Marathon Petroleum (up 12.5%) and Pioneer Natural Resources (up 35.8%) added the most relative value in the Energy sector. Holdings in the Information Technology and Industrials sectors also contributed to the Fund’s returns. Activision
2
American Beacon Bridgeway Large Cap Value FundSM
Performance Overview
June 30, 2013 (Unaudited)
Blizzard (up 36.0%) and Western Digital (up 47.4%) contributed most to performance in the Information Technology sector, as did Delta Air Lines (up 58.1%), Northrop Grumman (up 25.3%) and General Electric (up 12.7%) in the Industrials sector. Poor stock selection in the Consumer Discretionary sector detracted relative value. Dillard’s (down 2.0%) and American Eagle Outfitters (down 2.2%) were the largest detractors in the Consumer Discretionary sector.
On average, an overweight position in Information Technology, the best performing sector in the Index, added relative value through sector allocation. Being underweight Materials, the worst performing sector in the Index, also contributed to the Fund’s returns.
Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in larger stocks with above-average growth potential.
Top Ten Holdings (% Net Assets)
AT&T, Inc. | 1.5 | |||||||
Exxon Mobil Corp. | 1.5 | |||||||
Chevron Corp. | 1.3 | |||||||
U.S. Bancorp | 1.3 | |||||||
Phillips 66 | 1.3 | |||||||
Delta Air Lines, Inc. | 1.3 | |||||||
Hess Corp. | 1.3 | |||||||
Time Warner, Inc. | 1.3 | |||||||
Xcel Energy, Inc. | 1.3 | |||||||
Northrop Grumman Corp. | 1.3 | |||||||
Total Fund Holdings | 124 |
Sector Allocation (% Equities)
Financials | 28.9 | |||
Energy | 13.6 | |||
Consumer Staples | 10.9 | |||
Information Technology | 10.2 | |||
Consumer Discretionary | 9.7 | |||
Health Care | 9.1 | |||
Industrials | 7.2 | |||
Utilities | 6.7 | |||
Telecommunication Services | 2.1 | |||
Materials | 1.6 |
3
American Beacon Holland Large Cap Growth FundSM
Performance Overview
June 30, 2013 (Unaudited)
The Investor Class of the American Beacon Holland Large Cap Growth Fund (the “Fund”) returned 12.87% for the six months ended June 30, 2013, compared to the Russell 1000® Growth Index (the “Index”) return of 11.80% and the Lipper Large-Cap Growth Funds Index return of 10.18%.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | 10 Years | |||||||||||||
Institutional Class (1,2,8) | 13.05 | % | 17.12 | % | 7.63 | % | 7.05 | % | ||||||||
Y Class (1,3,8) | 13.06 | % | 17.00 | % | 7.60 | % | 7.03 | % | ||||||||
Investor Class (1,8) | 12.87 | % | 16.70 | % | 7.46 | % | 6.96 | % | ||||||||
A Class with sales charge (1,4,8) | 6.29 | % | 9.86 | % | 6.14 | % | 6.30 | % | ||||||||
A Class without sales charge (1,4,8) | 12.78 | % | 16.57 | % | 7.41 | % | 6.93 | % | ||||||||
C Class with sales charge (1,5,8) | 11.39 | % | 14.70 | % | 7.21 | % | 6.83 | % | ||||||||
C Class without sales charge (1,5,8) | 12.39 | % | 15.70 | % | 7.21 | % | 6.83 | % | ||||||||
Lipper Large-Cap Growth Funds Index (7) | �� | 10.18 | % | 16.38 | 5.26 | % | 6.24 | % | ||||||||
Russell 1000 Growth Index (7) | 11.80 | % | 17.07 | % | 7.47 | % | 7.40 | % |
* | Not annualized |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to each class was waived since 2002. Performance prior to waiving fees was lower than the actual returns shown since 2002. |
2. | Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/03 up to 3/1/10, the inception date of the Institutional Class, and the returns of the Institutional Class since its inception. Expenses of the Institutional Class are lower than those of the Investor Class. As a result, total returns shown may be lower than they would have been had the Institutional Class been in existence since 6/30/03. |
3. | Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/03 up to 3/23/12, the inception date of the Y Class, and the returns of the Y Class since its |
inception. Expenses of the Y Class are lower than those of the Investor Class. As a result, total returns shown may be lower than they would have been had the Y Class been in existence since 6/30/03. |
4. | Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/03 through 2/1/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/03. A Class shares have a maximum sales charge of 5.75%. |
5. | Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 6/30/03 through 3/23/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/03. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase. |
6. | The Russell 1000 Growth Index is an unmanaged index of those stocks in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. Russell 1000® Growth Index and Russell 1000 Index are registered trademarks of the Frank Russell Company. The Lipper Large-Cap Growth Funds Index tracks the results of the 30 largest mutual funds in the Lipper Large-Cap Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.33%, 10.19%, 1.45% 2.74%, and 6.18% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund outperformed the Index entirely due to stock selection as sector allocation detracted value relative to the Index.
Investments in the Information Technology and Energy sectors contributed most to the Fund’s returns. In the Information Technology sector, Apple (down 24.7%) positively impacted performance as the Fund held a much smaller position in the security compared to the Index. Cisco Systems (up 24.7%) also contributed relative value. In the Energy sector, Range Resources (up 23.2%), Halliburton (up 21.0%) and Occidental Petroleum (up 18.2%) were the largest
4
American Beacon Holland Large Cap Growth FundSM
Performance Overview
June 30, 2013 (Unaudited)
contributors. Poor stock selection in the Health Care and Consumer Discretionary sectors detracted from Fund performance. Hospira (down 5.8%) was the largest detractor in the Health Care sector. Not owning Bristol Myers Squibb and Celgene, which were up 39.8% and 49.1%, respectively, in the Index, also hurt performance. In the Consumer Discretionary sector, Yum! Brands (up 5.4%) detracted relative value. Not owning Home Depot and Netflix, which were up 26.6% and 128.0%, respectively, in the Index, also negatively impacted performance.
An overweight in Information Technology, the worst performing sector in the Index, detracted relative value through sector allocation. This was slightly offset by overweighting Health Care, the best performing sector in the Index, which contributed to the Fund’s returns.
Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in larger stocks with above-average growth potential.
Top Ten Holdings (% Net Assets)
Visa, Inc. | 4.2 | |||||||
Amazon.com, Inc. | 3.9 | |||||||
Range Resources Corp. | 3.8 | |||||||
Citrix Systems, Inc. | 3.6 | |||||||
Cisco Systems, Inc. | 3.6 | |||||||
Google, Inc. | 3.3 | |||||||
Yum! Brands, Inc. | 3.3 | |||||||
Covidien PLC | 3.1 | |||||||
Qualcomm, Inc. | 4.1 | |||||||
Priceline.com, Inc. | 2.9 | |||||||
Total Fund Holdings | 48 |
Sector Allocation (% Equities)
Information Technology | 35.0 | |||
Consumer Discretionary | 16.6 | |||
Health Care | 14.9 | |||
Consumer Staples | 9.5 | |||
Energy | 8.9 | |||
Industrials | 6.9 | |||
Materials | 4.8 | |||
Financials | 3.4 |
5
American Beacon Stephens Small Cap Growth FundSM
Performance Overview
June 30, 2013 (Unaudited)
The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned 17.45% for the six months ended June 30, 2013, outperforming the Russell 2000® Growth Index (the “Index”) return of 17.44% and the Lipper Small-Cap Growth Funds Index return of 15.86% for the same period.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | Since Incep. 12/1/05 | |||||||||||||
Institutional Class (1,2,7) | 17.53 | % | 18.48 | % | 10.39 | % | 8.83 | % | ||||||||
Y Class (1,3,7) | 17.54 | % | 18.41 | % | 10.19 | % | 7.41 | % | ||||||||
Investor Class (1,7) | 17.45 | % | 18.17 | % | 10.12 | % | 7.36 | % | ||||||||
A Class with sales charge (1,4,7) | 10.54 | % | 11.19 | % | 8.76 | % | 6.49 | % | ||||||||
A Class without sales charge (1,4,7) | 17.31 | % | 17.94 | % | 10.06 | % | 7.32 | % | ||||||||
C Class with sales charge (1,5,7) | 15.86 | % | 16.04 | % | 9.84 | % | 7.18 | % | ||||||||
C Class without sales charge (1,5,7) | 16.86 | % | 17.04 | % | 9.84 | % | 7.18 | % | ||||||||
S&P 500 Index (6) | 13.82 | % | 20.60 | % | 7.01 | % | 5.59 | % | ||||||||
Lipper Small-Cap Growth Funds Index (6) | 15.86 | % | 22.24 | % | 8.01 | % | 6.02 | % | ||||||||
Russell 2000 Growth Index (6) | 17.44 | % | 23.67 | % | 8.89 | % | 7.16 | % |
* | Not annualized |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to each Class was waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. |
2. | Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. |
3. | Fund performance for the five-year and since inception periods represent the returns achieved by the Investor Class from 12/1/05 up to 2/24/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are lower than those of the Investor Class. Therefore, total returns shown may be lower than they would have been had the Y Class been in existence since 12/1/05. |
4. | Fund performance for the five-year and since inception periods represent the returns achieved by the Investor Class from 12/1/05 up to 2/24/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result total returns shown may be higher than they would have been had the A Class been in existence since 12/1/05. A Class has a maximum sales charge of 5.75%. |
5. | Fund performance for the five-year and since inception periods represent the returns achieved by the Investor Class from 12/1/05 up to 2/24/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 12/1/05. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
6. | The S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the United States. The Russell 2000 Growth Index is an unmanaged index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index is an unmanaged index of approximately 2000 smaller-capitalization stocks from various industrial sectors. The Russell 2000 Growth Index and the Russell 2000 Index are registered trademarks of Frank Russell Company. The Lipper Small-Cap Growth Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.22% 2.07%, 1.58%, 2.10%, and 6.17% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund outperformed the Index as both stock selection and sector allocation added value relative to the Index.
Holdings in the Financials, Consumer Discretionary and Health Care sectors contributed the most relative value for the Fund. In the Financials sector, Radian Group (up 68.5%), Portfolio Recovery Associates (up 45.0%) and SVB Financial Group (up 49.2%) were the largest contributors. Krispy Kreme Doughnuts (up 89.0%), Lions Gate Entertainment (up 69.4%) and Chuy’s (up 73.8%) had the largest impact to the Fund’s returns in the Consumer Discretionary sector. Medidata Solutions (up 97.1%) Proto Labs (up
6
American Beacon Stephens Small Cap Growth FundSM
Performance Overview
June 30, 2013 (Unaudited)
66.2%) and Parexel International (up 54.6%) contributed most to relative performance in the Health Care sector.
Holdings in the Information Technology and Consumer Staples sectors detracted from the Fund’s returns. Vocus (down 52.5%), Vocera Communications (down 44.8%) and Aruba Networks (down 25.4%) hurt performance in the Information Technology sector. In the Consumer Staples sector, United Natural Foods (down 0.4%) and Boulder Brands (down 29.5%) were the largest detractors. Not owning SuperValu, which was up 151.8% in the Index, also negatively impacted performance.
The Fund’s significant underweight in Materials, the worst performing sector in the Index, added relative value through sector allocation.
Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in smaller capitalization stocks with above-average growth potential.
Top Ten Holdings (% Net Assets)
CoStar Group, Inc. | 2.1 | |||||||
Proto Labs, Inc. | 1.8 | |||||||
Medidata Solutions, Inc. | 1.7 | |||||||
Lions Gate Entertainment Corp. | 1.7 | |||||||
WageWorks, Inc. | 1.6 | |||||||
Neogen Corp. | 1.5 | |||||||
Encore Capital Group, Inc. | 1.5 | |||||||
Sourcefire, Inc. | 1.5 | |||||||
PAREXEL International Corp. | 1.5 | |||||||
Krispy Kreme Doughnuts, Inc. | 1.5 | |||||||
Total Fund Holdings | 118 |
Sector Allocation (% Equities)
Information Technology | 23.1 | |||
Health Care | 21.0 | |||
Consumer Discretionary | 13.8 | |||
Industrials | 13.8 | |||
Financials | 11.5 | |||
Energy | 8.1 | |||
Consumer Staples | 7.2 | |||
Materials | 1.0 | |||
Telecommunication Services | 0.5 |
7
American Beacon Stephens Mid-Cap Growth FundSM
Performance Overview
June 30, 2013 (Unaudited)
The Investor Class of the American Beacon Stephens Mid-Cap Growth Fund (the “Fund”) returned 12.81% for the six months ended June 30, 2013. The Fund underperformed the Russell Midcap® Growth Index (the “Index”) return of 14.70% and the Lipper Mid-Cap Growth Funds Index return of 14.26%.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | Since Incep. 2/1/06 | |||||||||||||
Institutional Class (1,2,7) | 13.02 | % | 18.77 | % | 7.89 | % | 8.51 | % | ||||||||
Y Class (1,3,7) | 12.87 | % | 18.85 | % | 7.68 | % | 6.34 | % | ||||||||
Investor Class (1,7) | 12.81 | % | 18.33 | % | 7.58 | % | 6.27 | % | ||||||||
A Class with sales charge (1,4,7) | 6.29 | % | 11.36 | % | 6.30 | % | 5.41 | % | ||||||||
A Class without sales charge (1,4,7) | 12.74 | % | 18.16 | % | 7.56 | % | 6.26 | % | ||||||||
C Class with sales charge (1,5,7) | 11.14 | % | 16.47 | % | 7.36 | % | 6.12 | % | ||||||||
C Class without sales charge (1,5,7) | 12.14 | % | 17.47 | % | 7.36 | % | 6.12 | % | ||||||||
S&P 500 Index (6) | 13.82 | % | 20.60 | % | 7.01 | % | 5.35 | % | ||||||||
Russell Midcap Growth Index (6) | 14.70 | % | 22.88 | % | 7.61 | % | 6.23 | % | ||||||||
Lipper Mid-Cap Growth Funds Index (6) | 14.26 | % | 20.24 | % | 6.09 | % | 6.11 | % |
* | Not annualized |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please call 1-800-967-9009 or visit www.americanbeaconfunds.com. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. A portion of the fees charged to each Class was waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. |
2. | Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. |
3. | Fund performance for the five-year and since inception periods represent the returns achieved by the Investor Class from 2/1/06 up to 2/24/12, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are lower than those of the Investor Class. Therefore, total returns shown may be lower than they would have been had the Y Class been in existence since 2/1/06. |
4. | Fund performance for the five-year and since inception periods represent the returns achieved by the Investor Class from 2/1/06 up to 2/24/12, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. Therefore, total returns shown may be higher than they would have been had the A Class been in existence since 2/1/06. A Class has a maximum sales charge of 5.75%. |
5. | Fund performance for the five-year and since inception periods represent the returns achieved by the Investor Class from 2/1/06 up to 2/24/12, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Investor Class. Therefore, total returns shown may be higher than they would have been had the C Class been in existence since 2/1/06. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
6. | The S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the United States. The Russell Midcap Growth Index is an unmanaged index of those stocks in the Russell Midcap Index with higher price-to-book ratios and higher forecasted growth values. Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index. Russell Midcap Index, Russell Midcap Growth Index and Russell 1000 are registered trademarks of Frank Russell Company. The Lipper Mid-Cap Growth Funds Index tracks the results of the 30 largest mutual funds in the Lipper Mid-Cap Growth Funds category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
7. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 1.29%, 3.86%, 1.68%, 1.84%, and 14.55%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund underperformed the Index entirely through stock selection as sector allocation added modest value relative to the Index.
Investments in the Consumer Staples, Industrials and Health Care sectors detracted the most relative value. In the Consumer Staples sector, not owning Green Mountain Coffee and Kroger, which were up 81.9% and 34.0%, respectively, in the Index, negatively impacted Fund performance. In the Industrials sector, HMS Holdings (down 10.0%) and Clean Harbors (down 9.7%) detracted most from the Fund’s returns. Not owning Delta Air Lines, which was up 57.6% in the
8
American Beacon Stephens Mid-Cap Growth FundSM
Performance Overview
June 30, 2013 (Unaudited)
Index, also hurt performance. In the Health Care sector, not owning Vertex Pharmaceuticals and Actavis, which were up 91.1% and 46.8%, respectively, in the Index, detracted from the Fund’s performance. Good stock selection in the Financials sector contributed to the Fund’s returns. Portfolio Recovery Associates (up 43.5%), SVB Financial Group (up 34.4%) and Intercontinental Exchange (up 44.0%) added relative value in the Financials sector.
A significant underweight in Materials, one of the poorer performing sectors in the Index, contributed to the Fund’s performance through sector allocation. An overweight in the Energy sector also contributed to the Fund’s returns. The aforementioned good performance was somewhat offset by an overweight in the Information Technology sector which detracted relative value.
Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in medium capitalization stocks with above-average growth potential.
Top Ten Holdings (% Net Assets)
Cerner Corp. | 2.0 | |||||||
Stericycle, Inc. | 1.8 | |||||||
Portfolio Recovery Associates, Inc. | 1.7 | |||||||
LKQ Corp. | 1.6 | |||||||
Discovery Communications, Inc. | 1.6 | |||||||
Verisk Analytics, Inc. | 1.5 | |||||||
Whole Foods Market, Inc. | 1.5 | |||||||
Illumina, Inc. | 1.5 | |||||||
CarMax, Inc. | 1.5 | |||||||
Core Laboratories NV | 1.5 | |||||||
Total Fund Holdings | 103 |
Sector Allocation (% Equities)
Consumer Discretionary | 22.1 | |||
Information Technology | 21.5 | |||
Health Care | 18.7 | |||
Industrials | 11.8 | |||
Energy | 10.4 | |||
Financials | 8.3 | |||
Consumer Staples | 5.8 | |||
Materials | 1.4 |
9
American Beacon FundSM
Fund Expenses
June 30, 2013 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including management fees, administrative service fees, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2013 through June 30, 2013.
Actual Expenses
The “Actual” lines of the table provide information about actual account values and actual expenses. You may use the information in this line, 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 line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” lines of the table provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund, such as sales charges (loads). Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
10
American Beacon FundSM
Fund Expenses
June 30, 2013 (Unaudited)
Bridgeway Large Cap Value Fund:
Beginning Account Value 1/1/13 | Ending Account Value 6/30/13 | Expenses Paid During Period* 1/1/13-6/30/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,173.49 | $ | 4.53 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.63 | $ | 4.21 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,172.34 | $ | 5.06 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.13 | $ | 4.71 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,171.41 | $ | 6.57 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.74 | $ | 6.11 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,170.46 | $ | 7.21 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.15 | $ | 6.71 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,165.60 | $ | 11.22 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,014.43 | $ | 10.44 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.84%, 0.94%, 1.22%, 1.34% and 2.09% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half- year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
Holland Large Cap Growth Fund
Beginning Account Value 1/1/13 | Ending Account Value 6/30/13 | Expenses Paid During Period* 1/1/13-6/30/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,130.55 | $ | 4.70 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,020.38 | $ | 4.46 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,130.62 | $ | 5.23 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,128.71 | $ | 6.70 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.50 | $ | 6.36 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,127.80 | $ | 7.33 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.90 | $ | 6.95 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,123.94 | $ | 11.27 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,014.18 | $ | 10.69 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.89%, 0.99%, 1.27%, 1.39% and 2.14% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half- year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
Stephens Small Cap Growth Fund
Beginning Account Value 1/1/13 | Ending Account Value 6/30/13 | Expenses Paid During Period* 1/1/13-6/30/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,175.29 | $ | 5.88 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.39 | $ | 5.46 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,175.43 | $ | 6.42 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.89 | $ | 5.96 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,174.47 | $ | 7.28 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.10 | $ | 6.76 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,173.14 | $ | 8.57 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,016.91 | $ | 7.95 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,168.58 | $ | 12.58 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,013.19 | $ | 11.68 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 1.09%, 1.19%, 1.35%, 1.59% and 2.34% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half- year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
Stephens Mid-Cap Growth Fund
Beginning Account Value 1/1/13 | Ending Account Value 6/30/13 | Expenses Paid During Period* 1/1/13-6/30/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,130.19 | $ | 5.23 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,128.72 | $ | 5.75 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.39 | $ | 5.46 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,128.15 | $ | 7.23 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,018.00 | $ | 6.85 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,127.42 | $ | 7.86 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,017.41 | $ | 7.45 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,121.43 | $ | 11.78 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,013.69 | $ | 11.18 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six- month period of 0.99%, 1.09%, 1.37%, 1.49% and 2.24% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half- year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
11
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
COMMON STOCK - 96.30% |
| |||||||
CONSUMER DISCRETIONARY - 9.38% |
| |||||||
Auto Components - 0.99% |
| |||||||
Lear Corp. | 10,800 | $ | 653 | |||||
|
| |||||||
Automobiles - 2.74% |
| |||||||
Ford Motor Co. | 38,900 | 602 | ||||||
General Motors Co.A | 20,800 | 693 | ||||||
Hertz Global Holdings, Inc.A | 20,800 | 516 | ||||||
|
| |||||||
1,811 | ||||||||
|
| |||||||
Home Builders - 0.43% |
| |||||||
D.R. Horton, Inc. | 13,300 | 283 | ||||||
|
| |||||||
Household Durables - 2.20% |
| |||||||
Mohawk Industries, Inc.A | 3,700 | 416 | ||||||
Pulte Group, Inc.A | 27,900 | 529 | ||||||
Whirlpool Corp. | 4,500 | 515 | ||||||
|
| |||||||
1,460 | ||||||||
|
| |||||||
Media - 1.29% | ||||||||
Time Warner, Inc. | 14,800 | 856 | ||||||
|
| |||||||
Multiline Retail - 0.78% | ||||||||
Dillard’s, Inc., Class A | 6,300 | 516 | ||||||
|
| |||||||
Specialty Retail - 0.50% | ||||||||
Home Depot, Inc. | 4,300 | 333 | ||||||
|
| |||||||
Textiles & Apparel - 0.45% | ||||||||
PVH Corp. | 2,400 | 300 | ||||||
|
| |||||||
Total Consumer Discretionary | 6,212 | |||||||
|
| |||||||
CONSUMER STAPLES - 10.50% |
| |||||||
Beverages - 1.25% | ||||||||
Constellation Brands, Inc., Class AA | 9,700 | 505 | ||||||
Molson Coors Brewing Co., Class B | 6,700 | 321 | ||||||
|
| |||||||
826 | ||||||||
|
| |||||||
Food & Drug Retailing - 3.15% | ||||||||
CST Brands, Inc.A | 1,277 | 39 | ||||||
Kroger Co. | 11,800 | 408 | ||||||
Safeway, Inc. | 19,700 | 466 | ||||||
Sysco Corp. | 12,200 | 417 | ||||||
Walgreen Co. | 17,200 | 760 | ||||||
|
| |||||||
2,090 | ||||||||
|
| |||||||
Food Products - 3.59% | ||||||||
Archer-Daniels-Midland Co. | 17,200 | 584 | ||||||
Campbell Soup Co. | 7,400 | 331 | ||||||
ConAgra Foods, Inc. | 10,700 | 374 | ||||||
General Mills, Inc. | 6,800 | 330 | ||||||
Green Mountain Coffee Roasters, Inc.A | 7,200 | 540 | ||||||
Mondelez International, Inc., Class A | 7,500 | 214 | ||||||
|
| |||||||
2,373 | ||||||||
|
| |||||||
Household Products - 2.51% | ||||||||
Colgate-Palmolive Co. | 14,800 | 848 | ||||||
Kimberly-Clark Corp. | 4,300 | 418 | ||||||
Procter & Gamble Co. | 5,200 | 400 | ||||||
|
| |||||||
1,666 | ||||||||
|
| |||||||
Total Consumer Staples | 6,955 | |||||||
|
|
Shares | Fair Value | |||||||
(000’s) | ||||||||
ENERGY - 13.14% | ||||||||
Energy Equipment & Services - 1.24% |
| |||||||
Cobalt International Energy, Inc.A | 12,600 | $ | 335 | |||||
Helmerich & Payne, Inc. | 7,800 | 487 | ||||||
|
| |||||||
822 | ||||||||
|
| |||||||
Oil & Gas - 11.90% | ||||||||
Chesapeake Energy Corp. | 16,300 | 332 | ||||||
Chevron Corp. | 7,514 | 889 | ||||||
ConocoPhillips | 13,900 | 841 | ||||||
Exxon Mobil Corp. | 10,700 | 966 | ||||||
Hess Corp. | 12,900 | 858 | ||||||
HollyFrontier Corp. | 7,800 | 334 | ||||||
Marathon Petroleum Corp. | 10,900 | 775 | ||||||
Murphy Oil Corp. | 8,400 | 511 | ||||||
Phillips 66 | 14,800 | 872 | ||||||
Pioneer Natural Resources Co. | 2,600 | 376 | ||||||
Tesoro Corp. | 6,400 | 335 | ||||||
Valero Energy Corp. | 22,800 | 793 | ||||||
|
| |||||||
7,882 | ||||||||
|
| |||||||
Total Energy | 8,704 | |||||||
|
| |||||||
FINANCIALS - 27.72% |
| |||||||
Banks - 4.29% | ||||||||
BB&T Corp. | 6,500 | 220 | ||||||
Fifth Third Bancorp | 28,100 | 507 | ||||||
Huntington Bancshares, Inc. | 51,800 | 408 | ||||||
Northern Trust Corp. | 8,500 | 492 | ||||||
Regions Financial Corp. | 34,500 | 329 | ||||||
U.S. Bancorp | 24,400 | 883 | ||||||
|
| |||||||
2,839 | ||||||||
|
| |||||||
Diversified Financials - 10.92% |
| |||||||
Ameriprise Financial, Inc. | 5,400 | 437 | ||||||
Bank of America Corp. | 36,300 | 467 | ||||||
Capital One Financial Corp. | 12,900 | 810 | ||||||
Citigroup, Inc. | 12,100 | 580 | ||||||
Discover Financial Services | 13,100 | 624 | ||||||
Goldman Sachs Group, Inc. | 5,300 | 802 | ||||||
H&R Block, Inc. | 16,800 | 466 | ||||||
JPMorgan Chase & Co. | 16,000 | 845 | ||||||
SLM Corp. | 23,500 | 537 | ||||||
State Street Corp. | 13,000 | 849 | ||||||
Wells Fargo & Co. | 19,900 | 821 | ||||||
|
| |||||||
7,238 | ||||||||
|
| |||||||
Insurance - 10.13% | ||||||||
ACE Ltd. | 8,100 | 725 | ||||||
Aflac, Inc. | 14,000 | 814 | ||||||
Allstate Corp. | 17,000 | 817 | ||||||
American International Group, Inc.A | 8,300 | 371 | ||||||
Axis Capital Holdings Ltd. | 8,000 | 366 | ||||||
Berkshire Hathaway, Inc., Class BA | 6,200 | 694 | ||||||
Chubb Corp. | 3,500 | 296 | ||||||
Everest Re Group Ltd. | 1,600 | 205 | ||||||
Genworth Financial, Inc., Class AA | 39,300 | 448 | ||||||
Marsh & McLennan Cos., Inc. | 18,000 | 719 | ||||||
MetLife, Inc. | 7,900 | 362 | ||||||
Prudential Financial, Inc. | 5,000 | 365 | ||||||
Reinsurance Group of America, Inc. | 3,500 | 242 | ||||||
Travelers Cos., Inc. | 3,600 | 288 | ||||||
|
| |||||||
6,712 | ||||||||
|
| |||||||
Real Estate - 2.38% | ||||||||
Equity ResidentalB | 6,500 | 377 |
See accompanying notes
12
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Federal Realty Investment TrustB | 4,400 | $ | 456 | |||||
Rayonier, Inc.B | 8,000 | 443 | ||||||
Ventas, Inc.B | 4,300 | 299 | ||||||
|
| |||||||
1,575 | ||||||||
|
| |||||||
Total Financials | 18,364 | |||||||
|
| |||||||
HEALTH CARE - 8.80% | ||||||||
Health Care Equipment & Supplies - 1.79% |
| |||||||
Medtronic, Inc. | 12,800 | 659 | ||||||
Thermo Fisher Scientific, Inc. | 6,200 | 525 | ||||||
|
| |||||||
1,184 | ||||||||
|
| |||||||
Health Care Providers & Services - 3.52% |
| |||||||
Aetna, Inc. | 8,000 | 508 | ||||||
Cigna Corp. | 9,200 | 667 | ||||||
Tenet Healthcare Corp. | 10,000 | 461 | ||||||
WellPoint, Inc. | 8,500 | 695 | ||||||
|
| |||||||
2,331 | ||||||||
|
| |||||||
Pharmaceuticals - 3.49% | ||||||||
Abbott Laboratories | 5,300 | 185 | ||||||
AbbVie, Inc. | 5,300 | 219 | ||||||
Eli Lilly & Co. | 16,700 | 821 | ||||||
Johnson & Johnson | 4,000 | 343 | ||||||
Mylan, Inc.A | 18,400 | 571 | ||||||
Pfizer, Inc. | 6,220 | 174 | ||||||
|
| |||||||
2,313 | ||||||||
|
| |||||||
Total Health Care | 5,828 | |||||||
|
| |||||||
INDUSTRIALS - 6.93% | ||||||||
Aerospace & Defense - 2.12% | ||||||||
L-3 Communications Holdings, Inc. | 6,500 | 557 | ||||||
Northrop Grumman Corp. | 10,300 | 854 | ||||||
|
| |||||||
1,411 | ||||||||
|
| |||||||
Airlines - 1.31% | ||||||||
Delta Air Lines, Inc. | 46,300 | 866 | ||||||
|
| |||||||
Commercial Services & Supplies - 0.81% |
| |||||||
Cintas Corp. | 11,800 | 537 | ||||||
|
| |||||||
Electrical Equipment - 0.57% | ||||||||
Hubbell, Inc., Class B | 3,800 | 376 | ||||||
|
| |||||||
Industrial Conglomerates - 0.37% |
| |||||||
General Electric Co. | 10,500 | 243 | ||||||
|
| |||||||
Machinery - 0.96% | ||||||||
Dover Corp. | 8,200 | 637 | ||||||
|
| |||||||
Road & Rail - 0.79% | ||||||||
Norfolk Southern Corp. | 7,200 | 523 | ||||||
|
| |||||||
Total Industrials | 4,593 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 9.80% |
| |||||||
Communications Equipment - 1.04% |
| |||||||
Cisco Systems, Inc. | 28,300 | 688 | ||||||
|
| |||||||
Computers & Peripherals - 1.58% |
| |||||||
Hewlett-Packard Co. | 10,800 | 268 | ||||||
NVIDIA Corp. | 27,600 | 387 | ||||||
Western Digital Corp. | 6,300 | 391 | ||||||
|
| |||||||
1,046 | ||||||||
|
|
Shares | Fair Value | |||||||
(000’s) | ||||||||
Electronic Equipment & Instruments - 0.63% |
| |||||||
Avnet, Inc.A | 12,500 | $ | 420 | |||||
|
| |||||||
IT Consulting & Services - 2.80% | ||||||||
Computer Sciences Corp. | 10,100 | 442 | ||||||
Fiserv, Inc.A | 4,000 | 350 | ||||||
Paychex, Inc. | 17,000 | 621 | ||||||
Visa, Inc., Class A | 2,400 | 439 | ||||||
|
| |||||||
1,852 | ||||||||
|
| |||||||
Office Electronics - 0.83% |
| |||||||
Xerox Corp. | 61,000 | 553 | ||||||
|
| |||||||
Semiconductor Equipment & Products - 2.36% |
| |||||||
Cree, Inc.A | 8,800 | 562 | ||||||
Intel Corp. | 13,500 | 327 | ||||||
Micron Technology, Inc.A | 47,200 | 676 | ||||||
|
| |||||||
1,565 | ||||||||
|
| |||||||
Software - 0.56% | ||||||||
Activision Blizzard, Inc. | 26,000 | 371 | ||||||
|
| |||||||
Total Information Technology |
| 6,495 | ||||||
|
| |||||||
MATERIALS - 1.54% | ||||||||
Chemicals - 1.06% | ||||||||
CF Industries Holdings, Inc. | 1,900 | 326 | ||||||
Westlake Chemical Corp. | 3,900 | 375 | ||||||
|
| |||||||
701 | ||||||||
|
| |||||||
Paper & Forest Products - 0.48% | ||||||||
MeadWestvaco Corp. | 9,400 | 321 | ||||||
|
| |||||||
Total Materials | 1,022 | |||||||
|
| |||||||
TELECOMMUNICATION SERVICES - 2.07% |
| |||||||
AT&T, Inc. | 27,749 | 982 | ||||||
Verizon Communications, Inc. | 7,700 | 388 | ||||||
|
| |||||||
Total Telecommunication Services |
| 1,370 | ||||||
|
| |||||||
UTILITIES - 6.42% | ||||||||
Electric - 4.50% | ||||||||
American Electric Power Co., Inc. | 12,200 | 546 | ||||||
CMS Energy Corp. | 14,300 | 389 | ||||||
Edison International | 10,100 | 486 | ||||||
Entergy Corp. | 9,200 | 641 | ||||||
Pinnacle West Capital Corp. | 6,400 | 355 | ||||||
The Southern Co. | 12,800 | 565 | ||||||
|
| |||||||
2,982 | ||||||||
|
| |||||||
Multi-Utilities - 1.92% | ||||||||
Westar Energy, Inc. | 13,000 | 415 | ||||||
Xcel Energy, Inc. | 30,100 | 854 | ||||||
|
| |||||||
1,269 | ||||||||
|
| |||||||
Total Utilities | 4,251 | |||||||
|
| |||||||
Total Common Stock | 63,794 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.13% |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 2,073,101 | 2,073 | ||||||
|
|
13
American Beacon Bridgeway Large Cap Value FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
TOTAL INVESTMENTS - 99.43% (Cost $57,162) | $ | 65,867 | ||
OTHER ASSETS, NET OF LIABILITIES - 0.57% | 379 | |||
|
| |||
TOTAL NET ASSETS - 100.00% | $ | 66,246 | ||
|
|
Percentages are stated as a percent of net assets.
A | Non-income producing security. |
B | REIT—Real Estate Investment Trust. |
Futures Contracts Open on June 30, 2013 (000’s):
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
S&P 500 Mini E Index Futures | Long | 21 | September, 2013 | $ | 1,679 | $ | 2 | |||||||||||||
|
|
|
| |||||||||||||||||
$ | 1,679 | $ | 2 | |||||||||||||||||
|
|
|
|
See accompanying notes
14
American Beacon Holland Large Cap Growth FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
COMMON STOCK - 97.88% |
| |||||||
CONSUMER DISCRETIONARY - 16.28% |
| |||||||
Hotels, Restaurants & Leisure - 3.25% |
| |||||||
Yum! Brands, Inc. | 34,650 | $ | 2,403 | |||||
|
| |||||||
Internet & Catalog Retail - 6.79% |
| |||||||
Amazon.com, Inc.A | 10,350 | 2,874 | ||||||
priceline.com, Inc.A | 2,585 | 2,138 | ||||||
|
| |||||||
5,012 | ||||||||
|
| |||||||
Specialty Retail - 3.50% |
| |||||||
Advance Auto Parts, Inc. | 19,250 | 1,562 | ||||||
GNC Holdings, Inc., Class A | 23,200 | 1,026 | ||||||
|
| |||||||
2,588 | ||||||||
|
| |||||||
Textiles & Apparel - 2.74% | ||||||||
NIKE, Inc., Class B | 18,100 | 1,152 | ||||||
Under Armour, Inc., Class AA | 14,550 | 869 | ||||||
|
| |||||||
2,021 | ||||||||
|
| |||||||
Total Consumer Discretionary |
| 12,024 | ||||||
|
| |||||||
CONSUMER STAPLES - 9.33% |
| |||||||
Beverages - 4.15% | ||||||||
Monster Beverage Corp.A | 25,450 | 1,547 | ||||||
PepsiCo, Inc. | 18,550 | 1,517 | ||||||
|
| |||||||
3,064 | ||||||||
|
| |||||||
Food & Drug Retailing - 4.35% |
| |||||||
Costco Wholesale Corp. | 14,450 | 1,598 | ||||||
Mead Johnson Nutrition Co., Class A | 20,450 | 1,620 | ||||||
|
| |||||||
3,218 | ||||||||
|
| |||||||
Household Products - 0.83% | ||||||||
Procter & Gamble Co. | 7,950 | 612 | ||||||
|
| |||||||
Total Consumer Staples | 6,894 | |||||||
|
| |||||||
ENERGY - 8.74% | ||||||||
Energy Equipment & Services - 2.03% |
| |||||||
Halliburton Co. | 35,900 | 1,498 | ||||||
|
| |||||||
Oil & Gas - 6.71% | ||||||||
Occidental Petroleum Corp. | 14,500 | 1,294 | ||||||
Range Resources Corp. | 36,700 | 2,837 | ||||||
Southwestern Energy Co.A | 22,600 | 826 | ||||||
|
| |||||||
4,957 | ||||||||
|
| |||||||
Total Energy | 6,455 | |||||||
|
| |||||||
FINANCIALS - 3.31% | ||||||||
BlackRock, Inc., Class A | 4,005 | 1,029 | ||||||
Greenhill & Co. Inc | 16,500 | 755 | ||||||
TD Ameritrade Holding Corp. | 27,350 | 664 | ||||||
|
| |||||||
Total Financials | 2,448 | |||||||
|
| |||||||
HEALTH CARE - 14.55% | ||||||||
Biotechnology - 4.74% | ||||||||
BioMarin Pharmaceutical, Inc.A | 17,600 | 982 | ||||||
Gilead Sciences, Inc.A | 25,900 | 1,327 | ||||||
Vertex Pharmaceuticals, Inc.A | 14,950 | 1,194 | ||||||
|
| |||||||
3,503 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 4.17% |
| |||||||
Covidien PLC | 37,000 | 2,325 | ||||||
Waters Corp.A | 7,550 | 755 | ||||||
|
| |||||||
3,080 | ||||||||
|
|
Shares | Fair Value | |||||||
(000’s) | ||||||||
Health Care Providers & Services - 3.73% |
| |||||||
Cerner Corp.A | 12,550 | $ | 1,206 | |||||
DaVita HealthCare Partners, Inc.A | 12,800 | 1,546 | ||||||
|
| |||||||
2,752 | ||||||||
|
| |||||||
Pharmaceuticals - 1.91% | ||||||||
Bristol-Myers Squibb Co. | 31,550 | 1,410 | ||||||
|
| |||||||
Total Health Care | 10,745 | |||||||
|
| |||||||
INDUSTRIALS - 6.71% | ||||||||
Aerospace & Defense - 1.22% |
| |||||||
United Technologies Corp. | 9,700 | 902 | ||||||
|
| |||||||
Electrical Equipment - 1.76% |
| |||||||
Roper Industries, Inc. | 10,450 | 1,298 | ||||||
|
| |||||||
Industrial Conglomerates - 2.46% |
| |||||||
Honeywell International, Inc. | 22,950 | 1,821 | ||||||
|
| |||||||
Machinery - 1.27% | ||||||||
WABCO Holdings, Inc.A | 12,550 | 937 | ||||||
|
| |||||||
Total Industrials | 4,958 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 34.28% |
| |||||||
Communications Equipment - 5.05% |
| |||||||
Cisco Systems, Inc. | 107,950 | 2,625 | ||||||
NeuStar, Inc., Class AA | 22,750 | 1,107 | ||||||
|
| |||||||
3,732 | ||||||||
|
| |||||||
Computers & Peripherals - 5.06% |
| |||||||
Apple, Inc. | 4,690 | 1,858 | ||||||
International Business Machines Corp. | 9,850 | 1,882 | ||||||
|
| |||||||
3,740 | ||||||||
|
| |||||||
Internet Software & Services - 3.28% |
| |||||||
Google, Inc., Class AA | 2,755 | 2,425 | ||||||
|
| |||||||
IT Consulting & Services - 7.20% | ||||||||
Automatic Data Processing, Inc. | 9,600 | 661 | ||||||
IHS, Inc., Class AA | 14,550 | 1,519 | ||||||
Visa, Inc., Class A | 17,150 | 3,134 | ||||||
|
| |||||||
5,314 | ||||||||
|
| |||||||
Semiconductor Equipment & Products - 4.08% |
| |||||||
QUALCOMM, Inc. | 49,300 | 3,011 | ||||||
|
| |||||||
Software - 9.61% | ||||||||
Adobe Systems, Inc.A | 44,200 | 2,014 | ||||||
Citrix Systems, Inc.A | 43,950 | 2,651 | ||||||
Intuit, Inc. | 13,850 | 845 | ||||||
MICROS Systems, Inc.A | 19,850 | 857 | ||||||
Microsoft Corp. | 20,900 | 722 | ||||||
|
| |||||||
7,089 | ||||||||
|
| |||||||
Total Information Technology | 25,311 | |||||||
|
| |||||||
MATERIALS - 4.68% | ||||||||
Ecolab, Inc. | 11,650 | 992 | ||||||
Potash Corp of Saskatchewan, Inc. | 27,950 | 1,066 | ||||||
Praxair, Inc. | 12,150 | 1,399 | ||||||
|
| |||||||
Total Materials | 3,457 | |||||||
|
| |||||||
Total Common Stock |
| 72,292 | ||||||
|
|
15
American Beacon Holland Large Cap Growth FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
SHORT-TERM INVESTMENTS - 2.16% (Cost $1,592) | ||||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 1,592,352 | $ | 1,592 | |||||
|
| |||||||
TOTAL INVESTMENTS - 100.04% (Cost $51,427) | 73,884 | |||||||
LIABILITIES, NET OF OTHER ASSETS - (0.04%) | (28 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 73,856 | ||||||
|
|
Percentages are stated as a percent of net assets.
A | Non-income producing security. |
Futures Contracts Open on June 30, 2013 (000’s):
Description | Type | Number of Contracts | Expiration Date | Contract Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
S&P 500 Mini E Index Futures | Long | 19 | September, 2013 | $ | 1,519 | $ | (22 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
$ | 1,519 | $ | (22 | ) | ||||||||||||||||
|
|
|
|
See accompanying notes
16
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
COMMON STOCK - 98.15% | ||||||||
CONSUMER DISCRETIONARY - 13.55% |
| |||||||
Distributors - 1.27% | ||||||||
Beacon Roofing Supply, Inc.A | 77,300 | $ | 2,928 | |||||
DXP Enterprises, Inc.A | 23,900 | 1,592 | ||||||
|
| |||||||
4,520 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 6.47% |
| |||||||
BJ’s Restaurants, Inc.A | 62,496 | 2,319 | ||||||
Buffalo Wild Wings, Inc.A | 32,300 | 3,171 | ||||||
Chuy’s Holdings, Inc.A | 117,830 | 4,518 | ||||||
Ignite Restaurant Group, Inc.A | 191,070 | 3,605 | ||||||
Krispy Kreme Doughnuts, Inc.A | 290,015 | 5,060 | ||||||
National CineMedia, Inc. | 260,700 | 4,403 | ||||||
|
| |||||||
23,076 | ||||||||
|
| |||||||
Media - 3.97% | ||||||||
Acacia Research Corp. | 137,400 | 3,071 | ||||||
IMAX Corp.A B | 146,356 | 3,638 | ||||||
Lions Gate Entertainment Corp.A B | 210,700 | 5,789 | ||||||
Pandora Media, Inc.A B | 89,100 | 1,639 | ||||||
|
| |||||||
14,137 | ||||||||
|
| |||||||
Specialty Retail - 1.84% | ||||||||
Aaron’s, Inc. | 154,818 | 4,336 | ||||||
Cabela’s, Inc.A | 34,200 | 2,215 | ||||||
|
| |||||||
6,551 | ||||||||
|
| |||||||
Total Consumer Discretionary | 48,284 | |||||||
|
| |||||||
CONSUMER STAPLES - 7.11% |
| |||||||
Food & Drug Retailing - 4.39% | ||||||||
Andersons, Inc. | 49,700 | 2,644 | ||||||
Annie’s, Inc.A | 89,062 | 3,807 | ||||||
Fresh Market, Inc.A | 90,800 | 4,515 | ||||||
United Natural Foods, Inc.A | 86,840 | 4,687 | ||||||
|
| |||||||
15,653 | ||||||||
|
| |||||||
Food Products - 1.71% | ||||||||
Boulder Brands, Inc.A | 278,800 | 3,359 | ||||||
TreeHouse Foods, Inc.A | 41,800 | 2,740 | ||||||
|
| |||||||
6,099 | ||||||||
|
| |||||||
Personal Products - 1.01% | ||||||||
Steiner Leisure Ltd.A | 67,800 | 3,584 | ||||||
|
| |||||||
Total Consumer Staples | 25,336 | |||||||
|
| |||||||
ENERGY - 7.96% | ||||||||
Energy Equipment & Services - 4.77% |
| |||||||
Dril-Quip, Inc.A | 37,000 | 3,341 | ||||||
Forum Energy Technologies, Inc.A | 113,700 | 3,460 | ||||||
Hercules Offshore, Inc.A | 368,800 | 2,596 | ||||||
Hornbeck Offshore Services, Inc.A | 48,100 | 2,573 | ||||||
Oil States International, Inc.A | 16,100 | 1,492 | ||||||
Pacific Drilling S.A.A | 226,600 | 2,216 | ||||||
Tetra Technologies, Inc.A | 129,400 | 1,328 | ||||||
|
| |||||||
17,006 | ||||||||
|
| |||||||
Oil & Gas - 3.19% | ||||||||
Carrizo Oil & Gas, Inc.A | 111,200 | 3,150 | ||||||
Halcon Resources Corp.A B | 412,889 | 2,341 | ||||||
Kodiak Oil & Gas Corp.A | 262,900 | 2,337 | ||||||
Pioneer Energy Services Corp.A | 286,700 | 1,898 | ||||||
Rosetta Resources, Inc.A | 38,400 | 1,633 | ||||||
|
| |||||||
11,359 | ||||||||
|
| |||||||
Total Energy | 28,365 | |||||||
|
|
Shares | Fair Value | |||||||
(000’s) | ||||||||
FINANCIALS - 11.25% | ||||||||
Banks - 1.70% | ||||||||
East West Bancorp, Inc. | 91,500 | $ | 2,516 | |||||
SVB Financial GroupA | 42,600 | 3,550 | ||||||
|
| |||||||
6,066 | ||||||||
|
| |||||||
Diversified Financials - 6.09% | ||||||||
Cardtronics, Inc.A | 144,400 | 3,985 | ||||||
Encore Capital Group, Inc.A B | 158,891 | 5,262 | ||||||
Euronet Worldwide, Inc.A | 123,100 | 3,922 | ||||||
First Cash Financial Services, Inc.A | 72,401 | 3,563 | ||||||
Portfolio Recovery Associates, Inc. | 32,300 | 4,962 | ||||||
|
| |||||||
21,694 | ||||||||
|
| |||||||
Insurance - 3.03% | ||||||||
Hilltop Holdings, Inc.A | 184,000 | 3,018 | ||||||
ProAssurance Corp. | 73,600 | 3,839 | ||||||
Radian Group, Inc.B | 338,200 | 3,929 | ||||||
|
| |||||||
10,786 | ||||||||
|
| |||||||
Real Estate - 0.43% | ||||||||
Move, Inc.A | 119,200 | 1,528 | ||||||
|
| |||||||
Total Financials | 40,074 | |||||||
|
| |||||||
HEALTH CARE - 20.64% | ||||||||
Biotechnology - 4.68% | ||||||||
Cepheid, Inc.A | 108,100 | 3,721 | ||||||
Cubist Pharmaceuticals, Inc.A | 42,600 | 2,058 | ||||||
Myriad Genetics, Inc.A | 68,229 | 1,833 | ||||||
Neogen Corp.A | 95,000 | 5,278 | ||||||
Polypore International, Inc.A B | 54,400 | 2,192 | ||||||
Techne Corp. | 22,900 | 1,582 | ||||||
|
| |||||||
16,664 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 4.43% |
| |||||||
Abaxis, Inc. | 56,900 | 2,703 | ||||||
Medidata Solutions, Inc.A | 74,921 | 5,804 | ||||||
NuVasive, Inc.A | 145,280 | 3,601 | ||||||
Thoratec Corp.A | 69,800 | 2,185 | ||||||
Volcano Corp.A | 82,305 | 1,492 | ||||||
|
| |||||||
15,785 | ||||||||
|
| |||||||
Health Care Providers & Services - 5.52% |
| |||||||
Acadia Healthcare Co. IncA | 94,700 | 3,132 | ||||||
Advisory Board Co.A | 89,525 | 4,893 | ||||||
IPC The Hospitalist Co., Inc.A | 77,160 | 3,963 | ||||||
PAREXEL International Corp.A | 110,746 | 5,087 | ||||||
VCA Antech, Inc.A | 99,455 | 2,595 | ||||||
|
| |||||||
19,670 | ||||||||
|
| |||||||
Pharmaceuticals - 6.01% | ||||||||
Akorn, Inc.A B | 242,400 | 3,277 | ||||||
Greenway Medical TechnologiesA B | 112,800 | 1,392 | ||||||
ICON PLCA | 137,400 | 4,868 | ||||||
Pacira Pharmaceuticals, Inc.A | 103,400 | 2,999 | ||||||
Proto Labs, Inc.A | 96,840 | 6,292 | ||||||
Salix Pharmaceuticals Ltd.A | 39,400 | 2,606 | ||||||
|
| |||||||
21,434 | ||||||||
|
| |||||||
Total Health Care | 73,553 | |||||||
|
| |||||||
INDUSTRIALS - 13.55% | ||||||||
Air Freight & Couriers - 0.84% | ||||||||
Echo Global Logistics, Inc.A | 153,400 | 2,990 | ||||||
|
|
17
American Beacon Stephens Small Cap Growth FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Building Products - 0.51% | ||||||||
Trex Co., Inc.A | 37,900 | $ | 1,800 | |||||
|
| |||||||
Commercial Services & Supplies - 7.03% |
| |||||||
Clean Harbors, Inc.A | 34,700 | 1,753 | ||||||
Corporate Executive Board Co. | 60,300 | 3,812 | ||||||
CoStar Group, Inc.A | 55,001 | 7,100 | ||||||
HMS Holdings Corp.A | 128,000 | 2,982 | ||||||
Marlin Business Services Corp. | 87,179 | 1,986 | ||||||
Tetra Tech, Inc.A | 82,000 | 1,928 | ||||||
WageWorks, Inc.A | 160,302 | 5,523 | ||||||
|
| |||||||
25,084 | ||||||||
|
| |||||||
Construction & Engineering - 0.99% |
| |||||||
Aegion Corp.A | 78,800 | 1,773 | ||||||
Mistras Group, Inc.A | 100,258 | 1,763 | ||||||
|
| |||||||
3,536 | ||||||||
|
| |||||||
Industrial Conglomerates - 0.49% |
| |||||||
RPX Corp.A | 103,400 | 1,737 | ||||||
Machinery - 2.49% | ||||||||
Chart Industries, Inc.A | 25,546 | 2,404 | ||||||
ExOne Co.A B | 30,700 | 1,895 | ||||||
Flow International Corp.A | 336,700 | 1,242 | ||||||
Lindsay Corp. | 18,900 | 1,417 | ||||||
Valmont Industries, Inc. | 13,400 | 1,917 | ||||||
|
| |||||||
8,875 | ||||||||
|
| |||||||
Road & Rail - 0.58% | ||||||||
Knight Transportation, Inc. | 122,400 | 2,059 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.62% |
| |||||||
MSC Industrial Direct Co., Inc., Class A | 28,445 | 2,203 | ||||||
|
| |||||||
Total Industrials | 48,284 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 22.56% |
| |||||||
Communications Equipment - 1.16% |
| |||||||
Aruba Networks, Inc.A | 169,700 | 2,607 | ||||||
Procera Networks, Inc.A | 111,519 | 1,531 | ||||||
|
| |||||||
4,138 | ||||||||
|
| |||||||
Computers & Peripherals - 1.11% |
| |||||||
Stratasys Ltd.A B | 47,300 | 3,961 | ||||||
|
| |||||||
Electronic Equipment & Instruments - 1.89% |
| |||||||
Hittite Microwave Corp.A | 44,100 | 2,558 | ||||||
OSI Systems, Inc.A | 65,100 | 4,194 | ||||||
|
| |||||||
6,752 | ||||||||
|
| |||||||
Internet Software & Services - 5.55% |
| |||||||
Athenahealth, Inc.A B | 41,202 | 3,491 | ||||||
Fortinet, Inc.A | 101,900 | 1,783 | ||||||
Infoblox, Inc.A | 31,100 | 910 | ||||||
MercadoLibre, Inc.B | 26,900 | 2,899 | ||||||
Shutterfly, Inc.A | 50,472 | 2,816 | ||||||
Sourcefire, Inc.A | 92,400 | 5,132 | ||||||
Vocera Communications, Inc.A | 50,400 | 741 | ||||||
Zix Corp. | 476,300 | 2,015 | ||||||
|
| |||||||
19,787 | ||||||||
|
| |||||||
IT Consulting & Services - 0.59% |
| |||||||
Tyler Technologies, Inc. | 30,700 | 2,104 | ||||||
|
| |||||||
Semiconductor Equipment & Products - 4.53% |
| |||||||
Cavium, Inc.A | 59,100 | 2,090 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
Intermolecular, Inc.A | 190,300 | $ | 1,383 | |||||
Microsemi Corp. | 126,330 | 2,874 | ||||||
Power Integrations, Inc. | 92,900 | 3,768 | ||||||
Rudolph Technologies, Inc.A | 162,600 | 1,821 | ||||||
Semtech Corp.A | 120,000 | 4,205 | ||||||
|
| |||||||
16,141 | ||||||||
|
| |||||||
Software - 7.73% | ||||||||
Aspen Technology, Inc.A | 167,648 | 4,826 | ||||||
Bottomline Technologies, Inc.A | 67,000 | 1,694 | ||||||
Cognex Corp. | 79,700 | 3,604 | ||||||
Concur Technologies, Inc.A B | 30,700 | 2,498 | ||||||
inContact, Inc.A | 299,300 | 2,460 | ||||||
MICROS Systems, Inc.A | 48,100 | 2,076 | ||||||
National Instruments Corp. | 60,367 | 1,687 | ||||||
PROS Holdings, Inc.A | 123,100 | 3,687 | ||||||
QLIK Technologies, Inc.A | 62,300 | 1,761 | ||||||
Ultimate Software Group, Inc.A | 27,700 | 3,249 | ||||||
|
| |||||||
27,542 | ||||||||
|
| |||||||
Total Information Technology |
| 80,425 | ||||||
|
| |||||||
MATERIALS - 0.99% | ||||||||
Chemicals - 0.56% | ||||||||
Balchem Corp. | 44,100 | 1,974 | ||||||
|
| |||||||
Metals & Mining - 0.43% | ||||||||
Mueller Water Products, Inc., Class A | 223,800 | 1,546 | ||||||
|
| |||||||
Total Materials | 3,520 | |||||||
|
| |||||||
TELECOMMUNICATION SERVICES - 0.54% |
| |||||||
Ruckus Wireless, Inc.A B | 149,200 | 1,911 | ||||||
|
| |||||||
Total Common Stock (Cost $293,246) |
| 349,752 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.26% |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 11,604,106 | 11,604 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 10.02% |
| |||||||
American Beacon U.S. Government Money Market Select Fund, Select ClassC | 27,703,415 | 27,703 | ||||||
DWS Government and Agency Securities Portfolio, Institutional Class | 7,988,896 | 7,989 | ||||||
|
| |||||||
Total Securities Lending Collateral (Cost $35,702) | 35,692 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 111.43% |
| 397,048 | ||||||
LIABILITIES, NET OF OTHER |
| (40,729 | ) | |||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 356,319 | |||||
|
|
Percentages are stated as a percent of net assets.
A | Non-income producing security. |
B | All or a portion of this security is on loan at June 30, 2013. |
C | The Fund is affiliated by having the same investment advisor. |
See accompanying notes
18
American Beacon Stephens Mid-Cap Growth FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
COMMON STOCK - 97.37% | ||||||||
CONSUMER DISCRETIONARY - 21.48% |
| |||||||
Auto Components - 1.65% |
| |||||||
LKQ Corp.A | 48,350 | $ | 1,245 | |||||
|
| |||||||
Automobiles - 0.65% | ||||||||
Tesla Motors, Inc.A | 4,600 | 494 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure - 1.66% |
| |||||||
Chipotle Mexican Grill, Inc.A | 1,100 | 401 | ||||||
Panera Bread Co., Class AA | 4,600 | 855 | ||||||
|
| |||||||
1,256 | ||||||||
|
| |||||||
Leisure Equipment & Products - 1.16% |
| |||||||
Polaris Industries, Inc. | 9,250 | 879 | ||||||
|
| |||||||
Media - 5.17% | ||||||||
Cinemark Holdings, Inc. | 25,050 | 699 | ||||||
Discovery Communications, Inc., Class CA | 17,800 | 1,240 | ||||||
IMAX Corp.A | 25,177 | 626 | ||||||
Lions Gate Entertainment Corp.A | 36,500 | 1,003 | ||||||
Pandora Media, Inc.A | 18,050 | 332 | ||||||
|
| |||||||
3,900 | ||||||||
|
| |||||||
Multiline Retail - 0.92% | ||||||||
Nordstrom, Inc. | 11,650 | 698 | ||||||
|
| |||||||
Specialty Retail - 8.05% | ||||||||
Cabela’s, Inc.A | 16,950 | 1,098 | ||||||
CarMax, Inc.A | 23,950 | 1,105 | ||||||
Ross Stores, Inc. | 16,950 | 1,099 | ||||||
Tractor Supply Co. | 8,350 | 982 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 8,350 | 836 | ||||||
Urban Outfitters, Inc.A | 23,750 | 955 | ||||||
|
| |||||||
6,075 | ||||||||
|
| |||||||
Textiles & Apparel - 2.22% |
| |||||||
Lululemon Athletica, Inc.A | 10,750 | 704 | ||||||
Under Armour, Inc., Class AA | 16,250 | 971 | ||||||
|
| |||||||
1,675 | ||||||||
|
| |||||||
Total Consumer Discretionary |
| 16,222 | ||||||
|
| |||||||
CONSUMER STAPLES - 5.62% |
| |||||||
Beverages - 2.25% | ||||||||
Brown-Forman Corp., Class B | 12,330 | 833 | ||||||
Monster Beverage Corp.A | 14,300 | 869 | ||||||
|
| |||||||
1,702 | ||||||||
|
| |||||||
Food & Drug Retailing - 3.37% |
| |||||||
Fresh Market, Inc.A | 17,350 | 863 | ||||||
United Natural Foods, Inc.A | 10,100 | 545 | ||||||
Whole Foods Market, Inc. | 22,000 | 1,132 | ||||||
|
| |||||||
2,540 | ||||||||
|
| |||||||
Total Consumer Staples | 4,242 | |||||||
|
| |||||||
ENERGY - 10.12% | ||||||||
Energy Equipment & Services - 7.27% |
| |||||||
Core Laboratories N.V. | 7,500 | 1,137 | ||||||
Dril-Quip, Inc.A | 10,550 | 953 | ||||||
Ensco PLC, Class A | 8,800 | 511 | ||||||
FMC Technologies, Inc.A | 11,630 | 648 | ||||||
Oceaneering International, Inc. | 13,200 | 953 | ||||||
Oil States International, Inc.A | 7,500 | 695 | ||||||
Superior Energy Services, Inc.A | 22,850 | 593 | ||||||
|
| |||||||
5,490 | ||||||||
|
|
Shares | Fair Value | |||||||
(000’s) | ||||||||
Oil & Gas - 2.85% | ||||||||
Pioneer Natural Resources Co. | 3,300 | $ | 478 | |||||
Range Resources Corp. | 8,600 | 664 | ||||||
Southwestern Energy Co.A | 10,760 | 393 | ||||||
Whiting Petroleum Corp.A | 13,400 | 618 | ||||||
|
| |||||||
2,153 | ||||||||
|
| |||||||
Total Energy | 7,643 | |||||||
|
| |||||||
FINANCIALS - 8.10% | ||||||||
Banks - 2.11% | ||||||||
East West Bancorp, Inc. | 27,950 | 769 | ||||||
SVB Financial GroupA | 9,900 | 824 | ||||||
|
| |||||||
1,593 | ||||||||
|
| |||||||
Diversified Financials - 4.30% |
| |||||||
Affiliated Managers Group, Inc.A | 5,730 | 939 | ||||||
IntercontinentalExchange, Inc.A | 5,950 | 1,058 | ||||||
Portfolio Recovery Associates, Inc. | 8,150 | 1,253 | ||||||
|
| |||||||
3,250 | ||||||||
|
| |||||||
Insurance - 1.69% | ||||||||
ProAssurance Corp. | 16,050 | 837 | ||||||
Radian Group, Inc. | 37,550 | 436 | ||||||
|
| |||||||
1,273 | ||||||||
|
| |||||||
Total Financials | 6,116 | |||||||
|
| |||||||
HEALTH CARE - 18.23% |
| |||||||
Biotechnology - 2.98% | ||||||||
Alexion Pharmaceuticals, Inc.A | 4,200 | 387 | ||||||
Cepheid, Inc.A | 20,650 | 711 | ||||||
Cubist Pharmaceuticals, Inc.A | 3,500 | 169 | ||||||
Polypore International, Inc.A | 8,600 | 347 | ||||||
QIAGEN N.V.A | 31,900 | 635 | ||||||
|
| |||||||
2,249 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 7.62% |
| |||||||
Hologic, Inc.A | 32,300 | 623 | ||||||
Idexx Laboratories, Inc.A | 8,150 | 732 | ||||||
Illumina, Inc.A | 14,950 | 1,119 | ||||||
Intuitive Surgical, Inc.A | 1,755 | 889 | ||||||
ResMed, Inc. | 20,650 | 932 | ||||||
Sirona Dental Systems, Inc. | 7,700 | 507 | ||||||
Varian Medical Systems, Inc.A | 7,050 | 476 | ||||||
Waters Corp.A | 4,850 | 485 | ||||||
|
| |||||||
5,763 | ||||||||
|
| |||||||
Health Care Providers & Services - 6.23% |
| |||||||
Catamaran Corp.A | 21,100 | 1,028 | ||||||
Cerner Corp.A | 15,390 | 1,479 | ||||||
Covance, Inc.A | 11,630 | 886 | ||||||
Henry Schein, Inc.A | 7,695 | 737 | ||||||
VCA Antech, Inc.A | 21,980 | 573 | ||||||
|
| |||||||
4,703 | ||||||||
|
| |||||||
Pharmaceuticals - 1.40% |
| |||||||
Salix Pharmaceuticals Ltd.A | 9,000 | 595 | ||||||
Shire PLC, ADRB | 4,855 | 462 | ||||||
|
| |||||||
1,057 | ||||||||
|
| |||||||
Total Health Care | 13,772 | |||||||
|
| |||||||
INDUSTRIALS - 11.53% |
| |||||||
Aerospace & Defense - 1.27% | ||||||||
B/E Aerospace, Inc.A | 15,150 | 956 | ||||||
|
|
19
American Beacon Stephens Mid-Cap Growth FundSM
Schedule of Investments
June 30, 2013 (Unaudited)
Shares | Fair Value | |||||||
(000’s) | ||||||||
Commercial Services & Supplies - 5.47% |
| |||||||
Clean Harbors, Inc.A | 10,750 | $ | 543 | |||||
CoStar Group, Inc.A | 3,950 | 510 | ||||||
HMS Holdings Corp.A | 25,300 | 589 | ||||||
Stericycle, Inc.A | 12,100 | 1,337 | ||||||
Verisk Analytics, Inc., Class AA | 19,350 | 1,155 | ||||||
|
| |||||||
4,134 | ||||||||
|
| |||||||
Electrical Equipment - 0.82% |
| |||||||
IPG Photonics Corp. | 3,500 | 213 | ||||||
Roper Industries, Inc. | 3,300 | 409 | ||||||
|
| |||||||
622 | ||||||||
|
| |||||||
Machinery - 1.80% | ||||||||
Pall Corp. | 7,700 | 512 | ||||||
Valmont Industries, Inc. | 5,950 | 851 | ||||||
|
| |||||||
1,363 | ||||||||
|
| |||||||
Road & Rail - 0.57% | ||||||||
JB Hunt Transport Services, Inc. | 5,950 | 430 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.60% |
| |||||||
Fastenal Co. | 10,310 | 473 | ||||||
MSC Industrial Direct Co., Inc., Class A | 9,480 | 734 | ||||||
|
| |||||||
1,207 | ||||||||
|
| |||||||
Total Industrials | 8,712 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 20.90% |
| |||||||
Communications Equipment - 1.08% |
| |||||||
Aruba Networks, Inc.A | 27,500 | 422 | ||||||
Palo Alto Networks, Inc.A | 9,250 | 390 | ||||||
|
| |||||||
812 | ||||||||
|
| |||||||
Computers & Peripherals - 1.53% |
| |||||||
SanDisk Corp.A | 10,100 | 617 | ||||||
Stratasys Ltd.A | 6,400 | 536 | ||||||
|
| |||||||
1,153 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.58% |
| |||||||
Trimble Navigation Ltd.A | 16,720 | 435 | ||||||
|
| |||||||
Internet Software & Services - 4.49% |
| |||||||
Akamai Technologies, Inc.A | 14,300 | 608 | ||||||
Athenahealth, Inc.A | 5,300 | 449 | ||||||
Fortinet, Inc.A | 41,100 | 719 | ||||||
MercadoLibre, Inc. | 7,950 | 857 | ||||||
VeriSign, Inc. | 16,950 | 757 | ||||||
|
| |||||||
3,390 | ||||||||
|
| |||||||
IT Consulting & Services - 2.40% |
| |||||||
Alliance Data Systems Corp.A | 5,950 | 1,077 | ||||||
IHS, Inc., Class AA | 7,050 | 736 | ||||||
|
| |||||||
1,813 | ||||||||
|
| |||||||
Semiconductor Equipment & Products - 3.42% |
| |||||||
ARM Holdings PLC, ADRB | 15,815 | 572 | ||||||
Cree, Inc.A | 8,800 | 562 | ||||||
Lam Research Corp.A | 14,268 | 633 | ||||||
Microchip Technology, Inc. | 21,980 | 819 | ||||||
|
| |||||||
2,586 | ||||||||
|
| |||||||
Software - 7.40% | ||||||||
Ansys, Inc.A | 5,050 | 369 | ||||||
Aspen Technology, Inc.A | 21,100 | 607 | ||||||
Cadence Design Systems, Inc.A | 43,300 | 627 | ||||||
Check Point Software Technologies Ltd.A | 11,650 | 579 | ||||||
MICROS Systems, Inc.A | 12,550 | 542 | ||||||
National Instruments Corp. | 20,005 | 559 |
Shares | Fair Value | |||||||
(000’s) | ||||||||
Nuance Communications, Inc.A | 15,150 | $ | 278 | |||||
Red Hat, Inc.A | 12,540 | 600 | ||||||
Salesforce.com, Inc.A | 11,020 | 421 | ||||||
SolarWinds, Inc.A | 9,000 | 349 | ||||||
Ultimate Software Group, Inc.A | 5,700 | 669 | ||||||
|
| |||||||
5,600 | ||||||||
|
| |||||||
Total Information Technology | 15,789 | |||||||
|
| |||||||
MATERIALS - 1.39% | ||||||||
Airgas, Inc. | 11,000 | 1,050 | ||||||
|
| |||||||
Total Common Stock |
| 73,546 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.19% |
| |||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 1,653,301 | 1,653 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.56% |
| 75,199 | ||||||
OTHER ASSETS, NET OF |
| 333 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 75,532 | |||||
|
|
Percentages are stated as a percent of net assets.
A | Non-income producing security. |
B | ADR - American Depositary Receipt. |
See accompanying notes 20 |
American Beacon FundsSM
Statements of Assets and Liabilities
June 30, 2013 (Unaudited) (in thousands, except share and per share amounts)
Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | Stephens Small Cap Growth Fund | Stephens Mid- Cap Growth Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated securities, at fair value A C | $ | 65,867 | $ | 73,884 | $ | 369,345 | $ | 75,199 | ||||||||
Investments in affiliated securities, at fair value B | — | — | 27,703 | — | ||||||||||||
Deposits with brokers for futures contracts | 70 | 67 | — | — | ||||||||||||
Receivable for investments sold | 420 | — | 1,090 | 70 | ||||||||||||
Dividends and interest receivable | 71 | 28 | 34 | 10 | ||||||||||||
Receivable for fund shares sold | 520 | 19 | 15,329 | 361 | ||||||||||||
Receivable for tax reclaims | — | — | 1 | — | ||||||||||||
Receivable for expense reimbursement (Note 2) | 12 | 7 | 13 | 7 | ||||||||||||
Prepaid expenses | 25 | 13 | 65 | 38 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 66,985 | 74,018 | 413,580 | 75,685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | 637 | — | 18,551 | — | ||||||||||||
Payable upon return of securities loaned | — | — | 35,692 | — | ||||||||||||
Payable for fund shares redeemed | 2 | 16 | 2,345 | 4 | ||||||||||||
Payable for variation margin from open futures contracts | 8 | 7 | — | — | ||||||||||||
Management and investment advisory fees payable | 59 | 77 | 525 | 92 | ||||||||||||
Administrative service and service fees payable | 21 | 41 | 131 | 31 | ||||||||||||
Transfer agent fees payable | 5 | 2 | 5 | 5 | ||||||||||||
Custody and fund accounting fees payable | — | 1 | 5 | 2 | ||||||||||||
Professional fees payable | 7 | 6 | 6 | 10 | ||||||||||||
Trustee fees payable | — | — | — | 2 | ||||||||||||
Payable for prospectus and shareholder reports | — | 11 | 4 | 7 | ||||||||||||
Other liabilities | — | 1 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 739 | 162 | 57,264 | 153 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 66,246 | $ | 73,856 | $ | 356,316 | $ | 75,532 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Analysis of Net Assets: | ||||||||||||||||
Paid-in-capital | 55,489 | 47,293 | 293,062 | 58,732 | ||||||||||||
Undistributed net investment income | 229 | 6 | 94 | (142 | ) | |||||||||||
Accumulated net realized gain | 1,821 | 4,122 | 6,654 | 1,927 | ||||||||||||
Unrealized appreciation of investments and futures contracts | 8,707 | 22,435 | 56,506 | 15,015 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 66,246 | $ | 73,856 | $ | 356,316 | $ | 75,532 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding at no par value (unlimited shares authorized): | ||||||||||||||||
Institutional Class | 2,162,435 | 77,837 | 12,863,261 | 2,164,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | 354,757 | 4,758 | 1,365,886 | 61,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | 547,808 | 2,911,626 | 9,066,846 | 1,651,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | 465,279 | 23,584 | 471,573 | 685,894 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | 38,250 | 22,644 | 80,211 | 46,151 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets (not in thousands): | ||||||||||||||||
Institutional Class | $ | 40,221,397 | $ | 1,901,402 | $ | 195,755,190 | $ | 37,463,083 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | $ | 6,587,983 | $ | 116,111 | $ | 20,768,746 | $ | 1,071,010 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | $ | 10,143,753 | $ | 70,726,252 | $ | 131,807,531 | $ | 25,643,623 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | $ | 8,593,057 | $ | 570,184 | $ | 6,834,152 | $ | 10,644,747 | ||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | $ | 700,143 | $ | 541,985 | $ | 1,150,806 | $ | 709,524 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share: | ||||||||||||||||
Institutional Class | $ | 18.60 | $ | 24.43 | $ | 15.22 | $ | 17.31 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Y Class | $ | 18.57 | $ | 24.41 | $ | 15.21 | $ | 17.31 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | $ | 18.52 | $ | 24.29 | $ | 14.54 | $ | 15.53 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class | $ | 18.47 | $ | 24.18 | $ | 14.49 | $ | 15.52 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Class (offering price) | $ | 19.60 | $ | 25.66 | $ | 15.38 | $ | 16.47 | ||||||||
|
|
|
|
|
|
|
| |||||||||
C Class | $ | 18.30 | $ | 23.94 | $ | 14.35 | $ | 15.37 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Cost of investments in unaffiliated securities | $ | 57,162 | $ | 51,427 | $ | 312,849 | $ | 60,184 | ||||||||
B Cost of investments in affiliated securities | $ | — | $ | — | $ | 27,703 | $ | — | ||||||||
C Fair value of securities on loan | $ | — | $ | — | $ | 34,837 | $ | — |
21
American Beacon FundsSM
Statements of Operations
For the Six Months Ended June 30, 2013 (Unaudited) (in thousands)
Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend income from unaffiliated securities (net of foreign taxes) A | $ | 449 | $ | 377 | $ | 303 | $ | 137 | ||||||||
Income derived from securities lending, net | — | — | 142 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 449 | 377 | 445 | 137 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management and investment advisory fees (Note 2) | 101 | 160 | 979 | 180 | ||||||||||||
Administrative service fees (Note 2): | ||||||||||||||||
Institutional Class | 52 | 3 | 248 | 52 | ||||||||||||
Y Class | 1 | — | 16 | 1 | ||||||||||||
Investor Class | 6 | 105 | 144 | 32 | ||||||||||||
A Class | 10 | 1 | 9 | 18 | ||||||||||||
C Class | 1 | 1 | 2 | 1 | ||||||||||||
Transfer agent fees: | ||||||||||||||||
Institutional Class | 13 | — | 18 | 7 | ||||||||||||
Y Class | — | — | — | 1 | ||||||||||||
Investor Class | 1 | 5 | 2 | 3 | ||||||||||||
A Class | — | — | — | 1 | ||||||||||||
C Class | — | — | — | 1 | ||||||||||||
Custody and fund accounting fees | 5 | 6 | 12 | 3 | ||||||||||||
Professional fees | 20 | 14 | 25 | 21 | ||||||||||||
Registration fees and expenses | 49 | 57 | 54 | 46 | ||||||||||||
Service fees (Note 2): | ||||||||||||||||
Y Class | — | — | 5 | — | ||||||||||||
Investor Class | 7 | 131 | 180 | 40 | ||||||||||||
A Class | 4 | — | 3 | 7 | ||||||||||||
C Class | — | — | 1 | — | ||||||||||||
Distribution fees (Note 2): | ||||||||||||||||
A Class | 6 | 1 | 6 | 12 | ||||||||||||
C Class | 1 | 2 | 4 | 2 | ||||||||||||
Prospectus and shareholder report expenses | 8 | 10 | 18 | 7 | ||||||||||||
Trustee fees | 1 | 3 | 6 | 2 | ||||||||||||
Other expenses | 2 | 3 | 5 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 288 | 502 | 1,737 | 440 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net fees waived and expenses reimbursed (Note 2) | (76 | ) | (41 | ) | (75 | ) | (45 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 212 | 461 | 1,662 | 395 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 237 | (84 | ) | (1,217 | ) | (258 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) from investments: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments | 1,529 | 3,598 | 7,187 | 1,939 | ||||||||||||
Commission recapture (Note 3) | — | 2 | — | — | ||||||||||||
Futures contracts | (101 | ) | 234 | — | — | |||||||||||
Change in net unrealized appreciation or (depreciation) of: | ||||||||||||||||
Investments | 3,968 | 5,033 | 36,634 | 6,099 | ||||||||||||
Futures contracts | 3 | (33 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain from investments | 5,399 | 8,834 | 43,821 | 8,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | $ | 5,636 | $ | 8,750 | $ | 42,604 | $ | 7,780 | ||||||||
|
|
|
|
|
|
|
| |||||||||
A Foreign taxes | $ | — | $ | 2 | $ | — | $ | 1 |
See accompanying notes
22
American Beacon FundsSM
Statements of Changes of Net Assets (in thousands)
Bridgeway Large Cap Value Fund | Holland Large Cap Growth Fund | |||||||||||||||||||
Six Months Ended June 30, 2013 | Six Months Ended Dec. 31, 2012 | Year Ended June 30, 2012 | Six Months Ended June 30, 2013 | Year Ended Dec. 31, 2012 | ||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 237 | $ | 317 | $ | 455 | $ | (84 | ) | $ | 55 | |||||||||
Net realized gain from investments and futures contracts | 1,428 | 1,722 | 2,132 | 3,834 | 4,191 | |||||||||||||||
Change in net unrealized appreciation or (depreciation) from investments and futures contracts | 3,971 | 345 | (1,989 | ) | 5,000 | 2,958 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase in net assets resulting from operations | 5,636 | 2,384 | 598 | 8,750 | 7,204 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to Shareholders: | ||||||||||||||||||||
Net investment income: | ||||||||||||||||||||
Institutional Class | — | (486 | ) | (357 | )A | — | (6 | ) | ||||||||||||
Y Class | — | (1 | ) | — | — | — | ||||||||||||||
Investor Class | — | (8 | ) | — | — | (41 | ) | |||||||||||||
A Class | — | (6 | ) | — | — | (1 | ) | |||||||||||||
C Class | — | — | — | — | (1 | ) | ||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||
Institutional Class | — | — | — | — | (84 | ) | ||||||||||||||
Y Class | — | — | — | — | (1 | ) | ||||||||||||||
Investor Class | — | — | — | — | (3,479 | ) | ||||||||||||||
A Class | — | — | — | — | (27 | ) | ||||||||||||||
C Class | — | — | — | — | (15 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net distributions to shareholders | — | (501 | ) | (357 | ) | — | (3,655 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets from capital share transactions | 33,085 | (1,818 | ) | (2,428 | ) | (3,852 | ) | 5,522 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) in net assets | 38,721 | 65 | (2,187 | ) | 4,898 | 9,071 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of period | 27,525 | 27,460 | 29,647 | 68,958 | 59,887 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
End of Period * | $ | 66,246 | $ | 27,525 | $ | 27,460 | $ | 73,856 | $ | 68,958 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
*Includes undistributed net investment income (loss) of | $ | 229 | $ | 13 | $ | 200 | $ | 6 | $ | 6 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
A Formerly known as Class N |
See accompanying notes
23
American Beacon FundsSM
Statements of Changes in Net Assets (in thousands)
Stephens Small Cap Growth Fund | Stephens Mid-Cap Growth Fund | |||||||||||||||||||||||
Six Months Ended June 30, 2013 | One Month Ended Dec. 31, 2012 | Year Ended Nov. 30, 2012 | Six Months Ended June 30, 2013 | One Month Ended Dec. 31, 2012 | Year Ended Nov. 30, 2012 | |||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (1,217 | ) | $ | 95 | $ | (1,077 | ) | $ | (258 | ) | $ | 72 | $ | (274 | ) | ||||||||
Net realized gain from investments and futures contracts | 7,187 | 254 | 13,655 | 1,939 | 64 | 1,325 | ||||||||||||||||||
Change in net unrealized appreciation or (depreciation) from investments and futures contracts | 36,634 | 3,482 | (1,894 | ) | 6,099 | 665 | 3,884 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 42,604 | 3,831 | 10,684 | 7,780 | 801 | 4,935 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Institutional Class | — | — | — | A | — | — | — | A | ||||||||||||||||
Investor Class | — | — | — | B | — | — | — | B | ||||||||||||||||
Net realized gain from investments: | ||||||||||||||||||||||||
Institutional Class | (500 | ) | (6,551 | ) | (4,196 | )A | (144 | ) | (157 | ) | — | A | ||||||||||||
Y Class | (29 | ) | (281 | ) | — | (4 | ) | (1 | ) | — | ||||||||||||||
Investor Class | (337 | ) | (4,449 | ) | (3,533 | )B | (94 | ) | (109 | ) | — | B | ||||||||||||
A Class | (15 | ) | (196 | ) | — | (44 | ) | (42 | ) | — | ||||||||||||||
C Class | (3 | ) | (22 | ) | — | (2 | ) | (2 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net distributions to shareholders | (884 | ) | (11,499 | ) | (7,729 | ) | (288 | ) | (311 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets from capital share transactions | 106,425 | 53,535 | 59,912 | 10,472 | 1,051 | 17,851 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 148,145 | 45,867 | 62,867 | 17,964 | 1,541 | 22,786 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 208,171 | 162,304 | 99,437 | 57,568 | 56,027 | 33,241 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
End of Period * | $ | 356,316 | $ | 208,171 | $ | 162,304 | $ | 75,532 | $ | 57,568 | $ | 56,027 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
*Includes undistributed net investment income (loss) of | $ | 94 | $ | 95 | $ | — | $ | (142 | ) | $ | 72 | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
A | Formerly known as Class I. |
B | Formerly known as Class A. |
See accompanying notes
24
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), which is comprised of twenty-four Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Bridgeway Large Cap Value Fund, the American Beacon Holland Large Cap Growth Fund, the American Beacon Stephens Small Cap Growth Fund, and the American Beacon Stephens Mid-Cap Growth Fund, (each a “Fund” and collectively, the “Funds”), each a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Class Disclosure
The Funds have multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class: | Offered to: | |
Institutional Class | Investors making an initial investment of $250,000 | |
Y Class | Investors making an initial investment of $100,000 | |
Investor Class | General public and investors investing directly or through an intermediary | |
A Class | General public and investors investing through an intermediary with applicable sales charges | |
C Class | General public and investors investing through an intermediary with applicable sales charges |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.
2. Transactions with Affiliates
Management Agreement
The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory, fund management, and securities lending services. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Funds an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the unaffiliated investment advisors hired by the Manager to direct investment activities for the Funds. Management fees paid by the Funds during the six months ended June 30, 2013 were as follows (in thousands):
Management Fee Rate | Management Fee | Amounts paid to Investment Advisors | Net Amounts Retained by Manager | |||||||||||||
Bridgeway Large Cap Value | 0.44 | % | $ | 101 | $ | 89 | $ | 12 | ||||||||
Holland Large Cap Growth | 0.44 | % | 160 | 142 | 18 | |||||||||||
Stephens Small Cap Growth | 0.70 | % | 979 | 894 | 85 | |||||||||||
Stephens Mid-Cap Growth | 0.54 | % | 180 | 163 | 17 |
25
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.30% of the average daily net assets of the Institutional, Y, and Investor Classes of the Fund and 0.40% of the average daily net assets of the A and C Classes of the Fund.
Distribution Plans
The Fund, except for the A, and C Classes of the Fund, has adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no separate fees will be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.
Separate Distribution Plans (the “Distribution Plans”) have been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plans, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Class. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Service Plans
The Manager and the Trust entered into Service Plans that obligate the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes. As compensation for performing the duties required under the Service Plans, the Manager receives 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund.
Investment in Affiliated Funds
The Funds may invest in the American Beacon Money Market Select Fund or the U.S. Government Money Market Select Fund (the “USG Select Fund”) (collectively, the “Select Funds”). The Select Funds and the Funds have the same investment advisor and therefore, are considered to be affiliated. The Manager serves as investment advisor to the Select Funds and receives from the Select Funds an annualized fee up to 0.09% of the average daily net assets of the Select Fund. During the six months ended June 30, 2013, the Manager earned $11,034 from the Stephens Small Cap Growth Fund’s investment in the Select Funds.
Interfund Lending Program
Pursuant to an exemptive order issued by the Securities and Exchange Commission (“SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. During the six months ended June 30, 2013, the Stephens Mid-Cap Growth Fund borrowed from the American Beacon Large Cap Value Fund $431,989 for one day at 0.81% with interest charges of $9.49 and the American Beacon Short-Term Bond Fund $246,690 for one day at 0.79% with interest charges of $5.34.
26
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Expense Reimbursement Plan
The Manager contractually agreed to reimburse the following Funds to the extent that total annual fund operating expenses exceeded the Funds’ expense cap. For the period ended June 30, 2013, the Manager waived or reimbursed expenses as follows:
Fund | Class | Expense Cap | Waived or Reimbursed Expenses | Expiration | ||||||||||
Bridgeway Large Cap Value | Institutional | 0.84 | % | $ | 63,453 | 2016 | ||||||||
Bridgeway Large Cap Value | Y | 0.94 | % | 857 | 2016 | |||||||||
Bridgeway Large Cap Value | Investor | 1.22 | % | 5,496 | 2016 | |||||||||
Bridgeway Large Cap Value | A | 1.34 | % | 6,107 | 2016 | |||||||||
Bridgeway Large Cap Value | C | 2.09 | % | 346 | 2016 | |||||||||
Holland Large Cap Growth | Institutional | 0.89 | % | 1,275 | 2016 | |||||||||
Holland Large Cap Growth | Y | 0.99 | % | 41 | 2016 | |||||||||
Holland Large Cap Growth | Investor | 1.27 | % | 39,202 | 2016 | |||||||||
Holland Large Cap Growth | A | 1.39 | % | 262 | 2016 | |||||||||
Holland Large Cap Growth | C | 2.14 | % | 180 | 2016 | |||||||||
Stephens Small Cap Growth | Institutional | 1.09 | % | 20,648 | 2016 | |||||||||
Stephens Small Cap Growth | Y | 1.19 | % | 91 | 2016 | |||||||||
Stephens Small Cap Growth | Investor | 1.35 | % | 53,928 | 2016 | |||||||||
Stephens Small Cap Growth | A | 1.59 | % | 76 | 2016 | |||||||||
Stephens Small Cap Growth | C | 2.34 | % | 4 | 2016 | |||||||||
Stephens Mid-Cap Growth | Institutional | 0.99 | % | 24,437 | 2016 | |||||||||
Stephens Mid-Cap Growth | Y | 1.09 | % | 1,178 | 2016 | |||||||||
Stephens Mid-Cap Growth | Investor | 1.37 | % | 12,840 | 2016 | |||||||||
Stephens Mid-Cap Growth | A | 1.49 | % | 5,916 | 2016 | |||||||||
Stephens Mid-Cap Growth | C | 2.24 | % | 1,118 | 2016 |
Of these amounts, $11,956, $7,013, $13,389 and $6,864 were receivable from the Manager at June 30, 2013 for the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively. The Funds have adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’ average net assets have grown or expenses have declined sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. The reimbursed expenses above will expire in 2016. The carryover of excess expenses potentially reimbursable to the Manager is as follows:
Fund | Recovered Expenses | Excess Expense Carryover | Expiration of Reimbursed Expenses | |||||||||
Bridgeway Large Cap Value | $ | — | $ | 125,600 | 2015 | |||||||
Holland Large Cap Growth | — | 62,458 | 2015 | |||||||||
Stephens Small Cap Growth | — | 30,434 | 2015 | |||||||||
Stephens Mid-Cap Growth | — | 15,532 | 2015 |
For the period ended June 30, 2013, the Funds did not record a liability for potential reimbursements, due to the current assessment that a reimbursement is unlikely.
Sales Commissions
The Funds’ distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. During the six months ended April 30, 2013, Foreside collected $3,645, $272, $10,590 and $15,298 for the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds, respectively, from the sale of Class A shares.
A contingent deferred sales charge (“CDSC”) of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares
27
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
redeemed. During the six months ended June 30, 2013 CDSC fees of $395 were collected from the Stephens Small Cap Growth Fund.
3. Security Valuation and Fair Value Measurements
Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities, including exchange-traded funds (“ETFs”) for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.
Investments in open-end mutual funds are valued at the closing net asset value (“NAV”) per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Trust’s Board of Trustees (the “Board”).
Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized, but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.
Valuation Inputs
Various inputs may be used to determine the fair value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 | - | Quoted prices in active markets for identical securities. | ||||
Level 2 | - | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. | ||||
Level 3 | - | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Common stocks and financial derivative instruments, such as futures contracts 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. Preferred securities 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.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Short-term investments
28
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.
The Funds’ investments are summarized by level based on the inputs used to determine their values. U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all transfers between levels to be disclosed. The end of period timing recognition has been adopted for the transfers between levels of each Fund’s assets and liabilities. During the six months ended June 30, 2013, there were no transfers between levels. As of June 30, 2013, the investments were classified as described below (in thousands):
Bridgeway Large Cap Value Fund1 | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 63,794 | $ | — | $ | — | $ | 63,794 | ||||||||
Short-Term Investments – Money Markets | 2,073 | — | — | 2,073 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 65,867 | $ | — | $ | — | $ | 65,867 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments2 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity Contracts | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
|
|
|
|
|
|
|
|
Certain of the Fund’s assets are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Deposits with brokers for futures contracts | $ | 70 | $ | — | $ | — | $ | 70 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 70 | $ | — | $ | — | $ | 70 | ||||||||
|
|
|
|
|
|
|
|
Holland Large Cap Growth Fund1 | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 72,292 | $ | — | $ | — | $ | 72,292 | ||||||||
Short-Term Investments – Money Markets | 1,592 | — | — | 1,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 73,884 | $ | — | $ | — | $ | 73,884 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments2 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity Contracts | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||
|
|
|
|
|
|
|
|
Certain of the Fund’s assets are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Deposits with brokers for futures contracts | $ | 67 | $ | — | $ | — | $ | 67 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 67 | $ | — | $ | — | $ | 67 | ||||||||
|
|
|
|
|
|
|
|
Stephens Small Cap Growth Fund1 | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 349,752 | $ | — | $ | — | $ | 349,752 | ||||||||
Short-Term Investments – Money Markets | 11,604 | — | — | 11,604 | ||||||||||||
Securities Lending Collateral Invested in Money Markets | 35,692 | — | — | 35,692 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 397,048 | $ | — | $ | — | $ | 397,048 | ||||||||
|
|
|
|
|
|
|
|
Stephens Mid-Cap Growth Fund1 | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 73,546 | $ | — | $ | — | $ | 73,546 | ||||||||
Short-Term Investments – Money Markets | 1,653 | — | — | 1,653 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 75,199 | $ | — | $ | — | $ | 75,199 | ||||||||
|
|
|
|
|
|
|
|
29
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
1 | Refer to the Schedules of Investments for industry information. |
2 | Derivative financial instruments financial futures contracts. Financial futures contracts are valued at the unrealized appreciation or (depreciation) on the instrument. |
Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security purchase or sale. The Funds may purchase securities with delivery or payment to occur at a later date. At the time the Funds enters into a commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the NAV. The value of the security may vary with market fluctuations.
Dividend income, net of foreign taxes, is recorded on the ex-dividend date, except certain dividends from foreign securities which are recorded as soon as the information is available to the Funds. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.
Dividends to Shareholders
Dividends from net investment income of the Funds normally will be declared and paid at least annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.
Commission Recapture
The Funds have established brokerage commission recapture arrangements with certain brokers or dealers. If the Funds’ investment advisor chooses to execute a transaction through a participating broker, the broker rebates a portion of the commission back to the Fund. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Fund. This amount is reported with the net realized gain in the Funds’ Statement of Operations.
Allocation of Income, Expenses, Gains, and Losses
Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
30
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
4. Securities and Other Investments
Real Estate Investment Trusts
The Funds may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. The Funds re-characterize distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, the re-characterization will be estimated based on available information, which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, a re-characterization will be made the following year. These re-characterizations are not recorded for financial statement purposes, but as an adjustment to the calculation of taxable income.
Other Investment Company Securities and Other Exchange Traded Products
The Funds may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, exchange-traded notes (“ETNs”), unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or a sub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear a Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
5. Derivative Financial Instruments
The Funds engage in various portfolio strategies using derivative contracts both to increase the returns of the Funds and/or to economically hedge their exposure to equity risks. These contracts may be transacted on an exchange or OTC.
Futures Contracts
Futures contracts obligate a purchaser to take delivery of a specific amount of an obligation underlying the futures contract at a specified time in the future for a specified price. Likewise, the seller incurs an obligation to deliver the specified amount of the underlying obligation against receipt of the specified price. Futures are traded on both U.S. and foreign commodities exchanges. Futures contracts will be traded for the same purposes as entering into forward contracts. The purchase of futures can serve as a long hedge, and the sale of futures can serve as a short hedge.
No price is paid upon entering into a futures contract. Instead, at the inception of a futures contract a Fund is required to deposit “initial deposit” consisting of cash or U.S. Government Securities in an amount set by the exchange on which the contract is traded and varying based on the volatility of the underlying asset. Margin must also be deposited when writing a call or put option on a futures contract, in accordance with applicable exchange rules. Unlike margin in securities transactions, initial margin on futures contracts does not represent a borrowing, but rather is in the nature of a performance bond or good-faith deposit that is returned to a Fund at the termination of the transaction if all contractual obligations have been satisfied. Under certain circumstances, such as periods of high volatility, a Fund may be required by a futures exchange to increase the level of its initial margin payment, and initial margin requirements might be increased generally in the future by regulatory action.
31
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Subsequent “variation margin” payments are made to and from the futures broker daily as the value of the futures position varies, a process known as “marking-to-market.” Variation margin does not involve borrowing, but rather represents a daily settlement of a Fund’s obligations to or from a futures broker. When a Fund purchases or sells a futures contract, it is subject to daily variation margin calls that could be substantial in the event of adverse price movements. If a Fund has insufficient cash to meet daily variation margin requirements, it might need to sell securities at a time when such sales are disadvantageous.
Purchasers and sellers of futures contracts can enter into offsetting closing transactions, by selling or purchasing, respectively, an instrument identical to the instrument purchased or sold. Positions in futures contracts may be closed only on a futures exchange or board of trade that provides a secondary market. A Fund intends to enter into futures contracts only on exchanges or boards of trade where there appears to be a liquid secondary market. However, there can be no assurance that such a market will exist for a particular contract at a particular time. In such event, it may not be possible to close a futures contract.
Although futures contracts by their terms call for the actual delivery or acquisition of securities or currency, in most cases the contractual obligation is fulfilled before the date of the contract without having to make or take delivery of the securities or currency. The offsetting of a contractual obligation is accomplished by buying (or selling, as appropriate) on a commodities exchange an identical futures contract calling for delivery in the same month. Such a transaction, which is effected through a member of an exchange, cancels the obligation to make or take delivery of the securities or currency. Since all transactions in the futures market are made, offset or fulfilled through a clearinghouse associated with the exchange on which the contracts are traded, a Fund will incur brokerage fees when it purchases or sells futures contracts.
Under certain circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price; once that limit is reached, no trades may be made that day at a price beyond the limit. Daily price limits do not limit potential losses because prices could move to the daily limit for several consecutive days with little or no trading, thereby preventing liquidation of unfavorable positions.
If a Fund were unable to liquidate a futures contract due to the absence of a liquid secondary market or the imposition of price limits, it could incur substantial losses. A Fund would continue to be subject to market risk with respect to the position. In addition, a Fund would continue to be required to make daily variation margin payments and might be required to maintain the position being hedged by the futures contract or option thereon or to maintain cash or securities in a segregated account.
The ordinary spreads between prices in the cash and futures market, due to differences in the nature of those markets, are subject to distortions. First, all participants in the futures market are subject to initial deposit and variation margin requirements. Rather than meeting additional variation margin deposit requirements, investors may close futures contracts through offsetting transactions that could distort the normal relationship between the cash and futures markets. Second, the liquidity of the futures market depends on participants entering into offsetting transactions rather than making or taking delivery. To the extent participants decide to make or take delivery, liquidity in the futures market could be reduced, thus producing distortion. Third, from the point of view of speculators, the margin deposit requirements in the futures market are less onerous than margin requirements in the securities market. Therefore, increased participation by speculators in the futures market may cause temporary price distortions. Due to the possibility of distortion, a correct forecast of securities price or currency exchange rate trends by a sub-advisor may still not result in a successful transaction.
In addition, futures contracts entail risks. Although the use of such contracts may benefit a Fund, if investment judgment about the general direction of, for example, an index is incorrect, a Fund’s overall performance would be worse than if it had not entered into any such contract. In addition, there are differences between the securities and futures markets that could result in an imperfect correlation between the markets, causing a given transaction not to achieve its objectives.
32
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
The following is a summary of the Fund’s derivative financial instruments categorized by risk exposure (in thousands) (1) (3):
Fair Values of derivative financial instruments as of June 30, 2013 (000’s):
Bridgeway Large Cap Value | Holland Large Cap Growth | |||||||||||
Statements of Assets and Liabilities | Derivative | |||||||||||
Unrealized appreciation or (depreciation) of investments and futures contracts(2) | Equity Contracts | $ | 2 | $ | (22 | ) |
The effect of derivative financial instruments during the six months ended June 30, 2013 (000’s):
Statements of Operations | ||||||||||||
Net realized gain (loss) from futures contracts | Equity Contracts | (101 | ) | 234 | ||||||||
Change in net unrealized appreciation or (depreciation) of futures contracts | Equity Contracts | 3 | (33 | ) |
(1) | See Note 3 in the Notes to Financial Statements for additional information. |
(2) | Includes only current day’s variation margin as reported within the Statements of Assets and Liabilities. Cumulative appreciation or (depreciation) of futures contracts is reported in the Schedule of Investments footnotes. |
(3) | The volume of derivative activity described above is reflective of the derivative activity through the current period of operations. |
For the six months ended June 30, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:
Bridgeway Large Cap Value | Holland Large Cap Growth | |||||||
Financial futures contracts: | ||||||||
Average Number of Contracts Purchased | 5 | 3 | ||||||
Average Number of Contracts Sold | 13 | 2 | ||||||
Average Value of Contracts Purchased | $ | 402,396 | $ | 260,520 | ||||
Average Value of Contracts Sold | $ | 968,604 | $ | 128,177 |
Counterparty Credit Risk
A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. With exchange traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
6. Federal Income and Excise Taxes
It is the policy of the Funds to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2012 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statement of Operations.
33
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The tax character of distributions paid were as follows (in thousands):
Bridgeway Large Cap Value | Holland Large Cap Growth | |||||||||||||||||||
Six Months Ended June 30, 2013 | Six Months Ended December 31, 2012 | Year Ended June 30, 2012 | Six Months Ended June 30, 2013 | Year Ended December 31, 2012 | ||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||
Distributions paid from: | ||||||||||||||||||||
Ordinary income* | ||||||||||||||||||||
Institutional Class | $ | — | $ | 486 | $ | 357 | $ | — | $ | 6 | ||||||||||
Y Class | — | 1 | — | — | — | |||||||||||||||
Investor Class | — | 8 | — | — | 41 | |||||||||||||||
A Class | — | 6 | — | — | 1 | |||||||||||||||
C Class | — | — | — | — | 1 | |||||||||||||||
Long-Term Capital Gain | ||||||||||||||||||||
Institutional Class | — | — | — | — | 84 | |||||||||||||||
Y Class | — | — | — | — | 1 | |||||||||||||||
Investor Class | — | — | — | — | 3,479 | |||||||||||||||
A Class | — | — | — | — | 27 | |||||||||||||||
C Class | — | — | — | — | 15 | |||||||||||||||
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| |||||||||||
Total distributions paid | $ | — | $ | 501 | $ | 357 | $ | — | $ | 3,655 | ||||||||||
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|
Stephens Small Cap Growth | Stephens Mid-Cap Growth | |||||||||||||||||||||||
Six Months Ended June 30, 2013 | One Month Ended December 31, 2012 | Year Ended November 30, 2012 | Six Months Ended June 30, 2013 | One Month Ended December 31, 2012 | Year Ended November 30, 2012 | |||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income* | ||||||||||||||||||||||||
Institutional Class | $ | — | $ | 27 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Y Class | — | 1 | — | — | — | — | ||||||||||||||||||
Investor Class | — | 18 | — | — | — | — | ||||||||||||||||||
A Class | — | 1 | — | — | — | — | ||||||||||||||||||
C Class | — | — | — | — | — | — | ||||||||||||||||||
Long-Term Capital Gain | ||||||||||||||||||||||||
Institutional Class | 500 | 6,524 | 4,196 | 144 | 157 | — | ||||||||||||||||||
Y Class | 29 | 280 | — | 4 | 1 | — | ||||||||||||||||||
Investor Class | 337 | 4,431 | 3,533 | 94 | 109 | — | ||||||||||||||||||
A Class | 15 | 195 | — | 44 | 42 | — | ||||||||||||||||||
C Class | 3 | 22 | — | 2 | 2 | — | ||||||||||||||||||
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| |||||||||||||
Total distributions paid | $ | 884 | $ | 11,499 | $ | 7,729 | $ | 288 | $ | 311 | $ | — | ||||||||||||
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* | For tax purposes, short-term capital gains are considered ordinary income distributions. |
As of June 30, 2013, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):
Bridgeway Large Cap Value | Holland Large Cap Growth | Stephens Small Cap Growth | Stephens Mid-Cap Growth | |||||||||||||
Cost basis of investments for federal income tax purposes | $ | 57,196 | $ | 51,605 | $ | 341,510 | $ | 60,238 | ||||||||
Unrealized appreciation | 9,020 | 22,984 | 61,741 | 16,100 | ||||||||||||
Unrealized depreciation | (349 | ) | (705 | ) | (6,203 | ) | (1,139 | ) | ||||||||
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| |||||||||
Net unrealized appreciation or (depreciation) | 8,671 | 22,279 | 55,538 | 14,961 | ||||||||||||
Undistributed ordinary income | 230 | 190 | 94 | (142 | ) | |||||||||||
Accumulated long-term gain or (loss) | 1,854 | 4,116 | 7,622 | 1,981 | ||||||||||||
Other temporary differences | 2 | (22 | ) | — | — | |||||||||||
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Distributable earnings or (deficits) | $ | 10,757 | $ | 26,563 | $ | 63,254 | $ | 16,800 | ||||||||
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34
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation or (depreciation) are attributable primarily to the tax deferral of losses from wash sales and the realization for tax purposes of unrealized gains or (losses) on certain derivative instruments.
Due to inherent differences in the recognition of income, expenses and realized gains or (losses) under U.S. GAAP and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statement of Assets and Liabilities.
Accordingly, the following amounts represent current year permanent differences derived from the realization for tax purposes of unrealized gains or (losses) on certain derivative instruments and prior period adjustments to income and expense as of June 30, 2012 (in thousands):
Bridgeway Large Cap Value | Holland Large Cap Growth | Stephens Small Cap Growth | Stephens Mid-Cap Growth | |||||||||||||
Paid-in-capital | $ | — | $ | — | $ | (1,217 | ) | $ | — | |||||||
Undistributed net investment income | (21 | ) | 83 | 1,217 | 44 | |||||||||||
Accumulated net realized gain (loss) | 21 | (83 | ) | — | (44 | ) | ||||||||||
Unrealized appreciation or (depreciation) of investments and futures contracts | — | — | — | — |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the RIC MOD, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Finally, the RIC MOD contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the RIC MOD is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
As of June 30, 2013, the Fund had $0 net capital loss carryforwards
7. Investment Transactions
The aggregate cost of purchases and proceeds from sales and maturities of long-term investments during the year ended June 30, 2013 were as follows (in thousands):
Bridgeway Large Cap Value | Holland Large Cap Growth | Stephens Small Cap Growth | Stephens Mid-Cap Growth | |||||||||||||
Purchases (excluding U.S. government securities) | $ | 39,608 | $ | 9,575 | $ | 153,910 | $ | 17,200 | ||||||||
Sales and maturities (excluding U.S. government securities) | 8,493 | 12,363 | 50,115 | 8,731 |
35
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
A summary of the Funds’ direct transactions in Select Funds for the year ended June 30, 2013 is set forth below (in thousands):
Affiliate | December 31, 2012 Shares/Fair Value | Purchases | Sales | June 30, 2013 Shares/Fair Value | ||||||||||||||||
Stephens Small Cap Growth | USG Select Fund | $ | 9,303 | $ | 87,424 | $ | 69,024 | $ | 27,703 |
8. Securities Lending
The Stephens Small Cap Growth Fund (“Fund”) may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Fund should have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter in an amount equal to at least 100% of the current market value of the loaned securities. If the market value of the loaned securities falls below 100%, the borrower is required to delivery additional collateral to the Fund. Securities lending income, as disclosed in the Statements of Operations, represents the income earned from the investment of the cash collateral, the net of fees paid by and rebates paid to borrowers and less the fees paid to the securities lending agent, Brown Brothers Harriman (“BBH”), and the Fund’s investment adviser, American Beacon Advisors, Inc. for its administration and oversight functions, including oversight of the of the securities lending agent. During the term of the loan, the Fund earns dividend or interest income, or the equivalent, on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of securities on loan and the value of the related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value, and collateral on securities loaned at value, respectively. The cash collateral invested by the securities lending agent, BBH, if any, is disclosed in the Schedule of Investments.
Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (“MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the Fund can reinvest cash collateral, or, upon an event of default, resell or repledge the collateral, and the borrower can resell or repledge the loaned securities.
The following table is a summary of Stephens Small Gap Growth Fund’s open securities lending agreements by counterparty which are subject to offset under a MSLA as of June 30, 2013 (in thousands):
Counterparty | Fair Value of Securities on Loan | Non-Cash Collateral | Cash Collateral Posted by Borrower Collateral1 | Net Amount | ||||||||||||
Barclays Capital, Inc. | $ | 4,181,622 | $ | — | $ | 4,181,622 | $ | — | ||||||||
BNP Paribas S.A. | 52,076 | — | 52,076 | — | ||||||||||||
Citigroup Global Markets, Inc. | 4,679,163 | — | 4,679,163 | — | ||||||||||||
Credit Suisse Securities (USA) LLC | 4,035,533 | — | 4,035,533 | — | ||||||||||||
Deutsche Bank Securities, Inc. | 14,811,450 | — | 14,811,450 | — | ||||||||||||
Goldman Sachs & Co. | 22,221,176 | — | 22,221,176 | — | ||||||||||||
INC Financial Markets LLC | 317,608 | — | 317,608 | — | ||||||||||||
JP Morgan Clearing Corp. | 3,252,528 | — | 3,252,528 | — | ||||||||||||
Scotia Capital USA, Inc. | 600,362 | — | 600,362 | — |
36
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Counterparty | Fair Value of Securities on Loan | Non-Cash Collateral | Cash Collateral Posted by Borrower Collateral1 | Net Amount | ||||||||||||
SG Americas Securities LLC | $ | 194,712 | $ | — | $ | 194,712 | $ | — | ||||||||
USB Securities LLC | 489,686 | — | 489,686 | — | ||||||||||||
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Total | $ | 34,837,256 | $ | — | $ | 34,837,256 | $ | — | ||||||||
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1 | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $35,692,310 has been received in connection with securities lending transactions. |
The risks of securities lending also include the risk that the borrower may not provide additional collateral when required, may not return the securities when due, or may default or otherwise become insolvent. To mitigate this risk, the Fund benefits from a borrower default indemnity provided by BBH. BBH’s indemnity allows for full replacement of securities lent. Also, the securities in which the collateral is invested may not perform sufficiently to cover the return collateral payments owed to borrowers. The Fund attempts to minimize this risk by limiting the investment of cash collateral to registered money market funds. In addition, delays may occur in the recovery of securities from borrowers, which could interfere with the Fund’s ability to vote proxies or to settle transactions. During the six months ended June 30, 2013, any securities on loan were collateralized by cash.
Cash collateral is listed on the Stephens Small Cap Growth Fund’s Schedule of Investments and is shown on the Statements of Assets and Liabilities. Income earned on these investments, grossed up by the securities lending fees paid to the Manager, is included in Income derived from securities lending on the Statements of Operations.
Non-cash collateral received by the Fund may not be sold or re-pledged except to satisfy a borrower default. Therefore, non-cash collateral is not included on the Fund’s Schedule of Investments or Statements of Assets and Liabilities.
9. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Fund (dollars and shares in thousands):
For the Six months Ended June 30, 2013
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 697 | $ | 12,491 | 353 | $ | 6,615 | 540 | $ | 9,759 | |||||||||||||||
Reinvestment of dividends | — | — | — | — | — | — | ||||||||||||||||||
Shares redeemed | (217 | ) | (3,925 | ) | (1 | ) | (12 | ) | (23 | ) | (411 | ) | ||||||||||||
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Net increase in shares outstanding | 480 | $ | 8,566 | 352 | $ | 6,603 | 517 | $ | 9,348 | |||||||||||||||
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A Class | C Class | |||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 456 | $ | 8,091 | 37 | $ | 673 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | (10 | ) | (190 | ) | — | (6 | ) | |||||||||
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Net increase in shares outstanding | 446 | $ | 7,901 | 37 | $ | 667 | ||||||||||
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37
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Holland Large Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 5 | $ | 111 | 4 | $ | 85 | 53 | $ | 1,250 | |||||||||||||||
Reinvestment of dividends | — | — | — | — | — | — | ||||||||||||||||||
Shares redeemed | (2 | ) | (42 | ) | — | — | (235 | ) | (5,528 | ) | ||||||||||||||
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Net increase (decrease) in shares outstanding | 3 | $ | 69 | 4 | $ | 85 | (182 | ) | $ | (4,278 | ) | |||||||||||||
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A Class | C Class | |||||||||||||||
Holland Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5 | $ | 116 | 12 | $ | 294 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | (3 | ) | (69 | ) | (3 | ) | (69 | ) | ||||||||
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Net increase in shares outstanding | 2 | $ | 47 | 9 | $ | 225 | ||||||||||
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Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 4,043 | $ | 57,518 | 1,113 | $ | 16,159 | 4,189 | $ | 57,964 | |||||||||||||||
Reinvestment of dividends | 34 | 488 | 1 | 24 | 24 | 334 | ||||||||||||||||||
Shares redeemed | (1,250 | ) | (17,965 | ) | (100 | ) | (1,452 | ) | (763 | ) | (10,388 | ) | ||||||||||||
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| |||||||||||||
Net increase in shares outstanding | 2,827 | $ | 40,041 | 1,014 | $ | 14,731 | 3,450 | $ | 47,910 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
A Class | C Class | |||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 249 | $ | 3,466 | 56 | $ | 753 | ||||||||||
Reinvestment of dividends | 1 | 13 | — | 3 | ||||||||||||
Shares redeemed | (31 | ) | (436 | ) | (4 | ) | (56 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 219 | $ | 3,043 | 52 | $ | 700 | ||||||||||
|
|
|
|
|
|
|
|
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 281 | $ | 4,725 | 44 | $ | 731 | 479 | $ | 7,158 | |||||||||||||||
Reinvestment of dividends | 8 | 142 | — | 3 | 6 | 90 | ||||||||||||||||||
Shares redeemed | (141 | ) | (2,362 | ) | (6 | ) | (111 | ) | (178 | ) | (2,620 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 148 | $ | 2,505 | 38 | $ | 623 | 307 | $ | 4,628 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
A Class | C Class | |||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 201 | $ | 2,998 | 24 | $ | 368 | ||||||||||
Reinvestment of dividends | 2 | 26 | — | 2 | ||||||||||||
Shares redeemed | (45 | ) | (672 | ) | — | (6 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 158 | $ | 2,352 | 24 | $ | 364 | ||||||||||
|
|
|
|
|
|
|
|
For the Period Ended December 31, 2012
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 65 | $ | 1,021 | 2 | $ | 29 | 34 | $ | 540 | |||||||||||||||
Reinvestment of dividends | 30 | 473 | — | 1 | 1 | 8 | ||||||||||||||||||
Shares redeemed | (233 | ) | (3,617 | ) | — | — | (19 | ) | (298 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in shares outstanding | (138 | ) | $ | (2,123 | ) | 2 | $ | 30 | 16 | $ | 250 | |||||||||||||
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|
|
|
|
|
|
|
|
|
A Class | C Class | |||||||||||||||
Bridgeway Large Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6 | $ | 90 | — | $ | 6 | ||||||||||
Reinvestment of dividends | — | 5 | — | — | ||||||||||||
Shares redeemed | (5 | ) | (75 | ) | — | (1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 1 | $ | 20 | — | $ | 5 | ||||||||||
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|
|
|
38
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Holland Large Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 15 | $ | 345 | 2 | $ | 49 | 385 | $ | 8,615 | |||||||||||||||
Reinvestment of dividends | 4 | 89 | — | 1 | 162 | 3,519 | ||||||||||||||||||
Shares redeemed | (3 | ) | (72 | ) | (1 | ) | (26 | ) | (353 | ) | (7,755 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 16 | $ | 362 | 1 | $ | 24 | 194 | $ | 4,379 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
A Class | C Class | |||||||||||||||
Holland Large Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 31 | $ | 687 | 12 | $ | 283 | ||||||||||
Reinvestment of dividends | 1 | 18 | 1 | 15 | ||||||||||||
Shares redeemed | (11 | ) | (242 | ) | — | (4 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 21 | $ | 463 | 13 | $ | 294 | ||||||||||
|
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|
|
|
|
|
|
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 3,195 | $ | 42,178 | 155 | $ | 2,086 | 353 | $ | 4,515 | |||||||||||||||
Reinvestment of dividends | 487 | 6,324 | 18 | 229 | 350 | 4,354 | ||||||||||||||||||
Shares redeemed | (203 | ) | (2,676 | ) | (21 | ) | (271 | ) | (281 | ) | (3,549 | ) | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 3,479 | $ | 45,826 | 152 | $ | 2,044 | 422 | $ | 5,320 | |||||||||||||||
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A Class | C Class | |||||||||||||||
Stephens Small Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 15 | $ | 189 | — | $ | — | ||||||||||
Reinvestment of dividends | 14 | 178 | 2 | 21 | ||||||||||||
Shares redeemed | (3 | ) | (42 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 26 | $ | 325 | 2 | $ | 21 | ||||||||||
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|
|
|
|
|
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||
Shares sold | 12 | $ | 184 | 10 | $ | 148 | 80 | $ | 1,092 | |||||||||||||||
Reinvestment of dividends | 10 | 155 | — | 1 | 7 | 101 | ||||||||||||||||||
Shares redeemed | (7 | ) | (110 | ) | — | — | (62 | ) | (855 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in shares outstanding | 15 | $ | 229 | 10 | $ | 149 | 25 | $ | 338 | |||||||||||||||
|
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|
A Class | C Class | |||||||||||||||
Stephens Mid-Cap Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 38 | $ | 525 | 11 | $ | 150 | ||||||||||
Reinvestment of dividends | 2 | 24 | — | 2 | ||||||||||||
Shares redeemed | (27 | ) | (366 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares outstanding | 13 | $ | 183 | 11 | $ | 152 | ||||||||||
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|
39
American Beacon Bridgeway Large Cap Value FundSM
(For a share outstanding throughout the period)
Institutional ClassG | ||||||||||||||||||||||||
Six Months | Six Months Ended Dec. 31, | Year Ended June 30, | ||||||||||||||||||||||
2013 | 2012 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.85 | $ | 14.80 | $ | 14.62 | $ | 11.44 | $ | 9.74 | $ | 13.63 | ||||||||||||
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| |||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | 0.20 | 0.24 | 0.20 | B | 0.19 | B | 0.23 | B | |||||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 2.67 | 1.14 | 0.12 | 3.21 | 1.73 | (3.89 | ) | |||||||||||||||||
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| |||||||||||||
Total income (loss) from investment operations | 2.75 | 1.34 | 0.36 | 3.41 | 1.92 | (3.66 | ) | |||||||||||||||||
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| |||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.29 | ) | (0.18 | ) | (0.23 | ) | (0.22 | ) | (0.23 | ) | |||||||||||||
Distributions from net realized gains | — | — | — | — | — | — | ||||||||||||||||||
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Total distributions | — | (0.29 | ) | (0.18 | ) | (0.23 | ) | (0.22 | ) | (0.23 | ) | |||||||||||||
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| |||||||||||||
Net asset value, end of period | $ | 18.60 | $ | 15.85 | $ | 14.80 | $ | 14.62 | $ | 11.44 | $ | 9.74 | ||||||||||||
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| |||||||||||||
Total return C | 17.35 | %D | 9.04 | %D | 2.60 | % | 30.02 | % | 19.65 | % | (26.88 | )% | ||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 40,220 | $ | 26,669 | $ | 26,950 | $ | 29,647 | $ | 25,534 | $ | 27,996 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses, before reimbursements | 1.20 | %E | 1.73 | %E | 1.30 | % | 1.17 | % | 1.11 | % | 0.98 | % | ||||||||||||
Expenses, net of reimbursements | 0.84 | %E | 0.84 | %E | 0.82 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Net investment income (loss), before reimbursements | 0.81 | %E | 1.38 | %E | 1.17 | % | 1.17 | % | 1.32 | % | 2.06 | % | ||||||||||||
Net investment income (loss), net of reimbursements | 1.17 | %E | 2.27 | %E | 1.66 | % | 1.50 | % | 1.58 | % | 2.20 | % | ||||||||||||
Portfolio turnover rate | 19 | %D | 21 | %D | 36 | % | 43 | % | 49 | % | 65 | % |
A | Commencement of operations. |
B | Per share amounts calculated based on average daily shares outstanding during the period. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from July 1, 2011 to June 30, 2012. |
G | Prior to the reorganization on February 3, 2012, the Institutional Class was known as Class N. |
40
American Beacon Bridgeway Large Cap Value FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | Investor Class | A Class | C Class | |||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2013 | Six Months Ended Dec. 31, 2012 | Feb. 3A to June 30, 2012 | Six Months Ended June 30, 2013 | Six Months Ended Dec. 31, 2012 | Feb. 3A to June 30, 2012 | Six Months Ended June 30, 2013 | Six Months Ended Dec. 31, 2012 | Feb. 3A to June 30, 2012 | Six Months Ended June 30, 2013 | Six Months Ended Dec. 31, 2012 | Feb. 3A to June 30, 2012 | |||||||||||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
$ | 15.84 | $ | 14.80 | $ | 14.46 | $ | 15.81 | $ | 14.78 | $ | 14.46 | $ | 15.78 | $ | 14.77 | $ | 14.46 | $ | 15.70 | $ | 14.73 | $ | 14.46 | |||||||||||||||||||||||
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| |||||||||||||||||||||||
0.14 | 0.07 | 0.09 | 0.15 | 0.12 | 0.03 | 0.16 | 0.15 | 0.01 | 0.18 | 0.09 | 0.02 | |||||||||||||||||||||||||||||||||||
2.59 | 1.26 | 0.25 | 2.56 | 1.19 | 0.29 | 2.53 | 1.15 | 0.30 | 2.42 | 1.17 | 0.25 | |||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||
2.73 | 1.33 | 0.34 | 2.71 | 1.31 | 0.32 | 2.69 | 1.30 | 0.31 | 2.60 | 1.26 | 0.27 | |||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||
— | (0.29 | ) | — | — | (0.28 | ) | — | — | (0.29 | ) | — | — | (0.29 | ) | — | |||||||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
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— | (0.29 | ) | — | — | (0.28 | ) | — | — | (0.29 | ) | — | — | (0.29 | ) | — | |||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||
$ | 18.57 | $ | 15.84 | $ | 14.80 | $ | 18.52 | $ | 15.81 | $ | 14.78 | $ | 18.47 | $ | 15.78 | $ | 14.77 | $ | 18.30 | $ | 15.70 | $ | 14.73 | |||||||||||||||||||||||
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| |||||||||||||||||||||||
17.23 | %D | 8.98 | %D | 2.35 | %D | 17.14 | %D | 8.84 | %D | 2.21 | %D | 17.05 | %D | 8.78 | %D | 2.14 | %D | 16.56 | %D | 8.54 | %D | 1.87 | %D | |||||||||||||||||||||||
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| |||||||||||||||||||||||
$ | 6,588 | $ | 36 | $ | 5 | $ | 10,144 | $ | 489 | $ | 215 | $ | 8,593 | $ | 311 | $ | 276 | $ | 700 | $ | 20 | $ | 14 | |||||||||||||||||||||||
1.15 | %E | 3.75 | %E | 144.38 | %E | 1.49 | %E | 2.26 | %E | 18.30 | %E | 1.58 | %E | 2.21 | %E | 15.39 | %E | 2.33 | %E | 6.81 | %E | 64.88 | %E | |||||||||||||||||||||||
0.94 | %E | 0.93 | %E | 0.94 | %E | 1.22 | %E | 1.21 | %E | 1.22 | %E | 1.34 | %E | 1.33 | %E | 1.34 | %E | 2.09 | %E | 1.77 | %E | 2.09 | %E | |||||||||||||||||||||||
0.69 | %E | (0.51 | )%E | (141.90 | )%E | 0.47 | %E | 1.00 | %E | (15.48 | )%E | 0.33 | %E | 0.90 | %E | (13.13 | )%E | (0.34 | )%E | (3.55 | )%E | (62.47 | )%E | |||||||||||||||||||||||
0.90 | %E | 2.31 | %E | 1.54 | %E | 0.75 | %E | 2.05 | %E | 1.59 | %E | 0.57 | %E | 1.78 | %E | 0.92 | %E | (0.10 | )%E | 1.49 | %E | 0.32 | %E | |||||||||||||||||||||||
19 | %D | 21 | %D | 36 | %F | 19 | %D | 21 | %D | 36 | %F | 19 | %D | 21 | %D | 36 | %F | 19 | %D | 21 | %D | 36 | %F |
41
American Beacon Holland Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | Y Class | |||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | March 1A Dec. 31, | Six Months Ended June 30, | March 23A Dec. 31, | ||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2013 | 2012 | |||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.60 | $ | 20.30 | $ | 20.00 | $ | 17.88 | $ | 21.59 | $ | 23.00 | ||||||||||||
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| |||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.02 | 0.09 | B | (0.02 | )C | (0.01 | )C | (0.01 | ) | 0.09 | B | |||||||||||||
Net gains (losses) on investments (both realized and unrealized) | 2.82 | 2.47 | 0.71 | 2.61 | 2.82 | (0.26 | ) | |||||||||||||||||
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| |||||||||||||
Total income (loss) from investment operations | 2.84 | 2.56 | 0.69 | 2 .60 | 2.81 | (0.17 | ) | |||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.08 | ) | — | — | — | (0.06 | ) | ||||||||||||||||
Distributions from net realized gains on securities | — | (1.18 | ) | (0.39 | ) | (0.48 | ) | — | (1.18 | ) | ||||||||||||||
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Total distributions | — | (1.26 | ) | (0.39 | ) | (0.48 | ) | — | (1.24 | ) | ||||||||||||||
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| |||||||||||||
Net asset value, end of period | $ | 24.44 | $ | 21.60 | $ | 20.30 | $ | 20.00 | $ | 24.40 | $ | 21.59 | ||||||||||||
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Total return D | 13.10 | %E | 12.57 | % | 3.47 | % | 14.58 | %E | 13.06 | %E | (0.79 | )%E | ||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,902 | $ | 1,619 | $ | 1,193 | $ | 1,126 | $ | 116 | $ | 23 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses, before reimbursements | 1.03 | %F | 1.32 | % | 1.49 | % | 1.91 | %F | 1.07 | %F | 10.18 | %F | ||||||||||||
Expenses, net of reimbursements | 0.89 | %F | 0.96 | % | 1.20 | % | 1.20 | %F | 0.99 | %F | 0.98 | %F | ||||||||||||
Net investment income (loss), before expense reimbursements | 0.00 | %F | 0.07 | % | (0.38 | )% | (0.77 | )%F | 0.03 | %F | (8.77 | )%F | ||||||||||||
Net investment income (loss), net of reimbursements | 0.15 | %F | 0.43 | % | (0.09 | )% | 0.06 | %F | 0.11 | %F | 0.43 | %F | ||||||||||||
Portfolio turnover rate | 13 | %E | 18 | % | 12 | % | 18 | %E | 13 | %E | 18 | %G |
A | Commencement of operations. |
B | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by average shares outstanding for the period. |
C | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from January 1, 2012 to December 31, 2012. |
42
American Beacon Holland Large Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | A Class | C Class | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, | Six Months Ended June 30, | Year Ended December 31, | Feb. 1A Dec. 31, | Six Months Ended June 30, | March 23A Dec. 31, | ||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2013 | 2012 | 2011 | 2010 | 2013 | 2012 | |||||||||||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
$ | 21.52 | $ | 20.24 | $ | 19.97 | $ | 17.94 | $ | 12.90 | $ | 19.81 | $ | 21.43 | $ | 20.23 | $ | 19.96 | $ | 17.40 | $ | 21.29 | $ | 22.90 | |||||||||||||||||||||||
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(0.03 | ) | 0.02 | B | (0.05 | )C | (0.04 | )C | (0.02 | )C | (0.04 | )C | (0.04 | ) | 0.03 | B | (0.05 | )C | (0.04 | )C | (0.07 | ) | 0.01 | B | |||||||||||||||||||||||
2.80 | 2.45 | 0.71 | 2.55 | 5.06 | (6.86 | ) | 2.79 | 2.41 | 0.71 | 3 .08 | 2.72 | (0.38 | ) | |||||||||||||||||||||||||||||||||
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2.77 | 2.47 | 0.66 | 2.51 | 5.04 | (6.90 | ) | 2.75 | 2.44 | 0.66 | 3 .04 | 2.65 | (0.37 | ) | |||||||||||||||||||||||||||||||||
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— | (0.01 | ) | — | — | — | — | — | (0.06 | ) | — | — | — | (0.06 | ) | ||||||||||||||||||||||||||||||||
— | (1.18 | ) | (0.39 | ) | (0.48 | ) | — | (0.01 | ) | — | (1.18 | ) | (0.39 | ) | (0.48 | ) | — | (1.18 | ) | |||||||||||||||||||||||||||
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— | (1.19 | ) | (0.39 | ) | (0.48 | ) | — | (0.01 | ) | — | (1.24 | ) | (0.39 | ) | (0.48 | ) | — | (1.24 | ) | |||||||||||||||||||||||||||
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$ | 24.29 | $ | 21.52 | $ | 20.24 | $ | 19.97 | $ | 17.94 | $ | 12.90 | $ | 24.18 | $ | 21.43 | $ | 20.23 | $ | 19.96 | $ | 23.94 | $ | 21.29 | |||||||||||||||||||||||
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12.87 | %E | 12.18 | % | 3.33 | % | 14.03 | % | 39.07 | % | (34.83 | )% | 12.83 | %E | 11.99 | % | 3.33 | % | 17.51 | %E | 12.45 | %E | (1.65 | )%E | |||||||||||||||||||||||
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$ | 70,737 | $ | 66,568 | $ | 58,682 | $ | 54,128 | $ | 50,341 | $ | 33,766 | $ | 571 | $ | 467 | $ | 13 | $ | 12 | $ | 542 | $ | 281 | |||||||||||||||||||||||
1.38 | %F | 1.44 | % | 1.64 | % | 1.77 | % | 1.69 | % | 1.71 | % | 1.49 | %F | 2.73 | % | 10.06 | % | 42.81 | %F | 2.24 | %F | 6.17 | %F | |||||||||||||||||||||||
1.27 | %F | 1.29 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.39 | %F | 1.38 | % | 1.40 | % | 1.40 | %F | 2.14 | %F | 2.12 | %F | |||||||||||||||||||||||
(0.35 | )%F | (0.08 | )% | (0.53 | )% | (0.64 | )% | (0.45 | )% | (0.61 | )% | (0.45 | )%F | (0.97 | )% | (8.94 | )% | (41.83 | )%F | (1.19 | )%F | (3.85 | )%F | |||||||||||||||||||||||
(0.23 | )%F | 0.07 | % | (0.24 | )% | (0.22 | )% | (0.11 | )% | (0.25 | )% | (0.35 | )%F | 0.37 | % | (0.28 | )% | (0.22 | )%F | (1.09 | )%F | 0.20 | %F | |||||||||||||||||||||||
13 | %E | 18 | % | 12 | % | 18 | % | 11 | % | 35 | % | 13 | %E | 18 | % | 12 | % | 18 | %E | 13 | %E | 18 | %G |
43
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||
Six Months June 30, | One Dec. 31, | Year Ended November 30, | ||||||||||||||||||||||||||
2013 | 2012 | 2012A | 2011A | 2010A | 2009A | 2008A | ||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.99 | $ | 13.54 | $ | 13.14 | $ | 12.03 | $ | 9.37 | $ | 7.09 | $ | 12.34 | ||||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | (0.03 | ) | 0.06 | (0.04 | )I | (0.11 | )B | (0.09 | )B | (0.06 | ) | (0.04 | ) | |||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | 2.30 | 0.23 | 1.43 | 1.37 | 2.75 | 2.34 | (5.21 | ) | ||||||||||||||||||||
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Total income (loss) from investment operations | 2.27 | 0.29 | 1.39 | 1.26 | 2.66 | 2.28 | (5.25 | ) | ||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | — | |||||||||||||||||||||
Distributions from net realized gains on securities | (0.04 | ) | (0.84 | ) | (0.99 | ) | (0.15 | ) | — | — | — | |||||||||||||||||
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Total distributions | (0.04 | ) | (0.84 | ) | (0.99 | ) | (0.15 | ) | — | — | — | |||||||||||||||||
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Redemption fees added to beneficial interests | — | — | — | — | — | — | 0.00 | C | ||||||||||||||||||||
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Net asset value, end of period | $ | 15.22 | $ | 12.99 | $ | 13.54 | $ | 13.14 | $ | 12.03 | $ | 9.37 | $ | 7.09 | ||||||||||||||
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Total return D | 17.53 | %E | 2.15 | %E | 11.74 | % | 10.49 | % | 28.39 | % | 32.16 | % | (42.54 | )% | ||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 195,754 | $ | 138,052 | $ | 88,815 | $ | 52,336 | $ | 39,169 | $ | 34,356 | $ | 13,792 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.11 | %F | 1.20 | %F | 1.20 | % | 1.15 | % | 1.35 | % | 1.65 | % | 1.46 | % | ||||||||||||||
Expenses, net of reimbursements | 1.09 | %F | 1.06 | %F | 1.10 | % | 1.10 | % | 1.10 | % | 1.25 | % | 1.25 | % | ||||||||||||||
Net investment income (loss), before reimbursements | (0.79 | )%F | 0.54 | %F | (0.84 | )% | (0.91 | )% | (1.09 | )% | (1.33 | )% | (1.00 | )% | ||||||||||||||
Net investment income (loss), net of reimbursements | (0.77 | )%F | 0 .68 | %F | (0.74 | )% | (0.86 | )% | (0.84 | )% | (0.93 | )% | (0.79 | )% | ||||||||||||||
Portfolio turnover rate | 18 | %E | 6 | %E | 45 | % | 36 | % | 66 | % | 35 | % | 43 | % |
A | Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively. |
B | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012. |
H | Commencement of Operations. |
I | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by shares outstanding at November 30, 2012. |
44
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | Investor Class | A Class | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | One Month Ended Dec. 31, | Feb. 24H to Nov. 30, | Six Months June 30, | One Month Ended Dec. 31, | Year Ended November 30, | Six Months Ended June 30, | One Month Ended Dec. 31, | Feb. 24H to Nov. 30, | ||||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2012 | 2013 | 2012 | 2012A | 2011A | 2010A | 2009A | 2008A | 2013 | 2012 | 2012 | ||||||||||||||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
$ | 12.98 | $ | 13.54 | $ | 13.59 | $ | 12.42 | $ | 12 .99 | $ | 12.67 | $ | 11.64 | $ | 9.09 | $ | 6.90 | $ | 12.03 | $ | 12.40 | $ | 12.98 | $ | 13.07 | |||||||||||||||||||||||||
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(0.03) | 0.01 | (0.02 | ) | 0.02 | 0 .02 | (0 .06 | )I | (0 .14 | )B | (0 .11 | )B | (0.09 | ) | (0.13 | ) | (0.03 | ) | 0.01 | (0.07 | ) | ||||||||||||||||||||||||||||||
2.30 | 0.27 | 13 .56 | 2.14 | 0 .25 | 1.37 | 1.32 | 2.66 | 2.28 | (5.00 | ) | 2 .16 | 0.25 | (0.02 | ) | ||||||||||||||||||||||||||||||||||||
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2.27 | 0.28 | 13.54 | 2.16 | 0 .27 | 1.31 | 1.18 | 2.55 | 2.19 | (5.13 | ) | 2 .13 | 0.26 | (0.09 | ) | ||||||||||||||||||||||||||||||||||||
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— | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
(0.04) | (0.84 | ) | — | (0.04 | ) | (0.84 | ) | (0.99 | ) | (0.15 | ) | — | — | — | (0.04 | ) | (0.84 | ) | — | |||||||||||||||||||||||||||||||
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(0.04) | (0.84 | ) | — | (0.04 | ) | (0.84 | ) | (0.99 | ) | (0.15 | ) | — | — | — | (0.04 | ) | (0.84 | ) | — | |||||||||||||||||||||||||||||||
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— | — | — | — | — | — | 0 .00 | C | 0 .00 | C | 0 .00 | C | 0 .00 | C | — | — | — | ||||||||||||||||||||||||||||||||||
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$ | 15.21 | $ | 12.98 | $ | 13.54 | $ | 14.54 | $ | 12 .42 | $ | 12.99 | $ | 12.67 | $ | 11.64 | $ | 9.09 | $ | 6.90 | $ | 14.49 | $ | 12.40 | $ | 12.98 | |||||||||||||||||||||||||
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17.54 | %E | 2.07 | %E | (0.37 | )%E | 17.45 | %E | 15.92 | %E | 11.44 | % | 10.15 | % | 28.05 | % | 31.74 | % | (42.64 | )% | 17.31 | %E | 2.01 | %E | (0.69 | )%E | |||||||||||||||||||||||||
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$ | 20,769 | $ | 4,563 | $ | 2,699 | $ | 131,808 | $ | 69,786 | $ | 67,506 | $ | 47,101 | $ | 45,911 | $ | 22,058 | $ | 19,854 | $ | 6,834 | $ | 3,131 | $ | 2,941 | |||||||||||||||||||||||||
1.19 | %F | 1.36 | %F | 2.05 | %F | 1.46 | %F | 1 .62 | %F | 1.56 | % | 1.40 | % | 1.60 | % | 1.91 | % | 1.69 | % | 1.59 | %F | 1.79 | %F | 2.08 | %F | |||||||||||||||||||||||||
1.19 | %F | 1.16 | %F | 1.21 | %F | 1.35 | %F | 1 .34 | %F | 1.36 | % | 1.35 | % | 1.35 | % | 1.50 | % | 1.50 | % | 1.59 | %F | 1.58 | %F | 1.61 | %F | |||||||||||||||||||||||||
(0.87 | )%F | 0.19 | %F | (1.57 | )%F | (1.14 | )%F | 0 .23 | %F | (1.20 | )% | (1.16 | )% | (1.33 | )% | (1.59 | )% | (1.36 | )% | (1.27 | )%F | 0.04 | %F | (1.68 | )%F | |||||||||||||||||||||||||
(0.86 | )%F | 0.38 | %F | (0.73 | )%F | (1.03 | )%F | 0 .50 | %F | (1.00 | )% | (1.11 | )% | (1.08 | )% | (1.18 | )% | (1.17 | )% | (1.27 | )%F | 0.25 | %F | (1.21 | )%F | |||||||||||||||||||||||||
18 | %E | 6 | %E | 45 | %G | 18 | %E | 6 | %E | 45 | % | 36 | % | 66 | % | 35 | % | 43 | % | 18 | %E | 6 | %E | 45 | %G |
45
American Beacon Stephens Small Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||
Six Months Ended June 30, 2013 | One Month Ended Dec. 31, 2012 | Feb. 24H to Nov. 30, 2012 | ||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 12.91 | $ | 13.07 | ||||||
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Income from investment operations: | ||||||||||||
Net investment income (loss) | (0.06 | ) | 0.00 | (0.06 | ) | |||||||
Net gains (losses) from investments (both realized and unrealized) | 2.13 | 0.25 | (0.10 | ) | ||||||||
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Total income (loss) from investment operations | 2.07 | 0.25 | (0.16 | ) | ||||||||
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Less distributions: | ||||||||||||
Dividends from net investment income | — | — | — | |||||||||
Distributions from net realized gains on securities | (0.04 | ) | (0.84 | ) | — | |||||||
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Total distributions | (0.04 | ) | (0.84 | ) | — | |||||||
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Redemption fees added to beneficial interests | — | — | — | |||||||||
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Net asset value, end of period | $ | 14.35 | $ | 12.32 | $ | 12.91 | ||||||
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Total return D | 16.86 | %E | 1.94 | % | (1.22 | )%E | ||||||
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Ratios and supplemental data: | ||||||||||||
Net assets, end of period (in thousands) | $ | 1,151 | $ | 349 | $ | 343 | ||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 2.34 | %F | 3.21 | %F | 6.15 | %F | ||||||
Expenses, net of reimbursements | 2.34 | %F | 2.33 | %F | 2.35 | %F | ||||||
Net investment income (loss), before reimbursements | (2.01 | )%F | (1.36 | )%F | (5.71 | )%F | ||||||
Net investment income (loss), net of reimbursements | (2.01 | )%F | (0.48 | )%F | (1.91 | )%F | ||||||
Portfolio turnover rate | 18 | %E | 6 | %E | 45 | %G |
A | Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively. |
B | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
C | Amount represents less than $0.01 per share. |
D | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
G | Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012. |
H | Commencement of Operations. |
I | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net D investment income by shares outstanding at November 30, 2012. |
46
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47
American Beacon Stephens Mid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2013 | One Month Ended Dec. 31, 2012 | Year Ended November 30, | ||||||||||||||||||||||||||
2012B | 2011B | 2010B | 2009B | 2008B | ||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15 .38 | $ | 15 .24 | $ | 13.69 | $ | 12.44 | $ | 9.63 | $ | 7.18 | $ | 13.39 | ||||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss) | (0 .04 | ) | 0 .02 | 0.00 | C | (0 .10 | )D | (0.09 | )D | (0.07 | ) | (0.06 | ) | |||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | 2 .04 | 0 .20 | 1.55 | 1.35 | 2.90 | 2.52 | (6.15 | ) | ||||||||||||||||||||
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Total income (loss) from investment operations | 2 .00 | 0 .22 | 1.55 | 1.25 | 2.81 | 2.45 | (6.21 | ) | ||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | — | |||||||||||||||||||||
Distributions from net realized gains on securities | (0 .07 | ) | (0 .08 | ) | — | — | — | — | — | |||||||||||||||||||
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Total distributions | (0 .07 | ) | (0 .08 | ) | — | — | — | — | — | |||||||||||||||||||
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Redemption fees added to beneficial interests | — | — | — | — | — | — | 0 .00 | E | ||||||||||||||||||||
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Net asset value, end of period | $ | 17 .31 | $ | 15 .38 | $ | 15.24 | $ | 13.69 | $ | 12.44 | $ | 9.63 | $ | 7.18 | ||||||||||||||
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Total return F | 13 .02 | %G | 1.43 | %G | 11.32 | % | 10.05 | % | 29.18 | % | 34.12 | % | (46.38 | )% | ||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 37,462 | $ | 31,005 | $ | 30,503 | $ | 13,208 | $ | 7,124 | $ | 4,552 | $ | 3,967 | ||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, before reimbursements | 1.13 | %H | 1.31 | %H | 1.28 | % | 1.65 | % | 2.27 | % | 3.03 | % | 2.19 | % | ||||||||||||||
Expenses, net of reimbursements | 0.99 | %H | 0.99 | %H | 1.03 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||||
Net investment income (loss), before reimbursements | (0.72 | )%H | 1.37 | %H | (0.62 | )% | (1.12 | )% | (1.81 | )% | (2.46 | )% | (1.57 | )% | ||||||||||||||
Net investment income (loss), net of reimbursements | (0.58 | )%H | 1.69 | %H | (0.37 | )% | (0.72 | )% | (0.79 | )% | (0.69 | )% | (0.63 | )% | ||||||||||||||
Portfolio turnover rate | 13 | %G | 1 | %G | 27 | % | 30 | % | 20 | % | 29 | % | 32 | % |
A | Commencement of operations. |
B | Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively. |
C | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by average shares outstanding for the period. |
D | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
E | Amount represents less than $0.01 per share. |
F | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
G | Not annualized. |
H | Annualized. |
I | Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012. |
48
American Beacon Stephens Mid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
Y Class | Investor Class | A Class | ||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, | One Dec. 31, | Feb. 24A Nov. 30, | Six Months Ended June 30, | One Dec. 31, | Six Months Ended June 30, | One Dec. 31, | Feb. 24A Nov. 30, | |||||||||||||||||||||||||||||||||||||||||||
Year Ended November 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
2013 | 2012 | 2012 | 2013 | 2012 | 2012B | 2011B | 2010B | 2009B | 2008B | 2013 | 2012 | 2012 | ||||||||||||||||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
$ | 15.38 | $ | 15.23 | $ | 15.09 | $ | 13 .83 | $ | 13 .72 | $ | 12.36 | $ | 11.26 | $ | 8.74 | $ | 6.53 | $ | 12.22 | $ | 13 .83 | $ | 13.72 | �� | $ | 13.62 | ||||||||||||||||||||||||
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(0.04 | ) | 0.02 | (0.03 | ) | (0.02 | ) | 0 .02 | (0 .14 | )C | (0 .11 | )D | (0 .10 | )D | (0.07 | ) | (0.11 | ) | (0 .06 | ) | 0.02 | (0.05 | ) | ||||||||||||||||||||||||||||
| 2 .04 | | 0 .21 | 0 .17 | 1 .79 | 0 .17 | 1.50 | 1.21 | 2.62 | 2.28 | (5.58) | 1 .82 | 0 .17 | 0 .15 | ||||||||||||||||||||||||||||||||||||
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| 2 .00 | | 0 .23 | 0 .14 | 1 .77 | 0 .19 | 1.36 | 1.10 | 2.52 | 2.21 | (5.69 | ) | 1 .76 | 0 .19 | 0 .10 | |||||||||||||||||||||||||||||||||||
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(0.07 | ) | (0 .08 | ) | — | (0.07 | ) | (0.08 | ) | — | — | — | — | — | (0.07 | ) | (0.08 | ) | — | ||||||||||||||||||||||||||||||||
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(0.07 | ) | (0.08 | ) | — | (0.07 | ) | (0.08 | ) | — | — | — | — | — | (0.07 | ) | (0.08 | ) | — | ||||||||||||||||||||||||||||||||
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— | — | — | — | — | — | — | 0 .00 | E | 0 .00 | E | 0 .00 | E | — | — | — | |||||||||||||||||||||||||||||||||||
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$ | 17.31 | $ | 15.38 | $ | 15.23 | $ | 15 .53 | $ | 13 .83 | $ | 13.72 | $ | 12.36 | $ | 11.26 | $ | 8.74 | $ | 6.53 | $ | 15 .52 | $ | 13.83 | $ | 13.72 | |||||||||||||||||||||||||
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12.87 | %G | 1.50 | %G | 1.13 | %G | 12.81 | %G | 1.37 | %G | 11.00 | % | 9.77 | % | 28.83 | % | 33.84 | % | (46.56 | )% | 12.74 | %G | 1.37 | %G | 0.73 | %G | |||||||||||||||||||||||||
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$ | 1,071 | $ | 374 | $ | 222 | $ | 25,644 | $ | 18,585 | $ | 18,092 | $ | 20,034 | $ | 15,076 | $ | 9,637 | $ | 7,748 | $ | 10,645 | $ | 7,302 | $ | 7,063 | |||||||||||||||||||||||||
1.37 | %H | 1.53 | %H | 3.85 | %H | 1.49 | %H | 1.68 | %H | 1.67 | % | 1.91 | % | 2.52 | % | 3.32 | % | 2.42 | % | 1.61 | %H | 1.81 | %H | 1.83 | %H | |||||||||||||||||||||||||
1.09 | %H | 1.09 | %H | 1.09 | %H | 1.37 | %H | 1.37 | %H | 1.40 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.49 | %H | 1.49 | %H | 1.49 | %H | |||||||||||||||||||||||||
(0.93 | )%H | 0.69 | %H | (3.09) | %H | (1.07) | %H | 0.94 | %H | (1.04 | )% | (1.35 | )% | (2.06 | )% | (2.75 | )% | (1.97 | )% | (1.20 | )%H | 0.86 | %H | (1.04 | )%H | |||||||||||||||||||||||||
(0.66 | )%H | 1.13 | %H | (0.33) | %H | (0.95) | %H | 1.26 | %H | (0.76 | )% | (0.94 | )% | (1.04 | )% | (0.93 | )% | (1.05 | )% | (1.07 | )%H | 1.18 | %H | (0.70 | )%H | |||||||||||||||||||||||||
13 | %G | 1 | %G | 27 | %I | 13 | %G | 1 | %G | 27 | % | 30 | % | 20 | % | 29 | % | 32 | % | 13 | %G | 1 | %G | 27 | %I |
49
American Beacon Stephens Mid-Cap Growth FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||
Six Months Ended June 30, 2013 | One Month Ended Dec. 31, 2012 | Feb. 24A to Nov. 30, 2012 | ||||||||||
(unaudited) | ||||||||||||
Net asset value, beginning of period | $ | 13.75 | $ | 13.63 | $ | 13.62 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | (0 .09 | ) | 0 .02 | (0 .04 | ) | |||||||
Net gains (losses) from investments (both realized and unrealized) | 1 .78 | 0 .18 | 0 .05 | |||||||||
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Total income (loss) from investment operations | 1 .69 | 0 .20 | 0 .01 | |||||||||
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Less distributions: | ||||||||||||
Dividends from net investment income | — | — | — | |||||||||
Distributions from net realized gains on securities | (0 .07 | ) | (0 .08 | ) | — | |||||||
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Total distributions | (0 .07 | ) | (0 .08 | ) | — | |||||||
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Redemption fees added to beneficial interests | — | — | — | |||||||||
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Net asset value, end of period | $ | 15 .37 | $ | 13 .75 | $ | 13 .63 | ||||||
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Total return FD | 12.14%G | 1.45%G | 0.07%G | |||||||||
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Ratios and supplemental data: | ||||||||||||
Net assets, end of period (in thousands) | $ | 710 | $ | 302 | $ | 147 | ||||||
Ratios to average net assets: | ||||||||||||
Expenses, before reimbursements | 2.66 | %H | 2.68 | %H | 14.54 | %H | ||||||
Expenses, net of reimbursements | 2.24 | %H | 2.24 | %H | 2.24 | %H | ||||||
Net investment income (loss), before reimbursements | (2.24 | )%H | 0.15 | %H | (13.65 | )%H | ||||||
Net investment income (loss), net of reimbursements | (1.82 | )%H | 0.59 | %H | (1.36 | )%H | ||||||
Portfolio turnover rate | 13 | %G | 1 | %G | 27 | %i |
A | Commencement of operations. |
B | Prior to the reorganization on February 24, 2012, the Institutional Class and Investor Classes were known as Class I and Class A, respectively. |
C | For purposes of this calculation, the change in undistributed net investment income per share was derived by dividing the change in undistributed net investment income by average shares outstanding for the period. |
D | The Predecessor Fund calculated the change in undistributed net investment income per share by dividing the change in undistributed net investment income by average shares outstanding for the period. |
E | Amount represents less than $0.01 per share. |
F | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
G | Not annualized. |
H | Annualized. |
I | Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012. |
50
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
At its May 29, 2013 meeting, the Board of Trustees (“Board”) considered the renewal of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) on behalf of each of their series (collectively, the “Funds”) and the renewal of each investment advisory agreement between the Manager and a subadvisor (each an “Investment Advisory Agreement”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board’s consideration to renew and approve these Agreements, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager, the subadvisors, Lipper, Inc. (“Lipper”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.
The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager.
In addition, the Board’s Investment Committee worked with Lipper to obtain relevant comparative information regarding the performance, fees and expenses of the Funds. The Investment Committee, for the benefit of all Trustees, sponsored a separate meeting on May 10, 2013 to consider the information provided by Lipper. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board and Investment Committee meetings, as well as information specifically prepared in connection with the renewal process.
• | In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested by the Board included, among other information, the following materials. For various reasons, a subadvisor may not have provided responses to each requested item. In these instances, the Board considered the materials that were received from such subadvisor. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Funds, or any other area, including how these changes might affect the Funds; |
• | a copy of the firm’s most recent audited or unaudited financial statements, as well as Parts 1 and 2 of its Form ADV registration statement with the SEC; |
• | a summary of any material pending or anticipated litigation or regulatory proceedings involving the firm or its personnel, including the results of any recent regulatory examination or independent audit; |
• | a comparison of the performance of that portion of Fund assets managed or to be managed by each firm with the performance of other similar accounts managed by the firm, including a discussion of relative performance versus a peer group average and any actual or potential remedial measures if the firm’s longer-term performance was materially below that of the peer group; |
• | any actual or anticipated economies of scale in relation to the services the firm provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors; |
• | an analysis of compensation, including a comparison with fee rates charged to other clients for which similar services are provided, any proposed changes to the fee rate schedule, if applicable, and the effect of any fee waivers; |
• | a description of any payments made or to be made by the subadvisors to the Manager to support a Fund’s marketing efforts; |
• | a copy of the firm’s proxy voting policies and procedures and, if applicable, the name of the third-party voting service used by the firm; |
• | an evaluation of any other benefits to the firm or Funds as a result of their relationship, if any; |
• | confirmation that the firm’s financial condition would not impair its ability to provide high-quality advisory services to the Funds; |
• | a description of the scope of portfolio management services provided or to be provided to the Funds, including whether such services differ from the services provided to other clients, including other registered investment companies, and any advantages or disadvantages that might accrue to the Funds due to the firm’s involvement in other activities; |
• | a description of the personnel who are or will be assigned primary responsibility for managing the Funds, including any changes during the past year, and a discussion of the adequacy of current and projected staffing levels to service the Funds; |
• | a description of the basis upon which portfolio managers are compensated, including any “incentive” arrangements, and a description of the oversight mechanisms used to prevent a portfolio manager whose compensation is tied to performance of a Fund from taking undue risks; |
• | a description of the firm’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio valuation, including any fair value determinations; |
• | a description of the firm’s use of derivatives, short positions, leveraged trading strategies or other similar trading strategies for the Funds; |
• | a discussion regarding the firm’s participation in third-party and/or proprietary “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions; |
• | a discussion of the firm’s methodology for obtaining best execution, including any plans to improve the quality of execution in the upcoming year, and the use of any affiliated broker-dealers; |
• | a description of any actual or potential conflicts of interest anticipated in managing Fund assets; |
• | a discussion of whether the firm has identified any investment or operational matters that likely present a high risk in managing Fund assets; |
• | a description of the firm’s criteria for assessing counterparties and counterparty risk to the extent the firm enters into transactions with counterparties on a Fund’s behalf; |
51
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
• | a description of trade allocation procedures among accounts managed by the firm; |
• | a discussion of whether the firm utilizes “commission recapture” or “directed brokerage” arrangements for the benefit of the Funds or “step-out” transactions; |
• | a discussion of whether the firm receives, or anticipates receiving, other compensation, including any payment for electronic communication network liquidity rebates with respect to the Funds; |
• | a certification by the firm regarding the reasonable design of its compliance program; |
• | a summary of the results of the firm’s most recent annual review of its compliance program and a discussion of any material compliance problems encountered by a subadvisor since the most recent annual review; |
• | confirmation that the firm is prepared to provide to the Manager, directly or in summary form, any regulatory review comments that could have a material impact on services provided to the Funds; |
• | a discussion of whether, due to the firm’s trading activities on behalf of the Funds, the firm would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendments to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt; |
• | information regarding the firm’s code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto and a related certification of compliance by the firm; |
• | a description of the firm’s affiliation with any broker-dealer; |
• | a discussion of any anticipated change in the firm’s controlling persons; and verification of the firm’s insurance coverage with regards to the services provided to the Funds. |
In addition, the Manager provided the following information specific to the renewal of the Management Agreement:
• | a comparison of the performance of a share class of each Fund to comparable investment companies and appropriate indices, including comments on the relative performance of, as applicable, each subadvisor and each Fund versus the respective peer group average; |
• | a discussion, if applicable, of any underperformance by a subadvisor relative to its peer group and what, if any, remedial measures the Manager has or intends to take; |
• | a comparison of advisory fee rates and expense ratios for comparable mutual funds; |
• | a profit/loss analysis of the Manager; |
• | an analysis of any material complaints received from Fund shareholders; |
• | a description of the extent to which the Manager monitors the investment activities and financial conditions of each subadvisor to the Funds; |
• | a discussion of whether the Manager provides different types or levels of administrative and accounting related services to certain Funds; |
• | a description of the Manager’s distribution activities with respect to promoting sales of Fund shares, including any revenue sharing practices; |
• | a description of arrangements pursuant to which certain firms may make any direct or indirect payments to partially reimburse the Manager for its marketing or other expenses on behalf of the Funds; |
• | a description of the Manager’s securities lending practices and the fees received from such practices; |
• | a discussion of any rebate arrangements between the Manager and a service provider to the Funds pursuant to which the Manager receives direct or indirect benefits from the service provider; |
• | a description of the portfolio turnover rate for each Fund and, as applicable, each subadvisor to a Fund; |
• | a description of how expenses that are not readily identifiable to a particular Fund are allocated; and |
• | confirmation that the Manager complies with applicable CFTC and National Futures Association rules and requirements for applicable Funds and a discussion regarding whether, due to the Manager’s trading activities on behalf of other Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendment to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt. |
In connection with the Management Agreement and each Investment Advisory Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fee rate versus comparable mutual funds. For certain Funds, the Board also considered information regarding the performance of the Manager and individual subadvisors with respect to their allocated portions of a Fund’s portfolio, net of management or subadvisory fees, as applicable, but not other Fund expenses. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the class with the longest performance history, which in most cases was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 10, 2013 at which the Trustees reviewed the investment performance of the Manager and the primary factors considered by the Board at its May 29, 2013 meeting at which the Board considered the renewal of the Agreement.
52
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
The Board did not identify any particular information that was most relevant to its consideration to renew the Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal of the Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of the Agreement were reasonable and fair and that the renewal of the Agreement was in the best interests of the Funds and their shareholders.
Considerations With Respect to the Renewal of the Management Agreement and Each Investment Advisory Agreement.
In determining whether to renew the Management Agreement and each Investment Advisory Agreement on behalf of the Funds, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for all of the Funds were considered at the May 29, 2013 meeting, the Board considered each Fund’s investment management and subadvisory relationships separately.
In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of a Fund and, as applicable, each subadvisor for a Fund; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) the extent to which economies of scale have been taken into account in setting each fee rate schedule; (5) whether fee rate levels reflect these economies of scale for the benefit of Fund investors; (6) comparisons of services and fee rates with contracts entered into by the Manager or a subadvisor or their affiliates with other clients (such as pension funds and other institutional funds); and (7) any other benefits derived or anticipated to be derived by the Manager or a subadvisor from their relationship with a Fund. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the materials submitted in support of the renewal.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s long-term performance and the background and experience of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the Manager’s commitment to enhance the Funds’ product line and increase assets in the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; the Manager’s commitment to training employees; and the Manager’s efforts to retain key employees and maintain staff levels.
With respect to the renewal of each Investment Advisory Agreement, the Trustees considered the level of staffing, quality, background and experience of each subadvisor’s investment personnel responsible for managing the Funds, the size of the subadvisor and the subadvisor’s ability to continue to attract and retain qualified investment personnel. The Board also considered the adequacy of the resources committed to the Funds by each subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of each subadvisor. The Board also considered the subadvisors’ representations regarding their compliance programs and codes of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund and, thus, determined to renew the Management Agreement and the Investment Advisory Agreement for each Fund. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund and, thus, determined to renew the Management Agreement and the Investment Advisory Agreement for each Fund.
Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its Lipper performance universe, Lipper performance group, and/or benchmark index(es). The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all performance groups and universes. The Board also considered that the performance groups and universes selected by Lipper may not provide appropriate comparisons for each Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also considered in each instance the Manager’s recommendation to continue to retain each subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager. The profits or losses were noted at both an aggregate level for all Funds and at an individual Fund level, with some Funds being profitable for the Manager and with the Manager sustaining losses with respect to other Funds. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the difference reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year. The Board further considered that with respect to each Fund, the Management Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager plus the amount payable by the Manager to a subadvisor. The Board also considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors. In analyzing the cost of services for each subadvisor in connection with its investment advisory services to the Fund, the Board considered that, in many cases, the Manager has negotiated the lowest subadvisory fee rate a subadvisor charges for any comparable client
53
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and, those that do, likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Funds grow and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in many subadvisory fee rates. The Board also noted that, for purposes of determining the fee rates chargeable to the Funds, many subadvisors have agreed to take into account assets of AMR Corporation and its pension plans that are managed by the subadvisors. Thus, the Funds are able to receive lower effective fee rates.
In addition, the Board noted the Manager’s representation that many of the Funds benefit from economies of scale because comparably low fee rate levels are reflected in the current management and administration fee rates the Manager charges. The Board further noted the Manager’s representation that many of the Funds benefit from these comparably low fee rate levels despite not having yet reached an asset size at which economies of scale would traditionally be considered to exist, and the Manager’s belief that breakpoints are not appropriate at this time. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with the Funds.
Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors.
In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain of the subadvisors reimburse the Manager for certain of its costs relating to distribution activities for the Funds. The Board also considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager or the relevant subadvisor during the most recent fiscal year ended December 31, 2012.
Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to Each Fund. The performance comparisons below were made versus each Fund’s Lipper performance universe median, Lipper performance group median and/or benchmark index. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.
The expense comparisons below were made versus each Fund’s Lipper expense universe median and Lipper expense group median. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and all subadvisors and was considered by the Trustees.
Additional Considerations and Conclusions with Respect to the American Beacon Bridgeway Large Cap Value Fund. In considering the renewal of the Management Agreement and Investment Advisory Agreement for the American Beacon Bridgeway Large Cap Value Fund, the Trustees considered the following additional factors: (1) the American Beacon Bridgeway Large Cap Value Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the American Beacon Bridgeway Large Cap Value Fund acquired all of the assets of the Bridgeway Large Cap Value Fund, a series of Bridgeway Funds, Inc. (“Acquired Fund”), on February 3, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (3) the expense ratio of the Institutional Class of the Fund was lower than the median of its Lipper expense universe and Lipper expense group; and (4) the Institutional Class of the Fund was categorized by Morningstar as having an average expense ratio.
54
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
In considering the renewal of the Investment Advisory Agreement with Bridgeway Capital Management Inc. (“Bridgeway”), the Trustees considered the following additional factors: (1) representations by Bridgeway that, for fee rate comparison purposes, it does not manage other accounts comparable to the Fund; and (2) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the Bridgeway Large Cap Value Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the Bridgeway Large Cap Value Fund.
Additional Considerations and Conclusions with Respect to the American Beacon Holland Large Cap Growth Fund. In considering the renewal of the Management Agreement and Investment Advisory Agreement for the American Beacon Holland Large Cap Growth Fund, the Trustees considered the following additional factors: (1) the American Beacon Holland Large Cap Growth Fund outperformed the Lipper performance universe median and Lipper performance group median for the one- and three-year periods ended March 31, 2013; (2) the American Beacon Holland Large Cap Growth Fund acquired all of the assets of the Lou Holland Growth Fund, a series of the Forum Funds (“Acquired Fund”), on March 23, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (3) the expense ratio of the Institutional Class of the Fund was equal to the median of its Lipper expense group and higher than the median of its Lipper expense universe; and (4) the Institutional Class of the Fund was categorized by Morningstar as having an above average expense ratio.
In considering the renewal of the Investment Advisory Agreement with Holland Capital Management LLC (“Holland”), the Trustees considered the following additional factors: (1) representations by Holland regarding fee rates charged to other comparable clients; and (2) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the American Beacon Holland Large Cap Growth Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the American Beacon Holland Large Cap Growth Fund.
Additional Considerations and Conclusions with Respect to the American Beacon Stephens Mid-Cap Growth Fund. In considering the renewal of the Management Agreement for the American Beacon Stephens Mid-Cap Growth Fund, the Trustees considered the following additional factors: (1) the American Beacon Stephens Mid-Cap Growth Fund outperformed the Lipper performance universe median for the one-, three- and five-year periods ended March 31, 2013; (2) the American Beacon Stephens Mid-Cap Growth Fund outperformed the Lipper performance group median for the three- and five-year periods ended March 31, 2013, and was equal to the peer group median for the one-year period; (3) the American Beacon Stephens Mid-Cap Growth Fund acquired all of the assets of the Stephens Mid-Cap Growth Fund, a series of Professionally Managed Portfolios (“Acquired Fund”), on February 24, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (4) the expense ratio of the Institutional Class of the Fund was lower than the median of its Lipper expense universe and Lipper expense group; and (5) the Institutional Class of the Fund was categorized by Morningstar as having an average expense ratio.
In considering the renewal of the Investment Advisory Agreement with Stephens Investment Management Group, LLC (“Stephens”), the Trustees considered the following additional factors: (1) representations from Stephens regarding fee rates charged to other comparable clients; and (2) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the American Beacon Stephens Mid-Cap Growth Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the American Beacon Stephens Mid-Cap Growth Fund.
Additional Considerations and Conclusions with Respect to the American Beacon Stephens Stephens Small Cap Growth Fund. In considering the renewal of the Management Agreement for the American Beacon Stephens Small Cap Growth Fund, the Trustees considered the following additional factors: (1) the American Beacon Stephens Small Cap Growth Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the American Beacon Stephens Small Cap Growth Fund acquired all of the assets of Stephens Small Cap Growth Fund, a series of Professionally Managed Portfolios (“Acquired Fund”), on February 24, 2012, and that the Fund’s performance prior to that date is that of the Acquired Fund; (3) the expense ratio of the Institutional Class of the Fund was lower than the median of its Lipper expense universe; (4) the expense ratio of the Institutional Class of the Fund was higher than the median of its Lipper expense group; and (5) the Institutional Class of the Fund was categorized by Morningstar as having an average expense ratio.
In considering the renewal of the Investment Advisory Agreement with Stephens Investment Management Group, LLC (“Stephens”), the Trustees considered the following additional factors: (1) representations from Stephens regarding fee rates it charged to other comparable clients; and (2) the Manager’s recommendation to continue to retain the subadvisor.
Based on these and other considerations the Trustees: (1) concluded that the fees paid to the Manager and the subadvisor under the Management and Investment Advisory Agreements are fair and reasonable; (2) determined that the American Beacon Stephens Small Cap Growth Fund and its shareholders would benefit from the Manager’s and subadvisor’s continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the American Beacon Stephens Small Cap Growth Fund.
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eDelivery is NOW AVAILABLE- Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
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By E-mail: american_beacon.funds@ambeacon.com | On the Internet: Visit our website at www.americanbeaconfunds.com | |||
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By Telephone: Call (800) 658-5811 |
By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |||
Availability of Quarterly Portfolio Schedules
In addition to the Schedule of Investments provided in each semi-annual and annual | Availability of Proxy Voting Policy and Records
A description of the policies and procedures the Fund uses to determine how to vote |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri | INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas
| DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds, American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Small Cap Growth Fund, and American Beacon Stephens Mid-Cap Growth Fund are service marks of American Beacon Advisors, Inc.
SAR 6/13
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
Contents
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American Beacon Funds | ||||
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13 | ||||
18 | ||||
State Street Equity 500 Index Portfolio | ||||
27 | ||||
33 | ||||
34 | ||||
35 | ||||
36 | ||||
37 | ||||
Quantitative Master Series LLC | ||||
Master International Index Series | ||||
45 | ||||
Master Small Cap Index Series | ||||
55 | ||||
75 | ||||
76 | ||||
77 | ||||
78 | ||||
79 | ||||
Additional Information | Back Cover |
Investing in the securities of small capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability, and differences in accounting standards. Investing in derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when more advantageous. Investing in derivatives could result in losing more than the amount invested. Please see the prospectus for a complete discussion of these Funds’ risks. There can be no assurances that the investment objectives of these Funds will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2013 |
| Dear Shareholders,
The first six months of 2013 have been very good for the stock market. Despite a dip in June, fueled by the possible end of the Federal Reserve’s quantitative easing program, the market had risen enough through May to make the first half of the year a profitable one overall.
The S&P 500 Index gained 13.82% over the first six months of 2013, with all ten industry sectors posting positive returns.
Meanwhile, the Russell 2000 Index, which consists of small-cap stocks, gained 15.86% over that same period. In the developed international markets, the MSCI EAFE Index returned 4.10%. |
American Beacon Advisors is proud to offer its shareholders several index funds that can take advantage of such broad-based market gains. For the six-month period ended June 30, 2013:
• | American Beacon S&P 500 Index Fund (Institutional Class) returned 13.75%. |
• | American Beacon Small Cap Index Fund (Institutional Class) returned 15.90%. |
• | American Beacon International Equity Index Fund (Institutional Class) returned 3.32%. |
Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.
Sincerely,
Gene L. Needles, Jr.
President
American Beacon Funds
1
American Beacon S&P 500® Index Fund †
June 30, 2013 (Unaudited)
For the six months ended June 30, 2013, the total return of the Investor Class of the American Beacon S&P 500 Index Fund (the “Fund”) was 13.48%, underperforming the S&P 500® Index (the “Index”) return of 13.82% and underperforming the Lipper S&P 500 Objective Funds Index return of 13.68%.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | 10 Years | |||||||||||||
Institutional Class(1,3) | 13.75 | % | 20.41 | % | 6.95 | % | 7.19 | % | ||||||||
Investor Class(1,3) | 13.48 | % | 19.80 | % | 6.47 | % | 6.70 | % | ||||||||
Lipper S&P 500 Objective | 13.68 | % | 20.26 | % | 6.78 | % | 7.05 | % | ||||||||
S&P 500 Index (2) | 13.82 | % | 20.60 | % | 7.01 | % | 7.30 | % |
* | Not annualized |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
2. | The Lipper S&P 500 Objective Funds Index tracks the results of the 30 largest mutual funds in the Lipper S&P 500 Objective Funds category. Lipper is an independent mutual fund research and ranking service. The S&P 500 Index is a market capitalization weighted index of common stocks publicly traded in the U.S. One cannot invest directly in an index. |
3. | The total annual Fund operating expense ratios set forth in the most recent prospectus for the Institutional and Investor Class shares were 0.15% and 0.63%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report which are based on expenses incurred during the period covered by this report. |
Performance Summary provided by SSgA Funds Management, Inc.
After lagging the vast majority of global stock markets amid the fiscal worries that preoccupied the final quarter of 2012, U.S. equity averages recovered strongly during the opening
months of 2013. Share prices jumped sharply in the first trading session of the year and built on those gains thereafter, as worries about the consequences of mandated budgetary restraint gave way to optimism that the U.S. private sector would keep employment growing and consumer demand solid. U.S. equity returns were as broad as they were strong in the first quarter, with more than 85% of the names in the S&P 500 generating positive returns.
Although the second quarter of 2013 confronted investors with numerous new sources of volatility, most notably a less straightforward monetary mantra that seemed unexpectedly hawkish relative to limited inflation and restrained global growth, the U.S. equity markets demonstrated an impressive resilience throughout the period. They found ready support despite weak employment and retail sales reports during April, and the S&P 500 climbed briskly into May to achieve a new set of record highs. The adjustments to monetary policy rhetoric during the second quarter caused considerable volatility across the major sectors in the S&P 500.
For the six-month reporting period, all of the ten sectors posted gains. The top performing sector was Health Care with a 20.2% return. Not far behind were Consumer Discretionary (up 19.8%) and Financials (up 19.5%). These three sectors also comprised the largest weights in the portfolio, amplifying the contribution to return. The bottom performing sector was Materials, with a return of 2.9%.
On an individual stock level, the top contributors for the reporting period were Microsoft Corp. (up 31.3%), Johnson & Johnson (up 24.4%), and Google (up 24.5%). Microsoft Corp. continued to see strong demand for its enterprise and cloud offerings, as well as increased consumer demand for services like Office 365, Outlook.com, Skype and Xbox LIVE. Johnson & Johnson experienced continued strength in its pharmaceuticals business and an improvement in the consumer healthcare segment. The company did well with its immunology and oncology drugs and showed resilience against the competition from generic drugs in central nervous system therapeutic area. Google had a strong six months due to the continued success of its robust search engine and Android operating systems businesses, as well as several other product innovations.
2
American Beacon S&P 500® Index Fund †
Performance Overview
June 30, 2013 (Unaudited)
The bottom individual security contributors were: Apple (down 24.6%), Oracle Corp. (down 7.8%) and Newmont Mining Corp. (down 34.1%). Apple was hurt by increasingly strong competition across its core iPhone and iPad business lines. Oracle was also negatively affected due to stiff competition in its hardware and services businesses. Newmont Mining Corp. suffered due to falling spot prices of gold; this put both high cost productions and future projects at risk.
Portfolio Strategy
The investment manager continues to utilize a replication strategy, owning all 500 names in the S&P 500 Index in approximately the same weightings as the Index. Therefore, the Fund is expected to continue to meet its objective of closely tracking, before expenses, the return of its benchmark, the S&P 500 Index.
Top Ten Holdings (% Net Assets)*
Exxon Mobil Corp. | 2.8 | |||
Apple, Inc. | 2.6 | |||
Microsoft Corp. | 1.8 | |||
Johnson & Johnson | 1.7 | |||
General Electric Co. | 1.7 | |||
Google Inc. | 1.7 | |||
Chevron Corp. | 1.6 | |||
Procter & Gamble Co. | 1.5 | |||
Berkshire Hathaway Inc. Cl B | 1.4 | |||
Wells Fargo & Co. | 1.4 |
* | Percent of the Net Assets of State Street Equity 500 Index Portfolio |
Sector Allocation (% Equities)*
Information Technology | 17.8 | |||
Financials | 16.6 | |||
Health Care | 12.7 | |||
Consumer Discretionary | 12.3 | |||
Energy | 10.5 | |||
Consumer Staples | 10.5 | |||
Industrials | 10.2 | |||
Utilities | 3.3 | |||
Materials | 3.3 | |||
Telecommunication Services | 2.8 |
* | Percent of the equities of State Street Equity 500 Index Portfolio |
† | S&P is a trademark of McGraw-Hill Companies, Inc. and has been licensed for use, “Standard and Poor’s®”, “S&P”, “Standard and Poor’s 500”, “S&P 500” are all trademarks of the McGraw-Hill Companies, Inc and have been licensed for use by State Street Bank of Trust Company. |
3
American Beacon Small Cap Index FundSM
Performance Overview
June 30, 2013 (Unaudited)
For the six months ended June 30, 2013, the total return of the Institutional Class of the American Beacon Small Cap Index Fund (the “Fund”) was 15.90%. The Fund’s performance was above the Russell 2000® Index (the “Index”) return of 15.86% and also above the Lipper Small-Cap Core Funds Index return of 14.45% which consists primarily of actively managed funds.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | 10 Years | |||||||||||||
Institutional Class(1,3) | 15.90 | % | 24.09 | % | 8.80 | % | 9.43 | % | ||||||||
Lipper Small-Cap Core Funds Index(2) | 14.45 | % | 24.89 | % | 8.38 | % | 9.71 | % | ||||||||
Russell 2000 Index(2) | 15.86 | % | 24.21 | % | 8.77 | % | 9.53 | % |
* | Not annualized |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
2. | The Lipper Small-Cap Core Funds Index tracks the results of the 30 largest mutual funds in the Lipper Small-Cap Core Funds category. Lipper is an independent mutual fund research and ranking service. The Russell 2000 Index is an unmanaged index comprising approximately 2,000 smaller-capitalization stocks from various industrial sectors. One cannot invest directly in an index. |
3. | The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.21%. The expense ratio above may vary from the expense ratio presented in other sections of this report which is based on expenses incurred during the period covered by this report. |
Performance Summary provided by BlackRock Investment Management, LLC
Risk markets globally began 2013 with a powerful relief rally after the United States averted the worst of its fiscal cliff situation with a last minute tax deal struck on New Year’s Day. The rally stalled in February, however, as economic
momentum slowed and investors weighed the global impact of the inevitable U.S. government spending cuts. Later in the first quarter, financial markets were rattled by a stalemate presidential election in Italy and a severe banking crisis in Cyprus, reminding investors that Europe was still quite vulnerable to political instability, and its debt and banking problems were far from resolved.
U.S. stocks persevered through these flare-ups in the eurozone as investors’ risk appetite was largely supported by the continuation of accommodative monetary policy from the U.S. Federal Reserve. Equities broadly advanced as increased global liquidity kept interest rates low and investors turned to riskier asset classes in search of yield. As the year progressed, the markets became increasingly dominated by speculation around the future direction of monetary policy. Sluggish global growth, ironically, was conducive to positive equity market performance. Although disappointing economic reports caused financial market volatility to rise, the weak data also afforded investors some comfort that the central bank would continue to maintain their accommodative stance.
However, after peaking in late May, U.S. stock markets recoiled in response to comments from the U.S. Federal Reserve, hinting that a change in its policy stance was on the horizon. Volatility picked up considerably and equities broadly declined through the remainder of the period due to concerns about the potential impact tighter monetary policy would have on financial markets and economic growth.
While rhetoric from the U.S. Federal Reserve about tapering its bond-buying stimulus program was the catalyst for the sell-off in equity markets, indicators that global growth was continuing to slow (with the exception of Japan) was another source of investor anxiety. The U.S. recovery showed signs of weakening and European countries already mired in recession saw economic conditions worsen. Slowing growth in emerging markets, particularly China and Brazil, dimmed the outlook for the entire global economy.
From a sector perspective, Consumer Discretionary (up 23.56%), Consumer Staples (up 21.70%) and Health Care (up 20.83%) were the stronger performers for the six-month period. Information Technology stocks also posted significant gains (up 17.54%), as did Industrials (up
4
American Beacon Small Cap Index FundSM
Performance Overview
June 30, 2013 (Unaudited)
15.01%), Financials (up 13.5%), Telecommunication Services (up 10.02%), Utilities (up 10.22%) and Energy (up 8.34%). The Materials sector generated more modest gains (up 1.66%) in the challenging global growth environment.
Portfolio Strategy
The Fund will continue to strive to meet its objective of closely replicating, before expenses, the return of its benchmark, the Russell 2000 Index. It does so by investing in a subset of the securities in the Index such that the characteristics of the portfolio closely track the characteristics of the Index.
Top Ten Holdings (% Net Assets)*
CoStar Group, Inc. | 0.3 | |||
CommVault Systems, Inc. | 0.2 | |||
FirstMerit Corp. | 0.2 | |||
Middleby Corp. | 0.2 | |||
Prosperity Bancshares, Inc. | 0.2 | |||
Ultimate Software Group, Inc. | 0.2 | |||
Acuity Brands, Inc. | 0.2 | |||
Lufkin Industries, Inc. | 0.2 | |||
Isis Pharmaceuticals, Inc. | 0.2 | |||
athenahealth, Inc. | 0.2 |
* | Percent of Net Assets of Master Small Cap Index Series |
Sector Allocation (% Equities)*
Financials | 22.7 | |||
Information Technology | 16.9 | |||
Consumer Discretionary | 14.0 | |||
Industrials | 13.9 | |||
Health Care | 12.0 | |||
Energy | 5.4 | |||
Materials | 4.8 | |||
Consumer Staples | 3.8 | |||
Utilities | 3.2 | |||
Other | 2.6 | |||
Telecommunications | 0.7 |
* | Percent of equity portion of Master Small Cap Index Series |
5
American Beacon International Equity Index FundSM
Performance Overview
June 30, 2013 (Unaudited)
For the six months ended June 30, 2013, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a total return of 3.32%, underperforming the MSCI EAFE Index (the “Index”) return of 4.10% and outperforming the Lipper International Large-Cap Core Funds Index return of 2.91% which consists primarily of actively managed funds. The investment manager’s application of its fair valuation policy during the period was a significant driver of the Fund’s underperformance versus the Index.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | 10 Years | |||||||||||||
Institutional Class(1,3) | 3.32 | % | 18.11 | % | -0.64 | % | 7.63 | % | ||||||||
Lipper International Large-Cap Core Funds Index(2) | 2.91 | % | 17.83 | % | -1.29 | % | 6.00 | % | ||||||||
MSCI EAFE Index(2) | 4.10 | % | 18.62 | % | -0.63 | % | 7.67 | % |
* | Not annualized |
1. | Please note that the recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
2. | The Lipper International Large-Cap Core Funds Index tracks the results of the 30 largest mutual funds in the Lipper Large-Cap Core International Funds category. Lipper is an independent mutual fund research and ranking service. The MSCI EAFE Index is a market capitalization weighted index of international stock performance composed of equities from developed markets excluding the U.S. and Canada. One cannot invest directly in an index. |
3. | The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.19%. The expense ratio above may vary from the expense ratio presented in other sections of this report, which is based on expenses incurred during the period covered by this report. |
Performance Summary provided by BlackRock Investment Management, LLC
Risk markets globally began 2013 with a powerful relief rally after the United States
averted the worst of its fiscal cliff situation with a last minute tax deal struck on New Year’s Day. The rally stalled in February, however, as economic momentum slowed and investors weighed the global impact of the inevitable U.S. government spending cuts. Later in the first quarter, financial markets were rattled by a stalemate presidential election in Italy and a severe banking crisis in Cyprus, reminding investors that Europe was still quite vulnerable to political instability, and its debt and banking problems were far from resolved.
International equities persevered through these flare-ups in the eurozone as investors’ risk appetite was largely supported by the continuation of accommodative monetary policy from the world’s largest central banks. As the year progressed, the markets became increasingly dominated by speculation around the future direction of monetary policy in response to signals from central banks, particularly the U.S. Federal Reserve. Equities broadly advanced as increased global liquidity kept interest rates low and investors turned to riskier asset classes in search of yield. Sluggish global growth, ironically, was conducive to positive equity market performance. Although disappointing economic reports caused financial market volatility to rise, the weak data also afforded investors some comfort that major central banks would continue to maintain their accommodative stance.
However, after peaking in late May, international markets recoiled in response to comments from the U.S. Federal Reserve, hinting that a change in its policy stance was on the horizon. Volatility picked up considerably and equities broadly declined through the remainder of the period due to concerns about the potential impact tighter U.S. monetary policy would have on financial markets and global growth.
While rhetoric from the U.S. Federal Reserve about tapering its bond-buying stimulus program was the catalyst for the sell-off in equity markets, indicators that global growth was continuing to slow (with the exception of Japan) was another source of investor anxiety. The U.S. recovery showed signs of weakening and European countries already mired in recession saw economic conditions worsen. Slowing growth in emerging countries, particularly China and Brazil, dimmed the outlook for the entire global economy.
6
American Beacon International Equity Index FundSM
Performance Overview
June 30, 2013 (Unaudited)
Nearly half of the developed countries represented in the Index posted losses (in U.S. dollar terms) for the six-month period; however, heavier weightings in Japanese and Swiss stocks, which posted gains of 16.56% and 10.92%, respectively, supported the overall performance of the Index. In the eurozone, Ireland (up 8.52%) posted strong performance, followed by the Netherlands (up 5.02%) and Belgium (up 4.03%). The core economies of France (up 3.17%) and Germany (up 2.89%) exhibited resilience despite widespread recession in the region, while markets were down in Spain (down 6.17%) and Italy (down 9.04%). Outside the euro currency bloc, Sweden (up 2.76%) and the United Kingdom (up 0.27%) generated modest positive returns, while Denmark (down 0.09%) and Norway (down 5.35%) did not fare as well. Elsewhere, Australian stocks (down 6.13%) struggled due to waning business conditions, severe currency weakness and declining commodity prices.
In June, MSCI announced its decision to reclassify the MSCI Greece Index from a Developed Market to an Emerging Market. This reclassification is scheduled to take effect on November 27, 2013; therefore, the performance of Greek stocks (up 2.66%) continues to be reflected in the performance of the Index for the first half of 2013.
From a sector perspective, the strongest performers were Consumer Discretionary (up 13.37%) and Health Care stocks (up 12.82%), while Telecommunication Services posted strong gains as well (up 11.35%). Positive returns also came from Consumer Staples and Information Technology (both up 5.85%), Industrials (up 4.07%) and the Financials sector (up 4.03%), in which the MSCI EAFE Index holds its largest weighting. Utilities finished the period with a modest gain (up 2.41%). However, Energy (down 4.92%) and Materials (down 13.06%) posted negative results in the weak global growth environment.
Portfolio Strategy
The Fund continues to pursue its objective of closely replicating, before expenses, the return of its benchmark, the MSCI EAFE Index. It does so by investing in a subset of the securities in the Index such that the characteristics of the portfolio closely track the characteristics of the Index.
Top Ten Holdings (% Net Assets)*
Nestle S.A. | 1.8 | |||
HSBC Holdings PLC | 1.7 | |||
Roche Holding Ltd. | 1.5 | |||
Toyota Motor Corp. | 1.5 | |||
Novartis AG | 1.4 | |||
Vodafone Group PLC | 1.2 | |||
BP PLC | 1.2 | |||
Sanofi S.A. | 1.1 | |||
GlaxoSmithKline PLC | 1.1 | |||
Royal Dutch Shell PLC | 1.1 |
* | Percent of Net Assets of the Master International Index Series |
Sector Allocation (% Equities)*
Financials | 24.7 | |||
Industrials | 12.4 | |||
Consumer Staples | 11.6 | |||
Consumer Discretionary | 11.5 | |||
Health Care | 10.3 | |||
Materials | 7.9 | |||
Energy | 6.9 | |||
Telecommunications | 5.1 | |||
Information Technology | 4.3 | |||
Utilities | 3.7 | |||
Other | 1.6 |
* | Percent of equity portion of Master International Index Series |
7
American Beacon International Equity Index FundSM
Performance Overview
June 30, 2013 (Unaudited)
Country Allocation (% Equities)*
Japan | 22.5 | |||
United Kingdom | 21.7 | |||
France | 9.4 | |||
Switzerland | 9.0 | |||
Germany | 8.6 | |||
Australia | 8.0 | |||
Sweden | 3.1 | |||
Hong Kong | 3.0 | |||
Spain | 2.8 | |||
Netherlands | 2.6 | |||
Italy | 2.0 | |||
Singapore | 1.6 | |||
Belgium | 1.1 | |||
Denmark | 1.1 | |||
Norway | 0.8 | |||
Finland | 0.8 | |||
Israel | 0.5 | |||
Ireland | 0.3 | |||
Austria | 0.3 | |||
Portugal | 0.2 | |||
New Zealand | 0.1 | |||
Others | 0.5 |
* | Percent of equity portion of Master International Index Series |
8
American Beacon FundsSM
Fund Expenses
June 30, 2013 (Unaudited)
Fund Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in a particular Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2013 through June 30, 2013.
Actual Expenses
The following table provides information about actual account values and actual expenses. You may use the information in this table, 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 “Expenses Paid During Period” row to estimate the expenses you paid on your account during this period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Actual
Institutional Class | S&P 500 Index | Small Cap Index | International Equity Index | Investor Class | S&P 500 Index | |||||||||||||
Beginning Account Value 1/1/13 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | Beginning Account Value 1/1/13 | $ | 1,000.00 | |||||||||
Ending Account Value 6/30/13 | $ | 1,137.52 | $ | 1,159.02 | $ | 1,033.16 | Ending Account Value 6/30/13 | $ | 1,134.80 | |||||||||
Expenses Paid During Period* 1/1/13—6/30/13 | $ | 0.74 | $ | 1.02 | $ | 1.16 | Expenses Paid During Period* 1/1/13—6/30/13 | $ | 3.23 | |||||||||
Annualized Expense Ratio | 0.14 | % | 0.19 | % | 0.23 | % | Annualized Expense Ratio | 0.61 | % |
Hypothetical Example for Comparison Purposes
The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by a Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Expenses Paid During Period” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
Hypothetical
Institutional Class | S&P 500 Index | Small Cap Index | International Equity Index | Investor Class | S&P 500 Index | |||||||||||||
Beginning Account Value 1/1/13 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | Beginning Account Value 1/1/13 | $ | 1,000.00 | |||||||||
Ending Account Value 6/30/13 | $ | 1,024.10 | $ | 1,023.85 | $ | 1,023.65 | Ending Account Value 6/30/13 | $ | 1,021.77 | |||||||||
Expenses Paid During Period* 1/1/13—6/30/13 | $ | 0.70 | $ | 0.95 | $ | 1.15 | Expenses Paid During Period* 1/1/13—6/30/13 | $ | 3.06 | |||||||||
Annualized Expense Ratio | 0.14 | % | 0.19 | % | 0.23 | % | Annualized Expense Ratio | 0.61 | % |
* | Expenses are equal to each Fund’s annualized expense ratio for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
9
American Beacon FundsSM
Statements of Assets and Liabilities
June 30, 2013 (Unaudited) (in thousands, except share and per share amounts)
S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||
Assets: | ||||||||||||
Investment in Portfolio, at fair value | $ | 791,017 | $ | 200,202 | $ | 531,127 | ||||||
Receivable for fund shares sold | 2,069 | 15 | 812 | |||||||||
Prepaid expenses | 17 | 6 | 20 | |||||||||
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Total assets | 793,103 | 200,223 | 531,959 | |||||||||
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Liabilities: | ||||||||||||
Payable for fund shares redeemed | 6 | 1 | 330 | |||||||||
Administrative service and service fees payable (Note 2) | 40 | 7 | 15 | |||||||||
Printing fees payable | 31 | 11 | 1 | |||||||||
Professional fees payable | 25 | 16 | 12 | |||||||||
Sub-administration fees payable | — | 19 | 264 | |||||||||
Transfer agent fees payable | 9 | — | — | |||||||||
Trustee fees payable | — | — | — | |||||||||
Other liabilities | 1 | 1 | 2 | |||||||||
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Total liabilities | 112 | 55 | 624 | |||||||||
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Net Assets | $ | 792,991 | $ | 200,168 | $ | 531,335 | ||||||
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Analysis of Net Assets: | ||||||||||||
Paid-in-capital | 637,930 | 182,940 | 564,552 | |||||||||
Undistributed net investment income | 4,125 | 1,217 | 10,393 | |||||||||
Accumulated net realized gain (loss) | (52,100 | ) | (11,151 | ) | (82,485 | ) | ||||||
Unrealized net appreciation (depreciation) of investments, foreign currency contracts, and futures contracts | 203,036 | 27,162 | 38,875 | |||||||||
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Net assets | $ | 792,991 | $ | 200,168 | $ | 531,335 | ||||||
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Shares outstanding at no par value (unlimited shares authorized): | ||||||||||||
Institutional Class | 35,124,156 | 12,771,778 | 53,284,772 | |||||||||
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Investor Class | 1,086,170 | N/A | N/A | |||||||||
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Net assets (not in thousands): | ||||||||||||
Institutional Class | $ | 769,417,351 | $ | 200,167,943 | $ | 531,335,060 | ||||||
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Investor Class | $ | 23,573,927 | $ | N/A | $ | N/A | ||||||
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Net asset value, offering and redemption price per share: | ||||||||||||
Institutional Class | $ | 21.91 | $ | 15.67 | $ | 9.97 | ||||||
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Investor Class | $ | 21.70 | $ | N/A | $ | N/A | ||||||
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See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios
10
American Beacon FundsSM
For the Six Months ended June 30, 2013 (Unaudited) (in thousands)
S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||
Investment Income (expense) Allocated From Portfolio: | ||||||||||||
Dividend income (net of foreign taxes)A | $ | 7,854 | $ | 1,257 | $ | 11,246 | ||||||
Interest income | 9 | 3 | 1 | |||||||||
Securities lending income | — | 163 | — | |||||||||
Portfolio expenses (net of fees waived)B | (168 | ) | (64 | ) | (181 | ) | ||||||
Other income | — | — | 12 | |||||||||
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Net investment income allocated from Portfolio | 7,695 | 1,359 | 11,078 | |||||||||
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Fund Expenses: | ||||||||||||
Administrative service fees (Note 2): | ||||||||||||
Institutional Class | 181 | 52 | 134 | |||||||||
Investor Class | 27 | — | — | |||||||||
Sub-administrative service fees: | ||||||||||||
Institutional Class | — | 36 | 213 | |||||||||
Transfer agent fees: | ||||||||||||
Institutional Class | 15 | 3 | 13 | |||||||||
Investor Class | 3 | — | — | |||||||||
Custody and accounting fees | 6 | 6 | 6 | |||||||||
Professional fees | 25 | 10 | 14 | |||||||||
Registration fees | 21 | 2 | 6 | |||||||||
Service fees—Investor Class (Note 2) | 27 | — | — | |||||||||
Printing expense | 51 | 14 | 31 | |||||||||
Trustee fees | 25 | 6 | 16 | |||||||||
Insurance expense | 4 | 1 | 4 | |||||||||
Other expenses | 9 | 2 | 12 | |||||||||
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Total fund expenses | 394 | 132 | 449 | |||||||||
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Net investment income | 7,301 | 1,227 | 10,629 | |||||||||
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Realized and unrealized gain (loss) allocated from master portfolio | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments | 3,135 | 1,306 | (2,839 | ) | ||||||||
Foreign currency transactions | — | — | (478 | ) | ||||||||
Futures contracts | 2,212 | 1,113 | 416 | |||||||||
Change in net unrealized appreciation or (depreciation) of: | ||||||||||||
Investments | 80,857 | 25,987 | 8,760 | |||||||||
Futures contracts | (361 | ) | (11 | ) | (35 | ) | ||||||
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Net gain on investments | 85,843 | 28,395 | 5,824 | |||||||||
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Net increase in net assets resulting from operations | $ | 93,144 | $ | 29,622 | $ | 16,453 | ||||||
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A Foreign taxes | $ | 17 | $ | 2 | $ | 966 | ||||||
B Fees waived by Master Portfolio | $ | — | $ | 2 | $ | 1 |
See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios
11
American Beacon FundsSM
Statements of Changes in Net Assets (in thousands)
S&P 500 Index Fund | Small Cap Index Fund | International Equity Index Fund | ||||||||||||||||||||||
Six Months ended June 30, 2013 | Year ended December 31, 2012 | Six Months ended June 30, 2013 | Year ended December 31, 2012 | Six Months ended June 30, 2013 | Year ended December 31, 2012 | |||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 7,301 | $ | 11,930 | $ | 1,227 | $ | 2,460 | $ | 10,629 | $ | 11,859 | ||||||||||||
Net realized gain (loss) from investments, foreign currency, and futures contracts | 5,347 | 15,814 | 2,419 | 488 | (2,901 | ) | (30,284 | ) | ||||||||||||||||
Change in net unrealized appreciation or depreciation of investments and futures contracts | 80,496 | 44,226 | 25,976 | 5,766 | 8,725 | 83,038 | ||||||||||||||||||
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Net increase in net assets resulting from operations | 93,144 | 71,970 | 29,622 | 8,714 | 16,453 | 64,613 | ||||||||||||||||||
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Distributions to Shareholders: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Institutional Class | (3,371 | ) | (11,794 | ) | — | (3,779 | ) | — | (11,845 | ) | ||||||||||||||
Investor Class | (77 | ) | (187 | ) | — | — | — | — | ||||||||||||||||
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Total distributions to shareholders | (3,448 | ) | (11,981 | ) | — | (3,779 | ) | — | (11,845 | ) | ||||||||||||||
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Net increase (decrease) in net assets from capital share transactions | 35,664 | 169,151 | (16,114 | ) | 138,568 | 33,982 | 106,540 | |||||||||||||||||
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Net increase in net assets | 125,360 | 229,140 | 13,508 | 143,503 | 50,435 | 159,308 | ||||||||||||||||||
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Net Assets: | ||||||||||||||||||||||||
Beginning of period | 667,631 | 438,491 | 186,660 | 43,157 | 480,900 | 321,592 | ||||||||||||||||||
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End of Period * | $ | 792,991 | $ | 667,631 | $ | 200,168 | $ | 186,660 | $ | 531,335 | $ | 480,900 | ||||||||||||
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* Includes undistributed net investment income (loss) of | $ | 4,125 | $ | 272 | $ | 1,217 | $ | (10 | ) | $ | 10,393 | $ | (236 | ) | ||||||||||
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See accompanying notes
See accompanying Financial Statements of the respective Master Portfolios
12
American Beacon FundsSM
June 30, 2013 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”), which is comprised of twenty-four Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon S&P 500 Index Fund, the American Beacon Small Cap Index Fund and the American Beacon International Equity Index Fund (each a “Fund” and collectively, the “Funds”), each a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Each Fund invests all of its investable assets in a corresponding portfolio. The State Street Equity 500 Index Portfolio, Master Small Cap Index Series and the Master International Index Series (each a “Portfolio” and collectively the “Portfolios”) are open-ended management investment companies registered under the Act. The value of such investment reflects each Fund’s proportionate interest in the net assets of the corresponding Portfolio.
American Beacon: | Portfolios: | % of Portfolio Held by Fund at June 30, 2013 | ||||
S&P 500 Index Fund | State Street Equity 500 Index Portfolio | 34.0 | % | |||
Small Cap Index Fund | Master Small Cap Index Series | 30.0 | % | |||
International Equity Index Fund | Master International Index Series | 63.9 | % |
The financial statements of the Portfolios are included elsewhere in this report and should be read in conjunction with the Funds’ financial statements.
The following is a summary of the significant accounting policies followed by the Funds.
Class Disclosure
The S&P 500 Index Fund has two classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class: | Offered to: | |
Institutional Class | Investors making an initial investment of $250,000 | |
Investor Class | General public and investors investing through an intermediary |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.
2. Transactions with Affiliates
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to each Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.05% of the average daily net assets of the Institutional Class of the S&P 500 Index Fund, International Equity Index Fund
13
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
and the Small Cap Index Fund and an annualized fee of 0.25% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.
Service Plans
The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor Class of S&P 500 Index Fund. As compensation for performing the duties required under the Service Plan, the Manager receives up to 0.375% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.
Sub-administration Agreement
The Trust, the Manager and BlackRock Advisors, LLC (“BlackRock”) entered into a Sub-administration Agreement that obligates BlackRock to provide certain other administrative services to the Small Cap Index Fund and the International Equity Index Fund. As compensation for performing these services, BlackRock receives an annualized fee of 0.08% of the average daily net assets of the Small Cap Index Fund and 0.12% of the average daily net assets of the International Equity Index Fund; however, the fee of each is reduced by the total expense ratio of its corresponding Portfolio, net of any fee waivers.
3. Security Valuation and Fair Value Measurements
U.S. Generally Accepted Accounting Principals (“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. The Funds’ policy is to fair value its financial instruments in the Portfolios at fair value based on the Fund’s apportionate interest in the net assets of the Portfolios. Valuation of securities held by the Portfolios is discussed in the accompanying Notes to the Financial Statements of the respective Portfolios attached.
Investment Income
Each Fund records its share of net investment income and realized and unrealized gains and losses from the security transactions of its corresponding Portfolio each day. All net investment income and realized and unrealized gains (losses) of each Portfolio are allocated pro rata among the investors in that Portfolio at the time of such determination.
Dividends to Shareholders
Dividends from net investment income of the Small Cap Index and International Equity Index Funds normally will be declared and paid annually. The S&P 500 Index Fund normally will declare and pay dividends quarterly. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date.
Allocation of Income, Expenses, Gains and Losses
Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Valuation of Shares
The price per share is calculated on each day on which shares are offered for sale. NAV per share is computed by dividing the value of each Fund’s total assets (which includes the value of the Fund’s investments in its Portfolio) less liabilities, by the number of Fund shares outstanding.
14
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
4. Federal Income and Excise Taxes
It is the policy of each Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, each Fund is treated as a single entity for the purpose of determining such qualification.
The Funds do not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2012 remains subject to examination by the Internal Revenue Service. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expenses” on the Statements of Operations.
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The International Equity Index Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on returns of income earned or gains realized or repatriated. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded.
The tax character of distributions paid during were as follows (in thousands):
S&P 500 Index | Small Cap Index | International Equity Index | ||||||||||||||||||||||
Six Months Ended June 30, 2013 | Year Ended December 31, 2012 | Six Months Ended June 30, 2013 | Year Ended December 31, 2012 | Six Months Ended June 30, 2013 | Year Ended December 31, 2012 | |||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income | ||||||||||||||||||||||||
Institutional Class | $ | 3,371 | $ | 11,794 | $ | — | $ | 3,779 | $ | — | $ | 11,845 | ||||||||||||
Investor Class | 77 | 87 | — | — | — | — | ||||||||||||||||||
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Total distributions paid | $ | 3,448 | $ | 11,981 | $ | — | $ | 3,779 | $ | — | $ | 11,845 | ||||||||||||
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On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of RICs. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the Act, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-
15
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Finally, the Act contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
Losses incurred for the year ended December 31, 2012 that will be carried forward under the provisions of the Act are as follows:
Loss Carryforward Character | ||||||||||||
Fund | Short term | Long term | Total | |||||||||
S&P 500 Index Fund | $ | — | $ | — | $ | — | ||||||
Small Cap Index Fund | — | — | — | |||||||||
International Equity Index Fund | 1,358 | 40,074 | 41,432 |
For the year ended December 31, 2012, the capital losses prior to the provisions of the Act which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, which ever occurs first are as follows (in thousands):
Fund | 2016 | 2017 | 2018 | Total | ||||||||||||
S&P 500 Index Fund | $ | 3,294 | $ | 28,055 | $ | 4,955 | $ | 36,304 | ||||||||
Small Cap Index Fund | — | — | 2,620 | 2,620 | ||||||||||||
International Equity Index Fund | 9,746 | 13,890 | 5,259 | 28,895 |
5. Capital Share Transactions
The tables below summarize the activity in capital shares for each Class of the Funds (shares and dollars in thousands):
For the Six Months ended June 30, 2013
Institutional Class | Investor Class | |||||||||||||||
S&P 500 Index Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,404 | $ | 71,428 | 360 | $ | 7,607 | ||||||||||
Reinvestment of dividends | 158 | 3,345 | 3 | 74 | ||||||||||||
Shares redeemed | (2,006 | ) | (42,067 | ) | (224 | ) | (4,723 | ) | ||||||||
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Net increase in shares outstanding | 1,556 | $ | 32,706 | 139 | $ | 2,958 | ||||||||||
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Institutional Class | ||||||||
Small Cap Index Fund | Shares | Amount | ||||||
Shares sold | 3,125 | $ | 46,647 | |||||
Reinvestment of dividends | — | — | ||||||
Shares redeemed | (4,156 | ) | (62,761 | ) | ||||
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Net increase in shares outstanding | (1,031 | ) | $ | (16,114 | ) | |||
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16
American Beacon FundsSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Institutional Class | ||||||||
International Equity Index Fund | Shares | Amount | ||||||
Shares sold | 9,779 | $ | 98,110 | |||||
Reinvestment of dividends | — | — | ||||||
Shares redeemed | (6,315 | ) | (64,128 | ) | ||||
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Net increase in shares outstanding | 3,464 | $ | 33,982 | |||||
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For the Year ended December 31, 2012
Institutional Class | Investor Class | |||||||||||||||
S&P 500 Index Fund | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 13,072 | $ | 247,772 | 404 | $ | 7,440 | ||||||||||
Reinvestment of dividends | 606 | 11,707 | 10 | 180 | ||||||||||||
Shares redeemed | (4,882 | ) | (90,024 | ) | (428 | ) | (7,924 | ) | ||||||||
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Net increase (decrease) in shares outstanding | 8,796 | $ | 169,455 | (14 | ) | $ | (304 | ) | ||||||||
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Institutional Class | ||||||||
Small Cap Index Fund | Shares | Amount | ||||||
Shares sold | 22,782 | $ | 302,080 | |||||
Reinvestment of dividends | 278 | 3,779 | ||||||
Shares redeemed | (12,896 | ) | (167,291 | ) | ||||
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Net increase in shares outstanding | 10,164 | $ | 138,568 | |||||
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Institutional Class | ||||||||
International Equity Index Fund | Shares | Amount | ||||||
Shares sold | 19,602 | $ | 180,675 | |||||
Reinvestment of dividends | 1,206 | 11,691 | ||||||
Shares redeemed | (9,455 | ) | (85,826 | ) | ||||
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Net increase in shares outstanding | 11,353 | $ | 106,540 | |||||
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17
American Beacon S&P 500 Index Fund
(For a share outstanding throughout each period)
Institutional Class | ||||||||||||||||||||||||
Six Months June 30, | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.35 | $ | 17.05 | $ | 17.07 | $ | 15.15 | $ | 12.21 | $ | 19.85 | ||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||
Net investment income:A | 0.20 | 0.39 | 0.34 | 0.29 | 0.30 | 0.35 | ||||||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 2.46 | 2.31 | 0.02 | 1.95 | 2.91 | (7.64 | ) | |||||||||||||||||
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Total income (loss) from investment operations | 2.66 | 2.70 | 0.32 | 2.24 | 3.21 | (7.29 | ) | |||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.10 | ) | (0.40 | ) | (0.34 | ) | (0.32 | ) | (0.27 | ) | (0.35 | ) | ||||||||||||
Tax return of capital | — | — | (0 .00 | )B | — | — | — | |||||||||||||||||
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Total distributions | (0.10 | ) | (0.40 | ) | (0.34 | ) | (0.32 | ) | (0.27 | ) | (0.35 | ) | ||||||||||||
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Net asset value, end of period | $ | 21.91 | $ | 19.35 | $ | 17.05 | $ | 17.07 | $ | 15.15 | $ | 12.21 | ||||||||||||
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Total return C | 13.75 | %D | 15.87 | % | 1.92 | % | 14.96 | % | 26.70 | % | (37.08 | )% | ||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 769,417 | $ | 649,457 | $ | 422,337 | $ | 381,592 | $ | 316,975 | $ | 224,583 | ||||||||||||
Ratios to average net assets:A | ||||||||||||||||||||||||
Net investment income | 1.97 | %E | 2.19 | % | 1.95 | % | 1.90 | % | 2.39 | % | 2.23 | % | ||||||||||||
Expenses, including expenses allocated from the master portfolio | 0.14 | %E | 0.15 | % | 0.16 | % | 0.13 | % | 0.15 | % | 0.13 | % |
A | The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the State Street Equity 500 Index Portfolio. |
B | The tax return of capital is calculated based upon outstanding shares at the time of distribution. Amounts are less than $0.01 per share. |
C | May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
18
American Beacon S&P 500 Index Fund
Financial Highlights
(For a share outstanding throughout each period)
Investor Class | ||||||||||||||||||||||
Six Months June 30, | Year Ended December 31, | |||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||
(unaudited) | ||||||||||||||||||||||
$ | 19.19 | $ | 16.82 | $ | 16.88 | $ | 15.00 | $ | 12.06 | $ | 19.60 | |||||||||||
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0.19 | 0.68 | 0.22 | 0.15 | 0.33 | 0.33 | |||||||||||||||||
2.39 | 1.88 | 0.02 | 1.99 | 2.80 | (7.60 | ) | ||||||||||||||||
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2.58 | 2.56 | 0.24 | 2.14 | 3.13 | (7.27 | ) | ||||||||||||||||
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(0.07 | ) | (0.19 | ) | (0.30 | ) | (0.26 | ) | (0.19 | ) | (0.27 | ) | |||||||||||
— | — | (0 .00 | )B | — | — | — | ||||||||||||||||
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(0.07 | ) | (0.19 | ) | (0.30 | ) | (0.26 | ) | (0.19 | ) | (0.27 | ) | |||||||||||
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$ | 21.70 | $ | 19.19 | $ | 16.82 | $ | 16.88 | $ | 15.00 | $ | 12.06 | |||||||||||
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13.48 | %D | 15.25 | % | 1.44 | % | 14.43 | % | 26.26 | % | (37.35 | )% | |||||||||||
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$ | 23,574 | $ | 18,174 | $ | 16,154 | $ | 17,707 | $ | 22,261 | $ | 12,915 | |||||||||||
1.50 | %E | 1.67 | % | 1.44 | % | 1.42 | % | 2.01 | % | 1.73 | % | |||||||||||
0.61 | %E | 0.63 | % | 0.64 | % | 0.60 | % | 0.60 | % | 0.62 | % |
19
American Beacon Small Cap Index FundSM
Financial Highlights
(For a share outstanding throughout each period)
Institutional Class | ||||||||||||||||||||||||
Six Months June 30, | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.52 | $ | 11.86 | $ | 12.64 | $ | 10.06 | $ | 8.00 | $ | 13.51 | ||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||
Net investment incomeA | 0.09 | 0.21 | 0.19 | 0.13 | 0.10 | 0.18 | ||||||||||||||||||
Net gain (loss) from investments and futures transactions (both realized and unrealized) | 2.06 | 1.73 | (0.76 | ) | 2.59 | 2.08 | (4.78 | ) | ||||||||||||||||
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Total income (loss) from investment operations | 2.15 | 1.94 | (0.57 | ) | 2.72 | 2.18 | (4.60 | ) | ||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.18 | ) | (0.21 | ) | (0.13 | ) | (0.11 | ) | (0.17 | ) | |||||||||||||
Distributions from net realized gains on investments | — | — | — | — | — | (0.61 | ) | |||||||||||||||||
Tax return of capital | — | (0.10 | )B | (0.00 | )B,C | (0.01 | )B | (0.01 | )B | (0.13 | )B | |||||||||||||
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Total distributions | — | (0.28 | ) | (0.21 | ) | (0.14 | ) | (0.12 | ) | (0.91 | ) | |||||||||||||
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Net asset value, end of period | $ | 15.67 | $ | 13.52 | $ | 11.86 | $ | 12.64 | $ | 10.06 | $ | 8.00 | ||||||||||||
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Total return D | 15.90 | %E | 16.36 | % | (4.54 | )% | 27.05 | % | 27.21 | % | (33.58 | )% | ||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 200,168 | $ | 186,660 | $ | 43,157 | $ | 93,138 | $ | 39,958 | $ | 31,552 | ||||||||||||
Ratios to average net assets:A | ||||||||||||||||||||||||
Net investment income | 1.18 | %F | 2.23 | % | 1.04 | % | 1.21 | % | 1.18 | % | 1.54 | % | ||||||||||||
Expenses, including expenses allocated from the master portfolio | 0.19 | %F | 0.21 | % | 0.26 | % | 0.18 | % | 0.23 | % | 0.20 | % |
A | The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master Small Cap Index Series. |
B | The tax return of capital is calculated based upon outstanding shares at the time of distribution. |
C | Amount is less than $0.01 per share |
D | May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions. |
E | Not annualized. |
F | Annualized. |
20
American Beacon International Equity Index FundSM
Financial Highlights
(For a share outstanding throughout each period)
Institutional Class | ||||||||||||||||||||||||
Six Months June 30, | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.65 | $ | 8.36 | $ | 9.87 | $ | 9.38 | $ | 7.46 | $ | 13.37 | ||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||
Net investment incomeA | 0.20 | 0.25 | 0.29 | 0.22 | 0.21 | 0.39 | ||||||||||||||||||
Net gain (loss) from investments, foreign currency and futures transactions (both realized and unrealized) | 0.12 | 1.29 | (1.51 | ) | 0.49 | 1.93 | (6.00 | ) | ||||||||||||||||
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Total income (loss) from investment operations | 0.32 | 1.54 | (1.22 | ) | 0.71 | 2.14 | (5.61 | ) | ||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.25 | ) | (0.29 | ) | (0.22 | ) | (0.22 | ) | (0.30 | ) | |||||||||||||
Tax return of capital | — | — | — | — | — | — | ||||||||||||||||||
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Total distributions | — | (0.25 | ) | (0.29 | ) | (0.22 | ) | (0.22 | ) | (0.30 | ) | |||||||||||||
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Net asset value, end of period | $ | 9.97 | $ | 9.65 | $ | 8.36 | $ | 9.87 | $ | 9.38 | $ | 7.46 | ||||||||||||
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Total return B | 3.32 | %C | 18.42 | % | (12.29 | )% | 7.57 | % | 28.72 | % | (41.85 | )% | ||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 531,335 | $ | 480,900 | $ | 321,592 | $ | 326,055 | $ | 280,110 | $ | 185,860 | ||||||||||||
Ratios to average net assets:A | ||||||||||||||||||||||||
Net investment income | 3.96 | %D | 3.28 | % | 3.26 | % | 2.66 | % | 2.66 | % | 3.58 | % | ||||||||||||
Expenses, including expenses allocated from the master portfolio | 0.23 | %D | 0.19 | % | 0.24 | % | 0.21 | % | 0.23 | % | 0.19 | % |
A | The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master International Index Series. |
B | May include adjustments with accounting principles generally accepted in the United States of America and as such, the net assets for financial reporting purposes and the returns based upon those net asset value may differ from the net asset value and returns for shareholder transactions. |
C | Not annualized. |
D | Annualized. |
21
American Beacon FundsSM
Disclosure Regarding the Board of Trustees’ Approval of the
Management Agreements of the Funds (Unaudited)
At its May 29, 2013 meeting, the Board of Trustees (“Board”) considered the renewal of the Management Agreement (the “Agreement”) between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) on behalf of each of their series (collectively, the “Funds”). In preparation for the Board’s consideration to renew the Agreement, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager, Lipper, Inc. (“Lipper”) and Morningstar, Inc. (“Morningstar”).
The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager.
In addition, the Board’s Investment Committee worked with Lipper to obtain relevant comparative information regarding the performance, fees and expenses of the Funds. The Investment Committee, for the benefit of all Trustees, sponsored a separate meeting on May 10, 2013 to consider the information provided by Lipper. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board and Investment Committee meetings, as well as information specifically prepared in connection with the renewal process.
In connection with the Board’s consideration of the Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested by the Board included, among other information, the following materials:
• | a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Funds, or any other area, including how these changes might affect the Funds; |
• | a copy of the Manager’s most recent audited or unaudited financial statements, as well as Parts 1 and 2 of its Form ADV registration statement with the SEC; |
• | a summary of any material pending or anticipated litigation or regulatory proceedings involving the Manager or its personnel, including the results of any recent regulatory examination or independent audit; |
• | a comparison of the performance of that portion of Fund assets managed or to be managed by the Manager with the performance of other similar accounts managed by the Manager, including a discussion of relative performance versus a peer group average and any actual or potential remedial measures if the Manager’s longer-term performance was materially below that of the peer group; |
• | any actual or anticipated economies of scale in relation to the services the Manager provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors; |
• | an analysis of compensation, including a comparison with fee rates charged to other clients for which similar services are provided, any proposed changes to the fee rate schedule, if applicable, and the effect of any fee waivers; |
• | a copy of the Manager’s proxy voting policies and procedures and, if applicable, the name of the third-party voting service used by the Manager; |
• | an evaluation of any other benefits to the Manager or Funds as a result of their relationship, if any; |
• | confirmation that the Manager’s financial condition would not impair its ability to provide high-quality advisory services to the Funds; |
• | a description of the scope of portfolio management services provided or to be provided to the Funds, including whether such services differ from the services provided to other clients, including other registered investment companies, and any advantages or disadvantages that might accrue to the Funds due to the Manager’s involvement in other activities; |
• | a description of the personnel who are or will be assigned primary responsibility for managing the Funds, including any changes during the past year, and a discussion of the adequacy of current and projected staffing levels to service the Funds; |
• | a description of the basis upon which portfolio managers are compensated, including any “incentive” arrangements, and a description of the oversight mechanisms used to prevent a portfolio manager whose compensation is tied to performance of a Fund from taking undue risks; |
• | a description of the Manager’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio valuation, including any fair value determinations; |
• | a description of the Manager’s use of derivatives, short positions, leveraged trading strategies or other similar trading strategies for the Funds; |
• | a discussion regarding the Manager’s participation in third-party and/or proprietary “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions; |
• | a discussion of the Manager’s methodology for obtaining best execution, including any plans to improve the quality of execution in the upcoming year, and the use of any affiliated broker-dealers; |
• | a description of any actual or potential conflicts of interest anticipated in managing Fund assets; |
• | a discussion of whether the Manager has identified any investment or operational matters that likely present a high risk in managing Fund assets; |
• | a description of the Manager’s criteria for assessing counterparties and counterparty risk to the extent the Manager enters into transactions with counterparties on a Fund’s behalf; |
• | a description of trade allocation procedures among accounts managed by the Manager; |
• | a discussion of whether the Manager utilizes “commission recapture” or “directed brokerage” arrangements for the benefit of the Funds or “step-out” transactions; |
22
American Beacon FundsSM
Disclosure Regarding the Board of Trustees’ Approval of the
Management Agreements of the Funds (Unaudited)
• | a discussion of whether the Manager receives, or anticipates receiving, other compensation, including any payment for electronic communication network liquidity rebates with respect to the Funds; |
• | a certification by the Manager regarding the reasonable design of its compliance program; |
• | a summary of the results of the Manager’s most recent annual review of its compliance program; |
• | confirmation that the Manager is prepared to provide to the Manager, directly or in summary form, any regulatory review comments that could have a material impact on services provided to the Funds; |
• | a discussion of whether, due to the Manager’s trading activities on behalf of the Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendments to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the Manager would so register or be exempt; |
• | information regarding the Manager’s code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto and a related certification of compliance by the Manager; |
• | a description of the Manager’s affiliation with any broker-dealer; |
• | a discussion of any anticipated change in the Manager’s controlling persons; and |
• | verification of the Manager’s insurance coverage with regards to the services provided to the Funds. |
In addition, the Manager provided the following information specific to the renewal of the Management Agreement:
• | a comparison of the performance of a share class of each Fund to comparable investment companies and appropriate indices, including comments on the relative performance of, as applicable, each subadvisor and each Fund versus the respective peer group average; |
• | a discussion, if applicable, of any underperformance by a subadvisor relative to its peer group and what, if any, remedial measures the Manager has or intends to take; |
• | a comparison of advisory fee rates and expense ratios for comparable mutual funds; |
• | a profit/loss analysis of the Manager; |
• | an analysis of any material complaints received from Fund shareholders; |
• | a description of the extent to which the Manager monitors the investment activities and financial conditions of each subadvisor to the Funds; |
• | a discussion of whether the Manager provides different types or levels of administrative and accounting related services to certain Funds; |
• | a description of the Manager’s distribution activities with respect to promoting sales of Fund shares, including any revenue sharing practices; |
• | a description of arrangements pursuant to which certain firms may make any direct or indirect payments to partially reimburse the Manager for its marketing or other expenses on behalf of the Funds; |
• | a description of the Manager’s securities lending practices and the fees received from such practices; |
• | a discussion of any rebate arrangements between the Manager and a service provider to the Funds pursuant to which the Manager receives direct or indirect benefits from the service provider; |
• | a description of the portfolio turnover rate for each Fund; |
• | a description of how expenses that are not readily identifiable to a particular Fund are allocated; and |
• | confirmation that the Manager complies with applicable CFTC and National Futures Association rules and requirements for applicable Funds and a discussion regarding whether, due to the Manager’s trading activities on behalf of other Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendment to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the Manager would so register or be exempt. |
In connection with the Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fee rate versus comparable mutual funds. For certain Funds, the Board also considered information regarding the performance of the Manager with respect to its allocated portions of a Fund’s portfolio, net of management or subadvisory fees, as applicable, but not other Fund expenses. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the class with the longest performance history, which in most cases was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 10, 2013 at which the Trustees reviewed the investment performance of the Manager and the primary factors considered by the Board at its May 29, 2013 meeting at which the Board considered the renewal of the Agreement.
The Board did not identify any particular information that was most relevant to its consideration to renew the Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal of the Agreement. The memorandum explained the regulatory
23
American Beacon FundsSM
Disclosure Regarding the Board of Trustees’ Approval of the
Management Agreements of the Funds (Unaudited)
requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of the Agreement were reasonable and fair and that the renewal of the Agreement was in the best interests of the Funds and their shareholders.
Considerations With Respect to the Renewal of the Management Agreement
In determining whether to renew the Agreement on behalf of the Funds, the Trustees considered the best interests of each Fund separately. While the Agreement for all of the Funds was considered at the May 29, 2013 meeting, the Board considered each Fund’s investment management relationship separately.
In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of a Fund; and (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) the extent to which economies of scale have been taken into account in setting each fee rate schedule; (5) whether fee rate levels reflect these economies of scale for the benefit of Fund investors; (6) comparisons of services and fee rates with contracts entered into by the Manager or its affiliates with other clients (such as pension funds and other institutional funds); and (7) any other benefits derived or anticipated to be derived by the Manager from its relationship with a Fund. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the materials submitted in support of the renewal.
Nature, Extent and Quality of Services. With respect to the renewal of the Agreement, the Board considered, among other factors: each Fund’s long-term performance and the background and experience of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the Manager’s commitment to enhance the Funds’ product line and increase assets in the Funds; the Manager’s quality of services; the Manager’s commitment to training employees; and the Manager’s efforts to retain key employees and maintain staff levels.
Based on the foregoing information, the Board concluded that the nature, extent and quality of the management services provided by the Manager were appropriate for each Fund and, thus, determined to renew the Agreement.
Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its Lipper performance universe, Lipper performance group, and/or benchmark index(es). The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all performance groups and universes. The Board also considered that the performance groups and universes selected by Lipper may not provide appropriate comparisons for certain Funds. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the Services Provided to the Funds and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager. The profits or losses were noted at both an aggregate level for all Funds and at an individual Fund level, with some Funds being profitable for the Manager and with the Manager sustaining losses with respect to other Funds. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the difference reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year. The Board further considered that with respect to each Fund, the Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager plus the amount payable by the Manager to a subadvisor. The Board also considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
The Board noted the Manager’s representation that many of the Funds benefit from economies of scale because comparably low fee rate levels are reflected in the current management and administration fee rates the Manager charges. The Board further noted the Manager’s representation that many of the Funds benefit from these comparably low fee rate levels despite not having yet reached an asset size at which economies of scale would traditionally be considered to exist, and the Manager’s belief that breakpoints are not appropriate at this time. Based on the foregoing information, the Board concluded that the Manager fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with the Funds.
Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager as a result of its advisory relationship with the Funds, including greater exposure in the marketplace with respect to the Manager’s investment process and expanding the level of assets under management by the Manager.
In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board also
24
American Beacon FundsSM
Disclosure Regarding the Board of Trustees’ Approval of the
Management Agreements of the Funds (Unaudited)
considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager during the most recent fiscal year ended December 31, 2012.
Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager by virtue of its relationship with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to Each Fund
The performance comparisons below were made versus each Fund’s Lipper performance universe median, Lipper performance group median and/or benchmark index. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.
The expense comparisons below were made versus each Fund’s Lipper expense universe median and Lipper expense group median. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and was considered by the Trustees.
Additional Considerations and Conclusions with Respect to the American Beacon International Equity Index Fund
In considering the renewal of the Agreement for the American Beacon International Equity Index Fund, the Trustees considered the following additional factors: (1) the American Beacon International Equity Index Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the Fund’s expense ratio was lower than the median of its Lipper expense universe and Lipper expense group; and (3) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager under the Agreement are fair and reasonable; (2) determined that the Fund and its shareholders would benefit from the Manager’s continued management of the Fund; and (3) approved the renewal of the Management Agreement with respect to the American Beacon International Equity Index Fund.
Additional Considerations and Conclusions with Respect to the American Beacon S&P 500 Index Fund
In considering the renewal of the Agreement for the American Beacon S&P 500 Index Fund, the Trustees considered the following additional factors: (1) the American Beacon S&P 500 Index Fund outperformed the Lipper performance universe median for the one-, three- and five-year periods ended March 31, 2013; (2) the Fund outperformed the Lipper performance group median for the five-year period ended March 31, 2013, had performance equal to the three-year period, and underperformed for the one-year period; (3) the expense ratio of the Fund was lower than the median of its Lipper expense universe and Lipper expense group; and (4) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager under the Agreement are fair and reasonable; (2) determined that the Fund and its shareholders would benefit from the Manager’s continued management of the Fund; and (3) approved the renewal of the Agreement with respect to the American Beacon S&P 500 Index Fund.
Additional Considerations and Conclusions with Respect to the American Beacon Small Cap Index Fund
In considering the renewal of the Agreement for the American Beacon Small Cap Index Fund, the Trustees considered the following additional factors: (1) the American Beacon Small Cap Index Fund outperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the Fund’s expense ratio was lower than the median of its Lipper expense universe and Lipper expense group; and (3) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager under the Agreement are fair and reasonable; (2) determined that the Fund and its shareholders would benefit from the Manager’s continued management of the Fund; and (3) approved the renewal of the Agreement with respect to the American Beacon Small Cap Index Fund.
25
State Street Equity 500 Index Portfolio
Semi-Annual Report
June 30, 2013
26
State Street Equity 500 Index Portfolio
June 30, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS – 97.7% |
| |||||||
Consumer Discretionary – 12.7% | ||||||||
Abercrombie & Fitch Co. Class A | 13,046 | $ | 590,331 | |||||
Amazon.com, Inc.(a) | 57,992 | 16,103,798 | ||||||
AutoNation, Inc.(a) | 6,363 | 276,091 | ||||||
AutoZone, Inc.(a) | 5,564 | 2,357,411 | ||||||
Bed Bath & Beyond, Inc.(a) | 36,545 | 2,591,040 | ||||||
Best Buy Co., Inc. | 42,119 | 1,151,112 | ||||||
BorgWarner, Inc.(a) | 18,500 | 1,593,775 | ||||||
Cablevision Systems Corp. | 35,600 | 598,792 | ||||||
CarMax, Inc.(a) | 37,200 | 1,717,152 | ||||||
Carnival Corp. | 70,650 | 2,422,588 | ||||||
CBS Corp. Class B | 91,203 | 4,457,091 | ||||||
Chipotle Mexican Grill, Inc.(a) | 5,100 | 1,858,185 | ||||||
Coach, Inc. | 44,828 | 2,559,230 | ||||||
Comcast Corp. Class A | 420,448 | 17,608,362 | ||||||
D.R. Horton, Inc. | 46,076 | 980,497 | ||||||
Darden Restaurants, Inc. | 20,588 | 1,039,282 | ||||||
Delphi Automotive PLC | 45,500 | 2,306,395 | ||||||
DIRECTV(a) | 91,377 | 5,630,651 | ||||||
Discovery Communications, Inc. Class A(a) | 38,100 | 2,941,701 | ||||||
Dollar General Corp.(a) | 48,200 | 2,430,726 | ||||||
Dollar Tree, Inc.(a) | 36,600 | 1,860,744 | ||||||
eBay, Inc.(a) | 186,803 | 9,661,451 | ||||||
Expedia, Inc. | 14,357 | 863,574 | ||||||
Family Dollar Stores, Inc. | 15,558 | 969,419 | ||||||
Ford Motor Co. | 630,098 | 9,747,616 | ||||||
Fossil Group, Inc.(a) | 8,800 | 909,128 | ||||||
GameStop Corp. Class A | 19,500 | 819,585 | ||||||
Gannett Co., Inc. | 39,574 | 967,980 | ||||||
Gap, Inc. | 48,098 | 2,007,130 | ||||||
Garmin Ltd. | 17,300 | 625,568 | ||||||
General Motors Co.(a) | 121,100 | 4,033,841 | ||||||
Genuine Parts Co. | 25,209 | 1,968,067 | ||||||
Goodyear Tire & Rubber Co.(a) | 34,957 | 534,492 | ||||||
H&R Block, Inc. | 41,215 | 1,143,716 | ||||||
Harley-Davidson, Inc. | 35,801 | 1,962,611 | ||||||
Harman International Industries, Inc. | 12,021 | 651,538 | ||||||
Hasbro, Inc. | 17,825 | 799,095 | ||||||
Home Depot, Inc. | 232,112 | 17,981,717 | ||||||
Host Hotels & Resorts, Inc. | 118,721 | 2,002,823 | ||||||
International Game Technology | 39,819 | 665,375 | ||||||
Interpublic Group of Cos., Inc. | 71,894 | 1,046,058 | ||||||
JC Penney Co., Inc.(a) | 21,810 | 372,515 | ||||||
Johnson Controls, Inc. | 109,586 | 3,922,083 | ||||||
Kohl’s Corp. | 34,533 | 1,744,262 | ||||||
L Brands, Inc. | 38,167 | 1,879,725 | ||||||
Lennar Corp. Class A | 25,931 | 934,553 | ||||||
Lowe’s Cos., Inc. | 170,362 | 6,967,806 | ||||||
Macy’s, Inc. | 61,423 | 2,948,304 | ||||||
Marriott International, Inc. Class A | 39,050 | 1,576,448 | ||||||
Mattel, Inc. | 53,776 | 2,436,591 | ||||||
McDonald’s Corp. | 159,925 | 15,832,575 | ||||||
McGraw-Hill Cos., Inc. | 45,766 | 2,434,293 | ||||||
NetFlix, Inc.(a) | 8,900 | 1,878,701 | ||||||
Newell Rubbermaid, Inc. | 47,893 | 1,257,191 | ||||||
News Corp. Class A | 320,809 | 10,458,373 | ||||||
NIKE, Inc. Class B | 113,504 | 7,227,935 |
Shares | Market Value | |||||||
Nordstrom, Inc. | 23,633 | $ | 1,416,562 | |||||
O’Reilly Automotive, Inc.(a) | 17,700 | 1,993,374 | ||||||
Omnicom Group, Inc. | 40,441 | 2,542,526 | ||||||
PetSmart, Inc. | 17,300 | 1,158,927 | ||||||
Priceline.com, Inc.(a) | 8,190 | 6,774,195 | ||||||
PulteGroup, Inc.(a) | 54,705 | 1,037,754 | ||||||
PVH Corp. | 12,400 | 1,550,620 | ||||||
Ralph Lauren Corp. | 9,515 | 1,653,136 | ||||||
Ross Stores, Inc. | 35,900 | 2,326,679 | ||||||
Scripps Networks Interactive, Inc. Class A | 13,535 | 903,597 | ||||||
Snap-on, Inc. | 9,212 | 823,369 | ||||||
Stanley Black & Decker, Inc. | 24,707 | 1,909,851 | ||||||
Staples, Inc. | 110,033 | 1,745,123 | ||||||
Starbucks Corp. | 117,261 | 7,679,423 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 31,247 | 1,974,498 | ||||||
Target Corp. | 101,816 | 7,011,050 | ||||||
Tiffany & Co. | 19,880 | 1,448,059 | ||||||
Time Warner Cable, Inc. | 46,071 | 5,182,066 | ||||||
Time Warner, Inc. | 150,191 | 8,684,044 | ||||||
TJX Cos., Inc. | 113,912 | 5,702,435 | ||||||
TripAdvisor, Inc.(a) | 16,857 | 1,026,086 | ||||||
Urban Outfitters, Inc.(a) | 18,300 | 736,026 | ||||||
V.F. Corp. | 14,393 | 2,778,713 | ||||||
Viacom, Inc. Class B | 72,422 | 4,928,317 | ||||||
Walt Disney Co. | 287,545 | 18,158,467 | ||||||
Washington Post Co. Class B | 660 | 319,288 | ||||||
Whirlpool Corp. | 12,661 | 1,447,912 | ||||||
Wyndham Worldwide Corp. | 22,699 | 1,299,064 | ||||||
Wynn Resorts, Ltd. | 12,700 | 1,625,600 | ||||||
Yum! Brands, Inc. | 70,392 | 4,880,981 | ||||||
|
| |||||||
295,024,835 | ||||||||
|
| |||||||
Consumer Staples – 10.1% | ||||||||
Altria Group, Inc. | 321,299 | 11,242,252 | ||||||
Archer-Daniels-Midland Co. | 102,424 | 3,473,198 | ||||||
Avon Products, Inc. | 67,660 | 1,422,890 | ||||||
Beam, Inc. | 25,045 | 1,580,590 | ||||||
Brown-Forman Corp. Class B | 23,482 | 1,586,209 | ||||||
Campbell Soup Co. | 28,865 | 1,292,863 | ||||||
Clorox Co. | 20,543 | 1,707,945 | ||||||
Coca-Cola Co. | 606,222 | 24,315,564 | ||||||
Coca-Cola Enterprises, Inc. | 40,801 | 1,434,563 | ||||||
Colgate-Palmolive Co. | 137,802 | 7,894,677 | ||||||
ConAgra Foods, Inc. | 65,375 | 2,283,549 | ||||||
Constellation Brands, Inc. Class A(a) | 23,026 | 1,200,115 | ||||||
Costco Wholesale Corp. | 68,589 | 7,583,886 | ||||||
CVS Caremark Corp. | 196,832 | 11,254,854 | ||||||
Dr Pepper Snapple Group, Inc. | 31,100 | 1,428,423 | ||||||
Estee Lauder Cos., Inc. Class A | 38,504 | 2,532,408 | ||||||
General Mills, Inc. | 103,664 | 5,030,814 | ||||||
Hormel Foods Corp. | 21,200 | 817,896 | ||||||
Kellogg Co. | 39,035 | 2,507,218 | ||||||
Kimberly-Clark Corp. | 61,800 | 6,003,252 | ||||||
Kraft Foods Group, Inc. | 94,769 | 5,294,744 | ||||||
Kroger Co. | 81,676 | 2,821,089 | ||||||
Lorillard, Inc. | 61,383 | 2,681,209 | ||||||
McCormick & Co., Inc. | 20,753 | 1,460,181 |
See Notes to Financial Statements.
27
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Consumer Staples – (continued) | ||||||||
Molson Coors Brewing Co. Class B | 25,162 | $ | 1,204,253 | |||||
Mondelez International, Inc. Class A | 285,809 | 8,154,131 | ||||||
Monster Beverage Corp.(a) | 24,300 | 1,476,711 | ||||||
PepsiCo, Inc. | 245,554 | 20,083,862 | ||||||
Philip Morris International, Inc. | 260,599 | 22,573,085 | ||||||
Procter & Gamble Co. | 434,819 | 33,476,715 | ||||||
Reynolds American, Inc. | 52,074 | 2,518,819 | ||||||
Safeway, Inc. | 37,164 | 879,300 | ||||||
Sysco Corp. | 93,209 | 3,184,019 | ||||||
The Hershey Co. | 23,482 | 2,096,473 | ||||||
The J.M. Smucker Co. | 16,460 | 1,697,849 | ||||||
Tyson Foods, Inc. Class A | 44,235 | 1,135,955 | ||||||
Wal-Mart Stores, Inc. | 260,302 | 19,389,896 | ||||||
Walgreen Co. | 137,218 | 6,065,036 | ||||||
Whole Foods Market, Inc. | 55,066 | 2,834,798 | ||||||
|
| |||||||
235,621,291 | ||||||||
|
| |||||||
Energy – 10.3% | ||||||||
Anadarko Petroleum Corp. | 79,126 | 6,799,297 | ||||||
Apache Corp. | 62,125 | 5,207,939 | ||||||
Baker Hughes, Inc. | 69,973 | 3,227,855 | ||||||
Cabot Oil & Gas Corp. | 32,600 | 2,315,252 | ||||||
Cameron International Corp.(a) | 38,500 | 2,354,660 | ||||||
Chesapeake Energy Corp. | 83,182 | 1,695,249 | ||||||
Chevron Corp.(b) | 309,146 | 36,584,338 | ||||||
ConocoPhillips | 195,130 | 11,805,365 | ||||||
Consol Energy, Inc. | 34,973 | 947,768 | ||||||
Denbury Resources, Inc.(a) | 61,500 | 1,065,180 | ||||||
Devon Energy Corp. | 60,151 | 3,120,634 | ||||||
Diamond Offshore Drilling, Inc. | 11,500 | 791,085 | ||||||
Ensco PLC Class A | 36,500 | 2,121,380 | ||||||
EOG Resources, Inc. | 42,717 | 5,624,975 | ||||||
EQT Corp. | 23,300 | 1,849,321 | ||||||
ExxonMobil Corp.(b) | 706,547 | 63,836,521 | ||||||
FMC Technologies, Inc.(a) | 38,600 | 2,149,248 | ||||||
Halliburton Co. | 148,634 | 6,201,010 | ||||||
Helmerich & Payne, Inc. | 16,300 | 1,017,935 | ||||||
Hess Corp. | 47,801 | 3,178,289 | ||||||
Kinder Morgan, Inc. | 101,326 | 3,865,587 | ||||||
Marathon Oil Corp. | 111,777 | 3,865,249 | ||||||
Marathon Petroleum Corp. | 51,688 | 3,672,949 | ||||||
Murphy Oil Corp. | 27,441 | 1,670,883 | ||||||
Nabors Industries, Ltd. | 48,204 | 738,003 | ||||||
National Oilwell Varco, Inc. | 67,757 | 4,668,457 | ||||||
Newfield Exploration Co.(a) | 20,600 | 492,134 | ||||||
Noble Corp. | 39,400 | 1,480,652 | ||||||
Noble Energy, Inc. | 55,820 | 3,351,433 | ||||||
Occidental Petroleum Corp. | 127,044 | 11,336,136 | ||||||
Peabody Energy Corp. | 44,124 | 645,975 | ||||||
Phillips 66 | 99,165 | 5,841,810 | ||||||
Pioneer Natural Resources Co. | 21,100 | 3,054,225 | ||||||
QEP Resources, Inc. | 27,068 | 751,949 | ||||||
Range Resources Corp. | 25,500 | 1,971,660 | ||||||
Rowan Cos. PLC Class A(a) | 19,620 | 668,453 | ||||||
Schlumberger, Ltd. | 211,258 | 15,138,748 | ||||||
Southwestern Energy Co.(a) | 54,600 | 1,994,538 |
Shares | Market Value | |||||||
Spectra Energy Corp. | 104,398 | $ | 3,597,555 | |||||
Tesoro Corp. | 23,165 | 1,211,993 | ||||||
Valero Energy Corp. | 87,909 | 3,056,596 | ||||||
Williams Cos., Inc. | 105,468 | 3,424,546 | ||||||
WPX Energy, Inc.(a) | 30,856 | 584,413 | ||||||
|
| |||||||
238,977,245 | ||||||||
|
| |||||||
Financials – 17.1% | ||||||||
ACE, Ltd. | 54,100 | 4,840,868 | ||||||
AFLAC, Inc. | 73,990 | 4,300,299 | ||||||
Allstate Corp. | 76,406 | 3,676,657 | ||||||
American Express Co. | 153,764 | 11,495,397 | ||||||
American International Group, Inc.(a) | 234,433 | 10,479,155 | ||||||
American Tower Corp. REIT | 62,800 | 4,595,076 | ||||||
Ameriprise Financial, Inc. | 31,407 | 2,540,198 | ||||||
Aon PLC | 48,347 | 3,111,129 | ||||||
Apartment Investment & Management Co. Class A | 22,952 | 689,478 | ||||||
Assurant, Inc. | 14,131 | 719,409 | ||||||
AvalonBay Communities, Inc. | 19,298 | 2,603,493 | ||||||
Bank of America Corp. | 1,712,071 | 22,017,233 | ||||||
BB&T Corp. | 111,970 | 3,793,544 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 289,903 | 32,445,944 | ||||||
BlackRock, Inc. | 19,634 | 5,042,993 | ||||||
Boston Properties, Inc. | 23,867 | 2,517,253 | ||||||
Capital One Financial Corp. | 92,963 | 5,839,006 | ||||||
CBRE Group, Inc.(a) | 49,575 | 1,158,072 | ||||||
Charles Schwab Corp. | 175,293 | 3,721,470 | ||||||
Chubb Corp. | 40,575 | 3,434,674 | ||||||
Cincinnati Financial Corp. | 23,114 | 1,060,933 | ||||||
Citigroup, Inc. | 483,520 | 23,194,454 | ||||||
CME Group, Inc. | 48,955 | 3,719,601 | ||||||
Comerica, Inc. | 28,344 | 1,128,942 | ||||||
DDR Corp. REIT | 1,532 | 25,508 | ||||||
Discover Financial Services | 79,005 | 3,763,798 | ||||||
E*Trade Financial Corp.(a) | 44,931 | 568,826 | ||||||
Equity Residential | 51,157 | 2,970,175 | ||||||
Fifth Third Bancorp | 135,116 | 2,438,844 | ||||||
Franklin Resources, Inc. | 21,480 | 2,921,710 | ||||||
Genworth Financial, Inc. Class A(a) | 72,151 | 823,243 | ||||||
Goldman Sachs Group, Inc. | 68,534 | 10,365,768 | ||||||
Hartford Financial Services Group, Inc. | 70,197 | 2,170,491 | ||||||
HCP, Inc. | 70,500 | 3,203,520 | ||||||
Health Care REIT, Inc. | 46,100 | 3,090,083 | ||||||
Hudson City Bancorp, Inc. | 76,692 | 702,499 | ||||||
Huntington Bancshares, Inc. | 141,956 | 1,118,613 | ||||||
IntercontinentalExchange, Inc.(a) | 11,980 | 2,129,565 | ||||||
Invesco, Ltd. | 72,200 | 2,295,960 | ||||||
J.P. Morgan Chase & Co. | 600,615 | 31,706,466 | ||||||
KeyCorp | 148,675 | 1,641,372 | ||||||
Kimco Realty Corp. | 62,669 | 1,342,997 | ||||||
Legg Mason, Inc. | 18,042 | 559,482 | ||||||
Leucadia National Corp. | 46,736 | 1,225,418 | ||||||
Lincoln National Corp. | 41,392 | 1,509,566 | ||||||
Loews Corp. | 47,731 | 2,119,256 | ||||||
M&T Bank Corp. | 18,737 | 2,093,860 |
See Notes to Financial Statements.
28
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Financials – (continued) | ||||||||
Marsh & McLennan Cos., Inc. | 88,553 | $ | 3,535,036 | |||||
Mastercard, Inc. Class A | 16,900 | 9,709,050 | ||||||
MetLife, Inc. | 174,396 | 7,980,361 | ||||||
Moody’s Corp. | 30,266 | 1,844,107 | ||||||
Morgan Stanley | 214,230 | 5,233,639 | ||||||
NASDAQ OMX Group, Inc. | 18,400 | 603,336 | ||||||
Northern Trust Corp. | 34,306 | 1,986,317 | ||||||
NYSE Euronext | 40,200 | 1,664,280 | ||||||
Paychex, Inc. | 50,738 | 1,852,952 | ||||||
People’s United Financial, Inc. | 57,000 | 849,300 | ||||||
PNC Financial Services Group, Inc. | 84,117 | 6,133,812 | ||||||
Principal Financial Group, Inc. | 43,391 | 1,624,993 | ||||||
Progressive Corp. | 84,501 | 2,148,015 | ||||||
ProLogis, Inc. | 78,999 | 2,979,842 | ||||||
Prudential Financial, Inc. | 74,339 | 5,428,977 | ||||||
Public Storage, Inc. | 23,087 | 3,539,930 | ||||||
Regions Financial Corp. | 218,789 | 2,085,059 | ||||||
Simon Property Group, Inc. | 49,415 | 7,803,617 | ||||||
SLM Corp. | 69,254 | 1,583,146 | ||||||
State Street Corp.(c) | 72,725 | 4,742,397 | ||||||
SunTrust Banks, Inc. | 86,518 | 2,731,373 | ||||||
T. Rowe Price Group, Inc. | 40,075 | 2,931,486 | ||||||
The Bank of New York Mellon Corp. | 181,685 | 5,096,264 | ||||||
The Macerich Co. REIT | 21,800 | 1,329,146 | ||||||
Torchmark Corp. | 14,931 | 972,605 | ||||||
Total System Services, Inc. | 26,575 | 650,556 | ||||||
Travelers Cos., Inc. | 59,004 | 4,715,600 | ||||||
U.S. Bancorp | 299,052 | 10,810,730 | ||||||
Unum Group | 40,929 | 1,202,085 | ||||||
Ventas, Inc. | 45,400 | 3,153,484 | ||||||
Visa, Inc. Class A | 80,500 | 14,711,375 | ||||||
Vornado Realty Trust | 26,714 | 2,213,255 | ||||||
Wells Fargo & Co. | 782,749 | 32,304,051 | ||||||
Western Union Co. | 86,585 | 1,481,469 | ||||||
XL Group PLC | 44,968 | 1,363,430 | ||||||
Zions Bancorp. | 30,453 | 879,483 | ||||||
|
| |||||||
398,786,856 | ||||||||
|
| |||||||
Health Care – 12.2% | ||||||||
Abbott Laboratories | 252,406 | 8,803,921 | ||||||
AbbVie, Inc. | 252,906 | 10,455,134 | ||||||
Actavis, Inc.(a) | 20,946 | 2,643,804 | ||||||
Aetna, Inc. | 59,359 | 3,771,671 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 30,400 | 2,804,096 | ||||||
Allergan, Inc. | 49,192 | 4,143,934 | ||||||
AmerisourceBergen Corp. | 34,986 | 1,953,268 | ||||||
Amgen, Inc. | 119,545 | 11,794,310 | ||||||
Baxter International, Inc. | 85,361 | 5,912,956 | ||||||
Becton Dickinson and Co. | 30,097 | 2,974,487 | ||||||
Biogen Idec, Inc.(a) | 37,731 | 8,119,711 | ||||||
Boston Scientific Corp.(a) | 219,034 | 2,030,445 | ||||||
Bristol-Myers Squibb Co. | 262,516 | 11,731,840 | ||||||
C.R. Bard, Inc. | 11,997 | 1,303,834 | ||||||
Cardinal Health, Inc. | 53,957 | 2,546,770 | ||||||
CareFusion Corp.(a) | 33,878 | 1,248,404 | ||||||
Celgene Corp.(a) | 65,618 | 7,671,400 |
Shares | Market Value | |||||||
Cerner Corp.(a) | 23,000 | $ | 2,210,070 | |||||
CIGNA Corp. | 45,996 | 3,334,250 | ||||||
Covidien PLC | 73,700 | 4,631,308 | ||||||
DaVita, Inc.(a) | 13,300 | 1,606,640 | ||||||
Dentsply International, Inc. | 23,300 | 954,368 | ||||||
Edwards Lifesciences Corp.(a) | 19,000 | 1,276,800 | ||||||
Eli Lilly & Co. | 156,475 | 7,686,052 | ||||||
Express Scripts Holding Co.(a) | 129,914 | 8,014,395 | ||||||
Forest Laboratories, Inc.(a) | 37,402 | 1,533,482 | ||||||
Gilead Sciences, Inc.(a) | 243,198 | 12,454,170 | ||||||
Hospira, Inc.(a) | 25,303 | 969,358 | ||||||
Humana, Inc. | 24,307 | 2,051,025 | ||||||
Intuitive Surgical, Inc.(a) | 6,300 | 3,191,454 | ||||||
Johnson & Johnson | 446,349 | 38,323,525 | ||||||
Laboratory Corp. of America Holdings(a) | 15,422 | 1,543,742 | ||||||
Life Technologies Corp.(a) | 27,887 | 2,063,917 | ||||||
McKesson Corp. | 37,255 | 4,265,698 | ||||||
Mead Johnson Nutrition Co. | 32,618 | 2,584,324 | ||||||
Medtronic, Inc. | 159,778 | 8,223,774 | ||||||
Merck & Co., Inc. | 478,170 | 22,210,997 | ||||||
Mylan, Inc.(a) | 63,209 | 1,961,375 | ||||||
Patterson Cos., Inc. | 12,894 | 484,814 | ||||||
Perrigo Co. | 14,400 | 1,742,400 | ||||||
Pfizer, Inc. | 1,073,781 | 30,076,606 | ||||||
Quest Diagnostics, Inc. | 25,600 | 1,552,128 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 12,100 | 2,721,048 | ||||||
St. Jude Medical, Inc. | 45,126 | 2,059,099 | ||||||
Stryker Corp. | 46,289 | 2,993,973 | ||||||
Tenet Healthcare Corp.(a) | 15,542 | 716,486 | ||||||
UnitedHealth Group, Inc. | 161,796 | 10,594,402 | ||||||
Varian Medical Systems, Inc.(a) | 18,060 | 1,218,147 | ||||||
WellPoint, Inc. | 47,738 | 3,906,878 | ||||||
Zimmer Holdings, Inc. | 26,052 | 1,952,337 | ||||||
Zoetis, Inc. | 67,048 | 2,071,113 | ||||||
|
| |||||||
283,090,140 | ||||||||
|
| |||||||
Industrials – 10.1% | ||||||||
3M Co. | 101,772 | 11,128,768 | ||||||
ADT Corp.(a) | 36,250 | 1,444,562 | ||||||
Amphenol Corp. Class A | 26,100 | 2,034,234 | ||||||
Avery Dennison Corp. | 15,388 | 657,991 | ||||||
Boeing Co. | 108,988 | 11,164,731 | ||||||
Caterpillar, Inc. | 103,679 | 8,552,481 | ||||||
CH Robinson Worldwide, Inc. | 25,861 | 1,456,233 | ||||||
Cintas Corp. | 17,588 | 800,957 | ||||||
CSX Corp. | 162,814 | 3,775,657 | ||||||
Cummins, Inc. | 28,358 | 3,075,709 | ||||||
Danaher Corp. | 92,472 | 5,853,478 | ||||||
Deere & Co. | 60,837 | 4,943,006 | ||||||
Dover Corp. | 27,895 | 2,166,326 | ||||||
Eaton Corp. PLC | 75,124 | 4,943,910 | ||||||
Emerson Electric Co. | 112,948 | 6,160,184 | ||||||
Equifax, Inc. | 19,983 | 1,177,598 | ||||||
Expeditors International Washington, Inc. | 34,020 | 1,293,100 | ||||||
Fastenal Co. | 42,500 | 1,948,625 | ||||||
FedEx Corp. | 46,800 | 4,613,544 | ||||||
First Solar, Inc.(a) | 8,070 | 360,971 |
See Notes to Financial Statements.
29
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Market | ||||||||
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Industrials – (continued) | ||||||||
Flir Systems, Inc. | 23,500 | $ | 633,795 | |||||
Flowserve Corp. | 21,900 | 1,182,819 | ||||||
Fluor Corp. | 24,960 | 1,480,378 | ||||||
Fortune Brands Home & Security, Inc. | 1,145 | 44,357 | ||||||
General Dynamics Corp. | 53,161 | 4,164,101 | ||||||
General Electric Co. | 1,643,133 | 38,104,254 | ||||||
Honeywell International, Inc. | 125,781 | 9,979,465 | ||||||
Illinois Tool Works, Inc. | 66,271 | 4,583,965 | ||||||
Ingersoll-Rand PLC | 43,300 | 2,404,016 | ||||||
Iron Mountain, Inc. | 24,010 | 638,906 | ||||||
Jacobs Engineering Group, Inc.(a) | 20,400 | 1,124,652 | ||||||
Joy Global, Inc. | 17,200 | 834,716 | ||||||
Kansas City Southern | 17,500 | 1,854,300 | ||||||
L-3 Communications Holdings, Inc. | 13,603 | 1,166,321 | ||||||
Leggett & Platt, Inc. | 20,398 | 634,174 | ||||||
Lockheed Martin Corp. | 41,752 | 4,528,422 | ||||||
Masco Corp. | 57,123 | 1,113,327 | ||||||
Norfolk Southern Corp. | 48,955 | 3,556,581 | ||||||
Northrop Grumman Corp. | 36,711 | 3,039,671 | ||||||
PACCAR, Inc. | 56,774 | 3,046,493 | ||||||
Pall Corp. | 18,609 | 1,236,196 | ||||||
Parker Hannifin Corp. | 23,903 | 2,280,346 | ||||||
Pentair, Ltd. | 33,495 | 1,932,327 | ||||||
Pitney Bowes, Inc. | 29,727 | 436,392 | ||||||
Precision Castparts Corp. | 23,007 | 5,199,812 | ||||||
Quanta Services, Inc.(a) | 35,000 | 926,100 | ||||||
Raytheon Co. | 50,482 | 3,337,870 | ||||||
Republic Services, Inc. | 45,503 | 1,544,372 | ||||||
Robert Half International, Inc. | 23,540 | 782,234 | ||||||
Rockwell Automation, Inc. | 22,505 | 1,871,066 | ||||||
Rockwell Collins, Inc. | 22,531 | 1,428,691 | ||||||
Roper Industries, Inc. | 16,100 | 1,999,942 | ||||||
Ryder System, Inc. | 7,921 | 481,518 | ||||||
Southwest Airlines Co. | 114,186 | 1,471,858 | ||||||
Stericycle, Inc.(a) | 14,100 | 1,557,063 | ||||||
Textron, Inc. | 44,839 | 1,168,056 | ||||||
Thermo Fisher Scientific, Inc. | 55,724 | 4,715,922 | ||||||
Tyco International, Ltd. | 72,500 | 2,388,875 | ||||||
Union Pacific Corp. | 74,268 | 11,458,067 | ||||||
United Parcel Service, Inc. Class B | 112,546 | 9,732,978 | ||||||
United Technologies Corp. | 134,678 | 12,516,973 | ||||||
W.W. Grainger, Inc. | 9,669 | 2,438,328 | ||||||
Waste Management, Inc. | 68,239 | 2,752,079 | ||||||
Xylem, Inc. | 28,692 | 772,962 | ||||||
|
| |||||||
236,096,805 | ||||||||
|
| |||||||
Information Technology – 15.8% | ||||||||
Accenture PLC Class A | 103,300 | 7,433,468 | ||||||
Adobe Systems, Inc.(a) | 77,957 | 3,551,721 | ||||||
Advanced Micro Devices, Inc.(a) | 84,086 | 343,071 | ||||||
Agilent Technologies, Inc. | 54,968 | 2,350,432 | ||||||
Akamai Technologies, Inc.(a) | 27,324 | 1,162,636 | ||||||
Altera Corp. | 50,554 | 1,667,776 | ||||||
Analog Devices, Inc. | 47,269 | 2,129,941 | ||||||
AOL, Inc.(a) | 1 | 36 | ||||||
Apple, Inc. | 149,184 | 59,088,799 |
Market | ||||||||
Shares | Value | |||||||
Applied Materials, Inc. | 185,707 | $ | 2,768,891 | |||||
Autodesk, Inc.(a) | 36,476 | 1,237,995 | ||||||
Automatic Data Processing, Inc. | 78,417 | 5,399,795 | ||||||
BMC Software, Inc.(a) | 22,421 | 1,012,084 | ||||||
Broadcom Corp. Class A | 82,359 | 2,780,440 | ||||||
CA, Inc. | 50,699 | 1,451,512 | ||||||
Cisco Systems, Inc. | 849,619 | 20,654,238 | ||||||
Citrix Systems, Inc.(a) | 29,667 | 1,789,810 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 47,784 | 2,991,756 | ||||||
Computer Sciences Corp. | 23,144 | 1,013,013 | ||||||
Corning, Inc. | 228,576 | 3,252,636 | ||||||
Dell, Inc. | 226,950 | 3,029,782 | ||||||
Dun & Bradstreet Corp. | 7,100 | 691,895 | ||||||
Electronic Arts, Inc.(a) | 50,400 | 1,157,688 | ||||||
EMC Corp. | 334,284 | 7,895,788 | ||||||
F5 Networks, Inc.(a) | 12,200 | 839,360 | ||||||
Fidelity National Information Services, Inc. | 46,777 | 2,003,927 | ||||||
Fiserv, Inc.(a) | 21,052 | 1,840,155 | ||||||
Google, Inc. Class A(a) | 42,690 | 37,582,995 | ||||||
Harris Corp. | 18,600 | 916,050 | ||||||
Hewlett-Packard Co. | 305,616 | 7,579,277 | ||||||
Intel Corp. | 789,956 | 19,132,734 | ||||||
International Business Machines Corp. | 166,742 | 31,866,064 | ||||||
Intuit, Inc. | 43,863 | 2,676,959 | ||||||
Jabil Circuit, Inc. | 27,551 | 561,489 | ||||||
Juniper Networks, Inc.(a) | 84,393 | 1,629,629 | ||||||
KLA-Tencor Corp. | 27,005 | 1,504,989 | ||||||
Lam Research Corp.(a) | 25,858 | 1,146,544 | ||||||
Linear Technology Corp. | 35,263 | 1,299,089 | ||||||
LSI Corp.(a) | 89,162 | 636,617 | ||||||
Microchip Technology, Inc. | 29,389 | 1,094,740 | ||||||
Micron Technology, Inc.(a) | 160,962 | 2,306,585 | ||||||
Microsoft Corp.(b) | 1,199,335 | 41,413,038 | ||||||
Molex, Inc. | 23,205 | 680,835 | ||||||
Motorola Solutions, Inc. | 42,752 | 2,468,073 | ||||||
NetApp, Inc.(a) | 57,357 | 2,166,947 | ||||||
NVIDIA Corp. | 99,956 | 1,402,383 | ||||||
Oracle Corp. | 587,962 | 18,062,193 | ||||||
PerkinElmer, Inc. | 19,218 | 624,585 | ||||||
QUALCOMM, Inc. | 274,511 | 16,767,132 | ||||||
Red Hat, Inc.(a) | 29,800 | 1,425,036 | ||||||
SAIC, Inc. | 42,900 | 597,597 | ||||||
Salesforce.com, Inc.(a) | 84,800 | 3,237,664 | ||||||
SanDisk Corp.(a) | 38,367 | 2,344,224 | ||||||
Seagate Technology PLC | 49,100 | 2,201,153 | ||||||
Symantec Corp. | 109,963 | 2,470,869 | ||||||
TE Connectivity, Ltd. | 67,300 | 3,064,842 | ||||||
Teradata Corp.(a) | 25,320 | 1,271,824 | ||||||
Teradyne, Inc.(a) | 28,149 | 494,578 | ||||||
Texas Instruments, Inc. | 176,199 | 6,144,059 | ||||||
VeriSign, Inc.(a) | 24,721 | 1,104,040 | ||||||
Waters Corp.(a) | 13,765 | 1,377,188 | ||||||
Western Digital Corp. | 36,200 | 2,247,658 | ||||||
Xerox Corp. | 187,601 | 1,701,541 | ||||||
Xilinx, Inc. | 42,502 | 1,683,504 | ||||||
Yahoo!, Inc.(a) | 154,519 | 3,879,972 | ||||||
|
| |||||||
368,303,341 | ||||||||
|
|
See Notes to Financial Statements.
30
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Market | ||||||||
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Materials – 3.4% | ||||||||
Air Products & Chemicals, Inc. | 33,209 | $ | 3,040,948 | |||||
Airgas, Inc. | 11,600 | 1,107,336 | ||||||
Alcoa, Inc. | 169,749 | 1,327,437 | ||||||
Allegheny Technologies, Inc. | 17,228 | 453,269 | ||||||
Ball Corp. | 25,024 | 1,039,497 | ||||||
Bemis Co., Inc. | 17,462 | 683,463 | ||||||
CF Industries Holdings, Inc. | 10,550 | 1,809,325 | ||||||
Cliffs Natural Resources, Inc. | 22,200 | 360,750 | ||||||
Dow Chemical Co. | 189,628 | 6,100,333 | ||||||
E.I. du Pont de Nemours & Co. | 148,112 | 7,775,880 | ||||||
Eastman Chemical Co. | 23,708 | 1,659,797 | ||||||
Ecolab, Inc. | 42,166 | 3,592,122 | ||||||
FMC Corp. | 21,400 | 1,306,684 | ||||||
Freeport-McMoRan Copper & Gold, Inc. Class B | 165,004 | 4,555,761 | ||||||
International Flavors & Fragrances, Inc. | 13,031 | 979,410 | ||||||
International Paper Co. | 71,411 | 3,164,221 | ||||||
LyondellBasell Industries NV | 59,400 | 3,935,844 | ||||||
MeadWestvaco Corp. | 26,720 | 911,419 | ||||||
Monsanto Co. | 86,055 | 8,502,234 | ||||||
Mosaic Co. | 43,600 | 2,346,116 | ||||||
Newmont Mining Corp. | 78,406 | 2,348,260 | ||||||
Nucor Corp. | 49,654 | 2,151,011 | ||||||
Owens-Illinois, Inc.(a) | 24,000 | 666,960 | ||||||
Plum Creek Timber Co., Inc. | 25,311 | 1,181,264 | ||||||
PPG Industries, Inc. | 22,771 | 3,333,902 | ||||||
Praxair, Inc. | 46,511 | 5,356,207 | ||||||
Sealed Air Corp. | 28,792 | 689,568 | ||||||
Sherwin-Williams Co. | 13,696 | 2,418,714 | ||||||
Sigma-Aldrich Corp. | 19,134 | 1,537,608 | ||||||
United States Steel Corp. | 21,478 | 376,509 | ||||||
Vulcan Materials Co. | 21,361 | 1,034,086 | ||||||
Weyerhaeuser Co. | 87,474 | 2,492,134 | ||||||
|
| |||||||
78,238,069 | ||||||||
|
| |||||||
Telecommunication Services – 2.8% | ||||||||
AT&T, Inc. | 854,950 | 30,265,230 | ||||||
CenturyLink, Inc. | 99,565 | 3,519,623 | ||||||
Crown Castle International Corp.(a) | 46,900 | 3,395,091 | ||||||
Frontier Communications Corp. | 165,844 | 671,668 | ||||||
JDS Uniphase Corp.(a) | 32,523 | 467,681 | ||||||
Sprint Nextel Corp.(a) | 479,365 | 3,365,142 | ||||||
Verizon Communications, Inc. | 454,666 | 22,887,887 | ||||||
Windstream Corp. | 99,213 | 764,932 | ||||||
|
| |||||||
65,337,254 | ||||||||
|
| |||||||
Utilities – 3.2% | ||||||||
AES Corp. | 103,195 | 1,237,308 | ||||||
AGL Resources, Inc. | 18,100 | 775,766 | ||||||
Ameren Corp. | 37,560 | 1,293,566 | ||||||
American Electric Power Co., Inc. | 76,652 | 3,432,477 | ||||||
CenterPoint Energy, Inc. | 66,311 | 1,557,645 | ||||||
CMS Energy Corp. | 42,056 | 1,142,662 | ||||||
Consolidated Edison, Inc. | 47,252 | 2,755,264 | ||||||
Dominion Resources, Inc. | 90,862 | 5,162,779 |
Market | ||||||||
Shares | Value | |||||||
DTE Energy Co. | 27,484 | $ | 1,841,703 | |||||
Duke Energy Corp. | 112,183 | 7,572,353 | ||||||
Edison International | 50,419 | 2,428,179 | ||||||
Entergy Corp. | 27,698 | 1,929,997 | ||||||
Exelon Corp. | 136,543 | 4,216,448 | ||||||
FirstEnergy Corp. | 64,822 | 2,420,453 | ||||||
Integrys Energy Group, Inc. | 11,616 | 679,884 | ||||||
NextEra Energy, Inc. | 67,721 | 5,517,907 | ||||||
NiSource, Inc. | 50,582 | 1,448,668 | ||||||
Northeast Utilities | 50,060 | 2,103,521 | ||||||
NRG Energy, Inc. | 49,000 | 1,308,300 | ||||||
Oneok, Inc. | 32,200 | 1,330,182 | ||||||
Pepco Holdings, Inc. | 41,200 | 830,592 | ||||||
PG&E Corp. | 69,126 | 3,161,132 | ||||||
Pinnacle West Capital Corp. | 17,860 | 990,694 | ||||||
PPL Corp. | 92,275 | 2,792,242 | ||||||
Public Service Enterprise Group, Inc. | 80,924 | 2,642,978 | ||||||
SCANA Corp. | 21,000 | 1,031,100 | ||||||
Sempra Energy | 35,286 | 2,884,983 | ||||||
Southern Co. | 135,943 | 5,999,165 | ||||||
TECO Energy, Inc. | 34,951 | 600,808 | ||||||
Wisconsin Energy Corp. | 38,100 | 1,561,719 | ||||||
Xcel Energy, Inc. | 75,951 | 2,152,451 | ||||||
|
| |||||||
74,802,926 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,274,278,762 | |||||||
|
| |||||||
Par Amount | ||||||||
U.S. GOVERNMENT SECURITIES – 0.1% |
| |||||||
U.S. Treasury Bill(b)(d)(e) | $ | 400,000 | 399,998 | |||||
U.S. Treasury Bill(b)(d)(e) | 1,610,000 | 1,609,941 | ||||||
U.S. Treasury Bill(b)(d)(e) | 1,150,000 | 1,149,918 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT SECURITIES |
| 3,159,857 | ||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUND – 2.3% | ||||||||
State Street Institutional Liquid Reserves Fund(c)(f) | 52,484,387 | 52,484,387 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUND | 52,484,387 | |||||||
|
| |||||||
TOTAL INVESTMENTS(g) – 100.1% | 2,329,923,006 | |||||||
Liabilities in Excess of Assets – (0.1)% |
| (1,565,448 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,328,357,558 | ||||||
|
|
(a) | Non-income producing security. |
(b) | All or part of this security has been designated as collateral for futures contracts. |
(c) | Affiliated issuer. See table that follows for more information. |
(d) | Rate represents annualized yield at date of purchase. |
See Notes to Financial Statements.
31
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
(e) | Value determined based on Level 2 inputs. (Note 2) |
(f) | The rate shown is the annualized seven-day yield at period end. |
(g) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 1 inputs. (Note 2) |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
Schedule of Futures Contracts
Number of | Notional | Unrealized | ||||||||||
Contracts | Value | Depreciation | ||||||||||
S&P 500 Financial Futures Contracts (long) Expiration Date 09/2013 | 678 | $ | 55,153,271 | $ | (937,001 | ) | ||||||
|
| |||||||||||
Total unrealized depreciation on open futures contracts purchased | $ | (937,001 | ) | |||||||||
|
|
Affiliates Table
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending June 30, 2013 were as follows:
Security Description | Number of shares held at 12/31/12 | Shares purchased for the six months ended 06/30/13 | Shares sold for the six months ended 06/30/13 | Number of shares held at 06/30/13 | Value at 06/30/13 | Income earned for the six months ended 06/30/13 | Realized gain on shares sold | |||||||||||||||||||||
State Street Corp. | 72,725 | — | — | 72,725 | $ | 4,742,397 | $ | 37,817 | $ | — | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 25,053,183 | 163,572,583 | 136,141,379 | 52,484,387 | 52,484,387 | 26,120 | — |
See Notes to Financial Statements.
32
State Street Equity 500 Index Portfolio
Statement of Assets and Liabilities
June 30, 2013 (Unaudited)
State Street | ||||
Equity 500 | ||||
Index Portfolio | ||||
Assets | ||||
Investments in unaffiliated issuers at market value (identified cost $1,188,685,404) | $ | 2,272,696,222 | ||
Investments in non-controlled affiliates at market value (identified cost $54,874,161) (Note 4) | 57,226,784 | |||
|
| |||
Total investments at market value (identified cost $1,243,559,565) | 2,329,923,006 | |||
Receivable for investment securities sold | 319,501 | |||
Daily variation margin on futures contracts | 689,529 | |||
Dividends and interest receivable | 2,828,988 | |||
Dividend recievable from non-controlled affiliates (Note 4) | 18,909 | |||
|
| |||
Total assets | 2,333,779,933 | |||
Liabilities | ||||
Daily variation margin on futures contracts | 937,001 | |||
Payable for withdrawals from portfolio | 4,436,729 | |||
Management fees payable (Note 3) | 48,645 | |||
|
| |||
Total liabilities | 5,422,375 | |||
|
| |||
Net Assets | $ | 2,328,357,558 | ||
|
|
See Notes to Financial Statements.
33
State Street Equity 500 Index Portfolio
Six Months Ended June 30, 2013 (Unaudited)
State Street | ||||
Equity 500 | ||||
Index Portfolio | ||||
Investment Income | ||||
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $51,801 ) | $ | 23,529,979 | ||
Dividend income – non-controlled affiliated issuer | 63,937 | |||
Interest | 937 | |||
|
| |||
Total investment income | 23,594,853 | |||
|
| |||
Expenses | ||||
Management fees (Note 3) | 503,913 | |||
|
| |||
Total expenses | 503,913 | |||
|
| |||
Net Investment Income | $ | 23,090,940 | ||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on: | ||||
Investments – unaffiliated issuers | $ | 8,925,269 | ||
Futures contracts | 6,612,377 | |||
|
| |||
15,537,646 | ||||
Net change in net unrealized appreciation (depreciation) on: | ||||
Investments | 246,037,907 | |||
Futures contracts | (1,006,170 | ) | ||
|
| |||
245,031,737 | ||||
|
| |||
Net realized and unrealized gain | 260,569,383 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 283,660,323 | ||
|
|
See Notes to Financial Statements.
34
State Street Equity 500 Index Portfolio
Statements of Changes in Net Assets
Six Months Ended | For the | |||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income | $ | 23,090,940 | $ | 44,258,364 | ||||
Net realized gain on investments and futures contracts | 15,537,646 | 59,782,429 | ||||||
Net change in net unrealized appreciation on investments and futures contracts | 245,031,737 | 177,710,661 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 283,660,323 | 281,751,454 | ||||||
|
|
|
| |||||
Capital Transactions | ||||||||
Contributions | 115,590,455 | 262,981,954 | ||||||
Withdrawals | (126,134,606 | ) | (315,020,063 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital transactions | (10,544,151 | ) | (52,038,109 | ) | ||||
|
|
|
| |||||
Net Increase in Net Assets | 273,116,172 | 229,713,345 | ||||||
Net Assets | ||||||||
Beginning of period | 2,055,241,386 | 1,825,528,041 | ||||||
|
|
|
| |||||
End of period | $ | 2,328,357,558 | $ | 2,055,241,386 | ||||
|
|
|
|
See Notes to Financial Statements.
35
State Street Equity 500 Index Portfolio
The following table includes selected supplemental data and ratios to average net assets:
Six Months Ended | ||||||||||||||||||||||||
6/30/13 | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/12 | 12/31/11 | 12/31/10 | 12/31/09 | 12/31/08 | |||||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||||||
Net assets, end of period | 2,328,358 | 2,055,241 | 1,825,528 | 2,098,137 | 1,893,386 | 1,522,208 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Operating expenses | 0.045 | %* | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | ||||||||||||
Net investment income | 2.06 | %* | 2.26 | % | 2.04 | % | 1.99 | % | 2.28 | % | 2.30 | % | ||||||||||||
Portfolio turnover rate(a) | 2 | % | 9 | % | 15 | % | 12 | % | 19 | % | 14 | % | ||||||||||||
Total return(b) | 13.84 | % | 15.97 | % | 2.03 | % | 15.08 | % | 26.50 | % | (37.02 | )% |
(a) | The portfolio turnover rate excludes in-kind security transactions. |
(b) | Results represent past performance and are not indicative of future results. |
* | Annualized. |
See Notes to Financial Statements.
36
State Street Equity 500 Index Portfolio
June 30, 2013 (Unaudited)
1. Organization
State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises ten investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Limited Duration Bond Portfolio, State Street Treasury Money Market Portfolio, State Street Treasury Plus Money Market Portfolio and State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).
At June 30, 2013, the following Portfolios were operational: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of nontransferable beneficial interests.
The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Composite Stock Price Index (the “S&P 500® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500® Index. The S&P 500® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.
2. Significant Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.
Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.
The Portfolio adopted provisions surrounding fair value measurements and disclosures that defines fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. These provisions apply to fair value measurements that are already required or permitted by other accounting standards and are intended to increase the
37
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
consistency of those measurements and apply broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.
The three tier hierarchy of inputs is summarized below:
• | Level 1 – quoted prices in active markets for identical securities |
• | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of June 30, 2013, in valuing the Portfolio’s assets carried at fair value:
Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable | Unobservable | ||||||||||||||
Identical Assets | Inputs | Inputs | ||||||||||||||
Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | $ | 2,274,278,762 | $ | — | $ | — | $ | 2,274,278,762 | ||||||||
U.S. Government Securities | — | 3,159,857 | — | 3,159,857 | ||||||||||||
Money Market Fund | 52,484,387 | — | — | 52,484,387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | 2,326,763,149 | 3,159,857 | — | 2,329,923,006 | ||||||||||||
OTHER ASSETS: | ||||||||||||||||
Futures contracts | (937,001 | ) | — | — | (937,001 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL ASSETS | $ | 2,325,826,148 | $ | 3,159,857 | $ | — | $ | 2,328,986,005 | ||||||||
|
|
|
|
|
|
|
|
The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.
For the six months ended June 30, 2013, there were no transfers between levels.
Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations.
38
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Federal income taxes – The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2012, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of June 30, 2013, tax years 2009 through 2012 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
At June 30, 2013, the tax cost of investments was $1,243,559,565 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $ 1,110,681,006 and $ 24,317,565 respectively, resulting in net appreciation of $1,086,363,441 for all securities as computed on a federal income tax basis.
Futures – The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.
The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options
39
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at June 30, 2013:
Asset Derivatives(1) (amounts in thousands)
Equity Contracts Risk | Total | |||||||
Futures Contracts | $ | (937,001 | ) | $ | (937,001 | ) |
(1) | Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities. |
Transactions in derivative instruments during the six months ended June 30, 2013, were as follows:
Realized Gain (Loss)(2) (amounts in thousands)
Equity Contracts Risk | Total | |||||||
Futures Contracts | $ | 6,612,377 | $ | 6,612,377 |
Change in Appreciation (Depreciation)(3) (amounts in thousands)
Equity Contracts Risk | Total | |||||||
Futures Contracts | $ | 1,006,170 | $ | 1,006,170 |
(2) | Statement of Operations location: Net realized gain (loss) on: Futures contracts |
(3) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts |
The average notional of futures outstanding during the six months ended June 30, 2013 was $44,035,248.
At June 30, 2013, the fund sold the following exchange traded futures contracts:
Financial Exchange Traded Futures Contracts
Number of | Notional | Unrealized | ||||||||||||||||||
Issue | Exchange | Contracts | Expiration Date | Value | Depreciation | |||||||||||||||
S&P 500 Financial Futures | Chicago Mercantile Exchange | 678 | September 2013 | $ | 55,153,271 | $ | (937,001 | ) |
Use of estimates – The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.
40
State Street Equity 500 Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
Subsequent events – Management has determined that there are no subsequent events or transactions that would have materially impacted the Fund’s financial statements as presented.
3. Securities Transactions
For the six months ended June 30, 2013, purchases and sales of investment securities, excluding short-term investments, and futures contracts, aggregated to $40,249,683 and $45,700,068, respectively.
4. Related Party Fees and Transactions
The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at June 30, 2013 is listed in the Portfolio of Investments.
5. Trustees’ Fees
Each Independent Trustee receives for his or her services a $100,000 retainer in addition to $5,000 for each in-person meeting and $1,250 for each telephonic meeting from the Trust. The Chairman receives an additional $30,000 annual retainer and the Audit Committee Chair receives an additional $10,000 annual retainer.
6. Indemnifications
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
41
State Street Equity 500 Index Portfolio
General Information
June 30, 2013 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
42
JUNE 30, 2013
SEMI-ANNUAL REPORT (UNAUDITED) | ![]() |
Quantitative Master Series LLC
• | Master International Index Series |
• | Master Small Cap Index Series |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Series Portfolio Information as of June 30, 2013 | Quantitative Master Series LLC |
Master International Index Series
Percent of | ||||
Ten Largest Holdings | Long-Term Investments | |||
Nestlé SA, Registered Shares | 2 | % | ||
HSBC Holdings Plc | 2 | |||
Roche Holding AG | 2 | |||
Toyota Motor Corp. | 1 | |||
Novartis AG, Registered Shares | 1 | |||
Vodafone Group Plc | 1 | |||
BP Plc | 1 | |||
Sanofi | 1 | |||
GlaxoSmithKline Plc | 1 | |||
Royal Dutch Shell Plc, Class A | 1 |
Percent of | ||||
Geographic Allocation | Long-Term Investments | |||
Japan | 23 | % | ||
United Kingdom | 21 | |||
Switzerland | 10 | |||
France | 9 | |||
Germany | 9 | |||
Australia | 8 | |||
Hong Kong | 3 | |||
Netherlands | 3 | |||
Spain | 3 | |||
Sweden | 3 | |||
Italy | 2 | |||
Singapore | 2 | |||
Other1 | 4 |
1 | Other includes a 1% or less investment in each of the following countries: Belgium, Denmark, Finland, Norway, Ireland, Israel, Austria, Bermuda, Cayman Islands, Greece, Mexico, New Zealand and Portugal. |
Master Small Cap Index Series
Percent of | ||||
Ten Largest Holdings | Long-Term Investments | |||
CoStar Group, Inc. | 0.3 | % | ||
CommVault Systems, Inc. | 0.2 | |||
FirstMerit Corp. | 0.2 | |||
Ultimate Software Group, Inc. | 0.2 | |||
Acuity Brands, Inc. | 0.2 | |||
Middleby Corp. | 0.2 | |||
Prosperity Bancshares, Inc. | 0.2 | |||
athenahealth, Inc. | 0.2 | |||
Isis Pharmaceuticals, Inc. | 0.2 | |||
Lufkin Industries, Inc. | 0.2 |
Percent of | ||||
Sector Allocation | Long-Term Investments | |||
Financials | 23 | % | ||
Information Technology | 17 | |||
Consumer Discretionary | 15 | |||
Industrials | 14 | |||
Health Care | 12 | |||
Energy | 6 | |||
Materials | 5 | |||
Consumer Staples | 4 | |||
Utilities | 3 | |||
Telecommunication Services | 1 |
For Series compliance purposes, the Series’ sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.
Derivative Financial Instruments
Master International Index Series and Master Small Cap Index Series (the “Series”) may invest in various derivative financial instruments, including financial futures contracts and foreign currency exchange contracts, as specified in Note 4 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to hedge market, equity and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Series’
ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require the Series to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation the Series can realize on an investment or may cause the Series to hold an investment that it might otherwise sell. The Series’ investments in these instruments are discussed in detail in the Notes to Financial Statements.
44 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments June 30, 2013 (Unaudited) | Master International Index Series | |
(Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Australia — 7.8% | ||||||||
AGL Energy Ltd. | 38,553 | $ | 510,137 | |||||
ALS Ltd. | 24,392 | 212,340 | ||||||
Alumina Ltd. (a) | 173,063 | 154,021 | ||||||
Amcor Ltd. | 89,410 | 826,319 | ||||||
AMP Ltd. | 214,946 | 831,284 | ||||||
APA Group | 57,688 | 316,127 | ||||||
Asciano Ltd. | 68,460 | 313,118 | ||||||
ASX Ltd. | 13,607 | 410,329 | ||||||
Aurizon Holdings Ltd. | 145,234 | 551,675 | ||||||
Australia & New Zealand Banking Group Ltd. | 198,218 | 5,145,609 | ||||||
Bendigo and Adelaide Bank Ltd. | 29,133 | 267,143 | ||||||
BGP Holdings Plc (a) | 783,183 | 10 | ||||||
BHP Billiton Ltd. | 232,004 | 6,677,728 | ||||||
Boral Ltd. | 54,919 | 210,139 | ||||||
Brambles Ltd. | 114,474 | 975,103 | ||||||
Caltex Australia Ltd. | 9,654 | 158,791 | ||||||
CFS Retail Property Trust | 155,701 | 283,869 | ||||||
Coca-Cola Amatil Ltd. | 40,499 | 469,224 | ||||||
Cochlear Ltd. | 4,105 | 230,389 | ||||||
Commonwealth Bank of Australia | 116,242 | 7,316,979 | ||||||
Computershare Ltd. | 34,173 | 320,407 | ||||||
Crown Ltd. | 28,521 | 314,413 | ||||||
CSL Ltd. | 36,159 | 2,036,402 | ||||||
Dexus Property Group | 358,954 | 350,051 | ||||||
Echo Entertainment Group Ltd. | 52,974 | 148,485 | ||||||
Federation Centres Ltd. | 98,111 | 212,638 | ||||||
Flight Centre Ltd. | 3,947 | 141,333 | ||||||
Fortescue Metals Group Ltd. | 111,508 | 306,964 | ||||||
Goodman Group | 120,840 | 537,251 | ||||||
GPT Group | 126,577 | 444,452 | ||||||
Harvey Norman Holdings Ltd. | 38,809 | 90,067 | ||||||
Iluka Resources Ltd. | 29,539 | 266,208 | ||||||
Incitec Pivot Ltd. | 114,484 | 298,076 | ||||||
Insurance Australia Group Ltd. | 147,200 | 730,656 | ||||||
Leighton Holdings Ltd. | 12,216 | 171,194 | ||||||
Lend Lease Group | 39,211 | 298,954 | ||||||
Macquarie Group Ltd. | 22,908 | 873,731 | ||||||
Metcash Ltd. | 63,088 | 202,386 | ||||||
Mirvac Group | 262,207 | 383,870 | ||||||
National Australia Bank Ltd. | 169,231 | 4,577,690 | ||||||
Newcrest Mining Ltd. | 54,223 | 500,543 | ||||||
Orica Ltd. | 25,710 | 484,645 | ||||||
Origin Energy Ltd. | 80,493 | 922,399 | ||||||
Qantas Airways Ltd. (a) | 77,541 | 95,243 | ||||||
QBE Insurance Group Ltd. | 87,070 | 1,205,527 | ||||||
Ramsay Health Care Ltd. | 9,527 | 311,395 | ||||||
Rio Tinto Ltd. | 31,420 | 1,505,813 | ||||||
Santos Ltd. | 70,736 | 805,546 | ||||||
Seek Ltd. | 23,033 | 190,662 | ||||||
Sonic Healthcare Ltd. | 26,295 | 357,224 | ||||||
SP AusNet | 124,539 | 133,615 | ||||||
Stockland | 156,183 | 496,953 | ||||||
Suncorp Group Ltd. | 94,284 | 1,024,026 | ||||||
Sydney Airport | 13,793 | 42,560 | ||||||
Tabcorp Holdings Ltd. | 52,333 | 145,744 | ||||||
Tatts Group Ltd. | 100,334 | 289,832 | ||||||
Telstra Corp. Ltd. | 314,123 | 1,365,640 | ||||||
Toll Holdings Ltd. | 49,469 | 239,424 | ||||||
Transurban Group | 100,658 | 621,617 |
Common Stocks | Shares | Value | ||||||
Australia (concluded) | ||||||||
Treasury Wine Estates Ltd. | 46,594 | $ | 247,588 | |||||
Wesfarmers Ltd. | 72,972 | 2,640,571 | ||||||
Westfield Group | 154,715 | 1,620,427 | ||||||
Westfield Retail Trust | 218,418 | 617,705 | ||||||
Westpac Banking Corp. | 224,222 | 5,886,918 | ||||||
Whitehaven Coal Ltd. | 34,376 | 72,327 | ||||||
Woodside Petroleum Ltd. | 47,481 | 1,512,170 | ||||||
Woolworths Ltd. | 89,981 | 2,695,528 | ||||||
WorleyParsons Ltd. | 14,832 | 262,753 | ||||||
|
| |||||||
64,859,957 | ||||||||
|
| |||||||
Austria — 0.3% | ||||||||
Andritz AG | 5,118 | 262,592 | ||||||
Erste Group Bank AG | 16,936 | 451,408 | ||||||
Immoeast AG NPV (a) | 30,711 | — | ||||||
IMMOFINANZ AG | 67,515 | 251,931 | ||||||
OMV AG | 11,072 | 499,470 | ||||||
Raiffeisen Bank International AG | 3,624 | 105,508 | ||||||
Telekom Austria AG | 15,806 | 100,024 | ||||||
Verbund AG | 4,748 | 90,053 | ||||||
Vienna Insurance Group AG | 2,602 | 120,705 | ||||||
Voestalpine AG | 7,832 | 276,966 | ||||||
|
| |||||||
2,158,657 | ||||||||
|
| |||||||
Belgium — 1.1% | ||||||||
Ageas | 16,408 | 575,731 | ||||||
Anheuser-Busch InBev NV | 58,042 | 5,225,702 | ||||||
Belgacom SA | 10,971 | 245,642 | ||||||
Colruyt SA | 5,505 | 289,667 | ||||||
Delhaize Group | 7,266 | 449,201 | ||||||
Groupe Bruxelles Lambert SA | 5,740 | 432,330 | ||||||
KBC Groep NV | 16,247 | 605,678 | ||||||
Solvay SA | 4,180 | 547,325 | ||||||
Telenet Group Holding NV | 3,551 | 162,977 | ||||||
UCB SA | 7,684 | 412,483 | ||||||
Umicore SA | 8,215 | 341,126 | ||||||
|
| |||||||
9,287,862 | ||||||||
|
| |||||||
Denmark — 1.1% | ||||||||
A.P. Moller - Maersk A/S, Class A | 40 | 269,318 | ||||||
A.P. Moller - Maersk A/S, Class B | 97 | 693,900 | ||||||
Carlsberg A/S, Class B | 7,937 | 709,695 | ||||||
Coloplast A/S, Class B | 8,045 | 450,472 | ||||||
Danske Bank A/S (a) | 48,471 | 826,864 | ||||||
DSV A/S | 13,109 | 319,336 | ||||||
Novo-Nordisk A/S, Class B | 29,425 | 4,574,480 | ||||||
Novozymes A/S, Class B | 17,373 | 556,461 | ||||||
TDC A/S | 53,149 | 430,750 | ||||||
Tryg A/S | 1,678 | 138,243 | ||||||
William Demant Holding A/S (a) | 1,914 | 158,138 | ||||||
|
| |||||||
9,127,657 | ||||||||
|
| |||||||
Finland — 0.8% | ||||||||
Elisa Oyj | 10,481 | 204,651 | ||||||
Fortum Oyj | 31,478 | 589,688 | ||||||
Kesko Oyj, Class B | 4,450 | 123,617 | ||||||
Kone Oyj, Class B | 11,449 | 908,128 | ||||||
Metso Oyj | 9,209 | 311,935 | ||||||
Neste Oil Oyj | 8,875 | 129,508 | ||||||
Nokia Oyj (a) | 273,582 | 1,019,896 |
Portfolio Abbreviations
To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: | ADR | American Depositary Receipts | GBP | British Pound | ||||
AUD | Australian Dollar | REIT | Real Estate Investment Trust | |||||
EUR | Euro | USD | US Dollar | |||||
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 45 |
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Finland (concluded) | ||||||||
Nokian Renkaat Oyj | 8,076 | $ | 328,622 | |||||
Orion Oyj, Class B | 6,857 | 160,673 | ||||||
Pohjola Bank Plc, Class A | 10,148 | 149,117 | ||||||
Sampo Oyj, Class A | 30,753 | 1,197,516 | ||||||
Stora Enso Oyj, Class R | 40,003 | 267,871 | ||||||
UPM-Kymmene Oyj | 37,340 | 365,967 | ||||||
Wartsila Oyj | 12,697 | 551,621 | ||||||
|
| |||||||
6,308,810 | ||||||||
|
| |||||||
France — 8.9% | ||||||||
Accor SA | 11,498 | 404,163 | ||||||
Aeroports de Paris | 2,172 | 211,140 | ||||||
Air Liquide SA | 22,614 | 2,792,825 | ||||||
Alstom SA | 15,320 | 502,553 | ||||||
ArcelorMittal | 73,772 | 825,680 | ||||||
Arkema | 4,407 | 403,969 | ||||||
Atos | 3,901 | 289,915 | ||||||
AXA SA | 129,803 | 2,558,768 | ||||||
BNP Paribas SA | 71,811 | 3,931,295 | ||||||
Bouygues SA | 13,613 | 346,884 | ||||||
Bureau Veritas SA | 15,756 | 408,007 | ||||||
Cap Gemini SA | 10,847 | 526,750 | ||||||
Carrefour SA | 44,260 | 1,215,675 | ||||||
Casino Guichard-Perrachon SA | 3,937 | 368,920 | ||||||
Christian Dior SA | 4,061 | 656,068 | ||||||
Cie Generale de Geophysique-Veritas (a) | 11,523 | 255,315 | ||||||
Cie Generale des Etablissements Michelin, Class B | 13,297 | 1,188,963 | ||||||
CNP Assurances | 10,999 | 157,924 | ||||||
Compagnie de Saint-Gobain | 29,088 | 1,178,659 | ||||||
Credit Agricole SA (a) | 70,732 | 608,778 | ||||||
Danone SA | 41,427 | 3,118,142 | ||||||
Dassault Systemes SA | 4,378 | 535,110 | ||||||
Edenred | 14,550 | 445,516 | ||||||
EDF SA | 17,318 | 401,892 | ||||||
Essilor International SA | 14,585 | 1,553,854 | ||||||
Eurazeo | 2,296 | 123,116 | ||||||
Eutelsat Communications SA | 10,266 | 291,257 | ||||||
Fonciere Des Regions | 1,928 | 144,504 | ||||||
France Telecom SA | 133,668 | 1,265,755 | ||||||
GDF Suez | 95,262 | 1,868,547 | ||||||
Gecina SA | 1,582 | 174,850 | ||||||
Groupe Eurotunnel SA | 40,461 | 307,664 | ||||||
ICADE | 1,743 | 143,776 | ||||||
Iliad SA | 1,652 | 356,911 | ||||||
Imerys SA | 2,500 | 153,499 | ||||||
JC Decaux SA | 4,659 | 126,818 | ||||||
Kering | 5,532 | 1,125,691 | ||||||
Klepierre | 7,240 | 285,324 | ||||||
L’Oreal SA | 17,470 | 2,871,795 | ||||||
Lafarge SA | 13,810 | 847,976 | ||||||
Lagardere S.C.A. | 8,569 | 239,091 | ||||||
Legrand SA | 17,886 | 829,288 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 18,353 | 2,979,689 | ||||||
Natixis | 64,590 | 271,196 | ||||||
Pernod Ricard SA | 15,262 | 1,693,988 | ||||||
Publicis Groupe SA | 13,081 | 931,617 | ||||||
Remy Cointreau SA | 1,965 | 208,507 | ||||||
Renault SA | 14,139 | 952,367 | ||||||
Rexel SA | 10,866 | 244,819 | ||||||
Safran SA | 17,884 | 933,659 | ||||||
Sanofi | 86,223 | 8,913,778 | ||||||
Schneider Electric SA | 38,187 | 2,773,395 | ||||||
Scor SE | 11,565 | 354,958 | ||||||
SES SA | 21,454 | 614,691 | ||||||
Societe BIC SA | 1,967 | 197,327 | ||||||
Societe Generale SA | 50,416 | 1,735,090 | ||||||
Sodexo | 7,042 | 586,638 |
Common Stocks | Shares | Value | ||||||
France (concluded) | ||||||||
Suez Environnement Co. | 19,381 | $ | 250,489 | |||||
Technip SA | 7,503 | 762,547 | ||||||
Thales SA | 6,399 | 298,602 | ||||||
Total SA | 153,813 | 7,512,713 | ||||||
Unibail-Rodamco SE | 6,941 | 1,616,594 | ||||||
Vallourec SA | 7,450 | 378,061 | ||||||
Veolia Environnement SA | 24,529 | 280,052 | ||||||
Vinci SA | 33,911 | 1,700,995 | ||||||
Vivendi SA | 89,242 | 1,691,280 | ||||||
Wendel SA | 2,277 | 234,826 | ||||||
Zodiac Aerospace | 2,370 | 313,816 | ||||||
|
| |||||||
74,474,321 | ||||||||
|
| |||||||
Germany — 8.4% | ||||||||
Adidas AG | 15,073 | 1,629,373 | ||||||
Allianz SE, Registered Shares | 32,942 | 4,808,256 | ||||||
Axel Springer AG | 2,723 | 115,876 | ||||||
BASF SE | 66,352 | 5,918,165 | ||||||
Bayer AG, Registered Shares | 59,738 | 6,360,336 | ||||||
Bayerische Motoren Werke AG | 23,745 | 2,072,374 | ||||||
Bayerische Motoren Werke AG, Preference Shares | 3,839 | 262,190 | ||||||
Beiersdorf AG | 7,148 | 622,654 | ||||||
Brenntag AG | 3,673 | 558,269 | ||||||
Celesio AG | 5,979 | 129,791 | ||||||
Commerzbank AG (a) | 69,176 | 600,949 | ||||||
Continental AG | 8,073 | 1,076,203 | ||||||
Daimler AG, Registered Shares | 69,430 | 4,191,410 | ||||||
Deutsche Bank AG, Registered Shares | 73,677 | 3,089,483 | ||||||
Deutsche Boerse AG | 14,222 | 935,214 | ||||||
Deutsche Lufthansa AG, Registered Shares (a) | 16,225 | 328,676 | ||||||
Deutsche Post AG, Registered Shares | 65,239 | 1,619,102 | ||||||
Deutsche Telekom AG, Registered Shares | 204,368 | 2,380,998 | ||||||
E.ON AG | 129,142 | 2,116,463 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 2,725 | 164,666 | ||||||
Fresenius Medical Care AG & Co. KGaA | 15,483 | 1,097,454 | ||||||
Fresenius SE & Co. KGaA | 9,111 | 1,121,387 | ||||||
GEA Group AG | 13,451 | 476,263 | ||||||
Hannover Rueckversicherung SE, Registered Shares | 4,279 | 307,691 | ||||||
HeidelbergCement AG | 10,001 | 670,075 | ||||||
Henkel AG & Co. KGaA | 9,631 | 754,299 | ||||||
Henkel AG & Co. KGaA, Preference Shares | 12,831 | 1,204,955 | ||||||
Hochtief AG | 2,160 | 140,709 | ||||||
Hugo Boss AG | 2,272 | 249,827 | ||||||
Infineon Technologies AG | 76,345 | 639,077 | ||||||
K+S AG | 12,062 | 445,777 | ||||||
Kabel Deutschland Holding AG | 6,304 | 692,187 | ||||||
Lanxess AG | 5,866 | 353,263 | ||||||
Linde AG | 13,442 | 2,504,881 | ||||||
MAN SE | 2,937 | 320,193 | ||||||
Merck KGaA | 4,576 | 695,917 | ||||||
Metro AG | 9,325 | 294,651 | ||||||
Muenchener Rueckversicherungs AG, Registered Shares | 13,043 | 2,396,163 | ||||||
Porsche Automobil Holding SE, Preference Shares | 11,308 | 873,233 | ||||||
ProSieben SAT.1 Media AG, Preference Shares | 7,550 | 323,821 | ||||||
RWE AG | 35,317 | 1,125,836 | ||||||
RWE AG, Non-Voting Preference Shares | 2,740 | 84,572 | ||||||
SAP AG | 66,568 | 4,860,993 | ||||||
Siemens AG, Registered Shares | 57,395 | 5,812,019 | ||||||
Suedzucker AG | 5,905 | 182,815 | ||||||
Telefonica Deutschland Holding AG | 20,099 | 145,415 | ||||||
ThyssenKrupp AG (a) | 28,878 | 566,075 | ||||||
United Internet AG | 7,797 | 219,798 | ||||||
Volkswagen AG | 2,096 | 407,515 | ||||||
Volkswagen AG, Preference Shares | 10,371 | 2,094,772 | ||||||
|
| |||||||
70,042,081 | ||||||||
|
|
See Notes to Financial Statements. | ||||
46 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Greece — 0.0% | ||||||||
Hellenic Telecommunications Organization SA (a) | 17,634 | $ | 137,922 | |||||
OPAP SA | 15,543 | 130,072 | ||||||
|
| |||||||
267,994 | ||||||||
|
| |||||||
Hong Kong — 3.0% | ||||||||
AAC Technologies Holdings, Inc. | 52,500 | 294,550 | ||||||
AIA Group Ltd. | 870,200 | 3,666,151 | ||||||
ASM Pacific Technology Ltd. | 17,304 | 189,959 | ||||||
Bank of East Asia Ltd. | 84,932 | 303,999 | ||||||
BOC Hong Kong Holdings Ltd. | 273,900 | 837,884 | ||||||
Cathay Pacific Airways Ltd. | 87,263 | 151,850 | ||||||
Cheung Kong Holdings Ltd. | 100,835 | 1,359,702 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 44,500 | 296,519 | ||||||
CLP Holdings Ltd. | 130,687 | 1,056,451 | ||||||
First Pacific Co. Ltd. | 154,000 | 164,625 | ||||||
Galaxy Entertainment Group Ltd. (a) | 153,000 | 743,187 | ||||||
Hang Lung Properties Ltd. | 158,000 | 547,285 | ||||||
Hang Seng Bank Ltd. | 56,653 | 834,307 | ||||||
Henderson Land Development Co. Ltd. | 74,240 | 440,902 | ||||||
HKT Trust/HKT Ltd. | 156,000 | 149,132 | ||||||
Hong Kong & China Gas Ltd. | 423,324 | 1,032,935 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 76,627 | 1,150,889 | ||||||
Hopewell Holdings Ltd. | 41,349 | 137,235 | ||||||
Hutchison Whampoa Ltd. | 155,176 | 1,623,491 | ||||||
Hysan Development Co. Ltd. | 45,791 | 197,686 | ||||||
Kerry Properties Ltd. | 52,500 | 204,668 | ||||||
Li & Fung Ltd. | 437,980 | 596,962 | ||||||
The Link REIT | 168,914 | 828,976 | ||||||
MGM China Holdings Ltd. | 68,000 | 180,449 | ||||||
MTR Corp. | 103,500 | 380,344 | ||||||
New World Development Co. Ltd. | 264,226 | 362,935 | ||||||
NWS Holdings Ltd. | 100,500 | 154,076 | ||||||
Orient Overseas International Ltd. | 15,057 | 96,449 | ||||||
PCCW Ltd. | 276,000 | 128,811 | ||||||
Power Assets Holdings Ltd. | 102,500 | 882,320 | ||||||
Sands China Ltd. | 178,600 | 834,610 | ||||||
Shangri-La Asia Ltd. | 105,905 | 182,057 | ||||||
Sino Land Co. Ltd. | 211,263 | 295,382 | ||||||
SJM Holdings Ltd. | 137,000 | 332,473 | ||||||
Sun Hung Kai Properties Ltd. | 116,324 | 1,493,837 | ||||||
Swire Pacific Ltd., Class A | 48,077 | 579,245 | ||||||
Swire Properties Ltd. | 83,000 | 244,356 | ||||||
Wharf Holdings Ltd. | 112,357 | 937,778 | ||||||
Wheelock & Co. Ltd. | 64,000 | 319,319 | ||||||
Wynn Macau Ltd. | 108,800 | 292,647 | ||||||
Yue Yuen Industrial Holdings Ltd. | 54,285 | 140,287 | ||||||
|
| |||||||
24,646,720 | ||||||||
|
| |||||||
Ireland — 0.5% | ||||||||
Bank of Ireland (a) | 1,510,671 | 308,054 | ||||||
CRH Plc | 53,112 | 1,074,598 | ||||||
Elan Corp. Plc (a) | 34,358 | 482,149 | ||||||
Experian Plc | 72,668 | 1,262,952 | ||||||
Irish Bank Resolution Corp. Ltd. (a) | 62,641 | 1 | ||||||
James Hardie Industries SE | 31,042 | 266,554 | ||||||
Kerry Group Plc | 10,628 | 586,559 | ||||||
Ryanair Holdings Plc | 10,891 | 100,917 | ||||||
|
| |||||||
4,081,784 | ||||||||
|
| |||||||
Israel — 0.5% | ||||||||
Bank Hapoalim BM (a) | 74,133 | 334,561 | ||||||
Bank Leumi Le-Israel (a) | 88,217 | 291,420 | ||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 133,123 | 176,991 | ||||||
Delek Group Ltd. | 355 | 91,644 | ||||||
Israel Chemicals Ltd. | 31,321 | 307,585 | ||||||
The Israel Corp. Ltd. (a) | 206 | 122,819 | ||||||
Mellanox Technologies Ltd. (a) | 2,589 | 128,716 | ||||||
Mizrahi Tefahot Bank Ltd. (a) | 8,935 | 89,456 |
Common Stocks | Shares | Value | ||||||
Israel (concluded) | ||||||||
Nice Systems Ltd. | 4,090 | $ | 150,384 | |||||
Teva Pharmaceutical Industries Ltd. | 61,564 | 2,409,479 | ||||||
|
| |||||||
4,103,055 | ||||||||
|
| |||||||
Italy — 1.9% | ||||||||
Assicurazioni Generali SpA | 83,991 | 1,468,136 | ||||||
Atlantia SpA | 23,169 | 377,892 | ||||||
Banca Monte dei Paschi di Siena SpA (a) | 447,785 | 113,436 | ||||||
Enel Green Power SpA | 121,571 | 252,305 | ||||||
Enel SpA | 473,472 | 1,485,739 | ||||||
Eni SpA | 183,824 | 3,772,798 | ||||||
Exor SpA | 4,458 | 132,025 | ||||||
Fiat Industrial SpA | 63,618 | 708,187 | ||||||
Fiat SpA (a) | 63,071 | 439,859 | ||||||
Finmeccanica SpA (a) | 29,559 | 147,883 | ||||||
Intesa Sanpaolo SpA | 830,586 | 1,329,386 | ||||||
Luxottica Group SpA | 11,720 | 592,977 | ||||||
Mediobanca SpA | 37,921 | 197,218 | ||||||
Pirelli & C SpA | 16,831 | 194,569 | ||||||
Prysmian SpA | 14,595 | 272,268 | ||||||
Saipem SpA | 18,607 | 302,011 | ||||||
Snam SpA | 145,095 | 660,667 | ||||||
Telecom Italia SpA | 719,770 | 501,680 | ||||||
Telecom Italia SpA, Non-Convertible Savings Shares | 434,224 | 242,083 | ||||||
Tenaris SA | 33,336 | 667,667 | ||||||
Terna SpA | 107,886 | 448,305 | ||||||
UniCredit SpA | 317,577 | 1,484,636 | ||||||
Unione di Banche Italiane ScpA | 62,528 | 226,123 | ||||||
|
| |||||||
16,017,850 | ||||||||
|
| |||||||
Japan — 22.1% | ||||||||
ABC-Mart, Inc. | 2,000 | 77,951 | ||||||
Acom Co. Ltd. (a) | 2,980 | 94,802 | ||||||
Advantest Corp. | 10,200 | 168,063 | ||||||
Aeon Co. Ltd. | 43,000 | 565,074 | ||||||
Aeon Credit Financial Co. Ltd. | 4,500 | 127,473 | ||||||
Aeon Mall Co. Ltd. | 7,500 | 186,060 | ||||||
Air Water, Inc. | 10,000 | 140,578 | ||||||
Aisin Seiki Co. Ltd. | 13,600 | 519,281 | ||||||
Ajinomoto Co., Inc. | 45,000 | 660,116 | ||||||
Alfresa Holdings Corp. | 2,900 | 155,281 | ||||||
All Nippon Airways Co. Ltd. | 81,000 | 168,427 | ||||||
Amada Co. Ltd. | 24,000 | 158,007 | ||||||
Aozora Bank Ltd. (a) | 77,000 | 240,477 | ||||||
Asahi Glass Co. Ltd. | 71,100 | 460,856 | ||||||
Asahi Group Holdings Ltd. | 27,600 | 683,700 | ||||||
Asahi Kasei Corp. | 90,000 | 593,831 | ||||||
Asics Corp. | 11,000 | 173,356 | ||||||
Astellas Pharma, Inc. | 32,200 | 1,749,235 | ||||||
The Bank of Kyoto Ltd. | 23,000 | 191,544 | ||||||
The Bank of Yokohama Ltd. | 87,000 | 448,803 | ||||||
Benesse Holdings, Inc. | 5,600 | 202,031 | ||||||
Bridgestone Corp. | 46,900 | 1,599,300 | ||||||
Brother Industries Ltd. | 17,100 | 191,880 | ||||||
Calbee, Inc. | 1,500 | 142,363 | ||||||
Canon, Inc. | 82,200 | 2,693,963 | ||||||
Casio Computer Co. Ltd. | 15,800 | 139,162 | ||||||
Central Japan Railway Co. | 10,600 | 1,291,928 | ||||||
The Chiba Bank Ltd. | 53,000 | 361,615 | ||||||
Chiyoda Corp. | 10,000 | 117,938 | ||||||
Chubu Electric Power Co., Inc. | 45,700 | 647,341 | ||||||
Chugai Pharmaceutical Co. Ltd. | 15,900 | 329,119 | ||||||
The Chugoku Bank Ltd. | 13,000 | 182,162 | ||||||
The Chugoku Electric Power Co., Inc. | 21,600 | 338,692 | ||||||
Citizen Holdings Co. Ltd. | 19,000 | 105,977 | ||||||
Coca-Cola West Co. Ltd. | 3,900 | 69,161 | ||||||
Cosmo Oil Co. Ltd. (a) | 38,000 | 69,887 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 47 |
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Credit Saison Co. Ltd. | 11,000 | $ | 276,398 | |||||
Dai Nippon Printing Co. Ltd. | 40,000 | 364,991 | ||||||
The Dai-ichi Life Insurance Co. Ltd. | 627 | 900,086 | ||||||
Daicel Corp. | 21,000 | 183,539 | ||||||
Daido Steel Co. Ltd. | 21,000 | 106,012 | ||||||
Daihatsu Motor Co. Ltd. | 15,000 | 284,111 | ||||||
Daiichi Sankyo Co. Ltd. | 47,700 | 794,911 | ||||||
Daikin Industries Ltd. | 16,700 | 675,010 | ||||||
Dainippon Sumitomo Pharma Co. Ltd. | 11,000 | 145,480 | ||||||
Daito Trust Construction Co. Ltd. | 5,100 | 480,520 | ||||||
Daiwa House Industry Co. Ltd. | 37,000 | 689,200 | ||||||
Daiwa Securities Group, Inc. | 123,000 | 1,030,115 | ||||||
Dena Co. Ltd. | 7,400 | 144,877 | ||||||
Denso Corp. | 34,900 | 1,640,759 | ||||||
Dentsu, Inc. | 12,813 | 443,260 | ||||||
Don Quijote Co. Ltd. | 3,700 | 179,615 | ||||||
East Japan Railway Co. | 24,349 | 1,895,144 | ||||||
Eisai Co. Ltd. | 18,700 | 762,102 | ||||||
Electric Power Development Co. Ltd. | 8,400 | 262,623 | ||||||
FamilyMart Co. Ltd. | 4,000 | 170,674 | ||||||
FANUC Corp. | 13,900 | 2,011,704 | ||||||
Fast Retailing Co. Ltd. | 3,800 | 1,282,517 | ||||||
Fuji Electric Co. Ltd. | 40,800 | 143,456 | ||||||
Fuji Heavy Industries Ltd. | 42,000 | 1,037,158 | ||||||
FUJIFILM Holdings Corp. | 34,400 | 756,581 | ||||||
Fujitsu Ltd. | 139,000 | 575,042 | ||||||
Fukuoka Financial Group, Inc. | 54,000 | 229,671 | ||||||
Furukawa Electric Co. Ltd. | 46,000 | 106,420 | ||||||
Gree, Inc. | 6,400 | 56,786 | ||||||
GungHo Online Entertainment, Inc. (a) | 240 | 262,206 | ||||||
The Gunma Bank Ltd. | 27,000 | 149,283 | ||||||
The Hachijuni Bank Ltd. | 28,000 | 163,369 | ||||||
Hakuhodo DY Holdings, Inc. | 1,640 | 114,863 | ||||||
Hamamatsu Photonics KK | 4,900 | 176,955 | ||||||
Hankyu Hanshin Holdings, Inc. | 81,000 | 461,018 | ||||||
Hino Motors Ltd. | 18,000 | 264,131 | ||||||
Hirose Electric Co. Ltd. | 2,100 | 276,591 | ||||||
The Hiroshima Bank Ltd. | 35,000 | 148,973 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 4,400 | 223,278 | ||||||
Hitachi Chemical Co. Ltd. | 7,400 | 115,846 | ||||||
Hitachi Construction Machinery Co. Ltd. | 7,300 | 147,240 | ||||||
Hitachi High-Technologies Corp. | 4,400 | 106,109 | ||||||
Hitachi Ltd. | 351,000 | 2,249,031 | ||||||
Hitachi Metals Ltd. | 16,000 | 179,210 | ||||||
Hokkaido Electric Power Co., Inc. (a) | 12,900 | 176,044 | ||||||
Hokuhoku Financial Group, Inc. | 85,000 | 173,567 | ||||||
Hokuriku Electric Power Co. | 11,700 | 183,589 | ||||||
Honda Motor Co. Ltd. | 117,700 | 4,372,488 | ||||||
Hoya Corp. | 30,700 | 631,444 | ||||||
Hulic Co. Ltd. | 18,200 | 195,256 | ||||||
Ibiden Co. Ltd. | 8,400 | 130,744 | ||||||
Idemitsu Kosan Co. Ltd. | 1,500 | 114,985 | ||||||
IHI Corp. | 94,000 | 355,651 | ||||||
Inpex Corp. | 163 | 677,461 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 25,205 | 334,688 | ||||||
Isuzu Motors Ltd. | 87,000 | 594,727 | ||||||
ITOCHU Corp. | 108,400 | 1,253,525 | ||||||
Itochu Techno-Solutions Corp. | 1,700 | 70,373 | ||||||
The Iyo Bank Ltd. | 19,000 | 181,595 | ||||||
J. Front Retailing Co. Ltd. | 34,600 | 275,923 | ||||||
Japan Airlines Co. Ltd. | 4,340 | 223,426 | ||||||
Japan Exchange Group, Inc. | 3,500 | 353,524 | ||||||
Japan Petroleum Exploration Co. | 2,000 | 80,980 | ||||||
Japan Prime Realty Investment Corp. | 53 | 162,179 | ||||||
Japan Real Estate Investment Corp. | 42 | 469,172 | ||||||
Japan Retail Fund Investment Corp. | 147 | 307,104 | ||||||
The Japan Steel Works Ltd. | 24,000 | 131,700 |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Japan Tobacco, Inc. | 79,800 | $ | 2,816,742 | |||||
JFE Holdings, Inc. | 36,200 | 793,068 | ||||||
JGC Corp. | 15,000 | 540,187 | ||||||
The Joyo Bank Ltd. | 51,000 | 278,534 | ||||||
JSR Corp. | 12,500 | 252,920 | ||||||
JTEKT Corp. | 15,100 | 169,254 | ||||||
JX Holdings, Inc. | 166,160 | 802,289 | ||||||
Kajima Corp. | 57,800 | 191,627 | ||||||
Kamigumi Co. Ltd. | 17,000 | 136,818 | ||||||
Kaneka Corp. | 20,000 | 131,872 | ||||||
The Kansai Electric Power Co., Inc. (a) | 53,500 | 732,324 | ||||||
Kansai Paint Co. Ltd. | 18,000 | 229,773 | ||||||
Kao Corp. | 38,300 | 1,303,790 | ||||||
Kawasaki Heavy Industries Ltd. | 99,000 | 303,830 | ||||||
KDDI Corp. | 38,800 | 2,020,450 | ||||||
Keikyu Corp. | 32,000 | 274,720 | ||||||
Keio Corp. | 41,000 | 281,689 | ||||||
Keisei Electric Railway Co. Ltd. | 20,000 | 187,373 | ||||||
Keyence Corp. | 3,292 | 1,048,866 | ||||||
Kikkoman Corp. | 12,000 | 199,617 | ||||||
Kinden Corp. | 10,000 | 86,053 | ||||||
Kintetsu Corp. | 116,000 | 509,239 | ||||||
Kirin Holdings Co. Ltd. | 62,000 | 971,186 | ||||||
Kobe Steel Ltd. (a) | 179,000 | 221,365 | ||||||
Koito Manufacturing Co. Ltd. | 7,000 | 133,440 | ||||||
Komatsu Ltd. | 67,300 | 1,550,049 | ||||||
Konami Corp. | 6,800 | 144,359 | ||||||
Konica Minolta Holdings, Inc. | 33,000 | 248,382 | ||||||
Kubota Corp. | 78,000 | 1,135,162 | ||||||
Kuraray Co. Ltd. | 24,400 | 341,971 | ||||||
Kurita Water Industries Ltd. | 8,200 | 173,563 | ||||||
Kyocera Corp. | 11,600 | 1,180,252 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 19,000 | 214,764 | ||||||
Kyushu Electric Power Co., Inc. (a) | 29,800 | 449,120 | ||||||
Lawson, Inc. | 4,700 | 358,654 | ||||||
LIXIL Group Corp. | 20,100 | 489,449 | ||||||
M3, Inc. | 57 | 127,849 | ||||||
Mabuchi Motor Co. Ltd. | 1,800 | 96,018 | ||||||
Makita Corp. | 8,000 | 430,098 | ||||||
Marubeni Corp. | 123,000 | 822,052 | ||||||
Marui Group Co. Ltd. | 15,700 | 156,397 | ||||||
Maruichi Steel Tube Ltd. | 3,400 | 86,876 | ||||||
Mazda Motor Corp. (a) | 197,400 | 780,408 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 4,500 | 124,874 | ||||||
Medipal Holdings Corp. | 10,100 | 136,933 | ||||||
Meiji Holdings Co. Ltd. | 4,393 | 210,961 | ||||||
Miraca Holdings, Inc. | 4,100 | 188,407 | ||||||
Mitsubishi Chemical Holdings Corp. | 97,500 | 456,954 | ||||||
Mitsubishi Corp. | 101,100 | 1,727,161 | ||||||
Mitsubishi Electric Corp. | 141,000 | 1,317,518 | ||||||
Mitsubishi Estate Co. Ltd. | 91,000 | 2,422,773 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 27,000 | 197,953 | ||||||
Mitsubishi Heavy Industries Ltd. | 218,200 | 1,213,095 | ||||||
Mitsubishi Logistics Corp. | 9,000 | 125,586 | ||||||
Mitsubishi Materials Corp. | 77,000 | 271,085 | ||||||
Mitsubishi Motors Corp. (a) | 301,000 | 412,007 | ||||||
Mitsubishi Tanabe Pharma Corp. | 16,000 | 207,013 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 920,574 | 5,685,344 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 41,900 | 198,796 | ||||||
Mitsui & Co. Ltd. | 125,200 | 1,570,033 | ||||||
Mitsui Chemicals, Inc. | 63,000 | 141,819 | ||||||
Mitsui Fudosan Co. Ltd. | 60,000 | 1,764,001 | ||||||
Mitsui OSK Lines Ltd. (a) | 76,000 | 295,346 | ||||||
Mizuho Financial Group, Inc. | 1,655,564 | 3,438,098 | ||||||
MS&AD Insurance Group Holdings, Inc. | 37,370 | 946,589 | ||||||
Murata Manufacturing Co. Ltd. | 14,900 | 1,133,367 | ||||||
Nabtesco Corp. | 7,300 | 151,568 |
See Notes to Financial Statements. | ||||
48 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Namco Bandai Holdings, Inc. | 13,000 | $ | 210,697 | |||||
NEC Corp. | 157,000 | 343,807 | ||||||
Nexon Co. Ltd. (a) | 7,300 | 80,629 | ||||||
NGK Insulators Ltd. | 19,000 | 234,794 | ||||||
NGK Spark Plug Co. Ltd. | 13,000 | 260,193 | ||||||
NHK Spring Co. Ltd. | 10,700 | 123,540 | ||||||
Nidec Corp. | 7,600 | 531,712 | ||||||
Nikon Corp. | 24,000 | 560,736 | ||||||
Nintendo Co. Ltd. | 7,900 | 930,138 | ||||||
Nippon Building Fund, Inc. | 51 | 590,657 | ||||||
Nippon Electric Glass Co. Ltd. | 26,500 | 128,999 | ||||||
Nippon Express Co. Ltd. | 60,000 | 284,916 | ||||||
Nippon Meat Packers, Inc. | 14,000 | 214,147 | ||||||
Nippon Prologis REIT, Inc. | 18 | 156,190 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 547,265 | 1,474,469 | ||||||
Nippon Telegraph & Telephone Corp. | 31,376 | 1,635,345 | ||||||
Nippon Yusen KK | 112,000 | 296,338 | ||||||
The Nishi-Nippon City Bank Ltd. | 48,000 | 125,166 | ||||||
Nissan Motor Co. Ltd. | 178,700 | 1,791,040 | ||||||
Nisshin Seifun Group, Inc. | 14,000 | 167,760 | ||||||
Nissin Foods Holdings Co. Ltd. | 4,300 | 173,895 | ||||||
Nitori Holdings Co. Ltd. | 2,300 | 185,171 | ||||||
Nitto Denko Corp. | 11,710 | 751,028 | ||||||
NKSJ Holdings, Inc. | 26,575 | 631,545 | ||||||
NOK Corp. | 7,100 | 112,568 | ||||||
Nomura Holdings, Inc. | 260,700 | 1,918,952 | ||||||
Nomura Real Estate Holdings, Inc. | 8,800 | 194,389 | ||||||
Nomura Real Estate Office Fund, Inc. | 19 | 83,321 | ||||||
Nomura Research Institute Ltd. | 6,900 | 224,088 | ||||||
NSK Ltd. | 36,000 | 343,435 | ||||||
NTT Data Corp. | 91 | 324,138 | ||||||
NTT DoCoMo, Inc. | 1,102 | 1,714,386 | ||||||
NTT Urban Development Corp. | 84 | 103,102 | ||||||
Obayashi Corp. | 46,000 | 238,514 | ||||||
Odakyu Electric Railway Co. Ltd. | 44,000 | 429,689 | ||||||
OJI Paper Co. Ltd. | 57,000 | 229,756 | ||||||
Olympus Corp. (a) | 15,000 | 455,811 | ||||||
Omron Corp. | 14,400 | 429,307 | ||||||
Ono Pharmaceutical Co. Ltd. | 5,800 | 394,805 | ||||||
Oracle Corp. Japan | 2,600 | 107,690 | ||||||
Oriental Land Co. Ltd. | 3,600 | 557,121 | ||||||
ORIX Corp. | 78,800 | 1,075,361 | ||||||
Osaka Gas Co. Ltd. | 134,000 | 565,803 | ||||||
Otsuka Corp. | 1,100 | 122,683 | ||||||
Otsuka Holdings Co. Ltd. | 26,700 | 881,605 | ||||||
Panasonic Corp. (a) | 161,100 | 1,297,185 | ||||||
Park24 Co. Ltd. | 7,000 | 126,994 | ||||||
Rakuten, Inc. | 53,700 | 635,002 | ||||||
Resona Holdings, Inc. | 134,056 | 652,878 | ||||||
Ricoh Co. Ltd. | 48,000 | 568,815 | ||||||
Rinnai Corp. | 2,900 | 206,206 | ||||||
Rohm Co. Ltd. | 6,900 | 280,218 | ||||||
Sankyo Co. Ltd. | 3,600 | 170,112 | ||||||
Sanrio Co. Ltd. | 3,200 | 148,441 | ||||||
Santen Pharmaceutical Co. Ltd. | 5,200 | 225,029 | ||||||
SBI Holdings, Inc. | 15,540 | 170,846 | ||||||
Secom Co. Ltd. | 14,900 | 810,121 | ||||||
Sega Sammy Holdings, Inc. | 14,332 | 359,133 | ||||||
Sekisui Chemical Co. Ltd. | 32,000 | 339,792 | ||||||
Sekisui House Ltd. | 41,000 | 592,388 | ||||||
Seven & I Holdings Co. Ltd. | 54,200 | 1,984,984 | ||||||
Seven Bank Ltd. | 39,600 | 143,553 | ||||||
Sharp Corp. (a) | 75,000 | 301,985 | ||||||
Shikoku Electric Power Co., Inc. (a) | 12,200 | 220,309 | ||||||
Shimadzu Corp. | 16,000 | 128,793 | ||||||
Shimamura Co. Ltd. | 1,600 | 194,227 | ||||||
Shimano, Inc. | 5,600 | 477,035 |
Common Stocks | Shares | Value | ||||||
Japan (continued) | ||||||||
Shimizu Corp. | 41,000 | $ | 164,818 | |||||
Shin-Etsu Chemical Co. Ltd. | 29,500 | 1,952,465 | ||||||
Shinsei Bank Ltd. | 123,000 | 279,314 | ||||||
Shionogi & Co. Ltd. | 20,900 | 435,836 | ||||||
Shiseido Co. Ltd. | 26,000 | 386,849 | ||||||
The Shizuoka Bank Ltd. | 41,000 | 442,217 | ||||||
Showa Denko KK | 101,000 | 133,202 | ||||||
Showa Shell Sekiyu KK | 13,200 | 108,298 | ||||||
SMC Corp. | 3,900 | 781,855 | ||||||
Softbank Corp. | 68,500 | 3,987,380 | ||||||
Sojitz Corp. | 87,100 | 144,514 | ||||||
Sony Corp. | 74,000 | 1,563,339 | ||||||
Sony Financial Holdings, Inc. | 12,300 | 193,658 | ||||||
Stanley Electric Co. Ltd. | 9,700 | 188,452 | ||||||
Sumco Corp. | 8,600 | 94,203 | ||||||
Sumitomo Chemical Co. Ltd. | 106,000 | 332,467 | ||||||
Sumitomo Corp. | 82,900 | 1,033,232 | ||||||
Sumitomo Electric Industries Ltd. | 53,500 | 636,866 | ||||||
Sumitomo Heavy Industries Ltd. | 38,000 | 159,567 | ||||||
Sumitomo Metal Mining Co. Ltd. | 39,000 | 434,408 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 92,850 | 4,250,024 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 239,820 | 1,118,966 | ||||||
Sumitomo Realty & Development Co. Ltd. | 27,000 | 1,076,060 | ||||||
Sumitomo Rubber Industries Ltd. | 11,800 | 192,624 | ||||||
Suruga Bank Ltd. | 13,000 | 235,748 | ||||||
Suzuken Co. Ltd. | 4,900 | 164,910 | ||||||
Suzuki Motor Corp. | 27,300 | 629,274 | ||||||
Sysmex Corp. | 5,100 | 334,027 | ||||||
T&D Holdings, Inc. | 41,100 | 549,777 | ||||||
Taiheiyo Cement Corp. | 82,000 | 261,678 | ||||||
Taisei Corp. | 73,000 | 263,528 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 2,400 | 170,343 | ||||||
Taiyo Nippon Sanso Corp. | 18,000 | 124,128 | ||||||
Takashimaya Co. Ltd. | 19,000 | 192,571 | ||||||
Takeda Pharmaceutical Co. Ltd. | 57,400 | 2,588,394 | ||||||
TDK Corp. | 8,900 | 306,695 | ||||||
Teijin Ltd. | 63,000 | 138,000 | ||||||
Terumo Corp. | 10,900 | 541,805 | ||||||
THK Co. Ltd. | 8,200 | 172,061 | ||||||
Tobu Railway Co. Ltd. | 72,000 | 371,060 | ||||||
Toho Co. Ltd. | 7,800 | 160,430 | ||||||
Toho Gas Co. Ltd. | 30,000 | 155,141 | ||||||
Tohoku Electric Power Co., Inc. (a) | 32,300 | 403,295 | ||||||
Tokio Marine Holdings, Inc. | 49,900 | 1,574,592 | ||||||
The Tokyo Electric Power Co., Inc. (a) | 103,700 | 535,337 | ||||||
Tokyo Electron Ltd. | 12,200 | 616,826 | ||||||
Tokyo Gas Co. Ltd. | 174,000 | 959,967 | ||||||
Tokyo Tatemono Co. Ltd. | 29,000 | 241,311 | ||||||
Tokyu Corp. | 81,000 | 530,368 | ||||||
Tokyu Land Corp. | 33,000 | 302,080 | ||||||
TonenGeneral Sekiyu KK | 19,000 | 183,853 | ||||||
Toppan Printing Co. Ltd. | 39,000 | 270,548 | ||||||
Toray Industries, Inc. | 103,700 | 670,072 | ||||||
Toshiba Corp. | 293,000 | 1,404,516 | ||||||
Toto Ltd. | 20,000 | 203,361 | ||||||
Toyo Seikan Kaisha Ltd. | 12,400 | 190,871 | ||||||
Toyo Suisan Kaisha Ltd. | 6,000 | 199,636 | ||||||
Toyoda Gosei Co. Ltd. | 4,900 | 119,803 | ||||||
Toyota Boshoku Corp. | 5,000 | 71,893 | ||||||
Toyota Industries Corp. | 11,700 | 477,804 | ||||||
Toyota Motor Corp. | 199,200 | 12,015,309 | ||||||
Toyota Tsusho Corp. | 14,900 | 383,122 | ||||||
Trend Micro, Inc. | 7,500 | 238,446 | ||||||
Tsumura & Co. | 4,100 | 120,829 | ||||||
Ube Industries Ltd. | 68,000 | 125,805 | ||||||
Uni-charm Corp. | 8,000 | 452,467 | ||||||
United Urban Investment Corp. | 164 | 221,401 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 49 |
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Japan (concluded) | ||||||||
USS Co. Ltd. | 1,610 | $ | 204,108 | |||||
West Japan Railway Co. | 12,500 | 530,128 | ||||||
Yahoo! Japan Corp. | 1,092 | 537,717 | ||||||
Yakult Honsha Co. Ltd. | 6,700 | 277,827 | ||||||
Yamada Denki Co. Ltd. | 6,800 | 275,327 | ||||||
Yamaguchi Financial Group, Inc. | 14,000 | 137,749 | ||||||
Yamaha Corp. | 10,800 | 123,741 | ||||||
Yamaha Motor Co. Ltd. | 19,800 | 256,449 | ||||||
Yamato Holdings Co. Ltd. | 26,500 | 558,096 | ||||||
Yamato Kogyo Co. Ltd. | 2,900 | 88,575 | ||||||
Yamazaki Baking Co. Ltd. | 8,000 | 93,889 | ||||||
Yaskawa Electric Corp. | 15,000 | 182,049 | ||||||
Yokogawa Electric Corp. | 16,400 | 196,058 | ||||||
The Yokohama Rubber Co., Ltd. | 14,000 | 140,577 | ||||||
|
| |||||||
183,891,642 | ||||||||
|
| |||||||
Mexico — 0.0% | ||||||||
Fresnillo Plc | 12,548 | 169,408 | ||||||
|
| |||||||
Netherlands — 2.9% | ||||||||
Aegon NV | 126,672 | 849,850 | ||||||
Akzo Nobel NV | 17,486 | 986,665 | ||||||
ASML Holding NV | 25,685 | 2,027,592 | ||||||
Corio NV | 4,942 | 196,683 | ||||||
DE Master Blenders 1753 NV (a) | 35,714 | 571,791 | ||||||
Delta Lloyd NV | 12,841 | 257,334 | ||||||
European Aeronautic Defence and Space Co. NV | 42,226 | 2,259,121 | ||||||
Fugro NV CVA | 5,455 | 296,405 | ||||||
Gemalto NV | 5,615 | 508,397 | ||||||
Heineken Holding NV | 7,264 | 407,123 | ||||||
Heineken NV | 16,618 | 1,057,761 | ||||||
ING Groep NV - CVA (a) | 278,265 | 2,543,086 | ||||||
Koninklijke Ahold NV | 74,163 | 1,103,022 | ||||||
Koninklijke Boskalis Westminster NV | 5,261 | 191,652 | ||||||
Koninklijke DSM NV | 11,433 | 745,356 | ||||||
Koninklijke KPN NV | 231,621 | 480,566 | ||||||
Koninklijke Philips Electronics NV | 68,736 | 1,873,818 | ||||||
Koninklijke Vopak NV | 4,966 | 293,110 | ||||||
QIAGEN NV (a) | 16,630 | 325,407 | ||||||
Randstad Holding NV | 8,471 | 348,229 | ||||||
Reed Elsevier NV | 50,983 | 849,096 | ||||||
STMicroelectronics NV | 44,821 | 402,799 | ||||||
TNT Express NV | 26,340 | 197,348 | ||||||
Unilever NV CVA | 117,696 | 4,633,017 | ||||||
Wolters Kluwer NV | 21,091 | 446,738 | ||||||
Ziggo NV | 12,168 | 488,754 | ||||||
|
| |||||||
24,340,720 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Auckland International Airport Ltd. | 80,989 | 186,272 | ||||||
Contact Energy Ltd. | 25,128 | 99,446 | ||||||
Fletcher Building Ltd. | 49,552 | 322,709 | ||||||
SKYCITY Entertainment Group Ltd. | 39,554 | 133,442 | ||||||
Telecom Corp. of New Zealand Ltd. | 133,880 | 233,130 | ||||||
|
| |||||||
974,999 | ||||||||
|
| |||||||
Norway — 0.8% | ||||||||
Aker Solutions ASA | 12,065 | 164,712 | ||||||
DnB NOR ASA | 71,593 | 1,038,575 | ||||||
Gjensidige Forsikring ASA | 14,091 | 207,591 | ||||||
Norsk Hydro ASA | 67,655 | 271,292 | ||||||
Orkla ASA | 54,841 | 449,012 | ||||||
Seadrill Ltd. | 26,827 | 1,080,494 | ||||||
Statoil ASA | 80,275 | 1,658,326 | ||||||
Subsea 7 SA (a) | 19,972 | 350,164 | ||||||
Telenor ASA | 51,536 | 1,023,660 | ||||||
Yara International ASA | 13,150 | 524,409 | ||||||
|
| |||||||
6,768,235 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Portugal — 0.2% | ||||||||
Banco Espirito Santo SA, Registered Shares (a) | 140,243 | $ | 112,432 | |||||
EDP - Energias de Portugal SA | 145,550 | 469,510 | ||||||
Galp Energia SGPS SA | 19,001 | 281,671 | ||||||
Jeronimo Martins SGPS SA | 18,024 | 379,883 | ||||||
Portugal Telecom SGPS SA, Registered Shares | 44,559 | 173,353 | ||||||
|
| |||||||
1,416,849 | ||||||||
|
| |||||||
Singapore — 1.6% | ||||||||
Ascendas Real Estate Investment Trust | 153,962 | 269,816 | ||||||
CapitaCommercial Trust | 138,000 | 159,197 | ||||||
CapitaLand Ltd. | 180,749 | 436,686 | ||||||
CapitaMall Trust | 166,700 | 261,588 | ||||||
CapitaMalls Asia Ltd. | 100,000 | 143,425 | ||||||
City Developments Ltd. | 35,535 | 298,946 | ||||||
ComfortDelGro Corp. Ltd. | 135,816 | 195,182 | ||||||
DBS Group Holdings Ltd. | 123,407 | 1,501,604 | ||||||
Genting Singapore Plc | 433,227 | 449,231 | ||||||
Global Logistic Properties Ltd. | 221,000 | 478,038 | ||||||
Golden Agri-Resources Ltd. | 511,251 | 225,070 | ||||||
Hutchison Port Holdings Trust | 371,000 | 271,683 | ||||||
Jardine Cycle & Carriage Ltd. | 7,721 | 258,144 | ||||||
Keppel Corp. Ltd. | 106,577 | 871,729 | ||||||
Keppel Land Ltd. | 56,000 | 147,260 | ||||||
Keppel REIT | 400 | 408 | ||||||
Noble Group Ltd. | 317,840 | 241,728 | ||||||
Olam International Ltd. | 108,900 | 140,173 | ||||||
Oversea-Chinese Banking Corp. | 185,914 | 1,461,494 | ||||||
SembCorp Industries Ltd. | 70,590 | 274,630 | ||||||
Sembcorp Marine Ltd. | 59,197 | 200,603 | ||||||
Singapore Airlines Ltd. | 38,009 | 303,385 | ||||||
Singapore Exchange Ltd. | 60,000 | 331,644 | ||||||
Singapore Press Holdings Ltd. | 99,985 | 328,626 | ||||||
Singapore Technologies Engineering Ltd. | 107,213 | 353,176 | ||||||
Singapore Telecommunications Ltd. | 573,132 | 1,697,511 | ||||||
StarHub Ltd. | 44,157 | 145,188 | ||||||
United Overseas Bank Ltd. | 93,572 | 1,461,230 | ||||||
UOL Group Ltd. | 32,457 | 171,580 | ||||||
Wilmar International Ltd. | 138,670 | 342,964 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 135,183 | 88,232 | ||||||
|
| |||||||
13,510,171 | ||||||||
|
| |||||||
Spain — 2.8% | ||||||||
Abertis Infraestructuras SA | 25,784 | 449,250 | ||||||
Acciona SA | 1,866 | 98,380 | ||||||
ACS Actividades de Construccion y Servicios SA | 9,798 | 259,198 | ||||||
Amadeus IT Holding SA, Class A | 27,197 | 870,444 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 399,792 | 3,359,797 | ||||||
Banco de Sabadell SA | 197,472 | 327,598 | ||||||
Banco Popular Espanol SA (a) | 90,331 | 276,536 | ||||||
Banco Santander SA | 780,960 | 4,997,551 | ||||||
Bankia SA (a) | 289,400 | 223,758 | ||||||
Caixa Bank | 81,589 | 250,606 | ||||||
Distribuidora Internacional de Alimentacion SA | 44,107 | 333,196 | ||||||
Enagas SA | 13,781 | 340,612 | ||||||
Ferrovial SA | 28,157 | 449,527 | ||||||
Gas Natural SDG SA | 26,300 | 529,880 | ||||||
Grifols SA | 10,747 | 394,837 | ||||||
Iberdrola SA | 338,695 | 1,789,868 | ||||||
Inditex SA | 15,670 | 1,932,820 | ||||||
International Consolidated Airlines Group SA (a) | 65,894 | 264,555 | ||||||
Mapfre SA | 56,128 | 182,618 | ||||||
Red Electrica Corp. SA | 7,798 | 428,791 | ||||||
Repsol YPF SA | 60,687 | 1,280,797 | ||||||
Telefonica SA (a) | 295,967 | 3,807,732 | ||||||
Zardoya Otis SA | 11,354 | 160,788 | ||||||
|
| |||||||
23,009,139 | ||||||||
|
|
See Notes to Financial Statements. | ||||
50 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Sweden — 3.1% | ||||||||
Alfa Laval AB | 23,860 | $ | 487,348 | |||||
Assa Abloy AB, Class B | 24,584 | 960,786 | ||||||
Atlas Copco AB, Class A | 48,403 | 1,166,600 | ||||||
Atlas Copco AB, Class B | 27,485 | 588,199 | ||||||
Boliden AB | 19,708 | 244,287 | ||||||
Electrolux AB, Class B | 17,162 | 433,079 | ||||||
Elekta AB, B Shares | 26,558 | 403,643 | ||||||
Getinge AB, Class B | 14,243 | 432,431 | ||||||
Hennes & Mauritz AB, Class B | 69,095 | 2,273,319 | ||||||
Hexagon AB, Class B | 17,064 | 456,144 | ||||||
Husqvarna AB, Class B | 29,922 | 158,023 | ||||||
Industrivarden AB, Class C | 8,006 | 133,687 | ||||||
Investor AB, Class B | 33,592 | 901,638 | ||||||
Investment AB Kinnevik, Class B | 14,676 | 376,250 | ||||||
Lundin Petroleum AB (a) | 15,784 | 312,187 | ||||||
Millicom International Cellular SA | 4,433 | 319,275 | ||||||
Nordea Bank AB | 191,920 | 2,143,221 | ||||||
Ratos AB, Class B | 13,092 | 101,532 | ||||||
Sandvik AB | 76,199 | 910,069 | ||||||
Scania AB, Class B | 22,750 | 455,157 | ||||||
Securitas AB, Class B | 22,513 | 196,814 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 108,549 | 1,036,317 | ||||||
Skanska AB, Class B | 27,380 | 453,747 | ||||||
SKF AB, Class B | 29,127 | 682,362 | ||||||
Svenska Cellulosa AB, B Shares | 42,590 | 1,068,103 | ||||||
Svenska Handelsbanken AB, Class A | 35,783 | 1,433,626 | ||||||
Swedbank AB, Class A | 66,307 | 1,518,732 | ||||||
Swedish Match AB | 14,574 | 517,297 | ||||||
Tele2 AB, Class B | 22,260 | 261,322 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 220,945 | 2,505,478 | ||||||
TeliaSonera AB | 170,183 | 1,109,034 | ||||||
Volvo AB, Class B | 108,284 | 1,444,990 | ||||||
|
| |||||||
25,484,697 | ||||||||
|
| |||||||
Switzerland — 9.0% | ||||||||
ABB Ltd., Registered Shares | 158,911 | 3,442,322 | ||||||
Actelion Ltd., Registered Shares | 7,553 | 454,975 | ||||||
Adecco SA, Registered Shares | 9,385 | 534,494 | ||||||
Aryzta AG | 6,071 | 340,785 | ||||||
Baloise Holding AG, Registered Shares | 3,370 | 327,312 | ||||||
Banque Cantonale Vaudoise | 218 | 108,062 | ||||||
Barry Callebaut AG | 177 | 161,997 | ||||||
Cie Financiere Richemont SA, Class A | 37,723 | 3,326,724 | ||||||
Coca-Cola HBC AG ADR | 14,579 | 340,857 | ||||||
Credit Suisse Group AG | 108,346 | 2,868,360 | ||||||
EMS-Chemie Holding AG | 575 | 170,307 | ||||||
Geberit AG, Registered Shares | 2,776 | 687,680 | ||||||
Givaudan SA, Registered Shares | 588 | 757,682 | ||||||
Holcim Ltd., Registered Shares | 16,494 | 1,148,086 | ||||||
Julius Baer Group Ltd. | 16,007 | 624,727 | ||||||
Kuehne & Nagel International AG, Registered Shares | 3,836 | 420,867 | ||||||
Lindt & Spruengli AG | 62 | 232,733 | ||||||
Lindt & Spruengli AG, Registered Shares | 7 | 304,577 | ||||||
Lonza Group AG, Registered Shares | 3,867 | 290,557 | ||||||
Nestle SA, Registered Shares | 232,905 | 15,283,312 | ||||||
Novartis AG, Registered Shares | 166,141 | 11,767,858 | ||||||
Pargesa Holding SA | 2,037 | 135,727 | ||||||
Partners Group Holding AG | 1,231 | 333,206 | ||||||
Roche Holding AG | 50,743 | 12,594,266 | ||||||
Schindler Holding AG, Participation Certificates | 3,448 | 479,749 | ||||||
Schindler Holding AG, Registered Shares | 1,514 | 205,048 | ||||||
SGS SA, Registered Shares | 404 | 867,356 | ||||||
Sika AG | 150 | 387,861 | ||||||
Sonova Holding AG, Registered Shares | 3,539 | 374,411 | ||||||
Sulzer AG | 1,732 | 276,571 | ||||||
The Swatch Group AG, Bearer Shares | 2,220 | 1,212,650 | ||||||
The Swatch Group AG, Registered Shares | 3,151 | 296,302 |
Common Stocks | Shares | Value | ||||||
Switzerland (concluded) | ||||||||
Swiss Life Holding, Registered Shares AG | 2,361 | $ | 383,242 | |||||
Swiss Prime Site AG | 3,878 | 285,087 | ||||||
Swiss Re AG | 25,325 | 1,884,201 | ||||||
Swisscom AG, Registered Shares | 1,732 | 758,219 | ||||||
Syngenta AG, Registered Shares | 6,758 | 2,635,342 | ||||||
Transocean Ltd. | 25,870 | 1,242,201 | ||||||
UBS AG, Registered Shares | 263,291 | 4,469,056 | ||||||
Zurich Insurance Group AG | 10,735 | 2,782,608 | ||||||
|
| |||||||
75,197,377 | ||||||||
|
| |||||||
United Kingdom — 21.1% | ||||||||
3i Group Plc | 70,365 | 361,304 | ||||||
Aberdeen Asset Management Plc | 68,601 | 399,233 | ||||||
Admiral Group Plc | 14,498 | 292,047 | ||||||
Aggreko Plc | 19,053 | 476,220 | ||||||
AMEC Plc | 21,713 | 332,083 | ||||||
Anglo American Plc | 101,409 | 1,954,213 | ||||||
Antofagasta Plc | 27,589 | 334,298 | ||||||
ARM Holdings Plc | 99,770 | 1,206,925 | ||||||
Associated British Foods Plc | 25,171 | 664,012 | ||||||
AstraZeneca Plc | 90,183 | 4,263,744 | ||||||
Aviva Plc | 214,939 | 1,107,826 | ||||||
Babcock International Group Plc | 25,142 | 422,157 | ||||||
BAE Systems Plc | 234,263 | 1,364,227 | ||||||
Barclays Plc | 872,171 | 3,714,350 | ||||||
BG Group Plc | 245,841 | 4,177,832 | ||||||
BHP Billiton Plc | 152,553 | 3,889,769 | ||||||
BP Plc | 1,384,313 | 9,607,054 | ||||||
British American Tobacco Plc | 139,404 | 7,149,965 | ||||||
British Land Co. Plc | 67,021 | 577,358 | ||||||
British Sky Broadcasting Group Plc | 75,685 | 911,773 | ||||||
BT Group Plc | 571,208 | 2,681,677 | ||||||
Bunzl Plc | 23,887 | 465,894 | ||||||
Burberry Group Plc | 32,909 | 677,020 | ||||||
The Capita Group Plc | 46,492 | 683,386 | ||||||
Capital Shopping Centres Group Plc | 47,929 | 227,834 | ||||||
Carnival Plc | 13,771 | 478,678 | ||||||
Centrica Plc | 372,818 | 2,039,206 | ||||||
Cobham Plc | 76,587 | 305,356 | ||||||
Compass Group Plc | 132,913 | 1,698,306 | ||||||
Croda International Plc | 9,750 | 367,673 | ||||||
Diageo Plc | 181,297 | 5,198,925 | ||||||
Direct Line Insurance Group Plc | 59,281 | 210,081 | ||||||
easyJet Plc | 11,381 | 224,330 | ||||||
G4S Plc | 98,515 | 347,363 | ||||||
GKN Plc | 116,331 | 532,493 | ||||||
GlaxoSmithKline Plc | 354,401 | 8,858,685 | ||||||
Glencore International Plc | 729,061 | 3,017,932 | ||||||
Hammerson Plc | 50,178 | 372,053 | ||||||
Hargreaves Lansdown Plc | 16,520 | 223,141 | ||||||
HSBC Holdings Plc | 1,335,034 | 13,820,458 | ||||||
ICAP Plc | 39,581 | 218,540 | ||||||
IMI Plc | 23,015 | 433,798 | ||||||
Imperial Tobacco Group Plc | 70,888 | 2,458,013 | ||||||
Inmarsat Plc | 31,730 | 324,948 | ||||||
InterContinental Hotels Group Plc | 19,268 | 529,527 | ||||||
Intertek Group Plc | 11,411 | 507,237 | ||||||
Invensys Plc | 47,023 | 294,458 | ||||||
Investec Plc | 39,244 | 246,967 | ||||||
ITV Plc | 264,488 | 563,902 | ||||||
J. Sainsbury Plc | 87,633 | 473,643 | ||||||
Johnson Matthey Plc | 14,590 | 582,942 | ||||||
Kingfisher Plc | 174,636 | 910,520 | ||||||
Land Securities Group Plc | 57,804 | 776,350 | ||||||
Legal & General Group Plc | 432,596 | 1,127,497 | ||||||
Lloyds Banking Group Plc (a) | 3,304,421 | 3,173,271 | ||||||
London Stock Exchange Group Plc | 12,540 | 254,888 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 51 |
Schedule of Investments (continued) | Master International Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
United Kingdom (continued) | ||||||||
Marks & Spencer Group Plc | 119,053 | $ | 778,991 | |||||
Meggitt Plc | 56,373 | 444,145 | ||||||
Melrose Industries Plc | 94,506 | 358,201 | ||||||
National Grid Plc | 264,918 | 3,003,009 | ||||||
Next Plc | 11,423 | 791,273 | ||||||
Old Mutual Plc | 359,759 | 987,577 | ||||||
Pearson Plc | 59,851 | 1,064,407 | ||||||
Persimmon Plc (a) | 21,689 | 389,337 | ||||||
Petrofac Ltd. | 18,345 | 333,940 | ||||||
Prudential Plc | 184,874 | 3,017,656 | ||||||
Randgold Resources Ltd. | 6,128 | 388,310 | ||||||
Reckitt Benckiser Group Plc | 46,722 | 3,304,951 | ||||||
Reed Elsevier Plc | 85,336 | 970,456 | ||||||
Resolution Ltd. | 101,525 | 439,772 | ||||||
Rexam Plc | 56,334 | 408,828 | ||||||
Rio Tinto Plc | 92,677 | 3,769,076 | ||||||
Rolls-Royce Holdings Plc | 136,313 | 2,347,090 | ||||||
Royal Bank of Scotland Group Plc (a) | 151,160 | 627,281 | ||||||
Royal Dutch Shell Plc, Class A | 272,487 | 8,704,324 | ||||||
Royal Dutch Shell Plc, Class B | 188,844 | 6,254,311 | ||||||
RSA Insurance Group Plc | 269,916 | 489,680 | ||||||
SABMiller Plc | 69,248 | 3,319,980 | ||||||
The Sage Group Plc | 81,163 | 419,468 | ||||||
Schroders Plc | 7,939 | 263,550 | ||||||
Segro Plc | 52,071 | 220,900 | ||||||
Serco Group Plc | 36,071 | 339,214 | ||||||
Severn Trent Plc | 17,021 | 431,002 | ||||||
Shire Plc | 40,686 | 1,289,346 | ||||||
Smith & Nephew Plc | 66,763 | 747,736 | ||||||
Smiths Group Plc | 27,823 | 553,532 | ||||||
SSE Plc | 69,035 | 1,598,682 | ||||||
Standard Chartered Plc | 174,364 | 3,785,507 | ||||||
Standard Life Plc | 173,557 | 913,373 | ||||||
Tate & Lyle Plc | 32,559 | 408,507 | ||||||
Tesco Plc | 582,273 | 2,932,218 | ||||||
Travis Perkins Plc | 17,536 | 388,287 | ||||||
Tui Travel Plc | 31,441 | 170,466 | ||||||
Tullow Oil Plc | 66,532 | 1,012,803 | ||||||
Unilever Plc | 92,744 | 3,754,478 | ||||||
United Utilities Group Plc | 48,256 | 502,064 | ||||||
Vedanta Resources Plc | 7,455 | 115,872 |
Common Stocks | Shares | Value | ||||||
United Kingdom (concluded) | ||||||||
Vodafone Group Plc | 3,534,373 | $ | 10,128,362 | |||||
The Weir Group Plc | 15,152 | 495,452 | ||||||
Whitbread Plc | 12,637 | 587,869 | ||||||
William Hill Plc | 61,775 | 414,255 | ||||||
WM Morrison Supermarkets Plc | 158,518 | 630,973 | ||||||
Wolseley Plc | 20,170 | 930,634 | ||||||
WPP Plc | 90,903 | 1,553,788 | ||||||
|
| |||||||
175,294,315 | ||||||||
|
| |||||||
Total Common Stocks — 98.0% | 815,434,300 | |||||||
|
| |||||||
Preferred Stocks — 0.0% | ||||||||
Germany — 0.0% | ||||||||
Fuchs Petrolub AG, Preference Shares | 2,547 | 201,931 | ||||||
|
| |||||||
Rights | ||||||||
Bermuda — 0.0% | ||||||||
First Pacific Co. Ltd. (Expires 7/03/13) | 19,250 | 521 | ||||||
|
| |||||||
Hong Kong — 0.0% | ||||||||
New World Development Co. Ltd. (Expires 8/30/13) | 3,302 | — | ||||||
|
| |||||||
Spain — 0.0% | ||||||||
Repsol SA (a) (Expires 7/10/13) | 58,989 | 32,863 | ||||||
|
| |||||||
Total Rights — 0.0% | 33,384 | |||||||
|
| |||||||
Total Long-Term Investments (Cost — $654,241,039) — 98.0% | 815,669,615 | |||||||
|
| |||||||
Short-Term Securities | ||||||||
BlackRock Liquidity Funds, TempCash, Institutional Class, 0.06% (b)(c) | 4,365,311 | 4,365,311 | ||||||
|
| |||||||
Total Short-Term Securities (Cost — $4,365,311) — 0.5% | 4,365,311 | |||||||
|
| |||||||
Total Investments (Cost — $658,606,350*) — 98.5% | 820,034,926 | |||||||
Other Assets Less Liabilities — 1.5% | 12,302,414 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 832,337,340 | ||||||
|
|
Notes to Schedule of Investments
* | As of June 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost | $ | 700,610,351 | ||
|
| |||
Gross unrealized appreciation | $ | 201,007,021 | ||
Gross unrealized depreciation | (81,582,446 | ) | ||
|
| |||
Net unrealized appreciation | $ | 119,424,575 | ||
|
|
(a) | Non-income producing security. |
(b) | Investments in issuers considered to be an affiliate of the Series during the six months ended June 30, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at December 31, 2012 | Net Activity | Shares Held at June 30, 2013 | Income | ||||||||||||
BlackRock Liquidity Funds, TempCash, Institutional Class | — | 4,365,311 | 1 | 4,365,311 | $ | 1,102 |
1 | Represents net shares purchased. |
See Notes to Financial Statements. | ||||
52 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master International Index Series |
(c) | Represents the current yield as of report date. |
• | Financial futures contracts as of June 30, 2013 were as follows: |
Unrealized | ||||||||||||||
Contracts | Notional | Appreciation | ||||||||||||
Purchased | Issue | Exchange | Expiration | Value | (Depreciation) | |||||||||
119 | DJ Euro Stoxx 50 Index | Eurex | September 2013 | $ | 4,024,205 | $ | (92,969 | ) | ||||||
44 | FTSE 100 Index | Euronext LIFFE | September 2013 | $ | 4,123,386 | (30,950 | ) | |||||||
41 | Nikkei 225 Index | Singapore Exchange | September 2013 | $ | 2,816,218 | 73,369 | ||||||||
14 | SPI 200 Index | Australian Securities Exchange | September 2013 | $ | 1,526,521 | 8,106 | ||||||||
|
| |||||||||||||
Total | $ | (42,444 | ) | |||||||||||
|
|
• | Foreign currency exchange contracts as of June 30, 2013 were as follows: |
Currency | Currency | Settlement | Unrealized | |||||||||||
Purchased | Sold | Counterparty | Date | Depreciation | ||||||||||
AUD 646,343 | USD | 600,000 | Deutsche Bank AG | 7/01/13 | $ | (8,887 | ) | |||||||
EUR 766,754 | USD | 1,000,000 | Deutsche Bank AG | 7/01/13 | (1,956 | ) | ||||||||
GBP 327,890 | USD | 500,000 | Deutsche Bank AG | 7/01/13 | (1,295 | ) | ||||||||
|
| |||||||||||||
Total | $ | (12,138 | ) | |||||||||||
|
|
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access |
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’ policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.
The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Australia | $ | 2,036,412 | $ | 62,823,545 | — | $ | 64,859,957 | |||||||||
Austria | — | 2,158,657 | — | 2,158,657 | ||||||||||||
Belgium | 162,977 | 9,124,885 | — | 9,287,862 | ||||||||||||
Denmark | 430,750 | 8,696,907 | — | 9,127,657 | ||||||||||||
Finland | — | 6,308,810 | — | 6,308,810 | ||||||||||||
France | 586,638 | 73,887,683 | — | 74,474,321 | ||||||||||||
Germany | — | 70,042,081 | — | 70,042,081 | ||||||||||||
Greece | — | 267,994 | — | 267,994 | ||||||||||||
Hong Kong | — | 24,646,720 | — | 24,646,720 | ||||||||||||
Ireland | 586,560 | 3,495,224 | — | 4,081,784 | ||||||||||||
Israel | — | 4,103,055 | — | 4,103,055 | ||||||||||||
Italy | — | 16,017,850 | — | 16,017,850 | ||||||||||||
Japan | 56,786 | 183,834,856 | — | 183,891,642 | ||||||||||||
Mexico | — | 169,408 | — | 169,408 | ||||||||||||
Netherlands | 1,080,188 | 23,260,532 | — | 24,340,720 | ||||||||||||
New Zealand | — | 974,999 | — | 974,999 | ||||||||||||
Norway | 350,164 | 6,418,071 | — | 6,768,235 | ||||||||||||
Portugal | — | 1,416,849 | — | 1,416,849 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 53 |
Schedule of Investments (concluded) | Master International Index Series |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks (concluded): | ||||||||||||||||
Singapore | — | $ | 13,510,171 | — | $ | 13,510,171 | ||||||||||
Spain | $ | 223,758 | 22,785,381 | — | 23,009,139 | |||||||||||
Sweden | — | 25,484,697 | — | 25,484,697 | ||||||||||||
Switzerland | 340,857 | 74,856,520 | — | 75,197,377 | ||||||||||||
United Kingdom | 210,081 | 175,084,234 | — | 175,294,315 | ||||||||||||
Preferred Securities | — | 201,931 | — | 201,931 | ||||||||||||
Rights: | ||||||||||||||||
Bermuda | 521 | — | — | 521 | ||||||||||||
Spain | 32,863 | — | — | 32,863 | ||||||||||||
Short-Term Securities | 4,365,311 | 4,365,311 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,463,866 | $ | 809,571,060 | — | $ | 820,034,926 | |||||||||
|
|
|
|
|
|
|
|
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 81,475 | — | — | $ | 81,475 | ||||||||||
Liabilities: | ||||||||||||||||
Equity contracts | (123,919 | ) | — | — | (123,919 | ) | ||||||||||
Foreign currency exchange contracts | — | $ | (12,138 | ) | — | (12,138 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (42,444 | ) | $ | (12,138 | ) | — | $ | (54,582 | ) | ||||||
|
|
|
|
|
|
|
|
1 | Derivative financial instruments are financial futures contracts and foreign currency exchange contracts. Financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Series’ assets are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Cash pledged for financial futures contracts | $ | 840,000 | — | — | $ | 840,000 | ||||||||||
Foreign currency at value | 5,547,756 | — | — | 5,547,756 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,387,756 | — | — | $ | 6,387,756 | ||||||||||
|
|
|
|
|
|
|
|
There were no transfers between levels during the six months ended June 30, 2013.
See Notes to Financial Statements. | ||||
54 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments June 30, 2013 (Unaudited) | (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Advertising Agencies — 0.6% | ||||||||
Arbitron, Inc. | 12,238 | $ | 568,455 | |||||
Constant Contact, Inc. (a) | 14,003 | 225,028 | ||||||
Digital Generation, Inc. (a) | 11,029 | 81,284 | ||||||
Harte-Hanks, Inc. | 19,696 | 169,386 | ||||||
Marchex, Inc., Class B | 10,326 | 62,162 | ||||||
Marin Software, Inc. (a) | 4,152 | 42,516 | ||||||
Marketo, Inc. (a) | 3,150 | 78,340 | ||||||
MDC Partners, Inc., Class A | 11,544 | 208,254 | ||||||
National CineMedia, Inc. | 25,974 | 438,701 | ||||||
QuinStreet, Inc. (a)(b) | 14,323 | 123,607 | ||||||
ReachLocal, Inc. (a) | 4,733 | 58,027 | ||||||
Travelzoo, Inc. (a)(b) | 3,607 | 98,327 | ||||||
Valassis Communications, Inc. | 17,706 | 435,391 | ||||||
ValueClick, Inc. (a)(b) | 34,732 | 857,186 | ||||||
Viad Corp. | 9,258 | 227,006 | ||||||
|
| |||||||
3,673,670 | ||||||||
|
| |||||||
Aerospace — 1.3% | ||||||||
AAR Corp. | 18,120 | 398,278 | ||||||
AeroVironment, Inc. (a) | 8,377 | 169,048 | ||||||
API Technologies Corp. (a) | 14,894 | 41,703 | ||||||
Astronics Corp. (a) | 5,720 | 233,776 | ||||||
Cubic Corp. | 9,015 | 433,622 | ||||||
Curtiss-Wright Corp. | 21,331 | 790,527 | ||||||
Ducommun, Inc. (a) | 4,782 | 101,665 | ||||||
Erickson Air-Crane, Inc. (a) | 1,723 | 32,410 | ||||||
Esterline Technologies Corp. (a) | 14,246 | 1,029,843 | ||||||
GenCorp, Inc. (a) | 27,638 | 449,394 | ||||||
Heico Corp. | 24,184 | 1,218,148 | ||||||
Kaman Corp., Class A | 12,324 | 425,917 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 19,861 | 128,699 | ||||||
LMI Aerospace, Inc. (a) | 4,670 | 87,516 | ||||||
Moog, Inc., Class A (a)(b) | 20,640 | 1,063,579 | ||||||
Orbital Sciences Corp. (a) | 27,345 | 474,983 | ||||||
Teledyne Technologies, Inc. (a) | 17,021 | 1,316,574 | ||||||
|
| |||||||
8,395,682 | ||||||||
|
| |||||||
Agriculture, Fishing & Ranching — 0.5% |
| |||||||
Alico, Inc. | 1,345 | 53,948 | ||||||
The Andersons, Inc. | 8,507 | 452,487 | ||||||
Cal-Maine Foods, Inc. | 6,754 | 314,129 | ||||||
Calavo Growers, Inc. | 5,589 | 151,965 | ||||||
Fresh Del Monte Produce, Inc. | 17,227 | 480,289 | ||||||
Limoneira Co. | 4,532 | 93,948 | ||||||
Pilgrims Pride Corp. (a) | 27,670 | 413,390 | ||||||
Sanderson Farms, Inc. | 10,491 | 696,812 | ||||||
Seaboard Corp. | 134 | 362,872 | ||||||
|
| |||||||
3,019,840 | ||||||||
|
| |||||||
Air Transport — 1.0% | ||||||||
Air Transport Services Group, Inc. (a) | 23,730 | 156,855 | ||||||
Allegiant Travel Co. | 6,844 | 725,396 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 11,759 | 514,574 | ||||||
Bristow Group, Inc. | 16,465 | 1,075,494 | ||||||
Era Group, Inc. (a) | 9,115 | 238,357 | ||||||
Hawaiian Holdings, Inc. (a) | 23,632 | 144,391 | ||||||
JetBlue Airways Corp. (a) | 105,962 | 667,561 | ||||||
PHI, Inc. (a) | 5,744 | 197,019 | ||||||
Republic Airways Holdings, Inc. (a) | 22,396 | 253,747 | ||||||
SkyWest, Inc. | 23,633 | 319,991 | ||||||
Spirit Airlines, Inc. (a) | 27,464 | 872,531 | ||||||
US Airways Group, Inc. (a) | 74,621 | 1,225,277 | ||||||
|
| |||||||
6,391,193 | ||||||||
|
| |||||||
Alternative Energy — 0.1% | ||||||||
Ameresco, Inc., Class A (a) | 8,900 | 80,189 | ||||||
Amyris, Inc. (a) | 12,184 | 35,212 | ||||||
EnerNOC, Inc. (a) | 11,996 | 159,067 |
Common Stocks | Shares | Value | ||||||
Alternative Energy (concluded) | ||||||||
Green Plains Renewable Energy, Inc. (a) | 11,523 | $ | 153,486 | |||||
Rex American Resources Corp. (a) | 2,495 | 71,781 | ||||||
Solazyme, Inc. (a)(b) | 21,925 | 256,961 | ||||||
|
| |||||||
756,696 | ||||||||
|
| |||||||
Aluminum — 0.1% | ||||||||
Century Aluminum Co. (a) | 23,451 | 217,625 | ||||||
Kaiser Aluminum Corp. | 8,593 | 532,250 | ||||||
Noranda Aluminum Holding Corp. | 15,286 | 49,374 | ||||||
|
| |||||||
799,249 | ||||||||
|
| |||||||
Asset Management & Custodian — 1.2% |
| |||||||
Apollo Investment Corp. | 102,486 | 793,242 | ||||||
Arlington Asset Investment Corp. | 6,742 | 180,281 | ||||||
Calamos Asset Management, Inc., Class A | 9,076 | 95,298 | ||||||
Capital Southwest Corp. | 1,516 | 208,950 | ||||||
CIFC Corp. (a) | 3,068 | 23,163 | ||||||
Cohen & Steers, Inc. | 8,597 | 292,126 | ||||||
Cowen Group, Inc., Class A (a) | 44,072 | 127,809 | ||||||
Diamond Hill Investments Group, Inc. | 1,276 | 108,524 | ||||||
Fifth Street Finance Corp. | 55,139 | 576,203 | ||||||
Financial Engines, Inc. | 22,292 | 1,016,292 | ||||||
GAMCO Investors, Inc., Class A | 2,749 | 152,322 | ||||||
Golub Capital BDC, Inc. | 15,676 | 274,330 | ||||||
GSV Capital Corp. (a) | 8,776 | 68,979 | ||||||
Horizon Technology Finance Corp. | 3,633 | 49,917 | ||||||
JMP Group, Inc. | 7,232 | 48,021 | ||||||
KCAP Financial, Inc. | 12,867 | 144,882 | ||||||
Manning & Napier, Inc. | 6,222 | 110,503 | ||||||
MCG Capital Corp. | 32,684 | 170,284 | ||||||
Medley Capital Corp. | 13,195 | 179,188 | ||||||
MVC Capital, Inc. | 10,877 | 136,941 | ||||||
National Financial Partners Corp. (a) | 18,297 | 463,097 | ||||||
New Mountain Finance Corp. (a) | 14,169 | 200,633 | ||||||
NGP Capital Resources Co. | 9,623 | 58,989 | ||||||
Oppenheimer Holdings, Inc. | 4,496 | 85,604 | ||||||
Pzena Investment Management, Inc., Class A | 5,122 | 33,396 | ||||||
Resource America, Inc., Class A | 5,628 | 47,838 | ||||||
Solar Capital Ltd. | 20,510 | 473,576 | ||||||
Solar Senior Capital Ltd. | 5,256 | 96,763 | ||||||
TCP Capital Corp. | 11,679 | 195,857 | ||||||
THL Credit, Inc. | 11,854 | 180,062 | ||||||
TICC Capital Corp. | 24,061 | 231,467 | ||||||
Virtus Investment Partners, Inc. (a) | 2,646 | 466,410 | ||||||
Westwood Holdings Group, Inc. | 3,154 | 135,370 | ||||||
WhiteHorse Finance, Inc. | 3,049 | 48,022 | ||||||
WisdomTree Investments, Inc. (a) | 45,730 | 529,096 | ||||||
|
| |||||||
8,003,435 | ||||||||
|
| |||||||
Auto Parts — 0.8% | ||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 30,651 | 571,028 | ||||||
Dana Holding Corp. | 66,909 | 1,288,668 | ||||||
Dorman Products, Inc. | 11,491 | 524,334 | ||||||
Federal-Mogul Corp., Class A (a) | 8,408 | 85,846 | ||||||
Fuel Systems Solutions, Inc. (a) | 6,399 | 114,478 | ||||||
Gentherm, Inc. (a) | 15,188 | 282,041 | ||||||
Meritor, Inc. (a) | 44,476 | 313,556 | ||||||
Remy International, Inc. | 6,200 | 115,134 | ||||||
Standard Motor Products, Inc. | 9,050 | 310,777 | ||||||
Stoneridge, Inc. (a) | 12,988 | 151,180 | ||||||
Superior Industries International, Inc. | 10,583 | 182,134 | ||||||
Tenneco, Inc. (a) | 27,711 | 1,254,754 | ||||||
Tower International, Inc. (a) | 2,785 | 55,115 | ||||||
|
| |||||||
5,249,045 | ||||||||
|
| |||||||
Auto Services — 0.2% | ||||||||
Cooper Tire & Rubber Co. | 28,858 | 957,220 | ||||||
|
|
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 55 |
Schedule of Investments (continued) | (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Back Office Support, HR & Consulting — 2.1% | ||||||||
The Advisory Board Co. (a)(b) | 16,160 | $ | 883,144 | |||||
Angie’s List, Inc. (a) | 19,244 | 510,928 | ||||||
Barrett Business Services, Inc. | 3,225 | 168,377 | ||||||
CBIZ, Inc. (a) | 17,268 | 115,868 | ||||||
CDI Corp. | 6,361 | 90,072 | ||||||
Convergys Corp. | 47,878 | 834,513 | ||||||
The Corporate Executive Board Co. | 15,318 | 968,404 | ||||||
CoStar Group, Inc. (a)(b) | 12,999 | 1,677,781 | ||||||
CRA International, Inc. (a) | 4,625 | 85,424 | ||||||
Dice Holdings, Inc. (a)(b) | 18,571 | 171,039 | ||||||
ExlService Holdings, Inc. (a) | 14,814 | 437,902 | ||||||
Forrester Research, Inc. | 5,725 | 210,050 | ||||||
FTI Consulting, Inc. (a) | 18,360 | 603,860 | ||||||
GP Strategies Corp. (a) | 6,712 | 159,880 | ||||||
The Hackett Group, Inc. | 11,769 | 61,081 | ||||||
Heidrick & Struggles International, Inc. | 8,233 | 137,656 | ||||||
Huron Consulting Group, Inc. (a) | 10,600 | 490,144 | ||||||
ICF International, Inc. (a) | 8,978 | 282,897 | ||||||
Innovative Solutions & Support, Inc. | 5,524 | 35,354 | ||||||
Insperity, Inc. | 10,237 | 310,181 | ||||||
Kelly Services, Inc., Class A | 12,222 | 213,518 | ||||||
Kforce, Inc. | 12,358 | 180,427 | ||||||
Korn/Ferry International (a) | 22,181 | 415,672 | ||||||
Liquidity Services, Inc. (a)(b) | 11,314 | 392,256 | ||||||
MAXIMUS, Inc. | 15,561 | 1,158,983 | ||||||
Monster Worldwide, Inc. (a)(b) | 53,139 | 260,912 | ||||||
Navigant Consulting, Inc. (a) | 22,978 | 275,736 | ||||||
On Assignment, Inc. (a) | 20,818 | 556,257 | ||||||
PRGX Global, Inc. (a) | 12,885 | 70,739 | ||||||
Resources Connection, Inc. | 18,595 | 215,702 | ||||||
RPX Corp. (a) | 14,696 | 246,893 | ||||||
ServiceSource International, Inc. (a) | 27,782 | 258,928 | ||||||
SYKES Enterprises, Inc. (a) | 17,864 | 281,537 | ||||||
TeleTech Holdings, Inc. (a)(b) | 9,083 | 212,815 | ||||||
TrueBlue, Inc. (a) | 18,559 | 390,667 | ||||||
WageWorks, Inc. (a) | 11,359 | 391,318 | ||||||
|
| |||||||
13,756,915 | ||||||||
|
| |||||||
Banks: Diversified — 7.2% | ||||||||
1st Source Corp. | 6,991 | 166,106 | ||||||
1st United Bancorp, Inc. | 13,813 | 92,823 | ||||||
Access National Corp. | 3,424 | 44,444 | ||||||
Ambac Financial Group, Inc. (a) | 20,505 | 488,634 | ||||||
American National BankShares, Inc. | 3,679 | 85,500 | ||||||
Ameris Bancorp (a) | 10,989 | 185,165 | ||||||
Ames National Corp. | 4,224 | 96,138 | ||||||
Arrow Financial Corp. | 4,881 | 120,805 | ||||||
Bancfirst Corp. | 3,235 | 150,589 | ||||||
Banco Latinoamericana De Comercio Exterior SA | 13,339 | 298,660 | ||||||
The Bancorp, Inc. (a) | 15,074 | 225,959 | ||||||
BancorpSouth, Inc. | 43,477 | 769,543 | ||||||
Bank of Kentucky Financial Corp. | 2,826 | 80,371 | ||||||
Bank of Marin Bancorp | 2,514 | 100,560 | ||||||
Bank of the Ozarks, Inc. | 14,209 | 615,676 | ||||||
Banner Corp. | 8,914 | 301,204 | ||||||
Bar Harbor Bankshares | 1,825 | 66,704 | ||||||
BBCN Bancorp, Inc. | 36,117 | 513,584 | ||||||
BBX Capital Corp. (a) | 3,240 | 41,828 | ||||||
BNC Bancorp | 8,047 | 91,897 | ||||||
Boston Private Financial Holdings, Inc. | 36,489 | 388,243 | ||||||
Bridge Bancorp, Inc. | 4,130 | 92,925 | ||||||
Bridge Capital Holdings (a) | 4,387 | 69,578 | ||||||
Bryn Mawr Bank Corp. | 6,139 | 146,906 | ||||||
C&F Financial Corp. | 1,525 | 84,988 | ||||||
Camden National Corp. | 3,545 | 125,741 | ||||||
Capital City Bank Group, Inc. (a) | 5,624 | 64,845 | ||||||
Capitol Federal Financial, Inc. | 67,391 | 818,127 |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (continued) | ||||||||
Cardinal Financial Corp. | 13,801 | $ | 202,047 | |||||
Cascade Bancorp (a) | 3,048 | 18,928 | ||||||
Cathay General Bancorp | 36,034 | 733,292 | ||||||
Center Bancorp, Inc. | 5,598 | 71,039 | ||||||
Centerstate Banks, Inc. | 13,926 | 120,878 | ||||||
Central Pacific Financial Corp. (a) | 10,041 | 180,738 | ||||||
Century Bancorp, Inc., Class A | 1,584 | 55,440 | ||||||
Charter Financial Corp. | 10,198 | 102,796 | ||||||
Chemical Financial Corp. | 12,668 | 329,241 | ||||||
Chemung Financial Corp. | 1,521 | 50,938 | ||||||
Citizens & Northern Corp. | 5,753 | 111,148 | ||||||
City Holding Co. | 7,233 | 281,725 | ||||||
CNB Financial Corp. | 5,862 | 99,302 | ||||||
CoBiz Financial, Inc. | 16,409 | 136,195 | ||||||
Columbia Banking System, Inc. | 23,355 | 556,083 | ||||||
Community Bank System, Inc. | 18,334 | 565,604 | ||||||
Community Trust Bancorp, Inc. | 6,490 | 231,174 | ||||||
CommunityOne Bancorp (a) | 4,799 | 38,920 | ||||||
Crescent Financial Bancshares, Inc. (a) | 5,192 | 22,741 | ||||||
CU Bancorp (a) | 4,171 | 65,902 | ||||||
Customers Bancorp, Inc. (a) | 9,000 | 146,250 | ||||||
CVB Financial Corp. | 41,943 | 493,250 | ||||||
Eagle Bancorp, Inc. (a) | 10,191 | 228,070 | ||||||
Enterprise Bancorp, Inc. | 3,231 | 59,741 | ||||||
Enterprise Financial Services Corp. | 8,351 | 133,282 | ||||||
EverBank Financial Corp. | 36,538 | 605,069 | ||||||
Farmers Capital Bank Corp. (a) | 3,346 | 72,575 | ||||||
Fidelity Southern Corp. (a) | 4,745 | 58,696 | ||||||
Financial Institutions, Inc. | 6,392 | 117,677 | ||||||
First Bancorp, Inc. | 4,452 | 77,821 | ||||||
First Bancorp, North Carolina | 8,950 | 126,195 | ||||||
First Bancorp, Puerto Rico (a) | 33,028 | 233,838 | ||||||
First Busey Corp. | 33,632 | 151,344 | ||||||
First Commonwealth Financial Corp. | 44,985 | 331,539 | ||||||
First Community Bancshares, Inc. | 8,283 | 129,877 | ||||||
First Connecticut Bancorp, Inc. | 7,834 | 109,049 | ||||||
First Financial Bancorp | 26,623 | 396,683 | ||||||
First Financial Bankshares, Inc. | 14,436 | 803,508 | ||||||
First Financial Corp. | 5,207 | 161,365 | ||||||
First Interstate Bancsystem, Inc. | 7,949 | 164,783 | ||||||
First M&F Corp. | 3,715 | 58,734 | ||||||
First Merchants Corp. | 13,223 | 226,774 | ||||||
First Midwest Bancorp, Inc. | 34,344 | 471,200 | ||||||
First NBC Bank Holding Co. | 1,885 | 45,994 | ||||||
The First of Long Island Corp. | 3,673 | 121,907 | ||||||
First Security Group, Inc. (a) | 28,323 | 61,461 | ||||||
FirstMerit Corp. | 75,660 | 1,515,470 | ||||||
Flagstar Bancorp, Inc. (a) | 8,965 | 125,151 | ||||||
FNB Corp. | 66,158 | 799,189 | ||||||
German American Bancorp, Inc. | 5,909 | 133,071 | ||||||
Glacier Bancorp, Inc. | 32,940 | 730,939 | ||||||
Guaranty Bancorp | 6,877 | 78,054 | ||||||
Hampton Roads Bankshares, Inc. (a) | 14,526 | 18,739 | ||||||
Hancock Holding Co. | 38,677 | 1,163,017 | ||||||
Hanmi Financial Corp. (a) | 14,480 | 255,862 | ||||||
Heartland Financial USA, Inc. | 6,827 | 187,674 | ||||||
Heritage Commerce Corp. (a) | 9,712 | 67,984 | ||||||
Heritage Oaks Bancorp (a) | 9,523 | 58,757 | ||||||
Home Bancshares, Inc. | 20,694 | 537,423 | ||||||
Horizon Bancorp | 3,902 | 79,640 | ||||||
Hudson Valley Holding Corp. | 7,521 | 127,707 | ||||||
IBERIABANK Corp. | 13,564 | 727,166 | ||||||
Independent Bank Corp. (b) | 10,461 | 360,904 | ||||||
Independent Bank Group, Inc. (a) | 1,703 | 51,771 | ||||||
International Bancshares Corp. | 24,432 | 551,675 | ||||||
Intervest Bancshares Corp. (a) | 7,962 | 53,186 | ||||||
Investors Bancorp, Inc. | 21,161 | 446,074 |
See Notes to Financial Statements. | ||||
56 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (continued) | ||||||||
Janus Capital Group, Inc. | 67,784 | $ | 576,842 | |||||
Lakeland Bancorp, Inc. | 13,847 | 144,424 | ||||||
Lakeland Financial Corp. | 7,585 | 210,484 | ||||||
LCNB Corp. | 2,586 | 57,823 | ||||||
Macatawa Bank Corp. (a) | 10,602 | 53,434 | ||||||
MainSource Financial Group, Inc. | 9,409 | 126,363 | ||||||
MB Financial, Inc. | 25,044 | 671,179 | ||||||
Mercantile Bank Corp. | 4,015 | 72,150 | ||||||
Merchants Bancshares, Inc. | 2,559 | 75,670 | ||||||
Meridian Interstate Bancorp, Inc. (a) | 3,846 | 72,420 | ||||||
Metro Bancorp, Inc. (a) | 6,516 | 130,515 | ||||||
MetroCorp Bancshares, Inc. | 7,377 | 72,000 | ||||||
Middleburg Financial Corp. | 2,525 | 48,228 | ||||||
Midsouth Bancorp, Inc. | 3,879 | 60,241 | ||||||
NASB Financial, Inc. (a) | 1,906 | 49,880 | ||||||
National Bank Holdings Corp. Class A | 23,747 | 467,816 | ||||||
National Bankshares, Inc. | 3,272 | 116,254 | ||||||
National Penn Bancshares, Inc. | 53,611 | 544,688 | ||||||
NBT Bancorp, Inc. | 20,108 | 425,686 | ||||||
Newbridge Bancorp (a) | 11,274 | 67,531 | ||||||
Northrim Bancorp, Inc. | 3,043 | 73,610 | ||||||
OFG Bancorp | 20,885 | 378,227 | ||||||
Old National Bancorp | 46,368 | 641,269 | ||||||
Pacific Continental Corp. | 8,345 | 98,471 | ||||||
Pacific Premier Bancorp, Inc. (a) | 6,817 | 83,304 | ||||||
PacWest Bancorp | 17,374 | 532,513 | ||||||
Palmetto Bancshares, Inc. (a) | 2,000 | 26,000 | ||||||
Park National Corp. | 5,297 | 364,381 | ||||||
Park Sterling Corp. (a) | 20,640 | 121,982 | ||||||
Peapack-Gladstone Financial Corp. | 4,203 | 73,552 | ||||||
Penns Woods Bancorp, Inc. | 1,811 | 75,808 | ||||||
Peoples Bancorp, Inc. | 5,004 | 105,484 | ||||||
Pinnacle Financial Partners, Inc. (a)(b) | 16,026 | 412,028 | ||||||
Preferred Bank (a) | 5,405 | 89,074 | ||||||
PrivateBancorp, Inc. | 29,630 | 628,452 | ||||||
Prosperity Bancshares, Inc. | 27,483 | 1,423,345 | ||||||
Provident Financial Services, Inc. | 27,263 | 430,210 | ||||||
Renasant Corp. | 11,605 | 282,466 | ||||||
Republic Bancorp, Inc., Class A | 4,546 | 99,648 | ||||||
Rockville Financial, Inc. | 12,594 | 164,730 | ||||||
Roma Financial Corp. | 3,414 | 61,998 | ||||||
S&T Bancorp, Inc. | 13,592 | 266,403 | ||||||
Sandy Spring Bancorp, Inc. | 11,395 | 246,360 | ||||||
SCBT Financial Corp. | 7,781 | 392,085 | ||||||
Seacoast Banking Corp. of Florida (a) | 34,002 | 74,804 | ||||||
Sierra Bancorp | 5,669 | 83,901 | ||||||
Simmons First National Corp., Class A | 7,639 | 199,302 | ||||||
Southside Bancshares, Inc. | 8,245 | 196,891 | ||||||
Southwest Bancorp, Inc. (a) | 9,069 | 119,711 | ||||||
State Bank Financial Corp. | 14,650 | 220,189 | ||||||
StellarOne Corp. | 10,460 | 205,539 | ||||||
Stellus Capital Investment Corp. | 5,408 | 81,390 | ||||||
Sterling Bancorp | 14,328 | 166,491 | ||||||
Sterling Financial Corp. | 15,508 | 368,780 | ||||||
Suffolk Bancorp (a) | 5,209 | 85,115 | ||||||
Sun Bancorp, Inc. (a) | 18,630 | 63,156 | ||||||
Susquehanna Bancshares, Inc. | 85,141 | 1,094,062 | ||||||
SY Bancorp, Inc. | 6,343 | 155,594 | ||||||
Taylor Capital Group, Inc. (a)(b) | 7,873 | 132,975 | ||||||
Texas Capital Bancshares, Inc. (a) | 18,624 | 826,161 | ||||||
Tompkins Trustco, Inc. | 6,563 | 296,582 | ||||||
Towne Bank | 12,145 | 178,774 | ||||||
Trico Bancshares | 7,403 | 157,906 | ||||||
Tristate Capital Holdings, Inc. (a) | 2,932 | 40,315 | ||||||
TrustCo Bank Corp. NY | 43,592 | 237,140 | ||||||
Trustmark Corp. | 30,756 | 755,982 |
Common Stocks | Shares | Value | ||||||
Banks: Diversified (concluded) | ||||||||
UMB Financial Corp. | 14,846 | $ | 826,477 | |||||
Umpqua Holdings Corp. | 51,142 | 767,641 | ||||||
Union First Market Bankshares Corp. | 9,325 | 192,002 | ||||||
United Bankshares, Inc. | 10,792 | 285,448 | ||||||
United Community Banks, Inc. (a) | 19,699 | 244,662 | ||||||
United Community Financial Corp. (a) | 17,501 | 81,380 | ||||||
Univest Corp. of Pennsylvania | 7,765 | 148,079 | ||||||
Virginia Commerce Bancorp, Inc. (a) | 12,448 | 173,774 | ||||||
Washington Banking Co. | 7,124 | 101,161 | ||||||
Washington Trust Bancorp, Inc. | 6,700 | 191,084 | ||||||
Webster Financial Corp. | 41,129 | 1,056,193 | ||||||
WesBanco, Inc. | 11,911 | 314,808 | ||||||
West Bancorp., Inc. | 7,360 | 86,480 | ||||||
Westamerica Bancorp | 12,386 | 565,916 | ||||||
Western Alliance Bancorp (a) | 33,861 | 536,020 | ||||||
Wilshire Bancorp, Inc. (b) | 28,484 | 188,564 | ||||||
Wintrust Financial Corp. | 16,905 | 647,123 | ||||||
Yadkin Financial Corp. (a) | 6,409 | 89,982 | ||||||
|
| |||||||
47,310,391 | ||||||||
|
| |||||||
Banks: Savings, Thrift & Mortgage Lending — 1.1% |
| |||||||
Apollo Residential Mortgage, Inc. | 14,591 | 240,460 | ||||||
Astoria Financial Corp. | 40,240 | 433,787 | ||||||
Bank Mutual Corp. | 21,466 | 121,068 | ||||||
BankFinancial Corp. | 9,720 | 82,620 | ||||||
Beneficial Mutual Bancorp, Inc. (a) | 14,641 | 122,984 | ||||||
Berkshire Hills Bancorp, Inc. | 11,493 | 319,046 | ||||||
BofI Holding, Inc. (a) | 5,510 | 252,468 | ||||||
Brookline Bancorp, Inc. | 32,027 | 277,994 | ||||||
Clifton Savings Bancorp, Inc. | 4,083 | 48,384 | ||||||
Dime Community Bancshares, Inc. | 14,562 | 223,090 | ||||||
Doral Financial Corp. (a) | 58,890 | 48,879 | ||||||
ESB Financial Corp. | 5,892 | 71,470 | ||||||
ESSA Bancorp, Inc. | 4,059 | 44,487 | ||||||
First Defiance Financial Corp. | 4,473 | 100,866 | ||||||
First Federal Bancshares of Arkansas, Inc. (a) | 1,552 | 12,261 | ||||||
First Financial Holdings, Inc. | 7,580 | 160,772 | ||||||
First Financial Northwest, Inc. | 7,567 | 78,016 | ||||||
First Pactrust Bancorp, Inc. | 4,975 | 67,561 | ||||||
Flushing Financial Corp. | 14,096 | 231,879 | ||||||
Fox Chase Bancorp, Inc. | 5,688 | 96,696 | ||||||
Franklin Financial Corp. | 4,928 | 88,753 | ||||||
Great Southern Bancorp, Inc. | 4,772 | 128,653 | ||||||
Heritage Financial Corp. | 7,092 | 103,898 | ||||||
Hingham Institution for Savings | 570 | 38,692 | ||||||
Home Bancorp, Inc. (a) | 3,036 | 56,166 | ||||||
Home Federal Bancorp, Inc. | 6,694 | 85,282 | ||||||
Home Loan Servicing Solutions Ltd. (b) | 25,901 | 620,847 | ||||||
HomeStreet, Inc. | 5,830 | 125,053 | ||||||
Kearny Financial Corp. (a) | 6,664 | 69,905 | ||||||
Northfield Bancorp, Inc. | 26,275 | 307,943 | ||||||
Northwest Bancshares, Inc. | 42,795 | 578,160 | ||||||
OceanFirst Financial Corp. | 6,319 | 98,260 | ||||||
OmniAmerican Bancorp, Inc. (a) | 5,259 | 115,856 | ||||||
Oritani Financial Corp. | 20,748 | 325,329 | ||||||
Provident Financial Holdings, Inc. | 4,188 | 66,505 | ||||||
Provident New York Bancorp | 20,126 | 187,977 | ||||||
Territorial Bancorp, Inc. | 4,851 | 109,681 | ||||||
United Financial Bancorp, Inc. | 9,019 | 136,638 | ||||||
ViewPoint Financial Group, Inc. | 18,090 | 376,453 | ||||||
Waterstone Financial, Inc. (a) | 3,377 | 34,310 | ||||||
Westfield Financial, Inc. | 8,863 | 62,041 | ||||||
WSFS Financial Corp. | 3,567 | 186,875 | ||||||
|
| |||||||
6,938,065 | ||||||||
|
|
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 57 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Beverage: Brewers & Distillers — 0.1% | ||||||||
The Boston Beer Co., Inc., Class A (a)(b) | 3,749 | $ | 639,729 | |||||
Craft Brew Alliance, Inc. (a) | 4,757 | 39,198 | ||||||
|
| |||||||
678,927 | ||||||||
|
| |||||||
Beverage: Soft Drinks — 0.0% | ||||||||
Coca-Cola Bottling Co. Consolidated | 2,108 | 128,904 | ||||||
Farmer Bros. Co. (a) | 2,762 | 38,834 | ||||||
National Beverage Corp. | 5,226 | 91,298 | ||||||
|
| |||||||
259,036 | ||||||||
|
| |||||||
Biotechnology — 3.6% | ||||||||
Accelrys, Inc. (a) | 25,485 | 214,074 | ||||||
Acorda Therapeutics, Inc. (a) | 18,476 | 609,523 | ||||||
Aegerion Pharmaceuticals, Inc. (a) | 13,136 | 832,034 | ||||||
Albany Molecular Research, Inc. (a) | 10,527 | 124,956 | ||||||
Alimera Sciences, Inc. (a) | 7,659 | 37,376 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 26,468 | 820,773 | ||||||
AMAG Pharmaceuticals, Inc. (a) | 9,845 | 219,051 | ||||||
Amicus Therapeutics, Inc. (a) | 13,682 | 31,879 | ||||||
Arena Pharmaceuticals, Inc. (a)(b) | 99,258 | 764,287 | ||||||
ArQule, Inc. (a) | 27,072 | 62,807 | ||||||
Array Biopharma, Inc. (a) | 53,301 | 241,987 | ||||||
Astex Pharmaceuticals (a) | 43,225 | 177,655 | ||||||
AVEO Pharmaceuticals, Inc. (a) | 23,467 | 58,668 | ||||||
BioDelivery Sciences International, Inc. (a) | 13,550 | 55,013 | ||||||
BioTime, Inc. (a)(b) | 16,754 | 66,346 | ||||||
Cell Therapeutics, Inc. (a) | 50,899 | 53,444 | ||||||
Celldex Therapeutics, Inc. (a)(b) | 36,869 | 575,525 | ||||||
Cepheid, Inc. (a) | 30,570 | 1,052,219 | ||||||
Chelsea Therapeutics International, Inc. (a) | 30,405 | 69,932 | ||||||
ChemoCentryx, Inc. (a)(b) | 11,060 | 156,388 | ||||||
Clovis Oncology, Inc. (a) | 6,336 | 424,385 | ||||||
Cornerstone Therapeutics, Inc. (a) | 3,918 | 31,344 | ||||||
Coronado Biosciences, Inc. (a) | 10,029 | 86,249 | ||||||
Curis, Inc. (a) | 36,670 | 116,977 | ||||||
Cytokinetics, Inc. (a) | 11,220 | 129,815 | ||||||
Cytori Therapeutics, Inc. (a) | 28,521 | 65,598 | ||||||
Dendreon Corp. (a)(b) | 71,857 | 296,051 | ||||||
Durata Therapeutics, Inc. (a) | 5,997 | 43,178 | ||||||
Dyax Corp. (a)(b) | 49,886 | 172,606 | ||||||
Dynavax Technologies Corp. (a) | 83,850 | 92,235 | ||||||
Emergent Biosolutions, Inc. (a) | 12,383 | 178,563 | ||||||
Enzon Pharmaceuticals, Inc. | 17,325 | 34,650 | ||||||
Epizyme, Inc. (a) | 2,661 | 74,854 | ||||||
Exact Sciences Corp. (a)(b) | 29,226 | 406,534 | ||||||
Exelixis, Inc. (a) | 83,785 | 380,384 | ||||||
Fibrocell Science, Inc. (a) | 7,438 | 45,521 | ||||||
Furiex Pharmaceuticals, Inc. (a) | 3,048 | 103,845 | ||||||
Galena Biopharma, Inc. (a) | 37,733 | 83,767 | ||||||
GenMark Diagnostics, Inc. (a) | 13,161 | 136,085 | ||||||
Genomic Health, Inc. (a) | 7,596 | 240,869 | ||||||
Geron Corp. (a) | 59,665 | 89,498 | ||||||
GTx, Inc. (a) | 12,035 | 79,431 | ||||||
Halozyme Therapeutics, Inc. (a)(b) | 40,553 | 321,991 | ||||||
Harvard Bioscience, Inc. (a) | 11,576 | 54,754 | ||||||
Horizon Pharma, Inc. (a) | 23,205 | 57,084 | ||||||
Hyperion Therapeutics, Inc. (a) | 3,789 | 83,358 | ||||||
Idenix Pharmaceuticals, Inc. (a) | 45,341 | 163,681 | ||||||
ImmunoGen, Inc. (a) | 38,572 | 639,910 | ||||||
Immunomedics, Inc. (a) | 33,441 | 181,919 | ||||||
Insmed, Inc. (a) | 12,816 | 153,279 | ||||||
Insys Therapeutics, Inc. (a) | 2,306 | 31,915 | ||||||
Intercept Pharmaceuticals, Inc. (a) | 2,842 | 127,435 | ||||||
InterMune, Inc. (a) | 37,223 | 358,085 | ||||||
KaloBios Pharmaceuticals, Inc. (a) | 4,083 | 23,110 | ||||||
Keryx Biopharmaceuticals, Inc. (a) | 37,319 | 278,773 | ||||||
Lexicon Pharmaceuticals, Inc. (a)(b) | 103,334 | 224,235 |
Common Stocks | Shares | Value | ||||||
Biotechnology (concluded) | ||||||||
Ligand Pharmaceuticals, Inc. (a) | 8,121 | $ | 303,888 | |||||
MannKind Corp. (a)(b) | 67,789 | 440,629 | ||||||
Merrimack Pharmaceuticals, Inc. (a) | 41,146 | 276,913 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 21,511 | 323,956 | ||||||
Nanosphere, Inc. (a) | 19,034 | 58,434 | ||||||
Nektar Therapeutics (a)(b) | 52,648 | 608,084 | ||||||
Neurocrine Biosciences, Inc. (a) | 30,438 | 407,260 | ||||||
NewLink Genetics Corp. (a) | 7,668 | 151,213 | ||||||
Novavax, Inc. (a) | 61,745 | 126,577 | ||||||
NPS Pharmaceuticals, Inc. (a)(b) | 45,682 | 689,798 | ||||||
Omeros Corp. (a)(b) | 13,553 | 68,307 | ||||||
OncoGenex Pharmaceutical, Inc. (a) | 6,739 | 66,042 | ||||||
Opko Health, Inc. (a)(b) | 64,668 | 459,143 | ||||||
Orexigen Therapeutics, Inc. (a) | 43,075 | 251,989 | ||||||
Osiris Therapeutics, Inc. (a) | 7,599 | 76,522 | ||||||
Pacific Biosciences of California, Inc. (a) | 20,195 | 50,891 | ||||||
PDL BioPharma, Inc. | 63,861 | 493,007 | ||||||
Peregrine Pharmaceuticals, Inc. (a) | 62,245 | 80,296 | ||||||
Peregrine Semiconductor Corp. (a) | 11,910 | 129,938 | ||||||
Progenics Pharmaceuticals, Inc. (a) | 23,123 | 103,129 | ||||||
Prothena Corp. Plc (a) | 5,293 | 68,333 | ||||||
Puma Biotechnology, Inc. (a) | 10,070 | 446,806 | ||||||
Raptor Pharmaceutical Corp. (a) | 25,297 | 236,527 | ||||||
Regulus Therapeutics, Inc. (a) | 4,137 | 40,584 | ||||||
Repligen Corp. (a) | 14,293 | 117,774 | ||||||
Repros Therapeutics, Inc. (a) | 8,519 | 157,176 | ||||||
Rigel Pharmaceuticals, Inc. (a)(b) | 39,648 | 132,424 | ||||||
Rockwell Medical, Inc. (a) | 17,954 | 64,814 | ||||||
RTI Surgical, Inc. (a) | 25,682 | 96,564 | ||||||
Sangamo Biosciences, Inc. (a) | 24,505 | 191,384 | ||||||
Sarepta Therapeutics, Inc. (a) | 14,536 | 553,095 | ||||||
Sequenom, Inc. (a)(b) | 52,587 | 221,391 | ||||||
Stemline Therapeutics, Inc. (a) | 4,138 | 98,650 | ||||||
Sucampo Pharmaceuticals, Inc., Class A (a) | 6,171 | 40,605 | ||||||
Sunesis Pharmaceuticals, Inc. (a) | 14,720 | 76,691 | ||||||
Symmetry Medical, Inc. (a) | 16,994 | 143,089 | ||||||
Synageva BioPharma Corp. (a)(b) | 7,756 | 325,752 | ||||||
Synergy Pharmaceuticals, Inc. (a) | 36,502 | 157,689 | ||||||
Synta Pharmaceuticals Corp. (a) | 18,683 | 93,228 | ||||||
Targacept, Inc. (a) | 12,674 | 54,118 | ||||||
TESARO, Inc. (a) | 6,087 | 199,288 | ||||||
Threshold Pharmaceuticals, Inc. (a) | 21,454 | 112,848 | ||||||
Trius Therapeutics, Inc. (a)(b) | 16,895 | 137,187 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 12,995 | 105,000 | ||||||
Verastem, Inc. (a) | 6,414 | 89,026 | ||||||
ViroPharma, Inc. (a)(b) | 29,752 | 852,395 | ||||||
West Pharmaceutical Services, Inc. | 15,752 | 1,106,736 | ||||||
Wright Medical Group, Inc. (a) | 18,405 | 482,395 | ||||||
XOMA Corp. (a) | 28,758 | 104,392 | ||||||
ZIOPHARM Oncology, Inc. (a)(b) | 31,123 | 65,358 | ||||||
|
| |||||||
23,973,240 | ||||||||
|
| |||||||
Building Materials — 1.0% | ||||||||
Acuity Brands, Inc. | 19,523 | 1,474,377 | ||||||
BlueLinx Holdings, Inc. (a) | 15,573 | 33,482 | ||||||
Builders FirstSource, Inc. (a) | 20,498 | 122,578 | ||||||
Gibraltar Industries, Inc. (a) | 13,981 | 203,563 | ||||||
Griffon Corp. | 20,355 | 228,994 | ||||||
Headwaters, Inc. (a) | 33,482 | 295,981 | ||||||
Louisiana-Pacific Corp. (a) | 63,453 | 938,470 | ||||||
LSI Industries, Inc. | 9,619 | 77,818 | ||||||
NCI Building Systems, Inc. (a) | 9,424 | 144,093 | ||||||
Patrick Industries, Inc. (a) | 3,016 | 62,702 | ||||||
PGT, Inc. (a) | 15,100 | 130,917 | ||||||
Quanex Building Products Corp. | 16,919 | 284,916 | ||||||
Revolution Lighting Technologies, Inc. (a) | 13,528 | 54,112 | ||||||
Simpson Manufacturing Co., Inc. | 18,469 | 543,358 |
See Notes to Financial Statements. | ||||
58 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Building Materials (concluded) | ||||||||
Texas Industries, Inc. (a) | 9,928 | $ | 646,710 | |||||
Trex Co., Inc. (a)(b) | 7,831 | 371,894 | ||||||
Watsco, Inc. | 11,718 | 983,843 | ||||||
|
| |||||||
6,597,808 | ||||||||
|
| |||||||
Building: Climate Control — 0.1% |
| |||||||
Aaon, Inc. | 8,550 | 282,834 | ||||||
Comfort Systems USA, Inc. | 17,005 | 253,715 | ||||||
Nortek, Inc. (a) | 4,072 | 262,359 | ||||||
|
| |||||||
798,908 | ||||||||
|
| |||||||
Building: Roofing, Wallboard & Plumbing — 0.3% |
| |||||||
Beacon Roofing Supply, Inc. (a)(b) | 22,173 | 839,913 | ||||||
USG Corp. (a) | 34,661 | 798,936 | ||||||
|
| |||||||
1,638,849 | ||||||||
|
| |||||||
Casinos & Gambling — 0.4% |
| |||||||
Ameristar Casinos, Inc. | 15,032 | 395,191 | ||||||
Boyd Gaming Corp. (a) | 25,801 | 291,551 | ||||||
Caesars Entertainment Corp. (a) | 16,851 | 230,859 | ||||||
Isle of Capri Casinos, Inc. (a) | 9,686 | 72,645 | ||||||
Monarch Casino & Resort, Inc. (a) | 3,914 | 65,990 | ||||||
Multimedia Games Holding Co., Inc. (a) | 13,174 | 343,446 | ||||||
Pinnacle Entertainment, Inc. (a) | 26,595 | 523,124 | ||||||
Scientific Games Corp., Class A (a)(b) | 21,801 | 245,261 | ||||||
WMS Industries, Inc. (a) | 24,947 | 636,398 | ||||||
|
| |||||||
2,804,465 | ||||||||
|
| |||||||
Cement — 0.0% | ||||||||
US Concrete, Inc. (a) | 6,041 | 99,193 | ||||||
|
| |||||||
Chemicals: Diversified — 1.2% |
| |||||||
Aceto Corp. | 12,497 | 174,083 | ||||||
American Vanguard Corp. | 13,017 | 304,988 | ||||||
Axiall Corp. | 31,801 | 1,354,087 | ||||||
Chemtura Corp. (a) | 44,796 | 909,359 | ||||||
Hawkins, Inc. | 4,288 | 168,904 | ||||||
Innophos Holdings, Inc. | 9,997 | 471,559 | ||||||
KMG Chemicals, Inc. | 3,665 | 77,332 | ||||||
Landec Corp. (a) | 11,837 | 156,367 | ||||||
LSB Industries, Inc. (a) | 8,708 | 264,810 | ||||||
Olin Corp. | 36,596 | 875,376 | ||||||
OM Group, Inc. (a) | 14,563 | 450,288 | ||||||
Omnova Solutions, Inc. (a) | 21,445 | 171,774 | ||||||
Penford Corp. (a) | 4,144 | 55,488 | ||||||
PolyOne Corp. | 45,292 | 1,122,336 | ||||||
Sensient Technologies Corp. | 22,813 | 923,242 | ||||||
Taminco Corp. (a) | 7,157 | 145,931 | ||||||
|
| |||||||
7,625,924 | ||||||||
|
| |||||||
Chemicals: Specialty — 0.6% |
| |||||||
Balchem Corp. | 13,525 | 605,244 | ||||||
Calgon Carbon Corp. (a)(b) | 24,663 | 411,379 | ||||||
FutureFuel Corp. | 9,827 | 139,248 | ||||||
GSE Holding, Inc. (a) | 3,446 | 19,952 | ||||||
Innospec, Inc. | 10,720 | 430,729 | ||||||
Kraton Performance Polymers, Inc. (a) | 14,808 | 313,930 | ||||||
Polypore International, Inc. (a) | 21,226 | 855,408 | ||||||
Quaker Chemical Corp. | 5,994 | 371,688 | ||||||
Stepan Co. | 8,567 | 476,411 | ||||||
Zep, Inc. | 10,311 | 163,223 | ||||||
|
| |||||||
3,787,212 | ||||||||
|
| |||||||
Coal — 0.2% | ||||||||
Arch Coal, Inc. | 96,640 | 365,299 | ||||||
Cloud Peak Energy, Inc. (a)(b) | 27,693 | 456,381 | ||||||
Hallador Energy Co. | 3,797 | 30,566 | ||||||
KiOR, Inc., Class A (a) | 19,657 | 112,241 | ||||||
L&L Energy, Inc. (a) | 13,453 | 48,162 |
Common Stocks | Shares | Value | ||||||
Coal (concluded) | ||||||||
Walter Energy, Inc. | 28,438 | $ | 295,755 | |||||
Westmoreland Coal Co. (a) | 5,285 | 59,351 | ||||||
|
| |||||||
1,367,755 | ||||||||
|
| |||||||
Commercial Banks — 0.0% |
| |||||||
HomeTrust Bancshares, Inc. (a) | 9,619 | 163,138 | ||||||
|
| |||||||
Commercial Finance & Mortgage Companies — 0.2% |
| |||||||
Capital Bank Financial Corp., Class A (a) | 11,227 | 213,201 | ||||||
Federal Agricultural Mortgage Corp., Class B | 4,656 | 134,465 | ||||||
Garrison Capital, Inc. | 2,592 | 39,969 | ||||||
Medallion Financial Corp. | 8,474 | 117,873 | ||||||
Meta Financial Group, Inc. | 2,379 | 62,520 | ||||||
NewStar Financial, Inc. (a)(b) | 12,017 | 160,066 | ||||||
PennantPark Floating Rate Capital Ltd. | 4,512 | 63,800 | ||||||
PennyMac Financial Services, Inc. (a)(c) | 5,696 | 121,154 | ||||||
Walker & Dunlop, Inc. (a) | 7,461 | 130,568 | ||||||
|
| |||||||
1,043,616 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
ARC Document Solutions, Inc. (a) | 17,203 | 68,812 | ||||||
LifeLock, Inc. (a) | 27,572 | 322,868 | ||||||
National Research Corp. (a) | 3,826 | 68,868 | ||||||
National Research Corp. Class B | 588 | 20,545 | ||||||
National Technical Systems, Inc. (a) | 2,999 | 41,956 | ||||||
Performant Financial Corp. (a) | 10,098 | 117,036 | ||||||
|
| |||||||
640,085 | ||||||||
|
| |||||||
Commercial Services: Rental & Leasing — 0.5% |
| |||||||
Aircastle Ltd. | 31,086 | 497,065 | ||||||
CAI International, Inc. (a) | 7,782 | 183,422 | ||||||
Electro Rent Corp. | 8,593 | 144,277 | ||||||
H&E Equipment Services, Inc. | 13,543 | 285,351 | ||||||
Marlin Business Services, Inc. | 3,784 | 86,200 | ||||||
McGrath RentCorp | 11,488 | 392,430 | ||||||
Mobile Mini, Inc. (a) | 17,489 | 579,760 | ||||||
PHH Corp. (a) | 25,993 | 529,737 | ||||||
TAL International Group, Inc. | 15,402 | 671,065 | ||||||
|
| |||||||
3,369,307 | ||||||||
|
| |||||||
Commercial Vehicles & Parts — 0.2% |
| |||||||
Accuride Corp. (a)(b) | 18,342 | 92,811 | ||||||
Commercial Vehicle Group, Inc. (a) | 10,936 | 81,583 | ||||||
Miller Industries, Inc. | 5,103 | 78,484 | ||||||
Modine Manufacturing Co. (a) | 21,529 | 234,235 | ||||||
Rush Enterprises, Inc., Class A (a) | 15,739 | 389,540 | ||||||
Spartan Motors, Inc. | 15,593 | 95,429 | ||||||
Wabash National Corp. (a) | 31,244 | 318,064 | ||||||
|
| |||||||
1,290,146 | ||||||||
|
| |||||||
Communications Equipment — 0.0% |
| |||||||
Ruckus Wireless, Inc. (a) | 19,792 | 253,536 | ||||||
|
| |||||||
Communications Technology — 2.3% |
| |||||||
Adtran, Inc. | 27,009 | 664,692 | ||||||
Alliance Fiber Optic Products, Inc. | 2,598 | 51,934 | ||||||
Anaren, Inc. (a) | 5,310 | 121,811 | ||||||
Anixter International, Inc. (a) | 12,346 | 935,950 | ||||||
Aruba Networks, Inc. (a)(b) | 51,936 | 797,737 | ||||||
Aviat Networks, Inc. (a) | 27,927 | 73,169 | ||||||
Bel Fuse, Inc. | 4,511 | 60,673 | ||||||
Black Box Corp. | 7,350 | 186,102 | ||||||
Calix, Inc. (a) | 18,284 | 184,668 | ||||||
Ciena Corp. (a)(b) | 46,258 | 898,330 | ||||||
Comtech Telecommunications Corp. | 7,649 | 205,682 | ||||||
Cyan, Inc. (a) | 3,561 | 37,213 | ||||||
Datalink Corp. (a) | 7,176 | 76,353 | ||||||
Digi International, Inc. (a) | 11,778 | 110,360 | ||||||
DigitalGlobe, Inc. (a) | 33,914 | 1,051,673 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 59 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Communications Technology (concluded) |
| |||||||
Emulex Corp. (a) | 41,239 | $ | 268,878 | |||||
Extreme Networks, Inc. (a) | 42,445 | 146,435 | ||||||
Finisar Corp. (a) | 42,558 | 721,358 | ||||||
General Cable Corp. | 22,590 | 694,643 | ||||||
Globecomm Systems, Inc. (a) | 10,771 | 136,146 | ||||||
GSI Technology, Inc. (a) | 9,394 | 59,370 | ||||||
Harmonic, Inc. (a) | 51,538 | 327,266 | ||||||
Infinera Corp. (a) | 52,826 | 563,653 | ||||||
InterDigital, Inc. | 18,759 | 837,589 | ||||||
Ixia (a) | 25,691 | 472,714 | ||||||
KVH Industries, Inc. (a) | 7,073 | 94,142 | ||||||
Loral Space & Communications Ltd. | 5,935 | 355,981 | ||||||
NeoPhotonics Corp. (a) | 9,187 | 79,835 | ||||||
Net Element International, Inc. (a) | 900 | 4,671 | ||||||
NETGEAR, Inc. (a) | 17,543 | 535,763 | ||||||
Numerex Corp., Class A (a) | 6,270 | 69,973 | ||||||
Oplink Communications, Inc. (a) | 8,673 | 150,650 | ||||||
ParkerVision, Inc. (a) | 40,287 | 183,306 | ||||||
PC-Tel, Inc. | 8,438 | 71,554 | ||||||
Plantronics, Inc. | 19,723 | 866,234 | ||||||
Procera Networks, Inc. (a) | 9,390 | 128,925 | ||||||
QLogic Corp. (a) | 40,578 | 387,926 | ||||||
SeaChange International, Inc. (a) | 14,825 | 173,601 | ||||||
Shoretel, Inc. (a) | 26,502 | 106,803 | ||||||
Sonus Networks, Inc. (a) | 98,538 | 296,599 | ||||||
TeleNav, Inc. (a) | 7,936 | 41,505 | ||||||
Tellabs, Inc. | 162,122 | 321,002 | ||||||
Viasat, Inc. (a) | 18,017 | 1,287,495 | ||||||
Westell Technologies, Inc., Class A (a) | 20,358 | 48,656 | ||||||
|
| |||||||
14,889,020 | ||||||||
|
| |||||||
Computer Services Software & Systems — 5.9% |
| |||||||
ACI Worldwide, Inc. (a)(d) | 18,150 | 843,612 | ||||||
The Active Network, Inc. (a) | 24,478 | 185,298 | ||||||
Actuate Corp. (a) | 21,674 | 143,915 | ||||||
Acxiom Corp. (a) | 33,692 | 764,135 | ||||||
American Software, Inc., Class A | 11,086 | 96,337 | ||||||
Aspen Technology, Inc. (a) | 42,704 | 1,229,448 | ||||||
AVG Technologies NV (a) | 10,883 | 211,674 | ||||||
Avid Technology, Inc. (a) | 14,039 | 82,549 | ||||||
Bankrate, Inc. (a) | 21,088 | 302,824 | ||||||
Bazaarvoice, Inc. (a) | 21,777 | 205,139 | ||||||
Blackbaud, Inc. | 20,803 | 677,554 | ||||||
Blucora, Inc. (a) | 18,663 | 346,012 | ||||||
Bottomline Technologies, Inc. (a) | 17,254 | 436,354 | ||||||
Brightcove, Inc. (a) | 12,738 | 111,585 | ||||||
BroadSoft, Inc. (a) | 12,786 | 352,894 | ||||||
CACI International, Inc., Class A (a) | 10,497 | 666,455 | ||||||
Callidus Software, Inc. (a) | 17,152 | 113,032 | ||||||
Ciber, Inc. (a) | 33,825 | 112,976 | ||||||
CommVault Systems, Inc. (a) | 21,171 | 1,606,667 | ||||||
Computer Task Group, Inc. | 7,077 | 162,559 | ||||||
ComScore, Inc. (a) | 16,279 | 397,045 | ||||||
Cornerstone OnDemand, Inc. (a)(b) | 18,380 | 795,670 | ||||||
CSG Systems International, Inc. (b) | 15,438 | 335,005 | ||||||
DealerTrack Technologies, Inc. (a)(b) | 19,830 | 702,577 | ||||||
Demand Media, Inc. (a) | 16,283 | 97,698 | ||||||
Demandware, Inc. (a) | 7,301 | 309,635 | ||||||
Digimarc Corp. | 2,911 | 60,461 | ||||||
Digital River, Inc. (a) | 16,077 | 301,765 | ||||||
EarthLink, Inc. | 46,915 | 291,342 | ||||||
Ebix, Inc. | 14,108 | 130,640 | ||||||
Envestnet, Inc. (a)(b) | 10,297 | 253,306 | ||||||
EPAM Systems, Inc. (a) | 9,934 | 270,006 | ||||||
EPIQ Systems, Inc. | 14,350 | 193,295 | ||||||
ePlus, Inc. | 1,715 | 102,711 | ||||||
ExactTarget, Inc. (a) | 19,478 | 656,798 |
Common Stocks | Shares | Value | ||||||
Computer Services Software & Systems (continued) |
| |||||||
Guidance Software, Inc. (a) | 7,560 | $ | 66,074 | |||||
Guidewire Software, Inc. (a) | 19,093 | 802,861 | ||||||
ICG Group, Inc. (a) | 17,337 | 197,642 | ||||||
iGate Corp. (a) | 15,808 | 259,567 | ||||||
Imperva, Inc. (a) | 9,182 | 413,557 | ||||||
Infoblox, Inc. (a) | 22,790 | 666,835 | ||||||
Interactive Intelligence Group, Inc. (a)(b) | 7,056 | 364,090 | ||||||
Internap Network Services Corp. (a) | 24,450 | 202,202 | ||||||
IntraLinks Holdings, Inc. (a) | 17,372 | 126,121 | ||||||
Jive Software, Inc. (a) | 18,013 | 327,296 | ||||||
Keynote Systems, Inc. | 7,411 | 146,441 | ||||||
The KEYW Holding Corp. (a) | 14,451 | 191,476 | ||||||
Limelight Networks, Inc. (a) | 24,482 | 55,085 | ||||||
Lionbridge Technologies, Inc. (a) | 26,409 | 76,586 | ||||||
LivePerson, Inc. (a)(b) | 25,146 | 225,182 | ||||||
LogMeIn, Inc. (a) | 11,061 | 270,552 | ||||||
Manhattan Associates, Inc. (a)(b) | 8,874 | 684,718 | ||||||
Mantech International Corp., Class A | 10,760 | 281,051 | ||||||
Mentor Graphics Corp. | 43,447 | 849,389 | ||||||
Mercury Systems, Inc. (a)(b) | 14,715 | 135,672 | ||||||
MicroStrategy, Inc., Class A (a) | 4,116 | 357,927 | ||||||
Millennial Media, Inc. (a) | 16,026 | 139,586 | ||||||
Mitek Systems, Inc. (a) | 10,116 | 58,471 | ||||||
Moduslink Global Solutions, Inc. (a) | 16,791 | 53,395 | ||||||
Monotype Imaging Holdings, Inc. | 17,398 | 442,083 | ||||||
NetScout Systems, Inc. (a) | 16,513 | 385,413 | ||||||
NIC, Inc. | 29,586 | 489,057 | ||||||
OpenTable, Inc. (a) | 10,385 | 664,121 | ||||||
PDF Solutions, Inc. (a) | 11,442 | 210,876 | ||||||
Pegasystems, Inc. | 7,936 | 262,840 | ||||||
Perficient, Inc. (a) | 15,201 | 202,781 | ||||||
Progress Software Corp. (a) | 25,135 | 578,356 | ||||||
Proofpoint, Inc. (a) | 9,914 | 240,216 | ||||||
PROS Holdings, Inc. (a) | 10,263 | 307,377 | ||||||
PTC, Inc. (a) | 54,499 | 1,336,861 | ||||||
QAD, Inc., Class A | 2,721 | 31,237 | ||||||
QLIK Technologies, Inc. (a) | 39,651 | 1,120,934 | ||||||
RealNetworks, Inc. (a) | 10,319 | 78,012 | ||||||
RealPage, Inc. (a)(b) | 21,154 | 387,964 | ||||||
Reis, Inc. (a) | 3,679 | 68,025 | ||||||
Responsys, Inc. (a)(b) | 16,802 | 240,437 | ||||||
Sapiens International Corp. NV | 7,602 | 43,636 | ||||||
Sapient Corp. (a) | 50,326 | 657,258 | ||||||
SciQuest, Inc. (a) | 10,339 | 258,992 | ||||||
Shutterstock, Inc. (a)(b) | 3,370 | 187,979 | ||||||
Sourcefire, Inc. (a)(b) | 14,195 | 788,532 | ||||||
Spark Networks, Inc. (a) | 7,918 | 66,907 | ||||||
SPS Commerce, Inc. (a) | 6,825 | 375,375 | ||||||
SS&C Technologies Holdings, Inc. (a) | 26,497 | 871,751 | ||||||
Support.com, Inc. (a) | 22,899 | 104,648 | ||||||
Synchronoss Technologies, Inc. (a)(b) | 13,266 | 409,521 | ||||||
SYNNEX Corp. (a)(b) | 11,991 | 506,980 | ||||||
Syntel, Inc. | 7,032 | 442,102 | ||||||
Tangoe, Inc. (a) | 14,091 | 217,424 | ||||||
TechTarget, Inc. (a) | 6,576 | 29,395 | ||||||
TeleCommunication Systems, Inc., Class A (a) | 21,028 | 48,995 | ||||||
Tyler Technologies, Inc. (a) | 14,351 | 983,761 | ||||||
Ultimate Software Group, Inc. (a)(b) | 12,597 | 1,477,502 | ||||||
Unisys Corp. (a) | 20,134 | 444,357 | ||||||
United Online, Inc. | 42,229 | 320,096 | ||||||
Unwired Planet, Inc. (a) | 28,985 | 56,521 | ||||||
VASCO Data Security International, Inc. (a) | 13,274 | 110,307 | ||||||
Verint Systems, Inc. (a) | 23,975 | 850,393 | ||||||
VirnetX Holding Corp. (a)(b) | 19,252 | 384,848 | ||||||
Virtusa Corp. (a) | 9,287 | 205,800 | ||||||
Web.com Group, Inc. (a)(b) | 19,075 | 488,320 | ||||||
Yelp, Inc. (a) | 13,551 | 471,168 |
See Notes to Financial Statements. | ||||
60 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Computer Services Software & Systems (concluded) |
| |||||||
Zillow, Inc. (a) | 9,481 | $ | 533,780 | |||||
Zix Corp. (a) | 28,298 | 119,701 | ||||||
|
| |||||||
39,003,388 | ||||||||
|
| |||||||
Computer Technology — 0.4% | ||||||||
Cray, Inc. (a)(b) | 18,069 | 354,875 | ||||||
Imation Corp. (a) | 15,176 | 64,195 | ||||||
Immersion Corp. (a) | 12,775 | 169,269 | ||||||
Insight Enterprises, Inc. (a)(b) | 19,803 | 351,305 | ||||||
Intermec, Inc. (a) | 27,591 | 271,220 | ||||||
PC Connection, Inc. | 4,160 | 64,272 | ||||||
Quantum Corp. (a) | 97,252 | 133,235 | ||||||
Radisys Corp. (a) | 10,491 | 50,462 | ||||||
Safeguard Scientifics, Inc. (a) | 9,553 | 153,326 | ||||||
Silicon Graphics International Corp. (a) | 15,448 | 206,694 | ||||||
STEC, Inc. (a) | 15,364 | 103,246 | ||||||
Super Micro Computer, Inc. (a) | 14,421 | 153,439 | ||||||
Synaptics, Inc. (a) | 14,809 | 571,035 | ||||||
|
| |||||||
2,646,573 | ||||||||
|
| |||||||
Construction — 0.5% | ||||||||
Aegion Corp. (a)(b) | 17,843 | 401,646 | ||||||
EMCOR Group, Inc. | 30,582 | 1,243,158 | ||||||
Granite Construction, Inc. | 17,694 | 526,574 | ||||||
Great Lakes Dredge & Dock Corp. | 27,177 | 212,524 | ||||||
Orion Marine Group, Inc. (a) | 12,479 | 150,871 | ||||||
Primoris Services Corp. | 16,049 | 316,486 | ||||||
Sterling Construction Co., Inc. (a) | 7,440 | 67,407 | ||||||
Tutor Perini Corp. (a) | 16,833 | 304,509 | ||||||
|
| |||||||
3,223,175 | ||||||||
|
| |||||||
Consumer Electronics — 0.2% |
| |||||||
RealD, Inc. (a) | 18,496 | 257,094 | ||||||
Skullcandy, Inc. (a) | 8,075 | 44,090 | ||||||
TiVo, Inc. (a) | 57,723 | 637,839 | ||||||
Universal Electronics, Inc. (a) | 6,841 | 192,437 | ||||||
VOXX International Corp. (a) | 8,528 | 104,639 | ||||||
XO Group, Inc. (a) | 12,287 | 137,614 | ||||||
Zagg, Inc. (a) | 13,937 | 74,563 | ||||||
|
| |||||||
1,448,276 | ||||||||
|
| |||||||
Consumer Lending — 0.9% | ||||||||
Cash America International, Inc. | 13,007 | 591,298 | ||||||
Credit Acceptance Corp. (a) | 3,249 | 341,307 | ||||||
Encore Capital Group, Inc. (a) | 10,630 | 351,966 | ||||||
Ezcorp, Inc. (a) | 23,198 | 391,582 | ||||||
First Cash Financial Services, Inc. (a)(b) | 13,314 | 655,182 | ||||||
The First Marblehead Corp. (a) | 40,932 | 48,300 | ||||||
Imperial Holdings, Inc. (a) | 7,767 | 53,204 | ||||||
MGIC Investment Corp. (a) | 147,867 | 897,553 | ||||||
MoneyGram International, Inc. (a) | 9,812 | 222,242 | ||||||
Nelnet, Inc., Class A | 10,452 | 377,213 | ||||||
Netspend Holdings, Inc. (a) | 16,016 | 255,775 | ||||||
Nicholas Financial, Inc. | 4,680 | 70,762 | ||||||
Portfolio Recovery Associates, Inc. (a)(b) | 7,708 | 1,184,180 | ||||||
Regional Management Corp. (a) | 2,421 | 60,525 | ||||||
Tree.com, Inc. | 2,968 | 50,872 | ||||||
World Acceptance Corp. (a) | 4,245 | 369,060 | ||||||
|
| |||||||
5,921,021 | ||||||||
|
| |||||||
Consumer Services: Miscellaneous — 0.6% | ||||||||
Chuy’s Holdings, Inc. (a) | 7,362 | 282,259 | ||||||
Core-Mark Holdings Co., Inc. | 5,219 | 331,407 | ||||||
Del Frisco’s Restaurant Group, Inc. (a) | 4,813 | 103,046 | ||||||
Move, Inc. (a) | 18,202 | 233,350 | ||||||
NutriSystem, Inc. | 13,105 | 154,377 | ||||||
Sotheby’s | 31,107 | 1,179,266 |
Common Stocks | Shares | Value | ||||||
Consumer Services: Miscellaneous (concluded) |
| |||||||
Steiner Leisure Ltd. (a) | 6,678 | $ | 352,999 | |||||
WEX, Inc. (a)(b) | 17,675 | 1,355,672 | ||||||
|
| |||||||
3,992,376 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% | ||||||||
AEP Industries, Inc. (a) | 1,973 | 146,771 | ||||||
Berry Plastics Group, Inc. (a) | 25,164 | 555,370 | ||||||
Graphic Packaging Holding Co. (a) | 95,257 | 737,289 | ||||||
Myers Industries, Inc. | 12,893 | 193,524 | ||||||
UFP Technologies, Inc. (a) | 2,503 | 49,009 | ||||||
|
| |||||||
1,681,963 | ||||||||
|
| |||||||
Cosmetics — 0.1% | ||||||||
Elizabeth Arden, Inc. (a) | 11,671 | 526,012 | ||||||
Inter Parfums, Inc. | 7,482 | 213,387 | ||||||
Revlon, Inc., Class A (a) | 5,191 | 114,513 | ||||||
|
| |||||||
853,912 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
Blackhawk Network Holdings, Inc. (a) | 5,193 | 120,478 | ||||||
California First National Bancorp | 1,117 | 18,430 | ||||||
ConnectOne Bancorp, Inc. (a) | 789 | 24,254 | ||||||
DFC Global Corp. (a) | 18,469 | 255,057 | ||||||
Evercore Partners, Inc., Class A | 14,401 | 565,671 | ||||||
FBR & Co. (a) | 4,000 | 101,040 | ||||||
Fidus Investment Corp. | 6,259 | 117,106 | ||||||
Greenhill & Co., Inc. | 12,862 | 588,308 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a) | 6,645 | 78,943 | ||||||
Intersections, Inc. | 4,262 | 37,378 | ||||||
JTH Holding, Inc. Class A (a) | 1,983 | 32,224 | ||||||
Main Street Capital Corp. | 15,800 | 437,502 | ||||||
MidwestOne Financial Group, Inc. | 3,156 | 75,933 | ||||||
Outerwall, Inc. (a) | 12,809 | 751,504 | ||||||
Piper Jaffray Cos. (a) | 7,863 | 248,549 | ||||||
Planet Payment, Inc. (a) | 19,100 | 52,716 | ||||||
Stifel Financial Corp. (a)(b) | 28,934 | 1,032,076 | ||||||
Triangle Capital Corp. | 12,592 | 346,406 | ||||||
|
| |||||||
4,883,575 | ||||||||
|
| |||||||
Diversified Manufacturing Operations — 0.5% |
| |||||||
A.M. Castle & Co. (a) | 7,927 | 124,930 | ||||||
Barnes Group, Inc. | 24,497 | 734,665 | ||||||
Federal Signal Corp. (a) | 28,507 | 249,436 | ||||||
Lydall, Inc. (a) | 7,769 | 113,427 | ||||||
OSI Systems, Inc. (a) | 9,082 | 585,062 | ||||||
Raven Industries, Inc. | 16,570 | 496,769 | ||||||
Standex International Corp. | 5,790 | 305,423 | ||||||
Trimas Corp. (a) | 18,057 | 673,165 | ||||||
|
| |||||||
3,282,877 | ||||||||
|
| |||||||
Diversified Materials & Processing — 0.6% |
| |||||||
Belden, Inc. | 20,055 | 1,001,346 | ||||||
Cabot Microelectronics Corp. (a) | 10,607 | 350,137 | ||||||
Clarcor, Inc. | 22,631 | 1,181,565 | ||||||
Encore Wire Corp. | 9,339 | 318,460 | ||||||
Harbinger Group, Inc. (a) | 15,036 | 113,371 | ||||||
Insteel Industries, Inc. | 8,240 | 144,365 | ||||||
Koppers Holdings, Inc. | 9,424 | 359,808 | ||||||
NL Industries, Inc. | 3,107 | 35,109 | ||||||
Tredegar Corp. | 11,229 | 288,585 | ||||||
Uranium Energy Corp. (a)(b) | 39,174 | 70,122 | ||||||
|
| |||||||
3,862,868 | ||||||||
|
| |||||||
Diversified Media — 0.1% | ||||||||
Belo Corp., Class A | 47,293 | 659,738 | ||||||
EW Scripps Co. (a) | 14,209 | 221,376 | ||||||
Hemisphere Media Group, Inc. (a) | 3,826 | 52,416 | ||||||
|
| |||||||
933,530 | ||||||||
|
|
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 61 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Diversified Retail — 0.5% | ||||||||
The Bon-Ton Stores, Inc. | 6,165 | $ | 111,278 | |||||
Fred’s, Inc., Class A | 16,707 | 258,791 | ||||||
Gordmans Stores, Inc. (a) | 3,950 | 53,759 | ||||||
HSN, Inc. | 15,417 | 828,201 | ||||||
Overstock.com, Inc. (a) | 5,118 | 144,328 | ||||||
PriceSmart, Inc. | 8,602 | 753,793 | ||||||
Saks, Inc. (a) | 47,628 | 649,646 | ||||||
Tuesday Morning Corp. (a) | 19,507 | 202,288 | ||||||
ValueVision Media, Inc., Class A (a) | 17,808 | 90,999 | ||||||
Winmark Corp. | 1,017 | 65,973 | ||||||
|
| |||||||
3,159,056 | ||||||||
|
| |||||||
Drug & Grocery Store Chains — 0.8% |
| |||||||
Arden Group, Inc., Class A | 538 | 59,390 | ||||||
Casey’s General Stores, Inc. | 17,483 | 1,051,777 | ||||||
Harris Teeter Supermarkets | 22,533 | 1,055,896 | ||||||
Ingles Markets, Inc., Class A | 5,741 | 144,960 | ||||||
Nash Finch Co. | 5,572 | 122,640 | ||||||
The Pantry, Inc. (a) | 10,718 | 130,545 | ||||||
PetMed Express, Inc. | 9,236 | 116,374 | ||||||
Rite Aid Corp. (a) | 332,588 | 951,202 | ||||||
Spartan Stores, Inc. | 9,951 | 183,497 | ||||||
SUPERVALU, Inc. | 92,618 | 576,084 | ||||||
Susser Holdings Corp. (a)(b) | 8,210 | 393,095 | ||||||
Village Super Market, Inc., Class A | 2,935 | 97,119 | ||||||
Weis Markets, Inc. | 5,033 | 226,837 | ||||||
|
| |||||||
5,109,416 | ||||||||
|
| |||||||
Education Services — 0.5% | ||||||||
American Public Education, Inc. (a)(b) | 8,034 | 298,544 | ||||||
Bridgepoint Education, Inc. (a) | 8,300 | 101,094 | ||||||
Bright Horizons Family Solutions, Inc. (a) | 5,414 | 187,920 | ||||||
Capella Education Co. (a) | 5,048 | 210,249 | ||||||
Career Education Corp. (a) | 24,835 | 72,022 | ||||||
Corinthian Colleges, Inc. (a) | 36,300 | 81,312 | ||||||
Education Management Corp. (a) | 11,123 | 62,511 | ||||||
Franklin Covey Co. (a) | 4,224 | 56,855 | ||||||
Grand Canyon Education, Inc. (a)(b) | 20,669 | 666,162 | ||||||
HealthStream, Inc. (a) | 9,168 | 232,134 | ||||||
ITT Educational Services, Inc. (a) | 10,611 | 258,908 | ||||||
K12, Inc. (a) | 12,385 | 325,354 | ||||||
Lincoln Educational Services Corp. | 11,059 | 58,281 | ||||||
Rosetta Stone, Inc. (a) | 5,297 | 78,078 | ||||||
Strayer Education, Inc. | 4,939 | 241,171 | ||||||
Universal Technical Institute, Inc. | 9,728 | 100,490 | ||||||
|
| |||||||
3,031,085 | ||||||||
|
| |||||||
Electronic Components — 0.6% | ||||||||
Acacia Research Corp. | 22,414 | 500,953 | ||||||
Checkpoint Systems, Inc. (a) | 18,706 | 265,438 | ||||||
InvenSense, Inc. (a) | 25,849 | 397,558 | ||||||
Kemet Corp. (a) | 20,479 | 84,169 | ||||||
Methode Electronics, Inc. | 16,918 | 287,775 | ||||||
Multi-Fineline Electronix, Inc. (a) | 3,972 | 58,825 | ||||||
Neonode, Inc. (a) | 11,373 | 67,669 | ||||||
NVE Corp. (a) | 2,212 | 103,566 | ||||||
Park Electrochemical Corp. | 9,499 | 228,071 | ||||||
Rogers Corp. (a)(b) | 7,753 | 366,872 | ||||||
Sanmina Corp. (a) | 37,698 | 540,966 | ||||||
ScanSource, Inc. (a) | 12,679 | 405,728 | ||||||
Sparton Corp. (a) | 4,581 | 78,976 | ||||||
TTM Technologies, Inc. (a) | 24,106 | 202,490 | ||||||
Universal Display Corp. (a) | 18,332 | 515,313 | ||||||
Viasystems Group, Inc. (a) | 1,673 | 19,290 | ||||||
|
| |||||||
4,123,659 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Electronic Entertainment — 0.1% |
| |||||||
DTS, Inc. (a)(b) | 8,332 | $ | 171,473 | |||||
Glu Mobile, Inc. (a)(b) | 26,021 | 57,246 | ||||||
Take-Two Interactive Software, Inc. (a) | 36,871 | 551,959 | ||||||
|
| |||||||
780,678 | ||||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Agilysys, Inc. (a) | 6,517 | 73,577 | ||||||
American Science & Engineering, Inc. | 3,717 | 208,152 | ||||||
Coherent, Inc. | 11,074 | 609,845 | ||||||
Daktronics, Inc. | 16,738 | 171,732 | ||||||
II-VI, Inc. (a) | 23,255 | 378,126 | ||||||
iRobot Corp. (a)(b) | 12,875 | 512,039 | ||||||
Newport Corp. (a) | 17,800 | 247,954 | ||||||
Richardson Electronics Ltd. | 5,510 | 64,687 | ||||||
Rofin-Sinar Technologies, Inc. (a)(b) | 12,886 | 321,377 | ||||||
|
| |||||||
2,587,489 | ||||||||
|
| |||||||
Energy Equipment — 0.4% | ||||||||
C&J Energy Services, Inc. (a) | 20,502 | 397,124 | ||||||
Capstone Turbine Corp. (a) | 138,450 | 161,986 | ||||||
Dynegy, Inc. (a) | 45,393 | 1,023,612 | ||||||
Enphase Energy, Inc. (a) | 7,224 | 55,842 | ||||||
FuelCell Energy, Inc. (a) | 72,536 | 92,121 | ||||||
Matador Resources Co. (a) | 22,409 | 268,460 | ||||||
PowerSecure International, Inc. (a) | 8,573 | 128,852 | ||||||
Silver Spring Networks, Inc. (a) | 2,672 | 66,640 | ||||||
SunPower Corp. (a) | 18,795 | 389,056 | ||||||
Uni-Pixel, Inc. (a) | 4,608 | 67,784 | ||||||
|
| |||||||
2,651,477 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Geospace Technologies Corp. (a)(b) | 5,888 | 406,743 | ||||||
Pioneer Energy Services Corp. (a) | 28,310 | 187,412 | ||||||
|
| |||||||
594,155 | ||||||||
|
| |||||||
Engineering & Contracting Services — 0.5% |
| |||||||
Argan, Inc. | 6,294 | 98,186 | ||||||
Dycom Industries, Inc. (a) | 15,091 | 349,206 | ||||||
Engility Holdings, Inc. (a) | 7,765 | 220,681 | ||||||
Exponent, Inc. | 6,006 | 355,015 | ||||||
Furmanite Corp. (a) | 17,136 | 114,640 | ||||||
Layne Christensen Co. (a)(b) | 9,011 | 175,805 | ||||||
Mastec, Inc. (a)(b) | 27,065 | 890,438 | ||||||
Michael Baker Corp. | 3,928 | 106,488 | ||||||
Mistras Group, Inc. (a) | 7,248 | 127,420 | ||||||
MYR Group, Inc. (a) | 9,534 | 185,436 | ||||||
Power Solutions International, Inc. (a) | 900 | 30,231 | ||||||
Tetra Tech, Inc. (a)(b) | 29,564 | 695,050 | ||||||
VSE Corp. | 1,841 | 75,610 | ||||||
|
| |||||||
3,424,206 | ||||||||
|
| |||||||
Entertainment — 0.4% | ||||||||
Ascent Capital Group, Inc., Class A (a) | 6,437 | 502,537 | ||||||
Carmike Cinemas, Inc. (a) | 8,159 | 157,958 | ||||||
Live Nation Entertainment, Inc. (a) | 64,151 | 994,340 | ||||||
Navarre Corp. (a) | 17,876 | 49,338 | ||||||
Reading International, Inc., Class A (a) | 7,742 | 49,239 | ||||||
Rentrak Corp. (a) | 4,731 | 94,951 | ||||||
SHFL Entertainment, Inc. (a) | 25,686 | 454,899 | ||||||
Trans World Entertainment Corp. | 4,419 | 21,476 | ||||||
World Wrestling Entertainment, Inc. | 12,973 | 133,752 | ||||||
|
| |||||||
2,458,490 | ||||||||
|
| |||||||
Environmental, Maintenance, & Security Service — 0.7% |
| |||||||
ABM Industries, Inc. | 24,871 | 609,588 | ||||||
The Brink’s Co. | 21,833 | 556,960 | ||||||
G&K Services, Inc., Class A | 8,896 | 423,449 | ||||||
The Geo Group, Inc. | 32,626 | 1,107,653 |
See Notes to Financial Statements. | ||||
62 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Environmental, Maintenance, & Security Service (concluded) |
| |||||||
Healthcare Services Group, Inc. | 31,181 | $ | 764,558 | |||||
Mac-Gray Corp. | 5,559 | 78,938 | ||||||
Nuverra Environmental Solutions, Inc. (a)(b) | 65,164 | 188,976 | ||||||
Standard Parking Corp. (a)(b) | 7,003 | 150,284 | ||||||
Swisher Hygiene, Inc. (a) | 53,444 | 45,956 | ||||||
Unifirst Corp. | 6,667 | 608,364 | ||||||
|
| |||||||
4,534,726 | ||||||||
|
| |||||||
Fertilizers — 0.1% | ||||||||
Intrepid Potash, Inc. | 24,842 | 473,240 | ||||||
Rentech, Inc. | 68,542 | 143,938 | ||||||
|
| |||||||
617,178 | ||||||||
|
| |||||||
Financial Data & Systems — 0.7% |
| |||||||
Advent Software, Inc. (a) | 14,867 | 521,237 | ||||||
Cardtronics, Inc. (a) | 20,436 | 564,034 | ||||||
Cass Information Systems, Inc. | 4,699 | 216,624 | ||||||
Consumer Portfolio Services, Inc. (a) | 7,663 | 56,246 | ||||||
Euronet Worldwide, Inc. (a) | 22,715 | 723,700 | ||||||
EVERTEC, Inc. (a) | 13,422 | 294,881 | ||||||
Fair Isaac Corp. | 16,322 | 748,037 | ||||||
Global Cash Access, Inc. (a) | 30,288 | 189,603 | ||||||
Green Dot Corp., Class A (a) | 11,742 | 234,253 | ||||||
Heartland Payment Systems, Inc. | 16,554 | 616,636 | ||||||
Higher One Holdings, Inc. (a) | 14,220 | 165,521 | ||||||
Xoom Corp. (a) | 3,342 | 76,599 | ||||||
|
| |||||||
4,407,371 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.0% |
| |||||||
Fairway Group Holdings Corp. (a) | 7,146 | 172,719 | ||||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 4,025 | 124,775 | ||||||
|
| |||||||
297,494 | ||||||||
|
| |||||||
Foods — 1.4% | ||||||||
Annie’s, Inc. (a) | 6,216 | 265,672 | ||||||
B&G Foods, Inc., Class A | 24,110 | 820,945 | ||||||
Boulder Brands, Inc. (a) | 27,176 | 327,471 | ||||||
The Chefs’ Warehouse, Inc. (a) | 6,299 | 108,343 | ||||||
Chiquita Brands International, Inc. (a) | 21,189 | 231,384 | ||||||
Diamond Foods, Inc. (a)(b) | 10,133 | 210,260 | ||||||
Dole Food Co., Inc. (a) | 23,311 | 297,215 | ||||||
The Hain Celestial Group, Inc. (a) | 17,499 | 1,136,910 | ||||||
Inventure Foods, Inc. (a) | 6,249 | 52,242 | ||||||
J&J Snack Foods Corp. | 6,816 | 530,285 | ||||||
John B. Sanfilippo & Son, Inc. | 3,680 | 74,189 | ||||||
Lancaster Colony Corp. | 8,444 | 658,548 | ||||||
Lifeway Foods, Inc. | 2,129 | 36,959 | ||||||
Medifast, Inc. (a) | 6,294 | 162,133 | ||||||
Natures Sunshine Products, Inc. | 4,992 | 81,619 | ||||||
Nutraceutical International Corp. | 3,885 | 79,409 | ||||||
Omega Protein Corp. (a) | 9,164 | 82,293 | ||||||
Post Holdings, Inc. (a) | 14,853 | 648,482 | ||||||
Roundy’s, Inc. | 11,435 | 95,254 | ||||||
Seneca Foods Corp. (a) | 3,713 | 113,915 | ||||||
Snyders-Lance, Inc. | 21,618 | 614,167 | ||||||
Synutra International, Inc. (a) | 8,100 | 41,229 | ||||||
Tootsie Roll Industries, Inc. | 8,991 | 285,734 | ||||||
TreeHouse Foods, Inc. (a) | 16,509 | 1,082,000 | ||||||
United Natural Foods, Inc. (a) | 22,463 | 1,212,777 | ||||||
|
| |||||||
9,249,435 | ||||||||
|
| |||||||
Forest Products — 0.1% | ||||||||
Boise Cascade Co. (a) | 6,124 | 155,611 | ||||||
Deltic Timber Corp. | 5,043 | 291,586 | ||||||
Universal Forest Products, Inc. | 8,989 | 358,841 | ||||||
|
| |||||||
806,038 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Forms & Bulk Printing Services — 0.3% |
| |||||||
Consolidated Graphics, Inc. (a) | 3,308 | $ | 155,509 | |||||
Deluxe Corp. | 23,193 | 803,637 | ||||||
Ennis, Inc. | 11,940 | 206,443 | ||||||
Innerworkings, Inc. (a) | 20,111 | 218,204 | ||||||
Multi-Color Corp. | 5,605 | 170,056 | ||||||
Quad/Graphics, Inc. | 11,368 | 273,969 | ||||||
Schawk, Inc. | 6,017 | 79,003 | ||||||
|
| |||||||
1,906,821 | ||||||||
|
| |||||||
Funeral Parlors & Cemeteries — 0.2% |
| |||||||
Carriage Services, Inc. | 7,210 | 122,209 | ||||||
Hillenbrand, Inc. | 25,063 | 594,244 | ||||||
Matthews International Corp., Class A | 12,569 | 473,851 | ||||||
Stewart Enterprises, Inc., Class A | 33,097 | 433,240 | ||||||
|
| |||||||
1,623,544 | ||||||||
|
| |||||||
Gas Pipeline — 0.2% | ||||||||
Crosstex Energy, Inc. | 21,818 | 431,124 | ||||||
SemGroup Corp., Class A | 19,282 | 1,038,528 | ||||||
|
| |||||||
1,469,652 | ||||||||
|
| |||||||
Glass — 0.1% | ||||||||
Apogee Enterprises, Inc. | 13,131 | 315,144 | ||||||
|
| |||||||
Gold — 0.2% | ||||||||
Allied Nevada Gold Corp. (a) | 46,131 | 298,929 | ||||||
Coeur Mining, Inc. (a) | 45,098 | 599,804 | ||||||
Gold Resource Corp. | 13,751 | 119,771 | ||||||
Midway Gold Corp. (a) | 59,116 | 55,746 | ||||||
|
| |||||||
1,074,250 | ||||||||
|
| |||||||
Health Care Facilities — 0.7% |
| |||||||
Amsurg Corp. (a)(b) | 14,570 | 511,407 | ||||||
Assisted Living Concepts, Inc. Class A (a) | 8,976 | 107,353 | ||||||
Capital Senior Living Corp. (a) | 13,085 | 312,731 | ||||||
Emeritus Corp. (a) | 18,342 | 425,168 | ||||||
The Ensign Group, Inc. | 8,825 | 310,816 | ||||||
Five Star Quality Care, Inc. (a) | 19,552 | 109,687 | ||||||
Hanger, Inc. (a) | 15,793 | 499,533 | ||||||
HealthSouth Corp. (a) | 39,761 | 1,145,117 | ||||||
Kindred Healthcare, Inc. (a) | 24,635 | 323,458 | ||||||
National Healthcare Corp. | 4,899 | 234,172 | ||||||
Select Medical Holdings Corp. | 22,002 | 180,416 | ||||||
Skilled Healthcare Group, Inc., Class A (a) | 8,984 | 60,013 | ||||||
US Physical Therapy, Inc. | 5,531 | 152,877 | ||||||
Usmd Holding, Inc. (a) | 455 | 13,463 | ||||||
Vanguard Health Systems, Inc. (a) | 15,393 | 319,251 | ||||||
|
| |||||||
4,705,462 | ||||||||
|
| |||||||
Health Care Management Services — 0.7% |
| |||||||
Bioscript, Inc. (a) | 26,553 | 438,125 | ||||||
Centene Corp. (a)(b) | 24,779 | 1,299,906 | ||||||
Computer Programs & Systems, Inc. | 5,060 | 248,648 | ||||||
Magellan Health Services, Inc. (a) | 12,324 | 691,130 | ||||||
Molina Healthcare, Inc. (a) | 12,918 | 480,291 | ||||||
Triple-S Management Corp. (a) | 10,680 | 229,300 | ||||||
Universal American Corp. | 17,567 | 156,171 | ||||||
WellCare Health Plans, Inc. (a) | 19,795 | 1,099,612 | ||||||
|
| |||||||
4,643,183 | ||||||||
|
| |||||||
Health Care Services — 1.9% | ||||||||
Acadia Healthcare Co., Inc. (a)(b) | 16,131 | 533,452 | ||||||
Accelerate Diagnostics, Inc. (a) | 4,669 | 37,912 | ||||||
Accretive Health, Inc. (a) | 26,744 | 289,103 | ||||||
Addus HomeCare Corp. (a) | 2,474 | 48,837 | ||||||
Air Methods Corp. | 17,724 | 600,489 | ||||||
Alliance HealthCare Services, Inc. (a) | 2,235 | 34,955 | ||||||
Almost Family, Inc. | 3,728 | 70,832 | ||||||
Amedisys, Inc. (a) | 14,252 | 165,608 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 63 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Health Care Services (concluded) |
| |||||||
AMN Healthcare Services, Inc. (a) | 20,955 | $ | 300,076 | |||||
athenahealth, Inc. (a) | 16,735 | 1,417,789 | ||||||
Chemed Corp. | 8,602 | 623,043 | ||||||
Chindex International, Inc. (a) | 5,430 | 88,075 | ||||||
Corvel Corp. (a) | 5,762 | 168,654 | ||||||
Cross Country Healthcare, Inc. (a) | 12,334 | 63,643 | ||||||
ExamWorks Group, Inc. (a)(b) | 13,775 | 292,443 | ||||||
Gentiva Health Services, Inc. (a) | 14,251 | 141,940 | ||||||
Globus Medical, Inc., Class A (a) | 24,812 | 418,330 | ||||||
Greenway Medical Technologies (a) | 6,475 | 79,902 | ||||||
Healthways, Inc. (a) | 15,588 | 270,919 | ||||||
HMS Holdings Corp. (a)(b) | 39,949 | 930,812 | ||||||
IPC The Hospitalist Co., Inc. (a)(b) | 7,647 | 392,750 | ||||||
LHC Group, Inc. (a) | 5,537 | 108,415 | ||||||
Medidata Solutions, Inc. (a)(b) | 12,108 | 937,765 | ||||||
MiMedx Group, Inc. (a) | 38,149 | 269,332 | ||||||
MWI Veterinary Supply, Inc. (a) | 5,826 | 717,996 | ||||||
NeoGenomics, Inc. (a) | 14,623 | 58,200 | ||||||
Omnicell, Inc. (a) | 15,648 | 321,566 | ||||||
OvaScience, Inc. (a) | 3,983 | 54,687 | ||||||
PharMerica Corp. (a) | 13,529 | 187,512 | ||||||
Quality Systems, Inc. | 18,206 | 340,634 | ||||||
Ryman Hospitality Properties | 20,109 | 784,452 | ||||||
Team Health Holdings, Inc. (a) | 31,260 | 1,283,848 | ||||||
TearLab Corp. (a) | 11,627 | 123,479 | ||||||
Tetraphase Pharmaceuticals, Inc. (a) | 5,066 | 35,614 | ||||||
WebMD Health Corp. (a) | 16,020 | 470,507 | ||||||
|
| |||||||
12,663,571 | ||||||||
|
| |||||||
Health Care: Miscellaneous — 0.1% |
| |||||||
MedAssets, Inc. (a) | 27,708 | 491,540 | ||||||
The Providence Service Corp. (a) | 4,857 | 141,290 | ||||||
|
| |||||||
632,830 | ||||||||
|
| |||||||
Home Building — 0.7% | ||||||||
Beazer Homes USA, Inc. (a) | 11,461 | 200,797 | ||||||
Hovnanian Enterprises, Inc., Class A (a) | 49,147 | 275,715 | ||||||
KB Home | 38,113 | 748,158 | ||||||
M/I Homes, Inc. (a)(b) | 11,042 | 253,524 | ||||||
MDC Holdings, Inc. | 17,827 | 579,556 | ||||||
Meritage Homes Corp. (a) | 16,463 | 713,836 | ||||||
Ryland Group, Inc. | 21,020 | 842,902 | ||||||
Standard-Pacific Corp. (a) | 67,524 | 562,475 | ||||||
Tile Shop Holdings, Inc. (a) | 8,374 | 242,511 | ||||||
TRI Pointe Homes, Inc. (a) | 6,787 | 112,528 | ||||||
William Lyon Homes Class A (a) | 6,236 | 157,209 | ||||||
|
| |||||||
4,689,211 | ||||||||
|
| |||||||
Hotel/Motel — 0.2% | ||||||||
Bloomin’ Brands, Inc. (a) | 25,151 | 625,757 | ||||||
Marcus Corp. | 8,459 | 107,599 | ||||||
Morgans Hotel Group Co. (a) | 12,062 | 97,220 | ||||||
Orient Express Hotels Ltd., Class A (a) | 43,634 | 530,589 | ||||||
|
| |||||||
1,361,165 | ||||||||
|
| |||||||
Household Appliances — 0.0% | ||||||||
National Presto Industries, Inc. | 2,190 | 157,746 | ||||||
|
| |||||||
Household Equipment & Products — 0.2% | ||||||||
American Greetings Corp., Class A | 14,530 | 264,737 | ||||||
Blyth, Inc. | 4,244 | 59,246 | ||||||
Central Garden & Pet Co., Class A (a) | 18,945 | 130,720 | ||||||
CSS Industries, Inc. | 3,799 | 94,709 | ||||||
Helen of Troy Ltd. (a) | 14,515 | 556,941 | ||||||
Libbey, Inc. (a) | 9,551 | 228,937 | ||||||
Sears Hometown and Outlet Stores, Inc. (a) | 3,932 | 171,907 | ||||||
|
| |||||||
1,507,197 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Household Furnishings — 0.3% |
| |||||||
American Woodmark Corp. (a) | 4,542 | $ | 157,607 | |||||
Bassett Furniture Industries, Inc. | 4,960 | 77,029 | ||||||
Ethan Allen Interiors, Inc. | 11,316 | 325,901 | ||||||
Everyware Global, Inc. (a) | 4,453 | 54,059 | ||||||
Flexsteel Industries, Inc. | 2,191 | 53,417 | ||||||
Hooker Furniture Corp. | 4,914 | 79,902 | ||||||
Kirkland’s, Inc. (a) | 6,315 | 108,934 | ||||||
La-Z-Boy, Inc. | 23,868 | 483,804 | ||||||
Lifetime Brands, Inc. | 4,574 | 62,115 | ||||||
Select Comfort Corp. (a) | 25,366 | 635,672 | ||||||
|
| |||||||
2,038,440 | ||||||||
|
| |||||||
Insurance: Life — 0.6% | ||||||||
American Equity Investment Life Holding Co. | 29,156 | 457,749 | ||||||
Citizens, Inc. (a)(b) | 19,594 | 117,172 | ||||||
CNO Financial Group, Inc. | 101,119 | 1,310,502 | ||||||
FBL Financial Group, Inc., Class A | 4,061 | 176,694 | ||||||
Health Insurance Innovations, Inc. (a) | 2,025 | 21,303 | ||||||
Independence Holding Co. | 3,607 | 42,635 | ||||||
Kansas City Life Insurance Co. | 1,787 | 68,388 | ||||||
National Western Life Insurance Co., Class A | 987 | 187,382 | ||||||
The Phoenix Cos., Inc. (a) | 2,640 | 113,520 | ||||||
Primerica, Inc. | 25,913 | 970,183 | ||||||
Symetra Financial Corp. | 36,915 | 590,271 | ||||||
|
| |||||||
4,055,799 | ||||||||
|
| |||||||
Insurance: Multi-Line — 0.3% | ||||||||
Crawford & Co., Class B | 12,040 | 67,665 | ||||||
Eastern Insurance Holdings, Inc. | 3,040 | 57,000 | ||||||
eHealth, Inc. (a) | 8,907 | 202,367 | ||||||
Fortegra Financial Corp. (a) | 2,890 | 19,854 | ||||||
Horace Mann Educators Corp. | 18,148 | 442,448 | ||||||
Maiden Holdings Ltd. | 22,960 | 257,611 | ||||||
Pico Holdings, Inc. (a) | 10,398 | 217,942 | ||||||
Platinum Underwriters Holdings Ltd. | 14,540 | 831,979 | ||||||
|
| |||||||
2,096,866 | ||||||||
|
| |||||||
Insurance: Property-Casualty — 1.5% |
| |||||||
American Safety Insurance Holdings Ltd. (a) | 4,368 | 126,454 | ||||||
Amerisafe, Inc. | 8,453 | 273,793 | ||||||
AmTrust Financial Services, Inc. | 12,903 | 460,637 | ||||||
Argo Group International Holdings Ltd. (b) | 12,448 | 527,679 | ||||||
Baldwin & Lyons, Inc., Class B | 4,319 | 104,865 | ||||||
Donegal Group, Inc., Class A | 3,524 | 49,230 | ||||||
EMC Insurance Group, Inc. | 2,160 | 56,722 | ||||||
Employers Holdings, Inc. | 10,430 | 255,013 | ||||||
Enstar Group Ltd. (a) | 4,332 | 576,069 | ||||||
First American Financial Corp. | 49,401 | 1,088,798 | ||||||
Global Indemnity Plc (a) | 4,332 | 102,019 | ||||||
Greenlight Capital Re Ltd. (a)(b) | 12,930 | 317,173 | ||||||
Hallmark Financial Services, Inc. (a) | 6,587 | 60,205 | ||||||
HCI Group, Inc. | 4,228 | 129,884 | ||||||
Hilltop Holdings, Inc. (a) | 28,292 | 463,989 | ||||||
Infinity Property & Casualty Corp. | 5,295 | 316,429 | ||||||
Investors Title Co. | 604 | 42,848 | ||||||
Meadowbrook Insurance Group, Inc. | 22,946 | 184,256 | ||||||
Montpelier Re Holdings Ltd. | 21,207 | 530,387 | ||||||
National Interstate Corp. | 3,052 | 89,271 | ||||||
Navigators Group, Inc. (a) | 4,726 | 269,571 | ||||||
OneBeacon Insurance Group Ltd. | 10,424 | 150,940 | ||||||
Radian Group, Inc. | 78,870 | 916,469 | ||||||
RLI Corp. | 9,766 | 746,220 | ||||||
Safety Insurance Group, Inc. | 5,959 | 289,071 | ||||||
Selective Insurance Group, Inc. | 25,439 | 585,606 | ||||||
State Auto Financial Corp. | 6,963 | 126,518 | ||||||
Stewart Information Services Corp. | 9,752 | 255,405 | ||||||
Tower Group International Ltd. | 26,172 | 536,788 |
See Notes to Financial Statements. | ||||
64 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Insurance: Property-Casualty (concluded) |
| |||||||
United Fire Group, Inc. | 9,442 | $ | 234,445 | |||||
Universal Insurance Holdings, Inc. | 13,486 | 95,481 | ||||||
|
| |||||||
9,962,235 | ||||||||
|
| |||||||
International Trade & Diversified Logistic — 0.0% |
| |||||||
Global Sources Ltd. (a) | 8,567 | 57,485 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.0% |
| |||||||
Vitacost.com, Inc. (a) | 10,071 | 85,100 | ||||||
|
| |||||||
Internet Software & Services — 0.0% |
| |||||||
ChannelAdvisor Corp. (a) | 2,695 | 42,392 | ||||||
E2open, Inc. (a) | 6,647 | 116,323 | ||||||
eGain Corp. (a) | 5,836 | 56,142 | ||||||
Global Eagle Entertainment, Inc. (a) | 9,700 | 97,582 | ||||||
|
| |||||||
312,439 | ||||||||
|
| |||||||
Leisure Time — 1.0% | ||||||||
Black Diamond, Inc. (a) | 10,178 | 95,673 | ||||||
Callaway Golf Co. | 32,193 | 211,830 | ||||||
Churchill Downs, Inc. | 6,247 | 492,576 | ||||||
International Speedway Corp., Class A | 12,684 | 399,165 | ||||||
Interval Leisure Group, Inc. | 17,955 | 357,664 | ||||||
Johnson Outdoors, Inc. (a) | 2,262 | 56,324 | ||||||
Life Time Fitness, Inc. (a) | 19,606 | 982,457 | ||||||
Marriott Vacations Worldwide Corp. (a) | 13,236 | 572,325 | ||||||
Nautilus, Inc. (a) | 14,092 | 122,459 | ||||||
Orbitz Worldwide, Inc. (a) | 11,023 | 88,515 | ||||||
Pool Corp. | 21,228 | 1,112,559 | ||||||
Smith & Wesson Holding Corp. (a) | 29,263 | 292,045 | ||||||
Speedway Motorsports, Inc. | 5,293 | 92,098 | ||||||
Steinway Musical Instruments, Inc. (a) | 3,151 | 95,885 | ||||||
Sturm Ruger & Co., Inc. | 8,827 | 424,049 | ||||||
Town Sports International Holdings, Inc. | 10,847 | 116,822 | ||||||
Vail Resorts, Inc. | 16,358 | 1,006,344 | ||||||
West Marine, Inc. (a) | 7,550 | 83,050 | ||||||
|
| |||||||
6,601,840 | ||||||||
|
| |||||||
Luxury Items — 0.0% | ||||||||
Movado Group, Inc. | 8,067 | 272,907 | ||||||
|
| |||||||
Machinery: Agricultural — 0.2% |
| |||||||
Alamo Group, Inc. | 3,212 | 131,114 | ||||||
Lindsay Corp. | 5,861 | 439,458 | ||||||
Titan International, Inc. | 24,397 | 411,577 | ||||||
Titan Machinery, Inc. (a) | 7,810 | 153,310 | ||||||
|
| |||||||
1,135,459 | ||||||||
|
| |||||||
Machinery: Construction & Handling — 0.1% |
| |||||||
Astec Industries, Inc. | 9,278 | 318,143 | ||||||
Douglas Dynamics, Inc. | 10,162 | 131,903 | ||||||
NACCO Industries, Inc., Class A | 2,270 | 130,025 | ||||||
|
| |||||||
580,071 | ||||||||
|
| |||||||
Machinery: Engines — 0.1% | ||||||||
Briggs & Stratton Corp. | 21,968 | 434,966 | ||||||
|
| |||||||
Machinery: Industrial — 1.5% |
| |||||||
Actuant Corp., Class A | 33,335 | 1,099,055 | ||||||
Altra Holdings, Inc. | 12,324 | 337,431 | ||||||
Applied Industrial Technologies, Inc. | 19,201 | 927,984 | ||||||
Chart Industries, Inc. (a) | 13,814 | 1,299,759 | ||||||
Columbus McKinnon Corp. (a) | 8,885 | 189,428 | ||||||
DXP Enterprises, Inc. (a)(b) | 4,308 | 286,913 | ||||||
EnPro Industries, Inc. (a) | 9,501 | 482,271 | ||||||
The ExOne Co. (a)(b) | 2,782 | 171,705 | ||||||
Flow International Corp. (a) | 22,249 | 82,099 | ||||||
Graham Corp. | 4,575 | 137,387 | ||||||
Hardinge, Inc. | 5,356 | 79,162 | ||||||
Hyster-Yale Materials Handling, Inc. | 4,800 | 301,392 |
Common Stocks | Shares | Value | ||||||
Machinery: Industrial (concluded) |
| |||||||
John Bean Technologies Corp. | 13,207 | $ | 277,479 | |||||
Kadant, Inc. | 5,109 | 154,139 | ||||||
Manitex International, Inc. (a) | 5,473 | 59,929 | ||||||
Middleby Corp. (a)(b) | 8,562 | 1,456,311 | ||||||
MTS Systems Corp. | 7,210 | 408,086 | ||||||
Omega Flex, Inc. | 1,265 | 18,811 | ||||||
Proto Labs, Inc. (a) | 7,765 | 504,492 | ||||||
Tecumseh Products Co., Class A (a) | 8,179 | 89,396 | ||||||
Tennant Co. | 8,390 | 404,985 | ||||||
Twin Disc, Inc. | 3,817 | 90,463 | ||||||
Woodward, Inc. | 31,320 | 1,252,800 | ||||||
|
| |||||||
10,111,477 | ||||||||
|
| |||||||
Machinery: Specialty — 0.1% | ||||||||
Albany International Corp., Class A | 12,742 | 420,231 | ||||||
Hurco Cos., Inc. | 2,931 | 84,325 | ||||||
Xerium Technologies, Inc. (a) | 4,894 | 49,821 | ||||||
|
| |||||||
554,377 | ||||||||
|
| |||||||
Manufactured Housing — 0.0% |
| |||||||
Cavco Industries, Inc. (a) | 3,174 | 160,128 | ||||||
|
| |||||||
Medical & Dental Instruments & Supplies — 2.0% |
| |||||||
Abiomed, Inc. (a) | 17,627 | 380,038 | ||||||
Align Technology, Inc. (a)(b) | 33,327 | 1,234,432 | ||||||
Alphatec Holdings, Inc. (a) | 27,748 | 56,883 | ||||||
AngioDynamics, Inc. (a) | 11,184 | 126,156 | ||||||
Anika Therapeutics, Inc. (a) | 5,505 | 93,585 | ||||||
Antares Pharma, Inc. (a) | 51,262 | 213,250 | ||||||
AtriCure, Inc. (a) | 9,473 | 89,994 | ||||||
Atrion Corp. | 713 | 155,940 | ||||||
Biolase Inc. (a) | 14,365 | 51,427 | ||||||
Cantel Medical Corp. | 9,939 | 336,634 | ||||||
Cardiovascular Systems, Inc. (a) | 9,511 | 201,633 | ||||||
Cerus Corp. (a) | 31,905 | 141,020 | ||||||
CONMED Corp. | 12,634 | 394,686 | ||||||
CryoLife, Inc. | 12,616 | 78,976 | ||||||
Cutera, Inc. (a) | 6,568 | 57,798 | ||||||
Derma Sciences, Inc. (a) | 6,180 | 82,503 | ||||||
Endologix, Inc. (a)(b) | 28,555 | 379,210 | ||||||
Exactech, Inc. (a) | 4,163 | 82,219 | ||||||
Heartware International, Inc. (a) | 7,444 | 707,999 | ||||||
ICU Medical, Inc. (a)(b) | 5,891 | 424,506 | ||||||
Insulet Corp. (a)(b) | 24,329 | 764,174 | ||||||
Integra LifeSciences Holdings Corp. (a) | 9,092 | 333,040 | ||||||
Invacare Corp. | 14,553 | 208,981 | ||||||
Landauer, Inc. | 4,343 | 209,810 | ||||||
MAKO Surgical Corp. (a) | 19,136 | 230,589 | ||||||
Medical Action Industries, Inc. (a) | 6,458 | 49,727 | ||||||
Meridian Bioscience, Inc. | 18,922 | 406,823 | ||||||
Merit Medical Systems, Inc. (a) | 19,370 | 215,976 | ||||||
Navidea Biopharmaceuticals, Inc. (a)(b) | 54,285 | 144,941 | ||||||
Neogen Corp. (a) | 10,897 | 605,437 | ||||||
NuVasive, Inc. (a) | 20,156 | 499,667 | ||||||
OraSure Technologies, Inc. (a) | 25,466 | 98,808 | ||||||
Orthofix International NV (a) | 8,830 | 237,527 | ||||||
Owens & Minor, Inc. | 28,824 | 975,116 | ||||||
Quidel Corp. (a) | 12,814 | 327,141 | ||||||
Rochester Medical Corp. (a) | 4,982 | 73,385 | ||||||
Staar Surgical Co. (a) | 16,802 | 170,540 | ||||||
Steris Corp. | 26,863 | 1,151,885 | ||||||
SurModics, Inc. (a) | 6,567 | 131,406 | ||||||
Tornier NV (a) | 11,755 | 205,713 | ||||||
Unilife Corp. (a)(b) | 41,923 | 132,896 | ||||||
Utah Medical Products, Inc. | 1,508 | 81,884 | ||||||
Vascular Solutions, Inc. (a) | 7,531 | 110,781 | ||||||
Volcano Corp. (a)(b) | 24,861 | 450,730 | ||||||
|
| |||||||
13,105,866 | ||||||||
|
|
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 65 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Medical Equipment — 1.1% |
| |||||||
Abaxis, Inc. | 10,076 | $ | 478,711 | |||||
Accuray, Inc. (a) | 33,772 | 193,851 | ||||||
Affymetrix, Inc. (a) | 32,391 | 143,816 | ||||||
Analogic Corp. | 5,576 | 406,100 | ||||||
ArthroCare Corp. (a) | 12,843 | 443,469 | ||||||
Cyberonics, Inc. (a) | 12,594 | 654,384 | ||||||
Cynosure, Inc., Class A (a) | 8,273 | 214,934 | ||||||
DexCom, Inc. (a)(b) | 32,207 | 723,047 | ||||||
Fluidigm Corp. (a)(b) | 11,535 | 201,401 | ||||||
Greatbatch, Inc. (a)(b) | 10,891 | 357,116 | ||||||
Haemonetics Corp. (a) | 23,257 | 961,677 | ||||||
Luminex Corp. (a)(b) | 17,033 | 351,050 | ||||||
Masimo Corp. | 22,203 | 470,704 | ||||||
Merge Healthcare, Inc. (a) | 29,628 | 106,661 | ||||||
Natus Medical, Inc. (a) | 13,803 | 188,411 | ||||||
NxStage Medical, Inc. (a) | 27,162 | 387,873 | ||||||
Solta Medical, Inc. (a) | 32,228 | 73,480 | ||||||
Spectranetic Corp. (a) | 18,424 | 344,160 | ||||||
Thoratec Corp. (a) | 26,075 | 816,408 | ||||||
Zeltiq Aesthetics, Inc. (a) | 8,017 | 51,229 | ||||||
|
| |||||||
7,568,482 | ||||||||
|
| |||||||
Medical Services — 0.2% |
| |||||||
Bio-Reference Labs, Inc. (a)(b) | 11,165 | 320,994 | ||||||
Parexel International Corp. (a)(b) | 25,900 | 1,189,846 | ||||||
|
| |||||||
1,510,840 | ||||||||
|
| |||||||
Metal Fabricating — 0.7% |
| |||||||
Ampco-Pittsburgh Corp. | 3,846 | 72,189 | ||||||
Compx International, Inc. | 465 | 6,491 | ||||||
Dynamic Materials Corp. | 6,217 | 102,643 | ||||||
Global Brass & Copper Holdings, Inc. (a) | 3,529 | 46,724 | ||||||
Haynes International, Inc. | 5,615 | 268,790 | ||||||
Kaydon Corp. | 14,712 | 405,316 | ||||||
L.B. Foster Co., Class A | 4,592 | 198,237 | ||||||
Mueller Industries, Inc. | 12,759 | 643,436 | ||||||
Mueller Water Products, Inc., Series A | 72,085 | 498,107 | ||||||
NN, Inc. | 7,808 | 89,089 | ||||||
Northwest Pipe Co. (a) | 4,280 | 119,412 | ||||||
RBC Bearings, Inc. (a) | 10,444 | 542,566 | ||||||
Rexnord Corp. (a) | 13,740 | 231,519 | ||||||
RTI International Metals, Inc. (a)(b) | 14,233 | 394,397 | ||||||
Worthington Industries, Inc. | 24,101 | 764,243 | ||||||
|
| |||||||
4,383,159 | ||||||||
|
| |||||||
Metals & Minerals: Diversified — 0.7% |
| |||||||
Alpha Natural Resources, Inc. (a) | 100,362 | 525,897 | ||||||
AMCOL International Corp. | 12,610 | 399,611 | ||||||
Commercial Metals Co. | 53,019 | 783,091 | ||||||
General Moly, Inc. (a) | 26,549 | 49,647 | ||||||
Globe Specialty Metals, Inc. | 29,230 | 317,730 | ||||||
Hecla Mining Co. | 148,044 | 441,171 | ||||||
Materion Corp. | 9,357 | 253,481 | ||||||
Minerals Technologies, Inc. | �� | 15,874 | 656,231 | |||||
Molycorp, Inc. (a) | 56,376 | 349,531 | ||||||
Oil-Dri Corp. of America | 2,188 | 60,104 | ||||||
Paramount Gold and Silver Corp. (a)(b) | 56,487 | 67,220 | ||||||
SunCoke Energy, Inc. (a) | 31,845 | 446,467 | ||||||
United States Lime & Minerals, Inc. (a) | 853 | 44,569 | ||||||
Ur-Energy, Inc. (a) | 54,424 | 72,928 | ||||||
US Silica Holdings, Inc. | 9,768 | 202,979 | ||||||
|
| |||||||
4,670,657 | ||||||||
|
| |||||||
Miscellaneous Consumer Staples — 0.1% | ||||||||
Spectrum Brands Holdings, Inc. | 9,801 | 557,383 | ||||||
|
|
Common Stocks | Shares | Value | ||||||
Office Supplies & Equipment — 0.6% |
| |||||||
ACCO Brands Corp. (a) | 51,749 | $ | 329,123 | |||||
AT Cross Co., Class A (a) | 4,326 | 73,326 | ||||||
Electronics for Imaging, Inc. (a) | 21,154 | 598,447 | ||||||
Herman Miller, Inc. | 26,710 | 723,040 | ||||||
HNI Corp. | 20,730 | 747,731 | ||||||
Kimball International, Inc., Class B | 14,765 | 143,368 | ||||||
Knoll, Inc. | 21,982 | 312,364 | ||||||
Steelcase, Inc., Class A | 38,350 | 559,143 | ||||||
United Stationers, Inc. | 18,420 | 617,991 | ||||||
|
| |||||||
4,104,533 | ||||||||
|
| |||||||
Offshore Drilling & Other Services — 0.1% |
| |||||||
Hercules Offshore, Inc. (a) | 72,706 | 511,850 | ||||||
Vantage Drilling Co. (a) | 91,091 | 185,826 | ||||||
|
| |||||||
697,676 | ||||||||
|
| |||||||
Oil Well Equipment & Services — 1.4% |
| |||||||
Basic Energy Services, Inc. (a) | 13,644 | 164,956 | ||||||
Bolt Technology Corp. | 3,955 | 67,551 | ||||||
Cal Dive International, Inc. (a)(b) | 44,398 | 83,468 | ||||||
Dawson Geophysical Co. (a) | 3,668 | 135,202 | ||||||
Edgen Group, Inc. (a) | 7,430 | 47,403 | ||||||
Exterran Holdings, Inc. (a) | 26,242 | 737,925 | ||||||
Flotek Industries, Inc. (a) | 21,787 | 390,859 | ||||||
Forum Energy Technologies, Inc. (a) | 17,864 | 543,602 | ||||||
Global Geophysical Services, Inc. (a) | 10,217 | 48,224 | ||||||
Gulf Island Fabrication, Inc. | 6,577 | 125,950 | ||||||
Helix Energy Solutions Group, Inc. (a) | 48,269 | 1,112,118 | ||||||
Hornbeck Offshore Services, Inc. (a)(b) | 16,307 | 872,425 | ||||||
ION Geophysical Corp. (a) | 60,724 | 365,558 | ||||||
Key Energy Services, Inc. (a) | 69,384 | 412,835 | ||||||
Lufkin Industries, Inc. | 15,456 | 1,367,392 | ||||||
Matrix Service Co. (a) | 11,910 | 185,558 | ||||||
Mitcham Industries, Inc. (a) | 5,844 | 98,062 | ||||||
Natural Gas Services Group, Inc. (a) | 5,650 | 132,719 | ||||||
Newpark Resources, Inc. (a) | 39,334 | 432,281 | ||||||
Parker Drilling Co. (a) | 54,260 | 270,215 | ||||||
RigNet, Inc. (a) | 5,419 | 138,076 | ||||||
SEACOR Holdings, Inc. | 9,103 | 756,004 | ||||||
Tesco Corp. (a) | 13,768 | 182,426 | ||||||
Tetra Technologies, Inc. (a)(b) | 35,706 | 366,344 | ||||||
TGC Industries, Inc. | 6,956 | 57,178 | ||||||
Willbros Group, Inc. (a)(b) | 18,278 | 112,227 | ||||||
|
| |||||||
9,206,558 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.3% |
| |||||||
CARBO Ceramics, Inc. | 8,996 | 606,600 | ||||||
Emerald Oil, Inc. (a) | 16,597 | 113,855 | ||||||
EPL Oil & Gas, Inc. (a) | 13,610 | 399,590 | ||||||
Equal Energy Ltd. | 15,721 | 63,513 | ||||||
EXCO Resources, Inc. | 61,744 | 471,724 | ||||||
|
| |||||||
1,655,282 | ||||||||
|
| |||||||
Oil: Crude Producers — 1.9% |
| |||||||
Abraxas Petroleum Corp. (a) | 37,649 | 79,063 | ||||||
Apco Oil and Gas International, Inc. (a) | 4,164 | 48,011 | ||||||
Approach Resources, Inc. (a) | 15,853 | 389,508 | ||||||
Berry Petroleum Co., Class A | 23,994 | 1,015,426 | ||||||
Bill Barrett Corp. (a) | 22,215 | 449,187 | ||||||
Bonanza Creek Energy, Inc. (a) | 13,393 | 474,916 | ||||||
BPZ Resources, Inc. (a) | 53,512 | 95,786 | ||||||
Callon Petroleum Co. (a) | 18,232 | 61,442 | ||||||
Carrizo Oil & Gas, Inc. (a) | 18,393 | 521,074 | ||||||
Clayton Williams Energy, Inc. (a) | 2,678 | 116,493 | ||||||
Comstock Resources, Inc. | 22,006 | 346,154 | ||||||
Contango Oil & Gas Co. | 5,915 | 199,631 | ||||||
Crimson Exploration, Inc. (a) | 9,983 | 28,152 | ||||||
Diamondback Energy, Inc. (a) | 8,118 | 270,492 |
See Notes to Financial Statements. | ||||
66 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Oil: Crude Producers (concluded) |
| |||||||
Endeavour International Corp. (a)(b) | 21,552 | $ | 82,760 | |||||
Energy XXI Bermuda Ltd. | 36,156 | 801,940 | ||||||
Evolution Petroleum Corp. (a) | 7,746 | 84,509 | ||||||
Forest Oil Corp. (a)(b) | 54,452 | 222,709 | ||||||
FX Energy, Inc. (a) | 24,427 | 78,411 | ||||||
Gastar Exploration Ltd. (a) | 27,827 | 74,298 | ||||||
Goodrich Petroleum Corp. (a) | 12,053 | 154,278 | ||||||
Halcon Resources Corp. (a)(b) | 94,194 | 534,080 | ||||||
Isramco, Inc. (a) | 433 | 40,347 | ||||||
Kodiak Oil & Gas Corp. (a) | 120,958 | 1,075,317 | ||||||
Magnum Hunter Resources Corp. (a) | 78,268 | 285,678 | ||||||
Midstates Petroleum Co., Inc. (a) | 14,978 | 81,031 | ||||||
Northern Oil and Gas, Inc. (a) | 29,073 | 387,834 | ||||||
Panhandle Oil & Gas, Inc. | 3,191 | 90,943 | ||||||
PDC Energy, Inc. (a) | 13,829 | 711,917 | ||||||
Penn Virginia Corp. | 25,185 | 118,369 | ||||||
Petroquest Energy, Inc. (a) | 26,106 | 103,380 | ||||||
Quicksilver Resources, Inc. (a)(b) | 56,812 | 95,444 | ||||||
Resolute Energy Corp. (a)(b) | 30,716 | 245,114 | ||||||
Rex Energy Corp. (a) | 20,569 | 361,603 | ||||||
Rosetta Resources, Inc. (a) | 27,832 | 1,183,417 | ||||||
Sanchez Energy Corp. (a)(b) | 12,913 | 296,482 | ||||||
Stone Energy Corp. (a) | 22,766 | 501,535 | ||||||
Swift Energy Co. (a) | 19,732 | 236,587 | ||||||
Synergy Resources Corp. (a) | 18,591 | 136,086 | ||||||
Triangle Petroleum Corp. (a) | 21,010 | 147,280 | ||||||
Vaalco Energy, Inc. (a) | 26,458 | 151,340 | ||||||
W&T Offshore, Inc. | 15,873 | 226,825 | ||||||
Warren Resources, Inc. (a) | 33,144 | 84,517 | ||||||
ZaZa Energy Corp. (a) | 16,434 | 19,721 | ||||||
|
| |||||||
12,709,087 | ||||||||
|
| |||||||
Oil: Integrated — 0.1% |
| |||||||
Targa Resources, Inc. | 14,965 | 962,698 | ||||||
|
| |||||||
Oil: Refining & Marketing — 0.3% |
| |||||||
Adams Resources & Energy, Inc. | 995 | 68,546 | ||||||
Alon USA Energy, Inc. | 10,704 | 154,780 | ||||||
Arabian American Development Co. (a) | 9,365 | 81,475 | ||||||
Clean Energy Fuels Corp. (a) | 31,259 | 412,619 | ||||||
Delek US Holdings, Inc. | 16,983 | 488,771 | ||||||
Miller Energy Resources, Inc. (a) | 14,001 | 56,004 | ||||||
Renewable Energy Group, Inc. (a) | 9,723 | 138,358 | ||||||
Western Refining, Inc. | 24,832 | 697,034 | ||||||
|
| |||||||
2,097,587 | ||||||||
|
| |||||||
Paints & Coatings — 0.2% |
| |||||||
Chase Corp. | 2,946 | 65,872 | ||||||
Ferro Corp. (a) | 33,100 | 230,045 | ||||||
H.B. Fuller Co. | 22,918 | 866,530 | ||||||
|
| |||||||
1,162,447 | ||||||||
|
| |||||||
Paper — 0.7% | ||||||||
Boise, Inc. | 45,856 | 391,610 | ||||||
Buckeye Technologies, Inc. | 18,497 | 685,129 | ||||||
Clearwater Paper Corp. (a) | 10,083 | 474,506 | ||||||
Kapstone Paper and Packaging Corp. | 18,571 | 746,183 | ||||||
Neenah Paper, Inc. | 7,232 | 229,761 | ||||||
P.H. Glatfelter Co. | 19,483 | 489,023 | ||||||
Resolute Forest Products (a) | 31,656 | 416,910 | ||||||
Schweitzer-Mauduit International, Inc. | 14,263 | 711,438 | ||||||
Wausau Paper Corp. | 22,298 | 254,197 | ||||||
|
| |||||||
4,398,757 | ||||||||
|
| |||||||
Personal Care — 0.1% | ||||||||
Female Health Co. | 9,841 | 97,032 | ||||||
Orchids Paper Products Co. | 2,675 | 70,219 | ||||||
PhotoMedex, Inc. (a) | 6,295 | 100,343 |
Common Stocks | Shares | Value | ||||||
Personal Care (concluded) |
| |||||||
USANA Health Sciences, Inc. (a)(b) | 2,732 | $ | 197,742 | |||||
WD-40 Co. | 7,048 | 383,975 | ||||||
|
| |||||||
849,311 | ||||||||
|
| |||||||
Pharmaceuticals — 1.8% |
| |||||||
Acadia Pharmaceuticals, Inc. (a) | 31,928 | 579,493 | ||||||
AcelRx Pharmaceuticals, Inc. (a) | 9,488 | 87,954 | ||||||
Achillion Pharmaceuticals, Inc. (a) | 43,886 | 358,987 | ||||||
Akorn, Inc. (a)(b) | 26,547 | 358,915 | ||||||
American Pacific Corp. (a) | 2,648 | 75,071 | ||||||
Ampio Pharmaceuticals, Inc. (a)(b) | 12,532 | 72,310 | ||||||
Anacor Pharmaceuticals, Inc. (a) | 11,483 | 64,190 | ||||||
Auxilium Pharmaceuticals, Inc. (a) | 22,457 | 373,460 | ||||||
Avanir Pharmaceuticals, Inc. (a) | 66,191 | 304,479 | ||||||
Cadence Pharmaceuticals, Inc. (a) | 28,239 | 192,590 | ||||||
Cambrex Corp. (a) | 13,723 | 191,710 | ||||||
Cempra, Inc. (a) | 6,549 | 51,279 | ||||||
Chimerix, Inc. (a) | 3,788 | 91,821 | ||||||
Corcept Therapeutics, Inc. (a) | 23,799 | 41,172 | ||||||
Depomed, Inc. (a) | 25,809 | 144,788 | ||||||
Enanta Pharmaceuticals, Inc. (a) | 1,597 | 28,283 | ||||||
Endocyte, Inc. (a)(b) | 13,883 | 182,284 | ||||||
Hi-Tech Pharmacal Co., Inc. | 5,053 | 167,760 | ||||||
Impax Laboratories, Inc. (a)(b) | 31,197 | 622,380 | ||||||
Infinity Pharmaceuticals, Inc. (a) | 21,799 | 354,234 | ||||||
Ironwood Pharmaceuticals, Inc. (a) | 42,335 | 421,233 | ||||||
Isis Pharmaceuticals, Inc. (a)(b) | 51,166 | 1,374,830 | ||||||
Lannett Co., Inc. (a) | 7,507 | 89,408 | ||||||
Lifevantage Corp. (a) | 48,066 | 111,513 | ||||||
The Medicines Co. (a) | 25,506 | 784,565 | ||||||
MEI Pharma, Inc. (a) | 4,282 | 30,531 | ||||||
Omthera Pharmaceuticals, Inc. (a) | 2,674 | 35,564 | ||||||
Optimer Pharmaceuticals, Inc. (a) | 22,172 | 320,829 | ||||||
Pacira Pharmaceuticals, Inc. (a) | 12,546 | 363,834 | ||||||
Pernix Therapeutics Holdings, Inc. (a) | 7,665 | 27,671 | ||||||
Portola Pharmaceuticals, Inc. (a) | 4,380 | 107,617 | ||||||
Pozen, Inc. (a) | 12,439 | 62,319 | ||||||
Prestige Brands Holdings, Inc. (a) | 23,302 | 679,020 | ||||||
Questcor Pharmaceuticals, Inc. | 23,645 | 1,074,902 | ||||||
Receptos, Inc. (a) | 2,576 | 51,237 | ||||||
Sagent Pharmaceuticals, Inc. (a) | 7,527 | 157,916 | ||||||
Santarus, Inc. (a) | 25,273 | 531,997 | ||||||
Sciclone Pharmaceuticals, Inc. (a) | 24,713 | 122,576 | ||||||
SIGA Technologies, Inc. (a)(b) | 16,693 | 47,408 | ||||||
Spectrum Pharmaceuticals, Inc. | 27,378 | 204,240 | ||||||
Supernus Pharmaceuticals, Inc. (a)(b) | 6,743 | 43,357 | ||||||
T.G. Theraputics, Inc. (a) | 5,687 | 36,340 | ||||||
TherapeuticsMD, Inc. (a) | 35,300 | 106,959 | ||||||
Vical, Inc. (a) | 34,707 | 108,633 | ||||||
Vivus, Inc. (a)(b) | 45,881 | 577,183 | ||||||
Xenoport, Inc. (a)(b) | 19,814 | 98,079 | ||||||
Zogenix, Inc. (a) | 32,415 | 55,430 | ||||||
|
| |||||||
11,968,351 | ||||||||
|
| |||||||
Plastics — 0.1% | ||||||||
A. Schulman, Inc. | 13,408 | 359,603 | ||||||
Ply Gem Holdings, Inc. (a) | 7,171 | 143,850 | ||||||
|
| |||||||
503,453 | ||||||||
|
| |||||||
Power Transmission Equipment — 0.3% |
| |||||||
Advanced Energy Industries, Inc. (a) | 17,900 | 311,639 | ||||||
Generac Holdings, Inc. | 23,486 | 869,217 | ||||||
Global Power Equipment Group, Inc. | 7,739 | 124,753 | ||||||
Maxwell Technologies, Inc. (a) | 13,340 | 95,381 | ||||||
Powell Industries, Inc. (a) | 4,188 | 216,310 | ||||||
Power-One, Inc. (a) | 30,509 | 192,817 | ||||||
Vicor Corp. (a) | 8,107 | 55,533 | ||||||
|
| |||||||
1,865,650 | ||||||||
|
|
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 67 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Precious Metals & Minerals — 0.1% |
| |||||||
Horsehead Holding Corp. (a)(b) | 20,096 | $ | 257,430 | |||||
Stillwater Mining Co. (a) | 53,831 | 578,145 | ||||||
|
| |||||||
835,575 | ||||||||
|
| |||||||
Printing & Copying Services — 0.1% |
| |||||||
Casella Waste Systems, Inc. (a) | 17,609 | 75,895 | ||||||
Cenveo, Inc. (a) | 24,389 | 51,949 | ||||||
VistaPrint NV (a)(b) | 14,885 | 734,872 | ||||||
|
| |||||||
862,716 | ||||||||
|
| |||||||
Producer Durables: Miscellaneous — 0.1% |
| |||||||
Blount International, Inc. (a) | 22,427 | 265,087 | ||||||
Park-Ohio Holdings Corp. (a) | 3,958 | 130,535 | ||||||
|
| |||||||
395,622 | ||||||||
|
| |||||||
Production Technology Equipment — 1.0% |
| |||||||
ATMI, Inc. (a) | 14,540 | 343,871 | ||||||
Axcelis Technologies, Inc. (a) | 49,144 | 89,442 | ||||||
Brooks Automation, Inc. | 30,338 | 295,189 | ||||||
Cognex Corp. | 19,803 | 895,492 | ||||||
Cohu, Inc. | 11,270 | 140,875 | ||||||
Electro Scientific Industries, Inc. | 10,743 | 115,595 | ||||||
Entegris, Inc. (a) | 63,519 | 596,443 | ||||||
FEI Co. | 17,569 | 1,282,361 | ||||||
GSI Group, Inc. (a) | 13,682 | 110,003 | ||||||
LTX-Credence Corp. (a) | 21,695 | 129,953 | ||||||
MKS Instruments, Inc. | 24,140 | 640,676 | ||||||
Nanometrics, Inc. (a)(b) | 10,531 | 154,490 | ||||||
Photronics, Inc. (a) | 27,716 | 223,391 | ||||||
Rudolph Technologies, Inc. (a) | 14,895 | 166,824 | ||||||
Tessera Technologies, Inc. | 24,049 | 500,219 | ||||||
Ultra Clean Holdings, Inc. (a) | 10,908 | 65,993 | ||||||
Ultratech, Inc. (a)(b) | 12,638 | 464,067 | ||||||
Veeco Instruments, Inc. (a) | 17,845 | 632,070 | ||||||
|
| |||||||
6,846,954 | ||||||||
|
| |||||||
Publishing — 0.4% | ||||||||
AH Belo Corp. | 8,361 | 57,356 | ||||||
Courier Corp. | 5,097 | 72,785 | ||||||
Daily Journal Corp. (a) | 417 | 47,121 | ||||||
Dex Media, Inc. (a) | 7,796 | 136,976 | ||||||
Journal Communications, Inc., Class A (a) | 20,004 | 149,830 | ||||||
Martha Stewart Living Omnimedia, Inc., | 13,345 | 32,161 | ||||||
McClatchy Co., Class A (a) | 27,400 | 62,472 | ||||||
Media General, Inc., Class A (a) | 8,861 | 97,737 | ||||||
Meredith Corp. | 16,285 | 776,794 | ||||||
The New York Times Co., Class A (a) | 58,845 | 650,826 | ||||||
Scholastic Corp. | 12,040 | 352,652 | ||||||
|
| |||||||
2,436,710 | ||||||||
|
| |||||||
Radio & TV Broadcasters — 0.4% |
| |||||||
Beasley Broadcasting Group, Inc., Class A | 1,845 | 15,461 | ||||||
Central European Media Enterprises Ltd. (a) | 34,663 | 114,734 | ||||||
Crown Media Holdings, Inc., Class A (a) | 16,080 | 39,718 | ||||||
Cumulus Media, Inc., Class A (a) | 34,148 | 115,762 | ||||||
Entercom Communications Corp. (a)(b) | 10,951 | 103,377 | ||||||
Entravision Communications Corp., Class A | 25,159 | 154,728 | ||||||
Fisher Communications, Inc. | 4,075 | 167,401 | ||||||
Gray Television, Inc. (a) | 22,856 | 164,563 | ||||||
Lin TV Corp., Class A (a) | 13,013 | 199,099 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 13,373 | 474,207 | ||||||
Saga Communications, Inc. | 2,212 | 101,553 | ||||||
Salem Communications Corp., Class A | 4,676 | 35,023 | ||||||
Sinclair Broadcast Group, Inc., Class A | 31,185 | 916,215 | ||||||
|
| |||||||
2,601,841 | ||||||||
|
|
Common Stocks | Shares | Value | ||||||
Railroad Equipment — 0.1% |
| |||||||
American Railcar Industries, Inc. | 4,318 | $ | 144,696 | |||||
Freightcar America, Inc. | 5,442 | 92,459 | ||||||
Greenbrier Cos., Inc. (a)(b) | 11,110 | 270,751 | ||||||
|
| |||||||
507,906 | ||||||||
|
| |||||||
Real Estate — 0.2% |
| |||||||
AV Homes, Inc. (a) | 4,333 | 76,824 | ||||||
Consolidated-Tomoka Land Co. | 2,615 | 99,788 | ||||||
Forestar Group, Inc. (a) | 15,814 | 317,229 | ||||||
Griffin Land & Nurseries, Inc. | 1,205 | 34,367 | ||||||
HFF, Inc., Class A | 15,142 | 269,073 | ||||||
Kennedy-Wilson Holdings, Inc. | 23,831 | 396,548 | ||||||
Market Leader, Inc. (a) | 10,894 | 116,566 | ||||||
Tejon Ranch Co. (a) | 6,243 | 177,863 | ||||||
Thomas Properties Group, Inc. | 13,933 | 73,845 | ||||||
|
| |||||||
1,562,103 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.8% |
| |||||||
Acadia Realty Trust (b) | 25,053 | 618,559 | ||||||
AG Mortgage Investment Trust, Inc. | 12,642 | 237,796 | ||||||
Agree Realty Corp. | 6,083 | 179,570 | ||||||
Alexander & Baldwin, Inc. (a) | 19,492 | 774,807 | ||||||
Alexander’s, Inc. (b) | 960 | 281,962 | ||||||
Altisource Residential Corp. (a) | 11,266 | 188,030 | ||||||
American Assets Trust, Inc. | 15,316 | 472,652 | ||||||
American Capital Mortgage Investment Corp. | 26,964 | 484,543 | ||||||
American Realty Capital Properties, Inc. | 70,104 | 1,069,787 | ||||||
American Residential Properties, Inc. (a) | 6,123 | 105,316 | ||||||
AmREIT, Inc., Class B | 7,206 | 139,364 | ||||||
Anworth Mortgage Asset Corp. | 66,450 | 372,120 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 16,616 | 263,862 | ||||||
Ares Commercial Real Estate Corp. | 3,179 | 40,723 | ||||||
Armada Hoffler Properties, Inc. | 8,446 | 99,494 | ||||||
ARMOUR Residential REIT, Inc. | 170,678 | 803,893 | ||||||
Ashford Hospitality Trust, Inc. | 23,830 | 272,853 | ||||||
Associated Estates Realty Corp. | 23,019 | 370,146 | ||||||
Aviv REIT, Inc. | 5,188 | 131,205 | ||||||
Campus Crest Communities, Inc. | 29,509 | 340,534 | ||||||
CapLease, Inc. | 40,651 | 343,094 | ||||||
Capstead Mortgage Corp. | 43,674 | 528,455 | ||||||
Cedar Realty Trust, Inc. | 28,186 | 146,003 | ||||||
Chambers Street Properties | 113,071 | 1,130,710 | ||||||
Chatham Lodging Trust | 7,989 | 137,251 | ||||||
Chesapeake Lodging Trust | 22,153 | 460,561 | ||||||
Colonial Properties Trust | 40,409 | 974,665 | ||||||
Colony Financial, Inc. | 29,442 | 585,601 | ||||||
Coresite Realty Corp. | 9,468 | 301,177 | ||||||
Cousins Properties, Inc. | 48,771 | 492,587 | ||||||
CubeSmart (b) | 60,759 | 970,929 | ||||||
CyrusOne, Inc. | 8,725 | 180,957 | ||||||
CYS Investments, Inc. | 79,685 | 733,899 | ||||||
DCT Industrial Trust, Inc. | 132,315 | 946,052 | ||||||
DiamondRock Hospitality Co. (b) | 88,852 | 828,101 | ||||||
DuPont Fabros Technology, Inc. | 28,466 | 687,454 | ||||||
Dynex Capital Corp. | 25,166 | 256,442 | ||||||
Eastgroup Properties, Inc. (b) | 13,802 | 776,639 | ||||||
Education Realty Trust, Inc. | 52,051 | 532,482 | ||||||
Ellington Residential Mortgage REIT | 2,823 | 50,391 | ||||||
EPR Properties (b) | 21,452 | 1,078,392 | ||||||
Equity One, Inc. (b) | 27,339 | 618,682 | ||||||
Excel Trust, Inc. | 21,808 | 279,360 | ||||||
FelCor Lodging Trust, Inc. (a) | 56,703 | 335,115 | ||||||
First Industrial Realty Trust, Inc. (b) | 49,027 | 743,740 | ||||||
First Potomac Realty Trust | 26,641 | 347,931 | ||||||
Franklin Street Properties Corp. | 40,952 | 540,566 | ||||||
Getty Realty Corp. (b) | 11,742 | 242,472 | ||||||
Gladstone Commercial Corp. | 5,613 | 104,626 |
See Notes to Financial Statements. | ||||
68 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Real Estate Investment Trusts (REITs) (concluded) |
| |||||||
Glimcher Realty Trust (b) | 65,773 | $ | 718,241 | |||||
Government Properties Income Trust (b) | 24,824 | 626,061 | ||||||
Gramercy Property Trust, Inc. (a) | 27,071 | 121,820 | ||||||
Healthcare Realty Trust, Inc. (b) | 41,159 | 1,049,554 | ||||||
Hersha Hospitality Trust | 92,020 | 518,993 | ||||||
Highwoods Properties, Inc. (b) | 37,407 | 1,332,063 | ||||||
Hudson Pacific Properties, Inc. | 19,754 | 420,365 | ||||||
Inland Real Estate Corp. | 38,723 | 395,749 | ||||||
InvesCo. Mortgage Capital, Inc. | 61,707 | 1,021,868 | ||||||
Investors Real Estate Trust | 45,956 | 395,222 | ||||||
iStar Financial, Inc. (a) | 38,808 | 438,142 | ||||||
JAVELIN Mortgage Investment Corp. | 6,078 | 85,639 | ||||||
Kite Realty Group Trust | 41,353 | 249,359 | ||||||
KYTHERA Biopharmaceuticals, Inc. (a) | 4,611 | 124,728 | ||||||
LaSalle Hotel Properties (b) | 43,550 | 1,075,685 | ||||||
Lexington Realty Trust (b) | 76,830 | 897,374 | ||||||
LTC Properties, Inc. | 15,864 | 619,489 | ||||||
Medical Properties Trust, Inc. | 68,520 | 981,206 | ||||||
Monmouth Real Estate Investment Corp., Class A | 19,229 | 189,790 | ||||||
MPG Office Trust, Inc. (a) | 26,072 | 81,866 | ||||||
National Health Investors, Inc. (b) | 11,240 | 672,826 | ||||||
New Residential Investment Corp. | 114,833 | 773,974 | ||||||
New York Mortgage Trust, Inc. | 29,088 | 196,926 | ||||||
NorthStar Realty Finance Corp. | 90,473 | 823,304 | ||||||
One Liberty Properties, Inc. | 5,379 | 118,123 | ||||||
Parkway Properties, Inc. | 19,766 | 331,278 | ||||||
Pebblebrook Hotel Trust | 27,963 | 722,844 | ||||||
Pennsylvania Real Estate Investment Trust | 31,051 | 586,243 | ||||||
PennyMac Mortgage Investment Trust (c) | 28,588 | 601,777 | ||||||
Potlatch Corp. | 18,500 | 748,140 | ||||||
PS Business Parks, Inc. | 8,322 | 600,599 | ||||||
RAIT Financial Trust | 31,976 | 240,460 | ||||||
Ramco-Gershenson Properties Trust | 27,299 | 423,953 | ||||||
Redwood Trust, Inc. | 37,398 | 635,766 | ||||||
Resource Capital Corp. (b) | 58,108 | 357,364 | ||||||
Retail Opportunity Investments Corp. | 30,332 | 421,615 | ||||||
RLJ Lodging Trust | 56,380 | 1,267,986 | ||||||
Rouse Properties, Inc. | 10,275 | 201,596 | ||||||
Sabra Healthcare REIT, Inc. | 17,081 | 445,985 | ||||||
Saul Centers, Inc. | 3,522 | 156,588 | ||||||
Select Income REIT | 7,732 | 216,805 | ||||||
Silver Bay Realty Trust Corp. | 7,005 | 116,003 | ||||||
Sovran Self Storage, Inc. | 14,304 | 926,756 | ||||||
Spirit Realty Capital, Inc. | 26,162 | 463,591 | ||||||
STAG Industrial, Inc. | 19,013 | 379,309 | ||||||
Strategic Hotel Capital, Inc. (a) | 82,701 | 732,731 | ||||||
Summit Hotel Properties, Inc. | 29,785 | 281,468 | ||||||
Sun Communities, Inc. | 16,372 | 814,671 | ||||||
Sunstone Hotel Investors, Inc. (a) | 74,226 | 896,650 | ||||||
Terreno Realty Corp. | 8,748 | 162,100 | ||||||
UMH Properties, Inc. | 6,646 | 68,254 | ||||||
Universal Health Realty Income Trust | 5,453 | 235,188 | ||||||
Urstadt Biddle Properties, Inc., Class A | 11,450 | 230,946 | ||||||
Walter Investment Management Corp. (a) | 16,805 | 568,177 | ||||||
Washington Real Estate Investment Trust (b) | 30,345 | 816,584 | ||||||
Western Asset Mortgage Capital Corp. | 10,999 | 192,043 | ||||||
Whitestone REIT | 7,601 | 119,792 | ||||||
Winthrop Realty Trust | 13,334 | 160,408 | ||||||
ZAIS Financial Corp. | 2,535 | 46,061 | ||||||
|
| |||||||
51,699,648 | ||||||||
|
| |||||||
Recreational Vehicles & Boats — 0.4% |
| |||||||
Arctic Cat, Inc. | 5,996 | 269,700 | ||||||
Brunswick Corp. | 41,216 | 1,316,851 | ||||||
Drew Industries, Inc. | 10,410 | 409,321 |
Common Stocks | Shares | Value | ||||||
Recreational Vehicles & Boats (concluded) |
| |||||||
Marine Products Corp. | 5,046 | $ | 40,469 | |||||
Winnebago Industries, Inc. (a) | 12,822 | 269,134 | ||||||
|
| |||||||
2,305,475 | ||||||||
|
| |||||||
Rental & Leasing Services: Consumer — 0.2% |
| |||||||
Rent-A-Center, Inc. | 26,321 | 988,354 | ||||||
|
| |||||||
Restaurants — 1.6% |
| |||||||
AFC Enterprises, Inc. (a) | 10,893 | 391,494 | ||||||
Biglari Holdings, Inc. (a) | 549 | 225,310 | ||||||
BJ’s Restaurants, Inc. (a) | 11,236 | 416,856 | ||||||
Bob Evans Farms, Inc. | 12,698 | 596,552 | ||||||
Bravo Brio Restaurant Group, Inc. (a) | 8,924 | 159,026 | ||||||
Buffalo Wild Wings, Inc. (a) | 8,545 | 838,777 | ||||||
Carrols Restaurant Group, Inc. (a) | 10,590 | 68,411 | ||||||
CEC Entertainment, Inc. | 8,113 | 332,958 | ||||||
The Cheesecake Factory, Inc. | 24,296 | 1,017,760 | ||||||
Cracker Barrel Old Country Store, Inc. | 8,949 | 847,112 | ||||||
Denny’s Corp. (a) | 41,938 | 235,692 | ||||||
DineEquity, Inc. | 7,520 | 517,902 | ||||||
Diversified Restaurant Holdings, Inc. (a) | 4,700 | 37,412 | ||||||
Einstein Noah Restaurant Group, Inc. | 2,873 | 40,797 | ||||||
Ellie Mae, Inc. (a) | 11,983 | 276,568 | ||||||
Fiesta Restaurant Group, Inc. (a) | 9,029 | 310,507 | ||||||
Ignite Restaurant Group, Inc. (a) | 3,241 | 61,158 | ||||||
Jack in the Box, Inc. (a) | 20,257 | 795,898 | ||||||
Jamba, Inc. (a) | 7,653 | 114,259 | ||||||
Krispy Kreme Doughnuts, Inc. (a) | 29,845 | 520,795 | ||||||
Luby’s, Inc. (a) | 9,132 | 77,165 | ||||||
Nathan’s Famous, Inc. (a) | 1,242 | 64,895 | ||||||
Papa John’s International, Inc. (a) | 7,298 | 477,070 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 6,455 | 356,187 | ||||||
Ruby Tuesday, Inc. (a) | 27,797 | 256,566 | ||||||
Ruth’s Hospitality Group, Inc. | 16,374 | 197,634 | ||||||
Sonic Corp. (a)(b) | 25,615 | 372,954 | ||||||
Texas Roadhouse, Inc., Class A | 28,455 | 711,944 | ||||||
|
| |||||||
10,319,659 | ||||||||
|
| |||||||
Scientific Instruments: Control & Filter — 0.5% |
| |||||||
Brady Corp. | 21,046 | 646,744 | ||||||
CIRCOR International, Inc. | 8,003 | 407,033 | ||||||
Energy Recovery, Inc. (a) | 20,282 | 83,765 | ||||||
ESCO Technologies, Inc. | 12,038 | 389,790 | ||||||
The Gorman-Rupp Co. | 6,882 | 219,123 | ||||||
Mine Safety Appliances Co. | 12,917 | 601,286 | ||||||
PMFG, Inc. (a) | 9,476 | 65,574 | ||||||
Sun Hydraulics, Inc. | 9,762 | 305,355 | ||||||
Thermon Group Holdings, Inc. (a) | 12,276 | 250,430 | ||||||
Watts Water Technologies, Inc., Class A | 12,996 | 589,239 | ||||||
|
| |||||||
3,558,339 | ||||||||
|
| |||||||
Scientific Instruments: Electrical — 0.6% |
| |||||||
American Superconductor Corp. (a) | 20,039 | 52,903 | ||||||
AZZ, Inc. | 11,609 | 447,643 | ||||||
Coleman Cable, Inc. | 3,927 | 70,922 | ||||||
EnerSys | 21,921 | 1,075,006 | ||||||
Franklin Electric Co., Inc. | 21,600 | 726,840 | ||||||
GrafTech International Ltd. (a) | 52,987 | 385,745 | ||||||
Houston Wire & Cable Co. | 8,168 | 113,045 | ||||||
Littelfuse, Inc. | 10,067 | 751,099 | ||||||
Preformed Line Products Co. | 1,156 | 76,654 | ||||||
Taser International, Inc. (a) | 23,464 | 199,913 | ||||||
|
| |||||||
3,899,770 | ||||||||
|
| |||||||
Scientific Instruments: Gauges & Meters — 0.3% |
| |||||||
Badger Meter, Inc. | 6,555 | 292,025 | ||||||
Faro Technologies, Inc. (a) | 7,786 | 263,322 | ||||||
Itron, Inc. (a) | 17,958 | 761,958 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 69 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Scientific Instruments: Gauges & Meters (concluded) |
| |||||||
Measurement Specialties, Inc. (a) | 7,051 | $ | 328,083 | |||||
Mesa Laboratories, Inc. | 1,185 | 64,144 | ||||||
Vishay Precision Group, Inc. (a) | 5,592 | 84,663 | ||||||
Zygo Corp. (a) | 7,533 | 119,097 | ||||||
|
| |||||||
1,913,292 | ||||||||
|
| |||||||
Scientific Instruments: Pollution Control — 0.3% |
| |||||||
ADA-ES, Inc. (a) | 4,582 | 192,994 | ||||||
Ceco Environmental Corp. | 4,543 | 55,879 | ||||||
Darling International, Inc. (a) | 53,879 | 1,005,382 | ||||||
Heritage-Crystal Clean, Inc. (a) | 3,918 | 57,242 | ||||||
Met-Pro Corp. | 6,748 | 90,693 | ||||||
Team, Inc. (a)(b) | 9,367 | 354,541 | ||||||
TRC Cos., Inc. (a) | 7,277 | 50,939 | ||||||
US Ecology, Inc. | 8,420 | 231,045 | ||||||
|
| |||||||
2,038,715 | ||||||||
|
| |||||||
Securities Brokerage & Services — 0.4% |
| |||||||
BGC Partners, Inc. | 57,817 | 340,542 | ||||||
FXCM, Inc. | 16,591 | 272,258 | ||||||
Gain Capital Holdings, Inc. | 5,224 | 32,964 | ||||||
GFI Group, Inc. | 31,905 | 124,749 | ||||||
Gladstone Investment Corp. | 12,189 | 89,589 | ||||||
International FCStone, Inc. (a)(b) | 6,311 | 110,127 | ||||||
Investment Technology Group, Inc. (a) | 16,985 | 237,450 | ||||||
Knight Capital Group, Inc., Class A (a) | 85,286 | 306,177 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 47,161 | 77,816 | ||||||
MarketAxess Holdings, Inc. | 17,099 | 799,378 | ||||||
SWS Group, Inc. (a) | 13,154 | 71,689 | ||||||
|
| |||||||
2,462,739 | ||||||||
|
| |||||||
Semiconductors & Components — 2.3% |
| |||||||
Aeroflex Holding Corp. (a) | 8,981 | 70,860 | ||||||
Alpha & Omega Semiconductor Ltd. (a) | 7,846 | 59,943 | ||||||
Amkor Technology, Inc. (a) | 29,180 | 122,848 | ||||||
Anadigics, Inc. (a) | 37,661 | 82,854 | ||||||
Applied Micro Circuits Corp. (a) | 30,834 | 271,339 | ||||||
Audience, Inc. (a) | 4,310 | 56,935 | ||||||
Cavium, Inc. (a)(b) | 23,376 | 826,809 | ||||||
Ceva, Inc. (a)(b) | 10,094 | 195,420 | ||||||
Cirrus Logic, Inc. (a) | 28,889 | 501,513 | ||||||
Cypress Semiconductor Corp. | 66,874 | 717,558 | ||||||
Diodes, Inc. (a) | 16,352 | 424,661 | ||||||
DSP Group, Inc. (a) | 9,061 | 75,297 | ||||||
Entropic Communications, Inc. (a) | 40,866 | 174,498 | ||||||
Exar Corp. (a) | 17,429 | 187,710 | ||||||
Formfactor, Inc. (a) | 24,418 | 164,822 | ||||||
GT Advanced Technologies, Inc. (a) | 54,521 | 226,262 | ||||||
Hittite Microwave Corp. (a) | 14,353 | 832,474 | ||||||
Inphi Corp. (a) | 11,815 | 129,965 | ||||||
Integrated Device Technology, Inc. (a) | 60,112 | 477,289 | ||||||
Integrated Silicon Solutions, Inc. (a) | 12,802 | 140,310 | ||||||
Intermolecular, Inc. (a) | 7,730 | 56,197 | ||||||
International Rectifier Corp. (a) | 31,629 | 662,311 | ||||||
Intersil Corp., Class A | 57,993 | 453,505 | ||||||
IXYS Corp. | 11,055 | 122,268 | ||||||
Kopin Corp. (a) | 30,346 | 112,584 | ||||||
Lattice Semiconductor Corp. (a) | 52,779 | 267,590 | ||||||
M/A-COM Technology Solutions Holdings, Inc. (a) | 4,714 | 68,824 | ||||||
MaxLinear, Inc., Class A (a) | 10,479 | 73,353 | ||||||
Micrel, Inc. | 21,297 | 210,414 | ||||||
Microsemi Corp. (a) | 42,273 | 961,711 | ||||||
Mindspeed Technologies, Inc. (a) | 19,567 | 63,397 | ||||||
Monolithic Power Systems, Inc. | 16,719 | 403,095 | ||||||
MoSys, Inc. (a) | 21,228 | 85,337 | ||||||
Omnivision Technologies, Inc. (a) | 24,574 | 458,305 | ||||||
Pericom Semiconductor Corp. (a) | 10,405 | 74,084 |
Common Stocks | Shares | Value | ||||||
Semiconductors & Components (concluded) |
| |||||||
PLX Technology, Inc. (a) | 20,657 | $ | 98,327 | |||||
PMC-Sierra, Inc. (a) | 92,674 | 588,480 | ||||||
Power Integrations, Inc. | 13,202 | 535,473 | ||||||
Rambus, Inc. (a) | 50,911 | 437,326 | ||||||
RF Micro Devices, Inc. (a) | 128,200 | 685,870 | ||||||
Rubicon Technology, Inc. (a)(b) | 8,094 | 64,833 | ||||||
Semtech Corp. (a) | 30,674 | 1,074,510 | ||||||
Sigma Designs, Inc. (a) | 13,970 | 70,549 | ||||||
Silicon Image, Inc. (a) | 35,267 | 206,312 | ||||||
Spansion, Inc., Class A (a) | 21,549 | 269,794 | ||||||
SunEdison, Inc. (a)(b) | 105,654 | 863,193 | ||||||
Supertex, Inc. | 4,508 | 107,786 | ||||||
TriQuint Semiconductor, Inc. (a) | 74,421 | 515,738 | ||||||
Volterra Semiconductor Corp. (a) | 11,406 | 161,053 | ||||||
|
| |||||||
15,491,586 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.0% |
| |||||||
Ambarella, Inc. (a) | 8,403 | 141,422 | ||||||
|
| |||||||
Shipping — 0.5% | ||||||||
Frontline Ltd. (a)(b) | 23,906 | 42,314 | ||||||
GasLog Ltd. | 11,967 | 153,178 | ||||||
Gulfmark Offshore, Inc., Class A | 12,164 | 548,475 | ||||||
International Shipholding Corp. | 2,471 | 57,648 | ||||||
Knightsbridge Tankers Ltd. | 11,211 | 82,513 | ||||||
Matson, Inc. | 19,365 | 484,125 | ||||||
Nordic American Tankers Ltd. | 29,991 | 227,032 | ||||||
Scorpio Tankers, Inc. | 73,907 | 663,685 | ||||||
Ship Finance International Ltd. | 23,274 | 345,386 | ||||||
Teekay Tankers Ltd., Class A | 28,493 | 74,936 | ||||||
Ultrapetrol Bahamas Ltd. (a) | 9,342 | 26,625 | ||||||
UTI Worldwide, Inc. | 41,179 | 678,218 | ||||||
|
| |||||||
3,384,135 | ||||||||
|
| |||||||
Software — 0.3% |
| |||||||
Comverse, Inc. (a) | 10,123 | 301,260 | ||||||
FleetMatics Group Plc (a) | 7,428 | 246,832 | ||||||
Fusion-io, Inc. (a) | 34,618 | 492,960 | ||||||
Model N, Inc. (a) | 3,657 | 85,427 | ||||||
Qualys, Inc. (a) | 6,747 | 108,762 | ||||||
Rally Software Development Corp. (a) | 3,119 | 77,414 | ||||||
Trulia, Inc. (a) | 10,908 | 339,130 | ||||||
Vringo, Inc. (a) | 30,410 | 96,400 | ||||||
|
| |||||||
1,748,185 | ||||||||
|
| |||||||
Specialty Retail — 3.4% |
| |||||||
1-800-FLOWERS.COM, Inc., Class A (a) | 11,769 | 72,850 | ||||||
America’s Car-Mart, Inc. (a)(b) | 3,663 | 158,388 | ||||||
ANN, Inc. (a) | 21,495 | 713,634 | ||||||
Asbury Automotive Group, Inc. (a)(b) | 14,180 | 568,618 | ||||||
Aéropostale, Inc. (a) | 35,770 | 493,626 | ||||||
Barnes & Noble, Inc. (a) | 18,377 | 293,297 | ||||||
bebe Stores, Inc. | 15,899 | 89,193 | ||||||
Big 5 Sporting Goods Corp. | 7,687 | 168,730 | ||||||
Blue Nile, Inc. (a)(b) | 5,651 | 213,495 | ||||||
Body Central Corp. (a) | 7,452 | 99,261 | ||||||
Brown Shoe Co., Inc. | 19,715 | 424,464 | ||||||
The Buckle, Inc. | 12,743 | 662,891 | ||||||
The Cato Corp., Class A | 12,566 | 313,647 | ||||||
The Children’s Place Retail Stores, Inc. (a) | 10,523 | 576,660 | ||||||
Christopher & Banks Corp. (a) | 16,435 | 110,772 | ||||||
Citi Trends, Inc. (a) | 6,996 | 101,652 | ||||||
Conn’s, Inc. (a) | 10,223 | 529,142 | ||||||
Destination Maternity Corp. | 6,181 | 152,053 | ||||||
Destination XL Group, Inc. (a)(b) | 19,233 | 121,937 | ||||||
Express, Inc. (a) | 38,901 | 815,754 | ||||||
The Finish Line, Inc., Class A | 22,433 | 490,385 | ||||||
Five Below, Inc. (a) | 14,924 | 548,606 |
See Notes to Financial Statements. | ||||
70 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Specialty Retail (concluded) | ||||||||
Francesca’s Holdings Corp. (a) | 20,042 | $ | 556,967 | |||||
Genesco, Inc. (a) | 10,936 | 732,603 | ||||||
Group 1 Automotive, Inc. | 9,899 | 636,803 | ||||||
Haverty Furniture Cos., Inc. | 9,005 | 207,205 | ||||||
hhgregg, Inc. (a) | 5,856 | 93,520 | ||||||
Hibbett Sports, Inc. (a) | 11,837 | 656,953 | ||||||
Jos. A. Bank Clothiers, Inc. (a) | 12,733 | 526,128 | ||||||
Lithia Motors, Inc., Class A | 10,105 | 538,698 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 12,521 | 975,010 | ||||||
MarineMax, Inc. (a) | 10,588 | 119,962 | ||||||
Mattress Firm Holding Corp. (a) | 6,106 | 246,072 | ||||||
The Men’s Wearhouse, Inc. | 22,903 | 866,879 | ||||||
Monro Muffler Brake, Inc. | 14,253 | 684,857 | ||||||
New York & Co. (a) | 13,122 | 83,325 | ||||||
Office Depot, Inc. (a) | 112,184 | 434,152 | ||||||
OfficeMax, Inc. | 39,652 | 405,640 | ||||||
Pacific Sunwear of California, Inc. (a) | 20,814 | 75,971 | ||||||
Penske Automotive Group, Inc. | 19,231 | 587,315 | ||||||
The Pep Boys—Manny, Moe & Jack (a) | 24,221 | 280,479 | ||||||
Pier 1 Imports, Inc. | 43,201 | 1,014,791 | ||||||
RadioShack Corp. (b) | 45,456 | 143,641 | ||||||
Regis Corp. | 21,642 | 355,362 | ||||||
Restoration Hardware Holdings, Inc. (a) | 8,051 | 603,825 | ||||||
Rue21, Inc. (a) | 6,689 | 278,329 | ||||||
Shoe Carnival, Inc. | 6,798 | 163,220 | ||||||
Shutterfly, Inc. (a) | 17,304 | 965,390 | ||||||
Sonic Automotive, Inc. | 17,745 | 375,129 | ||||||
Stage Stores, Inc. | 14,914 | 350,479 | ||||||
Stamps.com, Inc. (a) | 5,966 | 235,001 | ||||||
Stein Mart, Inc. | 12,667 | 172,905 | ||||||
Systemax, Inc. | 4,911 | 46,212 | ||||||
Tilly’s, Inc., Class A (a) | 4,434 | 70,944 | ||||||
Vitamin Shoppe, Inc. (a)(b) | 13,814 | 619,420 | ||||||
The Wet Seal, Inc., Class A (a) | 40,663 | 191,523 | ||||||
Zale Corp. (a) | 14,750 | 134,225 | ||||||
Zumiez, Inc. (a)(b) | 9,632 | 276,920 | ||||||
|
| |||||||
22,424,910 | ||||||||
|
| |||||||
Steel — 0.1% | ||||||||
AK Steel Holding Corp. (b) | 62,223 | 189,158 | ||||||
Carbonite, Inc. (a) | 5,453 | 67,563 | ||||||
Handy & Harman Ltd. (a) | 2,444 | 43,699 | ||||||
Olympic Steel, Inc. | 4,109 | 100,670 | ||||||
Schnitzer Steel Industries, Inc., Class A | 11,664 | 272,704 | ||||||
Shiloh Industries, Inc. | 2,791 | 29,138 | ||||||
TMS International Corp., Class A | 6,398 | 94,882 | ||||||
Universal Stainless & Alloy Products, Inc. (a) | 3,127 | 92,184 | ||||||
|
| |||||||
889,998 | ||||||||
|
| |||||||
Synthetic Fibers & Chemicals — 0.0% |
| |||||||
Zoltek Cos., Inc. (a) | 12,558 | 162,124 | ||||||
|
| |||||||
Technology: Miscellaneous — 0.3% |
| |||||||
Acorn Energy, Inc. (b) | 8,237 | 69,520 | ||||||
Benchmark Electronics, Inc. (a) | 24,733 | 497,134 | ||||||
CTS Corp. | 15,294 | 208,610 | ||||||
Fabrinet (a) | 12,837 | 179,718 | ||||||
Hutchinson Technology, Inc. (a) | 10,603 | 50,152 | ||||||
Pendrell Corp. (a) | 73,904 | 193,629 | ||||||
Plexus Corp. (a) | 15,526 | 464,072 | ||||||
Vocus, Inc. (a) | 8,587 | 90,335 | ||||||
|
| |||||||
1,753,170 | ||||||||
|
| |||||||
Telecommunications Equipment — 0.2% |
| |||||||
ARRIS Group, Inc. (a) | 53,016 | 760,779 | ||||||
CalAmp Corp. (a) | 16,013 | 233,790 | ||||||
Inteliquent, Inc. | 14,839 | 85,324 | ||||||
Symmetricom, Inc. (a) | 18,663 | 83,797 |
Common Stocks | Shares | Value | ||||||
Telecommunications Equipment (concluded) | ||||||||
Tessco Technologies, Inc. | 2,487 | $ | 65,657 | |||||
Ubiquiti Networks, Inc. | 5,721 | 100,346 | ||||||
Vocera Communications, Inc. (a) | 9,558 | 140,503 | ||||||
|
| |||||||
1,470,196 | ||||||||
|
| |||||||
Textile Products — 0.1% |
| |||||||
Culp, Inc. | 3,739 | 65,021 | ||||||
Interface, Inc. | 27,036 | 458,801 | ||||||
Unifi, Inc. (a) | 6,763 | 139,791 | ||||||
|
| |||||||
663,613 | ||||||||
|
| |||||||
Textiles Apparel & Shoes — 1.3% |
| |||||||
American Apparel, Inc. (a) | 26,122 | 50,154 | ||||||
Columbia Sportswear Co. | 5,853 | 366,691 | ||||||
Crocs, Inc. (a) | 40,154 | 662,541 | ||||||
Fifth & Pacific Cos., Inc. (a)(b) | 54,660 | 1,221,104 | ||||||
G-III Apparel Group Ltd. (a) | 7,645 | 367,877 | ||||||
Iconix Brand Group, Inc. (a) | 25,971 | 763,807 | ||||||
The Jones Group, Inc. | 36,489 | 501,724 | ||||||
Maidenform Brands, Inc. (a) | 10,589 | 183,507 | ||||||
Oxford Industries, Inc. | 6,137 | 382,949 | ||||||
Perry Ellis International, Inc. | 5,602 | 113,777 | ||||||
Quiksilver, Inc. (a)(b) | 60,464 | 389,388 | ||||||
R.G. Barry Corp. | 4,416 | 71,716 | ||||||
Skechers U.S.A., Inc., Class A (a) | 17,601 | 422,600 | ||||||
Steven Madden Ltd. (a) | 18,264 | 883,612 | ||||||
True Religion Apparel, Inc. | 11,891 | 376,469 | ||||||
Tumi Holdings, Inc. (a) | 21,753 | 522,072 | ||||||
Vera Bradley, Inc. (a) | 9,818 | 212,658 | ||||||
Weyco Group, Inc. | 2,938 | 74,038 | ||||||
Wolverine World Wide, Inc. | 22,836 | 1,247,074 | ||||||
|
| |||||||
8,813,758 | ||||||||
|
| |||||||
Tobacco — 0.2% | ||||||||
Alliance One International, Inc. (a) | 39,751 | 151,054 | ||||||
Star Scientific, Inc. (a)(b) | 75,625 | 105,119 | ||||||
Universal Corp. | 10,622 | 614,483 | ||||||
Vector Group Ltd. | 27,371 | 443,957 | ||||||
|
| |||||||
1,314,613 | ||||||||
|
| |||||||
Toys — 0.1% | ||||||||
Jakks Pacific, Inc. | 8,765 | 98,606 | ||||||
Leapfrog Enterprises, Inc. (a) | 28,964 | 285,006 | ||||||
|
| |||||||
383,612 | ||||||||
|
| |||||||
Transportation Miscellaneous — 0.3% |
| |||||||
Echo Global Logistics, Inc. (a)(b) | 8,033 | 156,563 | ||||||
HUB Group, Inc., Class A (a)(b) | 16,835 | 613,131 | ||||||
Odyssey Marine Exploration, Inc. (a) | 36,335 | 107,552 | ||||||
Pacer International, Inc. (a) | 16,108 | 101,641 | ||||||
Textainer Group Holdings Ltd. | 9,669 | 371,676 | ||||||
Wesco Aircraft Holdings, Inc. (a)(b) | 18,674 | 346,776 | ||||||
XPO Logistics, Inc. (a)(b) | 8,250 | 149,243 | ||||||
|
| |||||||
1,846,582 | ||||||||
|
| |||||||
Truckers — 0.6% | ||||||||
Arkansas Best Corp. | 11,729 | 269,181 | ||||||
Celadon Group, Inc. | 9,175 | 167,444 | ||||||
Forward Air Corp. | 13,725 | 525,393 | ||||||
Heartland Express, Inc. | 21,075 | 292,310 | ||||||
Knight Transportation, Inc. | 26,799 | 450,759 | ||||||
Marten Transport Ltd. | 10,718 | 167,943 | ||||||
Patriot Transportation Holding, Inc. (a) | 2,955 | 88,768 | ||||||
Quality Distribution, Inc. (a)(b) | 9,627 | 85,103 | ||||||
Roadrunner Transportation Systems, Inc. (a) | 8,005 | 222,859 | ||||||
Saia, Inc. (a) | 11,083 | 332,142 | ||||||
Swift Transportation Co. (a) | 38,179 | 631,481 | ||||||
Universal Truckload Services, Inc. (a) | 2,481 | 59,817 |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 71 |
Schedule of Investments (continued) | Master Small Cap Index Series (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||
Truckers (concluded) |
| |||||||
Werner Enterprises, Inc. | 20,790 | $ | 502,494 | |||||
YRC Worldwide, Inc. (a) | 4,281 | 123,079 | ||||||
|
| |||||||
3,918,773 | ||||||||
|
| |||||||
Utilities: Electrical — 1.8% |
| |||||||
Allete, Inc. | 18,149 | 904,728 | ||||||
Atlantic Power Corp. | 54,660 | 215,360 | ||||||
Avista Corp. | 27,296 | 737,538 | ||||||
Black Hills Corp. | 20,272 | 988,260 | ||||||
Cleco Corp. | 27,555 | 1,279,379 | ||||||
El Paso Electric Co. | 18,339 | 647,550 | ||||||
The Empire District Electric Co. | 19,479 | 434,576 | ||||||
Genie Energy Ltd. | 5,984 | 54,754 | ||||||
IDACORP, Inc. | 22,887 | 1,093,083 | ||||||
MGE Energy, Inc. | 10,546 | 577,499 | ||||||
NorthWestern Corp. | 17,217 | 686,958 | ||||||
Otter Tail Corp. | 16,551 | 470,048 | ||||||
Pike Electric Corp. | 11,791 | 145,029 | ||||||
PNM Resources, Inc. | 36,296 | 805,408 | ||||||
Portland General Electric Co. | 34,489 | 1,055,019 | ||||||
UIL Holdings Corp. | 23,118 | 884,264 | ||||||
Unitil Corp. | 6,318 | 182,464 | ||||||
UNS Energy Corp. | 18,870 | 844,055 | ||||||
|
| |||||||
12,005,972 | ||||||||
|
| |||||||
Utilities: Gas Distributors — 1.0% |
| |||||||
Chesapeake Utilities Corp. | 4,403 | 226,711 | ||||||
Delta Natural Gas Co., Inc. | 3,149 | 66,916 | ||||||
The Laclede Group, Inc. | 14,894 | 680,060 | ||||||
New Jersey Resources Corp. | 19,057 | 791,437 | ||||||
Northwest Natural Gas Co. | 12,281 | 521,697 | ||||||
Piedmont Natural Gas Co. | 34,460 | 1,162,681 | ||||||
South Jersey Industries, Inc. | 14,585 | 837,325 | ||||||
Southwest Gas Corp. | 21,118 | 988,111 | ||||||
WGL Holdings, Inc. | 23,574 | 1,018,868 | ||||||
|
| |||||||
6,293,806 | ||||||||
|
| |||||||
Utilities: Miscellaneous — 0.0% |
| |||||||
Ormat Technologies, Inc. | 8,046 | 189,242 | ||||||
|
| |||||||
Utilities: Telecommunications — 0.9% |
| |||||||
8x8, Inc. (a) | 32,946 | 271,475 | ||||||
Atlantic Tele-Network, Inc. | 4,227 | 209,913 | ||||||
Boingo Wireless, Inc. (a) | 8,322 | 51,680 | ||||||
Cbeyond, Inc. (a) | 12,536 | 98,282 | ||||||
Cincinnati Bell, Inc. (a)(b) | 95,363 | 291,811 | ||||||
Cogent Communications Group, Inc. | 21,521 | 605,816 | ||||||
Consolidated Communications Holdings, Inc. | 18,637 | 324,470 | ||||||
Fairpoint Communications, Inc. (a)(b) | 9,769 | 81,571 | ||||||
General Communication, Inc., Class A (a) | 14,721 | 115,265 | ||||||
Hawaiian Telcom HoldCo, Inc. (a)(b) | 4,835 | 121,649 | ||||||
HickoryTech Corp. | 6,620 | 70,371 | ||||||
IDT Corp., Class B | 7,132 | 133,297 | ||||||
inContact, Inc. (a) | 24,448 | 200,963 | ||||||
Iridium Communications, Inc. (a) | 29,004 | 225,071 | ||||||
j2 Global, Inc. | 20,906 | 888,714 | ||||||
Leap Wireless International, Inc. (a) | 24,615 | 165,659 | ||||||
Lumos Networks Corp. | 7,179 | 122,761 | ||||||
magicJack VocalTec Ltd. (a)(b) | 8,444 | 119,820 | ||||||
NII Holdings, Inc. (a) | 78,247 | 521,907 | ||||||
NTELOS Holdings Corp. | 7,167 | 117,969 | ||||||
ORBCOMM, Inc. (a) | 16,529 | 74,215 | ||||||
Premiere Global Services, Inc. (a) | 21,965 | 265,117 | ||||||
Primus Telecommunications Group, Inc. (a) | 5,606 | 66,936 | ||||||
Shenandoah Telecom Co. | 11,067 | 184,598 | ||||||
Towerstream Corp. (a) | 30,020 | 76,551 | ||||||
USA Mobility, Inc. | 10,022 | 135,998 |
Common Stocks | Shares | Value | ||||||
Utilities: Telecommunications (concluded) |
| |||||||
Vonage Holdings Corp. (a) | 49,566 | $ | 140,272 | |||||
West Corp. | 9,655 | 213,762 | ||||||
|
| |||||||
5,895,913 | ||||||||
|
| |||||||
Utilities: Water — 0.3% | ||||||||
American States Water Co. | 8,800 | 472,296 | ||||||
Artesian Resources Corp., Class A | 3,484 | 77,624 | ||||||
California Water Service Group | 21,826 | 425,825 | ||||||
Connecticut Water Service, Inc. | 4,948 | 142,008 | ||||||
Consolidated Water Co., Inc. | 6,763 | 77,301 | ||||||
Middlesex Water Co. | 7,260 | 144,619 | ||||||
Pure Cycle Corp. (a) | 7,618 | 42,585 | ||||||
SJW Corp. | 7,052 | 184,762 | ||||||
York Water Co. | 5,972 | 113,647 | ||||||
|
| |||||||
1,680,667 | ||||||||
|
| |||||||
Total Common Stocks — 97.2% | 640,991,890 | |||||||
|
| |||||||
Investment Companies |
| |||||||
Asset Management & Custodian — 0.3% |
| |||||||
BlackRock Kelso Capital Corp. (c) | 33,896 | 317,267 | ||||||
Firsthand Technology Value Fund, Inc. (a) | 3,888 | 77,216 | ||||||
Gladstone Capital Corp. | 9,667 | 78,979 | ||||||
Hercules Technology Growth Capital, Inc. | 28,135 | 392,202 | ||||||
Pennantpark Investment Corp. | 30,391 | 335,820 | ||||||
Prospect Capital Corp. | 110,764 | 1,196,251 | ||||||
|
| |||||||
Total Investment Companies — 0.3% |
| 2,397,735 | ||||||
|
| |||||||
Other Interests (e) — 0.0% |
| |||||||
Machinery: Industrial — 0.0% |
| |||||||
Gerber Scientific, Inc. | 12,866 | — | ||||||
|
| |||||||
Rights — 0.0% |
| |||||||
Auto Parts — 0.0% |
| |||||||
Federal-Mogul Corp. (Expires 12/27/14) (a) | 8,695 | 1,478 | ||||||
|
| |||||||
Warrants (f) — 0.0% |
| |||||||
Oil: Crude Producers — 0.0% |
| |||||||
Magnum Hunter Resources Corp. (Issued 8/31/12, 1 share for 1 warrant, Expires 10/14/13, Strike Price $10.50) | 5,700 | — | ||||||
|
| |||||||
Total Long-Term Investments (Cost – $464,231,976) — 97.5% | 643,391,103 | |||||||
|
| |||||||
Short-Term Securities | ||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (c)(g) | 22,342,449 | 22,342,449 | ||||||
|
| |||||||
Beneficial Interest (000) | ||||||||
BlackRock Liquidity Series, LLC Money Market Series, 0.21% (c)(g)(h) | $ | 76,754 | 76,754,416 | |||||
|
| |||||||
Total Short-Term Securities (Cost — $99,096,865) — 15.0% |
| 99,096,865 | ||||||
|
| |||||||
Total Investments (Cost — $563,328,841*) — 112.5% |
| 742,487,968 | ||||||
Liabilities in Excess of Other Assets —(12.5)% |
| (82,237,050 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 660,250,918 | ||||||
|
|
See Notes to Financial Statements. | ||||
72 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Schedule of Investments (continued) | Master Small Cap Index Series |
Notes to Schedule of investments
* | As of June 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
Tax cost | $ | 581,429,921 | ||
|
| |||
Gross unrealized appreciation | $ | 193,754,726 | ||
Gross unrealized depreciation | (32,696,679 | ) | ||
|
| |||
Net unrealized appreciation | $ | 161,058,047 | ||
|
|
(a) | Non-income producing security. |
(b) | Security, or a portion of security, is on loan. |
(c) | Investments in issuers considered to be an affiliate of the Series during the six months ended June 30, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Shares/ | Shares/ | |||||||||||||||||||||||||||
Beneficial | Shares/ | Beneficial | ||||||||||||||||||||||||||
Interest Held | Beneficial | Interest Held | Value | |||||||||||||||||||||||||
at December 31, | Interest | Shares | at June 30, | at June 30, | Realized | |||||||||||||||||||||||
Affiliate | 2012 | Purchased | Sold | 2013 | 2013 | Income | Loss | |||||||||||||||||||||
BlackRock Kelso Capital Corp. | 24,999 | 10,688 | (1,791 | ) | 33,896 | $ | 317,267 | $ | 15,490 | $ | (1,010 | ) | ||||||||||||||||
BlackRock Liquidity Funds, Temp Fund, Institutional Class | 20,512,415 | 1,830,034 | 1 | — | 22,342,449 | $ | 22,342,449 | $ | 9,180 | — | ||||||||||||||||||
BlackRock Liquidity Series LLC, Money Market Series | $ | 36,877,998 | $ | 39,876,418 | 1 | — | $ | 76,754,416 | $ | 76,754,416 | $ | 510,502 | — | |||||||||||||||
PennyMac Financial Services, Inc. | — | 5,696 | — | 5,696 | $ | 121,154 | — | — | ||||||||||||||||||||
PennyMac Mortgage Investment Trust | 27,689 | 899 | — | 28,588 | $ | 601,777 | $ | 32,592 | — |
1 | Represents net shares/beneficial interest purchased. |
(d) | All or a portion of security has been pledged in connection with open financial futures contracts. |
(e) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(f) | Warrants entitle the Series to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. |
(g) | Represents the current yield as of report date. |
(h) | Security was purchased with the cash collateral from loaned securities. The Series may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day. |
• | Financial futures contracts as of June 30, 2013 were as follows: |
Contracts Purchased | Issue | Exchange | Expiration | Notional Value | Unrealized Appreciation | |||||||||||||||
179 | Russell 2000 E-Mini | ICE Futures US Indices | September 2013 | $ | 17,447,130 | $ | 111,576 |
• | For Series compliance purposes, the Series’ industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Series management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Series has the ability to access |
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Series’ own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Series’ policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Series’ policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 73 |
Schedule of Investments (concluded) | Master Small Cap Index Series |
The following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments1 | $ | 643,391,103 | — | — | $ | 643,391,103 | ||||||||||
Short-Term Securities | 22,342,449 | $ | 76,754,416 | — | 99,096,865 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 665,733,552 | $ | 76,754,416 | — | $ | 742,487,968 | |||||||||
|
|
|
|
|
|
|
|
1 | See above Schedule of Investments for values in each industry. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments2 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 111,576 | — | — | $ | 111,576 |
2 | Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Series’ assets and/or liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of June 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Cash | $ | 638,202 | — | — | $ | 638,202 | ||||||||||
Cash pledged for financial futures contracts | 886,000 | — | — | 886,000 | ||||||||||||
Liabilities: | ||||||||||||||||
Collateral on securities loaned at value | — | $ | (76,754,416 | ) | — | (76,754,416 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,524,202 | $ | (76,754,416 | ) | — | $ | (75,230,214 | ) | |||||||
|
|
|
|
|
|
|
|
There were no transfers between levels during the six months ended June 30, 2013.
See Notes to Financial Statements. | ||||
74 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Statements of Assets and Liabilities
Master | Master | |||||||
International | Small Cap | |||||||
June 30, 2013 (Unaudited) | Index Series | Index Series | ||||||
Assets | ||||||||
Investments at value — unaffiliated1,2 | $ | 815,669,615 | $ | 642,350,905 | ||||
Investments at value — affiliated3 | 4,365,311 | 100,137,063 | ||||||
Cash | — | 638,202 | ||||||
Cash pledged for financial futures contracts | 840,000 | 886,000 | ||||||
Foreign currency at value4 | 5,547,756 | — | ||||||
Dividends receivable | 5,320,486 | 845,993 | ||||||
Investments sold receivable | 38,326 | 58,170,380 | ||||||
Contributions receivable from investors | 462,432 | — | ||||||
Variation margin receivable | 185,038 | — | ||||||
Securities lending income receivable — affiliated | — | 62,683 | ||||||
Prepaid expenses | 965 | 814 | ||||||
|
|
|
| |||||
Total assets | 832,429,929 | 803,092,040 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Collateral on securities loaned at value | — | 76,754,416 | ||||||
Investments purchased payable | — | 57,713,478 | ||||||
Unrealized depreciation on foreign currency exchange contracts | 12,138 | — | ||||||
Other affiliates payable | 7,083 | 5,236 | ||||||
Investment advisory fees payable | 6,827 | 4,368 | ||||||
Directors’ fees payable | 5,288 | 357 | ||||||
Variation margin payable | — | 43,736 | ||||||
Withdrawals payable to investors | — | 8,168,415 | ||||||
Other accrued expenses payable | 61,253 | 151,116 | ||||||
|
|
|
| |||||
Total liabilities | 92,589 | 142,841,122 | ||||||
|
|
|
| |||||
Net Assets | $ | 832,337,340 | $ | 660,250,918 | ||||
|
|
|
| |||||
Net Assets Consist of | ||||||||
Investors’ capital | $ | 671,062,911 | $ | 480,980,215 | ||||
Net unrealized appreciation/depreciation | 161,274,429 | 179,270,703 | ||||||
|
|
|
| |||||
Net Assets | $ | 832,337,340 | $ | 660,250,918 | ||||
|
|
|
| |||||
1 Investments at cost — unaffiliated | $ | 654,241,039 | $ | 463,238,753 | ||||
2 Securities loaned at value | — | $ | 74,337,068 | |||||
3 Investments at cost — affiliated | $ | 4,365,311 | $ | 100,090,088 | ||||
4 Foreign currency at cost | $ | 5,699,287 | — |
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 75 |
Master | Master | |||||||
International | Small Cap | |||||||
Six Months Ended June 30, 2013 (Unaudited) | Index Series | Index Series | ||||||
Investment Income | ||||||||
Dividends — unaffiliated | $ | 19,017,063 | $ | 3,967,275 | ||||
Foreign taxes withheld | (1,511,921 | ) | (6,078 | ) | ||||
Securities lending — affiliated — net | — | 510,502 | ||||||
Dividends — affiliated | 1,102 | 57,262 | ||||||
|
|
|
| |||||
Total income | 17,506,244 | 4,528,961 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Investment advisory | 41,730 | 32,538 | ||||||
Accounting services | 73,605 | 60,185 | ||||||
Custodian | 52,216 | 73,515 | ||||||
Professional | 29,866 | 31,745 | ||||||
Directors | 13,738 | 8,642 | ||||||
Printing | 2,352 | 1,671 | ||||||
Miscellaneous | 5,146 | 3,681 | ||||||
|
|
|
| |||||
Total expenses | 218,653 | 211,977 | ||||||
Less fees waived and/or reimbursed by Manager | (894 | ) | (7,827 | ) | ||||
|
|
|
| |||||
Total expenses after fees waived and/or reimbursed | 217,759 | 204,150 | ||||||
|
|
|
| |||||
Net investment income | 17,288,485 | 4,324,811 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investments — unaffiliated | (4,442,906 | ) | 21,663,604 | |||||
Investments — affiliated | — | (1,010 | ) | |||||
Financial futures contracts | 636,951 | 3,396,796 | ||||||
Foreign currency transactions | (768,351 | ) | (127 | ) | ||||
|
|
|
| |||||
(4,574,306 | ) | 25,059,263 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investments | 14,038,018 | 65,332,033 | ||||||
Financial futures contracts | (161,546 | ) | (306,471 | ) | ||||
Foreign currency translations | (300,486 | ) | 5 | |||||
|
|
|
| |||||
13,575,986 | 65,025,567 | |||||||
|
|
|
| |||||
Total realized and unrealized gain | 9,001,680 | 90,084,830 | ||||||
|
|
|
| |||||
Net Increase in Net Assets Resulting from Operations | $ | 26,290,165 | $ | 94,409,641 | ||||
|
|
|
|
See Notes to Financial Statements. | ||||
76 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Statements of Changes in Net Assets
Master International Index Series | Master Small Cap Index Series | |||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||
June 30, | Year Ended | June 30, | Year Ended | |||||||||||||
2013 | December 31, | 2013 | December 31, | |||||||||||||
Increase (Decrease) in Net Assets: | (Unaudited) | 2012 | (Unaudited) | 2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 17,288,485 | $ | 22,971,640 | $ | 4,324,811 | $ | 10,865,791 | ||||||||
Net realized gain (loss) | (4,574,306 | ) | (61,304,658 | ) | 25,059,263 | 7,464,862 | ||||||||||
Net change in unrealized appreciation/depreciation | 13,575,986 | 182,573,315 | 65,025,567 | 65,437,618 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 26,290,165 | 144,240,297 | 94,409,641 | 83,768,271 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Transactions | ||||||||||||||||
Proceeds from contributions | 133,752,779 | 279,030,661 | 107,183,969 | 389,096,894 | ||||||||||||
Value of withdrawals | (85,849,233 | ) | (520,908,247 | ) | (123,113,984 | ) | (420,147,450 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets derived from capital transactions | 47,903,546 | (241,877,586 | ) | (15,930,015 | ) | (31,050,556 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | ||||||||||||||||
Total increase (decrease) in net assets | 74,193,711 | (97,637,289 | ) | 78,479,626 | 52,717,715 | |||||||||||
Beginning of period | 758,143,629 | 855,780,918 | 581,771,292 | 529,053,577 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 832,337,340 | $ | 758,143,629 | $ | 660,250,918 | $ | 581,771,292 | ||||||||
|
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|
|
|
|
|
|
See Notes to Financial Statements. | ||||||
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 77 |
Financial Highlights | Master International Index Series |
Six Months Ended June 30, 2013 (Unaudited) | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Total Investment Return | ||||||||||||||||||||||||
Total investment return | 3.42 | %1 | 19.01 | % | (12.34 | )% | 7.66 | % | 28.99 | % | (41.94 | )% | ||||||||||||
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|
|
| |||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Total expenses | 0.05 | %2 | 0.06 | % | 0.08 | % | 0.11 | % | 0.09 | % | 0.11 | % | ||||||||||||
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| |||||||||||||
Total expenses after fees waived and/or reimbursed | 0.05 | %2 | 0.06 | % | 0.08 | % | 0.10 | % | 0.09 | % | 0.10 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 4.15 | %2 | 3.36 | % | 3.38 | % | 2.73 | % | 2.98 | % | 3.54 | % | ||||||||||||
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|
| |||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000) | $ | 832,337 | $ | 758,144 | $ | 855,781 | $ | 922,700 | $ | 749,280 | $ | 706,119 | ||||||||||||
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|
|
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|
|
| |||||||||||||
Portfolio turnover | 3 | % | 21 | % | 6 | % | 8 | % | 30 | % | 30 | % | ||||||||||||
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|
Master Small Cap Index Series
Six Months Ended June 30, 2013 (Unaudited) | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Total Investment Return | ||||||||||||||||||||||||
Total investment return | 15.99 | %1 | 16.52 | % | (4.30 | )% | 27.19 | % | 27.37 | % | (33.57 | )% | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Total expenses | 0.07 | %2 | 0.14 | % | 0.09 | % | 0.12 | % | 0.09 | % | 0.08 | % | ||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses after fees waived and/or reimbursed and fees paid indirectly | 0.06 | %2 | 0.08 | % | 0.07 | % | 0.08 | % | 0.07 | % | 0.07 | % | ||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Net investment income | 1.33 | %2 | 2.13 | % | 1.46 | % | 1.27 | % | 1.27 | % | 1.60 | % | ||||||||||||
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|
| |||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000) | $ | 660,251 | $ | 581,771 | $ | 529,054 | $ | 338,172 | $ | 229,637 | $ | 344,720 | ||||||||||||
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|
|
|
|
|
|
|
| |||||||||||||
Portfolio turnover | 18 | % | 68 | % | 31 | % | 42 | % | 43 | % | 42 | % | ||||||||||||
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|
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|
|
|
|
|
|
1 | Aggregate total investment return. |
2 | Annualized. |
See Notes to Financial Statements. | ||||
78 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Notes to Financial Statements (Unaudited) | Quantitative Master Series LLC |
1. Organization:
Master International Index Series (“Master International Index”) and Master Small Cap Index Series (“Master Small Cap Index”) (collectively, the “Series” or individually, a “Series”) are non-diversified and diversified, respectively, open-end management investment companies. Each is a series of Quantitative Master Series LLC (the “Master LLC”). The Master LLC is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and is organized as a Delaware limited liability company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests in the Master LLC, subject to certain limitations.
2. Significant Accounting Policies:
The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Series:
Valuation: US GAAP defines fair value as the price the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Series determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Black-Rock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Series for all financial instruments.
Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
Master Small Cap Index values its investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund
that is subject to Rule 2a-7 under the 1940 Act. The Fund may withdraw up to 25% of its investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
In the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that the Series might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Series’ pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 79 |
Notes to Financial Statements (continued) | Quantitative Master Series LLC |
all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE.
Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Series’ net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to affect the value of such instruments materially, those instruments may be Fair Value Assets and valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/ or policies approved by the Board. Each business day, the Series use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.
Foreign Currency: The Series’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Series’ investments denominated in that currency will lose value because that currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.
The Series do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Series report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Series either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts and foreign currency exchange contracts), the Series will, consistent with SEC rules and/ or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, a Series engaging in such transactions may have requirements to deliver/deposit securities to/ with an exchange or broker-dealer as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Series are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.
Income Taxes: The Series are classified as partnerships for federal income tax purposes. As such, each investor in the Series is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Series. Therefore, no federal income tax provision is required. It is intended that the Series’ assets will be managed so an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Series file US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series’ US federal tax returns remains open for each of the four years ended December 31, 2012. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Other: Expenses directly related to the Series are charged to the Series. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
The Series have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
3. Securities and Other Investments:
Securities Lending: Master Small Cap Index may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral. The initial collateral received by Master Small Cap Index should have a value of at least 102% of the current value of the loaned securities for securities traded on US exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of Master Small Cap Index and any additional required collateral is delivered to Master Small Cap Index on the next business day. Securities lending income, as disclosed in the Statements of Operations, represents the income earned from the investment of the cash collateral,
80 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Notes to Financial Statements (continued) | Quantitative Master Series LLC |
net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, Master Small Cap Index earns dividend or interest income on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of securities on loan and the value of the related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value, and collateral on securities loaned at value, respectively. The cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedule of Investments.
Securities lending transactions are entered into by Master Small Cap Index Series under Master Securities Lending Agreements (“MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, Master Small Cap Index, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, Master Small Cap Index can reinvest cash collateral, or, upon an event of default, resell or repledge the collateral, and the borrower can resell or repledge the loaned securities.
The following table is a summary of Master Small Cap Index’s open securities lending agreements by counterparty which are subject to offset under a MSLA as of June 30, 2013:
Securities | Cash | |||||||||||
Loaned at | Collateral | Net | ||||||||||
Counterparty | Value | Received1 | Amount | |||||||||
Barclays Capital, Inc. | $ | 746,900 | $ | (746,900 | ) | — | ||||||
BNP Paribas S.A. | 147,974 | (147,974 | ) | — | ||||||||
Citigroup Global Markets, Inc. | 1,078,035 | (1,078,035 | ) | — | ||||||||
Credit Suisse Securities (USA) LLC | 20,211,469 | (20,211,469 | ) | — | ||||||||
Deutsche Bank Securities, Inc. | 727,372 | (727,372 | ) | — | ||||||||
Goldman Sachs & Co. | 1,285,768 | (1,285,768 | ) | — | ||||||||
J.P. Morgan Securities LLC | 1,349,789 | (1,349,789 | ) | — | ||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 1,488,545 | (1,488,545 | ) | — | ||||||||
Morgan Stanley | 46,228,255 | (46,228,255 | ) | — | ||||||||
SG Americas Securities LLC | 301,629 | (301,629 | ) | — | ||||||||
UBS Securities LLC | 771,332 | (771,332 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 74,337,068 | $ | (74,337,068 | ) | — | ||||||
|
|
|
|
|
|
1 | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $76,754,416 has been received in connection with securities lending transactions. |
The risks of securities lending also include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate this risk, the Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of securities lent. The Fund also could suffer a loss if the value of an investment purchased with
cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. During the six months ended June 30, 2013, any securities on loan were collateralized by cash.
4. Derivative Financial Instruments:
The Series engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Series and/or to economically hedge, their exposure to certain risks such as equity risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
Financial Futures Contracts: The Series purchase and/or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Series and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Upon entering into a financial futures contract, the Series are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Series agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Series as unrealized appreciation or depreciation. When the contract is closed, the Series record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.
Foreign Currency Exchange Contracts: The Series enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to or hedge exposure away from foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Series, help to manage the overall exposure to the currencies in which some of the investments held by the Series are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Series as an unrealized gain or loss. When the contract is closed, the Series record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 81 |
Notes to Financial Statements (continued) | Quantitative Master Series LLC |
value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.
The following is a summary of the Series’ derivative financial instruments categorized by risk exposure:
Fair Values of Derivative Financial Instruments as of June 30, 2013
Derivative Assets | ||||||||||
Statements of Assets and | ||||||||||
Liabilities Location | Value | |||||||||
Master | Master | |||||||||
International | Small | |||||||||
Index | Cap Index | |||||||||
Equity contracts | Net unrealized appreciation/ depreciation1 | $ | 81,475 | $ | 111,576 | |||||
|
|
|
|
Derivative Liabilities | ||||||
Statement of Assets and | ||||||
Liabilities Location | Value | |||||
Master | ||||||
International | ||||||
Index | ||||||
Equity contracts | Net unrealized appreciation/ depreciation1 | $ | (123,919 | ) | ||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | (12,138 | ) | |||
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| |||||
Total | $ | (136,057 | ) | |||
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1 | Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended June 30, 2013
Net Realized Gain (Loss) From | ||||||||
Master | Master | |||||||
International | Small Cap | |||||||
Index | Index | |||||||
Equity contracts: | ||||||||
Financial futures contracts | $ | 636,951 | $ | 3,396,796 | ||||
Foreign currency exchange contracts: | ||||||||
Foreign currency transactions | (159,238 | ) | (29 | ) | ||||
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|
|
| |||||
Total | $ | (477,713 | ) | $ | 3,396,767 | |||
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|
Net Change in Unrealized | ||||||||
Appreciation/ | ||||||||
Depreciation on | ||||||||
Master | Master | |||||||
International | Small Cap | |||||||
Index | Index | |||||||
Equity contracts: | ||||||||
Financial futures contracts | $ | (161,546 | ) | $ | (306,471 | ) | ||
Foreign currency exchange contracts: | ||||||||
Foreign currency translations | (12,923 | ) | — | |||||
|
|
|
| |||||
Total | $ | (174,469 | ) | $ | (306,471 | ) | ||
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For the six months ended June 30, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:
Master | Master | |||||||
International | Small Cap | |||||||
Index | Index | |||||||
Financial futures contracts: | ||||||||
Average number of contracts purchased | 187 | 171 | ||||||
Average notional value of contracts purchased | $ | 10,742,299 | $ | 16,409,655 | ||||
Foreign currency exchange contracts: | ||||||||
Average number of contracts – US dollars purchased | 2 | — | ||||||
Average number of contracts – US dollars sold | 2 | — | ||||||
Average US dollar amounts purchased | $ | 155,235 | — | |||||
Average US dollar amounts sold | $ | 1,050,000 | — |
Counterparty Credit Risk: A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange traded futures, there is less counterparty credit risk to the Series since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Series does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Series.
In order to better define its contractual rights and to secure rights that will help the Series mitigate its counterparty risk, the Series may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Series and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Series may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net
82 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Notes to Financial Statements (continued) | Quantitative Master Series LLC |
payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Series’ net assets decline by a stated percentage or the Series fails to meet the terms of its ISDA Master Agreements, which would cause the Series to accelerate payment of any net liability owed to the counter-party.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Series and the counterparty.
Cash collateral that has been pledged to cover obligations of the Series and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Series, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $500,000) before a transfer is required, which is determined at the close of business of the Series and additional required collateral is delivered to/pledged by the Series on the next business day. To the extent amounts due to the Series from its counterparties are not fully collateralized, contractually or otherwise, the Series bears the risk of loss from counterparty non-performance. The Series attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Series do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
At June 30, 2013, the Funds’ derivative assets and liabilities (by type) on a gross basis are as follows:
Master | Master | |||||||||||||||
International | Small Cap | |||||||||||||||
Index | Index | |||||||||||||||
Assets | Liabilities | Assets | Liabilities | |||||||||||||
Derivative Financial Instruments: | ||||||||||||||||
Financial futures contracts | $ | 185,038 | — | — | $ | 43,736 | ||||||||||
Foreign currency exchange contracts | — | $ | 12,138 | — | — | |||||||||||
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| |||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 185,038 | 12,138 | — | 43,736 | ||||||||||||
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Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | 185,038 | 12,138 | — | 43,736 | ||||||||||||
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| |||||||||
Total assets and liabilities subject to a MNA | — | — | — | — | ||||||||||||
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5. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”) is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock.
The Master LLC, on behalf of the Series, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Series’ investment advisor, an indirect, wholly owned subsidiary of Black-Rock, to provide investment advisory and administration services. The Manager is responsible for the management of the Series’ portfolios and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Series. For such services, the Series pay the Manager a monthly fee at an annual rate of 0.01% of the Series’ average daily net assets.
The Manager contractually agreed to waive and/or reimburse fees or expenses, excluding interest expense, dividend expense, acquired fund fees and expenses and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business, in order to limit expenses. The expense limitation as a percentage of average daily net assets is 0.12% for Master International Index and 0.08% for Master Small Cap Index.
The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2014 unless approved by the Board, including a majority of the Independent Directors. For the six months ended June 30, 2013, Master Small Cap Index, waived $387, which is included in fees waived and/or reimbursed by Manager in the Statements of Operations.
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Series pay to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Series’ investment in other affiliated investment companies, if any. These amounts are included in fees waived and/or reimbursed by Manager in the Statements of Operations. For the six months ended June 30, 2013, the amounts waived for Master International Index and Master Small Cap Index, were $894 and $7,440, respectively.
The Manager entered into a sub-advisory agreement with BIM, an affiliate of the Manager, with respect to each Series. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by the Series to the Manager.
For the six months ended June 30, 2013, Master International Index and Master Small Cap Index reimbursed the Manager $2,538 and $1,703, respectively, for certain accounting services, which are included in accounting services in the Statements of Operations.
The Master LLC, on behalf of Master Small Cap Index, received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 83 |
Notes to Financial Statements (continued) | Quantitative Master Series LLC |
BIM as the securities lending agent. BIM may, on behalf of the Series, invest cash collateral received by the Series for such loans in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. The market value of securities on loan and the value of the related collateral, if applicable, is shown in the Statements of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BIM, if any, is disclosed in the Schedules of Investments. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Series retain 65% of securities lending income and pay a fee to BIM equal to 35% of such income. The Series benefit from a borrower default indemnity provided by BlackRock. As securities lending agent, BIM bears all operational costs directly related to securities lending as well as the cost of borrower default indemnification. BIM does not receive any fees for managing the cash collateral. The share of income earned by the Series is shown as securities lending — affiliated – net in the Statements of Operations. For the six months ended June 30, 2013, BIM received $278,382 in securities lending agent fees related to securities lending activities for the Series.
Certain officers and/or directors of the Master LLC are officers and/or directors of BlackRock or its affiliates.
6. Purchases and Sales:
Purchases and sales of investments, excluding short-term securities, for the six months ended June 30, 2013, were as follows:
Purchases | Sales | |||||||
Master International Index | $ | 100,184,181 | $ | 28,165,619 | ||||
Master Small Cap Index | $ | 111,056,215 | $ | 112,689,040 |
7. Bank Borrowings:
The Series, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $800 million credit agreement with a group of lenders, under which the Series may borrow to fund shareholder redemptions. The agreement expires in April 2014. Excluding commitments designated for a certain individual fund, other Participating Funds, including the Series, can borrow up to an aggregate commitment amount of $500 million, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.065% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) the one-month LIBOR plus 0.80% per annum or (b) the Fed Funds rate plus 0.80% per annum on amounts borrowed. Participating Funds paid administration and arrangement fees, which, along with commitment fees, were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. The Series did not borrow under the credit agreement during the six months ended June 30, 2013.
8. Concentration, Market and Credit Risk:
In the normal course of business, the Series invest in securities and enter into transactions where risks exist due to fluctuations in the market
(market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Series may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Series; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Series may be exposed to counter-party credit risk, or the risk that an entity with which the Series have unsettled or open transactions may fail to or be unable to perform on its commitments. The Series manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counter-parties. The extent of the Series’ exposure to market, issuer and counter-party credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Series.
Master International Index invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Series concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on its investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the US. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in US securities. Please see the Schedule of Investments for concentrations in specific countries.
Master International Index invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of several Euro-pean countries, including Greece, Ireland, Italy, Portugal and Spain. As of June 30, 2013, these events have adversely affected the exchange rate of the euro and may continue to spread to other countries in Europe, including countries that do not use the euro. These events may affect the value and liquidity of certain of the Series’ investments.
As of June 30, 2013, Master Small Cap Index invested a significant portion of its assets in securities in the Financials sector. Changes in economic conditions affecting the Financials sector would have a greater impact on the Fund and could affect the value, income and/or liquidity of positions in such securities.
84 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Notes to Financial Statements (concluded) | Quantitative Master Series LLC |
As of June 30, 2013, the Series had the following industry classifications:
Master International Index | ||||
Percent of | ||||
Industry | Long-Term Investments | |||
Commercial Banks | 13 | % | ||
Pharmaceuticals | 9 | % | ||
Oil, Gas & Consumable Fuels | 6 | % | ||
Insurance | 5 | % | ||
Other1 | 67 | % | ||
Master Small Cap Index | ||||
Percent of | ||||
Industry | Long-Term Investments | |||
Real Estate Investment Trusts (“REITs”) | 8 | % | ||
Banks: Diversified | 7 | % | ||
Computer Services Software & Systems | 6 | % | ||
Other1 | 79 | % |
1 | All other industries held were less than 5% of long-term investments. |
9. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Series through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 85 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement | Master International Index Series |
The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met in person on April 11, 2013 (the “April Meeting”) and May 21-22, 2013 (the “May Meeting”) to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, on behalf of Master International Index Series (the “Master Portfolio”), a series of the Master LLC. The Board also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC (the “Sub-Advisor”), with respect to the Master Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”
Activities and Composition of the Board
The Board consists of fourteen individuals, twelve of whom are not “interested persons” of the Master LLC as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master LLC and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are each Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).
The Agreements
Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services provided to the Master Portfolio by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.
The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolio and its interest holders. Among the matters the Board considered were: (a) investment performance of an affiliated feeder fund that invests all of its investable assets in the Master Portfolio (the
“representative feeder fund”) for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or under-performance against its peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio for services, such as marketing and distribution, call center and fund accounting; (c) the Master Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s investment objective, policies and restrictions; (e) the Master LLC’s compliance with its Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) Black-Rock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) Black-Rock’s implementation of the Master LLC’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.
The Board has engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Board requested and BlackRock provided an analysis of fair valuation and stale pricing policies. BlackRock also furnished information to the Board in response to specific questions. These questions covered issues such as BlackRock’s profitability, investment performance and management fee levels. The Board further considered the importance of: (i) organizational and structural variables to investment performance; (ii) rates of portfolio turnover; (iii) BlackRock’s performance accountability for portfolio managers; (iv) marketing support for the funds; (v) services provided to the Master Portfolio by BlackRock affiliates; and (vi) BlackRock’s oversight of relationships with third party service providers.
Board Considerations in Approving the Agreements
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on fees and expenses of the Master Portfolio and the representative feeder fund, as applicable, as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the representative feeder fund as compared
86 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) | Master International Index Series |
with a peer group of funds as determined by Lipper,1 as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio to Black-Rock; and (g) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio, each for a one-year term ending June 30, 2014. In approving the continuation of the Agreements, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio; (d) the representative feeder fund’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock as a result of its relationship with the Master Portfolio; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Master Portfolio and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
1 | Lipper ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. |
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. Throughout the year, the Board compared the representative feeder fund’s performance to the performance of a comparable group of mutual funds and/or the performance of a relevant benchmark, if any. The Board met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the performance of the Master Portfolio and the representative feeder fund and the Master Portfolio’s investment objective, strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Master Portfolio’s portfolio management team; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to the Master Portfolio. BlackRock and its affiliates provide the Master Portfolio with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolio. In particular, BlackRock and its affiliates provide the Master Portfolio with the following administrative services, including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) assisting with daily accounting and pricing; (iii) overseeing and coordinating the activities of other service providers; (iv) organizing Board meetings and preparing the materials for such Board meetings; (v) providing legal and compliance support; (vi) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger or consolidation of certain open-end funds; and (vii) performing other administrative functions necessary for the operation of the Master Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of Black-Rock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Master Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio. The Board noted that the representative feeder fund’s investment results correspond
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 87 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) | Master International Index Series |
directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was provided with, reports independently prepared by Lipper, which included a comprehensive analysis of the representative feeder fund’s performance. The Board also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, the Board received and reviewed information regarding the investment performance of the representative feeder fund as compared to other funds in its applicable Lipper category and the gross investment performance of the representative feeder fund as compared with its benchmark. The Board was provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the representative feeder fund, as applicable, throughout the year.
The Board noted that the representative feeder fund’s gross performance (before expenses and fees), as agreed upon by the Board, was within tolerance of its benchmark during the one-year period reported and exceeded its benchmark during the three- and five-year periods reported. BlackRock believes that gross performance relative to the benchmark is an appropriate performance metric for the representative feeder fund.
The Board noted that BlackRock has recently made, and continues to make, changes to the organization of BlackRock’s overall portfolio management structure designed to result in strengthened leadership teams.
C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s/ representative feeder fund’s contractual management fee rate compared with the other funds in the representative feeder fund’s Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the representative feeder fund’s total net operating expense ratio, as well as the Master Portfolio’s/representative feeder fund’s actual management fee rate, to those of other funds in the representative feeder fund’s Lipper category. The total net operating expense ratio and actual management fee rate both give effect to any expense reimbursements or fee waivers that benefit the funds. The Board considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including institutional accounts.
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and
other funds the Board currently oversees for the year ended December 31, 2012 compared to available aggregate profitability data provided for the two prior years. The Board reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, comparing profitability is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management and the relative product mix.
In addition, the Board considered the cost of the services provided to the Master Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs to the management of the Master Portfolio. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board.
The Board noted that the Master Portfolio’s/representative feeder fund’s contractual management fee rate ranked in the first quartile relative to the representative feeder fund’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on the Master Portfolio’s total net operating expenses as a percentage of the Master Portfolio’s average daily net assets.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Master Portfolio. In its consideration, the Board took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive
88 | QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded) | Master International Index Series |
from their respective relationships with the Master Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in ETFs without any offset against the management fees payable by the funds to BlackRock.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2014 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio for a one-year term ending June 30, 2014. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Master Portfolio and its interest holders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement | Master Small Cap Index Series |
The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met in person on April 11, 2013 (the “April Meeting”) and May 21-22, 2013 (the “May Meeting”) to consider the approval of the Master LLC’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), the Master LLC’s investment advisor, on behalf of Master Small Cap Index Series (the “Master Portfolio”), a series of the Master LLC. The Board also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock Investment Management, LLC (the “Sub-Advisor”), with respect to the Master Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Agreements.”
Activities and Composition of the Board
The Board consists of fourteen individuals, twelve of whom are not “interested persons” of the Master LLC as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master LLC and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are each Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).
The Agreements
Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services provided to the Master Portfolio by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.
The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Master Portfolio and its interest holders. Among the matters the Board considered were: (a) investment performance of an affiliated feeder fund that invests all of its investable assets in the Master Portfolio (the
“representative feeder fund”) for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or under-performance against its peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio for services, such as marketing and distribution, call center and fund accounting; (c) the Master Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s investment objective, policies and restrictions; (e) the Master LLC’s compliance with its Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) Black-Rock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) Black-Rock’s implementation of the Master LLC’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.
The Board has engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Board requested and BlackRock provided an analysis of fair valuation and stale pricing policies. BlackRock also furnished information to the Board in response to specific questions. These questions covered issues such as BlackRock’s profitability, investment performance and management fee levels. The Board further considered the importance of: (i) organizational and structural variables to investment performance; (ii) rates of portfolio turnover; (iii) BlackRock’s performance accountability for portfolio managers; (iv) marketing support for the funds; (v) services provided to the Master Portfolio by BlackRock affiliates; and (vi) BlackRock’s oversight of relationships with third party service providers.
Board Considerations in Approving the Agreements
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Board is engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on fees and expenses of the Master Portfolio and the representative feeder fund, as applicable, as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the representative feeder fund as compared
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) | Master Small Cap Index Series |
with a peer group of funds as determined by Lipper,1 as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio to Black-Rock; and (g) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio, each for a one-year term ending June 30, 2014. In approving the continuation of the Agreements, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio; (d) the representative feeder fund’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock as a result of its relationship with the Master Portfolio; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Master Portfolio and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
1 | Lipper ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. |
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. Throughout the year, the Board compared the representative feeder fund’s performance to the performance of a comparable group of mutual funds and/or the performance of a relevant benchmark, if any. The Board met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the performance of the Master Portfolio and the representative feeder fund and the Master Portfolio’s investment objective, strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Master Portfolio’s portfolio management team; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to the Master Portfolio. BlackRock and its affiliates provide the Master Portfolio with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolio by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolio. In particular, BlackRock and its affiliates provide the Master Portfolio with the following administrative services, including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) assisting with daily accounting and pricing; (iii) overseeing and coordinating the activities of other service providers; (iv) organizing Board meetings and preparing the materials for such Board meetings; (v) providing legal and compliance support; (vi) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger or consolidation of certain open-end funds; and (vii) performing other administrative functions necessary for the operation of the Master Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of Black-Rock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Master Portfolio and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio. The Board noted that the representative feeder fund’s investment results correspond
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued) | Master Small Cap Index Series |
directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was provided with, reports independently prepared by Lipper, which included a comprehensive analysis of the representative feeder fund’s performance. The Board also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, the Board received and reviewed information regarding the investment performance of the representative feeder fund as compared to other funds in its applicable Lipper category and the gross investment performance of the representative feeder fund as compared with its benchmark. The Board was provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the representative feeder fund, as applicable, throughout the year.
The Board noted that the representative feeder fund’s gross performance (before expenses and fees), as agreed upon by the Board, was within tolerance of its benchmark during each of the one-, three- and five-year periods reported. BlackRock believes that gross performance relative to the benchmark is an appropriate performance metric for the representative feeder fund.
The Board noted that BlackRock has recently made, and continues to make, changes to the organization of BlackRock’s overall portfolio management structure designed to result in strengthened leadership teams.
C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s/ representative feeder fund’s contractual management fee rate compared with the other funds in the representative feeder fund’s Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the representative feeder fund’s total net operating expense ratio, as well as the Master Portfolio’s/representative feeder fund’s actual management fee rate, to those of other funds in the representative feeder fund’s Lipper category. The total net operating expense ratio and actual management fee rate both give effect to any expense reimbursements or fee waivers that benefit the funds. The Board considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including institutional accounts.
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and
other funds the Board currently oversees for the year ended December 31, 2012 compared to available aggregate profitability data provided for the two prior years. The Board reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, comparing profitability is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management and the relative product mix.
In addition, the Board considered the cost of the services provided to the Master Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs to the management of the Master Portfolio. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board.
The Board noted that the Master Portfolio’s/representative feeder fund’s contractual management fee rate ranked in the second quartile relative to the representative feeder fund’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on the Master Portfolio’s total net operating expenses as a percentage of the Master Portfolio’s average daily net assets.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Master Portfolio. In its consideration, the Board took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded) | Master Small Cap Index Series |
from their respective relationships with the Master Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in ETFs without any offset against the management fees payable by the funds to BlackRock.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Master LLC with respect to the Master Portfolio for a one-year term ending June 30, 2014 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Master Portfolio for a one-year term ending June 30, 2014. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Master Portfolio and its interest holders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.
QUANTITATIVE MASTER SERIES LLC | JUNE 30, 2013 | 93 |
Officers and Directors
Ronald W. Forbes, Co-Chairman of the Board and Director
Rodney D. Johnson, Co-Chairman of the Board and Director
Paul L. Audet, Director
David O. Beim, Director
Henry Gabbay, Director
Dr. Matina S. Horner, Director
Herbert I. London, Director
Ian A. MacKinnon, Director
Cynthia A. Montgomery, Director
Joseph P. Platt, Director
Robert C. Robb, Jr., Director
Toby Rosenblatt, Director
Kenneth L. Urish, Director
Frederick W. Winter, Director
John M. Perlowski, President and Chief Executive Officer
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and Anti-Money
Laundering Officer
Benjamin Archibald, Secretary
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor
BlackRock Investment Management, LLC
Princeton, NJ 08540
Custodians
JPMorgan Chase Bank, N.A.1
Brooklyn, NY 11245
State Street Bank and Trust Company2
Boston, MA 02110
Accounting Agent
State Street Bank and Trust Company
Boston, MA 02110
Legal Counsel
Sidley Austin LLP
New York, NY 10019
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
1 | For Master International Index Series. |
2 | For Master Small Cap Index Series. |
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eDelivery is NOW AVAILABLE- Stop traditional mail delivery and receive your
shareholder reports and summary prospectus on-line. Sign up at
www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
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By E-mail: american_beacon.funds@ambeacon.com |
On the Internet: Visit our website at www.americanbeaconfunds.com | |||
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By Telephone: Call (800) 658-5811 |
By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121 | |||
Availability of Quarterly Portfolio Schedules
In addition to the Schedule of Investments provided in each semi-annual and annual | Availability of Proxy Voting Policy and Records
A description of the policies and procedures that the Funds use to determine how to |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts | TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri
| INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas | DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds, American Beacon Small Cap Index Fund, and American Beacon International Equity Index Fund are service marks of American Beacon Advisors, Inc.
SAR 6/13
About American Beacon Advisors
Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.
Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.
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Back Cover |
Investing in debt securities entails interest rate risk, which is the risk that debt securities will decrease in value with increases in market interest rates. Credit risk is the risk that the issuer of a bond will fail to make timely payment of interest or principal; and the decline in an issuer’s credit rating can cause the price of its bonds to go down. In a period of sustained deflation, the inflation-indexed securities may not pay any income and may suffer a loss. A security backed by the U.S. Treasury is guaranteed only as to the timely payment of interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate. They are also subject to credit risk and interest rate risk. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.
Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.
American Beacon Funds | June 30, 2013 |
With economic conditions showing signs of improvement during the first six months of 2013, the market turned its attention to the possibility of rising inflation. That’s one reason why many investors have continued to turn to Treasury Inflation-Protected Securities (TIPS) to help protect their portfolios against inflation. The American Beacon Treasury Inflation Protected Securities Fund blends different maturities of these popular instruments to take this inflation protection strategy a step further.
• | For the six-month period ended June 30, 2013, the American Beacon Treasury Inflation Protected Securities Fund (Institutional Class) returned -5.29%, outperforming the Lipper Treasury Inflation Protected Securities Index by 160 basis points (1.60%). |
American Beacon’s roots as a pension fund manager make us acutely aware of the importance of protecting our shareholders against inflation. Although we are known primarily for our actively managed equity funds, we bring that same level of expertise to a Fund designed more for inflation protection.
Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.
Best Regards, |
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Gene L. Needles, Jr. President American Beacon Funds |
1
American Beacon Treasury Inflation Protected Securities FundSM
June 30, 2013 (Unaudited)
The Investor Class of the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”) returned -5.41% for the six months ended June 30, 2013, trailing the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of -5.21%, but outperforming the Lipper TIPS Index return of -6.89%.
Total Returns for the Period ended 6/30/13
6 Months* | 1 Year | 5 Years | Since Inception 6/30/04 | |||||||||||||
Institutional Class(1,7,8) | -5.29 | % | -3.25 | % | 3.17 | % | 4.39 | % | ||||||||
Y Class (1,3,7,8) | -5.35 | % | -3.48 | % | 2.95 | % | 4.26 | % | ||||||||
Investor Class(1,2,7,8) | -5.41 | % | -3.58 | % | 2.81 | % | 4.18 | % | ||||||||
A Class without sales load (1,4,7,8) | -5.58 | % | -3.81 | % | 2.60 | % | 4.06 | % | ||||||||
A Class with sales load (1,4,7,8) | -10.10 | % | -8.40 | % | 1.60 | % | 3.50 | % | ||||||||
C Class without sales load (1,5,7,8) | -5.94 | % | -4.61 | % | 2.17 | % | 3.82 | % | ||||||||
C Class with sales load (1,5,7,8) | -6.94 | % | -5.61 | % | 2.17 | % | 3.82 | % | ||||||||
Barclays Capital 1-10 Yr. U.S. TIPS Index(6) | -5.21 | % | -3.14 | % | 3.32 | % | 4.68 | % | ||||||||
Barclays Capital U.S. TIPS Index(6) | -7.39 | % | -4.78 | % | 4.41 | % | 5.34 | % | ||||||||
Lipper TIPS Index(6) | -6.89 | % | -4.42 | % | 3.95 | % | 4.89 | % |
* | Not annualized |
1. | Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares. |
2. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class up to 3/2/09, the inception date of the Investor Class, and the returns of the Investor Class since its inception. Expenses of the Investor Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Investor Class been in existence since 6/30/04. |
3. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class up to 3/1/10, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/04. |
4. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/04. The maximum sales charge for A Class is 4.75%. |
5. | Fund performance for the five-year and since inception periods represent the total returns achieved by the Institutional Class from 6/30/04 through 3/1/09, and the Investor Class from 3/2/09 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/04. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase. |
6. | The Barclays Capital 1-10 Yr. U.S. TIPS Index is an unmanaged market index comprising U.S. Treasury inflation-indexed securities with maturities between one and ten years while the Barclays Capital U.S. TIPS Index includes all maturities. The Lipper TIPS Index tracks the results of the 30 largest mutual funds in the Lipper TIPS category. Lipper is an independent mutual fund research and ranking service. One cannot directly invest in an index. |
7. | A portion of the fees charged to the Investor Class of the Fund was waived from its inception. A portion of the fees charged to the Institutional Class of the Fund has been waived since 2005. A portion of the fees charged to the Y, A, and C Classes has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown. |
8. | The total annual Fund operating expense ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.37%, 0.62%, 0.77%, 1.07%, and 1.79% respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report. |
The Fund produced negative absolute returns for the six-month time period, particularly in May and June as the bond market responded to the U.S. Federal Reserve’s comments about the anticipated tapering of its asset purchase program.
From a yield curve positioning standpoint, the Fund benefited from underweighting the 6-7 year maturity range (down 6.4%), but the Fund’s relative underperformance stemmed from overweighting the 8-9 year and the 9-10 year maturity ranges (down 8.8% and 9.4%, respectively). Individual security selections within the 4-5 year maturity range also detracted from relative performance.
2
American Beacon Treasury Inflation Protected Securities FundSM
Performance Overview
June 30, 2013 (Unaudited)
From a duration perspective, a tactical short duration position in place during the second quarter added value to the Fund’s relative performance.
The Fund remains focused on investing in TIPS to provide inflation protection and income to its shareholders.
Top Ten Holdings (% Net Assets)
U.S. Treasury Inflation Indexed Security, 0.625%, Due 7/15/2021 | 11.4 | |||
U.S. Treasury Inflation Indexed Security, 0.125%, Due 4/15/2017 | 11.2 | |||
U.S. Treasury Inflation Indexed Security, 0.125%, Due 1/15/2022 | 11.0 | |||
U.S. Treasury Inflation Indexed Security, 0.125%, Due 4/15/2016 | 10.5 | |||
U.S. Treasury Inflation Indexed Security, 1.375%, Due 1/15/2020 | 8.9 | |||
U.S. Treasury Inflation Indexed Security, 1.625%, Due 1/15/2015 | 6.6 | |||
U.S. Treasury Inflation Indexed Security, 0.125%, Due 7/15/2022 | 6.6 | |||
U.S. Treasury Inflation Indexed Security, 2.125%, Due 1/15/2019 | 6.0 | |||
U.S. Treasury Inflation Indexed Security, 0.125%, Due 4/15/2018 | 5.7 | |||
U.S. Treasury Inflation Indexed Security, 2.00%, Due 1/15/2016 | 3.9 | |||
Total Fund Holdings | 18 |
Portfolio Statistics
Effective Maturity (years) | 5.3 | |||
Effective Duration (years) | 5.2 | |||
3-Year Standard Deviation | 3.7 |
Security Type (% of Total Investments)
U.S. Treasuries | 99.4 | |||
Short-Term Investments | 0.6 |
3
American Beacon Treasury Inflation Protected Securities FundSM
Fund Expenses
June 30, 2013 (Unaudited)
Fund Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees if applicable, and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2013 through June 30, 2013.
Actual Expenses
The “Actual” line of the table provides information about actual account values and actual expenses. You may use the information in this line, 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 line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.
Hypothetical Example for Comparison Purposes
The “Hypothetical” line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Shareholders that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If you account was subject to a custodial IRA fee during the period, your cost would have been $15 higher.
You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.
Beginning Account Value 1/1/13 | Ending Account Value 6/30/13 | Expenses Paid During Period* 1/1/13-6/30/13 | ||||||||||
Institutional Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 947.13 | $ | 1.40 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | ||||||
Y Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 946.51 | $ | 2.94 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,021.77 | $ | 3.06 | ||||||
Investor Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 945.87 | $ | 3.33 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,021.37 | $ | 3.46 | ||||||
A Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 944.19 | $ | 4.82 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,019.84 | $ | 5.01 | ||||||
C Class | ||||||||||||
Actual | $ | 1,000.00 | $ | 940.58 | $ | 8.56 | ||||||
Hypothetical ** | $ | 1,000.00 | $ | 1,015.97 | $ | 8.90 |
* | Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.29%, 0.61%, 0.69%, 1.00% and 1.78% for the Institutional, Y, Investor, A and C Class, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period. |
** | 5% return before expenses. |
4
American Beacon Treasury Inflation Protected Securities FundSM
June 30, 2013 (Unaudited)
Par Amount | Fair Value | |||||||
(000’s) | (000’s) | |||||||
U.S. TREASURY INFLATION PROTECTED SECURITY OBLIGATIONS - 99.16% | ||||||||
1.25%, Due 4/15/2014A | $ | 1,797 | $ | 1,821 | ||||
2.00%, Due 7/15/2014A | 7,586 | 7,831 | ||||||
1.625%, Due 1/15/2015A | 14,221 | 14,786 | ||||||
0.50%, Due 4/15/2015A | 6,996 | 7,171 | ||||||
2.00%, Due 1/15/2016A | 8,043 | 8,638 | ||||||
0.125%, Due 4/15/2016A | 23,003 | 23,594 | ||||||
2.50%, Due 7/15/2016A | 2,228 | 2,463 | ||||||
2.375%, Due 1/15/2017A | 3,073 | 3,406 | ||||||
0.125%, Due 4/15/2017A | 24,372 | 25,006 | ||||||
0.125%, Due 4/15/2018A | 12,489 | 12,811 | ||||||
1.375%, Due 7/15/2018A | 3,284 | 3,586 | ||||||
2.125%, Due 1/15/2019A | 11,968 | 13,534 | ||||||
1.875%, Due 7/15/2019A | 4,422 | 4,985 | ||||||
1.375%, Due 1/15/2020A | 18,340 | 19,982 | ||||||
0.625%, Due 7/15/2021A | 24,643 | 25,434 | ||||||
0.125%, Due 1/15/2022A | 25,043 | 24,529 | ||||||
0.125%, Due 7/15/2022A | 15,021 | 14,682 | ||||||
0.125%, Due 1/15/2023A | 7,803 | 7,565 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $231,590) | 221,824 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 0.55% (Cost $1,236) | ||||||||
JPMorgan U.S. Government Money Market Fund, Capital Class | 1,235,612 | 1,236 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.71% (Cost $232,826) | 223,060 | |||||||
OTHER ASSETS, NET OF LIABILITIES - 0.29% | 646 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 223,706 | ||||||
|
|
Percentages are stated as a percent of net assets.
A | Inflation-Indexed. |
See accompanying notes
5
American Beacon Treasury Inflation Protected Securities FundSM
Statement of Assets and Liabilities
June 30, 2013 (Unaudited) (in thousands, except share and per share amounts)
Assets: | ||||
Investments in unaffiliated securities, at fair valueA | $ | 223,060 | ||
Dividends and interest receivable | 729 | |||
Receivable for fund shares sold | 254 | |||
Receivable for expense reimbursement (Note 2) | 19 | |||
Prepaid expenses | 73 | |||
|
| |||
Total assets | 224,135 | |||
|
| |||
Liabilities: | ||||
Payable for fund shares redeemed | 301 | |||
Management and investment advisory fees payable | 44 | |||
Administrative service and service fees payable | 33 | |||
Transfer agent fees payable | 10 | |||
Custody and fund accounting fees payable | 3 | |||
Professional fees payable | 26 | |||
Prospectus and shareholder reports fees payable | 10 | |||
Trustee fees payable | 2 | |||
|
| |||
Total liabilities | 429 | |||
|
| |||
Net assets | $ | 223,706 | ||
|
| |||
Analysis of Net Assets: | ||||
Paid-in-capital | 234,011 | |||
Undistributed net investment income | (310 | ) | ||
Accumulated net realized loss | (229 | ) | ||
Unrealized depreciation of investments | (9,766 | ) | ||
|
| |||
Net assets | $ | 223,706 | ||
|
| |||
Shares outstanding at no par value (unlimited shares authorized): | ||||
Institutional Class | 19,815,180 | |||
|
| |||
Y Class | 83,546 | |||
|
| |||
Investor Class | 1,519,579 | |||
|
| |||
A Class | 79,969 | |||
|
| |||
C Class | 40,103 | |||
|
| |||
Net assets (not in thousands): | ||||
Institutional Class | $ | 205,939,755 | ||
|
| |||
Y Class | $ | 871,947 | ||
|
| |||
Investor Class | $ | 15,662,551 | ||
|
| |||
A Class | $ | 825,386 | ||
|
| |||
C Class | $ | 406,081 | ||
|
| |||
Net asset value, offering and redemption price per share: | ||||
Institutional Class | $ | 10.39 | ||
|
| |||
Y Class | $ | 10.44 | ||
|
| |||
Investor Class | $ | 10.31 | ||
|
| |||
A Class (offering price $10.83) | $ | 10.32 | ||
|
| |||
C Class | $ | 10.13 | ||
|
|
A Cost of investments in unaffiliated securities | $ | 232,826 |
See accompanying notes
6
American Beacon Treasury Inflation Protected Securities FundSM
Statement of Operations
For the Six Months ended June 30, 2013 (Unaudited) (in thousands)
Investment Income: | ||||
Interest income | $ | 56 | ||
|
| |||
Total investment income | 56 | |||
|
| |||
Expenses: | ||||
Management and investment advisory fees (Note 2) | 113 | |||
Administrative service fees (Note 2): | ||||
Institutional Class | 151 | |||
Y Class | 2 | |||
Investor Class | 27 | |||
A Class | 2 | |||
C Class | 1 | |||
Transfer agent fees: | ||||
Institutional Class | 20 | |||
Investor Class | 2 | |||
Custody and fund accounting fees | 17 | |||
Professional fees | 24 | |||
Registration fees and expenses | 40 | |||
Service fees (Note 2): | ||||
Investor Class | 22 | |||
A Class | 1 | |||
Distribution fees (Note 2): | ||||
A Class | 1 | |||
C Class | 2 | |||
Prospectus and shareholder report expenses | 20 | |||
Insurance fees | 3 | |||
Trustee fees | 9 | |||
Other expenses | 6 | |||
|
| |||
Total expenses | 463 | |||
|
| |||
Net fees waived and expenses reimbursed (Note 2) | (97 | ) | ||
|
| |||
Net expenses | 366 | |||
|
| |||
Net investment income | (310 | ) | ||
|
| |||
Realized and unrealized gain (loss) on investments: | ||||
Net realized gain (loss) from: | ||||
Investments | 38 | |||
Change in net unrealized appreciation or (depreciation) from: | ||||
Investments | (12,384 | ) | ||
|
| |||
Net loss on investments | (12,346 | ) | ||
|
| |||
Net decrease in net assets resulting from operations | $ | (12,656 | ) | |
|
|
See accompanying notes
7
American Beacon Treasury Inflation Protected Securities FundSM
Statement of Changes of Net Assets (in thousands)
Six Months Ended June 30, 2013 | Year Ended December 31, 2012 | |||||||
(unaudited) | ||||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | (310 | ) | $ | 1,804 | |||
Net realized gain from investments | 38 | 11,031 | ||||||
Change in net unrealized depreciation from investments | (12,384 | ) | (1,096 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (12,656 | ) | 11,739 | |||||
|
|
|
| |||||
Distributions to Shareholders: | ||||||||
Net investment income: | ||||||||
Institutional Class | — | (1,723 | ) | |||||
Y Class | — | (4 | ) | |||||
Investor Class | — | (76 | ) | |||||
A Class | — | (1 | ) | |||||
Net realized gain on investments: | ||||||||
Institutional Class | — | (9,136 | ) | |||||
Y Class | — | (45 | ) | |||||
Investor Class | — | (853 | ) | |||||
A Class | — | (35 | ) | |||||
C Class | — | (13 | ) | |||||
Tax Return of Capital: | ||||||||
Institutional Class | — | (2,844 | ) | |||||
Y Class | — | (15 | ) | |||||
Investor Class | — | (274 | ) | |||||
A Class | — | (12 | ) | |||||
C Class | — | (4 | ) | |||||
|
|
|
| |||||
Net distributions to shareholders | — | (15,035 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital share transactions | 12,551 | (1,299 | ) | |||||
|
|
|
| |||||
Net (decrease) in net assets | (105 | ) | (4,595 | ) | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 223,811 | 228,406 | ||||||
|
|
|
| |||||
End of Period * | $ | 223,706 | $ | 223,811 | ||||
|
|
|
| |||||
* Includes undistributed net investment (loss) of | $ | (310 | ) | $ | — | |||
|
|
|
|
See accompanying notes
8
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
1. Organization and Significant Accounting Policies
American Beacon Funds (the “Trust”) which is comprised of twenty-four Funds, is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, (the “Act”) as an open-end management investment company. These financial statements and notes to the financial statements relate to the American Beacon Treasury Inflation Protected Securities Fund (the “Fund”), a series of the Trust.
American Beacon Advisors, Inc. (the “Manager”) is a wholly-owned subsidiary of Lighthouse Holdings, Inc. and was organized in 1986 to provide business management, advisory, administrative and asset management consulting services to the Trust and other investors.
Class Disclosure
The Fund has multiple classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences amongst the classes:
Class: | Offered to: | |
Institutional Class | Investors making an initial investment of $250,000 | |
Y Class | Investors making an initial investment of $100,000 | |
Investor Class | General public and investors investing through an intermediary | |
A Class | General public and investors investing through an intermediary with applicable sales charges | |
C Class | General public and investors investing through an intermediary with applicable sales charges |
Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.
2. Transactions with Affiliates
Management Agreement
The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. Investment assets of the Fund may be managed by multiple investment advisors which have entered into separate investment advisory agreements with the Manager. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Fund an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the investment advisors hired by the Manager to direct investment activities of the Fund. Management fees paid during the six months ended June 30, 2013 were as follows:
Management Fee Rate | Management Fee | Amounts paid to Investment Sub-Advisors | Net Amount Retained by Manager | |||
0.10% | $113,455 | $58,096 | $55,359 |
Administrative Services Agreement
The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.15% of the
9
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
average daily net assets of the Institutional Class, 0.30% of the average daily net assets of the Y and Investor Classes and 0.40% of the average daily net assets of the A and C Classes of the Fund.
Distribution Plans
The Trust, except for the A Class of the Fund, has adopted a “defensive” Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the Act, pursuant to which no separate fees will be charged to the Fund for distribution purposes. However, the Plan authorizes the management and administrative service fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares.
A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C Classes of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expenses incurred in a particular month by the Manager for distribution assistance.
Services Plan
The Manager and the Trust entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the Y and C Classes for the six months ended June 30, 2013 were less than $500.
Interfund Lending Program
Pursuant to an exemptive order by the Securities and Exchange Commission (“SEC”), the Funds, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Funds to borrow from other participating Funds. For the six months ended June 30, 2013, the Fund did not utilize the credit facility.
Expense Reimbursement Plan
The Manager contractually agreed to reimburse a portion of its Administrative Service fee for the Institutional Class and other expenses of the Y, Investor, A, and C Classes. Of these amounts $18,619 was receivable from the Manager at June 30, 2013. For the six months ended June 30, 2013, the Manager reimbursed expenses as follows:
Expense Cap and Limits | ||||||||||||||||
Class | 4/27/12 to 5/1/13 | 5/2/13 to 4/30/14 | Waived or Reimbursed Expenses | Expiration | ||||||||||||
Institutional | 0.10 | %* | 0.10 | %* | $ | 89,425 | 2016 | |||||||||
Y | 0.61 | % | 0.61 | % | 17 | 2016 | ||||||||||
Investor | 0.69 | % | 0.69 | % | 7,772 | 2016 | ||||||||||
A | 1.00 | % | 1.00 | % | 151 | 2016 | ||||||||||
C | 1.78 | % | 1.78 | % | 8 | 2016 |
* | Expense reduction. |
10
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
The Fund has adopted an Expense Reimbursement Plan whereby the Manager may seek repayment of fees waived or expenses reimbursed for a period of up to three years. However, reimbursement will occur only if the Class’s average net assets have grown or expenses have declined sufficiently to allow reimbursement without causing its expense ratio to exceed the previously agreed upon contractual expense limit. The carryover of excess expenses potentially reimbursable to the Manager, but not recorded as a liability is $195,591, $238,084 and $246,503 will expire in 2013, 2014, and 2015 respectively. The Fund has not recorded a liability for these potential reimbursements, due to the current assessment that reimbursements are unlikely.
Sales Commissions
The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the six months ended June 30, 2013, Foreside collected $2,560 from the sale of Class A Shares.
A contingent deferred sales charge (“CDSC”) of 1.00% will be deducted with respect to Class C Shares redeemed within 12 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 1.00% of the lesser of the original purchase price or the value of the redemption of the Class C Shares redeemed. For the period ended June 30, 2013, CDSC fees were not collected for the Treasury Inflation Protected Securities Fund.
3. Security Valuation and Fair Value Measurements
Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business.
Debt securities (other than short-term securities) normally are valued on the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. The prices of debt securities may be determined using quotes obtained from brokers.
Investments in open-end mutual funds are valued at the closing net asset value (“NAV”) per share of the mutual fund on the day of valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.
Securities for which market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the “Board”).
Valuation Inputs
Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 – | Quoted prices in active markets for identical securities. | |||
Level 2 – | Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above. | |||
Level 3 – | Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
11
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Fixed income securities including corporate, U.S. government agencies, and U.S. treasury obligations, are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date are categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.
The Fund’s investments are summarized by level based on the inputs used to determine their values. U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all significant transfers between any levels to be disclosed. During the six months ended June 30, 2013, there were no transfers between levels. As of June 30, 2013, the investments were classified as described below (in thousands):
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
U.S. Treasury Inflation Protection Security Obligations | $ | — | $ | 221,824 | $ | — | $ | 221,824 | ||||||||
Short-Term Investments – Money Markets | 1,236 | — | — | 1,236 | ||||||||||||
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Total Investments | $ | 1,236 | $ | 221,824 | $ | — | $ | 223,060 | ||||||||
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Security Transactions and Investment Income
Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the NAV. The value of the security may vary with market fluctuations.
Dividend income is recorded on the ex-dividend date. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.
Dividends to Shareholders
Dividends from net investment income of the Fund normally will be declared and paid at least semi-annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.
Allocation of Income, Expenses, Gains, and Losses
Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based up on the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
12
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.
Other
Under the Trust’s organizational documents, its officers and directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.
4. Securities and Other Investments
Treasury Inflation Protected Securities
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.
Other Investment Company Securities and Other Exchange Traded Products
The Funds may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, exchange-traded notes (“ETNs”), unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or a sub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear a Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.
5. Federal Income and Excise Taxes
It is the policy of the Fund to qualify as a regulated investment company (“RIC”), by complying with all applicable provisions of Subchapter M of the Internal Revenue Code, as amended, and to make distribution of taxable income sufficient to relieve it from substantially all federal income and excise taxes. For federal income tax purposes, the Fund is treated as a single entity for the purpose of determining such qualification.
The Fund does not have any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the four year period ended December 31, 2012 remains subject to examination by the Internal Revenue Service. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other expense” on the Statement of Operations.
13
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.
The tax character of distributions paid were as follows (in thousands):
Six Months Ended June 30, 2013 | Year Ended December 31, 2012 | |||||||
(unaudited) | ||||||||
Distributions paid from: | ||||||||
Ordinary income:* | ||||||||
Institutional Class | $ | — | $ | 1,723 | ||||
Y Class | — | 4 | ||||||
Investor Class | — | 76 | ||||||
A Class | — | 1 | ||||||
C Class | — | — | ||||||
Long-Term Capital Gain: | ||||||||
Institutional Class | — | 9,136 | ||||||
Y Class | — | 45 | ||||||
Investor Class | — | 853 | ||||||
A Class | — | 35 | ||||||
C Class | — | 13 | ||||||
Tax return of capital: | ||||||||
Institutional Class | — | 2,844 | ||||||
Y Class | — | 15 | ||||||
Investor Class | — | 274 | ||||||
A Class | — | 12 | ||||||
C Class | — | 4 | ||||||
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Total distributions paid | $ | — | $ | 15,035 | ||||
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* | For tax purposes, short-term capital gains distributions are considered ordinary income distributions. |
As of June 30, 2013, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):
Cost basis of investments for federal income tax purposes | $ | 233,669 | ||
Unrealized appreciation | 6 | |||
Unrealized depreciation | (10,615 | ) | ||
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Net unrealized appreciation or (depreciation) | (10,609 | ) | ||
Undistributed ordinary income | (310 | ) | ||
Undistributed long-term gain or (loss) | 614 | |||
Other temporary differences | — | |||
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Distributable earnings or (deficits) | $ | (10,305 | ) | |
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Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation or (depreciation) are attributable primarily to the tax deferral of losses from wash sales.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”) was enacted, which changed various technical rules governing the tax treatment of RICs. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under RIC MOD, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-
14
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Finally, the Act contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions. Except for the simplification provisions related to RIC qualification, the Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
As of June 30, 2013, the Fund did not have capital loss carryforward positions.
6. Investment Transactions
Purchases and proceeds from sales of investments for the six months ended June 30, 2013, excluding short-term investments, were $310,311,929 and $300,223,208, respectively. These amounts also represent purchases and sales of U.S. Government securities.
7. Capital Share Transactions
The tables below summarize the activity in capital shares (dollars and shares in thousands):
For the Six Months Ended June 30, 2013
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold | 5,928 | $ | 64,738 | 30 | $ | 336 | 206 | $ | 2,212 | |||||||||||||||
Reinvestment of dividends | — | — | — | — | — | — | ||||||||||||||||||
Shares redeemed | (4,548 | ) | (49,507 | ) | (42 | ) | (455 | ) | (469 | ) | (5,030 | ) | ||||||||||||
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Net increase (decrease) in shares outstanding | 1,380 | $ | 15,231 | (12 | ) | $ | (119 | ) | (263 | ) | $ | (2,818 | ) | |||||||||||
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A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 30 | $ | 328 | 12 | $ | 132 | ||||||||||
Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares redeemed | (18 | ) | (196 | ) | — | (7 | ) | |||||||||
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Net increase in shares outstanding | 12 | $ | 132 | 12 | $ | 125 | ||||||||||
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15
American Beacon Treasury Inflation Protected Securities FundSM
Notes to Financial Statements
June 30, 2013 (Unaudited)
For the Year Ended December 31, 2012
Institutional Class | Y Class | Investor Class | ||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||
Shares sold | 21,592 | $ | 247,304 | 53 | $ | 609 | 729 | $ | 8,264 | |||||||||||||||
Reinvestment of dividends | 1,136 | 12,544 | 6 | 64 | 102 | 1,113 | ||||||||||||||||||
Shares redeemed | (22,834 | ) | (261,530 | ) | (8 | ) | (97 | ) | (840 | ) | (9,525 | ) | ||||||||||||
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Net increase (decrease) in shares outstanding | (106 | ) | $ | (1,682 | ) | 51 | $ | 576 | (9 | ) | $ | (148 | ) | |||||||||||
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A Class | C Class | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Shares sold | 28 | $ | 326 | 3 | $ | 32 | ||||||||||
Reinvestment of dividends | 3 | 32 | 1 | 17 | ||||||||||||
Shares redeemed | (40 | ) | (452 | ) | — | — | ||||||||||
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Net increase (decrease) in shares outstanding | (9 | ) | $ | (94 | ) | 4 | $ | 49 | ||||||||
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16
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17
American Beacon Treasury Inflation Protected Securities FundSM
(For a share outstanding throughout the period)
Institutional Class | Y Class | |||||||||||||||||||||||||||||||
Six | Six | |||||||||||||||||||||||||||||||
Months | Months | |||||||||||||||||||||||||||||||
Ended | Ended | Year Ended | ||||||||||||||||||||||||||||||
June 30, | Year Ended December 31, | June 30, | Dec. 31, | |||||||||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009A | 2008 | 2013 | 2012 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10 .97 | $ | 11.16 | $ | 10.51 | $ | 10.16 | $ | 9.20 | $ | 10.18 | $ | 11.03 | $ | 11.24 | ||||||||||||||||
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Income from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | (0 .01 | ) | 0.04 | 0.28 | 0.16 | 0.06 | 0.80 | (0.04 | ) | 0.09 | ||||||||||||||||||||||
Net gains (losses) from investments (both realized and unrealized) | (0 .57 | ) | 0.49 | 0.67 | 0.35 | 0.95 | (0.98 | ) | (0.55 | ) | 0.41 | |||||||||||||||||||||
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Total income (loss) from investment operations | (0 .58 | ) | 0.53 | 0.95 | 0.51 | 1.01 | (0.18 | ) | (0.59 | ) | 0.50 | |||||||||||||||||||||
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Less distributions: | ||||||||||||||||||||||||||||||||
Dividends from net investment income | — | (0.07 | ) | (0.29 | ) | (0.16 | ) | (0.05 | ) | (0.80 | ) | — | (0.06 | ) | ||||||||||||||||||
Distributions from net realized gains on securities | — | (0.49 | ) | — | — | — | — | — | (0.49 | ) | ||||||||||||||||||||||
Tax return of capital | — | (0 .16 | )B | (0 .01 | )B | — | — | — | — | (0.16 | )B | |||||||||||||||||||||
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Total distributions | — | (0.72 | ) | (0.30 | ) | (0.16 | ) | (0.05 | ) | (0.80 | ) | — | (0.71 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 10 .39 | $ | 10.97 | $ | 11.16 | $ | 10.51 | $ | 10.16 | $ | 9.20 | $ | 10.44 | $ | 11.03 | ||||||||||||||||
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Total return C | (5.29 | )%D | 4.80 | % | 9.14 | % | 5.03 | % | 11.00 | % | (2.09 | )% | (5.35 | )%D | 4.42 | % | ||||||||||||||||
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Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 205,940 | $ | 202,274 | $ | 206,864 | $ | 157,195 | $ | 155,833 | $ | 140,189 | $ | 872 | $ | 1,051 | ||||||||||||||||
Ratios to average net assets (annualized): | ||||||||||||||||||||||||||||||||
Expenses, before reimbursements | 0 .38 | %E | 0.37 | % | 0.36 | % | 0.35 | % | 0.36 | % | 0.29 | % | 0.61 | %E | 0.62 | % | ||||||||||||||||
Expenses, net of reimbursements | 0 .29 | %E | 0.27 | % | 0.26 | % | 0.25 | % | 0.26 | % | 0.25 | % | 0.61 | %E | 0.61 | % | ||||||||||||||||
Net investment income (loss), before reimbursements | (0.31 | )%E | 0.64 | % | 2.24 | % | 1.40 | % | 0.59 | % | 5.15 | % | (0.68 | )%E | 0.81 | % | ||||||||||||||||
Net investment income (loss), net of reimbursements | (0.22 | )%E | 0.74 | % | 2.34 | % | 1.50 | % | 0.69 | % | 5.19 | % | (0.67 | )%E | 0.82 | % | ||||||||||||||||
Portfolio turnover rate | 136 | %D | 286 | % | 381 | % | 214 | % | 180 | % | 128 | % | 136 | %D | 286 | % |
A | Standish Mellon Asset Management Company, LLC was added as an investment advisor on December 11, 2009. |
B | The tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from January 1 through December 31, 2010. |
G | Portfolio turnover rate is for the period from January 1 through December 31, 2009. |
18
American Beacon Treasury Inflation Protected Securities FundSM
Financial Highlights
(For a share outstanding throughout the period)
Investor Class | A Class | |||||||||||||||||||||||||||||||||||||||||||
Six | Six | |||||||||||||||||||||||||||||||||||||||||||
Mar. 1 | Months | Mar. 2 | Months | May 17 | ||||||||||||||||||||||||||||||||||||||||
to | Ended | to | Ended | Year Ended | to | |||||||||||||||||||||||||||||||||||||||
Dec. 31, | June 30, | Year Ended December 31, | Dec. 31, | June 30, | December 31, | Dec. 31, | ||||||||||||||||||||||||||||||||||||||
2011 | 2010 | 2013 | 2012 | 2011 | 2010 | 2009A | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||||||||||||||||||||||||||
$ | 10.60 | $ | 10.25 | $ | 10 .90 | $ | 11.12 | $ | 10.48 | $ | 10.13 | $ | 9 .25 | $ | 10.93 | $ | 11.15 | $ | 10.54 | $ | 10.35 | |||||||||||||||||||||||
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0.26 | 0.05 | (0.05 | ) | 0.06 | 0.24 | 0.06 | 0.14 | (0.02 | ) | 0.00 | 0.10 | 0 .04 | ||||||||||||||||||||||||||||||||
0.65 | 0.35 | (0.54 | ) | 0.42 | 0.66 | 0.41 | 0.79 | (0.59 | ) | 0.45 | 0.76 | 0 .19 | ||||||||||||||||||||||||||||||||
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0.91 | 0.40 | (0.59 | ) | 0.48 | 0.90 | 0.47 | 0.93 | (0.61 | ) | 0.45 | 0.86 | 0 .23 | ||||||||||||||||||||||||||||||||
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(0.26 | ) | (0 .05 | ) | — | (0.05 | ) | (0.25 | ) | (0.12 | ) | (0.05 | ) | — | (0.02 | ) | (0.24 | ) | (0 .04 | ) | |||||||||||||||||||||||||
— | — | — | (0.49 | ) | — | — | — | — | (0.49 | ) | — | — | ||||||||||||||||||||||||||||||||
(0.01 | )B | — | — | (0 .16 | )B | (0 .01 | )B | — | — | — | (0.16 | )B | (0.01 | )B | — | |||||||||||||||||||||||||||||
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(0.27 | ) | (0 .05 | ) | — | (0.70 | ) | (0.26 | ) | (0.12 | ) | (0.05 | ) | — | (0.67 | ) | (0.25 | ) | (0.04 | ) | |||||||||||||||||||||||||
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$ | 11.24 | $ | 10.60 | $ | 10 .31 | $ | 10.90 | $ | 11.12 | $ | 10.48 | $ | 10.13 | $ | 10.32 | $ | 10.93 | $ | 11.15 | $ | 10.54 | |||||||||||||||||||||||
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8.66 | % | 3.89 | %D | (5.41 | )%D | 4.32 | % | 8.67 | % | 4.62 | % | 10.05 | %D | (5.58 | )%D | 4.07 | % | 8.17 | % | 2.23 | %D | |||||||||||||||||||||||
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$ | 501 | $ | 365 | $ | 15,663 | $ | 19,438 | $ | 19,920 | $ | 15,262 | $ | 5,868 | $ | 825 | $ | 741 | $ | 855 | $ | 155 | |||||||||||||||||||||||
1.04 | % | 0.60 | %E | 0 .78 | %E | 0.77 | % | 0.77 | % | 0.75 | % | 0.81 | %E | 1.04 | %E | 1.07 | % | 1.32 | % | 0.99 | %E | |||||||||||||||||||||||
0.63 | % | 0.60 | %E | 0 .69 | %E | 0.69 | % | 0.68 | % | 0.64 | % | 0.65 | %E | 1.00 | %E | 1.01 | % | 1.03 | % | 0.99 | %E | |||||||||||||||||||||||
1.80 | % | 0.85 | %E | (0.93 | )%E | 0.44 | % | 2.24 | % | 1.06 | % | 3.04 | %E | (0.89 | )%E | 0.07 | % | 0.88 | % | 0.55 | %E | |||||||||||||||||||||||
2.21 | % | 0.85 | %E | (0.84 | )%E | 0.53 | % | 2.32 | % | 1.17 | % | 3.20 | %E | (0.85 | )%E | 0.13 | % | 1.17 | % | 0.55 | %E | |||||||||||||||||||||||
381 | % | 214 | %F | 136 | %D | 286 | % | 381 | % | 214 | % | 180 | %G | 136 | %D | 286 | % | 381 | % | 214 | %F |
19
American Beacon Treasury Inflation Protected Securities FundSM
Financial Highlights
(For a share outstanding throughout the period)
C Class | ||||||||||||||||
Six | ||||||||||||||||
Months | Sept. 1 | |||||||||||||||
Ended | Year Ended | to | ||||||||||||||
June 30, | December 31, | Dec. 31, | ||||||||||||||
2013 | 2012 | 2011 | 2010 | |||||||||||||
(unaudited) | ||||||||||||||||
Net asset value, beginning of period | $ | 10.77 | $ | 11.06 | $ | 10.46 | $ | 10.38 | ||||||||
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Income from investment operations: | ||||||||||||||||
Net investment income (loss) | (0 .06 | ) | (0.05 | ) | 0.13 | 0 .00 | ||||||||||
Net gains (losses) from investments (both realized and unrealized) | (0 .58 | ) | 0.41 | 0.65 | 0 .08 | |||||||||||
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Total income (loss) from investment operations | (0 .64 | ) | 0.36 | 0.78 | 0 .08 | |||||||||||
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Less distributions: | ||||||||||||||||
Dividends from net investment income | — | — | (0.17 | ) | — | |||||||||||
Distributions from net realized gains on securities | — | (0.49 | ) | — | — | |||||||||||
Tax return of capital | — | (0.16 | )B | (0.01 | )B | — | ||||||||||
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Total distributions | — | (0.65 | ) | (0.18 | ) | — | ||||||||||
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Net asset value, end of period | $ | 10.13 | $ | 10.77 | $ | 11.06 | $ | 10.46 | ||||||||
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Total return C | (5.94 | )%D | 3.26 | % | 7.47 | % | 0.77 | %D | ||||||||
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Ratios and supplemental data: | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 406 | $ | 307 | $ | 266 | $ | 153 | ||||||||
Ratios to average net assets (annualized): | ||||||||||||||||
Expenses, before reimbursements | 1.78 | %E | 1.79 | % | 2.62 | % | 1.77 | %E | ||||||||
Expenses, net of reimbursements | 1.78 | %E | 1.77 | % | 1.79 | % | 1.77 | %E | ||||||||
Net investment income (loss), before reimbursements | (1.73 | )%E | (0.61 | )% | 0.25 | % | (0.05 | )%E | ||||||||
Net investment income (loss), net of reimbursements | (1.73 | )%E | (0.59 | )% | 1.08 | % | (0.05 | )%E | ||||||||
Portfolio turnover rate | 136 | %D | 286 | % | 381 | % | 214 | %F |
A | Standish Mellon Asset Management Company, LLC was added as an investment advisor on December 11, 2009. |
B | The tax return of capital is calculated based on outstanding shares at the time of distribution. |
C | Based on net asset value, which does not reflect the sales charge, redemption fee, or contingent deferred sales charge, if applicable. May include adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
D | Not annualized. |
E | Annualized. |
F | Portfolio turnover rate is for the period from January 1 through December 31, 2010. |
G | Portfolio turnover rate is for the period from January 1 through December 31, 2009. |
20
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
At its May 29, 2013 meeting, the Board of Trustees (“Board”) considered the renewal of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Beacon Trust”) on behalf of each of their series (collectively, the “Funds”) and the renewal of each investment advisory agreement between the Manager and a subadvisor (each an “Investment Advisory Agreement”). The Management Agreement and the Investment Advisory Agreements are collectively referred to herein as the “Agreements.” In preparation for the Board’s consideration to renew and approve these Agreements, the Board and its Investment Committee undertook steps to gather and consider information furnished by the Manager, the subadvisors, Lipper, Inc. (“Lipper”) and Morningstar, Inc. (“Morningstar”). The Board, with the assistance of independent legal counsel, requested and received certain relevant information from the Manager and each subadvisor.
In addition, the Board’s Investment Committee worked with Lipper to obtain relevant comparative information regarding the performance, fees and expenses of the Funds. The Investment Committee, for the benefit of all Trustees, sponsored a separate meeting on May 10, 2013 to consider the information provided by Lipper. Further, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board and Investment Committee meetings, as well as information specifically prepared in connection with the renewal process.
In connection with the Board’s consideration of the Management Agreement and each Investment Advisory Agreement, the Trustees received and evaluated such information as they deemed necessary. The information requested by the Board included, among other information, the following materials. For various reasons, a subadvisor may not have provided responses to each requested item. In these instances, the Board considered the materials that were received from such subadvisor. References herein to the “firm” refer to the Manager and/or each applicable subadvisor.
• | a description of any significant changes (actual or anticipated) to principal activities, personnel, services provided to the Funds, or any other area, including how these changes might affect the Funds; |
• | a copy of the firm’s most recent audited or unaudited financial statements, as well as Parts 1 and 2 of its Form ADV registration statement with the SEC; |
• | a summary of any material pending or anticipated litigation or regulatory proceedings involving the firm or its personnel, including the results of any recent regulatory examination or independent audit; |
• | a comparison of the performance of that portion of Fund assets managed or to be managed by each firm with the performance of other similar accounts managed by the firm, including a discussion of relative performance versus a peer group average and any actual or potential remedial measures if the firm’s longer-term performance was materially below that of the peer group; |
• | any actual or anticipated economies of scale in relation to the services the firm provides or will provide to each Fund and whether the current fee rates charged or to be charged to each Fund reflect these economies of scale for the benefit of the Fund’s investors; |
• | an analysis of compensation, including a comparison with fee rates charged to other clients for which similar services are provided, any proposed changes to the fee rate schedule, if applicable, and the effect of any fee waivers; |
• | a description of any payments made or to be made by the subadvisors to the Manager to support a Fund’s marketing efforts; |
• | a copy of the firm’s proxy voting policies and procedures and, if applicable, the name of the third-party voting service used by the firm; |
• | an evaluation of any other benefits to the firm or Funds as a result of their relationship, if any; |
• | confirmation that the firm’s financial condition would not impair its ability to provide high-quality advisory services to the Funds; |
• | a description of the scope of portfolio management services provided or to be provided to the Funds, including whether such services differ from the services provided to other clients, including other registered investment companies, and any advantages or disadvantages that might accrue to the Funds due to the firm’s involvement in other activities; |
• | a description of the personnel who are or will be assigned primary responsibility for managing the Funds, including any changes during the past year, and a discussion of the adequacy of current and projected staffing levels to service the Funds; |
• | a description of the basis upon which portfolio managers are compensated, including any “incentive” arrangements, and a description of the oversight mechanisms used to prevent a portfolio manager whose compensation is tied to performance of a Fund from taking undue risks; |
• | a description of the firm’s practices in monitoring the quality of portfolio holdings and in reviewing portfolio valuation, including any fair value determinations; |
• | a description of the firm’s use of derivatives, short positions, leveraged trading strategies or other similar trading strategies for the Funds; |
• | a discussion regarding the firm’s participation in third-party and/or proprietary “soft dollar” arrangements, if any, or other brokerage allocation policies with respect to Fund transactions; |
• | a discussion of the firm’s methodology for obtaining best execution, including any plans to improve the quality of execution in the upcoming year, and the use of any affiliated broker-dealers; |
• | a description of any actual or potential conflicts of interest anticipated in managing Fund assets; |
• | a discussion of whether the firm has identified any investment or operational matters that likely present a high risk in managing Fund assets; |
21
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
• | a description of the firm’s criteria for assessing counterparties and counterparty risk to the extent the firm enters into transactions with counterparties on a Fund’s behalf; |
• | a description of trade allocation procedures among accounts managed by the firm; |
• | a discussion of whether the firm utilizes “commission recapture” or “directed brokerage” arrangements for the benefit of the Funds or “step-out” transactions; |
• | a discussion of whether the firm receives, or anticipates receiving, other compensation, including any payment for electronic communication network liquidity rebates with respect to the Funds; |
• | a certification by the firm regarding the reasonable design of its compliance program; |
• | a summary of the results of the firm’s most recent annual review of its compliance program and a discussion of any material compliance problems encountered by a subadvisor since the most recent annual review; |
• | confirmation that the firm is prepared to provide to the Manager, directly or in summary form, any regulatory review comments that could have a material impact on services provided to the Funds; |
• | a discussion of whether, due to the firm’s trading activities on behalf of the Funds, the firm would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendments to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt; |
• | information regarding the firm’s code of ethics, insider trading policy and disaster recovery plan, including a description of any material changes thereto and a related certification of compliance by the firm; |
• | a description of the firm’s affiliation with any broker-dealer; |
• | a discussion of any anticipated change in the firm’s controlling persons; and |
• | verification of the firm’s insurance coverage with regards to the services provided to the Funds. |
• | In addition, the Manager provided the following information specific to the renewal of the Management Agreement: |
• | a comparison of the performance of a share class of each Fund to comparable investment companies and appropriate indices, including comments on the relative performance of, as applicable, each subadvisor and each Fund versus the respective peer group average; |
• | a discussion, if applicable, of any underperformance by a subadvisor relative to its peer group and what, if any, remedial measures the Manager has or intends to take; |
• | a comparison of advisory fee rates and expense ratios for comparable mutual funds; |
• | a profit/loss analysis of the Manager; |
• | an analysis of any material complaints received from Fund shareholders; |
• | a description of the extent to which the Manager monitors the investment activities and financial conditions of each subadvisor to the Funds; |
• | a discussion of whether the Manager provides different types or levels of administrative and accounting related services to certain Funds; |
• | a description of the Manager’s distribution activities with respect to promoting sales of Fund shares, including any revenue sharing practices; |
• | a description of arrangements pursuant to which certain firms may make any direct or indirect payments to partially reimburse the Manager for its marketing or other expenses on behalf of the Funds; |
• | a description of the Manager’s securities lending practices and the fees received from such practices; |
• | a discussion of any rebate arrangements between the Manager and a service provider to the Funds pursuant to which the Manager receives direct or indirect benefits from the service provider; |
• | a description of the portfolio turnover rate for each Fund and, as applicable, each subadvisor to a Fund; |
• | a description of how expenses that are not readily identifiable to a particular Fund are allocated; and |
• | confirmation that the Manager complies with applicable CFTC and National Futures Association rules and requirements for applicable Funds and a discussion regarding whether, due to the Manager’s trading activities on behalf of other Funds, the Manager would need to register, or qualify for exclusion from registration, as a commodity pool operator or commodity trading advisor pursuant to the recent amendment to Rule 4.5 under the Commodity Exchange Act with respect to the Funds and, if so, whether the firm would so register or be exempt. |
In connection with the Management Agreement and each Investment Advisory Agreement, the Board also obtained an analysis provided by Lipper that compared: (i) investment performance of each Fund versus comparable investment companies and appropriate indices; (ii) total Fund expenses of each Fund versus comparable mutual funds; and (iii) each Fund’s investment advisory fee rate versus comparable mutual funds. For certain Funds, the Board also considered information regarding the performance of the Manager and individual subadvisors with respect to their allocated portions of a Fund’s portfolio, net of management or subadvisory fees, as applicable, but not other Fund expenses. For each Fund with more than one class of shares, the class of shares used for comparative purposes was the
22
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
class with the longest performance history, which in most cases was the Institutional Class. The Board also considered that the use of Institutional Class performance generally facilitates a meaningful comparison for expense and performance purposes.
Provided below is an overview of the primary factors the Trustees considered at the Investment Committee meeting on May 10, 2013 at which the Trustees reviewed the investment performance of the Manager and each subadvisor and the primary factors considered by the Board at its May 29, 2013 meeting at which the Board considered the renewal of the Management Agreement and Investment Advisory Agreements.
The Board did not identify any particular information that was most relevant to its consideration to renew or approve each Agreement, and each Trustee may have afforded different weight to the various factors. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the renewal and approval of each Agreement. The memorandum explained the regulatory requirements surrounding the Trustees’ process for evaluating investment advisors and the terms of the contracts. Based on its evaluation, the Board unanimously concluded that the terms of each Agreement were reasonable and fair and that the renewal and approval of each Agreement was in the best interests of the Funds and their shareholders.
Considerations With Respect to the Renewal of the Management Agreement and each Investment Advisory Agreement
In determining whether to renew the Management Agreement and each Investment Advisory Agreement on behalf of the Funds, the Trustees considered the best interests of each Fund separately. While the Management Agreement and the Investment Advisory Agreements for all of the Funds were considered at the May 29, 2013 meeting, the Board considered each Fund’s investment management and subadvisory relationships separately.
In each instance, the Board considered, among other things, the following factors: (1) the nature, extent and quality of the services provided; (2) the investment performance of a Fund and, as applicable, each subadvisor for a Fund; (3) the costs incurred by the Manager in rendering services to the Funds and its resulting profits or losses; (4) the extent to which economies of scale have been taken into account in setting each fee rate schedule; (5) whether fee rate levels reflect these economies of scale for the benefit of Fund investors; (6) comparisons of services and fee rates with contracts entered into by the Manager or a subadvisor or their affiliates with other clients (such as pension funds and other institutional funds); and (7) any other benefits derived or anticipated to be derived by the Manager or a subadvisor from their relationship with a Fund. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the materials submitted in support of the renewal.
Nature, Extent and Quality of Services. With respect to the renewal of the Management Agreement, the Board considered, among other factors: each Fund’s long-term performance and the background and experience of key investment personnel at the Manager; the cost structure of the Funds; the Manager’s culture of compliance and support for compliance operations that reduce risks to the Funds; the Manager’s commitment to enhance the Funds’ product line and increase assets in the Funds; the Manager’s quality of services; the Manager’s active role in monitoring and, as appropriate, recommending additional or replacement subadvisors; the Manager’s commitment to training employees; and the Manager’s efforts to retain key employees and maintain staff levels.
With respect to the renewal of each Investment Advisory Agreement, the Trustees considered the level of staffing, quality, background and experience of each subadvisor’s investment personnel responsible for managing the Funds, the size of the subadvisor and the subadvisor’s ability to continue to attract and retain qualified investment personnel. The Board also considered the adequacy of the resources committed to the Funds by each subadvisor, and whether those resources were commensurate with the needs of the Funds and are sufficient to sustain appropriate levels of performance and compliance needs. In this regard, the Board considered the financial stability of each subadvisor. The Board also considered the subadvisors’ representations regarding their compliance programs and codes of ethics. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management and advisory services provided by the Manager and each subadvisor were appropriate for each Fund and, thus, determined to renew the Management Agreement and the Investment Advisory Agreement for each Fund.
Investment Performance. The Board evaluated the comparative information provided by Lipper and the Manager regarding each Fund’s investment performance relative to its Lipper performance universe, Lipper performance group, and/or benchmark index(es). The Board considered the information provided by Lipper regarding its independent peer selection methodology to select all performance groups and universes. The Board also considered that the performance groups and universes selected by Lipper may not provide appropriate comparisons for each Fund. In addition, the Board considered the performance reports and discussions with management at Board and Committee meetings throughout the year. The Board also considered in each instance the Manager’s recommendation to continue to retain each subadvisor. A discussion regarding the Board’s considerations with respect to each Fund’s performance appears below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Costs of the Services Provided to the Fund and the Profits Realized by the Manager from its Relationship with the Funds. In analyzing the cost of services and profitability of the Manager, the Board considered the revenues earned and the expenses incurred by the Manager. The profits or losses were noted at both an aggregate level for all Funds and at an individual Fund level, with some Funds being profitable for the Manager and with the Manager sustaining losses with respect to other Funds. Although the Board noted that, in certain cases, the fee rates paid by other clients of the Manager are lower than the fee rates paid by the Funds, the difference reflects the greater level of responsibility and regulatory requirements associated with managing the Funds.
The Board also noted that the Manager proposed to continue the expense waivers and reimbursements for certain Funds and classes that were in place during the last fiscal year. The Board further considered that with respect to each Fund, the Management
23
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
Agreement provides for the Manager to receive a management fee comprised of an annualized fee that is retained by the Manager plus the amount payable by the Manager to a subadvisor. The Board also considered that the Manager receives service and administrative fees to compensate the Manager for providing administrative services to the Funds and to compensate third-party administrators and broker-dealers for services to Fund shareholders. In addition, the Board considered that the Manager receives management fees for overseeing the securities lending program on behalf of various Funds. The Board also noted that certain classes of the Funds maintain higher expense ratios in order to compensate third-party distributors.
In analyzing the cost of services for each subadvisor in connection with its investment advisory services to the Fund, the Board considered that, in many cases, the Manager has negotiated the lowest subadvisory fee rate a subadvisor charges for any comparable client accounts. The Board did not request profitability data from the subadvisors because the Board did not view this data as imperative to its deliberations given the arm’s-length nature of the relationship between the Manager and the subadvisors with respect to the negotiation of subadvisory fee rates. In addition, the Board noted that subadvisors may not account for their profits on an account-by-account basis and, those that do, likely employ different methodologies in connection with these calculations.
Based on the foregoing information, the Board concluded that the profitability levels of the Manager were reasonable in light of the services performed by the Manager. A discussion regarding the Board’s considerations with respect to each Fund’s fee rates is set forth below under “Additional Considerations and Conclusions with Respect to Each Fund.”
Economies of Scale. In considering the reasonableness of the management and investment advisory fees rates, the Board considered whether economies of scale will be realized as the Funds grow and whether fee rate levels reflect these economies of scale for the benefit of Fund shareholders. In this regard, the Board considered that the Manager has negotiated breakpoints in many subadvisory fee rates. The Board also noted that, for purposes of determining the fee rates chargeable to the Funds, many subadvisors have agreed to take into account assets of AMR Corporation and its pension plans that are managed by the subadvisors. Thus, the Funds are able to receive lower effective fee rates.
In addition, the Board noted the Manager’s representation that many of the Funds benefit from economies of scale because comparably low fee rate levels are reflected in the current management and administration fee rates the Manager charges. The Board further noted the Manager’s representation that many of the Funds benefit from these comparably low fee rate levels despite not having yet reached an asset size at which economies of scale would traditionally be considered to exist, and the Manager’s belief that breakpoints are not appropriate at this time. Based on the foregoing information, the Board concluded that the Manager and subadvisor fee rate schedules for each Fund provide for a reasonable sharing of benefits from any economies of scale with the Funds.
Benefits Derived from the Relationship with the Funds. The Board considered the “fall-out” or ancillary benefits that accrue to the Manager and/or the subadvisors as a result of the advisory relationships with the Funds, including greater exposure in the marketplace with respect to the Manager’s or subadvisor’s investment process and expanding the level of assets under management by the Manager and the subadvisors.
In addition, the Manager noted that the Funds also derive benefits from their association with the Manager. Specifically, the Board noted the Manager’s representation that it provides services to most Funds at a lower than industry average cost. The Board considered that certain of the subadvisors reimburse the Manager for certain of its costs relating to distribution activities for the Funds. The Board also considered that the Funds did not pay commissions to any affiliated broker-dealer of the Manager or the relevant subadvisor during the most recent fiscal year ended December 31, 2012.
Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager and the subadvisors by virtue of their relationships with the Funds appear to be fair and reasonable.
Additional Considerations and Conclusions with Respect to each Fund. The performance comparisons below were made versus each Fund’s Lipper performance universe median, Lipper performance group median and/or benchmark index. References below to each Fund’s Lipper performance group and Lipper performance universe are to the respective group or universe of comparable mutual funds included in the analysis provided by Lipper. A Lipper performance group consists of the Fund and a representative sample of funds with similar investment classifications and objectives as the Fund, as selected by Lipper. A Lipper performance universe is an expansion of the performance group, providing a broader view of performance across the Fund’s investment classification/objective and allowing for a more extensive comparison. In reviewing the performance, the Trustees viewed longer-term performance over a full market cycle, typically five years or longer, as the most important consideration, because relative performance over shorter periods may be significantly impacted by market or economic events that do not reflect manager skill.
The expense comparisons below were made versus each Fund’s Lipper expense universe median and Lipper expense group median. References below to each Fund’s expense group and expense universe are to the respective group or universe of comparable mutual funds included in the analysis by Lipper. A Lipper expense group consists of the Fund and a representative sample of funds with similar operating structures, as selected by Lipper. A Lipper expense universe includes all funds in the investment classification/objective with a similar load type to the share class of the Fund included in the Lipper comparative information and provides a broader view of expenses across the Fund’s investment classification/objective. The Trustees also considered a Fund’s Morningstar fee level category. In reviewing expenses, the Trustees considered the positive impact of fee waivers where applicable and the Manager’s agreement to continue the fee waivers. In addition, information regarding the use of soft dollars was requested from the Manager and all subadvisors and was considered by the Trustees.
24
Disclosure Regarding the Board of Trustees’ Approval of the Management
Agreements and Investment Advisory Agreements of the Funds (Unaudited)
Additional Considerations and Conclusions with Respect to the American Beacon Treasury Inflation Protected Securities Fund. In considering the renewal of the Management Agreement for the American Beacon Treasury Inflation Protected Securities Fund, the Trustees considered the following additional factors: (1) the American Beacon Treasury Inflation Protected Securities Fund underperformed the Lipper performance universe median and Lipper performance group median for the one-, three- and five-year periods ended March 31, 2013; (2) the Manager’s representation that the Fund’s performance relative to its benchmark index may be more appropriate as compared to the peer universe because the peer universe funds generally have longer duration and invest in Treasury Inflation Protection Securities (“TIPS”), nominal Treasuries and foreign inflation-linked bonds, whereas the American Beacon Treasury Inflation Protected Securities Fund may invest only in U.S. TIPS; (3) the Fund underperformed its benchmark index for the one-, three- and five-year periods ended March 31, 2013; (4) the expense ratio of the Institutional Class of Fund shares was lower than the median of its Lipper expense universe and Lipper expense group; and (5) the Institutional Class of the Fund was categorized by Morningstar as having a low expense ratio.
In considering the renewal of the Investment Advisory Agreement with NISA Investment Advisors LLC (“NISA”) and Standish Mellon Asset Management LLC (“Standish”), the Trustees considered the following additional factors: (1) NISA underperformed the Lipper performance universe median for the one-, three- and five-year periods ended March 31, 2013; (2) Standish underperformed the Lipper performance universe median for the one- and three-year periods ended March 31, 2013; (3) the Manager’s explanation that NISA’s and Standish’s underperformance was due in part to their focus on shorter duration TIPS; (4) NISA outperformed its applicable benchmark index for the one-, three- and five-year periods ended March 31, 2013; (5) Standish outperformed its applicable benchmark index for the three-year period ended March 31, 2013, but underperformed its benchmark index for the one-year period; (6) representations by each subadvisor regarding fee rates charged by the subadvisor to other comparable clients; and (7) the Manager’s recommendation to continue to retain each subadvisor.
Based on these and other considerations, the Trustees: (1) concluded that the fees paid to the Manager and the subadvisors under the Agreements are fair and reasonable; (2) determined that the American Beacon Treasury Inflation Protected Securities Fund and its shareholders would benefit from the Manager’s and subadvisors’ continued management of the Fund; and (3) approved the renewal of the Management and Investment Advisory Agreements with respect to the American Beacon Treasury Inflation Protected Securities Fund.
25
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www.americanbeaconfunds.com
If you invest in the Fund through a financial institution, you may be able to receive the Fund’s regulatory mailings, such as the Summary Prospectus, Annual Report and Semi-Annual Report, by e-mail. If you are interested in this option, please go to www.icsdelivery.com and search for your financial institution’s name or contact your financial institution directly.
To obtain more information about the Fund:
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By E-mail: american_beacon.funds@ambeacon.com | On the Internet: Visit our website at www.americanbeaconfunds.com | |||
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By Telephone: Call (800) 658-5811 |
By Mail: American Beacon Funds P.O. Box 219643 Kansas City, MO 64121-9643 | |||
Availability of Quarterly Portfolio Schedules
In addition to the Schedule of Investments provided in each semi-annual and annual | Availability of Proxy Voting Policy and Records
A description of the policies and procedures the Fund uses to determine how to |
Fund Service Providers:
CUSTODIAN State Street Bank and Trust Boston, Massachusetts
| TRANSFER AGENT Boston Financial Data Services Kansas City, Missouri
| INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Dallas, Texas
| DISTRIBUTOR Foreside Fund Services, LLC Portland, Maine |
This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.
American Beacon Funds and American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.
SAR 6/13
ITEM 2. CODE OF ETHICS.
The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the “Code”) nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The schedules of investments for each series of the Trust are included in the shareholder report presented in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last disclosed such procedures in Schedule 14A.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.
(b) There were no changes in the Trust’s internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not Applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.
(a)(3) Not Applicable.
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): American Beacon Funds
By | /s/ Gene L. Needles, Jr. | |
Gene L. Needles, Jr. President |
Date: September 6, 2013
By | /s/ Melinda G. Heika | |
Melinda G. Heika Treasurer |
Date: September 6, 2013
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/ Gene L. Needles, Jr. | |
Gene L. Needles, Jr. President |
Date: September 6, 2013
By | /s/ Melinda G. Heika | |
Melinda G. Heika Treasurer |
Date: September 6, 2013