American Beacon Balanced Fund (AABPX) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-4984

AMERICAN BEACON FUNDS

(Exact name of registrant as specified in charter)

220 East Las Colinas Boulevard, Suite 1200

Irving, Texas 75039

(Address of principal executive offices)-(Zip code)

Gene L. Needles, Jr., PRESIDENT

220 East Las Colinas Boulevard, Suite 1200

Irving, Texas 75039

(Name and address of agent for service)

Registrant’s telephone number, including area code: (817) 391-6100

Date of fiscal year end: December 31, 2014

Date of reporting period: December 31, 2014

ITEM 1. REPORT TO STOCKHOLDERS.

ANNUAL REPORT December 31, 2013 S&P 500® INDEX FUND SMALL CAP INDEX FUND-Closed to new investors INTERNATIONAL EQUITY INDEX FUND December 31, 2014 AHL Managed futures strategy fund bahl & gaynor small cap growth fund BRIDGEWAY LARGE CAP VALUE FUND HOLLAND LARGE CAP GROWTH FUND STEPHENS SMALL CAP GROWTH FUND (Closed to New Investors) STEPHENS MID-CAP GROWTH FUND

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

Message from American Beacon	1
Market and Performance Overviews	2
Schedules of Investments	20
Financial Statements	36
Notes to Financial Statements	43
Financial Highlights	66
Additional Information	Back Cover

AHL Managed Futures Strategy Fund: Investing in derivative instruments involves liquidity, credit, interest rate and market risks. The use of quantitative models may lead to high levels of trading and concentration among certain investments, resulting in higher trading costs and return volatility. Investing in foreign and emerging market securities may involve heightened risk due to currency fluctuations and economic and political risks. Because the Fund may invest in fewer issuers than a more diversified portfolio, the fluctuating value of a single holding may have a greater effect on the value of the Fund. Bahl & Gaynor Small Cap Growth Fund: Investing in small-capitalization stocks may involve greater volatility and lower liquidity than larger company stocks. Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. The use of futures contracts for cash management may subject the Fund to losing more money than invested. The Fund may participate in a securities lending program. Bridgeway Large Cap Value Fund: Investing in value stocks may limit downside risk over time; however, the Fund may produce more modest gains than riskier stock funds as a trade-off for this potentially lower risk. Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. While the Fund is managed pursuant to a tax management strategy, the Fund’s investments could create capital gains. The use of futures contracts for cash management may subject the Fund to losing more money than invested. Holland Large Cap Growth Fund: Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. The use of futures contracts for cash management may subject the Fund to losing more money than invested. Stephens Small Cap Growth Fund: Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Investing in small-capitalization stocks may involve greater volatility and lower liquidity than larger company stocks. Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. The use of futures contracts for cash management may subject the Fund to losing more money than invested. The Fund may participate in a securities lending program. Stephens Mid-Cap Growth Fund: Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales. Investing in medium-capitalization stocks may involve greater volatility and lower liquidity than larger company stocks. Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. The use of futures contracts for cash management may subject the Fund to losing more money than invested. The Fund may participate in a securities lending program.

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 December 31, 2014

Dear Shareholders,   2014 was a good year for domestic equity investors; the markets were calm and stocks ended the year above average following two modest pullbacks. The S&P 500 Index, a U.S. large-cap stock bellwether, gained 13.69% – buoyed by accelerated economic growth and increased earnings. Of the 10 industry sectors in which the S&P 500 Index is divided, only two lost ground during the year: Energy (-9.99%) and Telecommunications Services (-1.91%). The Russell Midcap Index, a barometer of mid-cap stocks, gained 13.22%. And the Russell 2000 Index, which generally represents the small-cap segment, gained 4.89%.

In contrast, international equity investments declined. Many of the world’s economies struggled throughout the year and the stronger U.S. dollar lowered the value of foreign investments. The MSCI EAFE Index, which measures the world’s developed market, closed down at -4.90%.

At American Beacon Advisors, we are proud to offer a broad range of equity funds that are capable of navigating economic storms and market downturns in the U.S. and abroad. We are fortunate to have several asset managers who have stayed the course for many years and through a variety of economic and market conditions. To further broaden the investment options available to our shareholders, in 2014 we introduced two new mutual funds, each led by experienced and well-respected sub-advisors – the American Beacon Bahl & Gaynor Small Cap Growth Fund and the American Beacon AHL Managed Futures Strategy Fund.

For the 12 months ended December 31, 2014:

• American Beacon Bridgeway Large Cap Value Fund (Investor Class) returned 13.89%.

• American Beacon Holland Large Cap Growth Fund (Investor Class) returned 6.99%.

• American Beacon Stephens Small Cap Growth Fund (Investor Class) returned -3.35%.

• American Beacon Stephens Mid-Cap Growth Fund (Investor Class) returned 2.97%.

With respect to our newer funds:

• For the period from July 15, 2014 (the Fund’s inception), to December 31, 2014, the American Beacon Bahl & Gaynor Small Cap Growth Fund (Investor Class) returned 7.08%.

• For the period from August 19, 2014 (the Fund’s inception), to December 31, 2014, the American Beacon AHL Managed Futures Strategy Fund (Investor Class) returned 13.23%.

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,

Gene L. Needles, Jr.

President

American Beacon Funds

1

Futures and Commodity Market Overview

December 31, 2014 (Unaudited)

Falling correlation levels and increased trendsⁱ at the instrument level were the primary drivers of performance for the commodities industry in 2014, and trend followersⁱⁱ had a very strong year, outpacing returns across the majority of asset classes.

In the commodity futures market, trend followers benefit from low correlations across all the instruments they trade, meaning that trends can be captured in a variety of different places.

Correlation between instruments typically traded by commodity trading advisors (“CTAs”) rose significantly following the credit crisis of 2008, coinciding with periods of political and central bank intervention. Since 2013, however, correlations have markedly declined, and that decline across the instruments traded by trend followers continued in 2014. As a result of markets behaving in many different ways, there were more opportunities for commodity traders to capture and profit from different trends.

In the years immediately following the demise of Lehman Brothers Holdings Inc., U.S. politicians and central bankers were the primary drivers of financial markets. Now, however, there is a huge divergence in economic cycles globally, reflected in differing central bank policies in the U.S., Europe, China and Japan, for example. These economic themes were the primary drivers of performance of the best performing sectors in 2014, fixed income and currencies. Europe’s stagnation and the prospect of stimulus there propelled European bond prices higher, particularly in Italy and France. For currencies, this manifested itself in falls in the euro. Similarly, additional bouts of “Abenomics” in Japan resulted in declines in the yen.

Another distinct theme that aided trend followers in the second half of 2014 was the fall in oil prices. Put simply, losses incurred from the trading of trendless instruments, such as oil, offset profits made from trending instruments, such as bonds.

Equities, on the other hand, struggled to maintain a clear direction. Events in Argentina, Syria and Ukraine unsettled the risk-on asset class, with European indexes in particular being affected. Nevertheless, despite the end of quantitative easing, the firmer economic footing in the U.S. resulted in another good year for domestic stocks. In addition, strong trends in oil prices indirectly affected equity markets.

With fixed-income yields in developed markets at the lows of most people’s memories and U.S. equities having had six straight years of positive returns, investors may have started to worry about asset price bubbles. Unlike conventional long-only investing, bubbles do not worry a trend-follower – quite the opposite, in fact, as bubbles represent opportunities to capture strong trends in both upward and downward directions.

ⁱ  Trend following is an investment strategy based on the technical analysis of market prices rather than the fundamentals of individual companies.

ⁱⁱ  Trend followers take advantage of short-, medium- or long-term moves that occur within various instruments or markets.

2

American Beacon AHL Managed Futures Strategy Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

Since inception through year-end 2014, the Investor Class of the American Beacon AHL Managed Futures Strategy Fund (the “Fund”) generated strong positive performance of 13.23%.

Comparison of Change in Value of a $10,000 Investment

for the Period from 8/19/14* through 12/31/14

* Inception of Fund.

Total Returns for the Period ended 12/31/14

	Since incep. (8/19/14)			Value of $10,000 8/19/14- 12/31/14
Institutional Class (1,5)		13.43	%**	$	11,343
Y Class (1,2,5)		13.33	%**		11,333
Investor Class (1,3,5)		13.23	%**		11,323
A Class with sales charge (1,2,5)		6.72	%**		10,672
A Class without sales charge (1,2,5)		13.23	%**		11,323
C Class with sales charge (1,3,5)		11.93	%**		11,193
C Class without sales charge (1,3,5)		12.93	%**		11,293
BofA Merrill Lynch 3-Month Treasury Bill Index (4)		0.01	%**		10,001

** 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 calculated based on the published end of day net asset values as of the 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. A portion of the fees charged to each Class of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than actual returns shown.

2. A Class shares have a maximum sales charge of 5.75%.

3. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase.

4. The BofA Merrill Lynch 3-Month Treasury Bill Index is designed to measure the total return on cash, including price and interest income, based on short-term government Treasury Bills of about 90-day maturity.

5. 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 2.29%, 2.39%, 2.67%, 2.69%, and 3.44%, 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.

Three key themes dominated since the Fund’s launch in mid-August: (1) U.S. dollar strength driven by the relative outperformance of the U.S. economy, (2) energy price weakness led by increased U.S. supply and OPEC’s failure to cut its production, and (3) higher bond prices globally, as much of the world outside of the U.S. is still dealing with low growth and low inflation.

The leading sector driving performance was Currency, returning 5.6%. Within currencies, the best performer was a long U.S. dollar position against a short Japanese yen position. With the Japanese economy mired in a technical recession, the currency fell to its lowest level since 2007. Additionally, the Fund’s long U.S. dollar position versus the euro was the Fund’s second best performing currency position as concerns about low inflation and low growth led the euro to two-year lows.

Energy was the Fund’s second best sector in 2014, contributing 4.8%. Short positions in Crude Oil, Gas Oil and Heating Oil generated the most profits for the sector as we witnessed a dramatic decline in Crude Oil prices, driven by excess supply from North American alternative sources, weaker than expected demand, and a recalcitrant Saudi Arabia which pulled the entire sector lower.

Positions in Bonds added 4.3% to the performance of the Fund for the period. Long positions in U.K. gilts contributed 1.1%. Yields tumbled at the long end, following a faltering in the U.K.’s economic recovery and expectations that rate rises would be delayed. The second best performing market in the Bonds sector was Australian bonds driven by a general decline in

3

American Beacon AHL Managed Futures Strategy Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

yields since the Fund’s launch with ten-year yields dropping by 75 basis points (0.75%).

Interest Rates contributed 0.7% during the period. Nearly all of this gain was due to the strong performance of long positions in the Short Sterling contract which performed well on the expectations that rate hikes would be put off until 2015.

The Fund’s positions in Metals also contributed positively led by shorts in the precious metals markets of Gold and Silver. Gains were attributed to a stronger U.S. economy in general as well as the stronger U.S. dollar.

Detracting from performance for the period was the Agricultural sector. A long position in Cocoa detracted 0.2% making it the most negative market within the sector. Cocoa prices fell throughout most of the period, as previous strength (fueled by Ebola fears and weather issues in the Ivory Coast) abated and prices fell through support levels. Short positions in Corn also detracted from performance with a return of -0.1%. Prices were firm through most of the period, recovering a bit from prior weakness (driven by expectations for increasing crop yields) as cold weather in the Midwestern U.S. set in around harvest time.

Lastly, the Stocks sector detracted the most during the period, generating a -2.5% return. In terms of markets, a long position in the Hang Seng was down the most and produced a -0.4% return. Losses were made in conjunction with the downward pressure put on the market and economy by the Occupy Central movement. In the U.K., a long in the FTSE 100 produced losses and was down -0.3%. U.K. equities were volatile and were down overall. The market saw significant falls and subsequent reversals in both October and December. Such conditions are challenging for the sub-advisor’s trend-following based systems.

Looking forward, the Fund’s sub-advisor will continue to implement its trading strategy designed to capitalize on price trends (up or down) in a broad range of global stock index, bond, currency, short-term interest rate and commodity futures markets seeking to achieve the Fund’s goal of capital growth.

Asset Class Exposure	% of VaR
Fixed Income		31.0
Currencies		26.0
Commodities		22.0
Equities		21.0

Holdings Summary

Number of Long Holdings	45
Number of Short Holdings	28
Number of Currency Pairs	16

Top Active Exposures by Asset Class

Commodities		% of VaR
Gold Futures	Short		3.27
Natural Gas Futures	Short		2.72
Sugar Futures	Short		2.39
Currencies		% of VaR
MYR/USD	Cross-Currency		3.15
JPY/USD	Cross-Currency		3.11
BRL/USD	Cross-Currency		3.00
Equities		% of VaR
S&P 500 Futures	Long		3.67
Korean Kospi Futures	Short		3.33
NASDAQ 100 Futures	Long		2.92
Fixed Income		% of VaR
US Treasury Futures	Long		5.29
Australian Bond Futures	Long		4.91
UK Gilt Futures	Long		3.07

4

Domestic Equity Market Overview

December 31, 2014 (Unaudited)

Domestic equities turned in a solid year in 2014 – the sixth consecutive advance for the S&P 500 Index and the Dow Jones Industrial Average (“the Dow”). Gaining 13.69% for the year, the S&P 500 Index led both the Russell Midcap Index (up 13.22%) and the Russell 2000 Index (up 4.89%), driven by continued strong earnings gains and multiple expansions. In the period’s low volatility/ low dispersionⁱⁱⁱ environment, the defensive sectors of Utilities and Health Care were the top performing sectors and key drivers of S&P 500 Index returns.

The year began on a sour note with the prospect of higher, long-term interest rates in the U.S. –coupled with declining global liquidity – as the Federal Reserve (“the Fed”) reduced asset purchases, luring capital from emerging markets and causing turmoil in the global economy. After January’s decline of 3.46%, the S&P 500 Index marched persistently higher in 2014 without recording a 10% or more correction during the year. Nearly three quarters of the S&P 500 Index constituents advanced over the course of 2014 with nine of the 10 sectors recording positive, absolute price gains. With revenue growth once again established and margins at historically high levels, earnings, cash flows and dividends set new, all-time-high water marks. Investor and corporate confidence returned resulting in strong flows into domestic equity products and dividend increases. Merger and acquisition activity was strong globally ($3.4 trillion) and domestically ($1.5 trillion) and, when coupled with meaningful share repurchase programs, reflected the corporate buyer’s large appetite for equity.

Surprise macro and geopolitical influences affected equity price movements in 2014. Despite broad expectations to the contrary, market-based interest rates moved sharply lower over course of the year with the yield on the 10-year Treasury note falling from 3.01% to 2.17%. This development greatly influenced the year’s Utility sector performance. Additionally, oil prices began trading lower in June, gaining momentum in both the third and fourth quarters. Oil traded 46% lower by the end of 2014, affecting company performance and profitability, some positive and some negative, in a number of industries. Accordingly, the Energy sector of the S&P 500 Index was the worst performing sector in 2014.

Global central banks also were an important domestic equity market influence during the year. Fed Chair Janet Yellen’s first term brought with it the end of open-ended quantitative easing in the U.S. in October. The Fed was careful to provide transparency and verbal guidance to the capital markets regarding the cadence of the program’s wind down, as well as articulating the thought process behind the removal of accommodation. At the same time, the governments and central banks of Japan, Europe, China, England and other countries were active in providing fiscal or monetary stimulus. This dynamic helped to increase the U.S. dollar’s value by approximately 14% versus other currencies in 2014, a meaningful development affecting capital flows and reported earnings by U.S. multinationals.

ⁱⁱⁱ  Dispersion measures the average difference between the return of an index and the return of each of the index’s components. In times of high dispersion, the gap between the best and the worst performers is relatively wide; when the dispersion is low, the performance gap narrows.

5

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

The Investor Class of the Bahl & Gaynor Small Cap Growth Fund (the “Fund”) returned 7.08% for the period since inception July 15, 2014 through December 31, 2014. The Fund underperformed the Russell 2000 Growth Index (the “Index”) return of 7.49% for the period.

Comparison of Change in Value of a $10,000 Investment

for the Period from 7/15/14* through 12/31/14

* Inception of Fund.

Total Returns for the Period ended 12/31/14

	Since incep. (7/15/14)			Value of $10,000 7/15/14- 12/31/14
Institutional Class (1,5)		7.28	%**	$	10,728
Y Class (1,5)		7.28	%**		10,728
Investor Class (1,5)		7.08	%**		10,708
A Class with sales charge (1,2,5)		0.92	%**		10,092
A Class without sales charge (1,2,5)		7.08	%**		10,708
C Class with sales charge (1,3,5)		5.68	%**		10,568
C Class without sales charge (1,3,5)		6.68	%**		10,668
Russell 2000 Growth Index (4)		7.49	%**		10,749
S&P 500 Index (4)		5.28	%**		10,528

** 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 calculated based on the published end of day net asset values 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 of the Fund has been waived since Fund inception. Performance prior to waiving fees was lower than actual returns shown.

2. A Class shares have a maximum sales charge of 5.75%.

3. C Class has a maximum contingent deferred sales charge of 1.00% for shares redeemed within one year of the date of purchase.

4. 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 and the Russell 2000 Index are registered trademarks of Frank Russell Company. 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. One cannot directly invest in an index.

5. 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 1.62%, 1.72%, 2.00%, 2.02%, and 2.77%, 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.

Prior to the deduction of expenses, the Fund outperformed the Index through good stock selection and sector allocation for the five months ending December 31, 2014. From a stock selection standpoint, holdings in the Energy and Materials sectors contributed about 80 basis points (0.80%) and 50 basis points (0.50%), respectively, to relative performance. In the Energy sector, which was worst performing sector for the year, not owning Kodiak Oil & Gas (down 52.8%) and not owning CARBO Ceramics (down 67.6%) added the most value relative to the Index. Balchem (up 34.1%) and not owning U.S. Silica Holdings (down 54.0%) or Worthington Industries (down 20.6%) were the largest contributors to performance in the Materials sector. The aforementioned good performance was somewhat offset by poor stock selection in the Health Care and Information Technology sectors. In the Health Care sector, owning Trinity Biotech (down 24.4%) and not owning Isis Pharmaceuticals (up 99.2%) were the largest detractors. Computer Task Group (down 32.5%) and National Instruments (down 1.5%) hurt relative performance in the Information Technology sector.

From a sector allocation perspective, the Fund benefited from being underweight the Energy sector (down 38.4%) and overweight Consumer Staples (up 21.0%). This was offset somewhat by an overweight in Utilities (down 15.9%) and

6

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

underweight in Health Care (up 20.8%) during the period.

Looking forward, the Fund’s sub-advisor will continue to maintain a disciplined, long-term approach to equity investing in high-quality smaller capitalization dividend-paying stocks with above-average growth potential.

Top Ten Holdings (% Net Assets)

STERIS Corp.		2.7
Texas Roadhouse, Inc.		2.7
West Pharmaceutical Services, Inc.		2.6
MarketAxess Holdings, Inc.		2.4
Balchem Corp.		2.4
PacWest Bancorp		2.3
Cantel Medical Corp.		2.2
Abaxis, Inc.		2.1
Jack Henry & Associates, Inc.		2.1
Horace Mann Educators Corp.		2.0
Total Fund Holdings	71

Sector Allocation (% Equities)

Information Technology	23.7
Health Care	17.1
Consumer Discretionary	15.5
Industrials	13.9
Financials	13.3
Consumer Staples	8.0
Materials	4.6
Energy	3.2
Utilities	0.7

7

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 13.89% for the twelve months ended December 31, 2014. The Fund outperformed the Russell 1000^® Value Index (the “Index”) return of 13.45%.

Comparison of Change in Value of a $10,000 Investment

for the Period from 12/31/04 through 12/31/14

Total Returns for the Period ended 12/31/14

	1 Year			5 Years			10 Years			Value of $10,000 12/31/04- 12/31/14
Institutional Class (1,7)		14.18	%		16.82	%		9.03	%	$	23,736
Y Class (1,2,7)		14.15	%		16.77	%		9.00	%		23,678
Investor Class (1,3,7)		13.89	%		16.61	%		8.93	%		23,517
A Class with sales charge (1,4,7)		7.24	%		15.14	%		8.24	%		22,066
A Class without sales charge (1,4,7)		13.76	%		16.51	%		8.88	%		23,415
C Class with sales charge (1,5,7)		11.88	%		16.04	%		8.66	%		22,952
C Class without sales charge (1,5,7)		12.88	%		16.04	%		8.66	%		22,952
Russell 1000 Value Index (6)		13.45	%		15.42	%		7.30	%		20,230

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 calculated based on the published end of day net asset values 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 per-formance 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 from 2008 through 2013 and partially recovered in

2014. Performance prior to waiving fees was lower than the actual returns shown from 2008 through 2013.

2. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 12/31/04 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 12/31/04. A portion of the fees charged to the Y Class was waived in 2012 and fully recovered in 2013 and 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012.

3. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 12/31/04 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 12/31/04. A portion of the fees charged to the Investor Class was waived in 2012 and fully recovered in 2013. Performance prior to waiving fees was lower than the actual returns shown in 2012.

4. Fund performance for the five-year and ten-year periods represent the returns achieved by the Institutional Class from 12/31/04 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 12/31/04. A portion of the fees charged to the A Class was waived in 2012 and 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2013. 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 Institutional Class from 12/31/04 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 12/31/04. A portion of the fees charged to the C Class was waived in 2012 and 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2013. 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. One cannot directly invest in an index.

8

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

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 1.02%, 0.94%, 1.09%, 1.29%, and 2.04%, 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 through stock selection as sector allocation detracted value relative to the Index.

From a stock selection standpoint, the Fund’s Industrials sector contributed most to excess performance, adding approximately 240 basis points (2.40%). In the Industrials sector, Southwest Airlines (up 125.3%) and Delta Air Lines (up 81.4%) were the largest contributors. Not owning General Electric, which was down 6.7% in the Index, also positively impacted performance. The Fund’s Telecommunication Services and Information Technology sectors also added value relative to the benchmark. Level 3 Communications (up 46.5%) and CenturyLink (up 33.1%) were the largest contributors in the Telecommunication Services sector. In the Information Technology sector, Skyworks Solutions (up 75.0%), Electronics Arts (up 102.8%) and Micron Technology (up 60.3%) contributed most to the Fund’s performance. The aforementioned good performance was somewhat offset by poor stock selection in the Financials sector. Genworth Financial (down 47.3%) was the largest detractor in the Financials sector. Not owning Berkshire Hathaway, which was up 26.6% in the Index, also detracted relative value.

The Fund’s underweight position in the Health Care sector detracted more than 40 basis points (0.40%) relative to the benchmark through sector allocation. An overweight in the Materials sector also detracted from the Fund’s returns. This was somewhat offset by the Fund’s overweight in Information Technology, the best performing sector in the Index, which added relative value.

The sub-advisor continues to invest in a broadly diversified portfolio of companies that they believe have attractive valuations and above-average earnings growth potential. This approach should allow the Fund to benefit over the longer term.

Top Ten Holdings (% Net Assets)

Southwest Airlines Co.		1.9
Pilgrim’s Pride Corp.		1.9
HCA Holdings, Inc.		1.9
Tesoro Corp.		1.9
Micron Technology, Inc.		1.5
Level 3 Communications, Inc.		1.4
Alaska Air Group, Inc.		1.4
Royal Caribbean Cruises Ltd.		1.3
Amgen, Inc.		1.3
Cardinal Health, Inc.		1.2
Total Fund Holdings	115

Sector Allocation (% Equities)

Financials	28.4
Industrials	13.2
Information Technology	12.5
Health Care	10.5
Energy	10.0
Utilities	6.6
Consumer Discretionary	6.5
Materials	5.4
Consumer Staples	3.8
Telecommunication Services	3.1

9

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

The Investor Class of the American Beacon Holland Large Cap Growth Fund (the “Fund”) returned 6.99% for the twelve months ended December 31, 2014. The Fund trailed the Russell 1000^® Growth Index (the “Index”) return of 13.05%.

Comparison of Change in Value of a $10,000 Investment

for the Period from 12/31/04 through 12/31/14

Total Returns for the Period ended 12/31/14

	1 Year			5 Years			10 Years			Value of $10,000 12/31/04- 12/31/14
Institutional Class (1,2,7)		7.31	%		13.63	%		6.97	%	$	19,610
Y Class (1,3,7)		7.13	%		13.54	%		6.92	%		19,529
Investor Class (1,7)		6.99	%		13.33	%		6.83	%		19,352
A Class with sales charge (1,4,7)		0.73	%		11.92	%		6.15	%		18,170
A Class without sales charge (1,4,7)		6.88	%		13.24	%		6.78	%		19,276
C Class with sales charge (1,5,7)		5.05	%		12.76	%		6.55	%		18,868
C Class without sales charge (1,5,7)		6.05	%		12.76	%		6.55	%		18,868
Russell 1000 Growth Index (6)		13.05	%		14.12	%		7.36	%		22,593

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 calculated based on the published end of day net asset values 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 per-formance 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 Investor Class was waived from 2002 through 2012 and fully recovered in 2013 and 2014. Performance prior to waiving fees was lower than the actual returns shown from 2002 through 2012.

2. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 12/31/04 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 12/31/04. A portion of the fees charged to the Institutional Class was waived from 2010 through 2012 and partially recovered in 2013 and 2014. Performance prior to waiving fees was lower than the actual returns shown from 2010 through 2012.

3. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 12/31/04 up to 3/1/10, the Institutional Class from 3/1/10 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 12/31/04. A portion of the fees charged to the Y Class was waived in 2012 and partially recovered in 2013 and waived in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2014.

4. Fund performance for the five-year and ten-year periods represent the returns achieved by the Investor Class from 12/31/04 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 12/31/04. A portion of the fees charged to the A Class has been waived since 2010. Performance prior to waiving fees was lower than the actual returns shown since 2010. 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 12/31/04 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 12/31/04. A portion of the fees charged to the C Class has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. 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. 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 0.86%, 0.97%, 1.26%, 1.30%, and 2.05% respectively.

10

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

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 due to poor stock selection as sector allocation added modest value relative to the Index.

From a stock selection standpoint, holdings in the Energy sector detracted approximately 215 basis points (2.15%) from performance. Range Resources (down 36.2%) and Halliburton (down 22.5%) had the greatest negative impact to performance in the Energy sector. Companies in the Information Technology and Health Care sectors also detracted from the Fund’s return. In the Information Technology sector, Neustar (down 32.6%) was the largest detractor. The Fund’s much larger allocation to Citrix Systems, which was only up 1.3%, also hurt performance. In the Health Care sector, Bio Marin Pharmaceutical (down 11.9%) detracted most from performance. Not owning Allergan and Amgen, which were up 91.6% and 42.2%, respectively, in the Index, also detracted relative value. Good stock selection in the Consumer Staples sector added value relative to the benchmark. Monster Beverage (up 59.8%) was the largest contributor in the Consumer Staples sector. Not owning Whole Foods Market, which was down 11.9% in the Index, also contributed to performance.

The Fund’s absence from Tele-communication Services, one of the poorer performing sectors in the Index, added approximately 20 basis points (0.20%) to performance through sector allocation. Overweight positions in Information Technology and Health Care, the two best performing sectors in the Index, also contributed to Fund performance. A significant overweight in Energy, the worst performing sector in the Index, detracted relative value.

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.		4.7
Qualcomm, Inc.		4.1
Apple, Inc.		4.1
Google, Inc.		3.5
Priceline.com, Inc.		3.5
Adobe Systems, Inc.		3.3
Citrix Systems, Inc.		3.2
Gilead Sciences, Inc.		3.1
Cisco Systems, Inc.		3.1
Medtronic, Inc.		2.9
Total Fund Holdings	47

Sector Allocation (% Equities)

Information Technology	34.5
Consumer Discretionary	19.5
Health Care	13.9
Consumer Staples	11.9
Industrials	8.3
Energy	4.9
Financials	3.9
Materials	3.1

11

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned -3.35% for the twelve months ended December 31, 2014, trailing the Russell 2000^® Growth Index (the “Index”) return of 5.60% for the same period.

Comparison of Change in Value of a $10,000 Investment

for the Period from 12/1/05* through 12/31/14

* Inception of Fund.

Total Returns for the Period ended 12/31/14

	1 Year			5 Years			Since Incep. (12/1/05)			Value of $10,000 12/1/05- 12/31/14
Institutional Class (1,2,7)		(3.08	)%		15.74	%		9.31	%	$	21,001
Y Class (1,3,7)		(3.14	)%		15.58	%		8.07	%		20,233
Investor Class (1,7)		(3.35	)%		15.43	%		7.99	%		20,105
A Class with sales charge (1,4,7)		(9.08	)%		13.94	%		7.22	%		18,838
A Class without sales charge (1,4,7)		(3.54	)%		15.30	%		7.92	%		19,987
C Class with sales charge (1,5,7)		(5.20	)%		14.82	%		7.68	%		19,578
C Class without sales charge (1,5,7)		(4.20	)%		14.82	%		7.68	%		19,578
S&P 500 Index (6)		13.69	%		15.45	%		7.91	%		19,972
Russell 2000 Growth Index (6)		5.60	%		16.80	%		8.94	%		21,764

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 calculated based on the published end of day net asset values 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 per-formance 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 Investor Class was waived from

2005 through 2013 and partially recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown from 2005 through 2013.

2. Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. A portion of the fees charged to the Institutional Class was waived from 2006 through 2013 and partially recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown from 2006 through 2013.

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.A portion of the fees charged to the Y Class was waived in 2012 and 2013 and fully recovered in 2014. Performance prior to waiving fees was lower than the actual returns shown in 2012 and 2013.

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 portion of the fees charged to the A Class was waived in 2012 and partially recovered in 2013 and 2014. Performance prior to waiving fees was lower than actual returns shown in 2012. 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. A portion of the fees charged to the C Class was waived in 2012 and partially recovered in 2013 and 2014. Performance prior to waiving fees was lower than actual returns shown in 2012. 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 and the Russell 2000 Index are registered trademarks of Frank Russell Company. 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. One cannot directly invest in an index.

12

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

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 1.13%, 1.21%, 1.41%, 1.49%, and 2.25% 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 primarily due to stock selection and, to a lesser extent, through sector allocation.

From a stock selection standpoint, the Fund’s Information Technology and Consumer Discretionary sectors detracted more than 230 basis points (2.30%) each from performance. Companies detracting the most relative value in the Information Technology sector included Stratasys (down 38.0%), Pros Holdings (down 30.6%) and Infoblox (down 60.9%). In the Consumer Discretionary sector, Chuy’s (down 44.5%), DXP Enterprises (down 55.2%) and SFX Entertainment (down 63.2%) detracted relative value. The Fund’s Financials sector companies also hurt performance, detracting approximately 165 basis points (1.65%). In the Financials sector, Bancorp (down 39.3%), Cardtronics (down 11.4%) and Encore Capital Group (down 11.7%) were the largest detractors. The Fund’s Energy sector companies added relative value. Athlon Energy (up 93.9%) and C&J Energy Services (up 33.7%) were the largest contributors in the Energy sector. Not owning Carbo Ceramics, which was down 65.2% in the Index, also added relative value.

The Fund’s significant overweight position in Energy, the worst performing sector in the Index, detracted approximately 145 basis points (1.45%) from performance through sector allocation. An overweight in the Financials sector also detracted relative value.

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)

United Natural Foods, Inc.		1.7
CoStar Group, Inc.		1.7
WageWorks, Inc.		1.7
Acadia Healthcare Co., Inc.		1.6
Neogen Corp.		1.6
IMAX Corp.		1.6
Cognex Corp.		1.5
Akorn, Inc.		1.5
Cepheid, Inc.		1.5
ICON PLC		1.4
Total Fund Holdings	113

Sector Allocation (% Equities)

Information Technology	29.8
Health Care	23.4
Consumer Discretionary	13.9
Industrials	12.1
Financials	9.9
Energy	5.1
Consumer Staples	3.4
Materials	1.9
Telecommunication Services	0.5

13

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

The Investor Class of the American Beacon Stephens Mid-Cap Growth Fund (the “Fund”) returned 2.97% for the twelve months ended December 31, 2014. The Fund trailed the Russell Midcap^® Growth Index (the “Index”) return of 11.90%.

Comparison of Change in Value of a $10,000 Investment for the Period from 2/1/06* through 12/31/14

* Inception of Fund.

Total Returns for the Period ended 12/31/14

	1 Year			5 Years			Since Incep. (2/1/06)			Value of $10,000 2/1/06- 12/31/14
Institutional Class (1,2,7)		3.41	%		15.87	%		9.49	%	$	21,283
Y Class (1,3,7)		3.31	%		15.71	%		7.59	%		19,190
Investor Class (1,7)		2.97	%		15.49	%		7.47	%		19,005
A Class with sales charge (1,4,7)		(2.92	)%		14.10	%		6.74	%		17,883
A Class without sales charge (1,4,7)		2.97	%		15.45	%		7.45	%		18,974
C Class with sales charge (1,5,7)		1.21	%		14.98	%		7.21	%		18,591
C Class without sales charge (1,5,7)		2.21	%		14.98	%		7.21	%		18,591
S&P 500 Index (6)		13.69	%		15.45	%		7.75	%		19,448
Russell Midcap Growth Index (6)		11.90	%		16.94	%		8.51	%		20,718

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 calculated based on the published end of day net asset values 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 per-formance 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 Investor Class was waived from 2006 through 2013 and partially recovered in 2014.

Performance prior to waiving fees was lower than actual returns shown from 2006 through 2013.

2. Fund performance for the since inception period represents the returns achieved by the Institutional Class since its inception of 8/31/06. A portion of fees charged to the Institutional Class has been waived since 2006. Performance prior to waiving fees was lower than actual returns shown since 2006.

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. A portion of the fees charged to the Y Class has been waived since 2012 and partially recovered in 2014. Performance prior to waiving fees was lower than actual returns shown since 2012.

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 portion of the fees charged to the A Class has been waived since 2012. Performance prior to waiving fees was lower than the actual returns shown since 2012. 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. A portion of fees charged to the C Class has been waived since 2012. Performance prior to waiving fees was lower than actual returns shown since 2012. 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 Index are registered trademarks of Frank Russell Company. 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 1.11%, 1.14%, 1.38%, 1.46%, and 2.18%, respectively.

14

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

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’s poor performance was mostly attributed to stock selection as sector allocation detracted modest value relative to the Index.

From a stock selection standpoint, holdings in the Energy, Consumer Discretionary and Information Technology sectors detracted from the Fund’s performance. In the Energy sector, Core Laboratories (down 36.5%), Dril-Quip (down 31.7%) and Oasis Petroleum (down 65.1%) detracted relative value. Lululemon Athletica (down 39.1%), Cabela’s (down 20.5%) and LKQ (down 14.2%) were the largest detractors in the Consumer Discretionary sector. Companies in the Information Technology sector which negatively impacted performance included Stratasys (down 37.9%) and Cree (down 49.2%). Not owning Avago Technologies, which was up 93.1% in the Index, also hurt performance.

An overweight in Energy, the worst performing sector in the Index, detracted approximately 90 basis points (0.90%) from performance through sector allocation. Being underweight the Consumer Staples sector also detracted from the Fund’s return. An overweight position in Health Care, the best performing sector in the Index, added 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)

Illumina, Inc.		2.0
Monster Beverage Corp.		1.8
Fortinet, Inc.		1.7
Ross Stores, Inc.		1.7
Cerner Corp.		1.7
Stericycle, Inc.		1.7
United Natural Foods, Inc.		1.5
CoStar Group, Inc.		1.5
CarMax, Inc.		1.5
MercadoLibre, Inc.		1.4
Total Fund Holdings	100

Sector Allocation (% Equities)

Information Technology	27.1
Consumer Discretionary	22.7
Health Care	19.1
Industrials	12.5
Financials	6.5
Energy	5.8
Consumer Staples	4.9
Materials	1.4

15

American Beacon Funds^SM

Fund Expenses

December 31, 2014 (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, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing costs (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 July 1, 2014 through December 31, 2014.

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 Institutional and Investor 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 Institutional and Investor 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.

16

American Beacon Funds^SM

Fund Expenses

December 31, 2014 (Unaudited)

AHL Managed Futures Strategy Fund

	Beginning Account Value 8/19/14		Ending Account Value 12/31/14		Expenses Paid During Period* 8/19/14 - 12/31/14
Institutional Class
Actual	$	1,000.00	$	1,134.33	$	6.03
Hypothetical **	$	1,000.00	$	1,012.84	$	5.69
Y Class
Actual	$	1,000.00	$	1,133.34	$	6.43
Hypothetical **	$	1,000.00	$	1,012.46	$	6.07
Investor Class
Actual	$	1,000.00	$	1,132.35	$	7.52
Hypothetical **	$	1,000.00	$	1,011.40	$	7.13
A Class
Actual	$	1,000.00	$	1,132.35	$	7.59
Hypothetical **	$	1,000.00	$	1,011.32	$	7.21
C Class
Actual	$	1,000.00	$	1,129.34	$	10.48
Hypothetical **	$	1,000.00	$	1,008.61	$	9.93

* Expenses are equal to the Fund’s annualized expense ratios for the since inception period of 1.54%, 1.64%, 1.92%, 1.94%, and 2.68% 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 since inception period (135) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Bahl & Gaynor Small Cap Growth Fund

	Beginning Account Value 7/15/14		Ending Account Value 12/31/14		Expenses Paid During Period* 7/15/14 - 12/31/14
Institutional Class
Actual	$	1,000.00	$	1,172.80	$	4.71
Hypothetical **	$	1,000.00	$	1,018.75	$	4.58
Y Class
Actual	$	1,000.00	$	1,172.80	$	5.20
Hypothetical **	$	1,000.00	$	1,018.27	$	5.06
Investor Class
Actual	$	1,000.00	$	1,170.80	$	6.53
Hypothetical **	$	1,000.00	$	1,016.98	$	6.36
A Class
Actual	$	1,000.00	$	1,170.80	$	6.62
Hypothetical **	$	1,000.00	$	1,016.89	$	6.45
C Class
Actual	$	1,000.00	$	1,166.80	$	10.18
Hypothetical **	$	1,000.00	$	1,013.44	$	9.91

* Expenses are equal to the Fund’s annualized expense ratios for the since inception period of 0.98%, 1.08%, 1.36%, 1.38%, and 2.13% 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 since inception period (170) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Bridgeway Large Cap Value Fund

	Beginning Account Value 7/1/14		Ending Account Value 12/31/14		Expenses Paid During Period* 7/1/14 - 12/31/14
Institutional Class
Actual	$	1,000.00	$	1,051.78	$	4.34
Hypothetical **	$	1,000.00	$	1,020.97	$	4.28
Y Class
Actual	$	1,000.00	$	1,051.42	$	4.29
Hypothetical **	$	1,000.00	$	1,021.02	$	4.23
Investor Class
Actual	$	1,000.00	$	1,050.06	$	5.68
Hypothetical **	$	1,000.00	$	1,019.66	$	5.60
A Class
Actual	$	1,000.00	$	1,050.03	$	5.89
Hypothetical **	$	1,000.00	$	1,019.46	$	5.80
C Class
Actual	$	1,000.00	$	1,045.61	$	9.85
Hypothetical **	$	1,000.00	$	1,015.58	$	9.70

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.84%, 0.83%, 1.10%, 1.14%, and 1.91% 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 (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Holland Large Cap Growth Fund

	Beginning Account Value 7/1/14		Ending Account Value 12/31/14		Expenses Paid During Period* 7/1/14 - 12/31/14
Institutional Class
Actual	$	1,000.00	$	1,031.21	$	4.56
Hypothetical **	$	1,000.00	$	1,020.72	$	4.53
Y Class
Actual	$	1,000.00	$	1,029.82	$	5.93
Hypothetical **	$	1,000.00	$	1,019.36	$	5.90
Investor Class
Actual	$	1,000.00	$	1,029.29	$	5.98
Hypothetical **	$	1,000.00	$	1,019.31	$	5.96
A Class
Actual	$	1,000.00	$	1,029.13	$	6.60
Hypothetical **	$	1,000.00	$	1,018.70	$	6.56
C Class
Actual	$	1,000.00	$	1,025.19	$	10.46
Hypothetical **	$	1,000.00	$	1,014.87	$	10.41

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.89%, 1.16%, 1.17%, 1.29%, and 2.05% 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 (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

17

American Beacon Funds^SM

Fund Expenses

December 31, 2014 (Unaudited)

Stephens Small Cap Growth Fund

	Beginning Account Value 7/1/14		Ending Account Value 12/31/14		Expenses Paid During Period* 7/1/14 - 12/31/14
Institutional Class
Actual	$	1,000.00	$	996.59	$	5.44
Hypothetical **	$	1,000.00	$	1,019.76	$	5.50
Y Class
Actual	$	1,000.00	$	996.59	$	5.59
Hypothetical **	$	1,000.00	$	1,019.61	$	5.65
Investor Class
Actual	$	1,000.00	$	994.60	$	6.79
Hypothetical **	$	1,000.00	$	1,018.40	$	6.87
A Class
Actual	$	1,000.00	$	994.58	$	7.04
Hypothetical **	$	1,000.00	$	1,018.15	$	7.12
C Class
Actual	$	1,000.00	$	990.74	$	10.84
Hypothetical **	$	1,000.00	$	1,014.32	$	10.97

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.08%, 1.11%, 1.35%, 1.40%, and 2.16% 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 (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Stephens Mid-Cap Growth Fund

	Beginning Account Value 7/1/14		Ending Account Value 12/31/14		Expenses Paid During Period* 7/1/14 - 12/31/14
Institutional Class
Actual	$	1,000.00	$	1,009.08	$	5.01
Hypothetical **	$	1,000.00	$	1,020.21	$	5.04
Y Class
Actual	$	1,000.00	$	1,009.09	$	5.52
Hypothetical **	$	1,000.00	$	1,019.71	$	5.55
Investor Class
Actual	$	1,000.00	$	1,006.81	$	6.93
Hypothetical **	$	1,000.00	$	1,018.30	$	6.97
A Class
Actual	$	1,000.00	$	1,007.44	$	6.98
Hypothetical **	$	1,000.00	$	1,018.25	$	7.02
C Class
Actual	$	1,000.00	$	1,003.60	$	10.81
Hypothetical **	$	1,000.00	$	1,014.42	$	10.87

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.99%, 1.09%, 1.37%, 1.38%, 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 (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

See accompanying notes

18

American Beacon Funds^SM

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of American Beacon AHL Managed Futures Strategy Fund, American Beacon Bahl & Gaynor Small Cap Growth Fund, American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, and American Beacon Stephens Small Cap Growth Fund:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the American Beacon AHL Managed Futures Strategy Fund, American Beacon Bahl & Gaynor Small Cap Growth Fund, American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, and American Beacon Stephens Small Cap Growth Fund (six of the funds constituting the American Beacon Funds) (collectively, the “Funds”), as of December 31, 2014, and the related statements of operations, changes in net assets, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon AHL Managed Futures Strategy Fund, American Beacon Bahl & Gaynor Small Cap Growth Fund, American Beacon Bridgeway Large Cap Value Fund, American Beacon Holland Large Cap Growth Fund, American Beacon Stephens Mid-Cap Growth Fund, and American Beacon Stephens Small Cap Growth Fund at December 31, 2014, the results of their operations, the changes in their net assets, and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas

March 2, 2015

19

American Beacon AHL Managed Futures Strategy Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
SHORT-TERM INVESTMENTS – 91.05%
Money Market Funds – 1.79%
JPMorgan U.S. Government Money Market Fund, Capital ClassA		744,374	$	744
		Par Amount
	(000’s)
U.S. Treasury Bills – 89.26%
U.S. Treasury Bill , 0.019%, Due 3/19/2015A	$	37,198		37,199
Total Short-Term Investments (Cost 37,943)				37,943
TOTAL INVESTMENTS – 91.05% (Cost $37,943)				37,943
OTHER ASSETS, NET OF LIABILITIES – 8.95%				3,731
TOTAL NET ASSETS – 100.00%			$	41,674

Percentages are stated as a percent of net assets.

Purchased Futures Contracts Open on December 31, 2014:

Commodity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
LME Lead FuturesA	3	January 2015	$	138,825	$	(5,729	)
LME Primary Aluminum FuturesA	4	January 2015		183,375		(21,854	)
LME Primary Aluminum FuturesA	5	February 2015		229,969		(26,147	)
LME Zinc FuturesA	2	January 2015		108,400		(7,811	)
LME Zinc FuturesA	2	February 2015		108,562		(5,686	)
Wheat (CBT) FuturesA	3	March 2015		88,463		(6,819	)
			$	857,594	$	(74,046	)

Currency Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
90-Day Eurodollar Futures	6	March 2016	$	1,482,300	$	(458	)
90-Day Eurodollar Futures	11	December 2016		2,698,575		(290	)
90-Day Eurodollar Futures	29	September 2017		7,083,612		661
90-Day Sterling Futures	106	March 2016		20,455,275		20,366
90-Day Sterling Futures	110	December 2016		21,145,735		22,175
U.S. Dollar Index Futures	19	March 2015		1,722,293		38,105
			$	54,587,790	$	80,559

Equity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Amsterdam Index Futures	4	January 2015	$	411,417	$	18,256
DAX Index Futures	2	March 2015		595,556		9,632
E-Mini Russell 2000 Futures	8	March 2015		960,560		22,463
Euro Stoxx 50 Index Futures	7	March 2015		265,376		(270	)
Hang Seng Index Futures	2	January 2015		304,965		544
H-SHARES Index Futures	9	January 2015		695,718		5,297
IBEX 35 Index Futures	1	January 2015		123,961		(2,551	)
MSCI Taiwan Stock Index Futures	30	January 2015		1,029,300		(3,368	)
NASDAQ 100 E-Mini Futures	22	March 2015		1,862,410		15,211
Nikkei 225 (SGX) Futures	16	March 2015		1,160,795		(16,441	)
OMXS30 Index Futures	54	January 2015		1,016,022		25,538
S&P 500 E-mini Futures	26	March 2015		2,668,120		60,348
SPI 200 Futures	1	March 2015		109,867		(1,307	)
TOPIX Index Futures	6	March 2015		705,043		(12,801	)
			$	11,909,110	$	120,551

See accompanying notes

20

American Beacon AHL Managed Futures Strategy Fund^SM

Schedule of Investments

December 31, 2014

Interest Rate Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
10-Year Japanese Government Bond (OSE) Futures	19	March 2015	$	23,443,062	$	120,515
3-Month Euro Euribor Futures	125	March 2016		37,789,489		14,855
3-Month Euro Euribor Futures	27	December 2016		8,157,221		4,582
3-Month Euro Euribor Futures	69	September 2017		20,829,532		16,280
Australia 10-Year Bond Futures	48	March 2015		5,021,643		46,094
Australia 3-Year Bond Futures	144	March 2015		13,082,463		26,984
Euro-Bobl Futures	47	March 2015		7,409,331		37,287
Euro-Bund Futures	26	March 2015		4,903,874		85,188
Euro-Buxl 30-Year Bond Futures	7	March 2015		1,312,735		51,521
Long GILT Futures	31	March 2015		5,775,287		115,189
U.S. 10-Year Treasury Note Futures	20	March 2015		2,535,937		3,094
U.S. 2-Year Treasury Note Futures	10	March 2015		2,185,938		(4,070	)
U.S. 5-Year Treasury Note Futures	19	March 2015		2,259,664		(5,236	)
U.S. Long Bond (CBT) Futures	13	March 2015		1,879,313		35,803
U.S. Ultra Bond (CBT) Futures	15	March 2015		2,477,813		81,207
			$	139,063,302	$	629,293

Sold Futures Contracts Open on December 31, 2014:

Commodity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Brent Crude FuturesA	6	February 2015	$	343,980	$	75,716
Cocoa FuturesA	17	March 2015		494,700		(6,568	)
Coffee ‘C’ FuturesA	3	March 2015		187,425		11,112
Copper FuturesA	13	March 2015		918,288		38,729
Corn FuturesA	8	March 2015		158,800		(4,342	)
Gas Oil (ICE) FuturesA	6	February 2015		312,750		4,044
Gasoline RBOB FuturesA	6	February 2015		370,969		17,344
Gold 100oz FuturesA	20	February 2015		2,368,200		24,777
LME Copper FuturesA	2	February 2015		316,350		7,849
LME Lead FuturesA	5	January 2015		231,375		20,719
LME Lead FuturesA	3	February 2015		139,200		12,952
LME Lead FuturesA	3	March 2015		139,350		4,849
LME Nickel FuturesA	1	February 2015		90,687		1,705
LME Nickel FuturesA	1	March 2015		90,834		3,646
LME Primary Aluminum FuturesA	4	January 2015		183,375		12,977
LME Primary Aluminum FuturesA	5	February 2015		229,969		14,315
LME Primary Aluminum FuturesA	17	March 2015		785,719		25,491
LME Zinc FuturesA	2	January 2015		108,400		2,757
LME Zinc FuturesA	3	February 2015		162,844		3,214
LME Zinc FuturesA	2	March 2015		108,825		(930	)
Natural Gas FuturesA	11	February 2015		317,790		91,942
Natural Gas Swap FuturesA	4	April 2015		28,810		7,446
Natural Gas Swap FuturesA	4	May 2015		29,040		7,216
Natural Gas Swap FuturesA	4	June 2015		29,530		6,726
Natural Gas Swap FuturesA	4	July 2015		30,120		6,136
Natural Gas Swap FuturesA	4	August 2015		30,260		5,996
Natural Gas Swap FuturesA	4	September 2015		30,110		6,146
Natural Gas Swap FuturesA	4	October 2015		30,380		5,876
Natural Gas Swap FuturesA	8	November 2015		63,400		15,132
Natural Gas Swap FuturesA	8	December 2015		67,560		10,971
Natural Gas Swap FuturesA	8	January 2016		70,620		7,911
Natural Gas Swap FuturesA	8	February 2016		70,600		7,931
Natural Gas Swap FuturesA	8	March 2016		69,760		8,771
NY Harbor ULSD FuturesA	5	February 2015		385,056		12,058
Silver FuturesA	8	March 2015		623,960		24,194
Soybean FuturesA	6	March 2015		307,050		5,762
Sugar #11 (World Markets) FuturesA	71	March 2015		1,154,630		144,942
WTI Crude FuturesA	8	February 2015		426,160		55,427
			$	11,506,876	$	700,939

See accompanying notes

21

American Beacon AHL Managed Futures Strategy Fund^SM

Schedule of Investments

December 31, 2014

Currency Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Australian Dollar Currency Futures	20	March 2015	$	1,624,400	$	28,748
Canadian Dollar Currency Futures	26	March 2015		2,235,220		29,178
Euro FX Currency Futures	33	March 2015		4,994,137		73,978
Japanese Yen Currency Futures	29	March 2015		3,026,513		(34,925	)
Mexican Peso Futures	51	March 2015		1,721,250		80,756
Pound Sterling Currency Futures	53	March 2015		5,157,563		(2,489	)
Swiss Franc Currency Futures	14	March 2015		1,762,950		25,463
			$	20,522,033	$	200,709

Equity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
FTSE 100 Index Futures	3	March 2015	$	304,979	$	(11,933	)
FTSE/JSE Top 40 Index Futures	8	March 2015		306,079		(13,510	)
FTSE/MIB Index Futures	2	March 2015		230,744		(7,797	)
KOSPI 200 Index Futures	26	March 2015		2,885,866		5,570
S&P/TSX 60 Index Futures	2	March 2015		293,200		(16,113	)
			$	4,020,868	$	(43,783	)

Forward Currency Contracts Open at December 31, 2014:

Type	Currency	Principal Amount Covered by Contract	Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Buy	CAD	15,158	1/15/2015	DUB	$	53	$	—		$	53
Buy	JPY	29,517	1/15/2015	DUB		—		(1,055	)		(1,055	)
Buy	KRW	454,633	1/16/2015	DUB		1,550		—			1,550
Buy	KRW	454,633	1/16/2015	DUB		—		(5,370	)		(5,370	)
Buy	KRW	454,633	1/16/2015	DUB		—		(4,437	)		(4,437	)
Buy	PHP	55,882	1/7/2015	DUB		67		—			67
Buy	PHP	55,882	1/7/2015	DUB		—		(304	)		(304	)
Buy	PHP	55,882	1/7/2015	DUB		—		(81	)		(81	)
Buy	PHP	55,882	1/7/2015	DUB		290		—			290
Buy	PHP	55,882	1/7/2015	DUB		—		(46	)		(46	)
Buy	PHP	55,882	1/7/2015	DUB		—		(125	)		(125	)
Buy	PHP	55,882	1/7/2015	DUB		—		(45	)		(45	)
Buy	PHP	55,882	1/7/2015	DUB		—		(172	)		(172	)
Buy	PHP	55,882	1/7/2015	DUB		—		(115	)		(115	)
Buy	PHP	55,882	1/7/2015	DUB		—		(203	)		(203	)
Buy	PHP	391,175	1/7/2015	DUB		—		(710	)		(710	)
Buy	PHP	391,175	1/7/2015	DUB		—		(53	)		(53	)
Buy	PHP	55,882	1/7/2015	DUB		—		(55	)		(55	)
Buy	PHP	55,882	1/7/2015	DUB		—		(11	)		(11	)
Buy	PHP	221,863	7/1/2015	DUB		—		(1,043	)		(1,043	)
Buy	PHP	221,863	7/1/2015	DUB		—		(1,277	)		(1,277	)
Buy	PHP	221,863	7/1/2015	DUB		—		(1,302	)		(1,302	)
Buy	TWD	79,112	1/14/2015	DUB		—		(418	)		(418	)
Buy	TWD	79,112	1/14/2015	DUB		—		(737	)		(737	)
Buy	TWD	79,112	1/14/2015	DUB		384		—			384
Sell	EUR	277,426	1/15/2015	DUB		10,550		—			10,550
Sell	INR	5,208,048	1/23/2015	DUB		—		(24,666	)		(24,666	)
Sell	INR	512,914	1/23/2015	DUB		—		(3,869	)		(3,869	)
Sell	JPY	7,276	1/15/2015	DUB		61		—			61
Sell	KRW	4,273,548	1/16/2015	DUB		—		(17,843	)		(17,843	)
Sell	MYR	71,454	1/13/2015	DUB		—		(170	)		(170	)
Sell	MYR	71,454	1/13/2015	DUB		790		—			790
Sell	MYR	785,996	1/13/2015	DUB		—		(2,587	)		(2,587	)
Sell	MYR	71,454	1/13/2015	DUB		163		—			163
Sell	MYR	71,454	1/13/2015	DUB		—		(129	)		(129	)
Sell	MYR	142,908	1/13/2015	DUB		—		(451	)		(451	)

See accompanying notes

22

American Beacon AHL Managed Futures Strategy Fund^SM

Schedule of Investments

December 31, 2014

Type	Currency	Principal Amount Covered by Contract	Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Sell	MYR	71,454	1/13/2015	DUB	$	784	$	—		$	784
Sell	MYR	2,500,897	1/13/2015	DUB		28,297		—			28,297
Sell	MYR	71,454	1/13/2015	DUB		344		—			344
Sell	MYR	71,454	1/13/2015	DUB		302		—			302
Sell	MYR	71,454	1/13/2015	DUB		377		—			377
Sell	MYR	71,454	1/13/2015	DUB		—		(22	)		(22	)
Sell	MYR	71,454	1/13/2015	DUB		17		—			17
Sell	MYR	71,454	1/13/2015	DUB		130		—			130
Sell	MYR	71,454	1/13/2015	DUB		—		(62	)		(62	)
Sell	MYR	71,454	1/13/2015	DUB		—		(24	)		(24	)
Sell	MYR	71,454	1/13/2015	DUB		—		(79	)		(79	)
Sell	MYR	285,817	1/13/2015	DUB		—		(657	)		(657	)
Sell	MYR	71,454	1/13/2015	DUB		—		(91	)		(91	)
Sell	MYR	71,454	1/13/2015	DUB		—		(209	)		(209	)
Sell	MYR	71,454	1/13/2015	DUB		21		—			21
Sell	MYR	71,454	1/13/2015	DUB		—		(113	)		(113	)
Sell	PHP	1,676,464	1/7/2015	DUB		—		(10,389	)		(10,389	)
Sell	PHP	55,882	1/7/2015	DUB		—		(91	)		(91	)
Sell	PHP	55,882	1/7/2015	DUB		—		(70	)		(70	)
Sell	PHP	55,882	1/7/2015	DUB		—		(19	)		(19	)
Sell	SEK	6,981	1/15/2015	DUB		72		—			72
Sell	TWD	2,136,011	1/14/2015	DUB		24,127		—			24,127
Sell	TWD	158,223	1/14/2015	DUB		—		(767	)		(767	)
Buy	BRL	1,580,017	1/5/2015	RBS		2,255		—			2,255
Buy	BRL	188,097	1/5/2015	RBS		—		(6,516	)		(6,516	)
Buy	BRL	225,717	1/5/2015	RBS		—		(8,907	)		(8,907	)
Buy	CLP	82,299	1/14/2015	RBS		—		(187	)		(187	)
Buy	CNY	1,688,690	1/23/2015	RBS		—		(15,578	)		(15,578	)
Buy	CNY	80,414	1/23/2015	RBS		—		(894	)		(894	)
Buy	CNY	80,414	1/23/2015	RBS		—		(1,146	)		(1,146	)
Buy	CNY	482,483	1/23/2015	RBS		—		(5,663	)		(5,663	)
Buy	CNY	80,414	1/23/2015	RBS		—		(973	)		(973	)
Buy	CNY	160,828	1/23/2015	RBS		—		(1,973	)		(1,973	)
Buy	COP	84,128	1/21/2015	RBS		—		(3,284	)		(3,284	)
Buy	COP	252,384	1/21/2015	RBS		—		(12,544	)		(12,544	)
Buy	COP	84,128	1/21/2015	RBS		—		(3,505	)		(3,505	)
Sell	AUD	105,907	1/15/2015	RBS		968		—			968
Sell	BRL	1,730,494	1/5/2015	RBS		52,728		—			52,728
Sell	BRL	263,336	1/5/2015	RBS		4,470		—			4,470
Sell	BRL	186,633	2/3/2015	RBS		2,038		—			2,038
Sell	BRL	1,567,713	2/3/2015	RBS		—		(3,322	)		(3,322	)
Sell	BRL	186,633	2/3/2015	RBS		—		(588	)		(588	)
Sell	BRL	186,633	2/3/2015	RBS		—		(1,338	)		(1,338	)
Sell	CLP	740,694	1/14/2015	RBS		5,019		—			5,019
Sell	CLP	82,299	1/14/2015	RBS		510		—			510
Sell	CLP	82,299	1/14/2015	RBS		748		—			748
Sell	CLP	82,299	1/14/2015	RBS		1,245		—			1,245
Sell	CLP	82,299	1/14/2015	RBS		1,034		—			1,034
Sell	CLP	164,599	1/14/2015	RBS		—		(1,441	)		(1,441	)
Sell	CLP	82,299	1/14/2015	RBS		—		(1,269	)		(1,269	)
Sell	CLP	82,299	1/14/2015	RBS		—		(756	)		(756	)
Sell	CLP	411,496	1/14/2015	RBS		—		(2,629	)		(2,629	)
Sell	CLP	82,299	1/14/2015	RBS		—		(925	)		(925	)
Sell	CLP	82,299	1/14/2015	RBS		—		(1,276	)		(1,276	)
Sell	CLP	81,764	3/26/2015	RBS		—		(124	)		(124	)
Sell	COP	673,025	1/21/2015	RBS		66,722		—			66,722
Sell	COP	84,128	1/21/2015	RBS		2,307		—			2,307
Sell	COP	84,128	1/21/2015	RBS		2,374		—			2,374
Sell	HKD	162,535	1/15/2015	RBS		17		—			17
Sell	KRW	227,328	1/15/2015	RBS		—		(1,156	)		(1,156	)
Sell	PEN	667,348	1/28/2015	RBS		10,871		—			10,871
Sell	PEN	250,256	1/28/2015	RBS		3,294		—			3,294

See accompanying notes

23

American Beacon AHL Managed Futures Strategy Fund^SM

Schedule of Investments

December 31, 2014

Type	Currency	Principal Amount Covered by Contract	Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Sell	PEN	83,419	1/28/2015	RBS	$	898	$	—		$	898
Sell	PEN	82,811	2/26/2015	RBS		1,445		—			1,445
Sell	PEN	82,811	2/26/2015	RBS		509		—			509
Sell	PEN	331,242	2/26/2015	RBS		3,354		—			3,354
Sell	PEN	82,811	2/26/2015	RBS		—		(129	)		(129	)
					$	231,185	$	(155,990	)	$	75,195

^A  All or a portion represents positions held by the American Beacon Cayman Managed Futures Strategy Fund, Ltd.

Glossary

Counterparty Abbreviations:

DUB	Deutsche Bank AG	RBS	Royal Bank of Scotland PLC
Currency Abbreviations:
AUD	Australian Dollar	EUR	Euro	PEN	Peruvian Nuevo
BRL	Brazilian Real	HKD	Hong Kong Dollar	PHP	Philippine Peso
CAD	Canadian Dollar	INR	Indian Rupee	SEK	Swedish Krona
CLP	Chilean Peso	JPY	Japanese Yen	TWD	Taiwan Dollar
CNY	Chinese Yuan	KRW	South Korean Won
COP	Columbian Peso	MYR	Malaysian Ringgit

See accompanying notes

24

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
COMMON STOCK - 93.98%
CONSUMER DISCRETIONARY - 14.59%
Auto Components - 0.89%
Strattec Security Corp.		440	$	36
Automobiles - 2.35%
Hyster-Yale Materials Handling, Inc.		570		42
Thor Industries, Inc.		945		53
				95
Hotels, Restaurants & Leisure - 4.39%
Brinker International, Inc.		1,200		70
Texas Roadhouse, Inc.		3,185		107
				177
Household Durables - 1.34%
Flexsteel Industries, Inc.		515		17
Matthews International Corp., Class A		765		37
				54
Multiline Retail - 1.73%
Pricesmart, Inc.		765		70
Specialty Retail - 1.64%
Buckle, Inc.		345		18
Monro Muffler Brake, Inc.		825		48
				66
Textiles & Apparel - 2.25%
Movado Group, Inc.		1,030		29
Wolverine World Wide, Inc.		2,105		62
				91
Total Consumer Discretionary				589
CONSUMER STAPLES - 7.48%
Food & Drug Retailing - 3.22%
B&G Foods, Inc.		1,730		52
United Natural Foods, Inc.A		1,025		78
				130
Food Products - 2.85%
J&J Snack Foods Corp.		690		75
Lifeway Foods, Inc.		2,145		40
				115
Personal Products - 1.41%
Inter Parfums, Inc.		2,065		57
Total Consumer Staples				302
ENERGY - 3.00%
Energy Equipment & Services - 0.72%
Bristow Group, Inc.		440		29
Oil & Gas - 2.28%
GasLog Ltd.		2,320		48
SemGroup Corp., Class A		650		44
				92
Total Energy				121
FINANCIALS - 12.54%
Banks - 6.00%
Bank of the Ozarks, Inc.		1,340		51
Evercore Partners, Inc., Class A		1,060		56
Glacier Bancorp, Inc.		860		24
Iberiabank Corp.		305		20

	Shares		Fair Value
			(000’s)
PacWest Bancorp		2,025	$	91
				242
Diversified Financials - 4.51%
Jack Henry & Associates, Inc.		1,340		83
MarketAxess Holdings, Inc.		1,375		99
				182
Insurance - 2.03%
Horace Mann Educators Corp.		2,460		82
Total Financials				506
HEALTH CARE - 16.08%
Biotechnology - 2.92%
Myriad Genetics, Inc.A		1,100		37
Neogen Corp., Sponsored ADRA B		580		29
Trinity Biotech PLC, Sponsored ADRB C		2,970		52
				118
Health Care Equipment & Supplies - 9.36%
Abaxis, Inc.		1,475		84
Atrion Corp.		80		27
Computer Programs and Systems, Inc.		825		50
STERIS Corp.		1,710		110
West Pharmaceutical Services, Inc.		2,005		107
				378
Health Care Providers & Services - 2.21%
Cantel Medical Corp.		2,050		89
Pharmaceuticals - 1.59%
MWI Veterinary Supply, Inc.A		375		64
Total Health Care				649
INDUSTRIALS - 13.03%
Building Products - 1.98%
Watsco, Inc.		750		80
Commercial Services & Supplies - 7.11%
G&K Services, Inc., Class A		650		46
Healthcare Services Group, Inc.		1,955		60
Monotype Imaging Holdings, Inc.		1,870		54
MSA Safety, Inc.		1,005		53
Rollins, Inc.		2,210		74
				287
Electrical Equipment - 0.50%
II-VI, Inc.		1,470		20
Industrial Conglomerates - 0.84%
Raven Industries, Inc.		1,345		34
Machinery - 2.60%
Applied Industrial Technologies, Inc.		1,375		62
Valmont Industries, Inc.		335		43
				105
Total Industrials				526
INFORMATION TECHNOLOGY - 22.26%
Communications Equipment - 1.29%
Plantronics, Inc.		985		52
Electronic Equipment & Instruments - 5.40%
Analogic Corp.		730		62
Intersil Corp., Class A		2,635		38

See accompanying notes

25

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
Methode Electronics, Inc.		1,950	$	71
NVE Corp.		375		27
Tessco Technologies, Inc.		690		20
				218
Internet Software & Services - 1.76%
j2 Global, Inc.		1,140		71
IT Consulting & Services - 4.41%
Computer Task Group, Inc.		2,555		24
Ritchie Bros Auctioneers, Inc.		2,970		80
Syntel, Inc.A		1,650		74
				178
Semiconductor Equipment & Products - 3.52%
FEI Co.		710		64
Micrel, Inc.		2,155		31
Power Integrations, Inc.		905		47
				142
Software - 5.88%
Blackbaud, Inc.		1,475		64
EPIQ Systems, Inc.		1,390		24
Mentor Graphics Corp.		2,715		60
National Instruments Corp.		1,770		55
Pegasystems, Inc.		1,650		34
				237
Total Information Technology				898
MATERIALS - 4.31%
Chemicals - 4.31%
Balchem Corp.		1,475		98
FutureFuel Corp.		1,660		22
PolyOne Corp.		1,005		38
Stepan Co.		400		16
Total Materials				174
UTILITIES - 0.69%
Gas - 0.69%
Targa Resources Corp.		265		28
Total Common Stock (Cost $3,565)				3,793
SHORT-TERM INVESTMENTS - 4.83% (Cost $195)
JPMorgan U.S. Government Money Market Fund, Capital Class		194,890		195
TOTAL INVESTMENTS - 98.81% (Cost $3,760)				3,988
OTHER ASSETS, NET OF LIABILITIES - 1.19%				48
TOTAL NET ASSETS - 100.00%			$	4,036

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  ADR – American Depositary Receipt.

^C  PLC - Public Limited Company.

Futures Contracts Open on December 31, 2014:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index March Futures	Long	1	March 2015	$	120,070	$	4,335
				$	120,070	$	4,335

See accompanying notes

26

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
COMMON STOCK - 97.53%
CONSUMER DISCRETIONARY - 6.35%
Automobiles - 1.64%
Ford Motor Co.		903,740	$	14,008
General Motors Co.		181,980		6,353
				20,361
Hotels, Restaurants & Leisure - 2.37%
Marriott International, Inc., Class A		169,000		13,187
Royal Caribbean Cruises Ltd.		195,900		16,148
				29,335
Household Durables - 0.44%
Snap-On, Inc.		39,500		5,401
Media - 0.85%
Comcast Corp., Class A		84,000		4,873
Twenty-First Century Fox, Inc., Class A		147,280		5,656
				10,529
Specialty Retail - 1.05%
Best Buy Co., Inc.		332,800		12,973
Total Consumer Discretionary				78,599
CONSUMER STAPLES - 3.73%
Beverages - 1.06%
Constellation Brands, Inc., Class AA		134,000		13,155
Food Products - 2.67%
Pilgrim’s Pride Corp.A		719,400		23,589
Tyson Foods, Inc., Class A		236,300		9,473
				33,062
Total Consumer Staples				46,217
ENERGY - 9.71%
Oil & Gas - 9.71%
Cimarex Energy Co.		53,500		5,671
ConocoPhillips		113,670		7,850
Devon Energy Corp.		192,000		11,752
Exxon Mobil Corp.		134,770		12,459
Hess Corp.		169,300		12,498
Kinder Morgan, Inc.		210,700		8,915
Marathon Petroleum Corp.		119,770		10,810
Murphy Oil Corp.		110,600		5,588
Phillips 66		101,200		7,256
Tesoro Corp.		308,500		22,937
Valero Energy Corp.		200,000		9,900
Whiting Petroleum Corp.A		140,150		4,625
Total Energy				120,261
FINANCIALS - 27.79%
Banks - 4.36%
Fifth Third Bancorp		405,200		8,256
M&T Bank Corp.		89,520		11,245
PNC Financial Services Group, Inc.		101,000		9,214
Regions Financial Corp.		443,000		4,678
SunTrust Banks, Inc.		258,700		10,840
U.S. Bancorp		217,800		9,790
				54,023
Diversified Financials - 6.96%
Ameriprise Financial, Inc.		69,600		9,205
Bank of America Corp.		252,400		4,515
Capital One Financial Corp.		120,600		9,955
Citigroup, Inc.		157,900		8,544

	Shares		Fair Value
			(000’s)
Discover Financial Services		108,800	$	7,125
Goldman Sachs Group, Inc.		35,600		6,900
JPMorgan Chase & Co.		83,200		5,207
Morgan Stanley		337,800		13,108
Raymond James Financial, Inc.		160,000		9,166
Wells Fargo & Co.		228,700		12,537
				86,262
Insurance - 14.15%
ACE Ltd.		100,300		11,522
Aflac, Inc.		209,400		12,793
Allstate Corp.		167,700		11,781
American International Group, Inc.		119,800		6,710
Chubb Corp.		105,200		10,885
Everest Re Group Ltd.		66,200		11,274
Genworth Financial, Inc., Class AA		739,270		6,284
Lincoln National Corp.		145,800		8,408
Loews Corp.		134,400		5,647
Marsh & McLennan Cos., Inc.		216,600		12,398
MetLife, Inc.		198,100		10,715
Principal Financial Group, Inc.		172,800		8,975
Torchmark Corp.		227,400		12,318
Travelers Cos., Inc.		121,600		12,872
Unum Group		269,900		9,414
Voya Financial, Inc.		309,500		13,118
WR Berkley Corp.		196,300		10,062
				175,176
Real Estate - 2.32%
Simon Property Group, Inc.B		56,600		10,308
SL Green Realty Corp.B		69,000		8,212
Vornado Realty TrustB		86,580		10,191
				28,711
Total Financials				344,172
HEALTH CARE - 10.26%
Biotechnology - 1.28%
Amgen, Inc.		99,300		15,817
Health Care Equipment & Supplies - 1.59%
The Cooper Companies, Inc.		40,500		6,565
Zimmer Holdings, Inc.		115,300		13,077
				19,642
Health Care Providers & Services - 5.83%
Anthem, Inc.		105,510		13,259
Cardinal Health, Inc.		180,800		14,596
HCA Holdings, Inc.A		313,100		22,979
Quest Diagnostics, Inc.		156,800		10,515
Universal Health Services, Inc., Class B		99,000		11,015
				72,364
Pharmaceuticals - 1.56%
Merck & Co., Inc.		102,000		5,793
Pfizer, Inc.		433,020		13,488
				19,281
Total Health Care				127,104
INDUSTRIALS - 12.85%
Aerospace & Defense - 3.74%
General Dynamics Corp.		87,500		12,042
L-3 Communications Holdings, Inc.		100,900		12,735
Northrop Grumman Corp.		94,600		13,942
Raytheon Co.		70,860		7,665
				46,384

See accompanying notes

27

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
Air Freight & Couriers - 1.10%
FedEx Corp.		78,800	$	13,684
Airlines - 4.30%
Alaska Air Group, Inc.		285,600		17,067
Delta Air Lines, Inc.		253,000		12,445
Southwest Airlines Co.		558,900		23,654
				53,166
Commercial Services & Supplies - 0.95%
Cintas Corp.		76,200		5,977
Equifax, Inc.		71,200		5,758
				11,735
Electrical Equipment - 0.90%
Emerson Electric Co.		180,600		11,148
Machinery - 1.36%
Danaher Corp.		91,200		7,817
Trinity Industries, Inc.		323,600		9,064
				16,881
Road & Rail - 0.50%
Norfolk Southern Corp.		56,900		6,237
Total Industrials				159,235
INFORMATION TECHNOLOGY - 12.16%
Computers & Peripherals - 1.99%
Hewlett-Packard Co.		326,140		13,088
NVIDIA Corp.		265,000		5,313
Western Digital Corp.		57,000		6,310
				24,711
Electronic Equipment & Instruments - 0.96%
The ADT Corp.		326,600		11,833
IT Consulting & Services - 0.93%
Computer Sciences Corp.		181,900		11,469
Semiconductor Equipment & Products - 4.61%
Broadcom Corp., Class A		287,600		12,462
Intel Corp.		343,500		12,466
Micron Technology, Inc.A		540,600		18,925
Skyworks Solutions, Inc.		182,900		13,299
				57,152
Software - 3.67%
Activision Blizzard, Inc.		312,400		6,295
Amdocs Ltd.		254,000		11,850
Electronic Arts, Inc.A		212,300		9,981
Microsoft Corp.		262,500		12,193
Navient Corp.		240,800		5,204
				45,523
Total Information Technology				150,688
MATERIALS - 5.23%
Chemicals - 3.49%
Ashland, Inc.		61,200		7,329
Celanese Corp., Class A		185,700		11,135
CF Industries Holdings, Inc.		46,500		12,673
Dow Chemical Co.		266,100		12,137
				43,274
Metals & Mining - 1.74%
Alcoa, Inc.		857,700		13,543

	Shares		Fair Value
			(000’s)
Freeport-McMoRan Copper & Gold, Inc.		343,100	$	8,015
				21,558
Total Materials				64,832
TELECOMMUNICATION SERVICES - 2.98%
Diversified Telecommunication Services - 2.98%
AT&T, Inc.		332,849		11,180
CenturyLink, Inc.		206,000		8,153
Level 3 Communications, Inc.A		356,300		17,595
Total Telecommunication Services				36,928
UTILITIES - 6.47%
Electric - 6.47%
American Electric Power Co., Inc.		158,800		9,642
Duke Energy Corp.		74,200		6,199
Edison International		90,800		5,946
Entergy Corp.		113,900		9,964
Exelon Corp.		348,500		12,922
PG&E Corp.		224,400		11,947
Pinnacle West Capital Corp.		79,900		5,458
Public Service Enterprise Group, Inc.		212,500		8,800
Southern Co.		188,300		9,247
Total Utilities				80,125
Total Common Stock (Cost $1,086,839)				1,208,161
SHORT-TERM INVESTMENTS - 1.24% (Cost $15,318)
JPMorgan U.S. Government Money Market Fund, Capital Class		15,317,857		15,318
TOTAL INVESTMENTS - 98.77% (Cost $1,102,157)				1,223,479
OTHER ASSETS, NET OF LIABILITIES - 1.23%				15,256
TOTAL NET ASSETS - 100.00%			$	1,238,735

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  REIT - Real Estate Investment Trust.

See accompanying notes

28

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

December 31, 2014

Futures Contracts Open on December 31, 2014:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index March Futures	Long	158	March 2015	$	16,213,960	$	(168,879	)
				$	16,213,960	$	(168,879	)

See accompanying notes

29

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
COMMON STOCK - 96.14%
CONSUMER DISCRETIONARY - 18.78%
Hotels, Restaurants & Leisure - 2.38%
Yum! Brands, Inc.		32,960	$	2,401
Internet & Catalog Retail - 6.08%
Amazon.com, Inc.A		8,351		2,592
priceline.com, Inc.A		3,115		3,552
				6,144
Media - 2.51%
Twenty-First Century Fox, Inc., Class A		65,889		2,530
Specialty Retail - 4.30%
Advance Auto Parts, Inc.		16,232		2,586
GNC Holdings, Inc., Class A		37,420		1,757
				4,343
Textiles & Apparel - 3.51%
NIKE, Inc., Class B		19,636		1,888
Under Armour, Inc., Class AA		24,397		1,657
				3,545
Total Consumer Discretionary				18,963
CONSUMER STAPLES - 11.49%
Beverages - 3.36%
Monster Beverage Corp.A		24,198		2,622
PepsiCo, Inc.		8,165		772
				3,394
Food & Drug Retailing - 6.86%
Costco Wholesale Corp.		15,661		2,220
CVS Caremark Corp.		18,859		1,816
Mead Johnson Nutrition Co., Class A		17,983		1,808
Whole Foods Market, Inc.		21,391		1,079
				6,923
Household Products - 1.27%
Procter & Gamble Co.		14,028		1,278
Total Consumer Staples				11,595
ENERGY - 4.73%
Energy Equipment & Services - 1.92%
Cameron International Corp.A		19,486		973
Halliburton Co.		24,476		963
				1,936
Oil & Gas - 2.81%
Concho Resources, Inc.A		9,895		987
Range Resources Corp.		34,581		1,848
				2,835
Total Energy				4,771
FINANCIALS - 3.72%
Diversified Financials - 3.72%
BlackRock, Inc., Class A		3,672		1,313
Greenhill & Co., Inc.		17,585		767
TD Ameritrade Holding Corp.		46,686		1,670
Total Financials				3,750
HEALTH CARE - 13.40%
Biotechnology - 3.90%
Gilead Sciences, Inc.A		33,363		3,145

	Shares		Fair Value
			(000’s)
Vertex Pharmaceuticals, Inc.A		6,702	$	796
				3,941
Health Care Equipment & Supplies - 2.89%
Medtronic, Inc.		40,415		2,918
Health Care Providers & Services - 4.61%
Cerner Corp.A		33,979		2,197
DaVita HealthCare Partners, Inc.A		32,250		2,442
				4,639
Pharmaceuticals - 2.00%
Bristol-Myers Squibb Co.		34,266		2,023
Total Health Care				13,521
INDUSTRIALS - 7.96%
Aerospace & Defense - 1.17%
Boeing Co.		9,109		1,184
Electrical Equipment - 1.76%
Roper Industries, Inc.		11,359		1,776
Industrial Conglomerates - 2.65%
Honeywell International, Inc.		26,800		2,678
Machinery - 1.63%
WABCO Holdings, Inc.A		15,666		1,641
Road & Rail - 0.75%
Union Pacific Corp.		6,339		755
Total Industrials				8,034
INFORMATION TECHNOLOGY - 33.12%
Communications Equipment - 3.08%
Cisco Systems, Inc.		111,861		3,111
Computers & Peripherals - 5.70%
Apple, Inc.		37,290		4,116
International Business Machines Corp.		10,180		1,633
				5,749
Internet Software & Services - 3.51%
Google, Inc., Class CA		6,731		3,543
IT Consulting & Services - 7.36%
Automatic Data Processing, Inc.		11,696		975
IHS, Inc., Class AA		15,161		1,727
Visa, Inc., Class A		18,018		4,724
				7,426
Semiconductor Equipment & Products - 4.12%
Qualcomm, Inc.		55,907		4,156
Software - 9.35%
Adobe Systems, Inc.A		45,834		3,333
Citrix Systems, Inc.A		51,248		3,270
Intuit, Inc.		14,926		1,376
Microsoft Corp.		31,716		1,473
				9,452
Total Information Technology				33,437
MATERIALS - 2.94%
Chemicals - 2.94%
Ecolab, Inc.		11,925		1,246

See accompanying notes

30

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
Praxair, Inc.		13,273	$	1,720
Total Materials				2,966
Total Common Stock (Cost $68,199)				97,037
SHORT-TERM INVESTMENTS - 3.77% (Cost $3,805)
JPMorgan U.S. Government Money Market Fund, Capital Class		3,804,852		3,805
TOTAL INVESTMENTS - 99.91% (Cost $72,004)				100,842
OTHER ASSETS, NET OF LIABILITIES - 0.09%				93
TOTAL NET ASSETS - 100.00%			$	100,935

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

Futures Contracts Open on December 31, 2014:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index March Futures	Long	34	March 2015	$	3,489,080	$	35,146
				$	3,489,080	$	35,146

See accompanying notes

31

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
COMMON STOCK - 100.03%
CONSUMER DISCRETIONARY - 13.93%
Auto Components - 0.83%
Motorcar Parts of America, Inc.A		183,800	$	5,714
Hotels, Restaurants & Leisure - 6.08%
Buffalo Wild Wings, Inc.A		49,024		8,843
Chuy’s Holdings, Inc.A B		278,591		5,480
Krispy Kreme Doughnuts, Inc.A		461,742		9,115
National CineMedia, Inc.		645,600		9,277
Papa John’s International, Inc.		84,100		4,693
Potbelly Corp.A		363,700		4,681
				42,089
Internet & Catalog Retail - 0.68%
Homeaway, Inc.A		157,700		4,696
Media - 2.17%
IMAX Corp.A B		354,878		10,966
Shutterstock, Inc.A		58,443		4,038
				15,004
Specialty Retail - 2.54%
Cabela’s, Inc.A		102,100		5,382
Men’s Wearhouse, Inc.		63,600		2,808
Monro Muffler Brake, Inc.		162,399		9,387
				17,577
Textiles & Apparel - 1.63%
Five Below, Inc.A		134,500		5,492
Vince Holding Corp.A		221,709		5,795
				11,287
Total Consumer Discretionary				96,367
CONSUMER STAPLES - 3.37%
Food & Drug Retailing - 1.72%
United Natural Foods, Inc.A		153,840		11,896
Food Products - 1.65%
Inventure Foods, Inc.A		318,574		4,059
TreeHouse Foods, Inc.A		86,200		7,372
				11,431
Total Consumer Staples				23,327
ENERGY - 5.06%
Energy Equipment & Services - 3.23%
Dril-Quip, Inc.A		53,900		4,136
Flotek Industries, Inc.A		223,400		4,184
Forum Energy Technologies, Inc.A		197,400		4,092
Oil States International, Inc.A		85,800		4,196
RigNet, Inc.A		138,200		5,670
				22,278
Oil & Gas - 1.83%
Carrizo Oil & Gas, Inc.A		119,300		4,963
Rice Energy, Inc.A		158,500		3,324
Rosetta Resources, Inc.A		111,400		2,485
Whiting Petroleum Corp.A		57,888		1,910
				12,682
Total Energy				34,960
FINANCIALS - 9.94%
Banks - 2.05%
East West Bancorp, Inc.		107,200		4,150
Green Bancorp, Inc.A		103,213		1,243
LegacyTexas Financial Group, Inc.		187,688		4,476

	Shares		Fair Value
			(000’s)
SVB Financial GroupA		37,400	$	4,341
				14,210
Diversified Financials - 6.53%
Cardtronics, Inc.A		156,500		6,038
Demandware, Inc.A		140,000		8,056
Encore Capital Group, Inc.A B		203,032		9,015
Euronet Worldwide, Inc.A		164,400		9,025
PRA Group, Inc.		138,000		7,994
WisdomTree Investments, Inc.B		318,200		4,988
				45,116
Insurance - 1.36%
Hilltop Holdings, Inc.A		300,300		5,991
WEX, Inc.A		34,800		3,442
				9,433
Total Financials				68,759
HEALTH CARE - 23.40%
Biotechnology - 4.72%
Cepheid, Inc.A B		185,600		10,048
MiMedx Group, Inc.A B		607,680		7,007
Myriad Genetics, Inc.A B		134,829		4,592
Neogen Corp.A		221,450		10,982
				32,629
Health Care Equipment & Supplies - 4.09%
Abaxis, Inc.		109,681		6,233
Bio-Techne Corp.		45,800		4,232
Medidata Solutions, Inc.A		195,942		9,356
NuVasive, Inc.A		180,080		8,493
				28,314
Health Care Providers & Services - 8.33%
Acadia Healthcare Co., Inc.A		182,400		11,164
Advisory Board Co.A		195,525		9,577
HealthEquity, Inc.A		244,272		6,217
IPC Healthcare, Inc.A		153,660		7,051
MAXIMUS, Inc.		108,500		5,950
PAREXEL International Corp.A		170,800		9,490
VCA Antech, Inc.A		166,755		8,133
				57,582
Pharmaceuticals - 6.26%
Akorn, Inc.A		280,400		10,150
ICON PLCA C		193,100		9,846
Ligand Pharmaceuticals, Inc.		101,535		5,403
Pacira Pharmaceuticals, Inc.A		102,600		9,097
Proto Labs, Inc.A B		131,240		8,814
				43,310
Total Health Care				161,835
INDUSTRIALS - 12.11%
Aerospace & Defense - 1.26%
Astronics Corp.		157,415		8,707
Air Freight & Couriers - 0.75%
Echo Global Logistics, Inc.A		178,300		5,206
Building Products - 0.98%
Trex Co., Inc.A		158,500		6,749
Commercial Services & Supplies - 6.04%
Corporate Executive Board Co.		105,400		7,645
CoStar Group, Inc.A		64,601		11,863
HMS Holdings Corp.A		426,769		9,022
Marlin Business Services Corp.		79,122		1,624

See accompanying notes

32

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
WageWorks, Inc.A		179,005	$	11,558
				41,712
Diversified Manufacturing - 0.53%
Acuity Brands, Inc.		26,300		3,684
Electrical Equipment - 0.57%
Power Solutions International, Inc.A		76,920		3,970
Industrial Conglomerates - 0.40%
RPX Corp.A		201,300		2,774
Machinery - 1.02%
ExOne Co.A B		15,762		265
RBC Bearings, Inc.		105,600		6,814
				7,079
Trading Companies & Distributors - 0.56%
MSC Industrial Direct Co., Inc., Class A		47,645		3,871
Total Industrials				83,752
INFORMATION TECHNOLOGY - 29.84%
Banks - 0.37%
Materialise N.V., ADRA B D		269,500		2,566
Communications Equipment - 1.33%
Aruba Networks, Inc.A		258,200		4,694
CalAmp Corp.A		244,300		4,471
				9,165
Computers & Peripherals - 1.62%
Stratasys Ltd.A B		71,400		5,934
KEYW Holding Corp.A B		510,100		5,295
				11,229
Electronic Equipment & Instruments - 0.87%
Taser International, Inc.A B		227,600		6,027
Internet Software & Services - 6.43%
Athenahealth, Inc.A B		61,002		8,888
Cornerstone OnDemand, Inc.A		95,600		3,365
Fortinet, Inc.A		254,200		7,794
Global Eagle Entertainment, Inc.A B		371,170		5,052
HealthStream, Inc.A		245,314		7,232
Proofpoint, Inc.A		179,126		8,639
Shutterfly, Inc.A		83,872		3,497
				44,467
IT Consulting & Services - 1.36%
Tyler Technologies, Inc.		85,784		9,388
Semiconductor Equipment & Products - 5.74%
8x8, Inc.A		635,700		5,823
Cavium, Inc.A		111,300		6,881
Fluidigm Corp.A		96,500		3,255
Integrated Device Technology, Inc.A		88,700		1,739
Microsemi Corp.		243,630		6,913
Power Integrations, Inc.		113,400		5,867
Rudolph Technologies, Inc.A		272,700		2,790
Semtech Corp.A		233,986		6,451
				39,719
Software - 12.12%
Aspen Technology, Inc.A		161,848		5,668
ChannelAdvisor Corp.A B		246,600		5,322
Cognex Corp.		251,900		10,410
CyberArk Software Ltd/IsraelA B		59,700		2,367
Envestnet, Inc.A		171,409		8,423

	Shares		Fair Value
			(000’s)
Guidewire Software, Inc.A		147,700	$	7,478
inContact, Inc.A		521,700		4,586
Manhattan Associates, Inc.A		171,717		6,992
National Instruments Corp.		127,567		3,966
PROS Holdings, Inc.A		241,200		6,628
Qlik Technologies, Inc.A		146,900		4,538
Qualys, Inc.A		129,500		4,889
SPS Commerce, Inc.A		61,900		3,505
Ultimate Software Group, Inc.A		48,800		7,165
VASCO Data Security International, Inc.A		62,800		1,789
				83,726
Total Information Technology				206,287
MATERIALS - 1.86%
Chemicals - 0.83%
Balchem Corp.		86,066		5,735
Metals & Mining - 1.03%
Mueller Water Products, Inc., Class A		695,700		7,124
Total Materials				12,859
TELECOMMUNICATION SERVICES - 0.52%
Diversified Telecommunication Services - 0.52%
Ruckus Wireless, Inc.A		299,300		3,598
Total Common Stock (Cost $609,859)				691,744
SHORT-TERM INVESTMENTS - 1.39% (Cost $9,609)
JPMorgan U.S. Government Money Market Fund, Capital Class		9,609,458		9,609
SECURITIES LENDING COLLATERAL - 8.57%
American Beacon U.S. Government Money Market Select Fund, Select ClassE		43,152,806		43,153
DWS Government and Agency Securities Portfolio, Institutional Class		16,126,490		16,126
Total Securities Lending Collateral (Cost $59,279)				59,279
TOTAL INVESTMENTS - 109.99% (Cost $678,747)				760,632
LIABILITIES, NET OF OTHER ASSETS - (9.99%)				(69,072	)
TOTAL NET ASSETS - 100.00%			$	691,560

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 December 31, 2014.

^C  PLC - Public Limited Company.

^D  ADR - American Depositary Receipt.

^E  The Fund is affiliated by having the same investment advisor.

See accompanying notes

33

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
COMMON STOCK - 96.06%
CONSUMER DISCRETIONARY - 21.77%
Auto Components - 1.42%
LKQ Corp.A		45,750	$	1,287
Mobileye N.V.A B		13,350		541
				1,828
Automobiles - 0.72%
Tesla Motors, Inc.A		4,150		923
Hotels, Restaurants & Leisure - 3.06%
Buffalo Wild Wings, Inc.A		8,450		1,524
Chipotle Mexican Grill, Inc.A		2,150		1,472
Papa John’s International, Inc.		16,800		937
				3,933
Household Durables - 0.64%
Harman International Industries, Inc.		7,750		827
Internet & Catalog Retail - 1.42%
Homeaway, Inc.A		29,250		871
TripAdvisor, Inc.A		12,850		959
				1,830
Leisure Equipment & Products - 1.35%
Polaris Industries, Inc.		11,450		1,732
Media - 3.24%
Cinemark Holdings, Inc.		34,650		1,233
IMAX Corp.A B		53,812		1,663
Netflix, Inc.A		3,750		1,281
				4,177
Specialty Retail - 7.63%
Cabela’s, Inc.A		26,100		1,376
CarMax, Inc.A		28,450		1,894
Copart, Inc.A		29,400		1,073
Ross Stores, Inc.		23,200		2,186
Tractor Supply Co.		21,350		1,683
Ulta Salon Cosmetics & Fragrance, Inc.		12,700		1,624
				9,836
Textiles & Apparel - 2.29%
Ralph Lauren Corp.		5,900		1,092
Under Armour, Inc., Class AA		27,250		1,851
				2,943
Total Consumer Discretionary				28,029
CONSUMER STAPLES - 4.68%
Beverages - 3.16%
Brown-Forman Corp., Class B		19,480		1,711
Monster Beverage Corp.A		21,650		2,346
				4,057
Food & Drug Retailing - 1.52%
United Natural Foods, Inc.A		25,350		1,960
Total Consumer Staples				6,017
ENERGY - 5.54%
Energy Equipment & Services - 3.37%
Core Laboratories N.V.		10,250		1,234
Dril-Quip, Inc.A		10,000		767
FMC Technologies, Inc.A		16,380		767
Oceaneering International, Inc.		18,550		1,091
RPC, Inc.		35,800		467
				4,326

	Shares		Fair Value
			(000’s)
Oil & Gas - 2.17%
Pioneer Natural Resources Co.		4,600	$	685
Range Resources Corp.		19,400		1,037
Southwestern Energy Co.A		26,460		722
Whiting Petroleum Corp.A		10,700		353
				2,797
Total Energy				7,123
FINANCIALS - 6.27%
Banks - 2.54%
East West Bancorp, Inc.		39,300		1,521
SVB Financial GroupA		15,100		1,753
				3,274
Diversified Financials - 3.00%
Affiliated Managers Group, Inc.A		6,180		1,312
PRA Group, Inc.		25,400		1,471
Towers Watson & Co., Class A		9,500		1,075
				3,858
Insurance - 0.73%
WEX, Inc.A		9,450		935
Total Financials				8,067
HEALTH CARE - 18.34%
Biotechnology - 2.85%
Alexion Pharmaceuticals, Inc.A		4,950		916
Cepheid, Inc.A		31,300		1,695
QIAGEN N.V.A		44,850		1,052
				3,663
Health Care Equipment & Supplies - 7.72%
Hologic, Inc.A		42,250		1,130
Idexx Laboratories, Inc.A		11,750		1,742
Illumina, Inc.A		14,200		2,621
Medidata Solutions, Inc.A		25,350		1,210
ResMed, Inc.B		23,850		1,337
Sirona Dental Systems, Inc.		10,800		944
Varian Medical Systems, Inc.A		11,100		960
				9,944
Health Care Providers & Services - 6.18%
Catamaran Corp.A		30,950		1,602
Cerner Corp.A		33,730		2,181
Henry Schein, Inc.A		10,795		1,470
PAREXEL International Corp.A		21,350		1,186
VCA Antech, Inc.A		30,930		1,508
				7,947
Pharmaceuticals - 1.59%
Akorn, Inc.A		23,350		845
Pacira Pharmaceuticals, Inc.A		13,500		1,197
				2,042
Total Health Care				23,596
INDUSTRIALS - 12.02%
Aerospace & Defense - 0.91%
B/E Aerospace, Inc.A		20,200		1,172
Commercial Services & Supplies - 5.74%
CoStar Group, Inc.A		10,370		1,904
HMS Holdings Corp.A		75,712		1,601
Stericycle, Inc.A		16,350		2,143
Verisk Analytics, Inc., Class AA		27,250		1,745
				7,393

See accompanying notes

34

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

December 31, 2014

	Shares		Fair Value
			(000’s)
Diversified Manufacturing - 0.98%
Acuity Brands, Inc.		9,000	$	1,261
Electrical Equipment - 1.20%
IPG Photonics Corp.B		5,000		375
Roper Industries, Inc.		4,650		727
Sensata Technologies Holding N.V.A		8,550		448
				1,550
Machinery - 0.89%
Pall Corp.		11,300		1,144
Road & Rail - 0.55%
J.B. Hunt Transport Services, Inc.		8,350		703
Trading Companies & Distributors - 1.75%
Fastenal Co.		24,460		1,163
MSC Industrial Direct Co., Inc., Class A		13,330		1,083
				2,246
Total Industrials				15,469
INFORMATION TECHNOLOGY - 26.05%
Communications Equipment - 1.69%
Aruba Networks, Inc.A		38,650		703
Palo Alto Networks, Inc.A		12,050		1,477
				2,180
Computers & Peripherals - 1.88%
SanDisk Corp.		14,200		1,392
Stratasys Ltd.A B		12,350		1,026
				2,418
Electronic Equipment & Instruments - 1.21%
FLIR Systems, Inc.		48,200		1,557
Internet Software & Services - 5.63%
Akamai Technologies, Inc.A		13,000		818
Athenahealth, Inc.A		11,577		1,687
Fortinet, Inc.A		73,300		2,248
MercadoLibre, Inc.		14,550		1,858
Twitter, Inc.A		17,850		640
				7,251
IT Consulting & Services - 1.63%
Alliance Data Systems Corp.A		4,350		1,244
IHS, Inc., Class AA		7,500		854
				2,098
Semiconductor Equipment & Products - 3.96%
Cree, Inc.A B		16,700		538
FEI Co.		9,937		898
Lam Research Corp.		20,118		1,596
Microchip Technology, Inc.B		30,930		1,395
Xilinx, Inc.		15,350		665
				5,092
Software - 10.05%
Ansys, Inc.A		7,150		586
Aspen Technology, Inc.A		26,150		916
Autodesk, Inc.A		18,400		1,105
Cadence Design Systems, Inc.A		75,850		1,438
Check Point Software Technologies Ltd.A		16,350		1,285
Cognex Corp.		23,200		959
FireEye, Inc.A B		27,569		871
National Instruments Corp.		30,655		953
Red Hat, Inc.A		14,840		1,026
Salesforce.com, Inc.A		10,470		621
Splunk, Inc.A		13,600		802

	Shares		Fair Value
			(000’s)
Tableau Software, Inc., Class AA		13,050	$	1,106
Ultimate Software Group, Inc.A		8,650		1,270
				12,938
Total Information Technology				33,534
MATERIALS - 1.39%
Chemicals - 1.39%
Airgas, Inc.		15,500		1,785
Total Common Stock (Cost $100,633)				123,620
SHORT-TERM INVESTMENTS - 4.74% (Cost $6,099)
JPMorgan U.S. Government Money Market Fund, Capital Class		6,099,481		6,099
SECURITIES LENDING COLLATERAL - 4.42%
DWS Government and Agency Securities Portfolio, Institutional Class		443,283		443
American Beacon U.S. Government Money Market Select Fund, Select ClassC		5,241,378		5,242
Total Securities Lending Collateral (Cost $5,685)				5,685
TOTAL INVESTMENTS - 105.22% (Cost $112,417)				135,404
LIABILITIES, NET OF OTHER ASSETS - (5.22%)				(6,715	)
TOTAL NET ASSETS - 100.00%			$	128,689

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 December 31, 2014.

^C  The Fund is affiliated by having the same investment advisor.

See accompanying notes

35

American Beacon Funds^SM

Statements of Assets and Liabilities

December 31, 2014 (in thousands, except share and per share amounts)

	AHL Managed Futures Strategy Fund		Bahl & Gaynor Small Cap Growth Fund		Bridgeway Large Cap Value Fund
Assets:
Investments in unaffiliated securities, at fair value A	$	37,943	$	3,988	$	1,223,479
Cash		310		—		—
Deposit with brokers for futures contracts		2,918		5		538
Dividends and interest receivable		—		3		1,048
Receivable for investments sold		93		—		5,231
Receivable for fund shares sold		126		—		12,590
Receivable for expense reimbursement (Note 2)		104		32		—
Receivable for variation margin on open futures contracts		316		—		—
Unrealized appreciation from foreign currency contracts		231		—		—
Prepaid expenses		44		37		41
Total assets		42,085		4,065		1,242,927
Liabilities:
Payable for investments purchased		—		—		1,334
Payable for fund shares redeemed		—		—		1,603
Payable for variation margin from open futures contracts		80		1		161
Payable under excess expense reimbursement plan (Note 2)		—		—		73
Management and investment advisory fees payable		33		2		387
Administrative service and service fees payable		13		1		556
Transfer agent fees payable		2		2		17
Custody and fund accounting fees payable		—		—		8
Professional fees payable		32		20		22
Payable for prospectus and shareholder reports		2		3		29
Unrealized depreciation from foreign currency contracts		156		—		—
Cash overdraft		93		—		—
Other liabilities		—		—		2
Total liabilities		411		29		4,192
Net Assets	$	41,674	$	4,036	$	1,238,735
Analysis of Net Assets:
Paid-in-capital		39,029		3,797		1,114,922
Undistributed (or overdistribution of) net investment income		212		1		—
Accumulated net realized gain		744		6		2,660
Unrealized appreciation of investments		—		228		121,322
Unrealized appreciation of currency transactions		75		—		—
Unrealized appreciation or (depreciation) of futures contracts		1,614		4		(169	)
Net assets	$	41,674	$	4,036	$	1,238,735
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		2,627,859		289,665		13,129,742
Y Class		42,467		36,194		4,998,038
Investor Class		276,720		22,365		28,128,293
A Class		825,273		15,313		4,383,703
C Class		36,837		13,372		1,441,033
Net assets (not in thousands):
Institutional Class	$	28,765,259	$	3,102,721	$	313,660,568
Y Class	$	464,644	$	387,622	$	119,162,044
Investor Class	$	3,023,636	$	239,138	$	668,659,150
A Class	$	9,019,308	$	163,704	$	103,716,652
C Class	$	401,475	$	142,469	$	33,536,254

See accompanying notes

36

American Beacon Funds^SM

Statements of Assets and Liabilities

December 31, 2014 (in thousands, except share and per share amounts)

	AHL Managed Futures Strategy Fund		Bahl & Gaynor Small Cap Growth Fund		Bridgeway Large Cap Value Fund
Net asset value, offering and redemption price per share:
Institutional Class	$	10.95	$	10.71	$	23.89
Y Class	$	10.94	$	10.71	$	23.84
Investor Class	$	10.93	$	10.69	$	23.77
A Class	$	10.93	$	10.69	$	23.66
A Class (offering price)	$	11.60	$	11.34	$	25.10
C Class	$	10.90	$	10.65	$	23.27
A    Cost of investments in unaffiliated securities	$	37,943	$	3,760	$	1,102,157

See accompanying notes

37

American Beacon Funds^SM

Statements of Assets and Liabilities

December 31, 2014 (in thousands, except share and per share amounts)

	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	$	100,842	$	717,479		$	130,162
Investments in affiliated securities, at fair value B		—		43,153			5,242
Deposit with brokers for futures contracts		156		—			—
Dividends and interest receivable		54		26			10
Receivable for investments sold		—		854			—
Receivable for tax reclaims		—		1			—
Receivable for fund shares sold		39		498			161
Prepaid expenses		14		34			14
Total assets		101,105		762,045			135,589
Liabilities:
Payable for investments purchased		—		6,437			902
Payable for fund shares redeemed		25		3,940			153
Payable for variation margin from open futures contracts		41		—			—
Payable under excess expense reimbursement plan (Note 2)		—		132			14
Payable upon return of securities loaned		—		59,279			5,685
Management and investment advisory fees payable		36		388			58
Administrative service and service fees payable		38		223			44
Transfer agent fees payable		2		25			6
Custody and fund accounting fees payable		—		8			2
Professional fees payable		20		26			23
Payable for prospectus and shareholder reports		3		19			7
Other liabilities		5		8			6
Total liabilities		170		70,485			6,900
Net Assets	$	100,935	$	691,560		$	128,689
Analysis of Net Assets:
Paid-in-capital		70,693		611,891			104,897
Undistributed (or overdistribution of) net investment income		—		—			—
Accumulated net realized gain (loss)		1,369		(2,216	)		805
Unrealized appreciation of investments		28,838		81,885			22,987
Unrealized appreciation of futures contracts		35		—			—
Net assets	$	100,935	$	691,560		$	128,689
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		699,364		21,717,262			4,553,434
Y Class		2,883		10,390,157			161,805
Investor Class		3,173,281		9,372,572			1,151,970
A Class		39,861		621,381			974,329
C Class		23,922		181,613			114,792
Net assets (not in thousands):
Institutional Class	$	18,102,557	$	359,958,471		$	87,620,400
Y Class	$	74,361	$	171,901,004		$	3,109,192
Investor Class	$	81,153,971	$	147,227,308		$	19,551,562
A Class	$	1,011,971	$	9,701,510		$	16,505,844
C Class	$	592,178	$	2,771,316		$	1,901,906
Net asset value, offering and redemption price per share:
Institutional Class	$	25.88	$	16.57		$	19.24
Y Class	$	25.79	$	16.54		$	19.22
Investor Class	$	25.57	$	15.71		$	16.97
A Class	$	25.39	$	15.61		$	16.94
A Class (offering price)	$	26.94	$	16.56		$	17.97
C Class	$	24.75	$	15.26		$	16.57
A    Cost of investments in unaffiliated securities	$	72,004	$	635,594		$	107,175
B    Cost of investments in affiliated securities	$	—	$	43,153		$	5,242
C    Fair value of securities on loan	$	—	$	57,934		$	5,565

See accompanying notes

38

American Beacon Funds^SM

Statements of Operations

For the year ended December 31, 2014 (in thousands)

	AHL Managed Futures Strategy Fund			Bahl & Gaynor Small Cap Growth Fund			Bridgeway Large Cap Value Fund
Investment Income:
Dividend income from unaffiliated securities	$	1,071		$	23		$	14,229
Interest income		—			—			—
Total investment income		1,071			23			14,229
Expenses:
Management and investment advisory fees (Note 2)		112			9			2,968
Administrative service fees (Note 2):
Institutional Class		29			4			503
Y Class		—			—			166
Investor Class		1			—			1,400
A Class		2			—			183
C Class		—			—			42
Transfer agent fees:
Institutional Class		2			2			89
Y Class		2			2			3
Investor Class		2			2			19
A Class		2			2			8
C Class		2			2			2
Custody and fund accounting fees		1			3			63
Professional fees		334			70			51
Registration fees and expenses		29			37			121
Service fees (Note 2):
Y Class		—			—			55
Investor Class		—			—			1,699
A Class		1			—			82
C Class		—			—			20
Distribution fees (Note 2):
A Class		2			—			136
C Class		—			1			133
Prospectus and shareholder report expenses		15			11			100
Trustee fees		—			—			38
Other expenses		4			4			24
Total expenses		540			149			7,905
Net fees waived and expenses reimbursed/recouped by Manager (Note 2)		(371	)		(133	)		92
Net expenses		169			16			7,997
Net investment income		902			7			6,232
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Investments		—			6			13,377
Foreign currency transactions		205			—			—
Futures contracts		1,034			—			2,576
Change in net unrealized appreciation or (depreciation) of:
Investments		—			228			83,248
Foreign currency transactions		75			—			—
Futures contracts		1,614			4			(426	)
Net gain from investments		2,928			238			98,775
Net increase in net assets resulting from operations	$	3,830		$	245		$	105,007

See accompanying notes

39

American Beacon Funds^SM

Statements of Operations

For the year ended December 31, 2014 (in thousands)

	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	$	959		$	2,058		$	531
Income derived from securities lending, net		—			1,378			96
Total investment income		959			3,436			627
Expenses:
Management and investment advisory fees (Note 2)		417			4,779			669
Administrative service fees (Note 2):
Institutional Class		52			1,048			218
Y Class		—			547			9
Investor Class		224			468			73
A Class		4			37			66
C Class		3			10			7
Transfer agent fees:
Institutional Class		1			158			48
Y Class		—			48			—
Investor Class		8			13			4
A Class		—			2			3
C Class		—			1			1
Custody and fund accounting fees		13			58			15
Professional fees		35			56			38
Registration fees and expenses		58			110			79
Service fees (Note 2):
Y Class		—			182			3
Investor Class		198			412			64
A Class		2			16			28
C Class		1			4			3
Distribution fees (Note 2):
A Class		3			26			47
C Class		7			28			21
Prospectus and shareholder report expenses		6			69			11
Trustee fees		5			35			6
Other expenses		10			33			16
Total expenses		1,047			8,140			1,429
Net fees waived and expenses reimbursed/recouped by Manager (Note 2)		46			208			(12	)
Net expenses		1,093			8,348			1,417
Net investment income		(134	)		(4,912	)		(790	)
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Investments		9,874			31,911			8,718
Commission recapture (Note 3)		2			—			—
Futures contracts		430			—			—
Change in net unrealized appreciation or (depreciation) of:
Investments		(3,585	)		(54,645	)		(4,843	)
Futures contracts		(32	)		—			—
Net gain (loss) from investments		6,689			(22,734	)		3,875
Net increase (decrease) in net assets resulting from operations	$	6,555		$	(27,646	)	$	3,085
A Foreign taxes		—			—			3

See accompanying notes

40

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	AHL Managed Futures Strategy Fund			Bahl & Gaynor Small Cap Growth Fund			Bridgeway Large Cap Value Fund
	From Aug. 19 to Dec. 31, 2014			From July 15 to Dec. 31, 2014			Year Ended Dec. 31, 2014			Year Ended Dec. 31, 2013
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	902		$	7		$	6,232		$	1,601
Net realized gain from investments, foreign currency transactions, and futures contracts		1,239			6			15,953			10,972
Change in net unrealized appreciation or (depreciation) from investments, foreign currency transactions, and futures contracts		1,689			232			82,822			33,594
Net increase in net assets resulting from operations		3,830			245			105,007			46,167
Distributions to Shareholders:
Net investment income:
Institutional Class		(774	)		(5	)		(2,129	)		(390	)
Y Class		(12	)		(1	)		(792	)		(93	)
Investor Class		(35	)		—			(2,728	)		(1,089	)
A Class		(243	)		—			(488	)		(90	)
C Class		(9	)		—			(93	)		(2	)
Net realized gain from investments:
Institutional Class		(210	)		—			(4,669	)		(1,182	)
Y Class		(3	)		—			(1,747	)		(304	)
Investor Class		(9	)		—			(10,006	)		(4,130	)
A Class		(66	)		—			(1,551	)		(468	)
C Class		(3	)		—			(496	)		(36	)
Net distributions to shareholders		(1,364	)		(6	)		(24,699	)		(7,784	)
Capital Share Transactions:
Proceeds from sales of shares		33,129			791			895,125			357,638
Reinvestment of dividends and distributions		1,364			6			24,214			7,700
Cost of shares redeemed		(285	)		—			(168,475	)		(23,683	)
Net increase in net assets from capital share transactions		34,208			797			750,864			341,655
Net increase in net assets		36,674			1,036			831,172			380,038
Net Assets:
Beginning of period		5,000			3,000			407,563			27,525
End of Period *	$	41,674		$	4,036		$	1,238,735		$	407,563
*  Includes undistributed (or overdistribution of) net investment income of	$	212		$	1		$	—		$	—

See accompanying notes

41

American Beacon Funds^SM

Statement of Changes in Net Assets (in thousands)

	Holland Large Cap Growth Fund						Stephens Small Cap Growth Fund						Stephens Mid-Cap Growth Fund
	Year Ended Dec. 31, 2014			Year Ended Dec. 31, 2013			Year Ended Dec. 31, 2014			Year Ended Dec. 31, 2013			Year Ended Dec. 31, 2014			Year Ended Dec. 31, 2013
Increase (Decrease) in Net Assets:
Operations:
Net investment (loss)	$	(134	)	$	(124	)	$	(4,912	)	$	(3,334	)	$	(790	)	$	(636	)
Net realized gain from investments, commission recapture, and futures contracts		10,306			7,369			31,911			22,621			8,718			4,109
Change in net unrealized appreciation or (depreciation) from investments and futures contracts		(3,617	)		15,055			(54,645	)		116,658			(4,843	)		18,914
Net increase (decrease) in net assets resulting from operations		6,555			22,300			(27,646	)		135,945			3,085			22,387
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(3	)		—			(56	)		—			(43	)
Y Class		—			—			—			(26	)		—			(1	)
Investor Class		—			(3	)		—			(12	)		—			(18	)
A Class		—			—			—			—			—			(9	)
C Class		—			—			—			—			—			(1	)
Net realized gain from investments:
Institutional Class		(1,687	)		(1,173	)		(14,779	)		(11,150	)		(5,108	)		(2,006	)
Y Class		(7	)		(6	)		(7,036	)		(6,930	)		(185	)		(53	)
Investor Class		(7,647	)		(5,613	)		(6,460	)		(6,374	)		(1,310	)		(1,131	)
A Class		(97	)		(78	)		(420	)		(404	)		(1,127	)		(624	)
C Class		(59	)		(53	)		(122	)		(91	)		(130	)		(57	)
Return of Capital
Institutional Class		—			—			—			(666	)		—			(50	)
Y Class		—			—			—			(432	)		—			(1	)
Investor Class		—			—			—			(377	)		—			(28	)
A Class		—			—			—			(24	)		—			(16	)
C Class		—			—			—			(6	)		—			(1	)
Net distributions to shareholders		(9,497	)		(6,929	)		(28,817	)		(26,548	)		(7,860	)		(4,039	)
Capital Share Transactions:
Proceeds from sales of shares		12,416			17,319			226,308			437,144			54,295			51,249
Reinvestment of dividends and distributions		9,472			6,889			28,166			25,225			7,117			3,826
Cost of shares redeemed		(13,539	)		(13,009	)		(215,176	)		(71,212	)		(44,790	)		(14,149	)
Net increase in net assets from capital share transactions		8,349			11,199			39,298			391,157			16,622			40,926
Net increase (decrease) in net assets		5,407			26,570			(17,165	)		500,554			11,847			59,274
Net Assets:
Beginning of period		95,528			68,958			708,725			208,171			116,842			57,568
End of Period *	$	100,935		$	95,528		$	691,560		$	708,725		$	128,689		$	116,842
* Includes undistributed (or overdistribution of) net investment income of	$	—		$	—		$	—		$	—		$	—		$	—

See accompanying notes

42

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”), which is comprised of thirty-one 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 AHL Managed Futures Strategy Fund, the American Beacon Bahl & Gaynor Small Cap Growth Fund, 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.

The Manager has closed the Stephens Small Cap Growth Fund to new shareholders as of the close of business on December 31, 2014. Existing shareholders as of that date may continue to purchase, redeem, or exchange shares of the Funds on any business day, which is any day the New York Stock Exchange is open for business.

Class Disclosure

July 15, 2014 was the inception date of all classes of the Bahl & Gaynor Small Cap Growth Fund. August 19, 2014 was the inception date of all classes of the AHL Managed Futures Strategy Fund.

Each 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 directly or through an intermediary
A Class	General public and investors investing through an intermediary with applicable sales charges, which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”)
C Class	General public and investors investing through an intermediary with applicable sales charges, which may include a CDSC

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.

New Accounting Pronouncements

In June 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2013-08, “Financial Services – Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements,” which amends the criteria that define an investment company and clarifies the measurement guidance and requires new disclosures for investment companies. Under the ASU, an entity that is registered under the Investment Company Act of 1940 automatically qualifies as an investment company. The ASU was effective for the periods ending December 31, 2013. Management has evaluated the implications of the ASU and determined that adoption thereof will not have a material impact on the financial statements.

43

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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. The Funds pay the unaffiliated investment advisors hired to direct investment activities of the Funds. Management fees paid by the Funds during the year ended December 31, 2014 were as follows (in thousands):

Fund	Management Fee Rate			Management Fee		Amounts paid to Investment Advisors		Amounts Paid to Manager
AHL Managed Futures Strategy		1.05	%	$	112	$	107	$	5
Bahl & Gaynor Small Cap Growth		0.56	%		9		8		1
Bridgeway Large Cap Value		0.39	%		2,968		2,589		379
Holland Large Cap Growth		0.44	%		417		370		47
Stephens Small Cap Growth		0.68	%		4,779		4,276		503
Stephens Mid-Cap Growth		0.55	%		669		597		72

As compensation for services provided by the Manager in connection with securities lending activities conducted by the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds, the lending Fund pays to the Manager, with respect to cash collateral posted by borrowers, a fee up to 25% of the net monthly interest income (the gross income earned by the investment of cash collateral, less the amount paid to borrowers and related expenses) from such activities and, with respect to loan fees paid by borrowers, a fee up to 25% of such loan fees. This fee is included in Income derived from securities lending and management and investment advisory fees on the Statements of Operations. During the year ended December 31, 2014, securities lending fees paid to the Manager were $152,784 and $11,880 for the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds, respectively.

Administration Agreement

The Manager and the Trust entered into an Administration Agreement which obligates the Manager to provide or oversee administrative services to each Fund. As compensation for performing the duties required under the Administration 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 Funds. Prior to July 1, 2014, the Manager received 0.40% of the average daily net assets of the A and C Classes of each Fund. Beginning July 1, 2014, the Manager received 0.30% of the average daily net assets of the A and C Classes of each Fund.

Distribution Plans

The Funds, except for the A and C Classes, have 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 Funds 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 Funds do not intend to separately 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 Funds. 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.

44

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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 (the “MM 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 the investment advisor to the Select Funds and receives Management and Administration fees totaling 0.10% of the average daily net assets of the Select Funds. During the year ended December 31, 2014, the Manager earned $47,406 and $7,158 from the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds’ securities lending collateral, respectively invested in the Select Funds.

Interfund Lending Program

Pursuant to an exemptive order issued 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. During the year ended December 31, 2014, the Stephens Small Cap Growth Fund borrowed on average $1,307,476 for 5 days at 0.70% with interest charges of $125.89 and the Stephens Mid-Cap Growth Fund borrowed on average $1,196,466 for 21 days at 0.70% with interest charges of $479.05. These amounts are recorded as interest expense on the Statements of Operations herein.

Expense Reimbursement Plan

The Manager agreed to reimburse the following Funds to the extent that total annual fund operating expenses exceeded a Fund’s expense cap. For the year ended December 31, 2014, the Manager waived or reimbursed expenses as follows:

		Expense Cap
Fund	Class	1/1/14 to 6/30/14	7/1/14 to 12/31/14	Reimbursed or (Recovered) Expenses			Expiration
AHL Managed Futures Strategy*	Institutional	N/A	1.54%	$	330,492		2017
AHL Managed Futures Strategy*	Y	N/A	1.64%		3,782		2017
AHL Managed Futures Strategy*	Investor	N/A	1.92%		8,997		2017
AHL Managed Futures Strategy*	A	N/A	1.94%		24,130		2017
AHL Managed Futures Strategy*	C	N/A	2.69%		3,846		2017
Bahl & Gaynor Small Cap Growth**	Institutional	N/A	0.98%		105,371		2017
Bahl & Gaynor Small Cap Growth**	Y	N/A	1.08%		8,600		2017
Bahl & Gaynor Small Cap Growth**	Investor	N/A	1.36%		6,478		2017
Bahl & Gaynor Small Cap Growth**	A	N/A	1.38%		6,523		2017
Bahl & Gaynor Small Cap Growth**	C	N/A	2.13%		5,932		2017
Bridgeway Large Cap Value	Institutional	0.84%	0.84%		(75,063	)	2017
Bridgeway Large Cap Value	Y	N/A	N/A		(2,895	)	2017
Bridgeway Large Cap Value	A	1.34%	1.24%		(9,918	)	2017
Bridgeway Large Cap Value	C	2.09%	1.99%		(3,665	)	2017
Holland Large Cap Growth	Institutional	N/A	N/A		(654	)	2017
Holland Large Cap Growth	Y	N/A	N/A		29		2017
Holland Large Cap Growth	Investor	N/A	N/A		(45,562	)	2017
Holland Large Cap Growth	A	1.39%	1.29%		99		2017
Holland Large Cap Growth	C	2.14%	2.04%		28		2017

45

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

		Expense Cap
Fund	Class	1/1/14 to 6/30/14	7/1/14 to 12/31/14	Reimbursed or (Recovered) Expenses			Expiration
Stephens Small Cap Growth	Institutional	1.09%	1.09%	$	(95,567	)	2017
Stephens Small Cap Growth	Y	1.19%	1.19%		(7,230	)	2017
Stephens Small Cap Growth	Investor	1.35%	1.35%		(103,365	)	2017
Stephens Small Cap Growth	A	N/A	1.49%		(1,469	)	2017
Stephens Small Cap Growth	C	N/A	2.24%		(277	)	2017
Stephens Mid-Cap Growth	Institutional	0.99%	0.99%		37,188		2017
Stephens Mid-Cap Growth	Y	1.09%	1.09%		(78	)	2017
Stephens Mid-Cap Growth	Investor	1.37%	1.37%		(26,034	)	2017
Stephens Mid-Cap Growth	A	1.49%	1.39%		1,139		2017
Stephens Mid-Cap Growth	C	2.24%	2.14%		320		2017

* August 19, 2014 is the inception date of the Fund.

** July 15, 2014 is the inception date of the Fund.

Of these amounts, $72,957, $283, $131,402, and $14,005 was payable to the Manager at December 31, 2014 for the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively. $103,966 and $32,017 was receivable from the Manager at December 31, 2014 for the AHL Managed Futures Strategy Fund and Bahl and Gaynor Small 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 Funds did not record a liability for potential reimbursemtns due to the current assessment that reimbursements are unlikely. The carryover of excess expenses potentially reimbursable to the Manager are as follows:

Fund	Recovered Expenses		Excess Expense Carryover		Expiration of Reimbursed Expenses
Bridgeway Large Cap Value	$	85,667	$	108,637	2015
Bridgeway Large Cap Value		5,874		76,230	2016
Holland Large Cap Growth		46,216		7,001	2015
Holland Large Cap Growth		—		104	2016
Stephens Small Cap Growth		169,735		9,511	2015
Stephens Small Cap Growth		38,173		56,030	2016
Stephens Mid-Cap Growth		26,112		90,237	2015
Stephens Mid-Cap Growth		—		60,289	2016

The Manager recovered excess carryover expenses of $75,063 from the Institutional Class and $2,895 from the Y Class of the Bridgeway Large Cap Value Fund, expiring in 2015 and $9,918 from the A Class and $3,665 from the C Class of the Bridgeway Large Cap Value Fund, expiring in 2015 and 2016; $654 from the Institutional Class and $45,562 from the Investor Class of the Holland Large Cap Growth Fund, expiring in 2015; $95,567 from the Institutional Class and $7,230 from the Y Class of the Stephens Small Cap Growth Fund, expiring in 2015 and 2016, $103,365 from the Investor Class, $1,469 from the A Class, and $277 from the C Class of the Stephens Small Cap Growth Fund expiring in 2015; and $78 from the Y Class and $26,034 from the Investor Class of the Stephens Mid-Cap Growth Fund, expiring in 2015.

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 year ended December 31, 2014, Foreside collected $727, $74,460, $1,624, $8,909, and $16,971 for AHL Managed Futures Strategy, 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.

46

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the year ended December 31, 2014, there were no CDSC fees collected for Class A Shares.

A 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. During the year ended December 31, 2014, CDSC fees of $5,362, $891, and $1,816 were collected for the Bridgeway Large Cap Value, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively.

Consolidation of Subsidiaries

The consolidated Schedule of Investments of the American Beacon AHL Managed Futures Strategy Fund (the “CFC Fund”), includes the accounts of the American Beacon Cayman Managed Futures Strategy Fund Ltd., a wholly-owned and controlled subsidiary (the “Subsidiary”). All inter-company accounts and transactions have been eliminated in consolidation for the CFC Fund.

For Federal tax purposes, taxable income for the CFC Fund and its Subsidiary are calculated separately. The Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code of 1986 (“the Code”) and the Subsidiary’s taxable income is included in the calculation of the CFC Fund’s taxable income. Net losses of the Subsidiary are not deductible by the CFC Fund either in the current period or future periods. The Subsidiary has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

The CFC Fund may invest up to 25% of its total assets in the Subsidiary, which acts as an investment vehicle in order to effect certain investments consistent with the CFC Fund’s investment objectives and policies. The CFC Fund expects to achieve a significant portion of its exposure to commodities and commodities-related investments through investment in the Subsidiary. Unlike the CFC Fund, the Subsidiary may invest without limitation in commodities and commodities-related investments.

	Inception Date of Subsidiary		Subsidiary Net Assets at December 31, 2014		% of Total Net Assets of the Fund at December 31, 2014			Net Realized Gain (Loss) from Investments Held in Subsidiary
American Beacon Cayman Managed Futures Strategy Fund, Ltd.		August 19, 2014	$	9,697,430		23.3	%	$	1,067,121

CFTC Regulation

On August 13, 2013, the CFTC adopted rules to harmonize conflicting United States Securities and Exchange Commission (the “SEC’’) and Commodity Futures Trading Commission (“CFTC”) disclosure, reporting and recordkeeping requirements for registered investment companies that do not meet an exemption from the definition of commodity pool. The harmonization rules provide that the CFTC will accept the SEC’s disclosure, reporting, and recordkeeping regime as substituted compliance for substantially all of the otherwise applicable CFTC regulations as long as such investment companies meet the applicable SEC requirements.

The AHL Managed Futures Strategy Fund is a commodity pool, as defined in the regulation of the CFTC and operated by the Manager, a commodity pool operator regulated by the CFTC.

47

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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.

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 market 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 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.

For valuation purposes, the last quoted price of non U.S. equity securities may be adjusted under the circumstances described below. If the Fund determines that developments between the close of a foreign market and the close of the NYSE will, in its judgment, materially affect the value of some or all of its portfolio securities, the Fund will adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of the close of the NYSE. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Fund reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. A Fund may also fair value securities in other situations, such as when a particular foreign market is closed but the Fund is open. Adjustments to closing prices to reflect fair value on affected foreign securities may be provided by an independent pricing service.

Other investments, including restricted securities and those financial instruments for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee, established by the Fund’s Board.

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.

48

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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. Securities using these valuation adjustments are categorized as Level 2 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 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 any 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 year ended December 31, 2014, there were no transfers between levels. As of December 31, 2014, the investments were classified as described below (in thousands):

AHL Managed Futures Strategy Fund*	Level 1			Level 2			Level 3		Total
Money Market Funds	$	744		$	—		$	—	$	744
U.S. Treasury Bills		—			37,199			—		37,199
Total Investments in Securities	$	744		$	37,199		$	—	$	37,943
Financial Derivative Instruments—Assets
Futures Contracts	$	1,834		$	—		$	—	$	1,834
Forward Currency Contracts		—			231			—		231
	$	1,834		$	231		$	—	$	2,065
Financial Derivative Instruments—Liabilities
Futures Contracts	$	(219	)	$	—		$	—	$	(219	)
Forward Currency Contracts		—			(156	)		—		(156	)
	$	(219	)	$	(156	)	$	—	$	(375	)
Bahl & Gaynor Small Cap Growth Fund*	Level 1			Level 2			Level 3		Total
Common Stock	$	3,793		$	—		$	—	$	3,793
Short-Term Investments – Money Market Funds		195			—			—		195
Total Investments in Securities	$	3,988		$	—		$	—	$	3,988
Financial Derivative Instruments
Futures Contracts	$	4		$	—		$	—	$	4
Bridgeway Large Cap Value Fund*	Level 1			Level 2			Level 3		Total
Common Stock	$	1,208,161		$	—		$	—	$	1,208,161
Short-Term Investments – Money Market Funds		15,318			—			—		15,318
Total Investments in Securities	$	1,223,479		$	—		$	—	$	1,223,479
Financial Derivative Instruments
Futures Contracts	$	(169	)	$	—		$	—	$	(169	)

49

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

Holland Large Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	97,037	$	—	$	—	$	97,037
Short-Term Investments – Money Market Funds		3,805		—		—		3,805
Total Investments in Securities	$	100,842	$	—	$	—	$	100,842
Financial Derivative Instruments
Futures Contracts	$	35	$	—	$	—	$	35
Stephens Small Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	691,744	$	—	$	—	$	691,744
Short-Term Investments – Money Market Funds		9,609		—		—		9,609
Securities Lending Collateral invested in Money Market Funds		59,279		—		—		59,279
Total Investments in Securities	$	760,632	$	—	$	—	$	760,632
Stephens Mid-Cap Growth Fund*	Level 1		Level 2		Level 3		Total
Common Stock	$	123,620	$	—	$	—	$	123,620
Short-Term Investments – Money Market Funds		6,099		—		—		6,099
Securities Lending Collateral invested in Money Market Funds		5,685		—		—		5,685
Total Investments in Securities	$	135,404	$	—	$	—	$	135,404

* Refer to the Schedule of Investments for industry information.

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 enter 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 Funds. Any collateral benefit received through participation in the commission recapture program is directed exclusively to the Funds. This amount is reported with the net realized gain in the Funds’ Statements of Operations, if applicable.

50

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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.

4. Securities and Other Investments

American Depositary Receipts (ADRs)

ADRs are depositary receipts for foreign issuers in registered form traded in U.S. securities markets. Depositary receipts may not be denominated in the same currency as the securities into which they may be converted. Investing in depositary receipts entails substantially the same risks as direct investment in foreign securities. There is generally less publicly available information about foreign companies and there may be less governmental regulation and supervision of foreign stock exchanges, brokers and listed companies. In addition, such companies may use different accounting and financial standards (and certain currencies may become unavailable for transfer from a foreign currency), resulting in the Fund’s possible inability to convert immediately into U.S. currency proceeds realized upon the sale of portfolio securities of the affected foreign companies. In addition, the Fund may invest in unsponsored depositary receipts, the issuers of which are not obligated to disclose material information about the underlying securities to investors in the United States. Ownership of unsponsored depositary receipts may not entitle the Fund to the same benefits and rights as ownership of a sponsored depositary receipt or the underlying security.

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-characterizes 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, unit investment trusts, and other investment companies of the

51

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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. Financial Derivative Instruments

Forward Foreign Currency Contracts

The AHL Managed Futures Strategy Fund may enter into forward foreign currency contracts to hedge the exchange rate risk on investment transactions or to hedge the value of the Fund’s securities denominated in foreign currencies. Forward foreign currency contracts are valued at the forward exchange rate prevailing on the day of valuation. The Fund bears the market risk that arises from changes in foreign exchange rates, and accordingly, the unrealized gain (loss) on these contracts is reflected in the accompanying financial statements. The Fund also bears the credit risk if the counterparty fails to perform under the contract.

For the year ended December 31, 2014, the Fund entered into foreign currency exchange contracts primarily for hedging.

The Fund’s foreign currency contract notional dollar values outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following tables illustrate the average quarterly volume of foreign currency contracts. For the purpose of this disclosure, volume is measured by the amounts bought and sold in USD (in thousands).

	Average Forward Foreign Currency Notional Amount Outstanding at December 31, 2014
Fund	Purchased Contracts		Sold Contracts
AHL Managed Futures Strategy(1)	$	13,424	$	26,208

(1) The averages presented are representative of the inception date to the period end.

Futures Contracts

Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Fund may enter into financial futures contracts as a method for keeping assets readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.

Upon entering into a futures contract, the Fund is required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the futures contract. The Fund usually reflects this amount on the Schedule of Investments as a U.S. Treasury Bill held as collateral for futures contracts or as Cash deposited with broker on the Statement of Assets and Liabilities. Payments to and from the broker, known as variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.

52

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

During the year ended December 31, 2014, the Funds entered into future contracts primarily for exposing cash to markets.

The Funds’ average futures contracts outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates the quarterly volume of futures contracts. For purpose of this disclosure, volume is measured by contracts outstanding at period end.

Average Futures Contracts Outstanding
Fund	Year ended December 31, 2014
AHL Managed Futures Strategy(1)		1,308
Bahl & Gaynor Small Cap Growth(1)		1
Bridgeway Large Cap Value		128
Holland Large Cap Growth		26

⁽¹⁾  The averages presented are representative of the inception date to the period end.

The following is a summary of the Funds’ derivative financial instruments categorized by risk exposure (in thousands) ⁽¹⁾:

AHL Managed Futures Strategy

Fair values of financial instruments on the Statement of Assets and Liabilities as of December 31, 2014 (in thousands):

	Derivatives not accounted for as hedging instruments
	Foreign exchange contracts			Commodity contracts			Currency Contracts			Equity Contracts			Interest Rate Contracts			Total
Assets:
Unrealized appreciation of foreign currency contracts	$	231		$	—		$	—		$	—		$	—		$	231
Receivable for variation margin from open futures contracts(2)		—			175			57			19			65			316
	$	231		$	175		$	57		$	19		$	65		$	547
Liabilities:
Unrealized depreciation of foreign currency contracts	$	(156	)	$	—		$	—		$	—		$	—		$	(156	)
Payable for variation margin from open futures contracts(2)		—			(5	)		(7	)		(67	)		(1	)		(80	)
	$	(156	)	$	(5	)	$	(7	)	$	(67	)	$	(1	)	$	(236	)

The effect of financial derivative instruments on the Statement of Operations for the year ended December 31, 2014 (in thousands):

	Derivatives not accounted for as hedging instruments
	Foreign exchange contracts		Commodity contracts		Currency Contracts		Equity Contracts			Interest Rate Contracts		Total
Realized gain (loss) of derivatives recognized as a result from operations:
Net realized gain (loss) from foreign currency transactions	$	246	$	—	$	—	$	—		$	—	$	246
Net realized gain (loss) from futures contracts		—		—		1,062		(808	)		780		1,034
	$	246	$	—	$	1,062	$	(808	)	$	780	$	1,280
Net change in unrealized appreciation or (depreciation) of derivatives recognized as a result from operations:
Change in net unrealized appreciation or (depreciation) from foreign currency contracts	$	75	$	—	$	—	$	—		$	—	$	75
Change in net unrealized appreciation or (depreciation) from futures contracts		—		628		281		77			629		1,615
	$	75	$	628	$	281	$	77		$	629	$	1,690

53

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

Fair Values of financial derivative instruments not accounted for as hedging instruments as of December 31, 2014:

Assets	Derivative	Bahl & Gaynor Small Cap Growth			Bridgeway Large Cap Value			Holland Large Cap Growth
Receivable for variation margin from open futures contracts(2)	Equity Contracts	$	—		$	—		$	—
Liabilities
Payable for variation margin from open futures contracts(2)	Equity Contracts		1			161			41
		$	(1	)	$	(161	)	$	(41	)

The effect of financial derivative instruments not accounted for as hedging instruments during the year ended December 31, 2014:

Statements of Operations
Net realized gain (loss) from futures contracts	Equity Contracts	$	—	$	2,576		$	430
Change in net unrealized appreciation or (depreciation) of futures contracts	Equity Contracts		4		(426	)		(32	)
		$	4	$	2,150		$	398

⁽¹⁾  See Note 3 in the Notes to Financial Statements for additional information.

⁽²⁾  Includes cumulative appreciation or (depreciation) of futures contracts as reported in the Schedule of Investment footnotes. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

6. Principal Risks

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit and counterparty risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Funds’ income. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Funds’ investments may be illiquid and the Funds may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Fund is required to liquidate all or a portion of its investments quickly, the Fund may realize significantly less than the value at which it previously recorded those investments.

Market Risks

The Funds’ investments in financial derivatives and other financial instruments expose the Funds to various risks such as, but not limited to, interest rate, foreign currency and equity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by the Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income’s market price to interest rate (i.e. yield) movements.

If the Funds invest directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, they will be subject

54

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

to the risk that those currencies will decline in value relative to the base currency of the Funds, or, in the case of hedging positions, that the Funds’ base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Funds’ investments in foreign currency denominated securities may reduce the returns of the Fund.

The fair values of equities, such as common stocks and preferred securities or equity related investments such as futures, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.

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 Funds 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 Funds.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as Deposits with brokers for futures contracts and Payable to brokers for futures contracts, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party is determined at the close of business of the Funds and additional required collateral is delivered to/pledged by the Funds on the next business day. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt 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.

Offsetting Assets and Liabilities

The Funds are parties to enforceable master netting agreements between brokers and counterparties, such as ISDA, Master Repo Agreements and Master Forward Agreements which provide for the right to offset under certain circumstances. The Funds employ multiple money managers and counterparties and have elected not to offset qualifying financial and derivative instruments on the Statements of Assets and Liabilities, as such all financial and derivative instruments are presented on a gross basis. The impacts of netting arrangements that provide the right to offset are detailed below. The net amount represents the net receivable or payable

55

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing agreements such as repurchase agreements can only be netted across transactions governed by the same Master Agreement with the same legal entity. All amounts reported below represent the balance as of the report date, December 31, 2014 (in thousands).

AHL Managed Futures Strategy

Offsetting of Financial Assets and Derivative Assets as of December 31, 2014

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities
Futures Contracts(2)	$	316	$	—	$	316
Forward Currency Contracts		231		—		231
Total	$	547	$	—	$	547

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2014

Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities
Futures Contracts (2)	$	(80	)	$	—	$	(80	)
Forward Currency Contracts		(156	)		—		(156	)
	$	(236	)	$	—	$	(236	)

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2014

	Net amount of Assets Presented in the Statements of Assets and Liabilities			Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty				Financial Instruments		Cash Collateral Received		Net Amount
BOA Merrill Lynch(2)	$	155		$	—	$	—	$	155
JP Morgan(2)		41			—		—		41
Credit Suisse(2)		40			—		—		40
Deutsche Bank AG		(11	)		—		—		(11	)
Royal Bank of Scotland PLC		86			—		—		86
Total	$	311		$	—	$	—	$	311

⁽²⁾ The securities presented here within are not subject to Master Netting Agreements. As such, this is disclosed for informational purposes only.

Bahl & Gaynor Small Cap Growth Fund

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2014

Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities
Futures Contracts(2)	$	(1	)	$	—	$	(1	)

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2014

	Net amount of Assets Presented in the Statements of Assets and Liabilities			Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty				Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs & Co.(2)	$	(1	)	$	—	$	—	$	(1	)

⁽²⁾ The securities presented here within are not subject to Master Netting Agreements. As such, this is disclosed for informational purposes only.

56

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

Bridgeway Large Cap Value Fund

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2014

Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities
Futures Contracts(2)	$	(161	)	$	—	$	(161	)

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2014

	Net amount of Assets Presented in the Statements of Assets and Liabilities			Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty				Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs & Co.(2)	$	(161	)	$	—	$	—	$	(161	)

⁽²⁾  The securities presented here within are not subject to Master Netting Agreements. As such, this is disclosed for informational purposes only.

Holland Large Cap Growth Fund

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2014

Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities
Futures Contracts(2)	$	(41	)	$	—	$	(41	)

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2014

	Net amount of Assets Presented in the Statements of Assets and Liabilities			Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty				Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs & Co.(2)	$	(41	)	$	—	$	—	$	(41	)

⁽²⁾  The securities presented here within are not subject to Master Netting Agreements. As such, this is disclosed for informational purposes only.

Stephens Small Cap Growth

Offsetting of Financial Assets and Derivative Assets as of December 31, 2014

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities
Securities on Loan	$	57,934	$	—	$	57,934

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2014

	Net amount of Assets Presented in the Statements of Assets and Liabilities		Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received(1)			Net Amount
Barclays Capital, Inc.	$	4,213	$	—	$	(4,213	)	$	—
BNP Paraibas Prime Brokerage		6,781		—		(6,781	)		—
Citigroup Global Markets, Inc.		4,800		—		(4,800	)		—
Credit Suisse Securities LLC		9,632		—		(9,632	)		—
Deutsche Bank Securities, Inc.		14,261		—		(14,261	)		—
Goldman, Sachs & Co.		5,119		—		(5,119	)		—
JPMorgan Clearing Corp.		8,867		—		(8,867	)		—
Scotia Capital USA Inc.		4,261		—		(4,261	)		—
Total:	$	57,934	$	—	$	(57,934	)	$	—

⁽¹⁾  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $59,279 has been received in connection with securities lending transactions.

57

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

Stephens Mid-Cap Growth

Offsetting of Financial Assets and Derivative Assets as of December 31, 2014

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities
Securities on Loan	$	5,565	$	—	$	5,565

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of December 31, 2014

	Net amount of Assets Presented in the Statements of Assets and Liabilities		Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received(1)			Net Amount
Barclays Capital, Inc.	$	1,347	$	—	$	(1,347	)	$	—
BNP Paraibas Prime Brokerage		1,284		—		(1,284	)		—
Citigroup Global Markets, Inc.		688		—		(688	)		—
Deutsche bank Securities, Inc.		1,078		—		(1,078	)		—
Goldman, Sachs & Co.		372		—		(372	)		—
Merrill Lynch, Pierce, Fenner		547		—		(547	)		—
UBS Securities, LLC		249		—		(249	)		—
Total:	$	5,565	$	—	$	(5,565	)	$	—

⁽¹⁾  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $5,685 has been received in connection with securities lending transactions.

7. 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, the Funds are 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, 2014 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.

A 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 or depreciation, as applicable, as the income is earned or capital gains are recorded.

The tax character of distributions paid were as follows (in thousands):

58

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

	AHL Managed Futures Strategy				Bahl & Gaynor Small Cap Growth
	Period Ended December 31, 2014				Period Ended December 31, 2014
Distributions paid from:
Ordinary income*
Institutional Class	$	863			$	5
Y Class		13				1
Investor Class		39				—
A Class		271				—
C Class		11				—
Long-Term Capital Gain
Institutional Class		121				—
Y Class		2				—
Investor Class		5				—
A Class		38				—
C Class		1				—
Total distributions paid	$	1,364			$	6
	Bridgeway Large Cap Value				Holland Large Cap Growth
	Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2014		Year Ended December 31, 2013
Distributions paid from:
Ordinary income*
Institutional Class	$	4,256	$	601	$	4	$	17
Y Class		1,588		146		—		—
Investor Class		7,289		1,823		18		63
A Class		1,195		173		1		1
C Class		319		9		—		1
Long-Term Capital Gain
Institutional Class		2,542		972		1,683		1,160
Y Class		951		250		7		6
Investor Class		5,445		3,396		7,629		5,552
A Class		844		385		96		77
C Class		270		29		59		52
Total distributions paid	$	24,699	$	7,784	$	9,497	$	6,929
	Stephens Small Cap Growth				Stephens Mid-Cap Growth
	Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2014		Year Ended December 31, 2013
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	728	$	—	$	43
Y Class		—		462		—		1
Investor Class		—		393		—		18
A Class		—		24		—		9
C Class		—		6		—		1
Long-Term Capital Gain
Institutional Class		14,779		10,478		5,108		2,006
Y Class		7,036		6,494		185		53
Investor Class		6,460		5,993		1,310		1,131
A Class		420		379		1,127		624
C Class		122		86		130		57
Tax Return of Captial
Institutional Class		—		666		—		50
Y Class		—		432		—		1
Investor Class		—		377		—		28
A Class		—		24		—		16
C Class		—		6		—		1
Total distributions paid	$	28,817	$	26,548	$	7,860	$	4,039

59

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

As of December 31, 2014, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):

	AHL Managed Futures		Bahl & Gaynor Small Cap Growth			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	$	37,943	$	3,760		$	1,102,157		$	72,227		$	621,077		$	106,937
Unrealized appreciation		—		355			147,396			29,675			112,978			26,428
Unrealized depreciation		—		(127	)		(26,074	)		(1,060	)		(32,702	)		(3,646	)
Net unrealized appreciation or (depreciation)		—		228			121,322			28,615			80,276			22,782
Undistributed ordinary income		867		8			—			—			—			—
Accumulated long-term gain or (loss)		773		3			2,491			1,627			(607	)		1,010
Other temporary differences		1,005		—			—			—			—			—
Distributable earnings or (deficits)	$	2,645	$	239		$	123,813		$	30,242		$	79,669		$	23,792

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 reclassifications of income from net operating losses used to offset short-term capital gains, non-utilization of net operating losses, tax return of capital, and dividend reclasses that have been reclassed as of December 31, 2014 (in thousands):

	AHL Managed Futures			Bahl & Gaynor Small Cap Growth		Bridgeway Large Cap Value			Holland Large Cap Growth			Stephens Small Cap Growth			Stephens Mid-Cap Growth
Paid-in-capital	$	(179	)	$	—	$	—		$	(1	)	$	(4,913	)	$	(790	)
Undistributed net investment income		383			—		(2	)		134			4,912			790
Accumulated net realized gain (loss)		(204	)		—		2			(133	)		1			—
Unrealized appreciation or (depreciation) of investments and futures contracts		—			—		—			—			—			—

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses. Prior to RIC MOD, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. RIC MOD requires that post-enactment net capital losses be used before pre-enactment net capital losses.

For the fiscal year ended December 31, 2014, the Funds did not have capital loss carryforwards.

Net capital losses (in thousands) incurred after October 31, 2014 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended December 31, 2014, the Bridgeway Large Cap Value Fund deferred $1,904 of short-term capital loss, the Stephens Small Cap Growth Fund deferred $607 of short-term capital loss, and the Holland Large Cap Growth Fund deferred $85 of short-term capital loss to January 1, 2015.

60

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

8. Investment Transactions

The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the year ended December 31, 2014 were as follows (in thousands):

	AHL Managed Futures		Bahl & Gaynor Small Cap Growth		Bridgeway Large Cap Value		Holland Large Cap Growth		Stephens Small Cap Growth		Stephens Mid-Cap Growth
Purchases (excluding U.S. government securities)	$	—	$	3,937	$	950,498	$	25,030	$	346,461	$	49,297
Sales and maturities (excluding U.S. government securities)		—		378		228,972		28,049		320,522		44,660

9. Securities Lending

The Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds may lend their securities to qualified financial institutions, such as certain broker-dealers, to earn additional income. The borrowers are required to secure their loans continuously with collateral in an amount at least equal to the fair value of the securities loaned, initially in an amount at least equal to 102% of the fair value of domestic securities loaned and 105% of the fair value of international securities loaned. Collateral is monitored and marked to market daily. Daily mark to market amounts are required to be paid to the borrower or received from the borrower by the end of the following business day. This one day settlement for mark to market amounts may result in the collateral being temporarily less than the value of the securities on loan or temporarily more than the required minimum collateral.

To the extent that a loan is collateralized by cash, such cash collateral shall be invested by the securities lending agent (the “Agent”) in money market mutual funds, and other short-term investments, as designated by the Manager.

Securities lending income is generated from the demand premium (if any) paid by the borrower to borrow a specific security and from the return on investment of cash collateral, reduced by negotiated rebate fees paid to the borrower and transaction costs. To the extent that a loan is secured by non-cash collateral, securities lending income is generated as a demand premium reduced by transaction costs. The Fund, the Agent, and the Manager retain 80%, 10%, and 10%, respectively, of the income generated from securities lending.

While securities are on loan, the Fund continues to receive certain income associated with that security and any gain or loss in the market price that may occur during the term of the loan. In the case of domestic equities, the value of any dividend is received in the form of a substitute payment approximately equal to the dividend. In the case of foreign securities, a negotiated amount is received that is less than the actual dividend, but higher than the dividend amount minus the foreign tax that the Fund would be subject to on the dividend.

Securities lending transactions pose certain risks to the Fund, including that the borrower may not provide additional collateral when required or return the securities when due, that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower, that non-cash collateral may be subject to legal constraints in the event of a borrower bankruptcy, and that the cash collateral investments could become illiquid and unable to be used to return collateral to the borrower. The Fund could also experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the cash collateral available for return to the borrower and any action which impairs its ability to liquidate non-cash collateral to satisfy a borrower default.

61

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

As of December 31, 2014, the value of outstanding securities on loan and the value of collateral was as follows (in thousands):

Fund	Fair Value of Securities on Loan		Non-Cash Collateral		Cash Collateral Posted by Borrower
Stephens Small Cap Growth	$	57,934	$	—	$	59,279
Stephens Mid-Cap Growth		5,565		—		5,685

Cash collateral is listed on the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds’ Schedules 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 Schedules of Investments or Statements of Assets and Liabilities.

10. Capital Share Transactions

The tables below summarize the activity in capital shares for each Class of the Funds (dollars and shares (in thousands):

For the Year Ended December 31, 2014

	Institutional Class						Y Class					Investor Class
AHL Managed Futures Strategy Fund	Shares			Amount			Shares		Amount			Shares			Amount
Shares sold		2,078		$	20,819			31	$	342			269		$	2,889
Reinvestment of dividends		91			984			1		15			4			44
Shares redeemed		(1	)		(6	)		—		(3	)		(7	)		(73	)
Net increase in shares outstanding		2,168		$	21,797			32	$	354			266		$	2,860

	A Class						C Class
AHL Managed Futures Strategy Fund	Shares			Amount			Shares		Amount
Shares sold		805		$	8,803			26	$	276
Reinvestment of dividends		29			309			1		12
Shares redeemed		(18	)		(203	)		—		—
Net increase in shares outstanding		816		$	8,909			27	$	288

	Institutional Class				Y Class				Investor Class
Bahl & Gaynor Small Cap Growth Fund	Shares		Amount		Shares		Amount		Shares		Amount
Shares sold		29	$	295		26	$	276		12	$	130
Reinvestment of dividends		1		5		—		1		—		—
Shares redeemed		—		—		—		—		—		—
Net increase in shares outstanding		30	$	300		26	$	277		12	$	130

	A Class				C Class
Bahl & Gaynor Small Cap Growth Fund	Shares		Amount		Shares		Amount
Shares sold		5	$	55		4	$	35
Reinvestment of dividends		—		—		—		—
Shares redeemed		—		—		—		—
Net increase in shares outstanding		5	$	55		4	$	35

	Institutional Class						Y Class						Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		10,620		$	243,491			4,580		$	105,825			19,278		$	435,281
Reinvestment of dividends		282			6,758			100			2,387			532			12,696
Shares redeemed		(1,508	)		(34,472	)		(615	)		(14,093	)		(4,560	)		(103,940	)
Net increase in shares outstanding		9,394		$	215,777			4,065		$	94,119			15,250		$	344,037

62

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

	A Class						C Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount
Shares sold		3,516		$	80,273			1,342		$	30,255
Reinvestment of dividends		78			1,862			22			511
Shares redeemed		(685	)		(15,181	)		(35	)		(789	)
Net increase in shares outstanding		2,909		$	66,954			1,329		$	29,977

	Institutional Class						Y Class						Investor Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		30		$	790			1		$	20			406		$	11,224
Reinvestment of dividends		64			1,687			—			7			296			7,645
Shares redeemed		(8	)		(226	)		(1	)		(30	)		(466	)		(12,671	)
Net increase (decrease) in shares outstanding		86		$	2,251			—		$	(3	)		236		$	6,198

	A Class						C Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		11		$	290			4		$	92
Reinvestment of dividends		4			92			2			41
Shares redeemed		(14	)		(373	)		(9	)		(239	)
Net increase (decrease) in shares outstanding		1		$	9			(3	)	$	(106	)

	Institutional Class						Y Class						Investor Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,803		$	133,916			3,053		$	52,340			2,277		$	36,690
Reinvestment of dividends		865			14,382			412			6,840			408			6,431
Shares redeemed		(4,750	)		(80,142	)		(4,766	)		(78,398	)		(3,312	)		(52,961	)
Net increase (decrease) in shares outstanding		3,918		$	68,156			(1,301	)	$	(19,218	)		(627	)	$	(9,840	)

	A Class						C Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares				Amount
Shares sold		149		$	2,425			59			$	937
Reinvestment of dividends		25			401			7				112
Shares redeemed		(200	)		(3,184	)		(31	)	��		(491	)
Net increase (decrease) in shares outstanding		(26	)	$	(358	)		35			$	558

	Institutional Class						Y Class						Investor Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,114		$	42,235			146		$	2,898			200		$	3,555
Reinvestment of dividends		258			4,995			8			155			71			1,224
Shares redeemed		(1,018	)		(20,206	)		(77	)		(1,500	)		(929	)		(15,848	)
Net increase (decrease) in shares outstanding		1,354		$	27,024			77		$	1,553			(658	)	$	(11,069	)

	A Class						C Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		269		$	4,753			49		$	854
Reinvestment of dividends		38			643			6			100
Shares redeemed		(377	)		(6,640	)		(34	)		(596	)
Net increase (decrease) in shares outstanding		(70	)	$	(1,244	)		21		$	358

63

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

For the year ended December 31, 2013

	Institutional Class						Y Class						Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,399		$	47,501			957		$	18,562			13,250		$	260,496
Reinvestment of dividends		74			1,549			19			395			249			5,209
Shares redeemed		(420	)		(8,050	)		(46	)		(931	)		(651	)		(13,227	)
Net increase in shares outstanding		2,053		$	41,000			930		$	18,026			12,848		$	252,478

	A Class						C Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount
Shares sold		1,504		$	28,959			109		$	2,120
Reinvestment of dividends		25			511			2			36
Shares redeemed		(74	)		(1,465	)		(1	)		(10	)
Net increase in shares outstanding		1,455		$	28,005			110		$	2,146

	Institutional Class						Y Class						Investor Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		497		$	12,868			5		$	105			136		$	3,442
Reinvestment of dividends		45			1,177			—			4			217			5,613
Shares redeemed		(4	)		(107	)		(3	)		(69	)		(509	)		(12,635	)
Net increase (decrease) in shares outstanding		538		$	13,938			2		$	40			(156	)	$	(3,580	)

	A Class						C Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		19		$	493			17		$	411
Reinvestment of dividends		2			57			1			38
Shares redeemed		(4	)		(93	)		(4	)		(105	)
Net increase in shares outstanding		17		$	457			14		$	344

	Institutional Class						Y Class						Investor Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,305		$	150,456			11,641		$	197,877			5,538		$	80,195
Reinvestment of dividends		665			11,559			414			7,255			358			5,922
Shares redeemed		(2,206	)		(34,487	)		(715	)		(12,352	)		(1,513	)		(22,866	)
Net increase in shares outstanding		7,764		$	127,528			11,340		$	192,780			4,383		$	63,251

	A Class						C Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		460		$	6,830			121		$	1,786
Reinvestment of dividends		24			400			6			89
Shares redeemed		(89	)		(1,386	)		(8	)		(121	)
Net increase in shares outstanding		395		$	5,844			119		$	1,754

	Institutional Class						Y Class						Investor Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,448		$	27,514			72		$	1,271			750		$	11,862
Reinvestment of dividends		106			2,043			2			47			66			1,134
Shares redeemed		(371	)		(6,854	)		(14	)		(255	)		(350	)		(5,575	)
Net increase in shares outstanding		1,183		$	22,703			60		$	1,063			466		$	7,421

	A Class						C Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares		Amount
Shares sold		574		$	9,470			70	$	1,132
Reinvestment of dividends		33			567			2		35
Shares redeemed		(91	)		(1,453	)		—		(12	)
Net increase in shares outstanding		516		$	8,584			72	$	1,155

64

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

11. Subsequent Event

Agreement and Plan of Merger

On November 20, 2014, Lighthouse Holdings Parent, Inc. (“LHPI”), the indirect parent company of American Beacon Advisors, Inc., the Trusts’ investment manager, entered into an Agreement and Plan of Merger pursuant to which LHPI agreed to be acquired by investment funds managed by Kelso & Company, L.P. and Estancia Capital Management, LLC, both of which are private equity firms (“Transaction”). The Transaction is expected to close in the second calendar quarter of 2015, subject to customary closing conditions, including obtaining necessary client consents and approval from the Funds’ shareholders. There can be no assurance that the Transaction will be consummated as contemplated or that necessary conditions will be satisfied.

This change in control is deemed to be an “assignment” under the Investment Company Act of 1940 (the “1940 Act”) of the Trusts’ existing investment management agreement with the Manager and the sub-advisory agreements between the Trusts, the Manager, and each sub-advisor to the Funds and will result in automatic termination of each agreement. A new investment management agreement has been submitted to the Funds’ shareholders for approval and the Funds’ Board of Trustees approved new agreements with each sub-advisor under substantially the same terms as the current agreements.

The Transaction is not expected to result in any change in the portfolio management of the Fund or in the Fund’s investment objectives or policies.

65

American Beacon AHL Managed Futures Strategy Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class			Y Class			Investor Class			A Class			C Class
	August 19 to Dec. 31, 2014A			August 19 to Dec. 31, 2014A			August 19 to Dec. 31, 2014A			August 19 to Dec. 31, 2014A			August 19 to Dec. 31, 2014A
Net asset value, beginning of period	$	10 .00		$	10.00		$	10.00		$	10.00		$	10.00
Income from investment operations:
Net investment income		0.24			0.30			0.30			0.32			0.27
Net gains (losses) on investments (both realized and unrealized)		1.10			1.03			1.02			1.00			1.02
Total income (loss) from investment operations		1.34			1.33			1.32			1.32			1.29
Less distributions:
Dividends from net investment income		(0.31	)		(0.31	)		(0.31	)		(0.31	)		(0.31	)
Distributions from net realized gains		(0.08	)		(0.08	)		(0.08	)		(0.08	)		(0.08	)
Total distributions		(0.39	)		(0.39	)		(0.39	)		(0.39	)		(0.39	)
Net asset value, end of period	$	10.95		$	10.94		$	10.93		$	10.93		$	10.90
Total return B		13.43	%C		13.33	%C		13.23	%C		13.23	%C		12.93	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	28,765		$	465		$	3,024		$	9,019		$	401
Ratios to average net assets:
Expenses, before reimbursements		4.97	%D		7.71	%D		5.98	%D		5.31	%D		8.75	%D
Expenses, net of reimbursements		1.54	%D		1.64	%D		1.92	%D		1.94	%D		2.68	%D
Net investment income, before expense reimbursements		2.73	%D		12.50	%D		10.41	%D		32.48	%D		7.02	%D
Net investment income, net of reimbursements		6.17	%D		18.58	%D		14.47	%D		35.85	%D		13.09	%D
Portfolio turnover rate		—	%E		—	%E		—	%E		—	%E		—	%E

^A August 19, 2014 is the inception date of the AHL Managed Futures Strategy Fund.

^B  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.

^C Not annualized.

^D Annualized.

^E Portfolio turnover rate is calculated based on the lesser of long-term purchases or sales divided by the average long-term fair value during the period. The Fund did not invest in any long-term securities during the reporting period.

66

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class			Y Class			Investor Class			A Class			C Class
	July 15 to Dec. 31, 2014E			July 15 to Dec. 31, 2014E			July 15 to Dec. 31, 2014E			July 15 to Dec. 31, 2014E			July 15 to Dec. 31, 2014E
Net asset value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income from investment operations:
Net investment income (loss)		0.02			0.01			0.01			0.00			(0.02	)
Net gains (losses) on investments (both realized and unrealized)		0.71			0.72			0.70			0.71			0.69
Total income (loss) from investment operations		0.73			0.73			0.71			0.71			0.67
Less distributions:
Dividends from net investment income		(0.02	)		(0.02	)		(0.02	)		(0.02	)		(0.02	)
Distributions from net realized gains		—			—			—			��			—
Total distributions		(0.02	)		(0.02	)		(0.02	)		(0.02	)		(0.02	)
Net asset value, end of period	$	10.71		$	10.71		$	10.69		$	10.69		$	10.65
Total return A		7.28	%B		7.28	%B		7.08	%B		7.08	%B		6.68	%B
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	3,103		$	388		$	239		$	164		$	142
Ratios to average net assets:
Expenses, before reimbursements		8.98	%C		11.71	%C		12.62	%C		13.84	%C		13.72	%C
Expenses, net of reimbursements		0.98	%C		1.08	%C		1.36	%C		1.38	%C		2.13	%C
Net investment (loss), before expense reimbursements		(7.51	)%C		(10.06	)%C		(11.12	)%C		(12.35	)%C		(12.23	)%C
Net investment income (loss), net of reimbursements		0.49	%C		0.57	%C		0.14	%C		0.10	%C		(0.64	)%C
Portfolio turnover rate		12	%D		12	%D		12	%D		12	%D		12	%D

^A 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.

^B Not annualized.

^C Annualized.

^D Portfolio turnover rate is for the period from July 15, 2014 to December 31, 2014, and is not annualized.

^E July 15, 2014 is the inception date of the Bahl & Gaynor Small Cap Growth Fund.

67

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,						Six Months Ended Dec. 31, 2012			Year Ended June 30,
	2014			2013						2012			2011			2010
Net asset value, beginning of period	$	21.39		$	15.85		$	14.80		$	14.62		$	11.44		$	9.74
Income from investment operations:
Net investment income		0.10			0.11			0.20			0.24			0.20	A		0.19	A
Net gains (losses) on investments (both realized and unrealized)		2.94			5.87			1.14			0.12			3.21			1.73
Total income (loss) from investment operations		3.04			5.98			1.34			0.36			3.41			1.92
Less distributions:
Dividends from net investment income		(0.17	)		(0.11	)		(0.29	)		(0.18	)		(0.23	)		(0.22	)
Distributions from net realized gains		(0.37	)		(0.33	)		—			—			—			—
Total distributions		(0.54	)		(0.44	)		(0.29	)		(0.18	)		(0.23	)		(0.22	)
Net asset value, end of period	$	23.89		$	21.39		$	15.85		$	14.80		$	14.62		$	11.44
Total return B		14.18	%		37.77	%		9.04	%C		2.60	%		30.02	%		19.65	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	313,661		$	79,889		$	26,669		$	26,950		$	29,647		$	25,534
Ratios to average net assets:
Expenses, before reimbursements or recoupments		0.79	%		1.01	%		1.73	%D		1.30	%		1.17	%		1.11	%
Expenses, net of reimbursements or recoupments		0.84	%		0.84	%		0.84	%D		0.82	%		0.84	%		0.84	%
Net investment income (loss), before reimbursements or recoupments		1.08	%		0.98	%		1.38	%D		1.17	%		1.17	%		1.32	%
Net investment income (loss), net of reimbursements or recoupments		1.04	%		1.16	%		2.27	%D		1.66	%		1.50	%		1.58	%
Portfolio turnover rate		31	%		38	%		21	%C		36	%		43	%		49	%

^A Per share amounts calculated based on average daily shares outstanding during the period.

^B 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.

^C Not annualized.

^D Annualized.

^E Commencement of operations.

^F Portfolio turnover rate is for the period from July 1, 2011 to June 30, 2012.

68

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class												Investor Class												A Class
Year Ended December 31,						Six Months Ended Dec. 31,			Feb. 3E to June 30,			Year Ended December 31,						Six Months Ended Dec. 31,			Feb. 3E to June 30,			Year Ended December 31,						Six Months Ended Dec. 31,			Feb. 3E to June 30,
2014			2013			2012			2012			2014			2013			2012			2012			2014			2013			2012			2012
	$          21.35		$	15.84		$	14.80		$	14.46		$	21.28		$	15.81		$	14.78		$	14.46		$	21.22		$	15.78		$	14.77		$	14.46
	0.13			0.22			0.07			0.09			0.14			0.21			0.12			0.03			0.09			0.19			0.15			0.01
	2.90			5.72			1.26			0.25			2.82			5.68			1.19			0.29			2.84			5.64			1.15			0.30
	3.03			5.94			1.33			0.34			2.96			5.89			1.31			0.32			2.93			5.83			1.30			0.31
	(0.17)			(0.10	)		(0.29	)		—			(0.10	)		(0.09	)		(0.28	)		—			(0.12	)		(0.06	)		(0.29	)		—
	(0.37)			(0.33	)		—			—			(0.37	)		(0.33	)		—			—			(0.37	)		(0.33	)		—			—
	(0.54)			(0.43	)		(0.29	)		—			(0.47	)		(0.42	)		(0.28	)		—			(0.49	)		(0.39	)		(0.29	)		—
	$          23.84		$	21.35		$	15.84		$	14.80		$	23.77		$	21.28		$	15.81		$	14.78		$	23.66		$	21.22		$	15.78		$	14.77
	14.15	%		37.55	%		8.98	%C		2.35	%C		13.89	%		37.28	%		8.84	%C		2.21	%C		13.76	%		37.01	%		8.78	%C		2.14	%C
	$    119,162		$	19,914		$	36		$	5		$	668,659		$	274,114		$	489		$	215		$	103,717		$	31,300		$	311		$	276
	0.84	%		0.93	%		3.75	%D		144.38	%D		1.11	%		1.08	%		2.26	%D		18.30	%D		1.19	%		1.38	%		2.21	%D		15.39	%D
	0.85	%		0.94	%		0.93	%D		0.94	%D		1.11	%		1.09	%		1.21	%D		1.22	%D		1.21	%		1.34	%		1.33	%D		1.34	%D
	1.03	%		1.07	%		(0.51	)%D		(141.90	)%D		0.76	%		0.95	%		1.00	%D		(15.48	)%D		0.69	%		0.61	%		0.90	%D		(13.13	)%D
	1.03	%		1.06	%		2.31	%D		1.54	%D		0.76	%		0.94	%		2.05	%D		1.59	%D		0.67	%		0.66	%		1.78	%D		0.92	%D
	31	%		38	%		21	%C		36	%F		31	%		38	%		21	%C		36	%F		31	%		38	%		21	%C		36	%F

69

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Year Ended December 31,						Six Months Ended Dec. 31, 2012			Feb. 3E to June 30, 2012
	2014			2013
Net asset value, beginning of period	$	21.00		$	15.70		$	14.73		$	14.46
Income from investment operations:
Net investment income		0.02			0.18			0.09			0.02
Net gains (losses) on investments (both realized and unrealized)		2.69			5.47			1.17			0.25
Total income (loss) from investment operations		2.71			5.65			1.26			0.27
Less distributions:
Dividends from net investment income		(0.07	)		(0.02	)		(0.29	)		—
Distributions from net realized gains		(0.37	)		(0.33	)		—			—
Total distributions		(0.44	)		(0.35	)		(0.29	)		—
Net asset value, end of period	$	23.27		$	21.00		$	15.70		$	14.73
Total return B		12.88	%		36.02	%		8.54	%C		1.87	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	33,536		$	2,346		$	20		$	14
Ratios to average net assets:
Expenses, before reimbursements		1.92	%		2.13	%		6.81	%D		64.88	%D
Expenses, net of reimbursements		1.94	%		2.09	%		1.77	%D		2.09	%D
Net investment (loss), before reimbursements		(0.05	)%		(0.13	)%		(3.55	)%D		(62.47	)%D
Net investment income (loss), net of reimbursements		(0.08	)%		(0.08	)%		1.49	%D		0.32	%D
Portfolio turnover rate		31	%		38	%		21	%C		36	%F

^A Per share amounts calculated based on average daily shares outstanding during the period.

^B 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.

^C Not annualized.

^D Annualized.

^E Commencement of operations.

^F Portfolio turnover rate is for the period from July 1, 2011 to June 30, 2012.

70

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71

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,												March 1A to Dec. 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	26.57		$	21.60		$	20.30		$	20.00		$	17.88
Income from investment operations:
Net investment income (loss)		0.03			0.02			0.09	B		(0.02	)C		(0.01	)C
Net gains (losses) on investments (both realized and unrealized)		1.94			7.02			2.47			0.71			2.61
Total income (loss) from investment operations		1.97			7.04			2.56			0.69			2.60
Less distributions:
Dividends from net investment income		—			(0.01	)		(0.08	)		—			—
Distributions from net realized gains on securities		(2.66	)		(2.06	)		(1.18	)		(0.39	)		(0.48	)
Total distributions		(2.66	)		(2.07	)		(1.26	)		(0.39	)		(0.48	)
Net asset value, end of period	$	25.88		$	26.57		$	21.60		$	20.30		$	20.00
Total return D		7.31	%		32.73	%		12.57	%		3.47	%		14.58	%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	18,103		$	16,292		$	1,619		$	1,193		$	1,126
Ratios to average net assets:
Expenses, before reimbursements or recoupments		0.89	%		0.86	%		1.32	%		1.49	%		1.91	%F
Expenses, net of reimbursements or recoupments		0.89	%		0.89	%		0.96	%		1.20	%		1.20	%F
Net investment income (loss), before expense reimbursements or recoupments		0.14	%		0.24	%		0.07	%		(0.38	)%		(0.77	)%F
Net investment income (loss), net of reimbursements or recoupments		0.13	%		0.21	%		0.43	%		(0.09	)%		0.06	%F
Portfolio turnover rate		27	%		29	%		18	%		12	%		18	%

^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.

72

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class									Investor Class															A Class
Year Ended December 31,						Mar. 23A to Dec. 31,			Year Ended December 31,															Year Ended December 31,												Feb. 1A to Dec. 31,
2014			2013			2012			2014			2013			2012			2011			2010			2014			2013			2012			2011			2010
$	26.53		$	21.59		$	23.00		$	26.36		$	21.52		$	20.24		$	19.97		$	17.94		$	26.22		$	21.43		$	20.23		$	19.96		$	17.40
	(0.02	)		0.02			0.09	B		(0.04	)		(0.05	)		0.02	B		(0.05	)C		(0.04	)C		(0.08	)		(0.03	)		0.03	B		(0.05	)C		(0.04	)C
	1.94			6.98			(0.26	)		1.91			6.95			2.45			0.71			2.55			1.91			6.88			2.41			0.71			3.08
																																					��
	1.92			7.00			(0.17	)		1.87			6.90			2.47			0.66			2.51			1.83			6.85			2.44			0.66			3.04
	—			0.00			(0.06	)		—			0.00			(0.01	)		—			—			—			0.00			(0.06	)		—			—
	(2.66	)		(2.06	)		(1.18	)		(2.66	)		(2.06	)		(1.18	)		(0.39	)		(0.48	)		(2.66	)		(2.06	)		(1.18	)		(0.39	)		(0.48	)
	(2.66	)		(2.06	)		(1.24	)		(2.66	)		(2.06	)		(1.19	)		(0.39	)		(0.48	)		(2.66	)		(2.06	)		(1.24	)		(0.39	)		(0.48	)
$	25.79		$	26.53		$	21.59		$	25.57		$	26.36		$	21.52		$	20.24		$	19.97		$	25.39		$	26.22		$	21.43		$	20.23		$	19.96
	7.13	%		32.59	%		(0.79	)%E		6.99	%		32.21	%		12.18	%		3.33	%		14.03	%		6.88	%		32.11	%		11.99	%		3.33	%		17.51	%E
$	74		$	79		$	23		$	81,154		$	77,426		$	66,568		$	58,682		$	54,128		$	1,012		$	1,028		$	467		$	13		$	12
	1.11	%		0.97	%		10.18	%F		1.15	%		1.26	%		1.44	%		1.64	%		1.77	%		1.35	%		1.40	%		2.73	%		10.06	%		42.81	%F
	1.08	%		0.99	%		0.98	%F		1.21	%		1.27	%		1.29	%		1.35	%		1.35	%		1.34	%		1.39	%		1.38	%		1.40	%		1.40	%F
	(0.10	)%		0.15	%		(8.77	)%F		(0.13	)%		(0.17	)%		(0.08	)%		(0.53	)%		(0.64	)%		(0.32	)%		(0.28	)%		(0.97	)%		(8.94	)%		(41.83	)%F
	(0.06	)%		0.12	%		0.43	%F		(0.19	)%		(0.18	)%		0.07	%		(0.24	)%		(0.22	)%		(0.31	)%		(0.27	)%		0.37	%		(0.28	)%		(0.22	)%F
	27	%		29	%		18	%G		27	%		29	%		18	%		12	%		18	%		27	%		29	%		18	%		12	%		18	%

73

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Year Ended December 31,						Mar. 23A to Dec. 31,
	2014			2013			2012
Net asset value, beginning of period	$	25.82		$	21.29		$	22.90
Income from investment operations:
Net investment income (loss)		(0.36	)		(0.17	)		0.01
Net gains (losses) on securities (both realized and unrealized)		1.95			6.76			(0.38	)
Total income (loss) from investment operations		1.59			6.59			(0.37	)
Less distributions:
Dividends from net investment income		—			0.00			(0.06	)
Distributions from net realized gains		(2.66	)		(2.06	)		(1.18	)
Total distributions		(2.66	)		(2.06	)		(1.24	)
Net asset value, end of period	$	24.75		$	25.82		$	21.29
Total return A		6.05	%		31.10	%		(1.65	)%B
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	592		$	703		$	281
Ratios to average net assets (annualized):
Expenses, before reimbursements		2.10	%		2.15	%		6.17	%C
Expenses, net of reimbursements		2.09	%		2.14	%		2.12	%C
Net investment (loss), before expense reimbursements		(1.07	)%		(1.04	)%		(3.85	)%C
Net investment income (loss), net of reimbursements		(1.07	)%		(1.03	)%		0.20	%C
Portfolio turnover rate		27	%		29	%		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.

74

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75

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class																		Y Class
	Year Ended December 31,						One Month Ended Dec. 31,			Year Ended November 30,									Year Ended December 31,						One Month Ended Dec. 31,			Feb. 24I to Nov. 30,
	2014			2013			2012			2012E			2011E			2010E			2014			2013			2012			2012
Net asset value, beginning of period	$	17.83		$	12.99		$	13.54		$	13.14		$	12.03		$	9.37		$	17.81		$	12.98		$	13.54		$	13.59
Income from investment operations:
Net investment income (loss)		(0.07	)		(0.05	)		0.06			(0.04	)H		(0.11	)A		(0.09	)A		(0.12	)		(0.04	)		0.01			(0.02	)
Net gains (losses) from investments (both realized and unrealized)		(0.49	)		5.60			0.23			1.43			1.37			2.75			(0.45	)		5.58			0.27			(0.03	)
Total income (loss) from investment operations		(0.56	)		5.55			0.29			1.39			1.26			2.66			(0.57	)		5.54			0.28			(0.05	)
Less distributions:
Dividends from net investment income		—			0.00			—			—			—			—			—			0.00			—			—
Distributions from net realized gains		(0.70	)		(0.67	)		(0.84	)		(0.99	)		(0.15	)		—			(0.70	)		(0.68	)		(0.84	)		—
Return of capitalJ		—			(0.04	)		—			—			—			—			—			(0.03	)		—			—
Total distributions		(0.70	)		(0.71	)		(0.84	)		(0.99	)		(0.15	)		—			(0.70	)		(0.71	)		(0.84	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—			—			—			—
Net asset value, end of period	$	16.57		$	17.83		$	12.99		$	13.54		$	13.14		$	12.03		$	16.54		$	17.81		$	12.98		$	13.54
Total return B		(3.14	)%		42.93	%		2.15	%C		11.74	%		10.49	%		28.39	%		(3.20	)%		42.88	%		2.07	%C		(0.37	)%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	359,959		$	317,341		$	130,342		$	88,815		$	52,336		$	39,169		$	171,901		$	208,196		$	4,563		$	2,699
Ratios to average net assets:
Expenses, before reimbursements or recoupmentsK		1.08	%		1.11	%		1.20	%D		1.20	%		1.15	%		1.35	%		1.16	%		1.19	%		1.36	%D		2.05	%D
Expenses, net of reimbursements or recoupmentsK		1.10	%		1.09	%		1.06	%D		1.10	%		1.10	%		1.10	%		1.16	%		1.19	%		1.16	%D		1.21	%D
Net investment income (loss), before reimbursements or recoupments		(0.59	)%		(0.73	)%		0.54	%D		(0.84	)%		(0.91	)%		(1.09	)%		(0.67	)%		(0.79	)%		0.19	%D		(1.57	)%D
Net investment income (loss), net of reimbursements or recoupments		(0.61	)%		(0.71	)%		0.68	%D		(0.74	)%		(0.86	)%		(0.84	)%		(0.686	)%		(0.78	)%		0.38	%D		(0.73	)%D
Portfolio turnover rate		46	%		39	%		6	%C		45	%		36	%		66	%		46	%		39	%		6	%C		45	%F

^A 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.

^B 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.

^C Not annualized.

^D Annualized.

^E Prior to the reorganization on February 24, 2012, the Institutional and Investor Classes were known as Class I and Class A, respectively.

^F Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012.

^G Amount represents less than $0.01 per share.

^H For purposes of this calculation, the change in undistributed net investment income was derived by dividing the change in undistributed net investment income by shares outstanding at November 30, 2012.

^I Commencement of operations.

^J The tax return of capital is calculated based on outstanding shares at the time of distribution.

^K Expense ratios may exceed stated expense caps in Note 2 due in part to security lending expense.

76

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class																		A Class												C Class
Year Ended December 31,						One Month Ended Dec. 31,			Year Ended November 30,									Year Ended December 31,						One Month Ended Dec. 31,			Feb. 24I to Nov. 30,			Year Ended December 31,						One Month Ended Dec. 31,			Feb. 24I to Nov. 30,
2014			2013			2012			2012E			2011E			2010E			2014			2013			2012			2012			2014			2013			2012			2012
$	16.98		$	12.42		$	12.99		$	12.67		$	11.64		$	9.09		$	16.91		$	12.40		$	12.98		$	13.07		$	16.66		$	12.32		$	12.91		$	13.07
	(0.16	)		(0.04	)		0.02			(0.06	)H		(0.14	)A		(0.11	)A		(0.18	)		(0.10	)		0.01			(0.07	)		(0.24	)		(0.13	)		0.00			(0.06	)
	(0.41	)		5.31			0.25			1.37			1.32			2.66			(0.42	)		5.32			0.25			(0.02	)		(0.46	)		5.18			0.25			(0.10	)
	(0.57	)		5.27			0.27			1.31			1.18			2.55			(0.60	)		5.22			0.26			(0.09	)		(0.70	)		5.05			0.25			(0.16	)
	—			0.00			—			—			—			—			—			0.00			—			—			—			0.00			—			—
	(0.70	)		(0.69	)		(0.84	)		(0.99	)		(0.15	)		—			(0.70	)		(0.71	)		(0.84	)		—			(0.70	)		(0.71	)		(0.84	)		—
	—			(0.02	)		—			—			—			—			—			(0.00	)E		—			—			—			—			—			—
	(0.70	)		(0.71	)		(0.84	)		(0.99	)		(0.15	)		—			(0.70	)		(0.71	)		(0.84	)		—			(0.70	)		(0.71	)		(0.84	)		—
	—			—			—			—			0.00	G		0.00	G		—			—			—			—			—			—			—			—
$	15.71		$	16.98		$	12.42		$	12.99		$	12.67		$	11.64		$	15.61		$	16.91		$	12.40		$	12.98		$	15.26		$	16.66		$	12.32		$	12.91
	(3.35	)%		42.62	%		2.08	%C		11.44	%		10.15	%		28.05	%		(3.54	)%		42.28	%		2.01	%C		(0.69	)%C		(4.20	)%		41.17	%		1.94	%C		(1.22	)%C
$	147,227		$	169,799		$	69,786		$	67,506		$	47,101		$	45,911		$	9,702		$	10,942		$	3,131		$	2,941		$	2,771		$	2,447		$	349		$	343
	1.31	%		1.39	%		1.62	%D		1.56	%		1.40	%		1.60	%		1.51	%		1.57	%		1.79	%D		2.08	%D		2.26	%		2.33	%		3.21	%D		6.15	%D
	1.37	%		1.35	%		1.34	%D		1.36	%		1.35	%		1.35	%		1.52	%		1.59	%		1.58	%D		1.61	%D		2.27	%		2.34	%		2.33	%D		2.35	%D
	(0.81	)%		(1.01	)%		0.23	%D		(1.20	)%		(1.16	)%		(1.33	)%		(1.02	)%		(1.18	)%		0.04	%D		(1.68	)%D		(1.76	)%		(1.93	)%		(1.36	)%D		(5.71	)%D
	(0.88	)%		(0.96	)%		0.50	%D		(1.00	)%		(1.11	)%		(1.08	)%		(1.03	)%		(1.20	)%		0.25	%D		(1.21	)%D		(1.77	)%		(1.94	)%		(0.48	)%D		(1.91	)%D
	46	%		39	%		6	%C		45	%		36	%		66	%		46	%		39	%		6	%C		45	%F		46	%		39	%		6	%C		45	%F

77

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class																		Y Class
	Year Ended December 31,						One Month Ended Dec. 31,			Year Ended November 30,									Year Ended December 31,						One Month Ended Dec. 31,			Feb. 24A to Nov. 30,
	2014			2013			2012			2012B			2011B			2010B			2014			2013			2012			2012
Net asset value, beginning of period	$	19.76		$	15.38		$	15.24		$	13.69		$	12.44		$	9.63		$	19.76		$	15.38		$	15.23		$	15.09
Income from investment operations:
Net investment income (loss)		(0.04	)		(0.05	)		0.02			—	C		(0.10	)D		(0.09	)D		(0.06	)		(0.08	)		0.02			(0.03	)
Net gains from investments (both realized and unrealized)		0.72			5.12			0.20			1.55			1.35			2.90			0.72			5.15			0.21			0.17
Total income from investment operations		0.68			5.07			0.22			1.55			1.25			2.81			0.66			5.07			0.23			0.14
Less distributions:
Dividends from net investment income		—			(0.01	)		—			—			—			—			—			(0.01	)		—			—
Distributions from net realized gains on securities		(1.20	)		(0.66	)		(0.08	)		—			—			—			(1.20	)		(0.68	)		(0.08	)		—
Tax return of capital J		—			(0.02	)		—			—			—			—			—			(0.00	)H		—			—
Total distributions		(1.20	)		(0.69	)		(0.08	)		—			—			—			(1.20	)		(0.69	)		(0.08	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—			—			—			—
Net asset value, end of period	$	19.24		$	19.76		$	15.38		$	15.24		$	13.69		$	12.44		$	19.22		$	19.76		$	15.38		$	15.23
Total return E		3.41	%		33.14	%		1.43	%F		11.32	%		10.05	%		29.18	%		3.31	%		33.14	%		1.50	%F		0.93	%F
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	87,620		$	63,236		$	31,005		$	30,503		$	13,208		$	7,124		$	3,109		$	1,672		$	374		$	222
Ratios to average net assets:
Expenses, before reimbursements or recoupmentsK		1.05	%		1.12	%		1.31	%G		1.28	%		1.65	%		2.27	%		1.10	%		1.14	%		1.53	%G		3.85	%G
Expenses, net of reimbursements or recoupmentsK		1.00	%		0.99	%		0.99	%G		1.03	%		1.25	%		1.25	%		1.10	%		1.09	%		1.09	%G		1.09	%G
Net investment income (loss), before reimbursements or recoupments		(0.53	)%		(0.70	)%		1.37	%G		(0.62	)%		(1.12	)%		(1.81	)%		(0.57	)%		(0.73	)%		0.69	%G		(3.09	)%G
Net investment income (loss), net of reimbursements or recoupments		(0.48	)%		(0.58	)%		1.69	%G		(0.37	)%		(0.72	)%		(0.79	)%		(0.58	)%		(0.68	)%		1.13	%G		(0.33	)%G
Portfolio turnover rate		37	%		25	%		1	%F		27	%		30	%		20	%		37	%		25	%		1	%F		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 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.

^F Not annualized.

^G  Annualized.

^H  Amount represents less than $0.01 per share.

^I  Portfolio turnover rate is for the period from December 1, 2011 through November 30, 2012.

^J  The tax return of capital is calculated based on outstanding shares at the time of distribution.

^K Expense ratios may exceed stated expense caps in Note 2 due in part to security lending expense.

78

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class																		A Class												C Class
Year Ended December 31,						One Month Ended Dec. 31, 2012			Year Ended November 30,									Year Ended December 31,						One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012			Year Ended December 31,						One Month Ended Dec. 31, 2012			Feb. 24A to Nov. 30, 2012
2014			2013						2012B			2011B			2010B			2014			2013									2014			2013
$	17.64		$	13.83		$	13.72		$	12.36		$	11.26		$	8.74		$	17.61		$	13.83		$	13.72		$	13.62		$	17.38		$	13.75		$	13.63		$	13.62
	(0.36	)		(0.08	)		0.02			(0.14	)C		(0.11	)D		(0.10	)D		(0.19	)		(0.10	)		0.02			(0.05	)		(0.27	)		(0.16	)		0.02			(0.04	)
	0.89			4.58			0.17			1.50			1.21			2.62			0.72			4.57			0.17			0.15			0.66			4.47			0.18			0.05
	0.53			4.50			0.19			1.36			1.10			2.52			0.53			4.47			0.19			0.10			0.39			4.31			0.20			0.01
	—			(0.01	)		—			—			—			—			—			(0.01	)		—			—			—			0.00			—			—
	(1.20	)		(0.68	)		(0.08	)		—			—			—			(1.20	)		(0.68	)		(0.08	)		—			(1.20	)		(0.68	)		(0.08	)		—
	—			(0.00	)H		—			—			—			—			—			(0.00	)H		—			—			—			(0.00	)H		—			—
	(1.20	)		(0.69	)		(0.08	)		—			—			—			(1.20	)		(0.69	)		(0.08	)		—			(1.20	)		(0.68	)		(0.08	)		—
	—			—			—			—			—			0.00	H		—			—			—			—			—			—			—			—
$	16.97		$	17.64		$	13.83		$	13.72		$	12.36		$	11.26		$	16.94		$	17.61		$	13.83		$	13.72		$	16.57		$	17.38		$	13.75		$	13.63
	2.97	%		32.71	%		1.37	%F		11.00	%		9.77	%		28.83	%		2.97	%		32.49	%		1.37	%F		0.73	%F		2.21	%		31.35	%		1.45	%F		0.07	%F
$	19,552		$	31,912		$	18,585		$	18,092		$	20,034		$	15,076		$	16,506		$	18,396		$	7,302		$	7,063		$	1,902		$	1,626		$	302		$	147
	1.27	%		1.38	%		1.68	%G		1.67	%		1.91	%		2.52	%		1.45	%		1.57	%		1.81	%G		1.83	%G		2.22	%		2.28	%		2.68	%G		14.54	%G
	1.38	%		1.37	%		1.37	%G		1.40	%		1.50	%		1.50	%		1.45	%		1.49	%		1.49	%G		1.49	%G		2.20	%		2.24	%		2.24	%G		2.24	%G
	(0.77	)%		(0.98	)%		0.94	%G		(1.04	)%		(1.35	)%		(2.06	)%		(0.94	)%		(1.16	)%		0.86	%G		(1.04	)%G		(1.69	)%		(1.87	)%		0.15	%G		(13.65	)%G
	(0.88	)%		(0.97	)%		1.26	%G		(0.76	)%		(0.94	)%		(1.04	)%		(0.94	)%		(1.09	)%		1.18	%G		(0.70	)%G		(1.68	)%		(1.84	)%		0.59	%G		(1.36	)%G
	37	%		25	%		1	%F		27	%		30	%		20	%		37	%		25	%		1	%F		27	%I		37	%		25	%		1	%F		27	%I

79

American Beacon Fund^SM

Affirmation of the Commodity Pool Operator

December 31, 2014 (Unaudited)

To the best of my knowledge and belief, the information contained in the attached financial statements for the period from August 19, 2014 to December 31, 2014, is accurate and complete.

Melinda G. Heika, Treasurer

American Beacon Advisors, Inc.

Commodity Pool Operator for the American Beacon AHL Managed Futures Strategy Fund

80

American Beacon Fund^SM

Privacy Policy and Federal Tax Information

December 31, 2014 (Unaudited)

Privacy Policy

The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

• information we receive from you on applications or other forms;

• information about your transactions with us or our service providers; and

• information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.

Federal Tax Information

Certain tax information regarding the Funds is required to be provided to shareholders based upon the Funds’ income and distribution for the taxable year ended December 31, 2014. The information and distributions reported herein may differ from information and distribution taxable to the shareholders for the calendar year ended December 31, 2014.

The Funds designated the following items with regard to distributions paid during the fiscal year ended December 31, 2014. All designations are based on financial information available as of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations there under.

	AHL Managed Futures			Bahl & Gaynor Small Cap Growth			Bridgeway Large Cap Value			Holland Large Cap Growth			Stephens Small Cap Growth			Stephens Mid-Cap Growth
Corporate Dividends Received Deduction		0.0	%		94.4	%		93.6	%		95.8	%		23.8	%		67.1	%
Qualified Dividend Income		0.0	%		100.0	%		100.0	%		0.0	%		0.0	%		0.0	%

The Funds designated the following as short-term capital gain distributions for the year ended December 31, 2014:

AHL Managed Futures Strategy Fund	$	123,428
Bridgeway Large Cap Value Fund		8,423,627
Holland Large Cap Growth Fund		22,514

The Funds designated the following as long-term capital gain distributions for the year ended December 31, 2014:

AHL Managed Futures Strategy Fund	$	167,258
Bridgeway Large Cap Value Fund		10,051,326
Holland Large Cap Growth Fund		9,474,250
Stephens Small Cap Growth Fund		28,816,987
Stephens Mid-Cap Growth Fund		7,860,125

Shareholders will receive notification in January 2015 of the appropriate tax information necessary to prepare their 2014 income tax returns.

81

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreement and Investment Advisory Agreements of the Funds (Unaudited)

At its February 18, 2014 meeting, the Board of Trustees (“Board”) considered: (1) the approval of the Management Agreement between American Beacon Advisors, Inc. (“Manager”) and the American Beacon Funds (“Trust”) on behalf of American Beacon Bahl & Gaynor Small Cap Growth Fund, a new series of the Trust (“Bahl & Gaynor Fund”); and (2) the approval of a new investment advisory agreement among the Manager, Bahl & Gaynor Inc. (“Bahl & Gaynor”) and the Trust with respect to the Bahl & Gaynor Fund (“Bahl & Gaynor Agreement”).

Approval of Management Agreement on Behalf of the Bahl & Gaynor Fund

In advance of the meeting, the Board requested and reviewed information provided by the Manager in connection with its consideration of the Management Agreement for the Bahl & Gaynor Fund, and the Investment Committee of the Board met with representatives of the Manager. The Board considered, among other materials, responses by the Manager to inquiries requesting: a description of the advisory and related services proposed to be provided to the Bahl & Gaynor Fund; identification of the professional personnel who are proposed to be assigned primary responsibility for managing the Bahl & Gaynor Fund; an analysis of the proposed advisory fee, and fee waivers, a comparison to the fees charged to other comparable clients and an explanation of any differences between the fee schedules; and any other information the Manager believed would be material to the Board’s consideration of the Management Agreement. The Board also considered information that had been provided by the Manager to the Board at the May 2013 meeting in connection with the renewal of the Management Agreement between the Manager and the Trust as it related to the existing series of the Trust (“Existing Funds”), and updated information regarding recent business initiatives and various personnel changes at the Manager.

Provided below is an overview of the primary factors the Board or its committees considered at its February 18, 2014 meetings at which the Board considered the approval of the Management Agreement. In determining whether to approve the Management Agreement, the Board considered, among other things, the following factors: (1) the nature and quality of the services to be provided; (2) the estimated costs to be incurred by the Manager in rendering its services and the resulting profits or losses; (3) the extent to which economies of scale, if any, have been taken into account in setting the fee schedule; (4) whether fee levels reflect these economies of scale, if any, for the benefit of investors; (5) comparisons of services and fees with contracts entered into by the Manager with the Existing Funds; and (6) any other benefits derived or anticipated to be derived by the Manager from its relationship with the Bahl & Gaynor Fund.

The Board did not identify any particular information that was most relevant to its consideration of the Management Agreement, and each Trustee may have afforded different weight to the various factors. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the materials submitted in support of the approval. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the approval of the Management Agreement. Based on its evaluation, the Board unanimously concluded that the terms of the Management Agreement were reasonable and fair and that the approval of the Management Agreement was in the best interest of the Bahl & Gaynor Fund.

Nature, Extent and Quality of Services. The Board noted that it had considered the renewal of the Management Agreement between the Manager and the Trust as it relates to the Existing Funds at its May 2013 meeting. At that meeting, the Board received detailed information regarding the Manager, including information with respect to the scope of services provided by the Manager to the Existing Funds and the background and experience of the Manager’s key investment personnel. At the May meeting, the Board also considered the Manager’s investment approach and goal to provide consistent above average long-term performance at a low cost on behalf of the Existing Funds and the Manager’s culture of compliance and support for compliance operations that reduces risks to the Existing Funds. The Board noted the Manager’s representation that the advisory and related services proposed to be provided to the Bahl & Gaynor Fund will be consistent with the services provided to the Existing Funds. The Board considered the background and experience of key investment personnel who will have primary responsibility for the day-to-day oversight of the Bahl & Gaynor Fund. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management to be provided by the Manager were appropriate for the Bahl & Gaynor Fund.

Investment Performance. The Board noted that the Bahl & Gaynor Fund is newly organized and, therefore, had no historical performance for the Board to review. The Board also noted that the Trustees would review the performance of Bahl & Gaynor in connection with their consideration of the Bahl & Gaynor Agreement.

Costs of the Services Provided to the Bahl & Gaynor Fund and the Projected Profits or Losses to be Realized by the Manager from its Relationship with the Bahl & Gaynor Fund. In analyzing the cost of services and profitability of the Manager, the Board considered the estimated revenues to be earned and the expenses to be incurred by the Manager. The Board also considered that the Manager will receive administrative service fees to compensate the Manager for providing shareholder and administrative services to the Bahl & Gaynor Fund. The Board noted the Manager’s representation that its accounting system does not provide for cost allocation on a fund-by-fund basis. Accordingly, the Manager created an allocation of expenses based upon the estimated percentage of time spent by its employees on non-distribution related business. The Board then noted that the Manager was projected to incur a loss from its first year of rendering services to the Bahl & Gaynor Fund.

Comparisons of the amounts to be paid to the Manager under the Management Agreement and other funds in the relevant Morningstar category. In evaluating the Management Agreement, the Board reviewed the Manager’s proposed management fee schedule. The Board considered a comparison of the management fee rate to be charged by the Manager under the Management Agreement versus the fee rates charged to comparable funds. The Board noted that the Manager provides comparable services to the Existing Funds at the same rate as proposed for the Bahl & Gaynor Fund. The Board also noted that the management fee rate proposed by the Manager for the Bahl & Gaynor Fund, both on a stand-alone basis and combined with the proposed advisory fee rate to be paid to Bahl & Gaynor, is lower than the average advisory fee rate paid by funds in the Morningstar, Inc. (“Morningstar”) category of actively-managed small cap growth funds. The Board also considered that the Manager has agreed to contractually limit the expenses of the Bahl & Gaynor Fund for at least

82

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreement and Investment Advisory Agreements of the Funds (Unaudited)

one year following the inception date of the Bahl & Gaynor Fund. This information assisted the Board in concluding that the management fee rate appeared to be within a reasonable range for the services to be provided to the Bahl & Gaynor Fund, in light of all the factors considered.

Economies of Scale. The Board considered that breakpoints were not included in the proposed management fee, but were included in the proposed advisory fee. Accordingly, the Board noted the Manager’s representation that the combined management and advisory fee rate would reflect economies of scale for the benefit of Bahl & Gaynor Fund shareholders.

Benefits Derived from the Relationship with the Bahl & Gaynor Fund. The Board considered the Manager’s representation that it does not anticipate any material “fall-out” benefits resulting from its proposed relationship with the Bahl & Gaynor Fund. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager by virtue of its relationship with the Bahl & Gaynor Fund appear to be fair and reasonable.

Board’s Conclusion. Based on the various considerations described above, the Board, including a majority of Trustees who are not “interested persons” of the Bahl & Gaynor Fund or the Manager, as that term is defined in the Investment Company Act of 1940, as amended, (“1940 Act”): (1) concluded that the proposed management fee is fair and reasonable; (2) determined that the Bahl & Gaynor Fund and its shareholders would benefit from the Manager’s management of the Bahl & Gaynor Fund; and (3) approved the Management Agreement.

Approval of Investment Advisory Agreement with Bahl & Gaynor

In advance of the meeting, the Board requested and reviewed information provided by Bahl & Gaynor in connection with its consideration of the Bahl & Gaynor Agreement, and the Investment Committee of the Board met with representatives of Bahl & Gaynor. The Board considered, among other materials, responses by Bahl & Gaynor to inquiries requesting: a description of the advisory and related services proposed to be provided to the Bahl & Gaynor Fund; identification of the professional personnel to perform services for the Bahl & Gaynor Fund and their education, experience and responsibilities; a comparison of investment performance of Bahl & Gaynor’s Small Cap Growth Composite with the performance of applicable peer groups and indices; an analysis of the proposed advisory fee, including a comparison with fee rates charged to other clients for which similar services are provided and anticipated economies of scale; a description of the portfolio managers’ compensation and, if compensation is tied to performance, a description of the oversight mechanism to prevent a manager with lagging performance from taking undue risks; a description of Bahl & Gaynor’s compliance program and any material compliance matters, as well as its trading activities; a discussion of Bahl & Gaynor’s financial condition and confirmation that Bahl & Gaynor’s financial condition would not impair its ability to provide high-quality services to the Bahl & Gaynor Fund; and any other information that Bahl & Gaynor believed would be material to the Board’s consideration of the Bahl & Gaynor Agreement.

Provided below is an overview of the primary factors the Board or its committees considered at its February 18, 2014 meetings at which the Board considered the approval of the Bahl & Gaynor Agreement. In determining whether to approve the Bahl & Gaynor Agreement, the Board considered, among other things, the following factors: (1) the nature and quality of the services to be provided; (2) the investment performance of Bahl & Gaynor; (3) the extent to which economies of scale, if any, have been taken into account in setting the fee schedule; (4) whether fee levels reflect these economies of scale, if any, for the benefit of investors; (5) comparisons of services and fees with contracts entered into by the Bahl & Gaynor with other clients; and (6) any other benefits anticipated to be derived by Bahl & Gaynor from its relationship with the Bahl & Gaynor Fund.

The Board did not identify any particular information that was most relevant to its consideration of the Bahl & Gaynor Agreement, and each Trustee may have afforded different weight to the various factors. The Trustees posed questions to various management personnel of Bahl & Gaynor regarding certain key aspects of the materials submitted in support of the approval. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the approval of the Bahl & Gaynor Agreement. Based on its evaluation, the Board unanimously concluded that the terms of the Bahl & Gaynor Agreement were reasonable and fair and that the approval of the Bahl & Gaynor Agreement was in the best interests of the Bahl & Gaynor Fund.

Nature, extent and quality of the services to be provided by Bahl & Gaynor. The Board considered information regarding Bahl & Gaynor’s principal business activities, its reputation, financial condition and overall capabilities to perform the services under the Bahl & Gaynor Agreement. The Board also considered Bahl & Gaynor’s investment resources, infrastructure and the adequacy of its compliance program. In addition, the Board considered the background and experience of the portfolio management personnel who will be assigned responsibility for managing the Bahl & Gaynor Fund. The Board considered Bahl & Gaynor’s representation that its financial condition is adequate to support the provision by Bahl & Gaynor of high quality advisory services to the Bahl & Gaynor Fund and that current staffing levels were adequate to service the Bahl & Gaynor Fund. In addition, the Board took into consideration the Manager’s recommendation of Bahl & Gaynor. Based on this information, the Board concluded that the nature, extent and quality of the advisory services to be provided by Bahl & Gaynor were appropriate for the Bahl & Gaynor Fund in light of its investment objective and, thus, supported a decision to approve the Bahl & Gaynor Agreement.

Performance of Bahl & Gaynor. The Board evaluated the performance information provided by Bahl & Gaynor and the Manager regarding the performance of Bahl & Gaynor’s Small Cap Growth Composite (“Composite”), gross of fees, as compared to the Russell 2000 Growth Index (“Benchmark”), Morningstar small cap growth category average (“Morningstar Average”) and PSN Small Cap Growth Universe median (“PSN Median”). The Board considered that the annualized performance of the Composite outperformed the Benchmark and Morningstar Average for the one-, three-, five-year and since inception periods ended December 31, 2013, while it outperformed the PSN Median for the three-year and since-inception periods ended December 31, 2013 and underperformed the PSN Median for all other relevant time periods. The Board also considered how the Composite would have ranked in the Morningstar small cap growth category. Based on the foregoing information, the Board concluded that the historical investment performance record of Bahl & Gaynor supported approval of the Bahl & Gaynor Agreement.

83

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreement and Investment Advisory Agreements of the Funds (Unaudited)

Comparisons of the amounts to be paid under the Agreement with those under contracts between Bahl & Gaynor and its other clients. In evaluating the Bahl & Gaynor Agreement, the Board reviewed the proposed advisory fee rate for services to be performed by Bahl & Gaynor on behalf of and paid by the Bahl & Gaynor Fund. The Board considered Bahl & Gaynor’s representation that the proposed fee rate is lower than its standard separate account fee schedule. In this regard, the Board also noted the Manager’s representation that the combined management and advisory fee rate to be paid to the Manager and Bahl & Gaynor was lower than the average for the Bahl & Gaynor Fund’s Morningstar peer group. After evaluating this information, the Board concluded that Bahl & Gaynor’s advisory fee rate under the Bahl & Gaynor Agreement was reasonable in light of the services to be provided to the Bahl & Gaynor Fund.

Costs of the services to be provided and profits to be realized by Bahl & Gaynor and its affiliates from its relationship with the Bahl & Gaynor Fund. The Board did not consider the costs of the services to be provided and profits to be realized by Bahl & Gaynor from its relationship with the Bahl & Gaynor Fund, noting instead the arm’s-length nature of the relationship between the Manager and Bahl & Gaynor with respect to the negotiation of the advisory fee rate on behalf of the Bahl & Gaynor Fund.

Economies of Scale. The Board considered Bahl & Gaynor’s representation that the proposed fee rate includes breakpoints, which anticipate any economies of scale in connection with the services that it will provide to the Bahl & Gaynor Fund. Based on the foregoing information, the Board concluded that the breakpoint under the proposed fee schedule reflect economies of scale associated with the services to be provided to the Bahl & Gaynor Fund by Bahl & Gaynor.

Benefits to be derived by Bahl & Gaynor from the relationship with the Bahl & Gaynor Fund. The Board considered the “fall-out” or ancillary benefits that might accrue to Bahl & Gaynor as a result of its relationship with the Bahl & Gaynor Fund, including greater exposure in the marketplace with respect to Bahl & Gaynor’s investment process and expanding the level of assets under management by Bahl & Gaynor. The Board also noted Bahl & Gaynor’s representation that it utilizes soft dollars to obtain proprietary research from broker-dealers and may receive elevated service levels from brokers as the Fund’s assets grow. Based on the foregoing information, the Board concluded that the potential benefits accruing to Bahl & Gaynor by virtue of its relationship with the Bahl & Gaynor Fund appear to be fair and reasonable.

Board’s Conclusion. Based on the various considerations described above, the Board, including a majority of Trustees who are not “interested persons” of the Bahl & Gaynor Fund, the Manager or Bahl & Gaynor, as that term is defined in the 1940 Act, concluded that the proposed advisory fee rate is fair and reasonable and that the approval of the Bahl & Gaynor Agreement is in the best interests of the Bahl & Gaynor Fund and approved the Bahl & Gaynor Agreement.

At its June 5, 2014 meeting, the Board of Trustees (“Board”) considered: (1) the approval of the Management Agreement between the Manager and the Trust on behalf of American Beacon AHL Managed Futures Fund, a new series of the Trust (“AHL Fund”) and (2) the approval of a new investment advisory agreement among the Manager, AHL Partners LLP (“AHL”) and the Trust with respect to the AHL Fund (“AHL Agreement”).

Approval of Management Agreement on Behalf of the AHL Fund

In advance of the meeting, the Board requested and reviewed information provided by the Manager in connection with its consideration of the Management Agreement for the AHL Fund and the Investment Committee of the Board met with representatives of the Manager. The Board considered, among other materials, responses by the Manager to inquiries requesting: a description of the advisory and related services proposed to be provided to the AHL Fund; identification of the professional personnel who are proposed to be assigned primary responsibility for managing the AHL Fund; an analysis of the proposed advisory fee, and fee waivers, a comparison to the fees charged to other comparable clients and an explanation of any differences between the fee schedules; and any other information the Manager believed would be material to the Board’s consideration of the Management Agreement. The Board also considered information that had been provided by the Manager to the Board at the May 15 and June 5, 2014 meetings in connection with the Board’s consideration of the renewal of the Management Agreement between the Manager and the Trust as it related to the Existing Funds.

Provided below is an overview of the primary factors the Board or its committees considered at its June 5, 2014 meetings at which the Board considered the approval of the Management Agreement with respect to the AHL Fund. In determining whether to approve the Management Agreement, the Board considered, among other things, the following factors: (1) the nature and quality of the services to be provided; (2) the estimated costs to be incurred by the Manager in rendering its services and the resulting profits or losses; (3) the extent to which economies of scale, if any, have been taken into account in setting the fee schedule; (4) whether fee levels reflect these economies of scale, if any, for the benefit of investors; (5) comparisons of services and fees with contracts entered into by the Manager with the Existing Funds; and (6) any other benefits derived or anticipated to be derived by the Manager from its relationship with the AHL Fund.

The Board did not identify any particular information that was most relevant to its consideration of the Management Agreement, and each Trustee may have afforded different weight to the various factors. The Trustees posed questions to various management personnel of the Manager regarding certain key aspects of the materials submitted in support of the approval. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the approval of the Management Agreement. Based on its evaluation, the Board unanimously concluded that the terms of the Management Agreement were reasonable and fair and that the approval of the Management Agreement was in the best interest of the AHL Fund.

Nature, Extent and Quality of Services. The Board noted that it had considered the renewal of the Management Agreement between the Manager and the Trust as it relates to the Existing Funds at its May 15, 2014 meeting and would formally vote on the renewal

84

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreement and Investment Advisory Agreements of the Funds (Unaudited)

of that agreement at the June 5, 2014 meeting. At those meetings, the Board received detailed information regarding the Manager, including information with respect to the scope of services provided by the Manager to the Existing Funds and the background and experience of the Manager’s key investment personnel. At the May 15 and June 5, 2014 meetings, the Board also considered the Manager’s investment approach and goal to provide consistent above average long-term performance at below average costs on behalf of the Existing Funds and the Manager’s culture of compliance and support for compliance operations that reduces risks to the Existing Funds. The Board noted the Manager’s representation that the advisory and related services proposed to be provided to the AHL Fund will be consistent with the services provided to the Existing Funds, and that the Manager will provide certain additional tax and legal services to the AHL Fund attendant to the AHL Fund’s investment in its wholly-owned subsidiary. The Board considered the background and experience of key investment personnel who will have primary responsibility for the day-to-day oversight of the AHL Fund. Based on the foregoing information, the Board concluded that the nature, extent and quality of the management to be provided by the Manager were appropriate for the AHL Fund.

Investment Performance. The Board noted that the AHL Fund is newly organized and, therefore, had no historical performance for the Board to review. The Board also noted that the Trustees would review the performance of AHL in connection with their consideration of the AHL Agreement.

Costs of the Services Provided to the AHL Fund and the Projected Profits or Losses to be Realized by the Manager from its Relationship with the AHL Fund. In analyzing the cost of services and profitability of the Manager, the Board considered the estimated revenues to be earned and the expenses to be incurred by the Manager. The Board also considered that because the Manager will provide services to the AHL Fund’s subsidiary at no additional cost, the Manager’s fee with respect to the AHL Fund will be calculated based on the combined assets of the AHL Fund and its subsidiary. Additionally, the Board considered that the Manager will receive administrative service fees to compensate the Manager for providing shareholder and administrative services to the AHL Fund and the AHL Fund’s subsidiary. The Board noted the Manager’s representation that its accounting system does not provide for cost allocation on a fund-by-fund basis. Accordingly, the Manager created an allocation of expenses based upon the estimated percentage of time to be spent by its employees on non-distribution related business. The Board then noted that the Manager was projected to incur losses from its first year of rendering services to the AHL Fund.

Comparisons of the amounts to be paid to the Manager under the Management Agreement and other funds in the relevant Morningstar category. In evaluating the Management Agreement, the Board reviewed the Manager’s proposed management fee schedule. The Board considered a comparison of the management fee rate to be charged by the Manager under the Management Agreement versus the fee rates charged to comparable funds. The Board noted that the Manager provides comparable services to the Existing Funds at the same rate as proposed for the AHL Fund. The Board also noted that the management fee rate proposed by the Manager for the AHL Fund, both on a stand-alone basis and combined with the proposed advisory fee rate to be paid to AHL, is lower than the average advisory fee rate paid by peer group funds in each Fund’s Morningstar, Inc. (“Morningstar”) category. The Board also considered that the Manager has agreed to contractually limit the expenses of the AHL Fund for at least one year following each Fund’s inception date. This information assisted the Board in concluding that the management fee rate appeared to be within a reasonable range for the services to be provided to the AHL Fund, in light of all the factors considered.

Economies of Scale. The Board considered that breakpoints were not included in the proposed management fee and noted the Manager’s representation that the proposed management fee rate for the Fund reflects economies of scale for the benefit of AHL Fund shareholders.

Benefits Derived from the Relationship with the AHL Fund. The Board considered the Manager’s representation that it does not anticipate any material “fall-out” benefits resulting from its proposed relationship with the AHL Fund. Based on the foregoing information, the Board concluded that the potential benefits accruing to the Manager by virtue of its relationship with the AHL Fund appear to be fair and reasonable.

Board’s Conclusion. Based on the various considerations described above, the Board, including a majority of Trustees who are not “interested persons” of the AHL Fund or the Manager, as that term is defined in the 1940 Act: (1) concluded that the proposed management fee is fair and reasonable; (2) determined that the AHL Fund and its shareholders would benefit from the Manager’s management of the AHL Fund; and (3) approved the Management Agreement on behalf of the AHL Fund.

Approval of Investment Advisory Agreement with AHL

In advance of the meeting, the Board requested and reviewed information provided by AHL in connection with its consideration of the AHL Agreement, and the Investment Committee of the Board met with representatives of AHL. The Board considered, among other materials, responses by AHL to inquiries requesting: a description of the advisory and related services proposed to be provided to the AHL Fund; identification of the professional personnel to perform services for the AHL Fund and their education, experience and responsibilities; a comparison of investment performance of AHL’s private funds with the performance of applicable peer groups and indices; an analysis of the proposed advisory fee, including a comparison with fee rates charged to other clients for which similar services are provided and anticipated economies of scale; a description of the portfolio managers’ compensation and, if compensation is tied to performance, a description of the oversight mechanism to prevent a manager with lagging performance from taking undue risks; a description of AHL’s compliance program and any material compliance matters, as well as its trading activities; a discussion of the financial condition of AHL’s parent company; and any other information that AHL believed would be material to the Board’s consideration of the AHL Agreement.

Provided below is an overview of the primary factors the Board or its committees considered at its June 5, 2014 meetings at which the Board considered the approval of the AHL Agreement. In determining whether to approve the AHL Agreement, the Board considered, among other things, the following factors: (1) the nature and quality of the services to be provided; (2) the investment

85

Disclosure Regarding the Board of Trustees’ Approval of the Management

Agreement and Investment Advisory Agreements of the Funds (Unaudited)

performance of AHL; (3) the extent to which economies of scale, if any, have been taken into account in setting the fee schedule; (4) whether fee levels reflect these economies of scale, if any, for the benefit of investors; (5) comparisons of services and fees with contracts entered into by the AHL with other clients; and (6) any other benefits anticipated to be derived by AHL from its relationship with the AHL Fund.

The Board did not identify any particular information that was most relevant to its consideration of the AHL Agreement, and each Trustee may have afforded different weight to the various factors. The Trustees posed questions to various management personnel of the Manager and AHL regarding certain key aspects of the materials submitted in support of the approval. Legal counsel to the independent Trustees provided the Board with a memorandum regarding its responsibilities pertaining to the approval of the AHL Agreement. Based on its evaluation, the Board unanimously concluded that the terms of the AHL Agreement were reasonable and fair and that the approval of the AHL Agreement was in the best interests of the AHL Fund.

Nature, extent and quality of the services to be provided by AHL. The Board considered information regarding AHL’s principal business activities, reputation financial condition and overall capabilities to perform the services under the AHL Agreement. The Board considered that, as a newly organized investment adviser, AHL would be supported by the investment resources and infrastructure of its parent company. The Board also considered the adequacy of AHL’s compliance program, which also covers its parent company. In addition, the Board considered the background and experience of the portfolio management personnel who will be assigned responsibility for managing the AHL Fund. The Board considered AHL’s representation that the financial condition of its parent company would support the provision of high quality advisory services to the AHL Fund and that current staffing levels were adequate to service the AHL Fund. In addition, the Board took into consideration the Manager’s recommendation of AHL. Based on this information, the Board concluded that the nature, extent and quality of the advisory services to be provided by AHL were appropriate for the AHL Fund in light of its investment objective and, thus, supported a decision to approve the AHL Agreement.

Performance of AHL. The Board evaluated the performance information provided by AHL regarding the annualized performance of AHL’s private funds, net of fees (“Private Funds”), relative to the Barclay BTOP50 Index (“Barclay Index”) as of April 30, 2014. The Board also evaluated the simulated performance information provided by the Manager for the AHL Liquid Trend Following Strategy (“AHL Strategy”), net of fees, compared to the BofA Merrill Lynch 3-Month Treasury Bill Index (“BofA Index”) and the Morningstar managed futures category average for mutual funds (“Morningstar Category”) as of December 31, 2013. The Board considered that the Private Funds outperformed the Barclay Index for the 3-year, 5-year and 10-year periods, but underperformed the Barclays Index for the 1-year period ended April 30, 2014. The Board also considered that the AHL Strategy outperformed the BofA Index for the 3-year, 5-year and 10-year periods and the Morningstar Category for the 3-year and 5-year periods, but underperformed the BofA Index and the Morningstar Category for the 1-year period ended December 31, 2013. In addition, the Board considered how the AHL Strategy would have ranked in the Morningstar Category. Based on the foregoing information, the Board concluded that the historical investment performance record of AHL supported approval of the AHL Agreement.

Comparisons of the amounts to be paid under the Agreement with those under contracts between AHL and its other clients. In evaluating the AHL Agreement, the Board reviewed the proposed advisory fee rate for services to be performed by AHL on behalf of and paid by the AHL Fund. The Board considered AHL’s representation that AHL does not have any other subadvisory relationships or manage funds with the same investment mandate. The Board also considered that, because AHL will provide services to the AHL Fund’s subsidiary at no cost, AHL’s fee with respect to the AHL Fund will be calculated based on the combined assets of the AHL Fund and its subsidiary. Additionally, the Board noted the Manager’s representation that the combined management and advisory fee rate to be paid to the Manager and AHL was lower than the average for the AHL Fund’s Morningstar Category. After evaluating this information, the Board concluded that AHL’s advisory fee rate under the AHL Agreement was reasonable in light of the services to be provided to the AHL Fund.

Costs of the services to be provided and profits to be realized by AHL and its affiliates from its relationship with the AHL Fund. The Board did not consider the costs of the services to be provided and profits to be realized by AHL from its relationship with the AHL Fund, noting instead the arm’s-length nature of the relationship between the Manager and AHL with respect to the negotiation of the advisory fee rate on behalf of the AHL Fund.

Economies of Scale. The Board considered AHL’s representation that the proposed fee rate reflects anticipated economies of scale in connection with the services that it will provide to the AHL Fund. Based on the foregoing information, the Board concluded that the proposed fee schedule would likely reflect economies of scale associated with the services to be provided to the AHL Fund by AHL.

Benefits to be derived by AHL from the relationship with the AHL Fund. The Board considered the “fall-out” or ancillary benefits that might accrue to AHL as a result of its relationship with the AHL Fund, including greater exposure in the marketplace with respect to AHL’s investment process and expanding the level of assets under management by AHL. Based on the foregoing information, the Board concluded that the potential benefits accruing to AHL by virtue of its relationship with the AHL Fund appear to be fair and reasonable.

Board’s Conclusion. Based on the various considerations described above, the Board, including a majority of Trustees who are not “interested persons” of the AHL Fund, the Manager or AHL, as that term is defined in the 1940 Act, concluded that the proposed advisory fee rate is fair and reasonable and that the approval of the AHL Agreement is in the best interests of the AHL Fund and approved the AHL Agreement.

86

Trustees and Officers of the American Beacon Fund^SM

(Unaudited)

The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 220 Las Colinas Boulevard East, Suite 1200, Irving, Texas 75039. Each Trustee oversees thirty-three funds in the fund complex that includes the Trust and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
Alan D. Feld** (78)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Trustee, American Beacon Mileage Funds (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012).
NON-INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
Gerard J. Arpey (56)	Trustee since 2012	Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, AMR Corp. and American Airlines; Inc. (2003-2011); Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present).
W. Humphrey Bogart (70)	Trustee since 2004	Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Brenda A. Cline (54)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Eugene J. Duffy (60)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Thomas M. Dunning (72)	Trustee since 2008	Chairman Emeritus (2008-Present) and Chairman (1998-2008), Lockton Dunning Benefits (consulting firm in employee benefits); Lead Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Richard A. Massman (71)	Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Barbara J. McKenna, CFA (51)	Trustee since 2012	Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present).
R. Gerald Turner (68) 225 Perkins Admin. Bldg. Southern Methodist Univ. Dallas, Texas75275	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Trustee, American Beacon Mileage Funds (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012).

87

Trustees and Officers of the American Beacon Fund^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
OFFICERS	Term
	One Year
Gene L. Needles, Jr. (60)	President since 2009 Executive Vice President since 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009-2012), American Beacon Mileage Funds; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors.
Rosemary K. Behan (55)	VP, Secretary and Chief Legal Officer since 2006	General Counsel, Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008-Present), Lighthouse Holdings Parent, Inc.
Brian E. Brett (53)	VP since 2004	Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present).
Wyatt L. Crumpler (48)	VP since 2007	Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2012), and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc.
Erica Duncan (44)	VP Since 2011	Vice President, Marketing and Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM.
Michael W. Fields (60)	VP since 1989	Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009).
Melinda G. Heika (53)	Treasurer since 2010	Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010-Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc.
Terri L. McKinney (51)	VP since 2010	Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc.
Jeffrey K. Ringdahl (39)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007).
Samuel J. Silver (51)	VP Since 2011	Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc.
Christina E. Sears (43)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.
Sonia L. Bates (58)	Asst. Treasurer since 2011	Director, Tax and Financial Reporting (2011-Present) and Manager, Tax and Financial Reporting (2005-2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings Parent, Inc.

* As of 11/12/2014, the Board adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 75.

** Mr. Feld is deemed to be an “interested person” of the Trusts, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors.

88

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89

Delivery of Documents

eDelivery isNOW 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:

By E-mail: american_beacon.funds@ambeacon.com	On the Internet: Visit our website at www.americanbeaconfunds.com
By Telephone: Institutional, Y and Investor 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 report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, D.C. 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com, approximately twenty days after the end of each month.	Availability of Proxy Voting Policy and Records A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

Fund Service Providers:

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 AHL Managed Futures Strategy Fund, American Beacon Bahl & Gaynor Small Cap Growth Fund, 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.

AR 12/14

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

President’s Message	1
Performance Overviews	2
American Beacon Funds
Statements of Assets and Liabilities	10
Statements of Operations	11
Statements of Changes in Net Assets	12
Notes to Financial Statements	13
Financial Highlights	20
State Street Equity 500 Index Portfolio
Portfolio of Investments	28
Statement of Assets and Liabilities	34
Statement of Operations	35
Statements of Changes in Net Assets	36
Financial Highlights	37
Notes to Financial Statements	38
Quantitative Master Series LLC
Master International Index Series Schedule of Investments	51
Master Small Cap Index Series
Schedule of Investments	61
Statements of Assets and Liabilities	81
Statements of Operations	82
Statements of Changes in Net Assets	83
Financial Highlights	84
Notes to Financial Statements	85
Additional Information	Back Cover

S&P 500 Index Fund: Investing in derivative instruments involves liquidity, credit, interest rate and market risks. Small Cap Index Fund: Investing in small-capitalization stocks may involve greater volatility and lower liquidity than larger company stocks. The Fund may participate in a securities lending program. International Equity Index Fund: Investing in foreign securities may involve heightened risk due to currency fluctuations and economic and political risks. The Fund may participate in a securities lending program. Please see the prospectus for a complete discussion of the 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 December 31, 2014

Dear Shareholders,   2014 was a good year for domestic equity investors; the markets were calm and stocks ended the year above average following two modest pullbacks. The S&P 500 Index, a U.S. large-cap stock bellwether, gained 13.69% - buoyed by accelerated economic growth and increased earnings. The Russell Midcap Index, a barometer of mid-cap stocks, gained 13.22%. And the Russell 2000 Index, which generally represents the small-cap segment, gained 4.89%.   In contrast, international equity investments declined. Many of the world’s economies struggled throughout the year and the stronger U.S. dollar lowered the value of foreign investments. The MSCI EAFE Index, which measures the world’s developed market, closed down at -4.90%.

Although American Beacon Advisors specializes in actively managed funds, we also provide index fund options for investors who prefer passive alternatives. Our index funds are overseen by world-class financial institutions, so that we may provide you with the kind of exemplary service you have come to expect from American Beacon.

For the 12 months ended December 31, 2014:

• American Beacon S&P 500 Index Fund (Investor Class) returned 13.02%.

• American Beacon Small Cap Index Fund (Institutional Class) returned 4.86%.

• American Beacon International Equity Index Fund (Institutional Class) returned -6.11%.

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,

Gene L. Needles, Jr.

President

American Beacon Funds

1

American Beacon S&P 500 Index Fund^†

Performance Overview

December 31, 2014 (Unaudited)

For the twelve months ended December 31, 2014, the total return of the Investor Class of the American Beacon S&P 500 Index Fund (the “Fund”) was 13.02%, underperforming the S&P 500^® Index (the “Index”) return of 13.69%.

Comparison of Change in Value of a $10,000 Investment

For the Period from 12/31/04 through 12/31/14

Total Returns for the period ended 12/31/14

	1 Year			5 Years			10 Years			Value of $10,000 12/31/04- 12/31/14
Institutional Class (1,3)		13.55	%		15.29	%		7.57	%	$	20,739
Investor Class (1,3)		13.02	%		14.75	%		7.08	%		19,813
S&P 500 Index (2)		13.69	%		15.45	%		7.67	%		20,942

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 calculated based on the published end of day net asset values as of the 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 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 Fund prospectus for the Institutional and Investor Class shares were 0.14% and 0.60%, 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.

Performance Summary provided by SSgA Funds Management, Inc.

The opening quarter of 2014 offered investors plenty of worthwhile return opportunities, but progress was not without pitfalls, and the best results arrived in unlikely corners of the marketplace. A disappointing January brought a number of chillier reports on global economic activity, and the first month of 2014 ended with U.S. stocks hesitating near two-month lows. A weak manufacturing reading in early February served to unnerve investors further, driving averages of larger U.S. equities to the worst levels since late October. But Janet Yellen, newly installed head of the U.S. Federal Reserve (“Fed”), came across as thorough going and confident in her first opportunity to provide formal testimony before Congress. With policy continuity assured, investors used the remainder of February to lift the S&P 500^® back up and over the record levels at which it had traded near the end of 2013. Although performance of banking names faltered later in March when Citigroup emerged as a prominent failure in Fed stress tests, prospects for additional share offerings linked to internet and biotechnology themes had already made investors wary of excess equity supply in firms with rapid growth characteristics.

After an initial lift as the second quarter got underway, equities worldwide began once again to struggle with the possibility that growth in 2014 might not evolve as robustly as anticipated. The International Monetary Fund (IMF) contributed further to the uncertainty when it released its updated economic outlook. With interest rates potentially lower for longer than many market participants anticipate and net profit margins on large-cap stocks at 20 year highs, it’s no wonder the equity markets continue to hit record highs. Valuations continued to look attractive especially compared to 10-year interest rates. There was concern, though, amongst investors that the low level of volatility was creating complacency amongst equity owners which would spell trouble for the next correction. However, given the attractive valuations and very few other compelling

2

American Beacon S&P 500 Index Fund^†

Performance Overview

December 31, 2014 (Unaudited)

alternatives, many investors were perhaps begrudgingly adding to their equities. For the quarter, the S&P 500 Index was up 5.2%.

Positive earnings news from the U.S. provided some relief from the gloom in the third quarter, as did comments from Fed Chair, Janet Yellen, in testimony before the U.S. Senate. However, July ended with a decided thud, as the market had its biggest down day since February with the S&P 500 down 2% on the last day of trading. Equity markets stumbled in September as the S&P 500 Index was down 1.40%.

The 4th quarter began as the 3rd quarter ended with stocks sliding and bond markets rallying. The IMF cut its global growth forecasts and interest rates moved lower. U.S. banks began reporting better than expected earnings which helped turn the equity rout around. Fed Vice-Chair Fischer helped improve sentiment when he said, “If foreign growth is weaker than anticipated, the consequences for the U.S. economy could lead the Fed to remove accommodation more slowly than otherwise.” The S&P 500 began a dramatic rally and closed out the second half of October with a rise of 8.1% to end the month up 2.4%. The S&P 500 was up 2.7% in November which is similar to October’s gain, but the returns for the month were achieved on a much smoother glide upwards than October’s precipitous decline and meteoric rise. December posted a return that was relatively flat, leaving the Fund with a year-to-date return of over 13% for 2014.

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)

Apple, Inc.	3.6
Exxon Mobil Corporation	2.1
Microsoft Corporation	2.1
Johnson & Johnson	1.6
Berkshire Hathaway Inc. Class B	1.5
Wells Fargo & Company	1.4
General Electric Company	1.4
Procter & Gamble Company	1.4
JPMorgan Chase & Co.	1.3
Chevron Corporation	1.2

* Percent of net assets of State Street Equity 500 Index Portfolio

Sector Allocation (% Equities)

Information Technology	19.7
Financials	16.7
Health Care	14.2
Consumer Discretionary	12.1
Industrials	10.4
Consumer Staples	9.8
Energy	8.4
Utilities	3.2
Materials	3.2
Telecommunication Services	2.3

* Percent of the equities of State Street Equity 500 Index Portfolio

^† “Standard & Poor’s^®,” “S&P,” “S&P 500,” “Standard & Poor’s 500” and “500” are trademarks of Standard & Poor’s Financial Services LLC, an affiliate of The McGraw-Hill Companies, Inc. (“S&P”) and have been licensed for use by the Equity 500 Index Portfolio. The Fund is not sponsored, endorsed, sold or promoted by S&P, and S&P makes no representation regarding the advisability of investing in the Fund.

3

American Beacon Small Cap Index Fund^SM

Performance Overview

December 31, 2014 (unaudited)

For the twelve months ended December 31, 2014, the total return of the Institutional Class of the American Beacon Small Cap Index Fund (the “Fund”) was 4.86%. The Fund’s performance was in line with the Russell 2000^® Index (the “Index”) return of 4.89%.

Comparison of Change in Value of a $250,000 Investment

For the Period from 12/31/04 through 12/31/14

Total Returns for the Period ended 12/31/14

	1 Year			5 Years			10 Years			Value of $250,000 12/31/04- 12/31/14
Institutional Class (1,3)		4.86	%		15.52	%		7.73	%	$	526,370
Russell 2000 Index (2)		4.89	%		15.55	%		7.77	%		528,020

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 calculated based on the published end of day net asset values as of the 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.

2. The Russell 2000 Index is an unmanaged index comprised of 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 0.23%. The expense ratio above may vary from the expense ratio presented in other sections of this report that is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

U.S. equities moved higher in 2014 as domestic economic growth picked up momentum and interest rates continued to be low. Although volatility increased, levels generally remained below the historical norm. For the twelve-month period ended December 31, 2014, small cap U.S. stocks, as represented by the Russell 2000^® Index, advanced 4.9%.

It was an unpleasant start to the year for equity investors. Volatility ticked up amid heightened risks in emerging markets, slowing growth in China and softer economic data in the United States, while investors braced for the impact of the U.S. Federal Reserve (“Fed”) scaling back on stimulus. Equity markets around the world declined sharply in January. But the sell-off was short-lived and equities rebounded as uncertainty abated. Notably, relief came in the form of long-term interest rates remaining low even as the Fed reduced its open-market purchases. Additionally, investors were comforted by the Fed’s dovish stance on short-term rates and increasing evidence that the recent weakness in U.S. economic data had been temporary and weather-related.

Equity valuations were relatively high in the aftermath of the strong rally in 2013. Nevertheless, investors continued to favor equities in 2014 while bond yields were persistently low. Improving U.S. economic data, strong corporate earnings and increased merger and acquisition activity propelled market gains, pushing major U.S. stock indexes to all-time highs.

However, the combination of high valuations and expectations of higher interest rates left equities particularly vulnerable to bad news. Volatility increased as tensions between Russia and Ukraine mounted and investors considered the potential implications of economic sanctions. The fragmentation of Iraq led to escalating violence and a spike in oil prices during the summer. A ground war in Gaza, the downing of civilian airliners over Malaysia, and Scotland’s flirtation with independence from the United Kingdom added to global headwinds, resulting in a challenging third quarter for equity markets.

4

American Beacon Small Cap Index Fund^SM

Performance Overview

December 31, 2014 (unaudited)

U.S. economic growth strengthened considerably in the latter part of 2014. Initially, the good news was bad for stocks, spurring a sell-off in September as investors feared the Fed would raise short-term rates earlier than previously expected. But calm was restored when the Fed reaffirmed its anticipation that short-term rates would likely continue to be warranted for some time after its target employment and inflation levels are realized. U.S. stocks rebounded in October and continued their climb through year end as U.S. economic data continued to impress investors and help fuel a positive corporate earnings season.

While the pace of U.S. economic growth strengthened, the broader global economy showed signs of slowing. This drove volatility higher as the divergence in global central bank policies became a major theme in equity markets. While the Fed moved toward tightening policy, the European Central Bank and Bank of Japan implemented easing measures to stimulate their economies and support their currencies. However, the U.S. equity market absorbed much of the increased liquidity flowing from foreign central banks as global investors sought relative stability in a world of rising geopolitical tensions and uneven economic growth.

As the U.S. economy strengthened, so did the U.S. dollar, which put downward pressure on commodity prices. Oil prices in particular plunged in the latter months of 2014 as a global supply-and-demand imbalance materialized. Lower oil prices led to a pickup in consumer spending in the United States, a positive for U.S. stocks.

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)

Isis Pharmaceuticals, Inc.	0.4
TriQuint Semiconductor, Inc.	0.3
Brunswick Corp.	0.3
LaSalle Hotel Properties	0.3
Graphic Packaging Holding Co.	0.3
RF Micro Devices, Inc.	0.3
Office Depot, Inc.	0.3
RJI Lodging Trust REIT	0.2
Puma Biotechnology, Inc.	0.2
Ultimate Software Group, Inc.	0.2
Total Fund Holdings	2,021

* Percent of net assets of Master Small Cap Index Series

Sector Allocation (% Equities)

Financials	23.5
Information Technology	17.9
Health Care	14.7
Industrials	13.9
Consumer Discretionary	13.8
Materials	4.4
Utilities	3.7
Energy	3.4
Consumer Staples	3.3
Telecommunication Services	1.4

* Percent of equity portion of Master Small Cap Index Series

5

American Beacon International Equity Index Fund^SM

Performance Overview

December 31, 2014 (unaudited)

For the twelve months ended December 31, 2014, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a return of -6.11%, underperforming the MSCI EAFE Index (the “Index”) return of -4.90%. The investment manager’s application of its fair valuation policy during the period was a significant driver of the Fund’s underperformance.

Comparison of Change in Value of a $250,000 Investment

For the Period from 12/31/04 through 12/31/14

Total Returns for the Period ended 12/31/14

	1 Year			5 Years			10 Years			Value of $250,000 12/31/04- 12/31/14
Institutional Class (1,3)		(6.11	)%		4.98	%		4.26	%	$	379,512
MSCI EAFE Index (2)		(4.90	)%		5.33	%		4.43	%		385,767

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 calculated based on the published end of day net asset values as of the 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 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 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 that is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

International equities exhibited higher volatility in 2014 amid rising geopolitical risks and uneven growth rates across the global economy. The MSCI EAFE Index, representing the performance of large and medium capitalization developed market stocks excluding the United States and Canada, fell 4.9% (in U.S. dollar terms) for the 12-month period.

It was an unpleasant start to the year for equity investors. Volatility ticked up amid heightened risks in emerging markets, slowing growth in China and softer economic data in the United States, while investors braced for the impact of the U.S. Federal Reserve scaling back on stimulus. Equity markets around the world declined sharply in January. But the sell-off was short-lived and international equities rebounded in February, particularly in Europe. Signs of a strengthening economic recovery combined with hopes that the European Central Bank (“ECB”) would soon take measures to combat the uncomfortably low level of inflation in the eurozone, fueled a rally in European stocks. The ECB ultimately took policy action in early June, with a bold move to a negative deposit rate.

However, high valuations and uncertainty around global central bank policies left equities particularly vulnerable to bad news. Consequently, geopolitical risks took a toll on international equity prices as tensions between Russia and Ukraine mounted and the fragmentation of Iraq led to escalating violence and a spike in oil prices during the summer. A ground war in Gaza, the downing of civilian airliners over Malaysia, and Scotland’s flirtation with independence from the United Kingdom added to global headwinds, causing many investors to retreat from risk assets.

In the latter part of the year, economic growth strengthened in the United States, while the broader global economy showed signs of slowing. In Europe, most developed economies again struggled with sluggish activity and equity prices were tossed about between investors’ concerns about geopolitical turmoil and hopes for central bank stimulus. The continuation of the Russia-Ukraine conflict and a Russian currency

6

American Beacon International Equity Index Fund^SM

Performance Overview

December 31, 2014 (unaudited)

crisis, as well as Greece’s failure to successfully elect a new president, drove volatility higher. In the eurozone, inflation rates continued to be dangerously low. Another round of policy easing from the ECB gave international equities a much-needed boost, but the significant depreciation of the euro and other currencies versus the U.S. dollar resulted in negative returns in the MSCI EAFE Index.

Similarly, Asian developed market equities performed well in local currency terms, but generated negative results on a U.S. dollar basis. As the Japanese economy struggled to get on its legs, the nation’s equity market benefited from central bank stimulus and positive sentiment toward structural reform. Strong corporate earnings results also pushed Japanese stocks higher, as did a surge of domestic inflows due to the reallocation of Japan’s Government Pension Investment Fund. However, a weakening yen versus a strengthening U.S. dollar resulted in Japanese equities having the largest negative effect on the performance of the MSCI EAFE Index.

In the latter months of 2014, the divergence in global central bank policies became a major theme in equity markets and the strong appreciation in the U.S. dollar pressured commodity prices. Oil prices in particular plunged as a global supply-and-demand imbalance materialized. While lower prices were harmful to economies that rely heavily on oil exports, most developed markets derived a boost in consumer spending, a positive for equity markets.

Stock markets in most countries represented in the MSCI EAFE Index declined (in U.S. dollar terms) in the 12-month period. U.K. and Japanese stocks, which represent the most significant weightings in the MSCI EAFE Index composition, lost 5.4% and 4.0%, respectively. Negative results came from other markets with notable index weights, including Germany (down 10.4%), France (down 9.9%), Australia (down 3.6%) and Switzerland (down 0.2%). On an absolute basis (in USD), Israeli stocks (up 22.8%) generated stand-out performance and the worst performers included stocks in Portugal (down 38.2%), Austria (down 29.8%) and Norway (down 21.7%).

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., Registered Shares	1.9
Novartis AG, Registered Shares	1.7
Roche Holding AG	1.5
HSBC Holdings PLC	1.4
Toyota Motor Corp.	1.4
Royal Dutch Shell PLC	1.0
BP PLC	0.9
Commonwealth Bank of Australia	0.9
Bayer AG, Registered Shares	0.9
Total S.A.	0.9
Total Fund Holdings	945

* Percent of net assets of Master International Index Series

Sector Allocation (% Equities)

Financials	25.3
Industrials	12.3
Consumer Discretionary	12.1
Consumer Staples	10.8
Health Care	10.7
Materials	7.4
Energy	5.6
Telecommunications	4.9
Information Technology	4.7
Utilities	3.7
Other	2.5

* Percent of equity portion of Master International Index Series

Country Weightings (%)	FUND
Japan		21.2
United Kingdom		19.2
France		9.7
Switzerland		9.5
Germany		9.2
Australia		7.7
Netherlands		4.5
Spain		3.5
Hong Kong		3.0
Sweden		3.0
Italy		2.3
Other		5.2

* Percent of equity portion of Master International Index Series

7

American Beacon Funds^SM

Fund Expenses

December 31, 2014 (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 July 1, 2014 through December 31, 2014.

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 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 7/1/14	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 7/1/14	$	1,000.00
Ending Account Value 12/31/14	$	1,160.68		$	1,016.86		$	896.49		Ending Account Value 12/31/14	$	1,157.81
Expenses Paid During Period* 7/1/14 - 12/31/14	$	0.62		$	1.17		$	0.91		Expenses Paid During Period* 7/1/14 - 12/31/14	$	2.96
Annualized Expense Ratio		0.12	%		0.23	%		0.19	%	Annualized Expense Ratio		0.57	%

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 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.

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 7/1/14	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 7/1/14	$	1,000.00
Ending Account Value 12/31/14	$	1,024.60		$	1,024.05		$	1,024.25		Ending Account Value 12/31/14	$	1,022.33
Expenses Paid During Period* 7/1/14 - 12/31/14	$	0.61		$	1.17		$	0.97		Expenses Paid During Period* 7/1/14 -12/31/14	$	2.91
Annualized Expense Ratio		0.12	%		0.23	%		0.19	%	Annualized Expense Ratio		0.57	%

* 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 (184) by days in the year (365) to reflect the half-year period.

8

American Beacon Funds

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

American Beacon S&P 500 Index Fund, American Beacon Small Cap Index Fund and American Beacon International Equity Index Fund:

We have audited the accompanying statements of assets and liabilities of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund (three of the funds constituting the American Beacon Funds) (collectively, the “Funds”), as of December 31, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds�� internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the State Street Equity 500 Index Portfolio, the Master International Index Series, and the Master Small Cap Index Series. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon International Equity Index Fund, the American Beacon S&P 500 Index Fund, and the American Beacon Small Cap Index Fund at December 31, 2014, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas

March 2, 2015

9

American Beacon Funds^SM

Statements of Assets and Liabilities

December 31, 2014 (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	$	1,305,918		$	146,861		$	564,985
Receivable for fund shares sold		1,443			385			2,290
Prepaid expenses		20			4			18
Total assets		1,307,381			147,250			567,293
Liabilities:
Payable for fund shares redeemed		38			3			9,675
Dividends payable		—			—			20
Administrative service and service fees payable (Note 2)		67			6			23
Printing fees payable		30			15			18
Professional fees payable		20			12			15
Sub-administration fees payable		—			16			173
Transfer agent fees payable		6			1			5
Trustee fees payable		13			—			1
Other liabilities		9			6			10
Total liabilities		183			59			9,940
Net Assets	$	1,307,198		$	147,191		$	557,353
Analysis of Net Assets:
Paid-in-capital		915,773			97,903			572,923
Undistributed (or over distribution of) net investment income		619			(56	)		(1,487	)
Accumulated net realized gain (loss)		(47,951	)		318			(88,115	)
Unrealized net appreciation (depreciation) of investments		438,611			48,963			73,229
Unrealized net appreciation (depreciation) of foreign currency contracts		—			—			(24	)
Unrealized net appreciation (depreciation) of futures contracts		146			63			827
Net assets	$	1,307,198		$	147,191		$	557,353
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		45,344,004			8,321,348			54,067,163
Investor Class		1,371,717			N/A			N/A
Net assets (not in thousands):
Institutional Class	$	1,269,143,517		$	147,191,446		$	557,352,647
Investor Class	$	38,054,811		$	N/A		$	N/A
Net asset value, offering and redemption price per share:
Institutional Class	$	27.99		$	17.69		$	10.31
Investor Class	$	27.74		$	N/A		$	N/A

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

10

American Beacon Funds^SM

Statements of Operations

For the year ended December 31, 2014 (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	$	22,284		$	2,372		$	22,993
Interest income		19			2			3
Securities lending income		—			383			36
Portfolio expenses (net of fees waived)B		(500	)		(156	)		(400	)
Other income		—			—			1
Net investment income allocated from Portfolio		21,803			2,601			22,633
Fund Expenses:
Administrative service fees (Note 2):
Institutional Class		532			104			316
Investor Class		82			—			—
Sub-administrative service fees:
Institutional Class		—			36			244
Transfer agent fees:
Institutional Class		34			6			41
Investor Class		3			—			—
Custody and accounting fees		12			12			12
Professional fees		43			28			39
Registration fees		34			12			31
Service fees - Investor Class (Note 2)		82			—			—
Printing expense		104			37			80
Trustee fees		67			10			33
Insurance expense		14			3			9
Other expenses		30			9			52
Total fund expenses		1,037			257			857
Net investment income		20,766			2,344			21,776
Realized and unrealized gain (loss) allocated from master portfolio
Net realized gain (loss) from:
Investments		3,960			10,717			(4,523	)
Foreign currency transactions		—			—			(1,133	)
Futures contracts		3,068			676			476
Change in net unrealized appreciation or (depreciation) of:
Investments		113,766			(8,497	)		(52,952	)
Foreign currency transactions		—			—			(138	)
Futures contracts		404			(232	)		510
Net gain (loss) on investments		121,198			2,664			(57,760	)
Net increase (decrease) in net assets resulting from operations	$	141,964		$	5,008		$	(35,984	)
A Foreign taxes	$	52		$	2		$	1,905
B Fees waived by Master Portfolio	$	—		$	3		$	4

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

11

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	S&P 500 Index Fund						Small Cap Index Fund						International Equity Index Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2014			2013			2014			2013			2014			2013
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	20,766		$	15,985		$	2,344		$	2,969		$	21,776		$	15,493
Net realized gain (loss) on investments, foreign currency contracts, and futures contracts		7,028			9,149			11,393			11,666			(5,180	)		(5,561	)
Change in net unrealized appreciation or depreciation of investments, foreign currency contracts, and futures contracts		114,170			202,048			(8,729	)		56,569			(52,580	)		96,462
Net increase (decrease) in net assets resulting from operations		141,964			227,182			5,008			71,204			(35,984	)		106,394
Distributions to Shareholders:
Net investment income:
Institutional Class		(20,038	)		(15,320	)		(2,348	)		(3,043	)		(22,032	)		(16,049	)
Investor Class		(494	)		(353	)		—			—			—			—
Net realized gain on investments:
Institutional Class		—			—			(11,017	)		—			—			—
Investor Class		—			—			—			—			—			—
Total distributions to shareholders		(20,532	)		(15,673	)		(13,365	)		(3,043	)		(22,032	)		(16,049	)
Capital Share Transactions:
Proceeds from sales of shares		292,446			182,996			50,423			103,919			140,139			182,715
Reinvestment of dividends and distributions		20,303			15,523			13,365			3,043			21,268			15,707
Cost of shares redeemed		(97,222	)		(107,420	)		(193,795	)		(76,228	)		(175,775	)		(139,930	)
Net increase (decrease) in net assets from capital share transactions		215,527			91,099			(130,007	)		30,734			(14,368	)		58,492
Net increase (decrease) in net assets		336,959			302,608			(138,364	)		98,895			(72,384	)		148,837
Net Assets:
Beginning of period		970,239			667,631			285,555			186,660			629,737			480,900
End of Period *	$	1,307,198		$	970,239		$	147,191		$	285,555		$	557,353		$	629,737
* Includes undistributed (or overdistribution of) net investment income of	$	619		$	551		$	(56	)	$	(60	)	$	(1,487	)	$	(1,307	)

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios attached

12

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) which is comprised of thirty-one 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 (closed to new investors), 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 December 31, 2014
S&P 500 Index Fund	State Street Equity 500 Index Portfolio		45.51	%
Small Cap Index Fund	Master Small Cap Index Series		21.01	%
International Equity Index Fund	Master International Index Series		20.88	%

The financial statements of the Portfolios are included elsewhere in this report and should be read in conjunction with the Funds’ financial statements.

The Manager is conducting a review of its passively-managed product offerings. While the American Beacon S&P 500 Index and the American Beacon International Equity Index Funds’ future growth opportunities are explored, the Funds were closed to new shareholders as of the close of business on December 31, 2014. Existing shareholders as of that date may continue to purchase, redeem or exchange shares of the Funds on any business day, which is any day the New York Stock Exchange is open for business.

Class Disclosure

The S&P 500 Index Fund has two classes of shares designed to meet the needs of different groups of investors. The Small Cap Index and the International Equity Index Funds offer one class to 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, and service fees, and vary amongst the classes as described more fully in Note 2.

13

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

New Accounting Pronouncements

In June 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2013-08, “Financial Services - Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements,” which amends the criteria that define an investment company and clarifies the measurement guidance and requires new disclosures for investment companies. Under the ASU, an entity that is registered under the Investment Company Act of 1940 automatically qualifies as an investment company. The ASU was effective for interim and annual reporting periods ending after December 31, 2013. Management has evaluated the implications of the ASU and determined that adoption thereof will not have a material impact on the financial statements.

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 and the Small Cap Index Fund and 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 Principles (“U.S. GAAP”) defines fair 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 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.

14

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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. Net asset value (“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.

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, 2014 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

15

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

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 were as follows (in thousands):

	S&P 500 Index Fund				Small Cap Index Fund				International Equity Index Fund
	Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2014		Year Ended December 31, 2013
Distributions paid from:
Ordinary income
Institutional Class	$	20,038	$	15,320	$	2,348	$	3,043	$	22,032	$	16,049
Investor Class		494		353		—		—		—		—
Long term capital gains
Institutional Class		—		—		11,017		—		—		—
Investor Class		—		—		—		—		—		—
Total paid distributions	$	20,532	$	15,673	$	13,365	$	3,043	$	22,032	$	16,049

As of December 31, 2014, the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):

	S&P 500 Index Fund			Small Cap Index Fund			Int’l Equity Index Fund
Cost basis of investments for federal income tax purposes	$	883,401		$	99,978		$	500,859
Unrealized appreciation		427,000			54,906			103,952
Unrealized depreciation		(4,483	)		(8,023	)		(39,826	)
Net unrealized appreciation or (depreciation)		422,517			46,883			64,126
Undistributed ordinary income		175			27			419
Accumulated long-term gain or (loss)		(31,267	)		2,378			(80,125	)
Other temporary differences		—			—			10
Distributable earnings or (deficits)	$	391,425		$	49,288		$	(15,570	)

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 wash sales, the realization for tax purposes of unrealized gains (losses) on certain derivative instruments, reclassifications of income from real estate investment securities, and the realization for tax purposes on unrealized gains (losses) on investments in passive foreign investment companies.

Due to the inherent differences in the recognition of income, expenses and realized gains (losses) under the U.S. GAAP and federal income tax regulations, permanent differences between book and tax reporting have been identified and appropriately reclassified on the Statements of Assets and Liabilities.

Accordingly, the following amounts represent current year permanent differences derived from reclassifications of income from real estate investment securities, foreign currency, sales of investments in passive foreign investment companies, partnership transactions, and return of capital distributions that have been reclassified as of December 31, 2014 (in thousands):

	S&P 500 Index Fund			Small Cap Index Fund			Int’l Equity Index Fund
Paid-in-capital	$	3,028		$	(3,477	)	$	(1,872	)
Undistributed net investment income		(166	)		8			76
Accumulated net realized gain(loss)		(2,861	)		3,469			1,796
Unrealized appreciation or (depreciation) of investments, futures contracts, and foreign currency contracts		(1	)		—			—

16

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by Funds in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses. Prior to RIC MOD, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. RIC MOD requires that post-enactment net capital losses be used before pre-enactment net capital losses.

Losses that will be carried forward under the provisions of RIC MOD are as follows:

	Loss Carryforward Character
Fund	Short term		Long term		Total
International Equity Index Fund	$	178	$	49,469	$	49,647

Capital losses prior to the provisions of RIC MOD which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first (in thousands) are as follows:

Fund	2016		2017		2018		Total
S&P 500 Index Fund	$	—		25,544	$	4,955	$	30,499
International Equity Index Fund		9,746		13,890		5,259		28,895

The S&P 500 Index and Small Cap Index Funds utilized $4,079 and $1,060, respectively, of net capital loss carryforwards for the year ended December 31, 2014 (in thousands).

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 Year ended December 31, 2014

	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		10,214		$	271,013			825		$	21,433
Reinvestment of dividends		739			19,827			18			476
Shares redeemed		(3,133	)		(81,566	)		(608	)		(15,656	)
Net increase in shares outstanding		7,820		$	209,274			235		$	6,253

	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		2,731		$	50,423
Reinvestment of dividends		758			13,365
Shares redeemed		(10,546	)		(193,795	)
Net (decrease) in shares outstanding		(7,057	)	$	(130,007	)

	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		12,331		$	140,139
Reinvestment of dividends		2,029			21,268
Shares redeemed		(15,392	)		(175,775	)
Net (decrease) in shares outstanding		(1,032	)	$	(14,368	)

17

American Beacon Funds^SM

Notes to Financial Statements

December 31, 2014

For the Year ended December 31, 2013

	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		7,589		$	168,981			639		$	14,015
Reinvestment of dividends		668			15,185			15			338
Shares redeemed		(4,301	)		(97,139	)		(464	)		(10,281	)
Net increase in shares outstanding		3,956		$	87,027			190		$	4,072

	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		6,352		$	103,919
Reinvestment of dividends		166			3,043
Shares redeemed		(4,942	)		(76,228	)
Net increase in shares outstanding		1,576		$	30,734

	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		17,486		$	182,715
Reinvestment of dividends		1,413			15,707
Shares redeemed		(13,620	)		(139,930	)
Net increase in shares outstanding		5,279		$	58,492

6. Subsequent Event

Agreement and Plan of Merger

On November 20, 2014, Lighthouse Holdings Parent, Inc. (“LHPI”), the indirect parent company of American Beacon Advisors, Inc., the Trusts’ investment manager, entered into an Agreement and Plan of Merger pursuant to which LHPI agreed to be acquired by investment funds managed by Kelso & Company, L.P. and Estancia Capital Management, LLC, both of which are private equity firms (“Transaction”). The Transaction is expected to close in the second calendar quarter of 2015, subject to customary closing conditions, including obtaining necessary client consents and approval from the Funds’ shareholders. There can be no assurance that the Transaction will be consummated as contemplated or that necessary conditions will be satisfied.

This change in control is deemed to be an “assignment” under the Investment Company Act of 1940 (the “1940 Act”) of the Trusts’ existing investment management agreement with the Manager and will result in automatic termination of the agreement. A new investment management agreement has been submitted to the Funds’ shareholders for approval under substantially the same terms as the current agreement.

The Transaction is not expected to result in any change in the portfolio management of the Fund or in the Fund’s investment objectives or policies.

18

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19

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	25.10		$	19.35		$	17.05		$	17.07		$	15.15
Income from investment operations:
Net investment income:A		0.49			0.43			0.39			0.34			0.29
Net gain (loss) from investments (both realized and unrealized)		2.88			5.74			2.31			(0.02	)		1.95
Total income from investment operations		3.37			6.17			2.70			0.32			2.24
Less distributions:
Dividends from net investment income		(0.48	)		(0.42	)		(0.40	)		(0.34	)		(0.32	)
Tax return of capital		—			—			—			0.00	B		—
Total distributions		(0.48	)		(0.42	)		(0.40	)		(0.34	)		(0.32	)
Net asset value, end of period	$	27.99		$	25.10		$	19.35		$	17.05		$	17.07
Total returnC		13.55	%		32.15	%		15.87	%		1.92	%		14.96	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	1,269,143		$	941,930		$	649,457		$	422,337		$	381,592
Ratios to average net assets:A
Net investment income		1.90	%		1.95	%		2.19	%		1.95	%		1.90	%
Expenses, including expenses allocated from the master portfolio		0.13	%		0.14	%		0.15	%		0.16	%		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.

20

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout the period)

Investor Class
Year Ended December 31,
2014			2013			2012			2011			2010
$	24.89		$	19.19		$	16.82		$	16.88		$	15.00
	0.40			0.37			0.31			0.22			0.15
	2.82			5.65			2.25			0.02			1.99
	3.22			6.02			2.56			0.24			2.14
	(0.37	)		(0.32	)		(0.19	)		(0.30	)		(0.26	)
	—			—			—			0.00	B		—
	(0.37	)		(0.32	)		(0.19	)		(0.30	)		(0.26	)
$	27.74		$	24.89		$	19.19		$	16.82		$	16.88
	13.02	%		31.56	%		15.25	%		1.44	%		14.43	%
$	38,055		$	28,309		$	18,174		$	16,154		$	17,707
	1.43	%		1.48	%		1.67	%		1.44	%		1.42	%
	0.58	%		0.60	%		0.63	%		0.64	%		0.60	%

21

American Beacon Small Cap Index Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	18.57		$	13.52		$	11.86		$	12.64		$	10.06
Income from investment operations:
Net investment incomeA		0.23			0.22			0.21			0.19			0.13
Net gain (loss) on investments and futures transactions (both realized and unrealized)		0.66			5.05			1.73			(0.76	)		2.59
Total income (loss) from investment operations		0.89			5.27			1.94			(0.57	)		2.72
Less distributions:
Dividends from net investment income		(0.31	)		(0.22	)		(0.18	)		(0.21	)		(0.13	)
Distributions from net realized gains on investments		(1.46	)		—			—			—			—
Tax return of capital		—			—			(0.10	)B		(0.00	)B,C		(0.01	)B
Total distributions		(1.77	)		(0.22	)		(0.28	)		(0.21	)		(0.14	)
Net asset value, end of period	$	17.69		$	18.57		$	13.52		$	11.86		$	12.64
Total returnD		4.86	%		38.98	%		16.36	%		(4.54	)%		27.05	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	147,191		$	285,555		$	186,660		$	43,157		$	93,138
Ratios to average net assets:A
Net investment income		1.13	%		1.34	%		2.23	%		1.04	%		1.21	%
Expenses, including expenses allocated from the master portfolio		0.20	%		0.17	%		0.21	%		0.26	%		0.18	%

^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.

22

American Beacon International Equity Index Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	11.43		$	9.65		$	8.36		$	9.87		$	9.38
Income from investment operations:
Net investment incomeA		0.41			0.29			0.25			0.29			0.22
Net gain (loss) on investments, foreign currency and futures transactions (both realized and unrealized)		(1.11	)		1.79			1.29			(1.51	)		0.49
Total income (loss) from investment operations		(0.70	)		2.08			1.54			(1.22	)		0.71
Less distributions:
Dividends from net investment income		(0.42	)		(0.30	)		(0.25	)		(0.29	)		(0.22	)
Tax return of capital		—			—			—			—			—
Total distributions		(0.42	)		(0.30	)		(0.25	)		(0.29	)		(0.22	)
Net asset value, end of period	$	10.31		$	11.43		$	9.65		$	8.36		$	9.87
Total returnB		(6.19	)%		21.66	%		18.42	%		(12.29	)%		7.57	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	557,353		$	629,737		$	480,900		$	321,592		$	326,055
Ratios to average net assets:A
Net investment income		3.45	%		2.80	%		3.28	%		3.26	%		2.66	%
Expenses, including expenses allocated from the master portfolio		0.20	%		0.26	%		0.19	%		0.24	%		0.21	%

^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.

23

American Beacon Funds^SM

Privacy Policy and Federal Tax Information

December 31, 2014 (Unaudited)

Privacy Policy

The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

• information we receive from you on applications or other forms;

• information about your transactions with us or our service providers; and

• information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.

Federal Tax Information

Certain tax information regarding the Funds is required to be provided to shareholders upon the distribution of the Funds’ income for the taxable year ended December 31, 2014. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2014.

The Funds designated the following items with regard to distributions paid during the year ended December 31, 2014. All designations are based on financial information available as of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations there under.

	S&P 500 Index Fund			Small Cap Index Fund			International Equity Index Fund
Corporate Dividends Received Deduction		97.43	%		67.10	%		0.00	%
Qualified Dividend Income		100.00	%		77.46	%		98.41	%

Small Cap Index Fund paid $11,017,237 in long term capital gain distributions for the year ended December 31, 2014.

Shareholders will receive notification in January 2015 of the applicable tax information necessary to prepare their 2014 income tax returns.

25

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 220 East Las Colinas Boulevard, Suite 1200, Irving, Texas 75039. Each Trustee oversees thirty-three funds in the fund complex that includes the Trust and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
INTERESTED TRUSTEES	Term Lifetime of Trust until removal, resignation or retirement*
Alan D. Feld** (78)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Trustee, American Beacon Mileage Funds (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012).
NON-INTERESTED TRUSTEES	Term Lifetime of Trust until removal, resignation or retirement*
Gerard J. Arpey (56)	Trustee since 2012	Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, AMR Corp. and American Airlines; Inc. (2003-2011); Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present).
W. Humphrey Bogart (70)	Trustee since 2004	Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Brenda A. Cline (54)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Eugene J. Duffy (60)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Thomas M. Dunning (72)	Trustee since 2008	Chairman Emeritus (2008-Present) and Chairman (1998-2008), Lockton Dunning Benefits (consulting firm in employee benefits); Lead Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Richard A. Massman (71)	Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Barbara J. McKenna, CFA (51)	Trustee since 2012	Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present).
R. Gerald Turner (69) 225 Perkins Admin. Bldg. Southern Methodist Univ. Dallas, Texas75275	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Trustee, American Beacon Mileage Funds (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012).

25

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
OFFICERS	Term
	One Year
Gene L. Needles, Jr. (60)	President since 2009 Executive Vice President 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President (2009-Present), President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009-Present), American Beacon Mileage Funds; President (2008-2012), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors.
Rosemary K. Behan (55)	VP, Secretary and Chief Legal Officer since 2006	General Counsel, Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008-Present), Lighthouse Holdings Parent, Inc.
Brian E. Brett (54)	VP since 2004	Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present).
Wyatt L. Crumpler (48)	VP since 2007	Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2012), and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc.
Erica Duncan (44)	VP Since 2011	Vice President, Marketing and Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM.
Michael W. Fields (60)	VP since 1989	Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009).
Melinda G. Heika (53)	Treasurer since 2010	Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010-Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc.
Terri L. McKinney (51)	VP since 2010	Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc.
Jeffrey K. Ringdahl (39)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007).
Samuel J. Silver (51)	VP Since 2011	Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc.
Christina E. Sears (43)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.
Sonia L. Bates (58)	Asst. Treasurer since 2011	Director, Tax and Financial Reporting (2011-Present) and Manager, Tax and Financial Reporting (2005-2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings Parent, Inc.

* As of 11/12/2014, the Board has adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in which they reach the age of 75.

** Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors.

26

State Street Equity 500 Index Portfolio

Annual Report

December 31, 2014

State Street Equity 500 Index Portfolio

Portfolio of Investments

December 31, 2014

	Shares		Market Value
COMMON STOCKS – 96.9%
Consumer Discretionary – 11.7%
Amazon.com, Inc.(a)		58,102	$	18,031,956
AutoNation, Inc.(a)		12,469		753,252
AutoZone, Inc.(a)		4,988		3,088,121
Bed Bath & Beyond, Inc.(a)		31,630		2,409,257
Best Buy Co., Inc.		44,213		1,723,423
BorgWarner, Inc.		36,423		2,001,444
Cablevision Systems Corp. Class A		30,812		635,960
CarMax, Inc.(a)		32,197		2,143,676
Carnival Corp.		69,149		3,134,524
CBS Corp. Class B		72,993		4,039,433
Chipotle Mexican Grill, Inc.(a)		4,614		3,158,329
Coach, Inc.		38,800		1,457,328
Comcast Corp. Class A		391,565		22,714,686
D.R. Horton, Inc.		50,179		1,269,027
Darden Restaurants, Inc.		20,917		1,226,364
Delphi Automotive PLC		43,681		3,176,482
DIRECTV(a)		76,375		6,621,712
Discovery Communications, Inc. Class A(a)		21,597		744,017
Discovery Communications, Inc. Class C(a)		39,797		1,341,955
Dollar General Corp.(a)		44,487		3,145,231
Dollar Tree, Inc.(a)		30,293		2,132,021
Expedia, Inc.		15,023		1,282,363
Family Dollar Stores, Inc.		13,465		1,066,563
Ford Motor Co.		589,560		9,138,180
Fossil Group, Inc.(a)		7,617		843,506
GameStop Corp. Class A		16,878		570,476
Gannett Co., Inc.		34,252		1,093,666
Gap, Inc.		44,764		1,885,012
Garmin Ltd.		19,560		1,033,355
General Motors Co.		206,677		7,215,094
Genuine Parts Co.		24,420		2,602,439
Goodyear Tire & Rubber Co.		40,813		1,166,027
H&R Block, Inc.		45,551		1,534,158
Harley-Davidson, Inc.		33,585		2,213,587
Harman International Industries, Inc.		10,405		1,110,317
Hasbro, Inc.		15,428		848,386
Home Depot, Inc.		201,910		21,194,493
Interpublic Group of Cos., Inc.		62,228		1,292,475
Johnson Controls, Inc.		102,206		4,940,638
Kohl’s Corp.		29,888		1,824,363
L Brands, Inc.		36,546		3,163,056
Leggett & Platt, Inc.		20,944		892,424
Lennar Corp. Class A		26,425		1,184,104
Lowe’s Cos., Inc.		150,012		10,320,826
Macy’s, Inc.		53,161		3,495,336
Marriott International, Inc. Class A		33,797		2,637,180
Mattel, Inc.		47,843		1,480,502
McDonald’s Corp.		147,715		13,840,895
Michael Kors Holdings, Ltd.(a)		29,886		2,244,439
Mohawk Industries, Inc.(a)		9,669		1,502,176
Netflix, Inc.(a)		8,828		3,015,733
Newell Rubbermaid, Inc.		41,451		1,578,869
News Corp. Class A(a)		69,414		1,089,106
NIKE, Inc. Class B		105,051		10,100,654
Nordstrom, Inc.		20,456		1,624,002
O’Reilly Automotive, Inc.(a)		15,320		2,950,938
Omnicom Group, Inc.		38,550		2,986,468
PetSmart, Inc.		14,973		1,217,230
Priceline Group, Inc.(a)		7,908		9,016,781
PulteGroup, Inc.		47,343		1,015,981
PVH Corp.		12,451		1,595,845
Ralph Lauren Corp.		9,236		1,710,138
Ross Stores, Inc.		31,072		2,928,847
Royal Caribbean Cruises, Ltd.		25,100		2,068,993
Scripps Networks Interactive, Inc. Class A		15,263		1,148,846
Staples, Inc.		95,234		1,725,640
Starbucks Corp.		114,546		9,398,499
Starwood Hotels & Resorts Worldwide, Inc.		29,944		2,427,560
Target Corp.		95,444		7,245,154
Tiffany & Co.		16,081		1,718,416
Time Warner Cable, Inc.		42,574		6,473,802
Time Warner, Inc.		127,580		10,897,884
TJX Cos., Inc.		105,275		7,219,759
Tractor Supply Co.		19,474		1,534,941
TripAdvisor, Inc.(a)		15,715		1,173,282
Twenty-First Century Fox, Inc. Class A		285,609		10,968,814
Under Armour, Inc. Class A(a)		25,076		1,702,660
Urban Outfitters, Inc.(a)		15,839		556,424
V.F. Corp.		53,528		4,009,247
Viacom, Inc. Class B		57,541		4,329,960
Walt Disney Co.		236,793		22,303,533
Whirlpool Corp.		12,459		2,413,807
Wyndham Worldwide Corp.		19,646		1,684,841
Wynn Resorts, Ltd.		11,859		1,764,145
Yum! Brands, Inc.		67,990		4,953,071
				337,114,104
Consumer Staples – 9.5%
Altria Group, Inc.		303,870		14,971,675
Archer-Daniels-Midland Co.		97,392		5,064,384
Avon Products, Inc.		58,558		549,860
Brown-Forman Corp. Class B		24,161		2,122,302
Campbell Soup Co.		24,983		1,099,252
Clorox Co.		19,379		2,019,486
Coca-Cola Co.		599,122		25,294,931
Coca-Cola Enterprises, Inc.		35,313		1,561,541
Colgate-Palmolive Co.		130,379		9,020,923
ConAgra Foods, Inc.		66,051		2,396,330
Constellation Brands, Inc. Class A(a)		24,776		2,432,260
Costco Wholesale Corp.		66,834		9,473,719
CVS Health Corp.		174,027		16,760,540
Dr. Pepper Snapple Group, Inc.		28,303		2,028,759
Estee Lauder Cos., Inc. Class A		32,763		2,496,541
General Mills, Inc.		94,522		5,040,858
Hershey Co.		23,615		2,454,307
Hormel Foods Corp.		18,349		955,983
J.M. Smucker Co.		14,855		1,500,058
Kellogg Co.		40,207		2,631,146
Keurig Green Mountain, Inc.		18,089		2,394,893
Kimberly-Clark Corp.		57,473		6,640,430
Kraft Foods Group, Inc.		90,751		5,686,458

See Notes to Financial Statements.

28

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Market Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
Kroger Co.		76,955	$	4,941,281
Lorillard, Inc.		53,128		3,343,876
McCormick & Co., Inc.		20,261		1,505,392
Mead Johnson Nutrition Co.		30,568		3,073,307
Molson Coors Brewing Co. Class B		23,509		1,751,891
Mondelez International, Inc. Class A		255,894		9,295,350
Monster Beverage Corp.(a)		21,547		2,334,617
PepsiCo, Inc.		226,738		21,440,345
Philip Morris International, Inc.		237,687		19,359,606
Procter & Gamble Co.		411,961		37,525,527
Reynolds American, Inc.		45,070		2,896,649
Safeway, Inc.		32,165		1,129,635
Sysco Corp.		87,335		3,466,326
Tyson Foods, Inc. Class A		44,691		1,791,662
Wal-Mart Stores, Inc.		241,499		20,739,934
Walgreens Boots Alliance, Inc.		133,713		10,188,931
Whole Foods Market, Inc.		55,587		2,802,697
				272,183,662
Energy – 8.2%
Anadarko Petroleum Corp.		77,544		6,397,380
Apache Corp.		56,370		3,532,708
Baker Hughes, Inc.		64,694		3,627,393
Cabot Oil & Gas Corp.		65,622		1,943,067
Cameron International Corp.(a)		30,467		1,521,827
Chesapeake Energy Corp.		78,594		1,538,085
Chevron Corp.(b)		287,334		32,233,128
Cimarex Energy Co.		13,242		1,403,652
ConocoPhillips		187,103		12,921,333
CONSOL Energy, Inc.		32,173		1,087,769
Denbury Resources, Inc.		53,229		432,752
Devon Energy Corp.		59,550		3,645,056
Diamond Offshore Drilling, Inc.		9,954		365,411
Ensco PLC Class A		32,889		985,026
EOG Resources, Inc.		83,263		7,666,024
EQT Corp.		22,243		1,683,795
ExxonMobil Corp.(b)		644,672		59,599,926
FMC Technologies, Inc.(a)		33,409		1,564,878
Halliburton Co.		130,167		5,119,468
Helmerich & Payne, Inc.		14,974		1,009,547
Hess Corp.		38,344		2,830,554
Kinder Morgan, Inc.		258,176		10,923,427
Marathon Oil Corp.		99,689		2,820,202
Marathon Petroleum Corp.		43,801		3,953,478
Murphy Oil Corp.		24,962		1,261,080
Nabors Industries, Ltd.		41,720		541,526
National Oilwell Varco, Inc.		66,641		4,366,985
Newfield Exploration Co.(a)		20,685		560,977
Noble Corp. PLC		37,996		629,594
Noble Energy, Inc.		54,795		2,598,927
Occidental Petroleum Corp.		117,635		9,482,557
ONEOK, Inc.		31,504		1,568,584
Phillips 66		85,692		6,144,116
Pioneer Natural Resources Co.		23,524		3,501,547
QEP Resources, Inc.		27,323		552,471
Range Resources Corp.		24,841		1,327,751
Schlumberger, Ltd.		195,272		16,678,182
Southwestern Energy Co.(a)		51,844		1,414,823
Spectra Energy Corp.		104,141		3,780,318
Tesoro Corp.		20,049		1,490,643
Transocean, Ltd.		47,690		874,158
Valero Energy Corp.		78,586		3,890,007
Williams Cos., Inc. (The)		102,610		4,611,293
				234,081,425
Financials – 16.1%
ACE, Ltd.		49,767		5,717,233
Affiliated Managers Group, Inc.(a)		8,476		1,798,946
Aflac, Inc.		69,737		4,260,233
Allstate Corp.		63,967		4,493,682
American Express Co.		136,052		12,658,278
American International Group, Inc.		215,932		12,094,351
American Tower Corp. REIT		59,682		5,899,566
Ameriprise Financial, Inc.		27,963		3,698,107
Aon PLC		42,882		4,066,500
Apartment Investment & Management Co. Class A REIT		19,865		737,985
Assurant, Inc.		10,846		742,192
AvalonBay Communities, Inc. REIT		19,529		3,190,843
Bank of America Corp.		1,598,166		28,591,190
Bank of New York Mellon Corp.		172,691		7,006,074
BB&T Corp.		109,439		4,256,083
Berkshire Hathaway, Inc. Class B(a)		277,919		41,729,538
BlackRock, Inc.		19,418		6,943,100
Boston Properties, Inc. REIT		22,821		2,936,835
Capital One Financial Corp.		85,268		7,038,873
CBRE Group, Inc.(a)		42,908		1,469,599
Charles Schwab Corp.		172,289		5,201,405
Chubb Corp.		35,896		3,714,159
Cincinnati Financial Corp.		23,305		1,207,898
Citigroup, Inc.		462,693		25,036,318
CME Group, Inc.		49,092		4,352,006
Comerica, Inc.		25,917		1,213,952
Crown Castle International Corp. REIT		51,842		4,079,965
Discover Financial Services		68,377		4,478,010
E*TRADE Financial Corp.(a)		43,889		1,064,528
Equity Residential REIT		56,238		4,040,138
Essex Property Trust, Inc. REIT		9,555		1,974,063
Fifth Third Bancorp		122,654		2,499,075
Franklin Resources, Inc.		57,851		3,203,210
General Growth Properties, Inc. REIT		91,342		2,569,450
Genworth Financial, Inc. Class A(a)		71,189		605,107
Goldman Sachs Group, Inc.		62,188		12,053,900
Hartford Financial Services Group, Inc.		70,630		2,944,565
HCP, Inc. REIT		69,777		3,072,281
Health Care REIT, Inc.		49,581		3,751,794
Host Hotels & Resorts, Inc. REIT		113,659		2,701,674

See Notes to Financial Statements.

29

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Market Value
COMMON STOCKS – (continued)
Financials – (continued)
Hudson City Bancorp, Inc.		66,376	$	671,725
Huntington Bancshares, Inc.		122,865		1,292,540
Intercontinental Exchange, Inc.		17,525		3,843,057
Invesco Ltd.		65,489		2,588,125
Iron Mountain, Inc. REIT		33,274		1,286,373
J.P. Morgan Chase & Co.		571,672		35,775,234
KeyCorp		128,679		1,788,638
Kimco Realty Corp. REIT		64,016		1,609,362
Legg Mason, Inc.		15,615		833,373
Leucadia National Corp.		47,809		1,071,878
Lincoln National Corp.		40,310		2,324,678
Loews Corp.		48,012		2,017,464
M&T Bank Corp.		19,334		2,428,737
Marsh & McLennan Cos., Inc.		82,934		4,747,142
McGraw Hill Financial, Inc.		40,298		3,585,716
MetLife, Inc.		175,626		9,499,610
Moody’s Corp.		27,234		2,609,290
Morgan Stanley		231,955		8,999,854
NASDAQ OMX Group, Inc.		15,925		763,763
Navient Corp.		59,941		1,295,325
Northern Trust Corp.		35,310		2,379,894
People’s United Financial, Inc.		49,334		748,890
Plum Creek Timber Co., Inc. REIT		27,186		1,163,289
PNC Financial Services Group, Inc.		82,842		7,557,676
Principal Financial Group, Inc.		40,326		2,094,532
Progressive Corp.		85,852		2,317,146
ProLogis, Inc. REIT		74,347		3,199,151
Prudential Financial, Inc.		70,037		6,335,547
Public Storage, Inc. REIT		21,452		3,965,402
Regions Financial Corp.		213,143		2,250,790
Simon Property Group, Inc. REIT		47,435		8,638,388
State Street Corp.(c)		62,947		4,941,340
SunTrust Banks, Inc.		78,882		3,305,156
T. Rowe Price Group, Inc.		38,320		3,290,155
The Macerich Co. REIT		20,945		1,747,022
Torchmark Corp.		19,384		1,050,031
Travelers Cos., Inc.		51,098		5,408,723
U.S. Bancorp		271,630		12,209,769
Unum Group		35,424		1,235,589
Ventas, Inc. REIT		44,703		3,205,205
Vornado Realty Trust REIT		27,746		3,265,982
Wells Fargo & Co.		721,646		39,560,634
Weyerhaeuser Co. REIT		81,681		2,931,531
XL Group PLC		38,920		1,337,680
Zions Bancorporation		31,258		891,166
				463,155,278
Health Care – 13.8%
Abbott Laboratories		227,959		10,262,714
AbbVie, Inc.		241,063		15,775,163
Actavis PLC(a)		40,969		10,545,830
Aetna, Inc.		52,415		4,656,024
Agilent Technologies, Inc.		52,075		2,131,951
Alexion Pharmaceuticals, Inc.(a)		30,127		5,574,399
Allergan, Inc.		45,014		9,569,526
AmerisourceBergen Corp.		33,552		3,025,048
Amgen, Inc.		116,391		18,539,922
Anthem, Inc.		42,119		5,293,095
Baxter International, Inc.		82,545		6,049,723
Becton Dickinson and Co.		28,992		4,034,527
Biogen Idec, Inc.(a)		35,847		12,168,264
Boston Scientific Corp.(a)		208,377		2,760,995
Bristol-Myers Squibb Co.		251,212		14,829,044
C.R. Bard, Inc.		11,162		1,859,812
Cardinal Health, Inc.		52,424		4,232,190
CareFusion Corp.(a)		29,322		1,739,968
Celgene Corp.(a)		122,865		13,743,679
Cerner Corp.(a)		47,263		3,056,026
CIGNA Corp.		39,811		4,096,950
Covidien PLC		68,613		7,017,738
DaVita HealthCare Partners, Inc.(a)		26,572		2,012,563
DENTSPLY International, Inc.		20,166		1,074,243
Edwards Lifesciences Corp.(a)		16,445		2,094,764
Eli Lilly & Co.		149,057		10,283,442
Express Scripts Holding Co.(a)		111,647		9,453,152
Gilead Sciences, Inc.(a)		228,746		21,561,598
Hospira, Inc.(a)		25,017		1,532,291
Humana, Inc.		22,917		3,291,569
Intuitive Surgical, Inc.(a)		5,452		2,883,781
Johnson & Johnson		427,741		44,728,876
Laboratory Corp. of America Holdings(a)		13,347		1,440,141
Mallinckrodt PLC(a)		17,700		1,752,831
McKesson Corp.		36,031		7,479,315
Medtronic, Inc.		148,410		10,715,202
Merck & Co., Inc.		435,198		24,714,894
Mylan, Inc.(a)		56,907		3,207,848
Patterson Cos., Inc.		11,159		536,748
PerkinElmer, Inc.		16,632		727,317
Perrigo Co. PLC		20,814		3,479,268
Pfizer, Inc.		958,648		29,861,885
Quest Diagnostics, Inc.		22,158		1,485,915
Regeneron Pharmaceuticals, Inc.(a)		11,458		4,700,645
St. Jude Medical, Inc.		44,053		2,864,767
Stryker Corp.		45,595		4,300,976
Tenet Healthcare Corp.(a)		13,452		681,613
Thermo Fisher Scientific, Inc.		60,512		7,581,549
UnitedHealth Group, Inc.		146,122		14,771,473
Universal Health Services, Inc.		13,300		1,479,758
Varian Medical Systems, Inc.(a)		15,631		1,352,238
Vertex Pharmaceuticals, Inc.(a)		36,648		4,353,782
Waters Corp.(a)		11,915		1,343,059
Zimmer Holdings, Inc.		25,727		2,917,956
Zoetis, Inc.		76,228		3,280,091
				394,908,138
Industrials – 10.1%
3M Co.		97,443		16,011,834
ADT Corp.		25,056		907,779
Allegion PLC		12,837		711,940
AMETEK, Inc.		37,101		1,952,626
Boeing Co.		100,924		13,118,102
C.H. Robinson Worldwide, Inc.		22,382		1,676,188
Caterpillar, Inc.		93,855		8,590,548
Cintas Corp.		15,222		1,194,014

See Notes to Financial Statements.

30

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Market Value
COMMON STOCKS – (continued)
Industrials – (continued)
CSX Corp.		148,359	$	5,375,047
Cummins, Inc.		26,444		3,812,431
Danaher Corp.		93,178		7,986,286
Deere & Co.		53,954		4,773,310
Delta Air Lines, Inc.		125,066		6,151,997
Dover Corp.		24,145		1,731,679
Dun & Bradstreet Corp.		6,145		743,299
Eaton Corp. PLC		72,099		4,899,848
Emerson Electric Co.		105,369		6,504,428
Equifax, Inc.		17,295		1,398,647
Expeditors International of Washington, Inc.		29,444		1,313,497
Fastenal Co.		44,042		2,094,638
FedEx Corp.		40,350		7,007,181
Flowserve Corp.		18,955		1,134,078
Fluor Corp.		22,556		1,367,570
General Dynamics Corp.		48,689		6,700,580
General Electric Co.		1,530,863		38,684,908
Honeywell International, Inc.		120,603		12,050,652
Illinois Tool Works, Inc.		56,071		5,309,924
Ingersoll-Rand PLC		41,116		2,606,343
Jacobs Engineering Group, Inc.(a)		20,157		900,816
Joy Global, Inc.		14,887		692,543
Kansas City Southern		16,704		2,038,389
L-3 Communications Holdings, Inc.		12,465		1,573,208
Lockheed Martin Corp.		41,249		7,943,320
Masco Corp.		54,139		1,364,303
Nielsen NV		52,275		2,338,261
Norfolk Southern Corp.		47,268		5,181,045
Northrop Grumman Corp.		31,686		4,670,200
PACCAR, Inc.		54,235		3,688,522
Pall Corp.		16,107		1,630,189
Parker-Hannifin Corp.		21,814		2,812,915
Pentair PLC		28,991		1,925,582
Pitney Bowes, Inc.		30,921		753,545
Precision Castparts Corp.		21,978		5,294,061
Quanta Services, Inc.(a)		30,293		860,018
Raytheon Co.		47,736		5,163,603
Republic Services, Inc.		41,114		1,654,839
Robert Half International, Inc.		20,374		1,189,434
Rockwell Automation, Inc.		21,779		2,421,825
Rockwell Collins, Inc.		19,500		1,647,360
Roper Industries, Inc.		14,835		2,319,452
Ryder System, Inc.		6,855		636,487
Snap-on, Inc.		8,872		1,213,157
Southwest Airlines Co.		105,927		4,482,831
Stanley Black & Decker, Inc.		24,950		2,397,196
Stericycle, Inc.(a)		12,204		1,599,700
Textron, Inc.		44,906		1,890,992
Tyco International PLC		67,336		2,953,357
Union Pacific Corp.		134,838		16,063,251
United Parcel Service, Inc. Class B		106,455		11,834,602
United Rentals, Inc.(a)		15,200		1,550,552
United Technologies Corp.		130,327		14,987,605
W.W. Grainger, Inc.		9,412		2,399,025
Waste Management, Inc.		63,304		3,248,761
Xylem, Inc.		24,834		945,430
				290,075,750
Information Technology – 19.1%
Accenture PLC Class A		96,082		8,581,083
Adobe Systems, Inc.(a)		73,813		5,366,205
Akamai Technologies, Inc.(a)		27,734		1,746,133
Alliance Data Systems Corp.(a)		10,204		2,918,854
Altera Corp.		43,754		1,616,273
Amphenol Corp. Class A		45,180		2,431,136
Analog Devices, Inc.		46,018		2,554,919
Apple, Inc.		894,664		98,753,012
Applied Materials, Inc.		190,653		4,751,073
Autodesk, Inc.(a)		34,170		2,052,250
Automatic Data Processing, Inc.		73,365		6,116,440
Avago Technologies, Ltd.		38,718		3,894,644
Broadcom Corp. Class A		81,235		3,519,913
CA, Inc.		45,959		1,399,452
Cisco Systems, Inc.		781,729		21,743,792
Citrix Systems, Inc.(a)		25,678		1,638,256
Cognizant Technology Solutions Corp. Class A(a)		93,627		4,930,398
Computer Sciences Corp.		22,732		1,433,253
Corning, Inc.		191,950		4,401,413
eBay, Inc.(a)		172,158		9,661,507
Electronic Arts, Inc.(a)		50,121		2,356,439
EMC Corp.		306,874		9,126,433
F5 Networks, Inc.(a)		10,559		1,377,580
Facebook, Inc. Class A(a)		319,407		24,920,134
Fidelity National Information Services, Inc.		44,886		2,791,909
First Solar, Inc.(a)		11,749		523,947
Fiserv, Inc.(a)		36,442		2,586,289
FLIR Systems, Inc.		20,339		657,153
Google, Inc. Class A(a)		43,323		22,989,783
Google, Inc. Class C(a)		43,523		22,910,507
Harris Corp.		16,098		1,156,158
Hewlett-Packard Co.		282,863		11,351,292
Intel Corp.		746,920		27,105,727
International Business Machines Corp.		139,847		22,437,053
Intuit, Inc.		43,326		3,994,224
Juniper Networks, Inc.		58,444		1,304,470
KLA-Tencor Corp.		26,573		1,868,613
Lam Research Corp.		24,281		1,926,454
Linear Technology Corp.		35,021		1,596,958
Mastercard, Inc. Class A		148,349		12,781,750
Microchip Technology, Inc.		28,206		1,272,373
Micron Technology, Inc.(a)		163,528		5,725,115
Microsoft Corp.(b)		1,254,977		58,293,682
Motorola Solutions, Inc.		33,022		2,215,116
NetApp, Inc.		49,643		2,057,702
NVIDIA Corp.		75,012		1,503,991
Oracle Corp.		493,470		22,191,346
Paychex, Inc.		49,131		2,268,378
QUALCOMM, Inc.		255,185		18,967,901
Red Hat, Inc.(a)		28,130		1,944,908
Salesforce.com, Inc.(a)		89,205		5,290,749
SanDisk Corp.		33,206		3,253,524
Seagate Technology PLC		49,776		3,310,104
Symantec Corp.		108,203		2,775,948

See Notes to Financial Statements.

31

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

	Shares		Market Value
COMMON STOCKS – (continued)
Information Technology – (continued)
TE Connectivity, Ltd.		60,849	$	3,848,699
Teradata Corp.(a)		21,913		957,160
Texas Instruments, Inc.		158,906		8,495,909
Total System Services, Inc.		22,999		781,046
VeriSign, Inc.(a)		19,320		1,101,240
Visa, Inc. Class A		74,910		19,641,402
Western Digital Corp.		33,647		3,724,723
Western Union Co.		74,940		1,342,175
Xerox Corp.		161,592		2,239,665
Xilinx, Inc.		39,642		1,716,102
Yahoo!, Inc.(a)		137,637		6,952,045
				547,143,882
Materials – 3.1%
Air Products & Chemicals, Inc.		29,807		4,299,064
Airgas, Inc.		10,040		1,156,407
Alcoa, Inc.		183,889		2,903,607
Allegheny Technologies, Inc.		14,911		518,455
Avery Dennison Corp.		13,318		690,938
Ball Corp.		21,658		1,476,426
C.F. Industries Holdings, Inc.		8,006		2,181,955
Dow Chemical Co.		168,090		7,666,585
E.I. du Pont de Nemours & Co.		138,794		10,262,428
Eastman Chemical Co.		21,472		1,628,866
Ecolab, Inc.		41,565		4,344,374
FMC Corp.		18,522		1,056,310
Freeport-McMoRan, Inc.		157,964		3,690,039
International Flavors & Fragrances, Inc.		11,280		1,143,341
International Paper Co.		66,808		3,579,573
LyondellBasell Industries NV Class A		62,952		4,997,759
Martin Marietta Materials, Inc.		8,655		954,820
MeadWestvaco Corp.		24,943		1,107,220
Monsanto Co.		72,794		8,696,699
Mosaic Co.		47,516		2,169,105
Newmont Mining Corp.		73,573		1,390,530
Nucor Corp.		47,306		2,320,359
Owens-Illinois, Inc.(a)		22,763		614,373
PPG Industries, Inc.		21,444		4,956,781
Praxair, Inc.		45,000		5,830,200
Sealed Air Corp.		32,469		1,377,660
Sherwin-Williams Co.		12,287		3,231,972
Sigma-Aldrich Corp.		17,761		2,438,052
Vulcan Materials Co.		18,490		1,215,348
				87,899,246
Telecommunication Services – 2.2%
AT&T, Inc.		788,273		26,478,090
CenturyLink, Inc.		86,173		3,410,727
Frontier Communications Corp.		143,538		957,399
Level 3 Communications, Inc.(a)		41,500		2,049,270
Verizon Communications, Inc.		633,251		29,623,482
Windstream Holdings, Inc.		85,867		707,544
				63,226,512
Utilities – 3.1%
AES Corp.		98,059		1,350,272
AGL Resources, Inc.		18,002		981,289
Ameren Corp.		36,056		1,663,263
American Electric Power Co., Inc.		75,043		4,556,611
CenterPoint Energy, Inc.		65,335		1,530,799
CMS Energy Corp.		42,001		1,459,535
Consolidated Edison, Inc.		43,500		2,871,435
Dominion Resources, Inc.		87,668		6,741,669
DTE Energy Co.		26,039		2,248,988
Duke Energy Corp.		107,391		8,971,444
Edison International		49,505		3,241,587
Entergy Corp.		27,000		2,361,960
Exelon Corp.		131,659		4,881,916
FirstEnergy Corp.		61,729		2,406,814
Integrys Energy Group, Inc.		11,180		870,363
NextEra Energy, Inc.		66,357		7,053,086
NiSource, Inc.		47,478		2,014,017
Northeast Utilities		46,443		2,485,629
NRG Energy, Inc.		51,498		1,387,871
Pepco Holdings, Inc.		35,659		960,297
PG&E Corp.		72,012		3,833,919
Pinnacle West Capital Corp.		15,456		1,055,799
PPL Corp.		98,256		3,569,641
Public Service Enterprise Group, Inc.		76,936		3,185,920
SCANA Corp.		23,801		1,437,580
Sempra Energy		35,624		3,967,089
Southern Co.		139,484		6,850,059
TECO Energy, Inc.		30,250		619,823
Wisconsin Energy Corp.		32,976		1,739,154
Xcel Energy, Inc.		80,800		2,902,336
				89,200,165
TOTAL COMMON STOCKS (Cost: $1,279,834,253)				2,778,988,162
	Par Amount
U.S. GOVERNMENT SECURITIES – 0.2%
U.S. Treasury Bill(b)(d)(e) 0.01% due 01/15/2015		$  2,000,000		1,999,992
U.S. Treasury Bill(b)(d)(e) 0.00% due 01/29/2015		3,760,000		3,760,000
U.S. Treasury Bill(b)(d)(e) 0.00% due 03/12/2015		400,000		400,000
TOTAL U.S. GOVERNMENT SECURITIES (Cost: $6,159,992)				6,159,992
	Shares
MONEY MARKET FUND – 3.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07%(c)(f)		91,116,189		91,116,189
TOTAL MONEY MARKET FUND (Cost: $91,116,189)				91,116,189
TOTAL INVESTMENTS – 100.3% (Cost $1,377,110,434)				2,876,264,343
Liabilities in Excess of Other Assets – (0.3)%				(6,941,471	)
NET ASSETS – 100.0%			$	2,869,322,872

See Notes to Financial Statements.

32

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2014

^(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

^(e)  Securities are valued in accordance with procedures approved by the Board of Trustees. Securities’ values are determined based on Level 2 inputs.

^(f)  The rate shown is the annualized seven-day yield at period end.

PLC Public Limited Company

REIT  Real Estate Investment Trust

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 03/2015		875	$	89,792,500	$	2,382,058
Total unrealized appreciation on open futures contracts purchased					$	2,382,058

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 December 31, 2014 were as follows:

Security Description	Number of shares held at 12/31/13		Shares purchased for the year ended 12/31/14		Shares sold for the year ended 12/31/14			Number of shares held at 12/31/14		Value at 12/31/14		Income earned for the year ended 12/31/14		Realized gain/loss on shares sold
State Street Corp.		72,725		—		9,778	*		62,947	$	4,941,340	$	78,494	$	—
State Street Institutional Liquid Reserves Fund, Premier Class		41,178,491		407,287,719		357,350,021			91,116,189		91,116,189		45,460		—

* Shares of State Street Corp. were disposed of in a tax-free redemption in-kind (Note 7).

See Notes to Financial Statements.

33

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

December 31, 2014

Assets
Investments in unaffiliated issuers at market value (identified cost $1,283,925,771)	$	2,780,206,814
Investments in non-controlled affiliates at market value (identified cost $93,184,663) (Note 4)		96,057,529
Total investments at market value (identified cost $1,377,110,434)		2,876,264,343
Dividends and interest receivable		3,680,254
Dividend receivable from non-controlled affiliates (Note 4)		18,884
Total assets		2,879,963,481
Liabilities
Investment securities purchased		4,649,775
Due to custodian		4,769,756
Daily variation margin on futures contracts		1,063,125
Management fees payable (Note 4)		157,953
Total liabilities		10,640,609
Net Assets	$	2,869,322,872

See Notes to Financial Statements.

34

State Street Equity 500 Index Portfolio

Statement of Operations

Year Ended December 31, 2014

Investment Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $132,666)	$	55,933,764
Dividend income – non-controlled affiliated issuer		123,954
Interest		46,355
Total investment income		56,104,073
Expenses
Management fees (Note 4)		1,246,586
Other expenses		12,081
Total expenses		1,258,667
Net Investment Income		54,845,406
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments – unaffiliated issuers		10,063,213
Futures contracts		7,781,141
		17,844,354
Net change in net unrealized appreciation (depreciation) on:
Investments		278,443,408
Futures contracts		664,091
		279,107,499
Net realized and unrealized gain		296,951,853
Net Increase in Net Assets Resulting from Operations	$	351,797,259

See Notes to Financial Statements.

35

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	54,845,406		$	49,096,073
Net realized gain on investments and futures contracts		17,844,354			26,611,003
Net change in net unrealized appreciation on investments and futures contracts		279,107,499			590,532,985
Net increase in net assets from operations		351,797,259			666,240,061
Capital Transactions:
Contributions		353,779,321			235,748,437
Withdrawals		(185,039,609	)		(217,635,806	)
In-kind redemptions (Note 7)		(390,808,177	)		—
Net increase (decrease) in net assets from capital transactions		(222,068,465	)		18,112,631
Net Increase in Net Assets		129,728,794			684,352,692
Net Assets
Beginning of year		2,739,594,078			2,055,241,386
End of year	$	2,869,322,872		$	2,739,594,078

See Notes to Financial Statements.

36

State Street Equity 500 Index Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:

	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12			Year Ended 12/31/11			Year Ended 12/31/10
Supplemental Data and Ratios:
Net assets, end of period (in thousands)	$	2,869,323		$	2,739,594		$	2,055,241		$	1,825,528		$	2,098,137
Ratios to average net assets:
Expenses		0.045	%		0.045	%		0.045	%		0.045	%		0.045	%
Net investment income		1.98	%		2.05	%		2.26	%		2.04	%		1.99	%
Portfolio turnover rate(a)		2	%		4	%		9	%		15	%		12	%
Total return(b)		13.62	%		32.30	%		15.97	%		2.03	%		15.08	%

^(a)  The portfolio turnover rate excludes in-kind security transactions (Note 7).

^(b)  Results represent past performance and are not indicative of future results.

See Notes to Financial Statements.

37

State Street Equity 500 Index Portfolio

Notes to Financial Statements

December 31, 2014

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 consists of 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 December 31, 2014, the following Portfolios were operational: State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 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 U.S. There is no assurance that the Portfolio will achieve its objective.

The Portfolio is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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 at the quoted daily settlement price at the end of each day on the exchange upon which they are traded. 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. Investments in other mutual funds are valued at the net asset value per share. 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.

38

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2014

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase 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 December 31, 2014, in valuing the Portfolio’s assets carried at fair value:

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
ASSETS:
INVESTMENTS:
Common Stocks	$	2,778,988,162	$	—	$	—	$	2,778,988,162
U.S. Government Securities		—		6,159,992		—		6,159,992
Money Market Fund		91,116,189		—		—		91,116,189
TOTAL INVESTMENTS		2,870,104,351		6,159,992		—		2,876,264,343
OTHER ASSETS:
Futures contracts*		2,382,058		—		—		2,382,058
TOTAL ASSETS	$	2,872,486,409	$	6,159,992	$	—	$	2,878,646,401

* Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

For the year ended December 31, 2014, 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.

39

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2014

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, 2014, 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 December 31, 2014, tax years 2011 through 2013 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2014, the tax cost of investments was $1,377,110,434 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $1,513,888,774 and $14,734,865, respectively, resulting in net appreciation of $1,499,153,909 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 primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the benchmark 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 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

40

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2014

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 December 31, 2014:

Asset Derivatives⁽¹⁾

	Equity Contracts Risk		Total
Futures Contracts	$	2,382,058	$	2,382,058

Transactions in derivative instruments during the year ended December 31, 2014, were as follows:

Realized Gain (Loss)⁽²⁾

	Equity Contracts Risk		Total
Futures Contracts	$	7,781,141	$	7,781,141

Change in Appreciation (Depreciation)⁽³⁾

	Equity Contracts Risk		Total
Futures Contracts	$	664,091	$	664,091

⁽¹⁾  Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

⁽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 year ended December 31, 2014 was $66,568,250.

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.

3. Securities Transactions

For the year ended December 31, 2014, purchases and sales of investment securities, excluding short-term investments, and futures contracts, aggregated to $253,957,017 and $65,856,635, 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

41

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2014

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 December 31, 2014 is listed in the Portfolio of Investments.

5. Trustees’ Fees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.

The Trust’s officers are compensated by the Adviser and its affiliates.

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.

7. In-Kind Redemptions

On August 11, 2014, the State Street Equity 500 Index Fund redeemed its interest in the Portfolio in connection with a transfer of net assets to the State Street Equity 500 Index II Portfolio, a series of State Street Institutional Investment Trust. The transfer consisted of five hundred and three (503) securities totaling $387,955,841 at market value or 13% of the Portfolio and $2,852,336 in cash, and is disclosed in the Statement of Changes in Net Assets.

8. Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) share in a $300 million revolving credit facility provided by a syndication of banks. The Participants may borrow for the purpose of meeting shareholder redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is

42

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2014

calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on net assets. Commitment fees are ordinary fund operating expenses and are paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1%. The Portfolio may borrow up to a maximum of 33 percent of its assets. The Portfolio had no outstanding loans during the period ended December 31, 2014.

43

State Street Equity 500 Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Owners of Beneficial Interest of

State Street Master Funds:

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”) as of December 31, 2014, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 27, 2015

44

State Street Equity 500 Index Portfolio

General Information

December 31, 2014

Proxy Voting Policies and Procedures

Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on
Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling
1-877-521-4083 (toll-free).

45

State Street Equity 500 Index Portfolio

Trustees and Officers Information

December 31, 2014

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
William L. Boyan State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937	Trustee and Co-Chairman of the Valuation Committee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.

46

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).

47

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	59	Trustee, State Street Institutional Trust; Trustee SSGA Funds.
Douglas T. Williams State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940	Trustee and Co-Chairman of the Audit Committee	Term: Indefinite Elected: 7/99	President, Oakmont Homeowners Association (2012 –2013); President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 –1999); President, Boston Stock Exchange Depository Trust Company, 1981 –1982.	59	Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Treasurer, Nantucket Educational Trust, (2002 –2007).
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	59
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSGA Funds Management, Inc. (2012 – present); President, SSGA Funds Management, Inc. (2005 – 2012); Executive Vice President and Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	254

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSGA Funds Management, Inc., an affiliate of the Trust.

48

Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 –2012) and Senior Managing Director, State Street Global Advisors (1992 –present).*
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 –present); Vice President, SSGA Funds Management, Inc. (2008 –present); Principal, State Street Global Advisors (2005 –2008 –present).*
Laura F. Dell State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*
Caroline M. Connolly State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

49

Schedule of Investments December 31, 2014	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia — 7.3%
AGL Energy, Ltd.		134,154	$	1,463,231
ALS Ltd.		92,006		398,550
Alumina Ltd. (a)		512,206		739,983
Amcor Ltd.		254,055		2,795,197
AMP Ltd.		622,719		2,773,441
APA Group		260,454		1,574,520
Asciano Ltd.		211,529		1,035,910
ASX Ltd.		44,552		1,329,188
Aurizon Holdings Ltd.		462,702		1,731,557
AusNet Services		449,402		485,521
Australia & New Zealand Banking Group Ltd.		580,373		15,101,270
Bank of Queensland Ltd.		78,442		772,804
Bendigo and Adelaide Bank Ltd.		97,453		1,013,310
BGP Holdings PLC (a)		783,183		9
BHP Billiton Ltd.		676,186		15,986,810
Boral Ltd.		160,991		690,868
Brambles Ltd.		329,173		2,835,572
Caltex Australia Ltd.		30,182		837,462
Coca-Cola Amatil Ltd.		127,342		961,440
Cochlear Ltd.		11,624		733,321
Commonwealth Bank of Australia		341,351		23,716,636
Computershare Ltd.		90,027		861,167
Crown Resorts Ltd.		70,081		720,739
CSL Ltd.		99,920		7,018,950
Dexus Property Group		191,750		1,085,468
Federation Centres Ltd.		290,920		677,339
Flight Centre Travel Group Ltd.		12,329		326,361
Fortescue Metals Group Ltd.		342,631		752,294
Goodman Group		348,641		1,610,332
GPT Group		348,352		1,232,833
Harvey Norman Holdings Ltd.		122,036		333,107
Healthscope Ltd. (a)		246,247		544,021
Iluka Resources Ltd.		75,214		361,218
Incitec Pivot Ltd.		325,883		842,967
Insurance Australia Group Ltd.		493,908		2,507,824
Leighton Holdings Ltd.		23,200		422,438
Lend Lease Group		120,232		1,601,354
Macquarie Group Ltd.		60,864		2,870,154
Medibank Pvt, Ltd. (a)		579,560		1,140,298
Metcash Ltd.		170,560		257,049
Mirvac Group		775,736		1,122,141
National Australia Bank Ltd.		498,087		13,582,962
Newcrest Mining Ltd. (a)		156,844		1,380,060
Novion Property Group		426,508		733,090
Orica Ltd.		77,792		1,192,053
Origin Energy Ltd.		234,203		2,215,899
Qantas Airways Ltd. (a)		112,951		219,386
QBE Insurance Group Ltd.		282,815		2,568,069
Ramsay Health Care Ltd.		27,140		1,258,161
REA Group Ltd.		13,923		510,475
Rio Tinto Ltd.		91,745		4,301,088
Santos Ltd.		213,333		1,425,016
Scentre Group (a)		1,120,972		3,175,906
Seek Ltd.		70,701		985,862
Sonic Healthcare Ltd.		79,491		1,195,907

Common Stocks	Shares		Value
Australia (concluded)
Stockland		507,923	$	1,697,419
Suncorp Group Ltd.		270,880		3,094,474
Sydney Airport		221,305		847,265
Tabcorp Holdings Ltd.		174,938		590,541
Tatts Group Ltd.		281,428		791,516
Telstra Corp. Ltd.		916,913		4,451,452
Toll Holdings Ltd.		131,276		625,334
TPG Telecom Ltd.		63,778		348,883
Transurban Group		381,301		2,657,180
Treasury Wine Estates Ltd.		149,095		575,473
Wesfarmers Ltd.		236,540		8,008,687
Westfield Corp. (a)		415,643		3,046,813
Westpac Banking Corp.		654,576		17,605,326
Woodside Petroleum Ltd.		156,119		4,828,341
Woolworths Ltd.		265,256		6,591,505
WorleyParsons Ltd.		39,073		320,064
				194,088,861
Austria — 0.2%
Andritz AG		15,286		840,365
Erste Group Bank AG		60,899		1,416,430
IMMOFINANZ AG (a)		211,895		533,660
OMV AG		28,050		744,819
Raiffeisen Bank International AG		21,912		334,816
Strabag SE		30,711		—
Vienna Insurance Group AG		8,077		360,993
Voestalpine AG		24,354		962,301
				5,193,384
Belgium — 1.3%
Ageas		47,677		1,695,165
Anheuser-Busch InBev NV		169,299		19,053,133
Belgacom SA		31,472		1,141,914
Colruyt SA		13,316		619,054
Delhaize Group		20,521		1,494,448
Groupe Bruxelles Lambert SA		17,077		1,457,013
KBC Groep NV (a)		52,723		2,942,471
Solvay SA		12,840		1,737,445
Telenet Group Holding NV (a)		12,687		711,965
UCB SA		25,254		1,920,249
Umicore SA		24,014		966,331
				33,739,188
Denmark — 1.5%
A.P. Moeller — Maersk A/S, Class A		839		1,605,531
A.P. Moeller — Maersk A/S, Class B		1,504		2,991,381
Carlsberg A/S, Class B		22,974		1,764,400
Coloplast A/S, Class B		23,764		1,988,677
Danske Bank A/S		138,030		3,731,757
DSV A/S		37,104		1,129,779
ISS A/S (a)		19,959		572,880
Novo Nordisk A/S, Class B		422,539		17,873,298
Novozymes A/S, Class B		50,906		2,142,815
Pandora A/S		24,646		1,997,733
TDC A/S		180,713		1,378,280
Tryg A/S		3,832		428,176

Portfolio Abbreviations

ADR American Depositary Receipts

CLP Chilean Peso

CVA Certificaten Van Aandelen (Dutch Certificate)

FTSE Financial Times Stock Exchange

NOK Norwegian Krone

REIT Real Estate Investment Trust

EUR Euro

USD U.S. Dollar

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 51

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

Common Stocks	Shares		Value
Denmark (concluded)
Vestas Wind Systems A/S (a)		44,758	$	1,625,463
William Demant Holding A/S (a)		5,076		386,157
				39,616,327
Finland — 0.9%
Elisa OYJ		29,105		794,422
Fortum OYJ		94,393		2,049,418
Kone OYJ, Class B		65,865		2,998,684
Metso OYJ		22,142		662,924
Neste Oil OYJ		25,426		617,181
Nokia OYJ		788,467		6,235,831
Nokian Renkaat OYJ		23,350		569,589
Orion OYJ, Class B		19,952		620,517
Sampo OYJ, Class A		94,120		4,406,170
Stora Enso OYJ, Class R		118,803		1,062,213
UPM-Kymmene OYJ		114,518		1,876,739
Wartsila OYJ		32,969		1,475,633
				23,369,321
France — 9.4%
Accor SA		34,480		1,549,910
Aeroports de Paris		5,931		717,205
Air Liquide SA		72,548		8,977,066
Airbus Group NV		123,823		6,121,561
Alcatel-Lucent (a)		601,255		2,150,821
Alstom SA (a)		47,225		1,523,130
ArcelorMittal		210,781		2,309,294
Arkema		12,926		854,885
AtoS		16,799		1,334,772
AXA SA		382,400		8,811,658
BNP Paribas SA		223,019		13,165,719
Bollore SA (b)		123,936		564,416
Bollore SA (a)		200		903
Bouygues SA		33,945		1,225,692
Bureau Veritas SA		47,217		1,046,138
Cap Gemini SA		30,471		2,179,198
Carrefour SA		131,519		4,002,309
Casino Guichard-Perrachon SA		11,841		1,088,950
Christian Dior SA		11,613		1,987,426
Cie Generale des Etablissements Michelin		39,263		3,544,140
CNP Assurances		35,304		625,875
Compagnie de Saint-Gobain		95,664		4,052,405
Credit Agricole SA		216,971		2,800,774
Danone SA		121,989		7,975,404
Dassault Systemes SA		25,540		1,557,438
Edenred		42,595		1,178,007
EDF		52,815		1,453,912
Essilor International SA		43,022		4,797,784
Eurazeo		8,996		630,044
Eutelsat Communications SA		32,984		1,066,691
Fonciere Des Regions		5,222		482,645
GDF Suez		304,796		7,107,545
Gecina SA		6,152		768,001
Groupe Eurotunnel SA, Registered Shares		96,131		1,241,068
Hermes International		5,554		1,977,682
ICADE		7,932		634,660
Iliad SA		5,308		1,276,239
Imerys SA		6,409		471,516
JCDecaux SA		16,544		569,623
Kering		15,946		3,064,352
Klepierre		19,922		855,414
L’Oreal SA		52,923		8,857,818
Lafarge SA		39,327		2,760,759
Lagardere SCA		27,158		707,248
Legrand SA		55,749		2,924,490
LVMH Moet Hennessy Louis Vuitton SA		58,796		9,313,383
Natixis		189,865		1,252,846

Common Stocks	Shares		Value
France (concluded)
Numericable-SFR (a)		20,310	$	1,006,146
Orange SA		390,386		6,639,179
Pernod Ricard SA		44,706		4,968,519
Peugeot SA (a)		85,406		1,046,427
Publicis Groupe SA		39,231		2,813,464
Remy Cointreau SA		5,536		369,359
Renault SA		40,470		2,947,685
Rexel SA		55,694		997,820
Safran SA		57,071		3,520,993
Sanofi		250,386		22,827,802
Schneider Electric SE (a)		110,578		8,053,310
SCOR SE		33,603		1,018,182
SES SA		64,397		2,315,500
Societe BIC SA		6,127		814,425
Societe Generale SA		152,572		6,385,164
Sodexo		20,220		1,979,220
Suez Environnement Co.		63,813		1,111,828
Technip SA		22,724		1,353,613
Thales SA		18,591		1,005,906
Total SA		450,661		23,088,263
Unibail-Rodamco SE		20,640		5,302,889
Valeo SA		16,198		2,015,519
Vallourec SA		21,181		574,040
Veolia Environnement SA		91,896		1,627,738
Vinci SA		102,986		5,623,294
Vivendi SA (a)		255,525		6,360,152
Wendel SA		7,421		831,478
Zodiac Aerospace		38,441		1,294,223
				251,450,954
Germany — 8.9%
adidas AG		44,049		3,059,006
Allianz SE, Registered Shares		96,112		15,918,663
Axel Springer AG		9,650		582,037
BASF SE		193,376		16,220,555
Bayer AG, Registered Shares		174,105		23,731,969
Bayerische Motoren Werke AG		69,709		7,522,868
Bayerische Motoren Werke AG, Preference Shares		10,550		861,932
Beiersdorf AG		21,699		1,761,828
Brenntag AG		33,322		1,863,035
Celesio AG		12,746		410,812
Commerzbank AG (a)		203,745		2,672,440
Continental AG		23,160		4,884,969
Daimler AG, Registered Shares		202,719		16,836,637
Deutsche Annington Immobilien SE		48,830		1,657,860
Deutsche Bank AG, Registered Shares		290,391		8,695,569
Deutsche Boerse AG		41,077		2,919,009
Deutsche Lufthansa AG, Registered Shares		53,816		891,783
Deutsche Post AG, Registered Shares		203,747		6,614,016
Deutsche Telekom AG, Registered Shares		668,440		10,695,260
Deutsche Wohnen AG		57,606		1,358,909
E.ON SE		421,289		7,200,541
Fraport AG Frankfurt Airport Services Worldwide		7,087		408,933
Fresenius Medical Care AG & Co. KGaA		45,695		3,410,530
Fresenius SE & Co. KGaA		79,687		4,143,249
Fuchs Petrolub SE, Preference Shares		15,102		601,497
GEA Group AG		36,528		1,605,996
Hannover Rueck SE		12,795		1,154,254
HeidelbergCement AG		29,980		2,115,985
Henkel AG & Co. KGaA		24,746		2,397,107
Henkel AG & Co. KGaA, Preference Shares		37,511		4,040,604
Hugo Boss AG		8,933		1,092,788
Infineon Technologies AG		238,913		2,528,142
K+S AG, Registered Shares		36,888		1,017,930
Kabel Deutschland Holding AG (a)		5,530		749,418
Lanxess AG		20,366		943,195
Linde AG		39,105		7,203,232

See Notes to Financial Statements.

52     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Germany (concluded)
MAN SE		7,261	$	808,649
Merck KGaA		27,230		2,562,570
Metro AG (a)		32,370		989,476
Muenchener Rueckversicherungs AG,
Registered Shares		36,412		7,250,991
Osram Licht AG (a)		17,775		697,845
Porsche Automobil Holding SE, Preference Shares		32,239		2,607,251
ProSiebenSat.1 Media AG, Registered Shares		46,970		1,962,562
RWE AG		103,035		3,180,140
SAP AG		193,986		13,545,725
Siemens AG, Registered Shares		166,937		18,730,978
Symrise AG		26,862		1,618,303
Telefonica Deutschland Holding AG (a)		122,544		649,464
ThyssenKrupp AG (a)		95,578		2,434,738
TUI AG (a)		54,087		893,609
TUI AG		41,148		661,215
United Internet AG, Registered Shares		25,290		1,139,185
Volkswagen AG		5,970		1,294,317
Volkswagen AG, Preference Shares		34,224		7,606,467
				238,406,043
Hong Kong — 3.0%
AIA Group Ltd.		2,536,000		13,987,217
ASM Pacific Technology Ltd.		43,604		415,173
Bank of East Asia Ltd.		276,732		1,111,361
BOC Hong Kong Holdings Ltd.		778,900		2,595,404
Cathay Pacific Airways Ltd.		199,263		434,261
Cheung Kong Holdings Ltd.		292,835		4,904,054
Cheung Kong Infrastructure Holdings Ltd.		140,500		1,033,204
CLP Holdings Ltd.		399,187		3,456,723
First Pacific Co. Ltd.		505,250		498,934
Galaxy Entertainment Group Ltd.		491,000		2,728,346
Hang Lung Properties Ltd.		500,000		1,394,854
Hang Seng Bank Ltd.		161,153		2,678,438
Henderson Land Development Co. Ltd.		221,564		1,539,929
HKT Trust and HKT Ltd.		523,560		681,908
Hong Kong & China Gas Co. Ltd.		1,328,556		3,026,907
Hong Kong Exchanges & Clearing Ltd.		201,327		4,444,640
Hutchison Whampoa Ltd.		449,176		5,134,782
Hysan Development Co. Ltd.		154,791		686,963
Kerry Properties Ltd.		168,500		607,861
Li & Fung Ltd.		1,167,980		1,093,477
The Link REIT		486,414		3,045,321
MGM China Holdings Ltd.		223,600		564,570
MTR Corp.		290,500		1,188,512
New World Development Co. Ltd.		1,037,968		1,191,597
NWS Holdings Ltd.		375,824		689,351
PCCW Ltd.		849,000		578,076
Power Assets Holdings Ltd.		292,000		2,823,059
Sands China Ltd.		509,400		2,479,833
Shangri-La Asia Ltd.		225,905		309,553
Sino Land Co., Ltd.		639,263		1,026,212
SJM Holdings Ltd.		469,000		741,440
Sun Hung Kai Properties Ltd.		344,324		5,216,659
Swire Pacific Ltd., Class A		129,077		1,675,481
Swire Properties Ltd.		254,400		748,550
Techtronic Industries Co.		294,000		943,177
WH Group, Ltd. (a)(c)		778,500		443,960
Wharf Holdings Ltd.		319,357		2,292,693
Wheelock & Co. Ltd.		205,000		951,803
Wynn Macau Ltd.		357,600		997,651
Yue Yuen Industrial Holdings Ltd.		167,785		603,321
				80,965,255
Ireland — 0.8%
Bank of Ireland (a)		5,825,131		2,186,119
CRH PLC		155,659		3,742,893

Common Stocks	Shares		Value
Ireland (concluded)
Experian PLC		208,584	$	3,516,091
James Hardie Industries SE		97,902		1,045,129
Kerry Group PLC, Class A		33,489		2,313,626
Ryanair Holdings PLC (a)		10,891		129,207
Ryanair Holdings PLC — ADR (a)		4,433		315,940
Shire PLC		124,126		8,800,543
				22,049,548
Israel — 0.6%
Bank Hapoalim BM		211,043		992,351
Bank Leumi Le-Israel BM (a)		264,903		904,964
Bezeq The Israeli Telecommunication Corp. Ltd.		386,409		685,418
Delek Group Ltd.		1,219		305,762
Israel Chemicals Ltd.		90,372		650,243
The Israel Corp. Ltd. (a)		641		303,387
Mizrahi Tefahot Bank Ltd. (a)		35,985		376,597
NICE Systems Ltd.		12,039		608,853
Teva Pharmaceutical Industries Ltd.		180,410		10,341,973
				15,169,548
Italy — 2.1%
Assicurazioni Generali SpA		245,837		5,047,732
Atlantia SpA		87,994		2,045,152
Banca Monte dei Paschi di Siena SpA (a)		973,823		554,759
Banco Popolare SC (a)		72,344		870,424
Enel Green Power SpA		350,190		733,704
Enel SpA		1,385,841		6,177,407
Eni SpA		535,597		9,381,773
Exor SpA		21,875		897,570
Finmeccanica SpA (a)		85,824		797,719
Intesa Sanpaolo SpA		2,624,944		7,538,362
Luxottica Group SpA		36,122		1,980,166
Mediobanca SpA		120,458		978,784
Pirelli & C SpA		47,542		641,218
Prysmian SpA		44,113		803,904
Saipem SpA (a)		50,972		534,322
Snam SpA		431,627		2,136,217
Telecom Italia SpA (a)		2,139,354		2,281,592
Telecom Italia SpA, Non-Convertible Savings Shares		1,286,225		1,075,341
Tenaris SA		102,746		1,552,579
Terna — Rete Elettrica Nazionale SpA		329,575		1,496,985
UniCredit SpA		925,845		5,930,604
Unione di Banche Italiane SCpA		174,377		1,247,189
UnipolSai SpA		211,988		570,747
				55,274,250
Japan — 20.6%
ABC-Mart, Inc.		4,700		227,425
Acom Co. Ltd. (a)		116,300		355,046
Advantest Corp.		32,000		396,619
Aeon Co. Ltd.		142,700		1,434,062
AEON Financial Service Co. Ltd.		26,100		515,499
Aeon Mall Co. Ltd.		21,850		387,203
Air Water, Inc.		36,000		570,219
Aisin Seiki Co. Ltd.		40,300		1,447,915
Ajinomoto Co., Inc.		113,000		2,103,708
Alfresa Holdings Corp.		26,300		317,597
Amada Co. Ltd.		68,600		587,819
ANA Holdings, Inc.		244,000		603,322
Aozora Bank Ltd.		231,000		715,070
Asahi Glass Co. Ltd.		218,100		1,061,749
Asahi Group Holdings Ltd.		77,300		2,391,454
Asahi Kasei Corp.		268,000		2,444,810
Asics Corp.		32,000		770,409
Astellas Pharma, Inc.		452,000		6,292,790
The Bank of Kyoto Ltd.		69,000		576,814
The Bank of Yokohama Ltd.		245,000		1,330,665

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 53

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

Common Stocks	Shares		Value
Japan (continued)
Benesse Holdings, Inc.		15,300	$	453,996
Bridgestone Corp.		137,000		4,751,424
Brother Industries Ltd.		47,100		853,798
Calbee, Inc.		15,700		540,814
Canon, Inc.		238,700		7,586,780
Casio Computer Co. Ltd.		33,900		518,580
Central Japan Railway Co.		30,400		4,556,238
The Chiba Bank Ltd.		170,000		1,113,993
Chiyoda Corp.		29,000		240,265
Chubu Electric Power Co., Inc. (a)		140,500		1,651,019
Chugai Pharmaceutical Co. Ltd.		47,100		1,156,461
The Chugoku Bank Ltd.		31,900		434,827
The Chugoku Electric Power Co., Inc.		71,400		933,518
Citizen Holdings Co. Ltd.		53,500		411,651
COLOPL, Inc.		12,900		289,892
Credit Saison Co. Ltd.		29,600		550,453
Dai Nippon Printing Co. Ltd.		128,000		1,152,837
The Dai-ichi Life Insurance Co. Ltd.		227,000		3,445,824
Daicel Corp.		58,000		677,468
Daihatsu Motor Co. Ltd.		44,100		575,983
Daiichi Sankyo Co. Ltd.		136,800		1,912,840
Daikin Industries Ltd.		49,400		3,167,727
Daito Trust Construction Co. Ltd.		14,500		1,644,848
Daiwa House Industry Co. Ltd.		118,700		2,242,389
Daiwa Securities Group, Inc.		350,000		2,740,548
Denso Corp.		102,400		4,772,640
Dentsu, Inc.		43,213		1,816,736
Don Quijote Co. Ltd.		11,800		811,214
East Japan Railway Co.		70,449		5,309,801
Eisai Co. Ltd.		54,100		2,092,217
Electric Power Development Co. Ltd.		24,500		827,878
FamilyMart Co. Ltd.		14,700		553,658
FANUC Corp.		40,300		6,644,675
Fast Retailing Co. Ltd.		11,200		4,075,625
Fuji Electric Co. Ltd.		132,800		529,458
Fuji Heavy Industries Ltd.		123,600		4,373,706
FUJIFILM Holdings Corp.		97,500		2,975,070
Fujitsu Ltd.		396,000		2,111,340
Fukuoka Financial Group, Inc.		154,000		793,942
GungHo Online Entertainment, Inc. (b)		89,400		323,682
The Gunma Bank Ltd.		93,000		603,524
The Hachijuni Bank Ltd.		71,000		456,075
Hakuhodo DY Holdings, Inc.		50,500		483,282
Hamamatsu Photonics KK		15,000		714,045
Hankyu Hanshin Holdings, Inc.		229,000		1,228,378
Hikari Tsushin, Inc.		4,700		285,875
Hino Motors Ltd.		53,300		701,604
Hirose Electric Co. Ltd.		7,100		823,763
The Hiroshima Bank Ltd.		112,000		533,077
Hisamitsu Pharmaceutical Co., Inc.		12,100		381,547
Hitachi Chemical Co. Ltd.		21,700		383,370
Hitachi Construction Machinery Co. Ltd.		21,500		454,578
Hitachi High-Technologies Corp.		14,600		419,410
Hitachi Ltd.		1,018,000		7,513,616
Hitachi Metals Ltd.		51,000		866,535
Hokuhoku Financial Group, Inc.		226,000		455,737
Hokuriku Electric Power Co.		43,200		551,682
Honda Motor Co. Ltd.		343,200		10,068,896
Hoya Corp.		89,600		3,030,704
Hulic Co. Ltd.		50,600		505,857
Ibiden Co. Ltd.		28,100		414,928
Idemitsu Kosan Co. Ltd.		22,100		364,944
IHI Corp.		293,000		1,483,886
Iida Group Holdings Co. Ltd.		32,600		397,118
Inpex Corp.		188,400		2,097,450
Isetan Mitsukoshi Holdings Ltd.		73,805		913,277
Isuzu Motors Ltd.		129,400		1,576,132

Common Stocks	Shares		Value
Japan (continued)
ITOCHU Corp.		317,000	$	3,384,005
Itochu Techno-Solutions Corp.		4,800		169,365
The Iyo Bank Ltd.		52,600		569,697
J. Front Retailing Co. Ltd.		45,800		530,455
Japan Airlines Co. Ltd.		25,180		746,563
Japan Display, Inc. (a)		101,000		308,251
Japan Exchange Group, Inc.		50,600		1,179,545
Japan Prime Realty Investment Corp.		164		570,630
Japan Real Estate Investment Corp.		258		1,243,115
Japan Retail Fund Investment Corp.		521		1,101,020
Japan Tobacco, Inc.		231,600		6,374,273
JFE Holdings, Inc.		104,400		2,328,212
JGC Corp.		41,000		844,059
The Joyo Bank Ltd.		125,000		618,986
JSR Corp.		31,000		532,093
JTEKT Corp.		47,500		799,415
JX Holdings, Inc.		448,660		1,746,008
Kajima Corp.		175,800		722,948
Kakaku.com, Inc.		36,400		520,764
Kamigumi Co. Ltd.		60,000		534,469
Kaneka Corp.		53,000		283,986
The Kansai Electric Power Co., Inc. (a)		140,600		1,337,541
Kansai Paint Co. Ltd.		50,000		774,598
Kao Corp.		108,600		4,282,590
Kawasaki Heavy Industries Ltd.		314,000		1,427,928
KDDI Corp.		122,800		7,714,793
Keihan Electric Railway Co. Ltd.		110,000		588,639
Keikyu Corp.		97,000		717,682
Keio Corp.		123,000		884,810
Keisei Electric Railway Co. Ltd.		62,000		753,887
Keyence Corp.		9,592		4,274,144
Kikkoman Corp.		33,000		808,798
Kintetsu Corp.		413,000		1,357,905
Kirin Holdings Co. Ltd.		174,400		2,167,075
Kobe Steel Ltd.		668,000		1,150,629
Koito Manufacturing Co. Ltd.		19,800		605,717
Komatsu Ltd.		196,600		4,346,419
Konami Corp.		20,700		379,501
Konica Minolta, Inc.		105,900		1,153,888
Kubota Corp.		237,000		3,440,000
Kuraray Co. Ltd.		73,000		829,411
Kurita Water Industries Ltd.		25,700		535,899
Kyocera Corp.		67,600		3,093,348
Kyowa Hakko Kirin Co. Ltd.		52,000		489,663
Kyushu Electric Power Co., Inc. (a)		94,000		941,429
Lawson, Inc.		13,900		839,951
LIXIL Group Corp.		53,200		1,119,634
M3, Inc.		36,600		612,391
Mabuchi Motor Co. Ltd.		10,000		396,924
Makita Corp.		26,600		1,198,648
Marubeni Corp.		329,800		1,973,316
Marui Group Co. Ltd.		58,700		529,456
Maruichi Steel Tube Ltd.		14,000		297,966
Mazda Motor Corp.		113,680		2,730,090
McDonald’s Holdings Co. Japan Ltd. (b)		15,400		337,071
Medipal Holdings Corp.		32,000		373,750
Meiji Holdings Co. Ltd.		11,393		1,036,526
Minebea Co., Ltd.		74,000		1,092,824
Miraca Holdings, Inc.		14,700		632,377
Mitsubishi Chemical Holdings Corp.		296,900		1,440,111
Mitsubishi Corp.		290,600		5,318,014
Mitsubishi Electric Corp.		407,000		4,834,366
Mitsubishi Estate Co. Ltd.		263,000		5,541,637
Mitsubishi Gas Chemical Co., Inc.		64,000		321,209
Mitsubishi Heavy Industries Ltd.		639,200		3,527,480
Mitsubishi Logistics Corp.		25,000		363,596
Mitsubishi Materials Corp.		235,000		779,594

See Notes to Financial Statements.

54     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Japan (continued)
Mitsubishi Motors Corp.		141,100	$	1,289,014
Mitsubishi Tanabe Pharma Corp.		44,700		655,240
Mitsubishi UFJ Financial Group, Inc.		2,684,774		14,750,751
Mitsubishi UFJ Lease & Finance Co., Ltd.		99,100		466,050
Mitsui & Co. Ltd.		359,300		4,812,152
Mitsui Chemicals, Inc.		207,000		586,302
Mitsui Fudosan Co. Ltd.		198,000		5,309,477
Mitsui OSK Lines Ltd.		197,000		583,660
Mixi, Inc.		8,900		328,144
Mizuho Financial Group, Inc.		4,858,664		8,144,588
MS&AD Insurance Group Holdings, Inc.		106,870		2,532,628
Murata Manufacturing Co. Ltd.		42,700		4,659,463
Nabtesco Corp.		23,400		565,546
Nagoya Railroad Co. Ltd.		180,000		670,180
Namco Bandai Holdings, Inc.		41,200		872,257
NEC Corp.		520,000		1,511,120
Nexon Co. Ltd.		27,400		255,426
NGK Insulators Ltd.		52,000		1,065,911
NGK Spark Plug Co. Ltd.		33,500		1,017,912
NH Foods Ltd.		35,000		765,740
NHK Spring Co. Ltd.		41,900		364,587
Nidec Corp.		45,800		2,958,023
Nikon Corp.		73,600		977,916
Nintendo Co. Ltd.		22,400		2,337,610
Nippon Building Fund, Inc.		311		1,561,254
Nippon Electric Glass Co. Ltd.		72,500		326,234
Nippon Express Co. Ltd.		175,000		886,861
Nippon Paint Co. Ltd.		36,000		1,043,208
Nippon Prologis REIT, Inc.		336		729,541
Nippon Steel & Sumitomo Metal		1,600,265		3,969,668
Nippon Telegraph & Telephone Corp.		78,976		4,034,299
Nippon Yusen KK		293,000		827,580
Nissan Motor Co. Ltd.		523,500		4,565,845
Nisshin Seifun Group, Inc.		53,240		515,415
Nissin Foods Holdings Co. Ltd.		12,600		600,555
Nitori Holdings Co. Ltd.		15,000		805,927
Nitto Denko Corp.		33,810		1,889,151
NOK Corp.		23,500		598,157
Nomura Holdings, Inc.		764,600		4,326,898
Nomura Real Estate Holdings, Inc.		30,600		523,642
Nomura Research Institute Ltd.		20,500		626,996
NSK Ltd.		99,000		1,168,867
NTT Data Corp.		28,900		1,076,664
NTT DoCoMo, Inc.		321,700		4,684,932
NTT Urban Development Corp.		24,600		247,737
Obayashi Corp.		133,000		857,344
Odakyu Electric Railway Co. Ltd.		118,000		1,045,258
Oji Holdings Corp.		170,000		608,241
Olympus Corp. (a)		51,500		1,804,062
Omron Corp.		40,800		1,825,207
Ono Pharmaceutical Co. Ltd.		17,400		1,540,518
Oracle Corp. Japan		10,100		411,537
Oriental Land Co. Ltd.		10,000		2,306,139
ORIX Corp.		278,700		3,506,824
Osaka Gas Co. Ltd.		375,000		1,400,606
Otsuka Corp.		10,500		332,938
Otsuka Holdings Co. Ltd.		82,500		2,473,450
Panasonic Corp.		464,800		5,474,616
Park24 Co. Ltd.		26,000		382,755
Rakuten, Inc.		169,400		2,355,644
Recruit Holdings Co. Ltd.		28,700		824,244
Resona Holdings, Inc.		466,956		2,358,829
Ricoh Co. Ltd.		141,400		1,429,420
Rinnai Corp.		6,600		443,468
Rohm Co. Ltd.		21,900		1,319,546
Sankyo Co. Ltd.		11,200		384,203
Sanrio Co. Ltd. (b)		13,000		321,199

Common Stocks	Shares		Value
Japan (continued)
Santen Pharmaceutical Co. Ltd.		17,000	$	915,191
SBI Holdings, Inc.		48,340		528,145
Secom Co. Ltd.		44,300		2,545,239
Sega Sammy Holdings, Inc.		43,932		562,073
Seibu Holdings, Inc.		23,900		487,270
Seiko Epson Corp.		27,300		1,142,346
Sekisui Chemical Co. Ltd.		91,000		1,094,818
Sekisui House Ltd.		121,000		1,592,115
Seven & I Holdings Co. Ltd.		158,600		5,705,055
Seven Bank Ltd.		108,100		453,748
Sharp Corp. (a)		332,000		734,482
Shikoku Electric Power Co., Inc. (a)		43,600		528,854
Shimadzu Corp.		44,000		447,567
Shimamura Co. Ltd.		4,400		379,706
Shimano, Inc.		16,700		2,163,010
Shimizu Corp.		118,000		801,465
Shin-Etsu Chemical Co. Ltd.		86,400		5,624,616
Shinsei Bank Ltd.		341,000		593,482
Shionogi & Co. Ltd.		64,800		1,674,162
Shiseido Co. Ltd.		71,900		1,008,355
The Shizuoka Bank Ltd.		106,000		969,297
Showa Shell Sekiyu KK		48,300		475,777
SMC Corp.		11,600		3,041,798
Softbank Corp.		202,200		12,035,601
Sompo Japan Nipponkoa Holdings Inc.		66,375		1,669,178
Sony Corp. (a)		220,800		4,506,363
Sony Financial Holdings, Inc.		34,800		512,434
Stanley Electric Co. Ltd.		28,800		621,891
Sumitomo Chemical Co. Ltd.		298,000		1,173,144
Sumitomo Corp.		224,800		2,308,849
Sumitomo Dainippon Pharma Co. Ltd.		33,200		321,505
Sumitomo Electric Industries Ltd.		161,100		2,012,022
Sumitomo Heavy Industries Ltd.		124,000		666,994
Sumitomo Metal Mining Co. Ltd.		105,000		1,566,062
Sumitomo Mitsui Financial Group, Inc.		267,950		9,687,116
Sumitomo Mitsui Trust Holdings, Inc.		698,820		2,676,681
Sumitomo Realty & Development Co. Ltd.		75,000		2,555,186
Sumitomo Rubber Industries Ltd.		34,200		508,419
Suntory Beverage & Food Ltd.		27,800		960,470
Suruga Bank Ltd.		39,800		731,404
Suzuken Co. Ltd.		15,000		414,351
Suzuki Motor Corp.		77,000		2,307,485
Sysmex Corp.		30,600		1,358,104
T&D Holdings, Inc.		115,700		1,386,994
Taiheiyo Cement Corp.		252,000		790,619
Taisei Corp.		217,000		1,230,826
Taisho Pharmaceutical Holdings Co. Ltd.		7,100		433,813
Taiyo Nippon Sanso Corp.		28,000		308,241
Takashimaya Co. Ltd.		58,000		463,112
Takeda Pharmaceutical Co. Ltd.		166,300		6,884,451
TDK Corp.		24,600		1,448,827
Teijin Ltd.		166,000		441,211
Terumo Corp.		66,900		1,518,379
THK Co. Ltd.		26,200		629,636
Tobu Railway Co. Ltd.		236,000		1,009,169
Toho Co. Ltd.		22,700		515,052
Toho Gas Co. Ltd.		82,000		401,174
Tohoku Electric Power Co., Inc.		102,000		1,186,920
Tokio Marine Holdings, Inc.		145,800		4,735,246
The Tokyo Electric Power Co., Inc. (a)		269,900		1,097,768
Tokyo Electron Ltd.		34,300		2,600,976
Tokyo Gas Co. Ltd.		464,000		2,503,587
Tokyo Tatemono Co. Ltd.		88,000		640,431
Tokyu Corp.		227,000		1,406,599
Tokyu Fudosan Holdings Corp.		96,000		666,077
TonenGeneral Sekiyu KK		52,000		443,903
Toppan Printing Co. Ltd.		102,000		662,739

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 55

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

Common Stocks	Shares		Value
Japan (concluded)
Toray Industries, Inc.		293,700	$	2,346,657
Toshiba Corp.		848,000		3,576,269
Toto Ltd.		54,000		628,166
Toyo Seikan Kaisha Ltd.		32,800		407,426
Toyo Suisan Kaisha Ltd.		19,900		640,757
Toyoda Gosei Co. Ltd.		17,900		360,045
Toyota Industries Corp.		32,500		1,665,681
Toyota Motor Corp.		575,700		35,876,095
Toyota Tsusho Corp.		44,700		1,038,377
Trend Micro, Inc.		24,700		682,541
Unicharm Corp.		74,400		1,783,300
United Urban Investment Corp.		589		927,158
USS Co. Ltd.		48,800		749,797
West Japan Railway Co.		32,900		1,555,453
Yahoo! Japan Corp.		321,800		1,153,307
Yakult Honsha Co. Ltd.		19,000		1,002,914
Yamada Denki Co. Ltd.		192,800		646,867
Yamaguchi Financial Group, Inc.		42,000		431,640
Yamaha Corp.		33,500		493,786
Yamaha Motor Co. Ltd.		53,700		1,074,392
Yamato Holdings Co. Ltd.		79,200		1,568,293
Yamato Kogyo Co. Ltd.		6,400		178,999
Yamazaki Baking Co. Ltd.		29,000		357,838
Yaskawa Electric Corp.		51,200		653,984
Yokogawa Electric Corp.		46,100		505,857
The Yokohama Rubber Co. Ltd.		47,000		427,950
				550,412,689
Luxembourg — 0.1%
Altice SA (a)		18,049		1,425,291
RTL Group SA		8,978		856,107
				2,281,398
Netherlands — 4.4%
Aegon NV		384,035		2,886,395
Akzo Nobel NV		51,083		3,534,434
ASML Holding NV		75,271		8,132,842
CNH Industrial NV		189,226		1,531,799
Corio NV		15,985		782,815
Delta Lloyd NV		44,127		970,368
Gemalto NV (b)		15,823		1,295,072
Heineken Holding NV		22,349		1,399,081
Heineken NV		48,509		3,444,512
ING Groep NV CVA (a)		812,182		10,493,114
Koninklijke Ahold NV		188,301		3,346,647
Koninklijke Boskalis Westminster NV		18,803		1,028,620
Koninklijke DSM NV		36,506		2,226,610
Koninklijke KPN NV		681,737		2,152,481
Koninklijke Philips Electronics NV		201,414		5,838,188
Koninklijke Vopak NV		15,223		789,799
NN Group NV (a)		23,995		716,334
OCI NV (a)		16,586		576,692
QIAGEN NV (a)		48,737		1,135,234
Randstad Holding NV		25,914		1,246,888
Reed Elsevier NV		147,260		3,516,659
Royal Dutch Shell PLC, A Shares		830,101		27,702,867
Royal Dutch Shell PLC, Class B		513,802		17,752,404
TNT Express NV		95,298		635,295
Unilever NV CVA		342,967		13,416,082
Wolters Kluwer NV		64,923		1,981,138
				118,532,370
New Zealand — 0.2%
Auckland International Airport Ltd.		211,147		694,753
Contact Energy Ltd.		102,592		509,489
Fletcher Building Ltd.		146,940		946,702
Meridian Energy, Ltd.		302,548		413,309

Common Stocks	Shares		Value
New Zealand (concluded)
Mighty River Power, Ltd.		166,224	$	385,502
Ryman Healthcare Ltd.		68,729		455,900
Telecom Corp. of New Zealand Ltd.		365,242		885,406
				4,291,061
Norway — 0.6%
DnB NOR ASA		205,756		3,035,029
Gjensidige Forsikring ASA		42,157		687,892
Norsk Hydro ASA		268,629		1,513,197
Orkla ASA		181,380		1,234,738
Seadrill Ltd.		80,974		936,882
Statoil ASA		234,967		4,137,025
Subsea 7 SA		67,352		689,206
Telenor ASA		158,058		3,197,294
Yara International ASA		38,972		1,735,517
				17,166,780
Portugal — 0.1%
Banco Comercial Portugues SA (a)		7,943,508		623,322
EDP — Energias de Portugal SA		495,328		1,920,704
Galp Energia SGPS SA		74,194		753,440
Jeronimo Martins SGPS SA		56,235		563,496
				3,860,962
Singapore — 1.5%
Ascendas Real Estate Investment Trust		443,962		796,358
CapitaCommercial Trust		376,000		496,415
CapitaLand Ltd.		539,749		1,342,004
CapitaMall Trust		523,700		804,074
City Developments Ltd.		96,535		744,771
ComfortDelGro Corp. Ltd.		461,816		903,737
DBS Group Holdings Ltd.		363,407		5,626,023
Genting Singapore PLC		1,306,227		1,059,078
Global Logistic Properties Ltd.		697,000		1,299,488
Golden Agri-Resources Ltd.		1,223,251		423,365
Hutchison Port Holdings Trust		1,171,000		804,780
Jardine Cycle & Carriage Ltd.		24,721		792,001
Keppel Corp. Ltd.		290,577		1,936,805
Keppel Land Ltd.		198,000		510,072
Noble Group Ltd.		994,840		848,735
Oversea-Chinese Banking Corp. Ltd. (b)		610,898		4,806,530
SembCorp Industries Ltd.		206,590		691,874
SembCorp Marine Ltd. (b)		220,197		540,295
Singapore Airlines Ltd.		104,009		907,317
Singapore Exchange Ltd.		186,000		1,093,515
Singapore Press Holdings Ltd.		99,985		317,399
Singapore Technologies Engineering Ltd.		360,213		922,000
Singapore Telecommunications Ltd.		1,678,132		4,925,826
StarHub Ltd.		121,157		378,538
Suntec Real Estate Investment Trust		500,000		739,657
United Overseas Bank Ltd.		272,147		5,022,213
UOL Group Ltd.		94,499		494,020
Wilmar International Ltd.		421,670		1,027,456
Yangzijiang Shipbuilding Holdings Ltd.		427,183		387,119
				40,641,465
Spain — 3.4%
Abertis Infraestructuras SA		86,237		1,710,062
ACS Actividades de Construccion y Servicios SA		40,227		1,402,114
Amadeus IT Holding SA, Class A		89,522		3,565,422
Banco Bilbao Vizcaya Argentaria SA		1,249,807		11,803,680
Banco de Sabadell SA		733,010		1,939,516
Banco Popular Espanol SA		383,725		1,912,804
Banco Santander SA		2,602,057		21,839,361
Bankia SA (a)		1,045,214		1,551,021
Bankinter SA		154,899		1,244,414
CaixaBank SA		482,319		2,527,283
Distribuidora Internacional de Alimentacion SA		143,344		971,310

See Notes to Financial Statements.

56     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Spain (concluded)
Enagas SA		13,781	$	434,667
Ferrovial SA		94,291		1,863,960
Gas Natural SDG SA		75,895		1,906,527
Grifols SA		32,498		1,296,785
Iberdrola SA		1,085,942		7,320,057
Inditex SA		230,294		6,569,225
International Consolidated Airlines Group SA (a)		223,500		1,664,910
Mapfre SA		208,345		704,202
Red Electrica Corp. SA		7,322		645,444
Repsol SA		216,790		4,058,488
Telefonica SA		886,989		12,734,962
Zardoya Otis SA		47,968		531,947
				90,198,161
Sweden — 3.0%
Alfa Laval AB		64,188		1,213,782
Assa Abloy AB, Class B		70,341		3,715,163
Atlas Copco AB, Class A		141,381		3,934,017
Atlas Copco AB, Class B		83,214		2,130,096
Boliden AB		60,183		962,013
Electrolux AB, Class B		52,732		1,540,787
Elekta AB, B Shares		77,103		788,284
Getinge AB, Class B		43,965		1,001,187
Hennes & Mauritz AB, Class B		199,894		8,304,598
Hexagon AB, Class B		55,259		1,704,714
Husqvarna AB, Class B		80,578		592,286
ICA Gruppen AB		16,112		627,374
Industrivarden AB, Class C		41,350		717,760
Investment AB Kinnevik, Class B		49,364		1,605,279
Investor AB, Class B		95,898		3,486,641
Lundin Petroleum AB (a)		45,190		646,685
Millicom International Cellular SA		13,872		1,027,848
Nordea Bank AB		639,505		7,402,772
Sandvik AB		226,244		2,199,788
Securitas AB, Class B		65,801		796,040
Skandinaviska Enskilda Banken AB, Class A		319,812		4,061,150
Skanska AB, Class B		82,272		1,766,412
SKF AB, Class B		79,130		1,666,915
Svenska Cellulosa AB, B Shares		123,720		2,667,242
Svenska Handelsbanken AB, Class A		105,089		4,916,887
Swedbank AB, Class A		190,665		4,730,575
Swedish Match AB		40,538		1,270,239
Tele2 AB, Class B		68,811		833,830
Telefonaktiebolaget LM Ericsson, Class B		640,733		7,758,063
TeliaSonera AB		501,409		3,223,741
Volvo AB, Class B		323,081		3,483,940
				80,776,108
Switzerland — 9.6%
ABB Ltd., Registered Shares (a)		462,977		9,795,731
Actelion Ltd., Registered Shares (a)		21,672		2,494,903
Adecco SA, Registered Shares (a)		35,956		2,471,589
Aryzta AG (a)		19,184		1,474,281
Baloise Holding AG, Registered Shares		9,727		1,243,223
Barry Callebaut AG, Registered Shares (a)		423		433,671
Cie Financiere Richemont SA, Registered Shares		109,902		9,743,758
Coca-Cola HBC AG (a)		38,764		738,047
Credit Suisse Group AG, Registered Shares (a)		321,453		8,075,299
EMS-Chemie Holding AG, Registered Shares		1,697		686,985
Geberit AG, Registered Shares		7,959		2,692,551
Givaudan SA, Registered Shares (a)		1,945		3,489,051
Glencore PLC (a)		2,235,234		10,317,456
Holcim Ltd., Registered Shares (a)		48,206		3,445,964
Julius Baer Group Ltd. (a)		47,696		2,177,704
Kuehne & Nagel International AG, Registered Shares		11,799		1,602,722
Lindt & Spruengli AG		190		939,449
Lindt & Spruengli AG, Registered Shares		21		1,211,738

Common Stocks	Shares		Value
Switzerland (concluded)
Lonza Group AG, Registered Shares (a)		10,897	$	1,226,911
Nestle SA, Registered Shares		678,946		49,495,832
Novartis AG, Registered Shares		484,296		44,915,295
Pargesa Holding SA, Bearer Shares		7,471		576,506
Partners Group Holding AG		3,735		1,086,650
Roche Holding AG		147,917		40,076,956
Schindler Holding AG, Participation Certificates		9,093		1,312,703
Schindler Holding AG, Registered Shares		4,420		633,969
SGS SA, Registered Shares		1,158		2,364,601
Sika AG — Bearer Shares		466		1,374,671
Sonova Holding AG, Registered Shares		10,735		1,577,084
STMicroelectronics NV		145,524		1,085,833
Sulzer AG, Registered Shares		4,287		458,585
The Swatch Group AG, Bearer Shares		6,494		2,885,000
The Swatch Group AG, Registered Shares		11,193		968,214
Swiss Life Holding AG, Registered Shares (a)		7,012		1,657,298
Swiss Prime Site AG, Registered Shares (a)		11,481		843,002
Swiss Re AG (a)		74,146		6,211,334
Swisscom AG, Registered Shares		4,908		2,575,410
Syngenta AG, Registered Shares		19,569		6,294,518
Transocean Ltd.		79,185		1,453,035
UBS Group AG (a)		768,875		13,216,731
Zurich Insurance Group AG (a)		31,463		9,832,260
				255,156,520
United Kingdom — 18.0%
3i Group PLC		196,723		1,371,705
Aberdeen Asset Management PLC		186,347		1,245,162
Admiral Group PLC		42,240		866,558
Aggreko PLC		52,256		1,218,609
AMEC PLC		79,944		1,055,801
Anglo American PLC		294,042		5,441,087
Antofagasta PLC		87,688		1,021,738
ARM Holdings PLC		295,706		4,542,748
Ashtead Group PLC		108,709		1,930,662
Associated British Foods PLC		75,006		3,666,973
AstraZeneca PLC		265,824		18,775,343
Aviva PLC		620,585		4,662,689
Babcock International Group PLC		55,593		910,739
BAE Systems PLC		664,495		4,859,580
Barclays PLC		3,457,464		12,997,754
BG Group PLC		718,112		9,609,560
BHP Billiton PLC		444,674		9,529,961
BP PLC		3,878,667		24,620,133
British American Tobacco PLC		392,447		21,267,074
British Land Co. PLC		204,257		2,463,065
British Sky Broadcasting Group PLC		217,381		3,033,839
BT Group PLC		1,713,792		10,659,890
Bunzl PLC		71,691		1,959,831
Burberry Group PLC		94,011		2,385,222
Capita PLC		140,353		2,353,395
Carnival PLC		39,920		1,804,312
Centrica PLC		1,056,640		4,576,766
Cobham PLC		242,454		1,217,133
Compass Group PLC		353,188		6,037,005
Croda International PLC		28,719		1,185,360
Diageo PLC		528,937		15,152,493
Direct Line Insurance Group PLC		302,089		1,366,527
Dixons Carphone PLC		198,238		1,428,696
easyJet PLC		32,924		852,043
Fiat Chrysler Automobiles NV		185,090		2,150,694
Fresnillo PLC		50,551		600,795
Friends Life Group Ltd.		306,280		1,739,434
G4S PLC		313,579		1,352,662
GKN PLC		353,070		1,879,299
GlaxoSmithKline PLC		1,021,015		21,904,446
Hammerson PLC		170,614		1,597,786

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 57

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

Common Stocks	Shares		Value
United Kingdom (continued)
Hargreaves Lansdown PLC		47,725	$	746,748
HSBC Holdings PLC		4,031,669		38,098,308
ICAP PLC		124,022		868,424
IMI PLC		58,145		1,137,546
Imperial Tobacco Group PLC		201,505		8,870,150
Inmarsat PLC		91,023		1,128,637
InterContinental Hotels Group PLC		50,547		2,033,827
Intertek Group PLC		33,323		1,206,026
Intu Properties PLC		197,682		1,022,004
Investec PLC		118,620		993,831
ITV PLC		806,430		2,690,021
J. Sainsbury PLC		271,116		1,035,307
Johnson Matthey PLC		43,555		2,291,463
Kingfisher PLC		500,602		2,646,251
Land Securities Group PLC		166,402		2,991,181
Legal & General Group PLC		1,250,142		4,826,982
Lloyds Banking Group PLC (a)		12,021,558		14,140,467
London Stock Exchange Group PLC		47,431		1,632,053
Marks & Spencer Group PLC		344,380		2,549,925
Meggitt PLC		164,824		1,325,884
Melrose Industries PLC		214,081		886,178
Merlin Entertainments PLC (c)		105,886		655,185
National Grid PLC		793,971		11,265,883
Next PLC		32,292		3,424,789
Old Mutual PLC		1,032,829		3,043,917
Pearson PLC		172,589		3,187,397
Persimmon PLC (a)		66,765		1,630,661
Petrofac Ltd.		53,021		577,608
Prudential PLC		540,334		12,492,238
Randgold Resources Ltd.		18,155		1,232,544
Reckitt Benckiser Group PLC		136,825		11,081,995
Reed Elsevier PLC		240,482		4,107,909
Rexam PLC		140,636		990,076
Rio Tinto PLC		267,904		12,349,587
Rolls-Royce Holdings PLC (a)		397,160		5,335,386
Royal Bank of Scotland Group PLC (a)		532,341		3,238,863
Royal Mail PLC		125,421		835,799
RSA Insurance Group PLC (a)		221,639		1,496,388
SABMiller PLC		203,617		10,614,787
The Sage Group PLC		218,202		1,575,982
Schroders PLC		26,579		1,104,684
Segro PLC		148,283		849,465
Severn Trent PLC		52,237		1,629,233
Smith & Nephew PLC		188,000		3,390,117
Smiths Group PLC		86,720		1,474,597
Sports Direct International PLC (a)		59,623		655,895
SSE PLC		205,282		5,186,878
Standard Chartered PLC		520,061		7,777,978

Common Stocks	Shares		Value
United Kingdom (concluded)
Standard Life PLC (a)		503,480	$	3,118,700
Tate & Lyle PLC		93,359		874,724
Tesco PLC		1,710,206		4,986,448
Travis Perkins PLC		54,510		1,569,018
Tullow Oil PLC		185,939		1,198,256
Unilever PLC		270,219		10,978,505
United Utilities Group PLC		145,922		2,072,664
Vodafone Group PLC		5,579,296		19,129,320
The Weir Group PLC		43,351		1,243,123
Whitbread PLC		38,208		2,827,628
William Hill PLC		190,301		1,069,319
WM Morrison Supermarkets PLC		433,596		1,237,163
Wolseley PLC		56,119		3,208,425
WPP PLC		277,388		5,767,358
				480,902,274
Total Common Stocks — 97.5%				2,603,542,467
Rights
Spain — 0.0%
Banco Bilbao Vizcaya Argentaria SA
(Expires 01/07/15) (a)		1,249,807		119,474
Repsol SA
(Expires 01/08/15) (a)		216,790		119,884
Total Rights — 0.0%				239,358
Total Long-Term Investments
(Cost — $2,456,264,285) — 97.5%				2,603,781,825
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.04% (d)(e)		3,872,785		3,872,785
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market
Series, 0.20% (d)(e)(f)	$	4,107		4,107,347
Total Short-Term Securities
(Cost — $7,980,132) — 0.3%				7,980,132
Total Investments (Cost — $2,464,244,417) — 97.8%				2,611,761,957
Other Assets Less Liabilities — 2.2%				58,599,282
Net Assets — 100.0%			$	2,670,361,239

Notes to Schedule of Investments

(a) Non-income producing security.

(b) Security, or a portion of security, is on loan.

(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

(e) During the year ended December 31, 2014 investments in issuers considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/Beneficial Interest Held at December 31, 2013		Net Activity			Shares/Beneficial Interest Held at December 31, 2014		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		587,542		3,285,243	1		3,872,785	$	10,577
BlackRock Liquidity Series, LLC, Money Market Series		528,856		3,578,491	1		4,107,347	$	81,222

¹  Represents net shares/beneficial interest purchased.

See Notes to Financial Statements.

58     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Schedule of Investments (continued) Master International Index Series

(f) 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.

• As of December 31, 2014, financial futures contracts outstanding were as follows:

Contracts Purchased		Issue	Exchange	Expiration			Notional Value		Unrealized Appreciation (Depreciation)
	86	SPI 200 Index	Australian Securities Exchange		March 2015	USD	$	9,448,563	$	365,339
	200	FTSE 100 Index	Euronext Life		March 2015	USD	$	20,331,951		899,087
	242	Nikkei 225 Index	Singapore Exchange		March 2015	USD	$	17,557,021		(407,203	)
	598	Euro Stoxx 50 Index	Eurex Mercantile		March 2015	USD	$	22,670,702		803,476
	Total								$	1,660,699

• 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. 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. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

• Level 1 — unadjusted quoted prices 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)

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. For information about the Series’ policy regarding valuation of investments, please refer to Note 2 of the Notes to Financial Statements.

As of December 31, 2014 the following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Common Stocks:
Australia	$	2,603,529	$	191,485,323	$	9	$	194,088,861
Austria		—		5,193,384		—		5,193,384
Belgium		—		33,739,188		—		33,739,188
Denmark		386,157		39,230,170		—		39,616,327
Finland		617,181		22,752,140		—		23,369,321
France		5,413,214		246,037,740		—		251,450,954
Germany		661,215		237,744,828		—		238,406,043
Hong Kong		5,254,967		75,710,288		—		80,965,255
Ireland		315,940		21,733,608		—		22,049,548
Israel		—		15,169,548		—		15,169,548
Italy		—		55,274,250		—		55,274,250
Japan		824,244		549,588,445		—		550,412,689
Luxembourg		1,425,291		856,107		—		2,281,398
Netherlands		—		118,532,370		—		118,532,370
New Zealand		—		4,291,061		—		4,291,061
Norway		—		17,166,780		—		17,166,780
Portugal		—		3,860,962		—		3,860,962
Singapore		—		40,641,465		—		40,641,465
Spain		—		90,198,161		—		90,198,161
Sweden		788,284		79,987,824		—		80,776,108
Switzerland		15,661,916		239,494,604		—		255,156,520
United Kingdom		1,428,696		479,473,578		—		480,902,274
Rights		239,358		—		—		239,358
Short-Term Securities		3,872,785		4,107,347		—		7,980,132
Total	$	39,492,777	$	2,572,269,171	$	9	$	2,611,761,957

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 59

Schedule of Investments (concluded) Master International Index Series

	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments1
Assets:
Equity contracts	$	2,067,902			—		—	$	2,067,902
Liabilities:
Equity contracts	$	(407,203	)		—		—	$	(407,203	)
Total	$	1,660,699			—		—	$	1,660,699

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

The Series may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of December 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	200						$	200
Cash pledged for financial futures contracts		3,900,000		—			—		3,900,000
Foreign currency at value		62,016,065		—			—		62,016,065
Liabilities:
Collateral on securities loaned at value		—	$	(4,107,347	)		—		(4,107,347	)
Total	$	65,916,265	$	(4,107,347	)		—	$	61,808,918

During the year ended December 31, 2014, there were no transfers between levels.

See Notes to Financial Statements.

60     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Schedule of Investments December 31, 2014	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Advertising Agencies — 0.3%
Constant Contact, Inc. (a)		12,168	$	446,565
Harte-Hanks, Inc.		19,420		150,311
Marchex, Inc., Class B		12,646		58,045
Marin Software, Inc. (a)		9,969		84,338
Marketo, Inc. (a)		9,929		324,877
MDC Partners, Inc., Class A		16,580		376,698
National CineMedia, Inc.		23,849		342,710
QuinStreet, Inc. (a)		13,474		81,787
ReachLocal, Inc. (a)		5,647		19,426
Sizmek, Inc. (a)		8,669		54,268
TubeMogul, Inc. (a)(b)		1,269		28,616
Viad Corp.		8,016		213,706
				2,181,347
Aerospace — 1.4%
AAR Corp.		15,370		426,979
Aerovironment, Inc. (a)		7,408		201,868
Astronics Corp. (a)		7,303		403,929
Cubic Corp.		7,994		420,804
Curtiss-Wright Corp.		18,673		1,318,127
Ducommun, Inc. (a)		4,305		108,830
Erickson Air-Crane, Inc. (a)(b)		2,434		20,300
Esterline Technologies Corp. (a)		12,333		1,352,683
GenCorp, Inc. (a)		23,260		425,658
HEICO Corp.		25,787		1,557,535
Kaman Corp.		10,620		425,756
Kratos Defense & Security Solutions, Inc. (a)		17,347		87,082
LMI Aerospace, Inc. (a)		3,990		56,259
Moog, Inc., Class A (a)		16,053		1,188,404
Orbital Sciences Corp. (a)		23,499		631,888
SIFCO Industries, Inc.		989		28,829
Teledyne Technologies, Inc. (a)		14,568		1,496,716
				10,151,647
Agriculture, Fishing & Ranching — 0.5%
Alico, Inc.		1,143		57,184
The Andersons, Inc.		10,928		580,714
Cal-Maine Foods, Inc.		12,009		468,711
Calavo Growers, Inc.		5,561		263,035
Fresh Del Monte Produce, Inc.		13,929		467,318
Limoneira Co.		4,448		111,111
Sanderson Farms, Inc. (b)		8,952		752,192
Seaboard Corp. (a)		110		461,775
				3,162,040
Air Transport — 0.8%
Air Transport Services Group, Inc. (a)		20,327		173,999
Allegiant Travel Co.		5,340		802,762
Atlas Air Worldwide Holdings, Inc. (a)		9,791		482,696
Bristow Group, Inc.		13,776		906,323
Era Group, Inc. (a)		7,942		167,973
Hawaiian Holdings, Inc. (a)		17,459		454,807
JetBlue Airways Corp. (a)		96,376		1,528,523
PHI, Inc. (a)		4,887		182,774
Republic Airways Holdings, Inc. (a)		19,349		282,302
SkyWest, Inc.		19,809		263,064
Virgin America, Inc. (a)		5,928		256,386
				5,501,609
Alternative Energy — 0.2%
Abengoa Yield PLC		11,109		303,498
Ameresco, Inc., Class A (a)		7,754		54,278
Amyris, Inc. (a)(b)		10,883		22,419
EnerNOC, Inc. (a)		10,515		162,457
Green Plains Renewable Energy, Inc.		14,510		359,558
REX American Resources Corp. (a)		2,410		149,347
Solazyme, Inc. (a)(b)		28,929		74,637

Common Stocks	Shares		Value
Alternative Energy (concluded)
TerraForm Power, Inc., Class A		9,002	$	277,982
Vivint Solar, Inc. (a)		7,766		71,602
				1,475,778
Aluminum — 0.1%
Century Aluminum Co. (a)		19,902		485,609
Kaiser Aluminum Corp.		6,979		498,510
Noranda Aluminum Holding Corp.		16,608		58,460
				1,042,579
Asset Management & Custodian — 0.6%
Arlington Asset Investment Corp.		8,623		229,458
Ashford, Inc. (a)		333		31,302
Calamos Asset Management, Inc., Class A		6,599		87,899
CIFC Corp.		2,412		19,947
Cohen & Steers, Inc.		7,495		315,390
Cowen Group, Inc., Class A (a)		44,815		215,112
Diamond Hill Investment Group, Inc.		1,095		151,154
Fifth Street Asset Management, Inc. (a)		1,919		26,770
Financial Engines, Inc.		19,971		729,940
GAMCO Investors, Inc., Class A		2,495		221,905
KCG Holdings, Inc., Class A (a)		17,517		204,073
Manning & Napier, Inc.		5,222		72,168
Medley Management, Inc.		2,216		32,575
OM Asset Management PLC (a)		9,609		156,050
Oppenheimer Holdings, Inc., Class A		3,950		91,838
Pzena Investment Management, Inc., Class A		4,229		40,006
RCS Capital Corp., Class A		3,838		46,977
Resource America, Inc., Class A		5,415		48,952
Silvercrest Asset Management Group, Inc., Class A		2,100		32,865
Virtus Investment Partners, Inc.		2,745		467,995
Westwood Holdings Group, Inc.		2,844		175,816
WisdomTree Investments, Inc.		41,804		655,278
				4,053,470
Auto Parts — 0.9%
American Axle & Manufacturing Holdings, Inc. (a)		26,307		594,275
Dana Holding Corp.		65,707		1,428,470
Dorman Products, Inc. (a)		10,474		505,580
Federal-Mogul Corp. (a)		11,167		179,677
Fox Factory Holding Corp. (a)		4,301		69,805
Fuel Systems Solutions, Inc. (a)		5,352		58,551
Gentherm, Inc. (a)		13,668		500,522
Meritor, Inc. (a)		37,983		575,442
Remy International, Inc.		12,294		257,191
Standard Motor Products, Inc.		7,665		292,190
Stoneridge, Inc. (a)		11,019		141,704
Superior Industries International, Inc.		9,071		179,515
Tenneco, Inc. (a)		23,621		1,337,185
Tower International, Inc. (a)		7,949		203,097
				6,323,204
Auto Services — 0.1%
Cooper Tire & Rubber Co.		22,534		780,803
Back Office Support, HR & Consulting — 1.8%
The Advisory Board Co. (a)		14,263		698,602
Angie’s List, Inc. (a)		17,323		107,922
Arrowhead Research Corp. (a)(b)		21,385		157,821
Barrett Business Services, Inc.		2,801		76,747
CBIZ, Inc. (a)		16,458		140,881
CDI Corp.		5,426		96,094
Convergys Corp.		39,584		806,326
The Corporate Executive Board Co.		13,166		954,930
Corporate Resource Services, Inc. (a)(b)		6,542		7,850
CRA International, Inc. (a)		3,770		114,306
Dice Holdings, Inc. (a)		15,091		151,061
ExlService Holdings, Inc. (a)		12,834		368,464
Forrester Research, Inc.		4,358		171,531

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 61

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

Common Stocks	Shares		Value
Back Office Support, HR & Consulting (concluded)
FTI Consulting, Inc. (a)		15,944	$	615,917
GP Strategies Corp. (a)		5,154		174,875
The Hackett Group, Inc.		9,818		86,300
Heidrick & Struggles International, Inc.		7,034		162,134
Huron Consulting Group, Inc. (a)		9,195		628,846
ICF International, Inc. (a)		7,828		320,791
Insperity, Inc.		8,793		297,995
Kelly Services, Inc., Class A		10,600		180,412
Kforce, Inc.		9,596		231,552
Korn/Ferry International (a)		19,309		555,327
Liquidity Services, Inc. (a)		9,741		79,584
MAXIMUS, Inc.		26,326		1,443,718
Monster Worldwide, Inc. (a)		35,415		163,617
Navigant Consulting, Inc. (a)		19,308		296,764
On Assignment, Inc. (a)		21,092		700,044
Paylocity Holding Corp. (a)		3,289		85,876
PRGX Global, Inc. (a)		11,421		65,328
Resources Connection, Inc.		15,373		252,886
RPX Corp. (a)		20,855		287,382
ServiceSource International, Inc. (a)		26,566		124,329
Sykes Enterprises, Inc. (a)		15,447		362,541
TeleTech Holdings, Inc. (a)		6,968		165,002
TriNet Group, Inc. (a)		6,110		191,121
TrueBlue, Inc. (a)		16,082		357,825
WageWorks, Inc. (a)		13,613		878,991
				12,561,692
Banks: Diversified — 7.5%
1st Source Corp.		5,814		199,478
Ambac Financial Group, Inc. (a)		17,555		430,097
American National Bankshares, Inc.		3,133		77,730
Ameris Bancorp		9,761		250,272
Ames National Corp.		3,208		83,216
Anchor BanCorp Wisconsin, Inc. (a)		2,223		76,560
Arrow Financial Corp.		4,319		118,729
Bancfirst Corp.		2,747		174,132
Banco Latinoamericano de Comercio Exterior SA		11,507		346,361
The Bancorp, Inc. (a)		12,780		139,174
BancorpSouth, Inc.		37,282		839,218
The Bank of Kentucky Financial Corp.		2,387		115,220
Bank of Marin Bancorp		2,287		120,273
Bank of the Ozarks, Inc.		30,848		1,169,756
Banner Corp.		7,592		326,608
BBCN Bancorp, Inc.		30,889		444,184
BBX Capital Corp. (a)		2,922		48,067
BNC Bancorp		7,712		132,724
Boston Private Financial Holdings, Inc.		31,003		417,610
Bridge Bancorp, Inc.		4,409		117,941
Bridge Capital Holdings (a)		3,905		87,394
Bryn Mawr Bank Corp.		5,322		166,579
Camden National Corp.		2,936		116,970
Capital City Bank Group, Inc.		4,188		65,082
Capitol Federal Financial, Inc.		55,344		707,296
Cardinal Financial Corp.		12,431		246,507
Cascade Bancorp (a)		12,109		62,846
Cathay General Bancorp		30,883		790,296
Centerstate Banks, Inc.		13,863		165,108
Central Pacific Financial Corp.		6,540		140,610
Century Bancorp, Inc., Class A		1,315		52,679
Charter Financial Corp.		5,945		68,070
Chemical Financial Corp.		12,701		389,159
Citizens & Northern Corp.		4,880		100,870
City Holding Co.		6,106		284,112
CNB Financial Corp.		5,668		104,858
CoBiz Financial, Inc.		13,914		182,691
Columbia Banking System, Inc.		22,246		614,212
Community Bank System, Inc.		15,760		600,929

Common Stocks	Shares		Value
Banks: Diversified (continued)
Community Trust Bancorp, Inc.		6,067	$	222,113
CommunityOne Bancorp (a)		4,620		52,899
ConnectOne Bancorp, Inc.		8,784		166,896
CU Bancorp (a)		3,778		81,945
Customers Bancorp, Inc. (a)		9,971		194,036
CVB Financial Corp.		41,076		658,038
Eagle Bancorp, Inc. (a)		10,217		362,908
Enterprise Bancorp, Inc.		2,917		73,654
Enterprise Financial Services Corp.		7,665		151,230
EverBank Financial Corp.		35,371		674,171
Fidelity Southern Corp.		6,282		101,203
Financial Institutions, Inc.		5,335		134,175
First Bancorp, Inc.		3,751		67,856
First Bancorp, North Carolina		7,644		141,185
First BanCorp, Puerto Rico (a)		40,420		237,265
First Busey Corp.		27,869		181,427
First Business Financial Services, Inc.		1,491		71,434
First Citizens BancShares, Inc., Class A		2,930		740,675
First Commonwealth Financial Corp.		36,521		336,724
First Community Bancshares, Inc.		6,480		106,726
First Connecticut Bancorp, Inc.		6,407		104,562
First Financial Bancorp		22,338		415,263
First Financial Bankshares, Inc.		24,845		742,369
First Financial Corp.		4,451		158,545
First Interstate Bancsystem, Inc.		6,994		194,573
First Merchants Corp.		13,964		317,681
First Midwest Bancorp, Inc.		29,217		499,903
First NBC Bank Holding Co. (a)		5,809		204,477
The First of Long Island Corp.		4,704		133,452
FirstMerit Corp.		64,148		1,211,756
Flagstar Bancorp, Inc. (a)		7,708		121,247
FNB Corp.		67,295		896,369
German American Bancorp, Inc.		5,150		157,178
Glacier Bancorp, Inc.		28,878		801,942
Great Western Bancorp, Inc. (a)		7,125		162,379
Guaranty Bancorp		5,640		81,442
Hampton Roads Bankshares, Inc. (a)		14,153		23,777
Hancock Holding Co.		31,898		979,269
Hanmi Financial Corp.		12,306		268,394
Heartland Financial USA, Inc.		6,132		166,177
Heritage Commerce Corp.		8,011		70,737
Heritage Oaks Bancorp		8,891		74,595
Home BancShares, Inc.		21,000		675,360
Horizon Bancorp		3,575		93,450
Hudson Valley Holding Corp.		5,704		154,921
Iberiabank Corp.		12,171		789,289
Independent Bank Corp./MA		9,249		395,950
Independent Bank Corp./MI		8,253		107,702
Independent Bank Group, Inc.		3,547		138,546
International Bancshares Corp.		21,084		559,569
Janus Capital Group, Inc.		58,007		935,653
Lakeland Bancorp, Inc.		14,743		172,493
Lakeland Financial Corp.		6,411		278,686
Macatawa Bank Corp.		9,848		53,573
MainSource Financial Group, Inc.		7,930		165,896
MB Financial, Inc.		25,749		846,112
Mercantile Bank Corp.		6,408		134,696
Merchants Bancshares, Inc.		2,013		61,658
Metro Bancorp, Inc. (a)		5,516		142,975
MidSouth Bancorp, Inc.		3,185		55,228
National Bank Holdings Corp., Class A		14,506		281,561
National Bankshares, Inc.		2,793		84,879
National Penn Bancshares, Inc.		48,006		505,263
NBT Bancorp, Inc.		16,927		444,672
NewBridge Bancorp (a)		12,943		112,734
Northrim BanCorp, Inc.		2,668		70,008
OFG Bancorp		17,544		292,108

See Notes to Financial Statements.

62     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Banks: Diversified (concluded)
Old Line Bancshares, Inc.		3,195	$	50,545
Old National Bancorp		45,702		680,046
Opus Bank (a)		2,099		59,549
Pacific Continental Corp.		7,028		99,657
Pacific Premier Bancorp, Inc. (a)		6,713		116,336
Palmetto Bancshares, Inc.		1,830		30,561
Park National Corp.		4,950		437,976
Park Sterling Corp.		17,241		126,721
Peapack Gladstone Financial Corp.		4,701		87,251
Penns Woods Bancorp, Inc.		1,905		93,840
Peoples Bancorp, Inc.		5,194		134,680
Peoples Financial Services Corp.		2,878		142,979
Pinnacle Financial Partners, Inc.		13,785		545,059
Preferred Bank		4,415		123,134
PrivateBancorp, Inc.		27,769		927,485
Prosperity Bancshares, Inc.		27,053		1,497,654
Provident Financial Services, Inc.		23,391		422,441
Renasant Corp.		12,199		352,917
Republic Bancorp, Inc., Class A		3,869		95,642
Republic First Bancorp, Inc. (a)		11,468		43,005
S&T Bancorp, Inc.		11,515		343,262
Sandy Spring Bancorp, Inc.		9,729		253,732
Seacoast Banking Corp. of Florida (a)		7,357		101,159
ServisFirst Bancshares, Inc.		732		24,119
Sierra Bancorp		4,741		83,252
Simmons First National Corp., Class A		6,313		256,623
South State Corp.		9,347		626,997
Southside Bancshares, Inc.		9,299		268,834
Southwest Bancorp, Inc.		7,644		132,700
Square 1 Financial, Inc. (a)		2,776		68,567
State Bank Financial Corp.		12,469		249,131
Stock Yards Bancorp, Inc.		5,712		190,438
Stonegate Bank		3,831		113,474
Suffolk Bancorp		4,623		104,988
Susquehanna Bancshares, Inc.		72,712		976,522
Talmer Bancorp, Inc., Class A		7,128		100,077
Texas Capital Bancshares, Inc. (a)		17,732		963,380
Tompkins Financial Corp.		5,778		319,523
TowneBank		11,471		173,442
Trico Bancshares		8,777		216,792
Tristate Capital Holdings, Inc. (a)		8,546		87,511
Triumph Bancorp, Inc. (a)		2,313		31,341
TrustCo Bank Corp. NY		36,570		265,498
Trustmark Corp.		26,145		641,598
UMB Financial Corp.		14,633		832,471
Umpqua Holdings Corp.		64,625		1,099,271
Union Bankshares Corp.		17,963		432,549
United Bankshares, Inc.		26,739		1,001,376
United Community Banks, Inc.		19,394		367,322
United Community Financial Corp.		18,909		101,541
Univest Corp. of Pennsylvania		6,212		125,731
Valley National Bancorp		88,042		854,888
Washington Trust Bancorp, Inc.		5,692		228,705
Webster Financial Corp.		35,013		1,138,973
WesBanco, Inc.		10,154		353,359
West BanCorp., Inc.		6,239		106,188
Westamerica BanCorp		10,216		500,788
Western Alliance Bancorp (a)		29,268		813,650
Wilshire Bancorp, Inc.		27,351		277,066
Wintrust Financial Corp.		18,052		844,112
Yadkin Financial Corp. (a)		7,861		154,469
				52,562,144
Banks: Savings, Thrift & Mortgage Lending — 1.4%
Apollo Residential Mortgage, Inc.		12,483		196,857
Astoria Financial Corp.		33,672		449,858
Banc of California, Inc.		12,462		142,939

Common Stocks	Shares		Value
Banks: Savings, Thrift & Mortgage Lending (concluded)
Bank Mutual Corp.		17,905	$	122,828
BankFinancial Corp.		7,228		85,724
Beneficial Mutual Bancorp, Inc. (a)		11,342		139,166
Berkshire Hills Bancorp, Inc.		9,751		259,962
BofI Holding, Inc. (a)		5,520		429,511
Brookline Bancorp, Inc.		27,420		275,023
Clifton Bancorp, Inc.		10,249		139,284
Dime Community Bancshares, Inc.		12,776		207,993
ESB Financial Corp.		4,995		94,605
First Defiance Financial Corp.		3,796		129,292
First Financial Northwest, Inc.		5,035		60,621
Flushing Financial Corp.		11,778		238,740
Fox Chase Bancorp, Inc.		4,769		79,499
Franklin Financial Corp. (a)		3,781		80,082
Great Southern Bancorp, Inc.		4,009		159,037
Heritage Financial Corp.		11,746		206,142
Home Loan Servicing Solutions Ltd.		27,576		538,283
HomeStreet, Inc.		5,954		103,659
Investors Bancorp, Inc.		138,918		1,559,355
Kearny Financial Corp. (a)		5,355		73,631
Ladder Capital Corp., Class A (a)		6,124		120,092
LegacyTexas Financial Group, Inc.		15,497		369,603
Meridian Bancorp, Inc. (a)		8,105		90,938
Northfield Bancorp, Inc.		19,532		289,074
Northwest Bancshares, Inc.		36,541		457,859
OceanFirst Financial Corp.		5,356		91,802
Oritani Financial Corp.		17,694		272,488
Sterling Bancorp		32,457		466,732
Territorial Bancorp, Inc.		3,423		73,766
United Financial Bancorp, Inc.		20,455		293,734
Washington Federal, Inc.		39,315		870,827
Waterstone Financial, Inc.		13,360		175,684
WSFS Financial Corp.		3,474		267,116
				9,611,806
Beverage: Brewers & Distillers — 0.1%
The Boston Beer Co., Inc., Class A (a)		3,230		935,214
Craft Brew Alliance, Inc. (a)		4,248		56,669
				991,883
Beverage: Soft Drinks — 0.1%
Coca-Cola Bottling Co. Consolidated		1,793		157,838
Farmer Bros Co. (a)		2,939		86,553
National Beverage Corp. (a)		4,414		99,845
				344,236
Biotechnology — 4.7%
Acceleron Pharma, Inc. (a)		6,358		247,708
Acorda Therapeutics, Inc. (a)		16,172		660,950
Actinium Pharmaceuticals, Inc. (a)(b)		8,313		48,964
Aegerion Pharmaceuticals, Inc. (a)		11,498		240,768
Agenus,Inc. (a)		23,818		94,557
Akebia Therapeutics, Inc. (a)		3,226		37,551
Albany Molecular Research, Inc. (a)		9,036		147,106
Alder Biopharmaceuticals, Inc. (a)		3,126		90,935
Alimera Sciences, Inc. (a)		9,946		55,101
AMAG Pharmaceuticals, Inc. (a)		8,505		362,483
ANI Pharmaceuticals, Inc. (a)		2,655		149,715
Applied Genetic Technologies Corp. (a)		2,234		46,959
Ardelyx, Inc. (a)		1,837		34,701
Arena Pharmaceuticals, Inc. (a)		85,330		296,095
Ariad Pharmaceuticals, Inc. (a)		63,933		439,220
Array BioPharma, Inc. (a)		48,939		231,481
Atara Biotherapeutics, Inc. (a)		2,149		57,486
Avalanche Biotechnologies, Inc. (a)		2,663		143,802
Bio Path Holdings, Inc. (a)(b)		29,067		77,318
BioCryst Pharmaceuticals, Inc. (a)		27,178		330,484

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 63

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

Common Stocks	Shares		Value
Biotechnology (continued)
BioDelivery Sciences International, Inc. (a)		16,189	$	194,592
BioTelemetry, Inc. (a)		10,060		100,902
Biotime, Inc. (a)(b)		19,992		74,570
Bluebird Bio, Inc. (a)		8,438		773,933
Calithera Biosciences, Inc. (a)		3,045		61,509
Celldex Therapeutics, Inc. (a)		34,674		632,800
Cellular Dynamics International, Inc. (a)		4,032		25,926
Cepheid, Inc. (a)		27,031		1,463,458
ChemoCentryx, Inc. (a)(b)		10,580		72,261
Clovis Oncology, Inc. (a)		9,570		535,920
Coherus Biosciences, Inc. (a)		2,401		39,184
CTI BioPharma Corp. (a)		57,545		135,806
Cytokinetics, Inc. (a)		13,729		109,969
Cytori Therapeutics, Inc. (a)(b)		29,158		14,250
CytRx Corp. (a)(b)		21,371		58,557
Dermira, Inc. (a)		2,863		51,849
Dyax Corp. (a)		52,645		740,189
Dynavax Technologies Corp. (a)		10,193		171,854
Eleven Biotherapeutics, Inc. (a)		1,919		22,798
Emergent Biosolutions, Inc. (a)		11,372		309,660
Enzo Biochem, Inc. (a)		14,056		62,409
Epizyme, Inc. (a)		5,090		96,048
Exact Sciences Corp. (a)(b)		32,092		880,604
Exelixis, Inc. (a)(b)		74,260		106,934
FibroGen, Inc. (a)		3,641		99,545
Five Prime Therapeutics, Inc. (a)		6,655		179,685
Foundation Medicine, Inc. (a)(b)		5,339		118,633
Galena Biopharma, Inc. (a)(b)		45,524		68,741
GenMark Diagnostics, Inc. (a)		16,133		219,570
Genocea Biosciences, Inc. (a)		1,630		11,410
Genomic Health, Inc. (a)		6,490		207,485
Geron Corp. (a)		61,023		198,325
Halozyme Therapeutics, Inc. (a)		40,208		388,007
Heron Therapeutics, Inc. (a)		8,746		87,985
Hyperion Therapeutics, Inc. (a)		5,390		129,360
Idera Pharmaceuticals, Inc. (a)(b)		23,257		102,563
IGI Laboratories, Inc. (a)		12,528		110,246
Immunogen, Inc. (a)		33,448		204,033
Immunomedics, Inc. (a)		32,110		154,128
INC Research Holdings, Inc., Class A (a)		3,606		92,638
Inovio Pharmaceuticals, Inc. (a)(b)		23,379		214,619
Insmed, Inc. (a)		19,228		297,457
Insys Therapeutics, Inc. (a)		3,879		163,539
Intrexon Corp. (a)(b)		13,824		380,575
Karyopharm Therapeutics, Inc. (a)(b)		5,222		195,459
Keryx Biopharmaceuticals, Inc. (a)(b)		35,469		501,886
Kindred Biosciences, Inc. (a)		3,761		28,019
Lexicon Pharmaceuticals, Inc. (a)		90,626		82,461
Liberator Medical Holdings, Inc.		13,178		38,216
Ligand Pharmaceuticals, Inc., Class B (a)		7,633		406,152
Loxo Oncology, Inc. (a)		1,214		14,265
MacroGenics, Inc. (a)		7,758		272,073
MannKind Corp. (a)(b)		88,459		461,314
Merrimack Pharmaceuticals, Inc. (a)		38,023		429,660
Mirati Therapeutics, Inc. (a)		2,702		50,041
Momenta Pharmaceuticals, Inc. (a)		18,733		225,545
Nektar Therapeutics (a)		49,226		763,003
Neuralstem, Inc. (a)(b)		27,037		73,541
Neurocrine Biosciences, Inc. (a)		29,364		655,992
NewLink Genetics Corp. (a)(b)		7,673		305,002
Northwest Biotherapeutics, Inc. (a)(b)		15,016		80,336
Novavax, Inc. (a)		92,325		547,487
NPS Pharmaceuticals, Inc. (a)		41,226		1,474,654
Omeros Corp. (a)(b)		13,128		325,312
OncoMed Pharmaceuticals, Inc. (a)		4,795		104,339
Oncothyreon, Inc. (a)		31,623		60,084
Ophthotech Corp. (a)		5,359		240,458

Common Stocks	Shares		Value
Biotechnology (concluded)
Opko Health, Inc. (a)(b)		76,498	$	764,215
Orexigen Therapeutics, Inc. (a)(b)		47,581		288,341
Organovo Holdings, Inc. (a)(b)		24,411		176,980
Osiris Therapeutics, Inc. (a)		7,268		116,215
Pacific Biosciences of California, Inc. (a)		22,282		174,691
PDL BioPharma, Inc.		62,724		483,602
Peregrine Pharmaceuticals, Inc. (a)(b)		69,739		96,937
PRA Health Sciences, Inc. (a)		7,673		185,840
Progenics Pharmaceuticals, Inc. (a)		26,995		204,082
Prothena Corp. PLC (a)		10,339		214,638
PTC Therapeutics, Inc. (a)		9,437		488,553
Puma Biotechnology, Inc. (a)		8,995		1,702,484
RadNet, Inc. (a)		12,464		106,443
Raptor Pharmaceutical Corp. (a)(b)		24,347		256,130
Regado Biosciences, Inc. (a)		6,473		5,911
Regulus Therapeutics, Inc. (a)		5,985		95,999
Repligen Corp. (a)		12,428		246,074
Repros Therapeutics, Inc. (a)		9,575		95,463
Retrophin, Inc. (a)		8,268		101,200
Rigel Pharmaceuticals, Inc. (a)		33,720		76,544
Rockwell Medical, Inc. (a)(b)		18,281		187,929
RTI Surgical, Inc. (a)		22,339		116,163
Sage Therapeutics, Inc. (a)		2,188		80,081
Sangamo Biosciences, Inc. (a)		26,392		401,422
Sarepta Therapeutics, Inc. (a)(b)		15,786		228,423
Sequenom, Inc. (a)		45,229		167,347
Stemline Therapeutics, Inc. (a)		4,482		76,463
Sucampo Pharmaceuticals, Inc., Class A (a)		6,706		95,762
Sunesis Pharmaceuticals, Inc. (a)		18,565		47,341
Synageva BioPharma Corp. (a)		8,282		768,487
Synergy Pharmaceuticals, Inc. (a)(b)		35,660		108,763
Synta Pharmaceuticals Corp. (a)		24,428		64,734
TESARO, Inc. (a)		7,473		277,921
Theravance, Inc. (b)		32,003		452,842
Threshold Pharmaceuticals, Inc. (a)		20,317		64,608
Tokai Pharmaceuticals, Inc. (a)		1,992		29,362
Vanda Pharmaceuticals, Inc. (a)(b)		15,544		222,590
Veracyte, Inc. (a)		2,754		26,604
Verastem, Inc. (a)		8,120		74,217
Versartis, Inc. (a)		2,797		62,793
Vitae Pharmaceuticals, Inc. (a)		2,076		34,545
Vital Therapies, Inc. (a)(b)		2,226		55,494
West Pharmaceutical Services, Inc.		27,410		1,459,308
Wright Medical Group, Inc. (a)		19,347		519,854
Xencor Inc. (a)		5,742		92,102
XOMA Corp. (a)		35,259		126,580
ZIOPHARM Oncology, Inc. (a)(b)		31,238		158,377
				33,173,663
Building Materials — 0.8%
Aspen Aerogels, Inc. (a)(b)		1,901		15,170
Builders FirstSource, Inc. (a)		17,503		120,246
Continental Building Products, Inc. (a)		4,517		80,086
Gibraltar Industries, Inc. (a)		11,981		194,811
Griffon Corp.		15,483		205,924
Headwaters, Inc. (a)		28,506		427,305
Louisiana-Pacific Corp. (a)		54,890		908,978
LSI Industries, Inc.		8,678		58,924
Masonite International Corp. (a)		11,438		702,979
NCI Building Systems, Inc. (a)		10,906		201,979
Patrick Industries, Inc. (a)		3,161		139,021
PGT, Inc. (a)		18,494		178,097
Quanex Building Products Corp.		14,620		274,564
Revolution Lighting Technologies, Inc. (a)(b)		14,116		19,057
Simpson Manufacturing Co., Inc.		16,029		554,603
Stock Building Supply Holdings, Inc. (a)		5,882		90,112
Trex Co., Inc. (a)		13,055		555,882

See Notes to Financial Statements.

64     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Building Materials (concluded)
Watsco, Inc.		10,013	$	1,071,391
				5,799,129
Building: Climate Control — 0.1%
AAON, Inc.		16,381		366,770
Comfort Systems USA, Inc.		14,716		251,938
Nortek, Inc. (a)		3,536		287,583
				906,291
Building: Roofing, Wallboard & Plumbing — 0.1%
Beacon Roofing Supply, Inc. (a)		19,192		533,538
Casinos & Gambling — 0.3%
Boyd Gaming Corp. (a)		30,136		385,138
Caesars Acquisition Co., Class A (a)		17,876		184,302
Caesars Entertainment Corp. (a)(b)		19,857		311,556
Empire Resorts, Inc. (a)(b)		5,549		43,060
Isle of Capri Casinos, Inc. (a)		8,248		69,036
Monarch Casino & Resort, Inc. (a)		3,663		60,769
Penn National Gaming, Inc. (a)		30,383		417,159
Pinnacle Entertainment, Inc. (a)		23,194		516,066
Scientific Games Corp., Class A (a)		19,666		250,348
				2,237,434
Cement — 0.0%
US Concrete, Inc. (a)		5,516		156,930
Chemicals: Diversified — 1.1%
Aceto Corp.		11,143		241,803
American Vanguard Corp.		11,139		129,435
Axiall Corp.		27,119		1,151,744
Chemtura Corp. (a)		33,080		818,068
Hawkins, Inc.		4,093		177,350
Innophos Holdings, Inc.		8,487		496,065
KMG Chemicals, Inc.		3,699		73,980
Landec Corp. (a)		10,359		143,058
LSB Industries, Inc. (a)		7,530		236,743
Marrone Bio Innovations, Inc. (a)(b)		5,154		18,606
Olin Corp.		30,656		698,037
OM Group, Inc.		12,453		371,099
OMNOVA Solutions, Inc. (a)		18,442		150,118
PolyOne Corp.		36,482		1,383,033
Sensient Technologies Corp.		19,165		1,156,416
Tronox Ltd., Class A		23,809		568,559
				7,814,114
Chemicals: Specialty — 0.6%
Advanced Emissions Solutions, Inc. (a)		8,413		191,732
Balchem Corp.		11,784		785,286
Calgon Carbon Corp. (a)		20,703		430,208
FutureFuel Corp.		8,389		109,225
Innospec, Inc.		9,453		403,643
Kraton Performance Polymers, Inc. (a)		12,743		264,927
Polypore International, Inc. (a)		17,469		821,917
Quaker Chemical Corp.		5,125		471,705
Stepan Co.		7,478		299,718
Zep, Inc.		8,866		134,320
				3,912,681
Coal — 0.1%
Arch Coal, Inc.		82,361		146,603
Cloud Peak Energy, Inc. (a)		23,801		218,493
Hallador Energy Co.		3,731		41,078
Walter Energy, Inc. (b)		26,168		36,112
Westmoreland Coal Co. (a)		5,781		191,987
				634,273
Commercial Banks — 0.1%
Blue Hills Bancorp, Inc. (a)		11,032		149,814
C1 Financial, Inc. (a)(b)		1,228		22,460

Common Stocks	Shares		Value
Commercial Banks (concluded)
Green Bancorp, Inc. (a)		1,822	$	21,937
HomeTrust Bancshares, Inc. (a)		8,001		133,297
Sun Bancorp, Inc. (a)		3,223		62,526
				390,034
Commercial Finance & Mortgage Companies — 0.1%
Capital Bank Financial Corp., Class A (a)		8,783		235,384
Federal Agricultural Mortgage Corp., Class C		4,018		121,906
Meta Financial Group, Inc.		2,356		82,554
NewStar Financial, Inc. (a)		10,273		131,494
PennyMac Financial Services, Inc. (a)(c)		5,912		102,278
RE/MAX Holdings, Inc., Class A		4,178		143,097
Stonegate Mortgage Corp. (a)(b)		5,468		65,397
Walker & Dunlop, Inc. (a)		7,188		126,078
				1,008,188
Commercial Services & Supplies — 0.2%
ARC Document Solutions, Inc. (a)		15,997		163,489
Civeo Corp.		36,420		149,686
Collectors Universe, Inc.		2,815		58,721
Hill International, Inc. (a)		11,976		45,988
Information Services Group, Inc. (a)		13,519		57,050
LifeLock, Inc. (a)		31,221		577,901
National Research Corp.		3,697		51,721
National Research Corp., Class B		262		9,388
Performant Financial Corp. (a)		11,503		76,495
Quest Resource Holding Corp. (a)		4,700		6,768
Weight Watchers International, Inc. (a)(b)		10,816		268,669
				1,465,876
Commercial Services: Rental & Leasing — 0.5%
Aircastle Ltd.		25,070		535,746
CAI International, Inc. (a)		6,330		146,856
Electro Rent Corp.		6,396		89,800
H&E Equipment Services, Inc.		12,111		340,198
Marlin Business Services Corp.		3,294		67,626
McGrath RentCorp		10,058		360,680
Mobile Mini, Inc.		18,113		733,758
Neff Corp., Class A (a)		3,802		42,848
PHH Corp. (a)		19,747		473,138
TAL International Group, Inc. (a)		13,223		576,126
				3,366,776
Commercial Vehicles & Parts — 0.3%
Accuride Corp. (a)		15,236		66,124
Commercial Vehicle Group, Inc. (a)		10,370		69,064
Cooper-Standard Holding, Inc. (a)		5,301		306,822
Miller Industries, Inc.		4,308		89,564
Modine Manufacturing Co. (a)		18,407		250,335
Motorcar Parts of America, Inc. (a)		6,902		214,583
Rush Enterprises, Inc., Class A (a)		13,325		427,066
Spartan Motors, Inc.		13,521		71,121
Strattec Security Corp.		1,328		109,666
Wabash National Corp. (a)		26,752		330,655
				1,935,000
Communications Equipment — 0.2%
Aerohive Networks, Inc. (a)		3,939		18,907
Polycom, Inc. (a)		53,551		722,938
Ruckus Wireless, Inc. (a)		25,225		303,205
				1,045,050
Communications Technology — 1.8%
ADTRAN, Inc.		21,888		477,159
Alliance Fiber Optic Products, Inc.		4,901		71,114
Anixter International, Inc. (a)		10,518		930,422
Aruba Networks, Inc. (a)		41,410		752,834
Bel Fuse, Inc., Class B		3,927		107,364

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 65

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

Common Stocks	Shares		Value
Communications Technology (concluded)
Black Box Corp.		5,919	$	141,464
Calix, Inc. (a)		16,116		161,482
Ciena Corp. (a)		40,800		791,928
Comtech Telecommunications Corp.		5,905		186,126
Cyan, Inc. (a)(b)		11,482		28,705
Datalink Corp. (a)		7,956		102,632
Digi International, Inc. (a)		8,825		81,984
DigitalGlobe, Inc. (a)		29,284		906,926
Emulex Corp. (a)		27,530		156,095
Extreme Networks, Inc. (a)		37,270		131,563
Finisar Corp. (a)		40,130		778,923
General Cable Corp.		18,847		280,820
Harmonic, Inc. (a)		33,839		237,211
Infinera Corp. (a)		47,471		698,773
Intelsat SA (a)		10,635		184,624
InterDigital, Inc.		14,394		761,443
Ixia (a)		22,208		249,840
KVH Industries, Inc. (a)		6,346		80,277
Loral Space & Communications, Inc. (a)		5,078		399,689
NETGEAR, Inc. (a)		13,410		477,128
Numerex Corp., Class A (a)		5,622		62,179
Parkervision, Inc. (a)(b)		41,777		38,013
Plantronics, Inc.		16,487		874,141
Procera Networks, Inc. (a)		7,857		56,492
QLogic Corp. (a)		33,851		450,895
Rightside Group Ltd. (a)		3,728		25,052
RingCentral, Inc., Class A (a)		10,948		163,344
Seachange International, Inc. (a)		12,845		81,951
ShoreTel, Inc. (a)		24,291		178,539
Sonus Networks, Inc. (a)		95,123		377,638
TeleNav, Inc. (a)		10,664		71,129
ViaSat, Inc. (a)		16,033		1,010,560
				12,566,459
Computer Services Software & Systems — 5.9%
A10 Networks, Inc. (a)		5,452		23,771
ACI Worldwide, Inc. (a)		44,125		890,001
Actuate Corp. (a)		18,225		120,285
Acxiom Corp. (a)		29,936		606,803
American Software, Inc., Class A		9,755		88,868
Aspen Technology, Inc. (a)		35,697		1,250,109
AVG Technologies NV (a)		13,545		267,378
Bankrate, Inc. (a)		26,045		323,739
Barracuda Networks, Inc. (a)		3,047		109,204
Bazaarvoice, Inc. (a)		19,326		155,381
Benefitfocus, Inc. (a)		1,910		62,724
Blackbaud, Inc.		17,914		774,960
Blucora, Inc. (a)		16,445		227,763
Bottomline Technologies, Inc. (a)		15,286		386,430
Brightcove, Inc. (a)		12,803		99,607
BroadSoft, Inc. (a)		11,084		321,658
CACI International, Inc., Class A (a)		9,169		790,184
Callidus Software, Inc. (a)		18,823		307,380
CIBER, Inc. (a)		30,900		109,695
CommVault Systems, Inc. (a)		18,306		946,237
Computer Task Group, Inc.		6,088		58,019
ComScore, Inc. (a)		13,414		622,812
Cornerstone OnDemand, Inc. (a)		20,623		725,930
Covisint Corp. (a)		14,132		37,450
CSG Systems International, Inc.		13,430		336,690
Cvent, Inc. (a)		6,984		194,435
DealerTrack Holdings, Inc. (a)		20,765		920,097
Demandware, Inc. (a)		11,651		670,398
Digimarc Corp.		2,522		68,472
Digital River, Inc. (a)		12,602		311,647
Dot Hill Systems Corp. (a)		23,645		104,511
EarthLink Holdings Corp.		39,063		171,487

Common Stocks	Shares		Value
Computer Services Software & Systems (continued)
Ebix, Inc. (b)		11,861	$	201,518
Endurance International Group Holdings, Inc. (a)(b)		11,639		214,507
Envestnet, Inc. (a)		13,204		648,845
EPAM Systems, Inc. (a)		13,789		658,425
EPIQ Systems, Inc.		12,035		205,558
ePlus, Inc. (a)		1,998		151,229
Guidance Software, Inc. (a)		6,843		49,612
Guidewire Software, Inc. (a)		26,339		1,333,544
HubSpot, Inc. (a)(b)		2,165		72,766
iGATE Corp. (a)		14,364		567,091
Imperva, Inc. (a)		8,579		424,060
Infoblox, Inc. (a)		20,933		423,056
Interactive Intelligence Group, Inc. (a)		6,506		311,637
Internap Network Services Corp. (a)		21,375		170,145
IntraLinks Holdings, Inc. (a)		15,249		181,463
Jive Software, Inc. (a)		16,806		101,340
The KEYW Holding Corp. (a)(b)		12,627		131,068
Limelight Networks, Inc. (a)		22,797		63,148
Lionbridge Technologies, Inc. (a)		25,290		145,417
LivePerson, Inc. (a)		21,014		296,297
LogMeIn, Inc. (a)		9,402		463,895
Luxoft Holding, Inc. (a)		3,105		119,573
Manhattan Associates, Inc. (a)		29,362		1,195,621
Mantech International Corp., Class A		9,403		284,253
Mavenir Systems, Inc. (a)		4,345		58,918
Mentor Graphics Corp.		37,526		822,570
Mercury Systems, Inc. (a)		12,885		179,359
MicroStrategy, Inc., Class A (a)		3,514		570,674
Millennial Media, Inc. (a)		28,058		44,893
ModusLink Global Solutions, Inc. (a)		14,638		54,892
Monotype Imaging Holdings, Inc.		15,308		441,330
Netscout Systems, Inc. (a)		14,119		515,908
NIC, Inc.		25,299		455,129
Nimble Storage, Inc. (a)		3,604		99,110
PDF Solutions, Inc. (a)		11,888		176,656
Pegasystems, Inc.		13,753		285,650
Perficient, Inc. (a)		13,430		250,201
Progress Software Corp. (a)		19,922		538,292
Proofpoint, Inc. (a)		14,329		691,088
PROS Holdings, Inc. (a)		9,133		250,975
Q2 Holdings, Inc. (a)		3,924		73,928
QAD, Inc., Class A		2,259		51,099
QLIK Technologies, Inc. (a)		34,750		1,073,427
RealNetworks, Inc. (a)		8,646		60,868
RealPage, Inc. (a)		20,095		441,286
Reis, Inc.		3,349		87,643
Rocket Fuel, Inc. (a)		7,305		117,757
Sapiens International Corp. NV (a)		9,411		69,359
Sapient Corp. (a)		46,061		1,145,998
Science Applications International Corp.		15,480		766,724
SciQuest, Inc. (a)		10,686		154,413
Shutterstock, Inc. (a)		5,908		408,243
SPS Commerce, Inc. (a)		6,348		359,487
SS&C Technologies Holdings, Inc.		26,394		1,543,785
Synchronoss Technologies, Inc. (a)		13,672		572,310
SYNNEX Corp.		11,038		862,730
Syntel, Inc. (a)		12,149		546,462
Tangoe, Inc. (a)(b)		15,053		196,141
TechTarget, Inc. (a)		6,209		70,596
TeleCommunication Systems, Inc., Class A (a)		18,594		58,013
Textura Corp. (a)(b)		7,252		206,464
Travelzoo, Inc. (a)		2,799		35,323
Tremor Video, Inc. (a)		13,334		38,269
Turtle Beach Corp. (a)(b)		2,916		9,302
Tyler Technologies, Inc. (a)		12,794		1,400,175
The Ultimate Software Group, Inc. (a)		10,989		1,613,350
Unisys Corp. (a)		19,945		587,979

See Notes to Financial Statements.

66     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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)
Unwired Planet, Inc. (a)		39,752	$	39,752
Varonis Systems, Inc. (a)		2,070		67,958
VASCO Data Security International, Inc. (a)		11,376		320,917
Verint Systems, Inc. (a)		23,167		1,350,173
VirnetX Holding Corp. (a)(b)		16,891		92,732
Virtusa Corp. (a)		10,156		423,200
Web.com Group, Inc. (a)		20,106		381,813
Wix.com Ltd. (a)		5,284		110,964
Yodlee, Inc. (a)		2,516		30,695
YuMe, Inc. (a)(b)		7,674		38,677
Zix Corp. (a)		22,986		82,750
				41,424,600
Computer Technology — 0.5%
Cray, Inc. (a)		15,765		543,577
Immersion Corp. (a)		11,231		106,358
Insight Enterprises, Inc. (a)		15,870		410,874
PC Connection, Inc.		3,644		89,460
Quantum Corp. (a)		85,041		149,672
Safeguard Scientifics, Inc. (a)		8,021		158,976
Silicon Graphics International Corp. (a)		13,367		152,117
Super Micro Computer, Inc. (a)		13,355		465,822
Synaptics, Inc. (a)		13,972		961,833
Violin Memory, Inc. (a)		30,919		148,102
				3,186,791
Construction — 0.4%
Aegion Corp. (a)		14,815		275,707
EMCOR Group, Inc.		26,130		1,162,524
Granite Construction, Inc.		15,185		577,334
Great Lakes Dredge & Dock Corp. (a)		23,429		200,552
Orion Marine Group, Inc. (a)		10,667		117,870
Primoris Services Corp.		14,787		343,650
Sterling Construction Co., Inc. (a)		7,189		45,938
Tutor Perini Corp. (a)		14,505		349,135
				3,072,710
Consumer Electronics — 0.2%
RealD, Inc. (a)		15,428		182,051
Skullcandy, Inc. (a)		7,652		70,322
TiVo, Inc. (a)		39,819		471,457
Universal Electronics, Inc. (a)		6,165		400,910
VOXX International Corp. (a)		7,579		66,392
XO Group, Inc. (a)		10,449		190,276
				1,381,408
Consumer Lending — 0.8%
Cash America International, Inc.		10,994		248,684
Credit Acceptance Corp. (a)		2,506		341,843
Encore Capital Group, Inc. (a)		10,013		444,577
Enova International, Inc. (a)		10,035		223,379
Ezcorp, Inc., Class A (a)		20,016		235,188
First Cash Financial Services, Inc. (a)		11,252		626,399
LendingTree, Inc. (a)		2,468		119,303
Marcus & Millichap, Inc. (a)		3,006		99,950
MGIC Investment Corp. (a)		131,294		1,223,660
MoneyGram International, Inc. (a)		11,664		106,026
Nelnet, Inc., Class A		8,123		376,339
Nicholas Financial, Inc. (a)		4,262		63,504
PRA Group, Inc. (a)		19,425		1,125,290
Regional Management Corp. (a)		4,215		66,639
Springleaf Holdings, Inc. (a)		9,505		343,796
World Acceptance Corp. (a)		3,084		245,024
				5,889,601
Consumer Services: Miscellaneous — 0.6%
Chuy’s Holdings, Inc. (a)		6,424		126,360
Core-Mark Holding Co., Inc.		8,886		550,310

Common Stocks	Shares		Value
Consumer Services: Miscellaneous (concluded)
Del Frisco’s Restaurant Group, Inc. (a)		9,123	$	216,580
Nutrisystem, Inc.		11,165		218,276
Sotheby’s		23,645		1,020,991
Steiner Leisure Ltd. (a)		5,230		241,678
WEX, Inc. (a)		15,075		1,491,219
				3,865,414
Containers & Packaging — 0.5%
AEP Industries, Inc. (a)		1,566		91,063
Berry Plastics Group, Inc. (a)		34,873		1,100,243
Graphic Packaging Holding Co. (a)		126,928		1,728,759
Myers Industries, Inc.		10,209		179,678
UFP Technologies, Inc. (a)		2,293		56,374
				3,156,117
Cosmetics — 0.1%
Elizabeth Arden, Inc. (a)		10,054		215,055
Inter Parfums, Inc.		6,476		177,766
Revlon, Inc., Class A (a)		4,425		151,158
				543,979
Diversified Financial Services — 0.7%
Altisource Asset Management Corp. (a)		550		170,566
Altisource Portfolio Solutions SA (a)(b)		5,207		175,945
Blackhawk Network Holdings, Inc. (a)		20,399		791,481
Evercore Partners, Inc., Class A		12,849		672,902
FBR & Co. (a)		3,039		74,729
FCB Financial Holdings, Inc., Class A (a)		3,244		79,932
Greenhill & Co., Inc.		10,999		479,556
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		9,934		141,361
JG Wentworth Co (a)		4,554		48,546
Liberty Tax, Inc. (a)		1,444		51,609
MidWestOne Financial Group, Inc.		2,771		79,832
Moelis & Co., Class A		2,911		101,681
Outerwall, Inc. (a)		7,357		553,394
Piper Jaffray Cos. (a)		6,322		367,245
Stifel Financial Corp. (a)		25,398		1,295,806
Tiptree Financial, Inc. A REIT (a)(b)		2,551		20,663
				5,105,248
Diversified Manufacturing Operations — 0.6%
AM Castle & Co. (a)		7,247		57,831
ARC Group Worldwide, Inc. (a)(b)		1,293		13,111
Barnes Group, Inc.		21,028		778,246
Federal Signal Corp.		24,410		376,890
Harsco Corp.		31,348		592,164
Lydall, Inc. (a)		6,589		216,251
OSI Systems, Inc. (a)		7,735		547,406
Raven Industries, Inc.		14,150		353,750
Standex International Corp.		4,948		382,283
TriMas Corp. (a)		17,544		548,952
				3,866,884
Diversified Materials & Processing — 0.6%
Belden, Inc.		16,904		1,332,204
Cabot Microelectronics Corp. (a)		9,353		442,584
CLARCOR, Inc.		19,545		1,302,479
Encore Wire Corp.		8,041		300,171
Harbinger Group, Inc. (a)		32,203		455,994
Insteel Industries, Inc.		7,092		167,229
Koppers Holdings, Inc.		7,984		207,424
NL Industries, Inc.		2,756		23,702
Tredegar Corp.		9,661		217,276
				4,449,063
Diversified Media — 0.0%
Demand Media, Inc. (a)		3,728		22,815

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 67

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

Common Stocks	Shares		Value
Diversified Media (concluded)
EW Scripps Co. (a)		12,116	$	270,793
Hemisphere Media Group, Inc. (a)(b)		3,041		41,023
				334,631
Diversified Retail — 0.4%
The Bon-Ton Stores, Inc.		6,042		44,771
EVINE Live, Inc. (a)		16,601		109,401
Fred’s, Inc., Class A		14,140		246,177
Gaiam, Inc., Class A (a)		6,086		43,393
HSN, Inc.		12,860		977,360
Overstock.com, Inc. (a)		4,497		109,142
Pricesmart, Inc.		7,248		661,163
Tuesday Morning Corp. (a)		16,837		365,363
Winmark Corp.		926		80,488
				2,637,258
Drug & Grocery Store Chains — 0.5%
Casey’s General Stores, Inc.		14,920		1,347,574
Diplomat Pharmacy, Inc. (a)		5,873		160,744
Ingles Markets, Inc., Class A		5,127		190,160
The Pantry, Inc. (a)		9,069		336,097
PetMed Express, Inc.		7,999		114,946
Smart & Final Stores, Inc. (a)		4,968		78,147
Supervalu, Inc. (a)		78,647		762,876
Village Super Market, Inc., Class A		2,559		70,040
Weis Markets, Inc.		4,265		203,952
				3,264,536
Education Services — 0.6%
2U, Inc. (a)		4,083		80,272
American Public Education, Inc. (a)		6,809		251,048
Bridgepoint Education, Inc. (a)		6,633		75,085
Bright Horizons Family Solutions, Inc. (a)		11,895		559,184
Capella Education Co.		4,248		326,926
Career Education Corp. (a)		25,905		180,299
Chegg, Inc. (a)(b)		28,477		196,776
Franklin Covey Co. (a)		4,242		82,125
Grand Canyon Education, Inc. (a)		18,109		844,966
HealthStream, Inc. (a)		8,242		242,974
Houghton Mifflin Harcourt Co. (a)		42,239		874,770
ITT Educational Services, Inc. (a)(b)		9,019		86,673
K12, Inc. (a)		13,370		158,702
Rosetta Stone, Inc. (a)		8,217		80,198
Strayer Education, Inc. (a)		4,212		312,867
Universal Technical Institute, Inc.		8,698		85,588
				4,438,453
Electronic Components — 0.6%
Acacia Research Corp.		19,527		330,787
Checkpoint Systems, Inc. (a)		16,198		222,399
InvenSense, Inc. (a)(b)		27,618		449,069
Kemet Corp. (a)		17,240		72,408
Methode Electronics, Inc.		14,690		536,332
Multi-Fineline Electronix, Inc. (a)		3,251		36,509
NVE Corp. (a)		1,868		132,236
Park Electrochemical Corp.		8,101		201,958
Rogers Corp. (a)		7,026		572,197
Sanmina Corp. (a)		31,876		750,042
ScanSource, Inc. (a)		11,052		443,848
Sparton Corp. (a)		3,942		111,716
Speed Commerce, Inc. (a)		18,798		58,086
TTM Technologies, Inc. (a)		20,993		158,077
Universal Display Corp. (a)		15,736		436,674
Viasystems Group, Inc. (a)		1,896		30,867
				4,543,205

Common Stocks	Shares		Value
Electronic Entertainment — 0.2%
DTS, Inc. (a)		6,548	$	201,351
Glu Mobile, Inc. (a)		34,878		136,024
Take-Two Interactive Software, Inc. (a)		32,367		907,247
				1,244,622
Electronics — 0.4%
Agilysys, Inc. (a)		5,746		72,342
American Science & Engineering, Inc.		3,032		157,361
Coherent, Inc. (a)		9,668		587,041
Control4 Corp. (a)		4,556		70,026
CUI Global, Inc. (a)		7,999		59,592
Daktronics, Inc.		14,872		186,049
II-VI, Inc. (a)		20,436		278,951
Imprivata, Inc. (a)		2,120		27,560
iRobot Corp. (a)		11,447		397,440
Newport Corp. (a)		15,472		295,670
Rofin-Sinar Technologies, Inc. (a)		10,873		312,816
				2,444,848
Energy Equipment — 0.4%
C&J Energy Services, Inc. (a)		17,946		237,067
Capstone Turbine Corp. (a)(b)		137,560		101,698
Dynegy, Inc. (a)		47,638		1,445,813
Enphase Energy, Inc. (a)		6,960		99,458
FuelCell Energy, Inc. (a)(b)		89,656		138,070
Matador Resources Co. (a)		28,446		575,463
PowerSecure International, Inc. (a)		8,916		103,872
Silver Spring Networks, Inc. (a)		13,975		117,809
				2,819,250
Energy Equipment & Services — 0.0%
CHC Group, Ltd. (a)		12,133		39,068
Geospace Technologies Corp. (a)		5,126		135,839
Pioneer Energy Services Corp. (a)		24,157		133,830
				308,737
Engineering & Contracting Services — 0.5%
Argan, Inc.		4,895		164,668
Dycom Industries, Inc. (a)		13,209		463,504
Engility Holdings, Inc. (a)		6,778		290,098
Exponent, Inc.		5,147		424,628
Furmanite Corp. (a)		14,679		114,790
Layne Christensen Co. (a)		7,643		72,914
MasTec, Inc. (a)		25,454		575,515
Mistras Group, Inc. (a)		6,373		116,817
MYR Group, Inc. (a)		8,326		228,132
Power Solutions International, Inc. (a)		1,769		91,298
Tetra Tech, Inc.		25,262		674,495
VSE Corp.		1,625		107,088
				3,323,947
Entertainment — 0.2%
AMC Entertainment Holdings, Inc., Class A		8,200		214,676
Ascent Capital Group, Inc., Class A (a)		5,397		285,663
Carmike Cinemas, Inc. (a)		9,393		246,754
Reading International, Inc., Class A (a)		6,772		89,797
Rentrak Corp. (a)		3,844		279,920
World Wrestling Entertainment, Inc. (b)		11,597		143,107
				1,259,917
Environmental, Maintenance, & Security Service — 0.6%
ABM Industries, Inc.		21,649		620,244
The Brink’s Co.		18,821		459,420
G&K Services, Inc., Class A		7,700		545,545
Healthcare Services Group, Inc.		27,217		841,822
MSA Safety, Inc.		11,454		608,093
SP Plus Corp. (a)		5,936		149,765
UniFirst Corp.		5,726		695,423
				3,920,312

See Notes to Financial Statements.

68     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Fertilizers — 0.1%
Intrepid Potash, Inc. (a)		21,687	$	301,016
Rentech, Inc. (a)		83,520		105,235
				406,251
Financial Data & Systems — 0.8%
Advent Software, Inc.		19,967		611,789
Cardtronics, Inc. (a)		17,345		669,170
Cass Information Systems, Inc.		4,514		240,371
Consumer Portfolio Services, Inc. (a)		8,532		62,796
Euronet Worldwide, Inc. (a)		19,825		1,088,393
EVERTEC, Inc.		25,559		565,621
Fair Isaac Corp.		12,520		905,196
Global Cash Access Holdings, Inc. (a)		25,788		184,384
Green Dot Corp., Class A (a)		12,156		249,076
Heartland Payment Systems, Inc.		13,971		753,735
Higher One Holdings, Inc. (a)		13,335		56,140
Xoom Corp. (a)		12,040		210,820
				5,597,491
Food & Staples Retailing — 0.0%
Fairway Group Holdings Corp. (a)(b)		7,928		24,973
Natural Grocers by Vitamin Cottage, Inc. (a)		3,575		100,708
				125,681
Foods — 1.4%
B&G Foods, Inc.		20,809		622,189
Boulder Brands, Inc. (a)		23,641		261,470
The Chefs’ Warehouse, Inc. (a)		7,009		161,487
Chiquita Brands International, Inc. (a)		19,322		279,396
Dean Foods Co.		36,276		703,029
Diamond Foods, Inc. (a)		8,422		237,753
The Fresh Market, Inc. (a)		16,638		685,486
Freshpet, Inc. (a)(b)		4,574		78,032
Inventure Foods, Inc. (a)		6,088		77,561
J&J Snack Foods Corp.		5,759		626,406
John B Sanfilippo & Son, Inc.		3,188		145,054
Lancaster Colony Corp.		7,162		670,650
Lifeway Foods, Inc. (a)		1,745		32,335
Medifast, Inc. (a)		4,696		157,551
Nature’s Sunshine Products, Inc.		4,093		60,658
Nutraceutical International Corp. (a)		3,420		73,735
Omega Protein Corp. (a)		8,249		87,192
Post Holdings, Inc. (a)		17,069		715,020
Roundy’s, Inc.		15,527		75,151
Seneca Foods Corp., Class A (a)		3,155		85,280
Senomyx, Inc. (a)		16,790		100,908
Snyders-Lance, Inc.		18,428		562,975
SpartanNash Co.		14,608		381,853
Synutra International, Inc. (a)		6,746		41,016
Tootsie Roll Industries, Inc.		7,301		223,776
TreeHouse Foods, Inc. (a)		16,313		1,395,251
United Natural Foods, Inc. (a)		19,235		1,487,346
				10,028,560
Forest Products — 0.2%
Boise Cascade Co. (a)		15,332		569,584
Deltic Timber Corp.		4,348		297,403
Universal Forest Products, Inc.		7,808		415,386
				1,282,373
Forms & Bulk Printing Services — 0.3%
Deluxe Corp.		19,423		1,209,082
Ennis, Inc.		10,013		134,875
InnerWorkings, Inc. (a)		13,362		104,090
Multi-Color Corp.		4,822		267,235
Quad/Graphics, Inc.		10,697		245,603
				1,960,885

Common Stocks	Shares		Value
Funeral Parlors & Cemeteries — 0.2%
Carriage Services, Inc.		6,152	$	128,884
Hillenbrand, Inc.		24,357		840,317
Matthews International Corp., Class A		11,573		563,258
				1,532,459
Gas Pipeline — 0.2%
SemGroup Corp., Class A		16,527		1,130,282
Glass — 0.1%
Apogee Enterprises, Inc.		11,288		478,273
Gold — 0.0%
Allied Nevada Gold Corp. (a)(b)		43,445		37,797
Coeur Mining, Inc. (a)		40,221		205,529
Gold Resource Corp.		14,583		49,291
				292,617
Health Care Equipment & Supplies — 0.0%
Inogen, Inc. (a)		2,001		62,771
Health Care Facilities — 0.7%
AAC Holdings, Inc. (a)		2,198		67,962
Adeptus Health, Inc., Class A (a)		2,152		80,485
Amsurg Corp. (a)		16,445		900,035
Capital Senior Living Corp. (a)		11,292		281,284
The Ensign Group, Inc.		7,740		343,578
Five Star Quality Care, Inc. (a)		16,494		68,450
Hanger, Inc. (a)		13,732		300,731
HealthSouth Corp.		34,213		1,315,832
Kindred Healthcare, Inc.		27,160		493,769
National Healthcare Corp.		4,002		251,485
Select Medical Holdings Corp.		30,515		439,416
Skilled Healthcare Group, Inc., Class A (a)		9,217		78,990
Surgical Care Affiliates, Inc. (a)		4,890		164,548
U.S. Physical Therapy, Inc.		4,755		199,520
				4,986,085
Health Care Management Services — 0.5%
BioScrip, Inc. (a)		26,567		185,703
Computer Programs & Systems, Inc.		4,325		262,744
Magellan Health Services, Inc. (a)		10,701		642,381
Molina Healthcare, Inc. (a)		11,715		627,104
Triple-S Management Corp., Class B (a)		9,581		229,082
Universal American Corp. (a)		16,492		153,046
WellCare Health Plans, Inc. (a)		17,023		1,396,907
				3,496,967
Health Care Services — 2.1%
Acadia Healthcare Co., Inc. (a)		16,579		1,014,801
Accelerate Diagnostics, Inc. (a)(b)		8,783		168,546
Addus HomeCare Corp. (a)		2,464		59,801
Air Methods Corp. (a)		15,211		669,740
Alliance HealthCare Services, Inc. (a)		1,898		39,839
Almost Family, Inc. (a)		3,215		93,074
Amedisys, Inc. (a)		10,587		310,728
AMN Healthcare Services, Inc. (a)		18,049		353,760
Cara Therapeutics, Inc. (a)		2,256		22,492
Care.com, Inc. (a)(b)		2,860		23,681
Catalent, Inc. (a)		18,965		528,744
Chemed Corp.		6,810		719,613
Civitas Solutions, Inc. (a)		4,415		75,187
Corvel Corp. (a)		4,321		160,828
Cross Country Healthcare, Inc. (a)		12,026		150,085
ExamWorks Group, Inc. (a)		13,465		560,009
Flexion Therapeutics, Inc. (a)		2,169		43,792
Gentiva Health Services, Inc. (a)		12,162		231,686
Globus Medical, Inc., Class A (a)		25,534		606,943
HealthEquity, Inc. (a)		4,095		104,218
Healthways, Inc. (a)		12,215		242,834
HMS Holdings Corp. (a)		34,120		721,297

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 69

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

Common Stocks	Shares		Value
Health Care Services (concluded)
IPC The Hospitalist Co., Inc. (a)		6,679	$	306,499
LHC Group, Inc. (a)		4,796		149,539
Medidata Solutions, Inc. (a)		20,978		1,001,700
MiMedx Group, Inc. (a)		36,050		415,657
MWI Veterinary Supply, Inc. (a)		4,986		847,171
Omnicell, Inc. (a)		14,172		469,377
OvaScience, Inc. (a)		5,953		263,242
PharMerica Corp. (a)		11,666		241,603
Phibro Animal Health Corp., Class A		5,695		179,677
Quality Systems, Inc.		19,339		301,495
Roka Bioscience, Inc. (a)		1,703		7,510
Ryman Hospitality Properties		16,869		889,671
T2 Biosystems, Inc. (a)(b)		2,307		44,387
Team Health Holdings, Inc. (a)		27,291		1,570,051
Tetraphase Pharmaceuticals, Inc. (a)		10,090		400,674
WebMD Health Corp. (a)		15,036		594,674
				14,584,625
Health Care: Miscellaneous — 0.1%
MedAssets, Inc. (a)		23,837		471,019
The Providence Service Corp. (a)		4,475		163,069
				634,088
Home Building — 0.7%
Beazer Homes USA, Inc. (a)		10,446		202,235
Century Communities, Inc. (a)		1,446		24,987
Hovnanian Enterprises, Inc., Class A (a)		45,345		187,275
Installed Building Products, Inc. (a)		3,343		59,572
KB Home		32,630		540,027
LGI Homes, Inc. (a)		5,750		85,790
M/I Homes, Inc. (a)		9,573		219,796
MDC Holdings, Inc.		15,236		403,297
Meritage Homes Corp. (a)		15,256		549,063
The New Home Co., Inc. (a)		3,500		50,680
The Ryland Group, Inc.		18,268		704,414
Standard Pacific Corp. (a)		56,566		412,366
Tile Shop Holdings, Inc. (a)(b)		10,730		95,282
TRI Pointe Homes, Inc. (a)		57,061		870,180
UCP, Inc., Class A (a)		2,956		31,038
WCI Communities, Inc. (a)		4,797		93,925
William Lyon Homes, Class A (a)		6,913		140,127
				4,670,054
Hotel/Motel — 0.3%
Belmond Ltd., Class A (a)		37,531		464,258
Bloomin’ Brands, Inc. (a)		29,960		741,810
Intrawest Resorts Holdings, Inc. (a)		4,991		59,593
La Quinta Holdings, Inc. (a)		17,180		378,991
The Marcus Corp.		6,864		127,053
Morgans Hotel Group Co. (a)		11,303		88,615
				1,860,320
Household Appliances — 0.0%
National Presto Industries, Inc.		1,894		109,928
Household Equipment & Products — 0.2%
Central Garden and Pet Co., Class A (a)		16,803		160,469
CSS Industries, Inc.		3,590		99,227
Helen of Troy Ltd. (a)		11,088		721,385
Libbey, Inc. (a)		8,346		262,398
Sears Hometown and Outlet Stores, Inc. (a)		4,531		59,583
				1,303,062
Household Furnishings — 0.3%
American Woodmark Corp. (a)		4,858		196,457
Ethan Allen Interiors, Inc.		9,820		304,125
Flexsteel Industries, Inc.		1,788		57,663
Kirkland’s, Inc. (a)		5,668		133,992
La-Z-Boy, Inc.		20,318		545,335

Common Stocks	Shares		Value
Household Furnishings (concluded)
Lifetime Brands, Inc.		4,025	$	69,230
Norcraft Cos., Inc. (a)		2,970		57,321
Select Comfort Corp. (a)		21,052		569,036
				1,933,159
Insurance: Life — 0.8%
American Equity Investment Life Holding Co.		28,877		842,920
Citizens, Inc. (a)(b)		17,095		129,922
CNO Financial Group, Inc.		79,587		1,370,488
FBL Financial Group, Inc., Class A		3,749		217,554
Fidelity & Guaranty Life		4,348		105,526
Independence Holding Co.		2,909		40,581
Kansas City Life Insurance Co.		1,463		70,268
National Western Life Insurance Co., Class A		868		233,709
The Phoenix Cos., Inc. (a)		2,181		150,205
Primerica, Inc.		21,207		1,150,692
Symetra Financial Corp.		29,237		673,913
Third Point Reinsurance Ltd. (a)		22,180		321,388
Trupanion, Inc. (a)		3,097		21,462
				5,328,628
Insurance: Multi-Line — 0.4%
Atlas Financial Holdings, Inc. (a)		4,480		73,114
Crawford & Co., Class B		10,900		112,052
eHealth, Inc. (a)		6,925		172,571
Horace Mann Educators Corp.		15,795		524,078
Kemper Corp.		18,028		650,991
Maiden Holdings Ltd.		19,352		247,512
PICO Holdings, Inc. (a)		8,817		166,201
Platinum Underwriters Holdings Ltd.		9,632		707,181
				2,653,700
Insurance: Property-Casualty — 1.7%
Amerisafe, Inc.		7,257		307,407
AmTrust Financial Services, Inc. (b)		11,647		655,144
Argo Group International Holdings Ltd.		10,114		561,024
Baldwin & Lyons, Inc., Class B		3,556		91,674
Donegal Group, Inc., Class A		3,240		51,775
EMC Insurance Group, Inc.		1,989		70,530
Employers Holdings, Inc.		12,244		287,856
Enstar Group Ltd. (a)		3,339		510,500
Essent Group Ltd. (a)		17,313		445,117
Federated National Holding Co.		5,291		127,831
First American Financial Corp.		41,376		1,402,646
Global Indemnity PLC (a)		3,214		91,181
Greenlight Capital Re Ltd. (a)		11,050		360,782
Hallmark Financial Services, Inc. (a)		5,566		67,293
HCI Group, Inc.		3,529		152,594
Heritage Insurance Holdings, Inc. (a)		2,803		54,462
Hilltop Holdings, Inc. (a)		26,988		538,411
Infinity Property & Casualty Corp.		4,452		343,961
Meadowbrook Insurance Group, Inc.		19,216		162,567
Montpelier Re Holdings Ltd.		14,199		508,608
National General Holdings Corp.		13,806		256,930
National Interstate Corp.		2,721		81,086
The Navigators Group, Inc. (a)		4,061		297,834
NMI Holdings, Inc., Class A (a)		19,697		179,834
OneBeacon Insurance Group Ltd.		8,618		139,612
Radian Group, Inc.		74,069		1,238,434
RLI Corp.		16,678		823,893
Safety Insurance Group, Inc.		5,004		320,306
Selective Insurance Group, Inc.		21,783		591,844
State Auto Financial Corp.		5,802		128,920
State National Cos., Inc.		9,719		116,434
Stewart Information Services Corp.		8,351		309,321
United Fire Group, Inc.		7,992		237,602
United Insurance Holdings Corp.		6,415		140,809

See Notes to Financial Statements.

70     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Insurance: Property-Casualty (concluded)
Universal Insurance Holdings, Inc.		12,109	$	247,629
				11,901,851
International Trade & Diversified Logistic — 0.0%
Global Sources Ltd. (a)		6,276		39,915
Internet Software & Services — 0.2%
Amber Road, Inc. (a)		3,274		33,460
Borderfree, Inc. (a)		2,515		22,534
ChannelAdvisor Corp. (a)		8,044		173,590
Cinedigm Corp. (a)		29,227		47,348
Coupons.com, Inc. (a)		4,777		84,792
E2open, Inc. (a)		9,142		87,855
Everyday Health, Inc. (a)		2,891		42,642
Global Eagle Entertainment, Inc. (a)		15,764		214,548
Gogo, Inc. (a)(b)		21,691		358,552
GrubHub, Inc. (a)		3,549		128,900
OPOWER, Inc. (a)(b)		2,949		41,964
TrueCar, Inc. (a)		2,980		68,242
Zendesk, Inc. (a)		4,329		105,498
				1,409,925
Leisure Time — 1.0%
Black Diamond, Inc. (a)		9,027		78,986
Callaway Golf Co.		30,265		233,040
Churchill Downs, Inc.		5,190		494,607
ClubCorp Holdings, Inc.		8,264		148,174
Escalade, Inc.		3,676		55,471
International Speedway Corp., Class A		10,772		340,934
Interval Leisure Group, Inc.		15,413		321,978
Johnson Outdoors, Inc.		1,910		59,592
Life Time Fitness, Inc. (a)		15,854		897,653
Marriott Vacations Worldwide Corp.		10,382		773,874
Nautilus, Inc. (a)		12,084		183,435
Orbitz Worldwide, Inc. (a)		20,028		164,830
Pool Corp.		17,468		1,108,170
SFX Entertainment, Inc. (a)		17,076		77,354
Smith & Wesson Holding Corp. (a)		21,456		203,188
Speedway Motorsports, Inc.		4,323		94,544
Sturm Ruger & Co., Inc. (b)		7,557		261,699
Travelport Worldwide, Ltd.		11,570		208,260
Vail Resorts, Inc.		14,004		1,276,185
West Marine, Inc. (a)		6,930		89,536
				7,071,510
Luxury Items — 0.0%
Movado Group, Inc.		7,127		202,193
Machinery: Agricultural — 0.1%
Alamo Group, Inc.		2,610		126,428
Lindsay Corp. (b)		4,738		406,236
Titan International, Inc.		17,132		182,113
Titan Machinery, Inc. (a)(b)		6,776		94,458
				809,235
Machinery: Construction & Handling — 0.1%
Astec Industries, Inc.		7,301		287,002
Douglas Dynamics, Inc.		8,564		183,527
NACCO Industries, Inc., Class A		1,728		102,574
				573,103
Machinery: Engines — 0.1%
Briggs & Stratton Corp.		18,130		370,215
Machinery: Industrial — 1.0%
Actuant Corp., Class A		25,264		688,191
Altra Industrial Motion Corp.		10,517		298,578
Applied Industrial Technologies, Inc.		16,195		738,330
Chart Industries, Inc. (a)		11,849		405,236
Columbus McKinnon Corp.		7,684		215,459

Common Stocks	Shares		Value
Machinery: Industrial (concluded)
DXP Enterprises, Inc. (a)		5,032	$	254,267
EnPro Industries, Inc. (a)		8,817		553,355
The ExOne Co. (a)(b)		3,982		66,898
Graham Corp.		3,870		111,340
Hyster-Yale Materials Handling, Inc.		3,990		292,068
Intevac, Inc. (a)		9,112		70,800
John Bean Technologies Corp.		11,313		371,745
Kadant, Inc.		4,344		185,445
Manitex International, Inc. (a)		5,407		68,723
MTS Systems Corp.		5,864		439,976
Omega Flex, Inc.		1,119		42,310
Proto Labs, Inc. (a)		8,789		590,269
Tennant Co.		7,135		514,933
Twin Disc, Inc.		3,159		62,738
Woodward, Inc.		25,687		1,264,571
				7,235,232
Machinery: Specialty — 0.1%
Albany International Corp., Class A		10,893		413,825
Hurco Cos., Inc.		2,543		86,691
Xerium Technologies, Inc. (a)		4,253		67,112
				567,628
Manufactured Housing — 0.0%
Cavco Industries, Inc. (a)		3,448		273,323
Medical & Dental Instruments & Supplies — 2.0%
ABIOMED, Inc. (a)		15,483		589,283
AngioDynamics, Inc. (a)		9,603		182,553
Anika Therapeutics, Inc. (a)		5,615		228,755
Antares Pharma, Inc. (a)		44,679		114,825
AtriCure, Inc. (a)		10,632		212,215
Atrion Corp.		597		202,986
Cantel Medical Corp.		13,111		567,182
Cardiovascular Systems, Inc. (a)		10,732		322,819
Cerus Corp. (a)		30,207		188,492
CONMED Corp.		10,563		474,912
CryoLife, Inc.		10,876		123,225
Derma Sciences, Inc. (a)		8,917		83,017
Endologix, Inc. (a)		24,870		380,262
Exactech, Inc. (a)		3,868		91,169
HeartWare International, Inc. (a)		6,598		484,491
ICU Medical, Inc. (a)		5,204		426,208
Insulet Corp. (a)		21,488		989,737
Integra LifeSciences Holdings Corp. (a)		9,698		525,923
Intersect ENT, Inc. (a)		2,237		41,496
Invacare Corp.		12,468		208,964
K2M Group Holdings, Inc. (a)		3,438		71,751
Landauer, Inc.		3,650		124,611
LDR Holding Corp. (a)		6,424		210,579
Meridian Bioscience, Inc.		16,197		266,603
Merit Medical Systems, Inc. (a)		16,723		289,810
NanoString Technologies, Inc. (a)		3,936		54,828
Navidea Biopharmaceuticals, Inc. (a)(b)		58,229		110,053
Neogen Corp. (a)		14,224		705,368
NuVasive, Inc. (a)		18,074		852,370
Ocular Therapeutix, Inc. (a)		2,141		50,356
OraSure Technologies, Inc. (a)		21,693		219,967
Orthofix International NV (a)		7,122		214,087
Owens & Minor, Inc.		24,454		858,580
Quidel Corp. (a)		11,062		319,913
Sientra, Inc. (a)		1,918		32,203
Staar Surgical Co. (a)		14,861		135,384
STERIS Corp.		22,911		1,485,778
SurModics, Inc. (a)		5,042		111,428
Symmetry Surgical, Inc. (a)		3,756		29,259
Tornier NV (a)		13,769		351,110
TransEnterix, Inc. (a)		10,468		30,462

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 71

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

Common Stocks	Shares		Value
Medical & Dental Instruments & Supplies (concluded)
TriVascular Technologies, Inc. (a)(b)		2,770	$	34,819
Unilife Corp. (a)(b)		42,507		142,398
Utah Medical Products, Inc.		1,480		88,874
Vascular Solutions, Inc. (a)		6,652		180,668
Volcano Corp. (a)		19,928		356,313
				13,766,086
Medical Equipment — 1.3%
Abaxis, Inc.		8,702		494,535
Accuray, Inc. (a)		29,861		225,451
Affymetrix, Inc. (a)		28,284		279,163
Analogic Corp.		4,825		408,243
Cyberonics, Inc. (a)		10,430		580,742
Cynosure, Inc., Class A (a)		8,666		237,622
DexCom, Inc. (a)		29,034		1,598,322
Fluidigm Corp. (a)		10,894		367,455
Greatbatch, Inc. (a)		9,657		476,090
Haemonetics Corp. (a)		20,235		757,194
Luminex Corp. (a)		14,604		273,971
Masimo Corp. (a)		17,381		457,816
Merge Healthcare, Inc. (a)		26,938		95,899
Natus Medical, Inc. (a)		12,462		449,130
Nevro Corp. (a)		3,095		119,684
NxStage Medical, Inc. (a)		23,794		426,626
Oxford Immunotec Global PLC (a)		5,102		69,489
Spectranetics Corp. (a)		16,113		557,188
Tandem Diabetes Care, Inc. (a)		3,072		39,014
Thoratec Corp. (a)		22,057		715,970
Zeltiq Aesthetics, Inc. (a)		11,265		314,406
				8,944,010
Medical Services — 0.2%
Bio-Reference Laboratories, Inc. (a)		9,565		307,323
PAREXEL International Corp. (a)		22,075		1,226,487
				1,533,810
Metal Fabricating — 0.7%
Advanced Drainage Systems, Inc.		5,953		136,800
Ampco-Pittsburgh Corp.		3,093		59,540
Dynamic Materials Corp.		5,425		86,908
Global Brass & Copper Holdings, Inc.		8,531		112,268
Haynes International, Inc.		4,808		233,188
LB Foster Co., Class A		4,026		195,543
Mueller Industries, Inc.		21,967		749,953
Mueller Water Products, Inc., Series A		61,779		632,617
NN, Inc.		6,868		141,206
Northwest Pipe Co. (a)		3,608		108,673
RBC Bearings, Inc.		9,007		581,222
Rexnord Corp. (a)		29,171		822,914
RTI International Metals, Inc. (a)		11,943		301,680
Worthington Industries, Inc.		19,963		600,687
				4,763,199
Metals & Minerals: Diversified — 0.6%
Alpha Natural Resources, Inc. (a)(b)		86,007		143,632
Commercial Metals Co.		45,653		743,687
Globe Specialty Metals, Inc.		24,756		426,546
Hecla Mining Co.		143,216		399,573
Materion Corp.		7,980		281,135
Minerals Technologies, Inc.		13,366		928,269
Molycorp, Inc. (a)(b)		75,611		66,583
Oil-Dri Corp. of America		1,888		61,605
Ring Energy, Inc. (a)		7,757		81,449
SunCoke Energy, Inc.		25,717		497,367
U.S. Silica Holdings, Inc.		20,880		536,407
United States Lime & Minerals, Inc.		750		54,645
				4,220,898

Common Stocks	Shares		Value
Office Supplies & Equipement — 0.7%
ACCO Brands Corp. (a)		44,285	$	399,008
Eastman Kodak Co. (a)		6,927		150,385
Electronics for Imaging, Inc. (a)		18,056		773,338
Herman Miller, Inc.		22,967		675,919
HNI Corp.		17,482		892,631
Kimball International, Inc., Class B		13,265		120,977
Knoll, Inc.		18,787		397,721
Steelcase, Inc., Class A		32,027		574,885
United Stationers, Inc.		15,304		645,216
				4,630,080
Offshore Drilling & Other Services — 0.0%
Hercules Offshore, Inc. (a)(b)		63,064		63,064
North Atlantic Drilling, Ltd.		26,731		43,571
Vantage Drilling Co. (a)		85,202		41,647
				148,282
Oil Well Equipment & Services — 0.8%
Basic Energy Services, Inc. (a)		12,423		87,085
Dawson Geophysical Co.		3,306		40,432
Exterran Holdings, Inc.		22,684		739,045
Flotek Industries, Inc. (a)		20,866		390,820
FMSA Holdings, Inc. (a)		9,312		64,439
Forum Energy Technologies, Inc. (a)		23,108		479,029
Glori Energy, Inc. (a)(b)		5,086		21,260
Gulf Island Fabrication, Inc.		5,685		110,232
Helix Energy Solutions Group, Inc. (a)		40,898		887,487
Hornbeck Offshore Services, Inc. (a)		14,105		352,202
Independence Contract Drilling, Inc. (a)		3,763		19,643
ION Geophysical Corp. (a)		49,875		137,156
Key Energy Services, Inc. (a)		51,151		85,422
Matrix Service Co. (a)		10,303		229,963
McDermott International, Inc. (a)		92,196		268,290
Mitcham Industries, Inc. (a)		5,440		32,259
Natural Gas Services Group, Inc. (a)		4,932		113,633
Newpark Resources, Inc. (a)		32,897		313,837
Nuverra Environmental Solutions, Inc. (a)(b)		6,238		34,621
Parker Drilling Co. (a)		47,238		145,021
Profire Energy, Inc. (a)(b)		6,300		14,364
RigNet, Inc. (a)		4,617		189,436
SEACOR Holdings, Inc. (a)		7,200		531,432
Tesco Corp.		13,425		172,109
TETRA Technologies, Inc. (a)		30,684		204,969
Willbros Group, Inc. (a)		14,923		93,567
				5,757,753
Oil, Gas & Consumable Fuels — 0.3%
Ardmore Shipping Corp.		6,945		83,132
CARBO Ceramics, Inc.		7,685		307,784
DHT Holdings, Inc.		36,027		263,357
Dorian LPG, Ltd. (a)		2,658		36,920
Emerald Oil, Inc. (a)(b)		23,794		28,553
EXCO Resources, Inc. (b)		59,200		128,464
Gastar Exploration, Inc. (a)		26,608		64,125
Navios Maritime Acq Corp.		32,496		117,960
Pacific Ethanol, Inc. (a)		9,199		95,026
Parsley Energy, Inc., Class A (a)		20,672		329,925
Plug Power, Inc. (a)(b)		64,585		193,755
RSP Permian, Inc. (a)		9,075		228,146
TransAtlantic Petroleum, Ltd. (a)		8,454		45,567
				1,922,714
Oil: Crude Producers — 1.1%
Abraxas Petroleum Corp. (a)		35,179		103,426
American Eagle Energy Corp. (a)		12,925		8,047
Apco Oil and Gas International, Inc. (a)		3,414		47,898
Approach Resources, Inc. (a)(b)		14,965		95,626
Bill Barrett Corp. (a)		19,318		220,032

See Notes to Financial Statements.

72     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Oil: Crude Producers (concluded)
Bonanza Creek Energy, Inc. (a)		12,767	$	306,408
BPZ Resources, Inc. (a)		48,818		14,108
Callon Petroleum Co. (a)		21,558		117,491
Carrizo Oil & Gas, Inc. (a)		17,643		733,949
Clayton Williams Energy, Inc. (a)		2,289		146,038
Comstock Resources, Inc. (b)		18,465		125,747
Contango Oil & Gas Co. (a)		6,767		197,867
Diamondback Energy, Inc. (a)		16,237		970,648
Eclipse Resources Corp. (a)		11,625		81,724
Energy XXI Bermuda Ltd. (b)		35,911		117,070
Evolution Petroleum Corp.		7,574		56,275
FX Energy, Inc. (a)		22,182		34,382
Goodrich Petroleum Corp. (a)(b)		13,980		62,071
Halcon Resources Corp. (a)(b)		100,619		179,102
Harvest Natural Resources, Inc. (a)		17,052		30,864
Isramco, Inc. (a)(b)		337		46,506
Jones Energy, Inc., Class A (a)		4,612		52,623
Magnum Hunter Resources Corp. (a)(b)		77,138		242,213
Midstates Petroleum Co., Inc. (a)(b)		15,172		22,910
Northern Oil and Gas, Inc. (a)		23,787		134,397
ONE Gas, Inc.		20,166		831,243
Panhandle Oil and Gas, Inc.		5,288		123,105
PDC Energy, Inc. (a)		13,886		573,075
Penn Virginia Corp. (a)		25,305		169,037
PetroQuest Energy, Inc. (a)		23,024		86,110
Quicksilver Resources, Inc. (a)(b)		53,958		10,695
Resolute Energy Corp. (a)		27,594		36,424
Rex Energy Corp. (a)		19,118		97,502
Rosetta Resources, Inc. (a)		23,867		532,473
Sanchez Energy Corp. (a)(b)		19,859		184,490
Stone Energy Corp. (a)		21,839		368,642
Swift Energy Co. (a)(b)		17,269		69,939
Synergy Resources Corp. (a)		25,820		323,783
Triangle Petroleum Corp. (a)(b)		26,270		125,571
Vaalco Energy, Inc. (a)		18,888		86,129
W&T Offshore, Inc.		13,248		97,240
Warren Resources, Inc. (a)		27,529		44,322
				7,907,202
Oil: Refining & Marketing — 0.3%
Adams Resources & Energy, Inc.		798		39,860
Alon USA Energy, Inc.		10,149		128,588
Clean Energy Fuels Corp. (a)		27,328		136,503
Delek U.S. Holdings, Inc.		23,014		627,822
Miller Energy Resources, Inc. (a)(b)		12,729		15,911
Renewable Energy Group, Inc. (a)		13,436		130,463
Trecora Resources (a)		7,421		109,089
Vertex Energy, Inc. (a)(b)		5,225		21,893
Western Refining, Inc.		20,647		780,044
				1,990,173
Paints & Coatings — 0.2%
Chase Corp.		2,542		91,487
Ferro Corp. (a)		27,858		361,040
HB Fuller Co.		19,440		865,663
Kronos Worldwide, Inc.		8,228		107,128
				1,425,318
Paper — 0.5%
Clearwater Paper Corp. (a)		7,956		545,384
KapStone Paper and Packaging Corp.		32,883		963,801
Neenah Paper, Inc.		6,449		388,681
PH Glatfelter Co.		16,800		429,576
Resolute Forest Products (a)		25,268		444,969
Schweitzer-Mauduit International, Inc.		11,889		502,905
Wausau Paper Corp.		16,574		188,446
				3,463,762

Common Stocks	Shares		Value
Personal Care — 0.1%
The Female Health Co.		8,082	$	31,681
Orchids Paper Products Co.		3,162		92,046
PhotoMedex, Inc. (a)(b)		5,565		8,515
USANA Health Sciences, Inc. (a)		2,212		226,929
WD-40 Co.		5,810		494,315
				853,486
Pharmaceuticals — 2.9%
ACADIA Pharmaceuticals, Inc. (a)		30,537		969,550
AcelRx Pharmaceuticals, Inc. (a)(b)		9,825		66,122
Achaogen, Inc. (a)		2,870		37,454
Achillion Pharmaceuticals, Inc. (a)		37,510		459,498
Adamas Pharmaceuticals, Inc. (a)		1,173		20,375
Aerie Pharmaceuticals, Inc. (a)		4,086		119,270
Agios Pharmaceuticals, Inc. (a)		5,666		634,819
Akorn, Inc. (a)		24,148		874,158
Amphastar Pharmaceuticals, Inc. (a)		3,450		40,055
Ampio Pharmaceuticals, Inc. (a)(b)		15,852		54,372
Anacor Pharmaceuticals, Inc. (a)		12,736		410,736
Aratana Therapeutics, Inc. (a)		11,152		198,729
Auspex Pharmaceuticals, Inc. (a)		3,609		189,400
Auxilium Pharmaceuticals, Inc. (a)		19,490		670,164
AVANIR Pharmaceuticals, Inc. (a)		74,683		1,265,877
Biospecifics Technologies Corp. (a)		1,379		53,257
Cambrex Corp. (a)		11,907		257,429
Cempra, Inc. (a)		9,612		225,978
Chimerix, Inc. (a)		11,697		470,921
Corcept Therapeutics, Inc. (a)		19,964		59,892
Depomed, Inc. (a)		22,490		362,314
Dicerna Pharmaceuticals, Inc. (a)		1,444		23,783
Egalet Corp. (a)		1,683		9,576
Enanta Pharmaceuticals, Inc. (a)		4,016		204,214
Endocyte, Inc. (a)		14,760		92,840
Esperion Therapeutics, Inc. (a)		2,333		94,347
Furiex Pharamceuticals, Inc.		3,003		30,030
Galectin Therapeutics, Inc. (a)		7,543		26,174
Horizon Pharma PLC (a)		25,198		324,802
Immune Design Corp. (a)		2,381		73,287
Impax Laboratories, Inc. (a)		27,157		860,334
Infinity Pharmaceuticals, Inc. (a)		18,826		317,971
Intra-Cellular Therapies, Inc. (a)(b)		6,659		117,531
Ironwood Pharmaceuticals, Inc. (a)		46,372		710,419
Isis Pharmaceuticals, Inc. (a)		45,583		2,814,294
Kite Pharma, Inc. (a)(b)		3,626		209,111
Lannett Co., Inc. (a)		9,978		427,857
The Medicines Co. (a)		25,228		698,059
Nanoviricides, Inc. (a)(b)		16,944		46,088
NeoStem, Inc. (a)(b)		10,036		37,836
Ohr Pharmaceutical, Inc. (a)(b)		7,948		66,286
Otonomy, Inc. (a)		2,816		93,857
Pacira Pharmaceuticals, Inc. (a)		13,811		1,224,483
Pain Therapeutics, Inc. (a)		15,839		32,153
Pernix Therapeutics Holdings (a)		12,636		118,652
Portola Pharmaceuticals, Inc. (a)		16,544		468,526
Pozen, Inc. (a)		10,624		84,992
Prestige Brands Holdings, Inc. (a)		20,115		698,393
Radius Health, Inc. (a)		3,017		117,391
Receptos, Inc. (a)		8,499		1,041,213
Relypsa, Inc. (a)		6,526		201,001
Revance Therapeutics, Inc. (a)		3,464		58,680
Sagent Pharmaceuticals, Inc. (a)		8,506		213,586
Sciclone Pharmaceuticals, Inc. (a)		20,032		175,480
Spectrum Pharmaceuticals, Inc. (a)		25,554		177,089
Supernus Pharmaceuticals, Inc. (a)		11,352		94,222
TG Therapeutics, Inc. (a)		10,431		165,227
TherapeuticsMD, Inc. (a)		41,852		186,241
Theravance Biopharma, Inc. (a)		9,012		134,459

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 73

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

Common Stocks	Shares		Value
Pharmaceuticals (concluded)
Ultragenyx Pharmaceutical, Inc. (a)		2,729	$	119,749
Vivus, Inc. (a)(b)		35,964		103,576
XenoPort, Inc. (a)		22,394		196,395
Zafgen, Inc. (a)		2,652		81,788
Zogenix, Inc. (a)		48,087		65,879
ZS Pharma, Inc. (a)(b)		2,616		108,747
				20,586,988
Plastics — 0.1%
A. Schulman, Inc.		11,300		457,989
Ply Gem Holdings, Inc. (a)		8,317		116,272
Trinseo SA (a)		4,533		79,101
				653,362
Power Transmission Equipment — 0.3%
Advanced Energy Industries, Inc. (a)		15,969		378,465
Generac Holdings, Inc. (a)		26,709		1,248,913
Global Power Equipment Group, Inc.		6,637		91,657
Maxwell Technologies, Inc. (a)		11,883		108,373
Powell Industries, Inc.		3,605		176,897
Vicor Corp. (a)		6,316		76,424
				2,080,729
Precious Metals & Minerals — 0.1%
Horsehead Holding Corp. (a)		19,705		311,930
Stillwater Mining Co. (a)		46,496		685,351
				997,281
Printing & Copying Services — 0.2%
Casella Waste Systems, Inc. (a)		15,074		60,899
Cenveo, Inc. (a)		21,392		44,923
Cimpress NV (a)		12,918		966,783
				1,072,605
Producer Durables: Miscellaneous — 0.1%
Blount International, Inc. (a)		19,239		338,029
Park-Ohio Holdings Corp.		3,398		214,176
				552,205
Production Technology Equipment — 1.0%
Axcelis Technologies, Inc. (a)		42,825		109,632
Brooks Automation, Inc.		25,854		329,638
Cognex Corp. (a)		33,645		1,390,548
Cohu, Inc.		9,909		117,917
Electro Scientific Industries, Inc.		9,335		72,440
Entegris, Inc. (a)		53,947		712,640
FEI Co.		16,377		1,479,662
GSI Group, Inc. (a)		11,748		172,931
MKS Instruments, Inc.		20,714		758,132
Nanometrics, Inc. (a)		9,232		155,282
Photronics, Inc. (a)		23,606		196,166
Rudolph Technologies, Inc. (a)		12,725		130,177
Tessera Technologies, Inc.		20,693		739,982
Ultra Clean Holdings, Inc. (a)		11,512		106,831
Ultratech, Inc. (a)		10,893		202,174
Veeco Instruments, Inc. (a)		15,523		541,442
				7,215,594
Publishing — 0.6%
AH Belo Corp.		7,170		74,425
Daily Journal Corp. (a)		415		109,149
Dex Media, Inc. (a)		5,741		51,497
Eros International PLC (a)		8,596		181,891
Journal Communications, Inc., Class A (a)		17,458		199,545
Lee Enterprises, Inc. (a)		20,392		75,043
Martha Stewart Living Omnimedia, Class A (a)		11,528		49,686
The McClatchy Co., Class A (a)		23,664		78,564
Media General, Inc. (a)		21,116		353,271

Common Stocks	Shares		Value
Publishing (concluded)
Meredith Corp.		13,935	$	756,949
New Media Investment Group, Inc.		14,247		336,657
The New York Times Co., Class A		53,732		710,337
Scholastic Corp.		10,263		373,778
Time, Inc.		42,732		1,051,634
				4,402,426
Radio & TV Broadcasters — 0.3%
Central European Media Enterprises Ltd. (a)		27,697		88,907
Crown Media Holdings, Inc., Class A (a)		13,437		47,567
Cumulus Media, Inc., Class A (a)		55,696		235,594
Entercom Communications Corp., Class A (a)		9,615		116,918
Entravision Communications Corp., Class A		22,160		143,597
Gray Television, Inc. (a)		19,245		215,544
Nexstar Broadcasting Group, Inc., Class A		11,877		615,110
Radio One, Inc., Class D (a)		9,662		16,136
Saga Communications, Inc., Class A		1,431		62,220
Salem Communications Corp., Class A		4,446		34,768
Sinclair Broadcast Group, Inc., Class A		26,643		728,952
Townsquare Media, Inc. (a)		3,307		43,652
				2,348,965
Railroad Equipment — 0.1%
American Railcar Industries, Inc.		3,657		188,335
FreightCar America, Inc.		4,665		122,736
The Greenbrier Cos., Inc. (b)		10,705		575,180
				886,251
Real Estate — 0.3%
AV Homes, Inc. (a)		4,451		64,851
Consolidated-Tomoka Land Co.		1,691		94,358
Forestar Group, Inc. (a)		13,643		210,102
HFF, Inc., Class A		12,729		457,226
Kennedy-Wilson Holdings, Inc.		27,881		705,389
The St. Joe Co. (a)		16,367		300,989
Tejon Ranch Co. (a)		5,325		156,875
				1,989,790
Real Estate Investment Trusts (REITs) — 8.9%
Acadia Realty Trust		24,952		799,213
AG Mortgage Investment Trust, Inc.		11,039		204,994
Agree Realty Corp.		6,516		202,582
Alexander & Baldwin, Inc.		18,929		743,153
Alexander’s, Inc.		818		357,613
Altisource Residential Corp.		22,244		431,534
American Assets Trust, Inc.		13,915		553,956
American Capital Mortgage Investment Corp.		19,760		372,278
American Realty Capital Healthcare Trust, Inc.		65,669		781,461
American Residential Properties, Inc. (a)		12,615		221,646
AmREIT, Inc., Class B		7,614		202,076
Anworth Mortgage Asset Corp.		43,707		229,462
Apollo Commercial Real Estate Finance, Inc.		17,994		294,382
Ares Commercial Real Estate Corp.		11,353		130,332
Armada Hoffler Properties, Inc.		9,715		92,195
ARMOUR Residential REIT, Inc.		138,756		510,622
Ashford Hospitality Prime, Inc.		8,691		149,138
Ashford Hospitality Trust, Inc.		27,002		282,981
Associated Estates Realty Corp.		22,352		518,790
Aviv REIT, Inc.		7,643		263,531
Campus Crest Communities, Inc.		25,123		183,649
Capstead Mortgage Corp.		37,149		456,190
CareTrust REIT, Inc.		7,675		94,633
Catchmark Timber Trust, Inc.		7,537		85,319
Cedar Realty Trust, Inc.		30,937		227,078
Chambers Street Properties		92,082		742,181
Chatham Lodging Trust		13,242		383,621
Chesapeake Lodging Trust		21,288		792,127
Colony Financial, Inc.		41,723		993,842

See Notes to Financial Statements.

74     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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) (continued)
CorEnergy Infrastructure Trust, Inc.		17,459	$	113,134
Coresite Realty Corp.		8,253		322,280
Cousins Properties, Inc.		85,472		976,090
CubeSmart		62,860		1,387,320
CyrusOne, Inc.		12,861		354,321
CYS Investments, Inc.		63,409		552,926
DCT Industrial Trust, Inc.		31,984		1,140,549
DiamondRock Hospitality Co.		75,948		1,129,347
DuPont Fabros Technology, Inc.		24,750		822,690
Dynex Capital, Inc.		21,310		175,808
EastGroup Properties, Inc.		12,171		770,668
Education Realty Trust, Inc.		16,288		595,978
Empire State Realty Trust, Inc., Class A		35,756		628,591
EPR Properties		22,179		1,278,176
Equity One, Inc.		23,867		605,267
Excel Trust, Inc.		23,770		318,280
FelCor Lodging Trust, Inc.		48,221		521,751
First Industrial Realty Trust, Inc.		42,705		878,015
First Potomac Realty Trust		22,837		282,265
Franklin Street Properties Corp.		34,895		428,162
Geo Group, Inc.		28,120		1,134,923
Getty Realty Corp.		9,977		181,681
Gladstone Commercial Corp.		6,764		116,138
Glimcher Realty Trust		56,318		773,809
Government Properties Income Trust		26,595		611,951
Gramercy Property Trust, Inc.		72,461		499,981
Hatteras Financial Corp.		37,333		688,047
Healthcare Realty Trust, Inc.		37,261		1,017,971
Hersha Hospitality Trust		77,810		547,004
Highwoods Properties, Inc.		34,983		1,549,047
Hudson Pacific Properties, Inc.		21,329		641,150
Inland Real Estate Corp.		34,099		373,384
Invesco Mortgage Capital, Inc.		47,659		736,808
Investors Real Estate Trust		43,607		356,269
iStar Financial, Inc. (a)		32,799		447,706
Kite Realty Group Trust		12,864		369,711
KYTHERA Biopharmaceuticals, Inc. (a)		6,751		234,125
LaSalle Hotel Properties		43,315		1,752,958
Lexington Realty Trust		79,805		876,259
LTC Properties, Inc.		13,525		583,874
Mack-Cali Realty Corp.		34,498		657,532
Medical Properties Trust, Inc.		66,988		923,095
Monmouth Real Estate Investment Corp., Class A		21,797		241,293
National Health Investors, Inc.		14,546		1,017,638
New Residential Investment Corp.		55,028		702,708
New York Mortgage Trust, Inc.		41,300		318,423
New York REIT, Inc.		62,946		666,598
One Liberty Properties, Inc.		4,621		109,379
Owens Realty Mortgage, Inc. REIT		4,019		58,878
Parkway Properties, Inc.		30,577		562,311
Pebblebrook Hotel Trust		27,701		1,263,997
Pennsylvania Real Estate Investment Trust		26,635		624,857
PennyMac Mortgage Investment Trust (c)		28,817		607,751
Physicians Realty Trust		18,452		306,303
Potlatch Corp.		15,800		661,546
PS Business Parks, Inc.		7,569		602,038
QTS Realty Trust, Inc., Class A		4,591		155,359
RAIT Financial Trust		31,620		242,525
Ramco-Gershenson Properties Trust		29,983		561,881
Redwood Trust, Inc.		32,279		635,896
Resource Capital Corp.		50,440		254,218
Retail Opportunity Investments Corp.		35,043		588,372
Rexford Industrial Realty, Inc.		17,991		282,639
RLJ Lodging Trust		50,729		1,700,943
Rouse Properties, Inc. (b)		14,518		268,873
Sabra Health Care REIT, Inc.		21,036		638,863
Saul Centers, Inc.		3,817		218,294

Common Stocks	Shares			Value
Real Estate Investment Trusts (REITs) (concluded)
Select Income REIT		14,325		$	349,673
Silver Bay Realty Trust Corp.		14,202			235,185
Sovran Self Storage, Inc.		12,793			1,115,805
STAG Industrial, Inc.		21,977			538,437
Starwood Waypoint Residential Trust		15,203			400,903
STORE Capital Corp.		12,351			266,905
Strategic Hotels & Resorts, Inc. (a)		103,686			1,371,766
Summit Hotel Properties, Inc.		33,089			411,627
Sun Communities, Inc.		18,600			1,124,556
Sunstone Hotel Investors, Inc.		79,763			1,316,887
Terreno Realty Corp.		16,351			337,321
Trade Street Residential, Inc.		6,914			53,169
UMH Properties, Inc. (b)		7,812			74,605
Universal Health Realty Income Trust		4,736			227,896
Urstadt Biddle Properties, Inc., Class A		10,436			228,340
Walter Investment Management Corp. (a)(b)		14,689			242,515
Washington Real Estate Investment Trust		25,884			715,951
Western Asset Mortgage Capital Corp. (b)		16,558			243,403
Whitestone REIT		8,809			133,104
					62,335,251
Recreational Vehicles & Boats — 0.4%
Arctic Cat, Inc.		5,025			178,387
Brunswick Corp.		35,968			1,843,720
Drew Industries, Inc. (a)		9,176	��		468,618
Malibu Boats, Inc. (a)		3,388			65,287
Marine Products Corp.		4,468			37,710
Winnebago Industries, Inc.		10,610			230,874
					2,824,596
Rental & Leasing Services: Consumer — 0.1%
Rent-A-Center, Inc.		20,490			744,197
Restaurants — 1.9%
Biglari Holdings, Inc. (a)		674			269,270
BJ’s Restaurants, Inc. (a)		8,408			422,166
Bob Evans Farms, Inc.		9,575			490,048
Bravo Brio Restaurant Group, Inc. (a)		7,384			102,711
Buffalo Wild Wings, Inc. (a)		7,333			1,322,727
Carrols Restaurant Group, Inc. (a)		13,888			105,965
The Cheesecake Factory, Inc.		19,375			974,756
Cracker Barrel Old Country Store, Inc.		7,388			1,039,935
Dave & Buster’s Entertainment, Inc. (a)		2,497			68,168
Denny’s Corp. (a)		33,838			348,870
Diamond Resorts International, Inc. (a)		13,723			382,872
DineEquity, Inc.		6,455			668,996
El Pollo Loco Holdings, Inc. (a)		3,121			62,326
Ellie Mae, Inc. (a)		10,890			439,085
Famous Dave’s Of America, Inc. (a)		1,784			46,866
Fiesta Restaurant Group, Inc. (a)		10,382			631,226
The Habit Restaurants, Inc. (a)		2,140			69,229
Ignite Restaurant Group, Inc. (a)		3,176			24,995
Jack in the Box, Inc.		15,510			1,240,180
Jamba, Inc. (a)		6,692			100,982
Krispy Kreme Doughnuts, Inc. (a)		25,311			499,639
Nathan’s Famous, Inc. (a)		1,211			96,880
Noodles & Co. (a)		4,190			110,406
Papa John’s International, Inc.		11,862			661,900
Papa Murphy’s Holdings, Inc. (a)(b)		2,464			28,632
Popeyes Louisiana Kitchen, Inc. (a)		9,167			515,827
Potbelly Corp. (a)		5,847			75,251
Red Robin Gourmet Burgers, Inc. (a)		5,549			427,134
Ruby Tuesday, Inc. (a)		23,823			162,949
Ruth’s Hospitality Group, Inc.		13,985			209,775
Sonic Corp.		21,103			574,635
Texas Roadhouse, Inc.		27,001			911,554
Zoe’s Kitchen, Inc. (a)		2,218			66,340
					13,152,295

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 75

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

Common Stocks	Shares		Value
Scientific Instruments: Control & Filter — 0.4%
Brady Corp., Class A		18,592	$	508,305
CIRCOR International, Inc.		6,862		413,641
Energy Recovery, Inc. (a)(b)		15,446		81,401
ESCO Technologies, Inc.		10,290		379,701
The Gorman-Rupp Co.		7,327		235,343
Sun Hydraulics Corp.		8,633		339,968
Thermon Group Holdings, Inc. (a)		12,407		300,125
Watts Water Technologies, Inc., Class A		11,052		701,139
				2,959,623
Scientific Instruments: Electrical — 0.6%
AZZ, Inc.		9,922		465,540
EnerSys, Inc.		18,209		1,123,860
Franklin Electric Co., Inc.		18,477		693,442
GrafTech International Ltd. (a)		45,652		230,999
Houston Wire & Cable Co.		6,853		81,893
Littelfuse, Inc.		8,717		842,672
Preformed Line Products Co.		1,022		55,832
Taser International, Inc. (a)		20,903		553,512
				4,047,750
Scientific Instruments: Gauges & Meters — 0.2%
Badger Meter, Inc.		5,615		333,250
FARO Technologies, Inc. (a)		6,681		418,765
Itron, Inc. (a)		15,237		644,373
Mesa Laboratories, Inc.		1,088		84,113
Vishay Precision Group, Inc. (a)		5,035		86,401
				1,566,902
Scientific Instruments: Pollution Control — 0.3%
Ceco Environmental Corp.		8,162		126,837
Darling International, Inc. (a)		63,886		1,160,170
Heritage-Crystal Clean, Inc. (a)		4,086		50,380
Team, Inc. (a)		7,958		321,981
U.S. Ecology, Inc.		8,376		336,045
				1,995,413
Securities Brokerage & Services — 0.4%
BGC Partners, Inc., Class A		67,387		616,591
FXCM, Inc., Class A		17,719		293,604
Gain Capital Holdings, Inc.		9,201		82,993
GFI Group, Inc.		29,476		160,644
INTL. FCStone, Inc. (a)		6,064		124,737
Investment Technology Group, Inc. (a)		13,989		291,251
Ladenburg Thalmann Financial Services, Inc. (a)		38,283		151,218
MarketAxess Holdings, Inc.		14,616		1,048,113
SWS Group, Inc. (a)		11,889		82,153
				2,851,304
Semiconductors & Components — 2.8%
Alpha & Omega Semiconductor Ltd. (a)		8,107		71,747
Amkor Technology, Inc. (a)		33,183		235,599
Applied Micro Circuits Corp. (a)		30,341		197,823
Audience, Inc. (a)		5,958		26,215
Cavium, Inc. (a)		20,481		1,266,135
Ceva, Inc. (a)		8,118		147,261
Cirrus Logic, Inc. (a)		24,088		567,754
Cypress Semiconductor Corp. (a)		61,143		873,122
Diodes, Inc. (a)		14,124		389,399
DSP Group, Inc. (a)		8,566		93,112
Entropic Communications, Inc. (a)		34,423		87,090
Exar Corp. (a)		15,299		156,050
Fairchild Semiconductor International, Inc. (a)		48,429		817,482
FormFactor, Inc. (a)		21,493		184,840
Inphi Corp. (a)		12,167		224,846
Integrated Device Technology, Inc. (a)		51,754		1,014,378
Integrated Silicon Solution, Inc.		11,718		194,167
International Rectifier Corp. (a)		27,627		1,102,317

Common Stocks	Shares		Value
Semiconductors & Components (concluded)
Intersil Corp., Class A		49,853	$	721,373
IXYS Corp.		9,662		121,741
Kopin Corp. (a)		25,611		92,712
Lattice Semiconductor Corp. (a)		45,666		314,639
MA-COM Technology Solutions Holdings, Inc. (a)		4,722		147,704
MaxLinear, Inc., Class A (a)		10,742		79,598
Micrel, Inc.		17,244		250,211
Microsemi Corp. (a)		36,821		1,044,980
Monolithic Power Systems, Inc.		14,953		743,762
OmniVision Technologies, Inc. (a)		21,725		564,850
Pericom Semiconductor Corp. (a)		8,584		116,227
PMC — Sierra, Inc. (a)		67,207		615,616
Power Integrations, Inc.		11,797		610,377
QuickLogic Corp. (a)(b)		21,118		66,311
Rambus, Inc. (a)		44,117		489,258
RF Micro Devices, Inc. (a)		107,459		1,782,745
Rubicon Technology, Inc. (a)		10,210		46,660
Semtech Corp. (a)		26,072		718,805
Silicon Image, Inc. (a)		29,910		165,103
Silicon Laboratories, Inc. (a)		16,847		802,254
Spansion, Inc., Class A (a)		23,410		801,090
TriQuint Semiconductor, Inc. (a)		68,473		1,886,431
Vitesse Semiconductor Corp. (a)		20,797		78,613
				19,910,397
Semiconductors & Semiconductor Equipment — 0.1%
Ambarella, Inc. (a)(b)		11,158		565,934
Cascade Microtech, Inc. (a)		5,037		73,591
Xcerra Corp. (a)		20,614		188,824
				828,349
Shipping — 0.5%
Baltic Trading Ltd.		18,421		46,237
Frontline Ltd. (a)(b)		24,976		62,690
GasLog Ltd.		16,368		333,089
Gulfmark Offshore, Inc., Class A		10,455		255,311
International Shipholding Corp.		2,309		34,404
Knightsbridge Tankers Ltd.		12,818		58,065
Matson, Inc.		16,647		574,654
Navios Maritime Holdings, Inc.		30,735		126,321
Nordic American Offshore, Ltd.		6,898		84,707
Nordic American Tankers Ltd.		34,539		347,808
Safe Bulkers, Inc.		14,966		58,517
Scorpio Tankers, Inc.		63,541		552,171
Ship Finance International Ltd. (b)		22,914		323,546
Teekay Tankers Ltd., Class A		24,072		121,804
Ultrapetrol Bahamas Ltd. (a)		9,205		19,699
UTI Worldwide, Inc. (a)		35,470		428,123
				3,427,146
Software — 0.4%
Actua Corp. (a)		15,946		294,523
Castlight Health, Inc. (a)(b)		4,965		58,090
Comverse, Inc. (a)		8,756		164,438
Five9, Inc. (a)		5,079		22,754
FleetMatics Group PLC (a)		14,489		514,215
Gigamon, Inc. (a)		9,435		167,283
Globant SA (a)		2,463		38,472
Kofax, Ltd. (a)		28,811		202,541
MobileIron, Inc. (a)		4,728		47,091
Model N, Inc. (a)		7,263		77,133
Park City Group, Inc. (a)(b)		3,464		31,245
Paycom Software, Inc. (a)		2,566		67,563
Qualys, Inc. (a)		7,768		293,242
Rally Software Development Corp. (a)		9,528		108,333
The Rubicon Project, Inc. (a)		3,060		49,388
Trulia, Inc. (a)		14,313		658,827

See Notes to Financial Statements.

76     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Common Stocks	Shares		Value
Software (concluded)
Vringo, Inc. (a)(b)		30,292	$	16,664
				2,811,802
Specialty Retail — 3.3%
1-800-Flowers.com, Inc., Class A (a)		9,507		78,338
Aeéropostale, Inc. (a)		31,304		72,625
America’s Car-Mart, Inc. (a)		3,019		161,154
American Eagle Outfitters, Inc.		75,462		1,047,413
ANN, Inc. (a)		18,185		663,389
Asbury Automotive Group, Inc. (a)		11,877		901,702
Barnes & Noble, Inc. (a)		15,897		369,128
bebe Stores, Inc.		12,482		27,336
Big 5 Sporting Goods Corp.		7,035		102,922
Blue Nile, Inc. (a)		4,734		170,471
Boot Barn Holdings, Inc. (a)		2,140		38,948
Brown Shoe Co., Inc.		16,927		544,203
The Buckle, Inc. (b)		10,940		574,569
Build-A-Bear Workshop, Inc. (a)		4,746		95,395
Burlington Stores, Inc. (a)		11,098		524,491
The Cato Corp., Class A		10,620		447,952
The Children’s Place Retail Stores, Inc.		8,556		487,692
Christopher & Banks Corp. (a)		14,448		82,498
Citi Trends, Inc. (a)		6,000		151,500
Conn’s, Inc. (a)(b)		10,797		201,796
The Container Store Group, Inc. (a)(b)		6,662		127,444
Destination Maternity Corp.		5,441		86,784
Destination XL Group, Inc. (a)		13,610		74,311
Express, Inc. (a)		32,775		481,465
The Finish Line, Inc., Class A		18,706		454,743
Five Below, Inc. (a)		21,073		860,411
Francesca’s Holdings Corp. (a)		16,465		274,965
FTD Cos., Inc. (a)		7,350		255,927
Genesco, Inc. (a)		9,301		712,643
Group 1 Automotive, Inc.		9,386		841,173
Guess?, Inc.		23,876		503,306
Haverty Furniture Cos., Inc.		7,825		172,228
hhgregg, Inc. (a)(b)		4,243		32,119
Hibbett Sports, Inc. (a)		10,074		487,884
Lands’ End, Inc. (a)		6,390		344,804
Lithia Motors, Inc., Class A		8,848		767,033
Lumber Liquidators Holdings, Inc. (a)		10,663		707,064
MarineMax, Inc. (a)		9,604		192,560
Mattress Firm Holding Corp. (a)		5,794		336,516
The Men’s Wearhouse, Inc.		18,611		821,676
Monro Muffler Brake, Inc.		12,221		706,374
New York & Co., Inc. (a)		10,682		28,200
Office Depot, Inc. (a)		207,324		1,777,803
Pacific Sunwear of California, Inc. (a)		18,567		40,476
The Pep Boys-Manny Moe & Jack (a)		20,739		203,657
Pier 1 Imports, Inc.		36,763		566,150
Regis Corp. (a)		16,896		283,177
Restoration Hardware Holdings, Inc. (a)		12,097		1,161,433
RetailMeNot, Inc. (a)		12,005		175,513
Shoe Carnival, Inc.		5,806		149,156
Shutterfly, Inc. (a)		14,935		622,715
Sonic Automotive, Inc., Class A		15,468		418,255
Sportsman’s Warehouse Holdings, Inc. (a)		4,085		29,902
Stage Stores, Inc.		12,295		254,506
Stamps.com, Inc. (a)		5,501		263,993
Stein Mart, Inc.		10,735		156,946
Systemax, Inc. (a)		4,307		58,144
Tilly’s, Inc., Class A (a)		3,510		34,012
Vitamin Shoppe, Inc. (a)		11,967		581,357
Wayfair, Inc., Class A (a)		4,712		93,533
Zumiez, Inc. (a)		8,039		310,547
				23,194,427

Common Stocks	Shares		Value
Steel — 0.1%
AK Steel Holding Corp. (a)		68,787	$	408,595
Carbonite, Inc. (a)		6,739		96,166
Handy & Harman Ltd. (a)		1,549		71,300
Olympic Steel, Inc.		3,428		60,950
Ryerson Holding Corp. (a)		4,295		42,649
Schnitzer Steel Industries, Inc., Class A		10,179		229,638
Shiloh Industries, Inc. (a)		3,347		52,648
Universal Stainless & Alloy Products, Inc. (a)		2,691		67,679
				1,029,625
Technology: Miscellaneous — 0.3%
Benchmark Electronics, Inc. (a)		20,898		531,645
CTS Corp.		13,118		233,894
Fabrinet (a)		13,651		242,169
Kimball Electronics, Inc. (a)		9,993		120,116
Pendrell Corp. (a)		64,214		88,615
Plexus Corp. (a)		13,154		542,076
				1,758,515
Telecommunications Equipment — 0.2%
Applied Optoelectronics, Inc. (a)		5,699		63,943
CalAmp Corp. (a)		13,967		255,596
Clearfield, Inc. (a)		4,487		55,235
Inteliquent, Inc.		12,583		247,004
Oclaro,Inc. (a)		35,478		63,151
Tessco Technologies, Inc.		2,204		63,916
Ubiquiti Networks, Inc.		11,544		342,164
Vocera Communications, Inc. (a)		8,817		91,873
				1,182,882
Textile Products — 0.1%
Culp, Inc.		3,358		72,802
The Dixie Group, Inc. (a)		5,740		52,636
Interface, Inc.		25,845		425,667
Unifi, Inc. (a)		5,677		168,777
				719,882
Textiles Apparel & Shoes — 0.9%
Columbia Sportswear Co.		10,597		471,990
Crocs, Inc. (a)		31,962		399,205
G-III Apparel Group Ltd. (a)		7,432		750,706
Iconix Brand Group, Inc. (a)		18,668		630,792
Oxford Industries, Inc.		5,637		311,219
Perry Ellis International, Inc. (a)		4,574		118,604
Quiksilver, Inc. (a)		51,679		114,211
Sequential Brands Group, Inc. (a)		6,494		84,877
Skechers U.S.A., Inc., Class A (a)		15,152		837,148
Steven Madden Ltd. (a)		22,603		719,453
Tumi Holdings, Inc. (a)		19,681		467,030
Vera Bradley, Inc. (a)		8,498		173,189
Vince Holding Corp. (a)		4,290		112,141
Weyco Group, Inc.		2,526		74,946
Wolverine World Wide, Inc.		39,329		1,159,026
				6,424,537
Tobacco — 0.2%
22nd Century Group Inc. (a)(b)		17,650		29,123
Alliance One International, Inc. (a)		36,247		57,270
Universal Corp.		9,027		397,007
Vector Group Ltd.		29,206		622,380
				1,105,780
Toys — 0.0%
JAKKS Pacific, Inc. (a)		7,196		48,933
LeapFrog Enterprises, Inc. (a)		25,515		120,431
				169,364

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 77

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

Common Stocks	Shares		Value
Transportation Miscellaneous — 0.3%
Echo Global Logistics, Inc. (a)		9,192	$	268,407
General Finance Corp. (a)		4,419		43,571
Hub Group, Inc., Class A (a)		14,271		543,440
Scorpio Bulkers, Inc. (a)		51,295		101,051
Textainer Group Holdings Ltd. (b)		8,388		287,876
Wesco Aircraft Holdings, Inc. (a)		20,410		285,332
XPO Logistics, Inc. (a)		20,358		832,235
				2,361,912
Truckers — 0.8%
ArcBest Corp.		10,073		467,085
Celadon Group, Inc.		8,165		185,264
Forward Air Corp.		12,089		608,923
FRP Holdings, Inc. (a)		2,660		104,298
Heartland Express, Inc.		21,062		568,885
Knight Transportation, Inc.		23,133		778,657
Marten Transport Ltd.		9,182		200,718
PAM Transportation Services, Inc. (a)		1,188		61,586
Quality Distribution, Inc. (a)		10,414		110,805
Roadrunner Transportation Systems, Inc. (a)		10,836		253,020
Saia, Inc. (a)		9,550		528,688
Swift Transportation Co. (a)		33,024		945,477
Universal Truckload Services, Inc.		2,560		72,986
USA Truck, Inc. (a)		2,434		69,126
Werner Enterprises, Inc.		17,305		539,051
YRC Worldwide, Inc. (a)		12,116		272,489
				5,767,058
Utilities: Electrical — 1.8%
ALLETE, Inc.		17,253		951,330
Atlantic Power Corp.		46,035		124,755
Avista Corp.		23,334		824,857
Black Hills Corp.		17,298		917,486
Cleco Corp.		23,408		1,276,672
El Paso Electric Co.		15,635		626,338
The Empire District Electric Co.		16,728		497,491
IDACORP, Inc.		19,496		1,290,440
MGE Energy, Inc.		13,409		611,584
NorthWestern Corp.		18,194		1,029,417
NRG Yield, Inc., Class A		9,238		435,479
Otter Tail Corp.		14,127		437,372
Pattern Energy Group, Inc.		15,292		377,101
PNM Resources, Inc.		30,852		914,145
Portland General Electric Co.		30,313		1,146,741
Spark Energy, Inc., Class A		1,167		16,443
TCP International Holdings Ltd. (a)		2,530		15,559
UIL Holdings Corp.		21,938		955,181
Unitil Corp.		5,386		197,505
				12,645,896
Utilities: Gas Distributors — 1.0%
Chesapeake Utilities Corp.		5,643		280,231
The Laclede Group, Inc.		16,718		889,398
New Jersey Resources Corp.		16,291		997,009
Northwest Natural Gas Co.		10,511		524,499
Piedmont Natural Gas Co., Inc.		30,204		1,190,340
South Jersey Industries, Inc.		12,797		754,127
Southwest Gas Corp.		18,033		1,114,620
WGL Holdings, Inc.		20,092		1,097,425
				6,847,649
Utilities: Miscellaneous — 0.0%
Ormat Technologies, Inc.		6,895		187,406
Utilities: Telecommunications — 0.9%
8x8, Inc. (a)		34,363		314,765
Atlantic Tele-Network, Inc.		3,624		244,946
Boingo Wireless, Inc. (a)		8,819		67,642

Common Stocks	Shares		Value
Utilities: Telecommunications (concluded)
Cincinnati Bell, Inc. (a)		81,974	$	261,497
Cogent Communications Group, Inc.		18,048		638,719
Consolidated Communications Holdings, Inc.		19,491		542,435
Fairpoint Communications, Inc. (a)		7,907		112,358
General Communication, Inc., Class A (a)		13,991		192,376
Globalstar, Inc. (a)(b)		106,112		291,808
GTT Communications, Inc. (a)		6,059		80,161
Hawaiian Telcom Holdco, Inc. (a)		4,234		116,731
IDT Corp., Class B (a)		6,427		130,532
inContact, Inc. (a)		23,571		207,189
Iridium Communications, Inc. (a)		31,318		305,351
j2 Global, Inc.		18,411		1,141,482
Lumos Networks Corp.		7,241		121,794
magicJack VocalTec Ltd. (a)		6,986		56,726
NeuStar, Inc., Class A (a)		9,676		268,993
NTELOS Holdings Corp.		7,244		30,352
ORBCOMM, Inc. (a)		20,910		136,751
Premiere Global Services, Inc. (a)		18,757		199,199
Shenandoah Telecommunications Co.		9,350		292,188
Spok Holdings, Inc.		8,305		144,175
Vonage Holdings Corp. (a)		67,764		258,181
West Corp.		14,914		492,162
				6,648,513
Utilities: Water — 0.2%
American States Water Co.		15,025		565,842
Artesian Resources Corp., Class A		2,959		66,844
California Water Service Group		18,553		456,589
Connecticut Water Service, Inc.		4,196		152,273
Middlesex Water Co.		6,124		141,219
SJW Corp.		6,104		196,060
York Water Co.		5,057		117,373
				1,696,200
Total Common Stocks — 97.7%				684,391,234
Other Interests (d) — 0.0%	Beneficial Interest (000)
Gerber Scientific, Inc.	$	13		129
Rights — 0.0%	Shares
Utilities: Telecommunications — 0.0%
Leap Wireless, CVR (a)		28,200		71,064
Warrants (e) — 0.0%
Magnum Hunter Resources Corp., (Issued 10/15/13, 1 Share for 10 Warrants, Expires 4/15/16, Strike Price $8.50)		7,791		—
Total Long-Term Investments (Cost — $419,203,067 ) — 97.7%				684,462,427

See Notes to Financial Statements.

78     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

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

Short-Term Securities	Shares		Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.04% (c)(f)		14,055,813	$	14,055,813
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.20% (c)(f)(g)	$	18,352		18,352,402

Total Short-Term Securities (Cost — $32,408,215) — 4.6%		32,408,215
Total Investments (Cost — $451,611,282) — 102.3%		716,870,642
Liabilities in Excess of Other Assets — (2.3)%		(15,935,736	)
Net Assets — 100.0%	$	700,934,906

Notes to Schedule of Investments

(a) Non-income producing security.

(b) Security, or a portion of security, is on loan.

(c) During the year ended December 31, 2014 investments in issuers considered to be an affiliate of the Series, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliate	Shares/ Beneficial Interest Held at December 31, 2013		Shares/ Beneficial Interest Purchased		Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2014		Value at December 31, 2014		Income		Realized Loss
BlackRock Kelso Capital Corp.1		37,065		2,009		(39,074	)		—		—	$	17,111	$	(620	)
BlackRock Liquidity Funds, TempFund, Institutional Class		48,629,247		—		(34,573,434	)2		14,055,813	$	14,055,813	$	5,797		—
BlackRock Liquidity Series, LLC, Money Market Series	$	45,115,062		—	$	(26,762,660	)2	$	18,352,402	$	18,352,402	$	1,546,926		—
PennyMac Financial Services, Inc		5,912		—		—			5,912	$	102,278		—		—
PennyMac Mortgage Investment Trust		28,588		8,169		(7,940	)		28,817	$	607,751	$	94,190	$	(24,758	)

¹  No longer held by the Series as of report date.

²  Represents net shares/beneficial interest sold.

(d) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(e) Warrants entitle the Series to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

(f) Represents the current yield as of report date.

(g) 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.

• As of December 31, 2014, financial futures contracts outstanding were as follows:

Contracts Purchased	Issue	Exchange	Expiration	Notional Value	Unrealized Appreciation
151	Russell 2000 Mini Index	ICE Futures U.S. Indices	March 2015	$18,130,570	$340,563

• 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. 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. 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. The three levels of the fair value hierarchy are as follows:

• Level 1 — unadjusted quoted prices 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)

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 79

Schedule of Investments (concluded) Master Small Cap Index Series

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. For information about the Series’ policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of December 31, 2014, the following tables summarize the Series’ investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments1
Common Stocks	$	684,361,204		—	$	30,030	$	684,391,234
Other Interests		—		—		129		129
Rights		—		—		71,064		71,064
Short-Term Securities		14,055,813	$	18,352,402		—		32,408,215
Total	$	698,417,017	$	18,352,402	$	101,223	$	716,870,642

¹  See above Schedule of Investments for values in each industry.

	Level 1		Level 2		Level 3		Total
Derivative Financial Instruments2
Assets:
Equity contracts	$	340,563		—		—	$	340,563

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

The Series may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of December 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	979		—			—	$	979
Cash pledged for financial futures contracts		628,000		—			—		628,000
Liabilities:
Collateral on securities loaned at value		—	$	(18,352,402	)		—		(18,352,402	)
Total	$	628,979	$	(18,352,402	)		—	$	(17,723,423	)

During the year ended December 31, 2014, there were no transfers between levels.

See Notes to Financial Statements.

80     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Statements of Assets and Liabilities

December 31, 2014	Master International Index Series		Master Small Cap Index Series
Assets
Investments at value — unaffiliated1,2	$	2,603,781,825	$	683,752,398
Investments at value — affiliated3		7,980,132		33,118,244
Cash		200		979
Cash pledged for financial futures contracts		3,900,000		628,000
Foreign currency at value4		62,016,065		—
Investments sold receivable		27,506		20,780,001
Dividends receivable — unaffiliated		4,102,800		835,846
Securities lending income receivable — affiliated		28,645		133,046
Dividends receivable — affiliated		—		18,248
Income receivable — affiliated		—		261
Prepaid expenses		5,362		3,725
Other assets		14,612		—
Total assets		2,681,857,147		739,270,748
Liabilities
Collateral on securities loaned at value		4,107,347		18,352,402
Variation margin payable on financial futures contracts		1,039,495		123,744
Investments purchased payable		—		233,984
Professional fees payable		45,560		—
Directors’ fees payable		11,433		5,630
Investment advisory fees payable		13,081		3,420
Other affiliates payable		7,593		4,027
Withdrawals payable to investors		6,062,063		19,457,778
Other accrued expenses payable		209,336		154,857
Total liabilities		11,495,908		38,335,842
Net Assets	$	2,670,361,239	$	700,934,906
Net Assets Consist of
Investors’ capital	$	2,521,660,758	$	435,335,387
Net unrealized appreciation/depreciation		148,700,481		265,599,923
Net Assets	$	2,670,361,239	$	700,934,906
1 Investments at cost — unaffiliated	$	2,456,264,285	$	418,516,529
2 Securities loaned at value	$	3,871,237	$	17,267,756
3 Investments at cost — affiliated	$	7,980,132	$	33,094,753
4 Foreign currency at cost	$	62,490,064		—

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 81

Statements of Operations

Year Ended December 31, 2014	Master International Index Series			Master Small Cap Index Series
Investment Income
Dividends — unaffiliated	$	43,904,393		$	9,294,295
Securities lending — affiliated — net		81,222			1,546,926
Dividends — affiliated		10,577			117,098
Foreign taxes withheld		(3,572,572	)		(9,030	)
Total income		40,423,620			10,949,289
Expenses
Investment advisory		123,905			78,122
Accounting services		266,900			187,068
Custodian		233,866			219,743
Professional		79,166			73,638
Directors		35,433			25,877
Printing		18,124			11,221
Miscellaneous		91,788			43,315
Total expenses		849,182			638,984
Less fees waived and/or reimbursed by Manager		(18,747	)		(43,702	)
Total expenses after fees waived and/or reimbursed		830,435			595,282
Net investment income		39,593,185			10,354,007
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(7,953,570	)		50,876,239
Investments — affiliated		—			(25,378	)
Financial futures contracts		29,542			2,527,898
Foreign currency transactions		(2,092,089	)		—
		(10,016,117	)		53,378,759
Net change in unrealized appreciation/depreciation on:
Investments		(154,591,003	)		(28,620,736	)
Financial futures contracts		901,984			(1,170,914	)
Foreign currency translations		(750,854	)		—
		(154,439,873	)		(29,791,650	)
Net realized and unrealized gain (loss)		(164,455,990	)		23,587,109
Net Increase (Decrease) in Net Assets Resulting from Operations	$	(124,862,805	)	$	33,941,116

See Notes to Financial Statements.

82     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Statements of Changes in Net Assets

	Master International Index Series						Master Small Cap Index Series
	Year Ended December 31,						Year Ended December 31,
Increase (Decrease) in Net Assets:	2014			2013			2014			2013
Operations
Net investment income	$	39,593,185		$	26,032,478		$	10,354,007		$	10,262,296
Net realized gain (loss)		(10,016,117	)		(8,862,796	)		53,378,759			37,795,072
Net change in unrealized appreciation/depreciation		(154,439,873	)		155,441,911			(29,791,650	)		181,146,437
Net increase (decrease) in net assets resulting from operations		(124,862,805	)		172,611,593			33,941,116			229,203,805
Capital Transactions
Proceeds from contributions		2,104,755,673			274,848,943			181,052,493			223,976,607
Value of withdrawals		(322,345,637	)		(192,790,156	)		(373,456,979	)		(175,553,424	)
Net increase (decrease) in net assets derived from capital transactions		1,782,410,035			82,058,787			(192,404,490	)		48,423,183
Net Assets
Total increase (decrease) in net assets		1,657,547,230			254,670,380			(158,463,374	)		277,626,988
Beginning of year		1,012,814,009			758,143,629			859,398,280			581,771,292
End of year	$	2,670,361,239		$	1,012,814,009		$	700,934,906		$	859,398,280

See Notes to Financial Statements.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 83

Financial Highlights Master International Index Series

	Year Ended December 31,
	2014			2013			2012			2011			2010
Total Return
Total return		(6.02	)%		21.94	%		19.01	%		(12.34	)%		7.66	%
Ratios to Average Net Assets
Total expenses		0.07	%		0.07	%		0.06	%		0.08	%		0.11	%
Total expenses after fees waived and paid indirectly		0.07	%		0.07	%		0.06	%		0.08	%		0.10	%
Net investment income		3.20	%		2.97	%		3.36	%		3.38	%		2.73	%
Supplemental Data
Net assets, end of year (000)	$	2,670,361		$	1,012,814		$	758,144		$	855,781		$	922,700
Portfolio turnover rate		6	%		8	%		21	%		6	%		8	%
		Master Small Cap Index Series
	Year Ended December 31,
	2014			2013			2012			2011			2010
Total Return
Total return		5.05	%		39.11	%		16.52	%		(4.30	)%		27.19	%
Ratios to Average Net Assets
Total expenses		0.09	%		0.07	%		0.14	%		0.09	%		0.12	%
Total expenses after fees waived and/or reimbursed		0.08	%		0.06	%		0.08	%		0.07	%		0.08	%
Net investment income		1.45	%		1.46	%		2.13	%		1.46	%		1.27	%
Supplemental Data
Net assets, end of year (000)	$	700,935		$	859,398		$	581,771		$	529,054		$	338,172
Portfolio turnover rate		21	%		22	%		68	%		31	%		42	%

See Notes to Financial Statements.

84     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Notes to Financial Statements 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 series of Quantitative Master Series LLC (the “Master LLC”) which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified open-end management investment company. The Series is organized as a Delaware statutory trust. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.

The Series, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is a complex of open-end funds referred to as the Equity-Liquidity Complex.

2. Significant Accounting Policies:

The Series financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. 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. Each Series is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Series:

Valuation: The Series’ investments are valued at fair value as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. 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 value of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock 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 are valued at the official close each day, if available. For equity investments traded on more than one exchange, the official close 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 may be valued at the last available bid (long positions) or ask (short positions) price. Financial futures contracts traded on exchanges are valued at their last sale price.

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of business on the NYSE. Forward 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.

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

In the event that the 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 Investments”). When determining the price for Fair Value Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Series might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, 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 is 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, regular reviews 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 all Fair Value Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 85

Notes to Financial Statements (continued) Quantitative Master Series LLC

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 (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Investments and be 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 uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and 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 U.S. 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 U.S. dollar rises in value against a foreign currency, the Series investments denominated in that currency will lose value because that currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value.

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

Segregation and Collateralization: In cases where a Series enters into certain investments (e.g., financial futures contracts and forward foreign currency exchange contracts) that would be “senior securities” for 1940 Act purposes, the Series may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of the Series’ future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Series may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Series financial statement disclosures.

Other: Expenses directly related to a Series are charged to that Series. Other operating expenses shared by several funds are prorated 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:

Preferred Stock: The Series may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: The Series may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Series collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by

86     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Notes to Financial Statements (continued) Quantitative Master Series LLC

the U.S. government. The initial collateral received by each Series is required to 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, at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Series and any additional required collateral is delivered to the Series on the next business day. During the term of the loan, the Series is entitled to all distributions made on or in respect of the loaned securities. 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-unaffiliated, and collateral on securities loaned at value, respectively. As of December 31, 2014, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the Series under Master Securities Lending Agreements (each, an “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 Series, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left 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 an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Series can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.

As of December 31, 2014, the following table is a summary of the Series’ securities lending agreements by counterparty, which are subject to offset under an MSLA:

Master International Index

Counterparty	Securities Loaned at Value		Cash Collateral Received1			Net Amount
CitiGroup Global Markets Inc.	$	153,459	$	(153,459	)		—
Credit Suisse Securities (USA) LLC		445,869		(445,869	)		—
JP Morgan Clearing Corp.		508,217		(508,217	)		—
Merrill Lynch, Pierce, Fenner & Smith		1,492,834		(1,492,834	)		—
Morgan Stanley & Co. LLC		1,090,319		(1,090,319	)		—
SG Americas Securities LLC		180,539		(180,539	)		—
Total	$	3,871,237	$	(3,871,237	)		—

¹  Collateral with a value of $4,107,347 has been received in connection with securities lending agreements. Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

Master Small Cap Index

Counterparty	Securities Loaned at Value		Cash Collateral Received2			Net Amount
Barclays Capital, Inc.	$	1,674,414	$	(1,674,414	)		—
BNP Paribas Prime Brokerage, Inc.		482,856		(482,856	)		—
Citigroup Global Markets, Inc.		280,710		(280,710	)		—
Credit Suisse Securities (USA) LLC		135,239		(135,239	)		—
Deutsche Bank Securities, Inc		905,370		(905,370	)		—
Goldman Sachs & Co.		3,926,709		(3,926,709	)		—
JP Morgan Clearing Corp.		2,367,436		(2,367,436	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		1,776,714		(1,776,714	)		—
Morgan Stanley & Co. LLC		4,990,757		(4,990,757	)		—
National Financial Services LLC		85,373		(85,373	)		—
SG Americas Securities LLC		95,913		(95,913	)		—
UBS Securities LLC		546,265		(546,265	)		—
Total	$	17,267,756	$	(17,267,756	)		—

²  Collateral with a value of $18,352,402 has been received in connection with securities lending agreements. Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks the Series benefits from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities lent if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Series 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.

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 87

Notes to Financial Statements (continued) Quantitative Master Series LLC

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 over-the-counter (“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 interest rates (interest rate risk), 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 Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Series agree 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. Variation margin is recorded by the Series as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

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.

The following is a summary of the Series’ derivative financial instruments categorized by risk exposure:

Fair Values of Derivative Financial Instruments Year Ended December 31, 2014
		Value
		Master International Index				Master Small Cap Index
	Statement of Assets and Liabilities Location	Derivative Assets		Derivative Liabilities		Derivative Assets
Equity contracts	Net unrealized appreciation/depreciation1		$2,067,902		$407,203		340,563

¹ Includes cumulative appreciation/depreciation on financial futures 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 Year Ended December 31, 2014
	Net Realized Gain From				Net Change in Unrealized Appreciation/Depreciation on
	Master International Index		Master Small Cap Index		Master International Index		Master Small Cap Index
Equity Contracts:
Financial futures contracts		$29,542		$2,527,898		$901,984		$(1,170,914)

For the year ended December 31, 2014, the average quarterly balances of outstanding derivative financial instruments were as follows:

	Master International Index		Master Small Cap Index
Financial futures contracts:
Average notional value of contracts purchased		$36,294,523		$19,409,645

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, 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

88     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Notes to Financial Statements (continued) Quantitative Master Series LLC

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.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes of BlackRock, Inc. (“BlackRock”).

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

The Manager contractually agreed to waive or reimburse fees or expenses, in order to limit expenses, excluding interest expense, dividend expense, acquired fund fees and expenses and certain other Series expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business. 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, 2015 unless approved by the Board, including a majority of the Independent Directors. For the year ended December 31, 2014, the Manager waived $7,283 and $32,284 with respect to Master International Index and Master Small Cap Index, respectively, which is included in fees waived by manager in the Statements of Operations.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Series pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Series’ investment in other affiliated investment companies, if any. These amounts are included in fees waived and/or reimbursed by Manager in the Statements of Operations. For the year ended December 31, 2014 the amounts waived for Master International Index and Master Small Cap Index were $11,464 and $11,418, respectively.

Prior to July 1, 2014, BIM, an affiliate of the Manager, served as a sub-advisor to each Series pursuant to sub-advisory agreements with the Manager, and received for its services a monthly fee from the Manager at an annual rate equal to a percentage of the investment advisory fees paid by each Series to the Manager under the Investment Advisory Agreement. Effective July 1, 2014, the sub-advisory agreements between the Manager and BIM, with respect to each Series, expired.

For the year ended December 31, 2014, the Series reimbursed the Manager for certain accounting services, which is included in accounting services in the Statements of Operations.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Series subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Series are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment advisor to the private investment company will not charge any advisory fees with respect to shares purchased by the Series.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. The Series retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement effective February 1, 2014, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to such agreement, each Series retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Equity-Liquidity Complex in a calendar year exceeds the aggregate securities lending income earned across the Equity-Liquidity Complex through the lending of specials only securities in the calendar year 2013, each Series, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income. Prior to February 1, 2014 each Series retained 65% of securities lending income and paid a fee to BIM equal to 35% of such income. The share of securities lending income earned by each Series is shown as securities lending — affiliated — net in the Statements of Operations. For the year ended December 31, 2014, each Series paid BIM the following amounts for securities lending agent services:

Master International Index	$	18,165
Master Small Cap Index	$	366,193

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

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 89

Notes to Financial Statements (continued) Quantitative Master Series LLC

The Series may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees.

6. Purchases and Sales:

For the year ended December 31, 2014, purchases and sales of investments, excluding short-term securities, were as follows:

	Purchases		Sales
Master International Index	$	1,855,870,783	$	76,632,340
Master Small Cap Index	$	156,571,896	$	317,309,448

7. Income Tax Information:

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 the owner of the Series can satisfy the requirements of subchapter M of the Internal Revenue Code of 1986, as amended.

The Series files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Series U.S. federal tax returns remains open for each of the four years ended December 31, 2014. The statutes of limitations on the Series’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Series’ facts and circumstances and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

As of December 31, 2014, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purpose were as follows:

	Master International Index			Master Small Cap Index
Tax cost	$	2,509,080,004		$	469,633,898
Gross unrealized appreciation		166,452,542		$	275,685,225
Gross unrealized depreciation		(63,770,589	)		(28,448,481	)
Net unrealized appreciation	$	102,681,953		$	247,236,744

8. Bank Borrowings:

The Master LLC, on behalf of the Series, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), was a party to a 364-day, $1.1 billion credit agreement with a group of lenders, under which the Series may borrow to fund shareholder redemptions. Excluding commitments designated for a certain individual fund, the Participating Funds, including the Series, could borrow up to an aggregate commitment amount of $650 million, subject to asset coverage and other limitations as specified in the agreement. Effective November 25, 2014, the credit agreement was amended to an aggregate commitment amount of $2.1 billion, of which, the Participating Funds, including the Series, can borrow up to $1.6 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The agreement terminates on April 23, 2015, unless otherwise extended to November 24, 2015 or renewed for a period of 364 days from April 23, 2015. The amended agreement has the following terms: a fee of 0.06% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one month LIBOR (but in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statement of Operations, and 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. During the year ended December 31, 2014, the Series did not borrow under the credit agreement.

9. Principal Risks:

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

90     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Notes to Financial Statements (concluded) Quantitative Master Series LLC

parties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the 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 their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.

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 European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Series investments.

As of December 31, 2014, Master Small Cap Index invested a significant portion of its assets in securities in the financial sector. Changes in economic conditions affecting such sectors would have a greater impact on the Series and could affect the value, income and/or liquidity of positions in such securities.

As of December 31, 2014, the Series’ investments had the following industry classifications:

Master International Index

Industry	Percent of Long-Term Investments
Banks		13	%
Pharmaceuticals		10
Insurance		6
Oil, Gas & Consumable Fuels		5
Other		66

Master Small Cap Index

Industry	Percent of Long-Term Investments
Computer Services Software & Systems		9	%
Real Estate Investment Trusts		9
Banks		8
Biotechnology		6
Other		68

10. Subsequent Events:

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

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 91

Report of Independent Registered Public Accounting Firm Quantitative Master Series LLC

To the Investors of Master International Index Series and Master Small Cap Index Series and Board of Directors of Quantitative Master Series LLC:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments of Master International Index Series and Master Small Cap Index Series, each one of the series constituting Quantitative Master Series LLC, (the “Series”) as of December 31, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Series is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but

not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Master International Index Series and Master Small Cap Index Series, of Quantitative Master Series LLC, as of December 31, 2014, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

February 18, 2015

92     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Officers and Directors

Name, Address1 and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as a Director3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors2
Ronald W. Forbes 1940	Co-Chairman of the Board and Director	Since 2007	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	33 RICs consisting of 153 Portfolios	None
Rodney D. Johnson 1941	Co-Chairman of the Board and Director	Since 2007	President, Fairmount Capital Advisors, Inc. from 1987 to 2013; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia from 2004 to 2012; Director, The Committee of Seventy (civic) from 2006 to 2012; Director, Fox Chase Cancer Center from 2004 to 2011.	33 RICs consisting of 153 Portfolios	None
David O. Beim 1940	Director	Since 2007	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy from 2002 to 2012; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 153 Portfolios	None
Frank J. Fabozzi 1948	Director	Since 2014	Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.	112 RICs consisting of 232 Portfolios	None
Dr. Matina S. Horner 1939	Director	Since 2007	Executive Vice President, Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 153 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 1939	Director	Since 2007	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President Emeritus, Hudson Institute (policy research organization) from 2011 to 2012, President thereof from 1997 to 2011 and Trustee from 1980 to 2012; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (global internet services) since 2005; Director, Cerego, LLC (educational software) since 2005; Director, Cybersettle (online adjudication) since 2009; Director, AIMS Worldwide, Inc. (marketing) from 2007 to 2012.	33 RICs consisting of 153 Portfolios	None
Ian A. MacKinnon 1948	Director	Since 2012	Director, Kennett Capital, Inc. (investments) since 2006; Director, Free Library of Philadelphia from 1998 to 2008.	33 RICs consisting of 153 Portfolios	None
Cynthia A. Montgomery 1952	Director	Since 2007	Professor, Harvard Business School since 1989; Director, McLean Hospital from 2005 to 2012; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 153 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 1947	Director	Since 2007	Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investments) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Director, The West Penn Allegheny Health System (a not-for-profit health system) from 2008 to 2013; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 153 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 1945	Director	Since 2007	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 153 Portfolios	None
Toby Rosenblatt 1938	Director	Since 2007	President, Founders Investments Ltd. (private investments) since 1999; Director, Forward Management, LLC since 2007; Director, College Futures Foundation (philanthropic foundation) since 2009; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 153 Portfolios	None

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 93

Officers and Directors (continued)

Name, Address1 and Year of Birth	Position(s) Held with Master LLC	Length of Time Served as a Director3	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Directors2 (concluded)
Kenneth L. Urish 1951	Director	Since 2007	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Immediate past-Chairman of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Principal, UP Strategic Wealth Investment Advisors, LLC since 2013; Trustee, The Holy Family Institute from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	33 RICs consisting of 153 Portfolios	None
Frederick W. Winter 1945	Director	Since 2007	Director, Alkon Corporation (pneumatics) since 1992; Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh from 2005 to 2013 and Dean thereof from 1997 to 2005; Director, Tippman Sports (recreation) from 2005 to 2013; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 153 Portfolios	None

¹  The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

²  Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Directors on a case-by-case basis, as appropriate.

³  Date shown is the earliest date a person has served for the Master LLC covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Directors as joining the Master LLC’s board in 2007, those Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999. Frank Fabozzi first became a member of the board of other funds advised by BlackRock Advisors, LLC or its affiliates in 1988.

Interested Directors4
Paul L. Audet 1953	Director	Since 2011	Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Chair of the U.S. Mutual Funds Committee reporting to the Global Executive Committee since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.	141 RICs consisting of 329 Portfolios	None
Henry Gabbay 1947	Director	Since 2007	Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	29 RICs consisting of 97 Portfolios	None

⁴  Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Master LLC based on his position with BlackRock and its affiliates. Mr. Gabbay is an “interested person” of the Master LLC based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered closed-end funds and Directors of other BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 75. The Board has determined to extend the terms of Directors on a case-by-case basis, as appropriate.

94     QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014

Officers and Directors (concluded)

Name, Address1 and Year of Birth	Position(s) Held with Master LLC	Length of Time Served	Principal Occupation(s) During Past Five Years
Officers2
John M. Perlowski 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Jennifer McGovern 1977	Vice President	Since 2014	Director of BlackRock since 2011; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock, Inc. from 2008 to 2010.
Neal Andrews 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967	Chief Compliance Officer and Anti-Money Laundering Officer	Since 2014	Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Benjamin Archibald 1975	Secretary	Since 2012	Managing Director of BlackRock since 2014; Director of BlackRock from 2010 to 2013; Assistant Secretary of the BlackRock-advised funds from 2010 to 2012; General Counsel and Chief Operating Officer of Uhuru Capital Management from 2009 to 2010; Executive Director and Counsel of Goldman Sachs Asset Management from 2005 to 2009.
1         The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055. 2         Officers of the Master LLC serve at the pleasure of the Board.
Further information about the Officers and Directors is available in the Master LLC’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Effective September 10, 2014, Brendan Kyne resigned as a Vice President of the Master LLC and Jennifer McGovern became a Vice President of the Master LLC.

Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as a Director of the Master LLC and Ronald W. Forbes resigned as a Director of the Master LLC and Co-Chair of the Board.

Effective January 1, 2015, Collette Chilton, Barbara G. Novick and Mark Stalnecker was appointed to serve as a Director of the Master LLC.

Investment Advisor	Custodian	Accounting Agent	Distributor	Address of the Master LLC
BlackRock Advisors, LLC Wilmington, DE 19809	State Street Bank and Trust Company Boston, MA 02110	State Street Bank and Trust Company Boston, MA 02110	BlackRock Investments, LLC New York, NY 10022	100 Bellevue Parkway Wilmington, DE 19809
	Transfer Agent	Independent Registered Public Accounting Firm	Legal Counsel
	BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809	Deloitte & Touche LLP Boston, MA 02116	Sidley Austin LLP New York, NY 10019

    QUANTITATIVE MASTER SERIES LLC     DECEMBER 31, 2014 95

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Delivery of Documents

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 Funds 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:

By E-mail: american_beacon.funds@ambeacon.com	On the Internet: Visit our website at www.americanbeaconfunds.com
By Telephone: Institutional and Investor Classes 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 report, each Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com approximately twenty days after the end of each month.	Availability of Proxy Voting Policy and Records A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available in each Fund’s Statement of Additional Information, which may be obtained free of charge on www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. Each Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

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.

AR 12/14

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

President’s Message	1
Market and Performance Overview	2
Schedule of Investments	7
Financial Statements	8
Notes to the Financial Statements	11
Financial Highlights	20
Additional Information	Back Cover

U.S. Treasury securities are 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 and interest rate risks. In a period of sustained deflation, inflation-indexed securities may not pay any income and may suffer a loss. 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 December 31, 2014

Dear Shareholders, The U.S. Treasury has been issuing Treasury Inflation-Protected Securities (“TIPS”) since 1997. Backed by the full faith and credit of the U.S. government, the principal of these securities is tied to the Consumer Price Index. With a rise in the index, or inflation, the principal increases. With a fall in the index, or deflation, the principal decreases. And, at maturity, the U.S. Treasury pays the original or adjusted principal, whichever is greater. In 2014, the U.S. economy - fueled by cheap gas, record stock prices, healthy job growth and reductions in unemployment - showed steady improvement. Yet, despite the country’s economic gains, an uneven housing market and slow wage growth continued throughout the year and inflationary pressure helped drive yields to historically

depressed levels. For TIPS, the average interest rate for the period was 0.92%, down from 1.05% a year ago.

Unlike many other funds in its class, the American Beacon Treasury Inflation Protected Securities Fund seeks to provide inflation protection and income by investing primarily in TIPS. This strategy provides inflation protection without unnecessary exposure to the risks associated with other instruments. By benchmarking against the lower duration Barclays Capital 1-10 Year U.S. TIPS Index, the Fund strives to be less sensitive to changes in real interest rates.

For the year ended December 31, 2014, the American Beacon Treasury Inflation Protected Securities Fund (Investor Class) returned 0.14%.

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,

Gene L. Needles, Jr.

President

American Beacon Funds

1

Market Overview

December 31, 2014 (Unaudited)

U.S. economic data started to slow early in 2014, driven by the harsh winter conditions experienced across the country. Employment gains decelerated, manufacturing and production numbers declined, and the first quarter’s gross domestic product (“GDP”) came in at -2.1%, which was the weakest level seen since the 2008 financial crisis. Inflation levels bottomed in March and, while the consumer price index rose marginally throughout the next few months, pricing pressures remained the weak spot in the economy. The lack of inflationary pressures was a common theme for the year despite an improving economic backdrop; it also was a key driver of yields rallying to historically depressed levels. The Federal Reserve (“the Fed”) began tapering asset purchases in January 2014 while reiterating that tapering was not tightening policy - and, if everything worked out as forecast, its extraordinary asset purchase program would be concluded late in the year.

In the second half of the year, the overall lack of inflationary pressures, additional easing policies from multiple global central banks, and a massive decline in commodity prices drove nominal yields more than 100 basis pointsⁱ lower and significantly flattened the yield curve. Oil also sold off more than 50% on the back end of a supply glut, depressing inflation expectations to crisis levels and causing U.S. Treasury Inflation-Protected Securities (“TIPS”) to underperform nominal Treasuries. Adding to the demand for Treasuries, global central banks embarked on their own quantitative easing policies, driving their yields lower and squeezing local investors into U.S. rates markets.

Despite the soft start, economic conditions improved throughout 2014 and financial conditions remained accommodative. GDP reached a cycle high of 5% in the third quarter, and the unemployment rate decline persisted. The Fed continued to systematically reduce asset purchases, finally concluding those purchases at its October meeting.

The Barclays Capital 1-10 Year U.S. TIPS Index eked out a positive return in 2014, up 0.91%, driven in part by lower real yields and inflation accruals. Although short-dated maturities’ real yields were higher on the year in response to the large swing in commodity prices, longer-dated bonds rallied due to lower term premiums and inflation expectations. The Fed’s favorite metric to gauge price assumptions - the 5-Year, 5-Year Forward Inflation Expectation Rate - fell from nearly 2.50% to below 2%, which is at the lower end of the Fed’s comfort range.

ⁱ  A basis point is one one-hundredth of one percentage point. It is commonly used for calculating changes in interest rates, equity indexes and the yield of a fixed-income security.

2

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

The Investor Class of the Treasury Inflation Protected Securities Fund (the “Fund”) returned 0.14% for the twelve months ended December 31, 2014, underperforming the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 0.91%.

Comparison of Change in Value of a $10,000 Investment

For the Period From 12/31/04 through 12/31/14

Total Returns for the Period ended 12/31/14

	1 Year			5 Years			10 Years			Value of $10,000 12/31/04- 12/31/14
Institutional Class (1,7,8)		0.58	%		2.64	%		3.55	%	$	14,644
Y Class (1,2,7,8)		0.32	%		2.32	%		3.39	%		14,458
Investor Class (1,3,7,8)		0.14	%		2.22	%		3.30	%		14,364
A Class with sales charge (1,4,7,8)		(4.72	)%		0.94	%		2.66	%		13,511
A Class without sales charge (1,4,7,8)		0.03	%		1.94	%		3.16	%		14,186
C Class with sales charge (1,5,7,8)		(1.80	)%		1.26	%		2.82	%		13,835
C Class without sales charge (1,5,7,8)		(0.80	)%		1.26	%		2.82	%		13,835
Barclays Capital 1-10 Yr. U.S. TIPS Index (6)		0.91	%		2.78	%		3.75	%		14,458
Barclays Capital U.S. TIPS Index (6)		-8.61	%		5.63	%		4.85	%		15,756

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 calculated based on the published end of day net asset values as of the 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 ten-year 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 12/31/04.

3. Fund performance for the ten-year period represents 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 12/31/04.

4. Fund performance for the five-year and ten-year periods represent the total returns achieved by the Institutional Class from 12/31/04 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 12/31/04. The maximum sales charge for A Class is 4.75%.

5. Fund performance for the five-year and ten-year periods represent the total returns achieved by the Institutional Class from 12/31/04 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 12/31/04. 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. One cannot directly invest in an index.

7. 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 Investor Class of the Fund has been waived since inception. A portion of the fees charged to the Y, A, and C Classes has been waived since 2011. Performance prior to waiving fees was lower than the actual returns shown.

8. The total annual Fund operating expense ratios set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.40%, 0.63%, 0.79%, 0.96%, and 1.69%, 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.

3

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

December 31, 2014 (Unaudited)

The Fund produced low positive absolute returns for the twelve-month time period, affected by announcements related to the tapering of the Federal Reserve’s asset purchase program, lowered inflation expectations, and inflows into U.S. Treasury securities due to investors’ flight to quality during the year.

From a yield curve positioning standpoint, the Fund’s underperformance relative to the Index stemmed from underweighting the 9-10 year maturity range and from overweighting the 2-3 year maturity range. Security selections within the 3-4 year maturity range also detracted from relative performance during the period. Overweighting the 8-9 year maturity range during the first quarter benefited the Fund’s relative performance during the year.

From a duration perspective, a tactical short duration position implemented by one of the Fund’s investment managers added value to the Fund’s performance relative to the Index during the third quarter, but detracted during the second quarter.

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 Index Security, 0.125%, Due 4/15/2017		11.3
U.S. Treasury Inflation Index Security, 0.125%, Due 1/15/2022		9.9
U.S. Treasury Inflation Index Security, 0.125%, Due 4/15/2016		8.8
U.S. Treasury Inflation Index Security, 0.125%, Due 7/15/2022		8.8
U.S. Treasury Inflation Index Security, 1.25%, Due 7/15/2020		6.5
U.S. Treasury Inflation Index Security, 0.125%, Due 4/15/2018		5.6
U.S. Treasury Inflation Index Security, 0.125%, Due 1/15/2023		5.3
U.S. Treasury Inflation Index Security, 0.375%, Due 7/15/2023		5.2
U.S. Treasury Inflation Index Security, 0.625%, Due 7/15/2021		5.2
U.S. Treasury Inflation Index Security, 0.625%, Due 1/15/2024		5.1
Total Fund Holdings	22

Portfolio Statistics
Effective Maturity (years)	5.2
Effective Duration (years)	5.1
3-Year Standard Deviation	3.7

Security Type (% of Total Investments)
TIPS	99.0
Short-Term Investments	1.0

4

American Beacon Treasury Inflation Protected Securities Fund^SM

Fund Expenses

December 31, 2014 (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 July 1, 2014 through December 31, 2014.

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 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. 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 7/1/14		Ending Account Value 12/31/14		Expenses Paid During Period* 7/1/14 - 12/31/14
Institutional Class
Actual	$	1,000.00	$	971.02	$	1.49
Hypothetical **	$	1,000.00	$	1,023.69	$	1.53
Y Class
Actual	$	1,000.00	$	970.41	$	3.03
Hypothetical **	$	1,000.00	$	1,022.13	$	3.11
Investor Class
Actual	$	1,000.00	$	969.24	$	3.42
Hypothetical **	$	1,000.00	$	1,021.73	$	3.52
A Class
Actual	$	1,000.00	$	969.08	$	4.47
Hypothetical **	$	1,000.00	$	1,020.67	$	4.58
C Class
Actual	$	1,000.00	$	964.98	$	8.32
Hypothetical **	$	1,000.00	$	1,016.74	$	8.54

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.30%, 0.61%, 0.69%, 0.90%, and 1.68% 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 (184) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

5

American Beacon Treasury Inflation Protected Securities Fund^SM

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

American Beacon Treasury Inflation Protected Securities Fund:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the American Beacon Treasury Inflation Protected Securities Fund (one of the funds constituting the American Beacon Funds) (the “Fund”), as of December 31, 2014, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of each Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the American Beacon Treasury Inflation Protected Securities Fund at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Dallas, Texas

March 2, 2015

6

American Beacon Treasury Inflation Protected Securities Fund^SM

Schedule of Investments

December 31, 2014

	Par Amount		Fair Value
	(000’s)		(000’s)
U.S. TREASURY OBLIGATIONS - 98.97%
0.50%, Due 4/15/2015 A	$	625	$	616
2.00%, Due 1/15/2016 A		10,205		10,356
0.125%, Due 4/15/2016 A		21,768		21,702
2.50%, Due 7/15/2016 A		4,199		4,377
0.125%, Due 4/15/2017 A		28,013		28,035
1.625%, Due 1/15/2018 A		1,422		1,489
0.125%, Due 4/15/2018 A		13,909		13,856
1.375%, Due 7/15/2018 A		4,168		4,366
2.125%, Due 1/15/2019 A		10,086		10,838
0.125%, Due 4/15/2019 A		12,630		12,491
1.875%, Due 7/15/2019 A		4,220		4,530
1.375%, Due 1/15/2020 A		3,470		3,642
1.25%, Due 7/15/2020 A		15,249		16,004
1.125%, Due 1/15/2021 A		6,502		6,754
0.625%, Due 7/15/2021 A		12,816		12,977
0.125%, Due 1/15/2022 A		25,210		24,521
0.125%, Due 7/15/2022 A		22,376		21,801
0.125%, Due 1/15/2023 A		13,534		13,086
0.375%, Due 7/15/2023 A		13,060		12,912
0.625%, Due 1/15/2024 A		12,608		12,663
0.125%, Due 7/15/2024 A		7,925		7,632
2.375%, Due 1/15/2025 A		567		666
Total U.S. Treasury Obligations (Cost $251,175)				245,314
	Shares
SHORT-TERM INVESTMENTS - 0.83% (Cost $2,060)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,059,512		2,060
TOTAL INVESTMENTS - 99.80% (Cost $253,235)				247,374
OTHER ASSETS, NET OF LIABILITIES - 0.20%				495
TOTAL NET ASSETS - 100.00%			$	247,869
Percentages are stated as a percent of net assets.

^A  Inflation-Indexed Note.

See accompanying notes

7

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Assets and Liabilities

December 31, 2014 (in thousands, except share and per share amounts)

Assets:
Investments in unaffiliated securities, at fair value A	$	247,374
Receivable for investments sold		3,566
Receivable for fund shares sold		670
Dividends and interest receivable		623
Receivable for expense reimbursement (Note 2)		21
Prepaid expenses		22
Total assets		252,276
Liabilities:
Payable for investments purchased		4,224
Payable for fund shares redeemed		80
Management and investment advisory fees payable		24
Administrative service and service fees payable		32
Transfer agent fees payable		7
Custody and fund accounting fees payable		3
Professional fees payable		19
Prospectus and shareholder reports fees payable		11
Trustee fees payable		1
Other liabilities		6
Total liabilities		4,407
Net assets	$	247,869
Analysis of Net Assets:
Paid-in-capital		259,931
Accumulated net realized (loss)		(6,201	)
Unrealized depreciation of investments		(5,861	)
Net assets	$	247,869
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		23,678,249
Y Class		57,299
Investor Class		226,445
A Class		64,767
C Class		10,828
Net assets (not in thousands):
Institutional Class	$	244,192,347
Y Class	$	592,886
Investor Class	$	2,314,913
A Class	$	661,604
C Class	$	107,408
Net asset value, offering and redemption price per share:
Institutional Class	$	10.31
Y Class	$	10.35
Investor Class	$	10.22
A Class	$	10.22
A Class (offering price)	$	10.73
C Class	$	9.92
A    Cost of investments in unaffiliated securities	$	253,235

See accompanying notes

8

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Operations

For the year ended December 31, 2014 (in thousands)

Investment Income:
Interest income	$	2,588
Total investment income		2,588
Expenses:
Management and investment advisory fees (Note 2)		265
Administrative service fees (Note 2):
Institutional Class		343
Y Class		2
Investor Class		9
A Class		3
C Class		1
Transfer agent fees:
Institutional Class		64
Investor Class		1
Custody and fund accounting fees		37
Professional fees		52
Registration fees and expenses		90
Service fees (Note 2):
Y Class		1
Investor Class		8
A Class		1
Distribution fees (Note 2):
A Class		2
C Class		3
Prospectus and shareholder report expenses		35
Trustee fees		11
Other expenses		21
Total expenses		949
Net fees waived and expenses reimbursed (Note 2)		(233	)
Net expenses		716
Net investment income		1,872
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Investments		(758	)
Change in net unrealized appreciation or (depreciation) of:
Investments		(609	)
Net (loss) from investments		(1,367	)
Net increase in net assets resulting from operations	$	505

See accompanying notes

9

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Changes in Net Assets (in thousands)

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,872		$	(528	)
Net realized (loss) from investments		(758	)		(5,176	)
Change in net unrealized appreciation or (depreciation) from investments		(609	)		(7,869	)
Net increase (decrease) in net assets resulting from operations		505			(13,573	)
Distributions to Shareholders:
Net investment income:
Institutional Class		(1,861	)		—
Y Class		(3	)		—
Investor Class		(7	)		—
A Class		(1	)		—
Tax Return of Capital:
Net investment income:
Institutional Class		(248	)		—
Y Class		—			—
Investor Class		(1	)		—
A Class		—			—
Net distributions to shareholders		(2,121	)		—
Capital Share Transactions:
Proceeds from sales of shares		85,648			119,052
Reinvestment of dividends and distributions		2,119			(121,698	)
Cost of shares redeemed		(45,874	)		—
Net increase (decrease) in net assets from capital share transactions		41,893			(2,646	)
Net increase (decrease) in net assets		40,277			(16,219	)
Net Assets:
Beginning of period		207,592			223,811
End of Period *	$	247,869		$	207,592
*  Includes undistributed (or overdistribution of) net investment income of	$	—		$	(1	)

See accompanying notes

10

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) which is comprised of thirty-one 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 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, which may include a front-end sales charge and a contingent deferred sales charge (“CDSC”)
C Class	General public and investors investing through an intermediary with applicable sales charges, which may include a CDSC

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 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.

New Accounting Pronouncements

In June 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2013-08, “Financial Services - Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements,” which amends the criteria that define an investment company and clarifies the measurement guidance and requires new disclosures for investment companies. Under the ASU, an entity that is registered under the Investment Company Act of 1940 automatically qualifies as an investment company. The ASU was effective for periods ending after December 31, 2013. Management has evaluated the implications of the ASU and determined that adoption thereof will not have a material impact on the financial statements.

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 and the Trust. 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. The Fund pays the unaffiliated investment advisors hired to direct

11

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

investment activities of the Fund. Management fees paid during the year ended December 31, 2014 were as follows (dollars in thousands):

Management Fee Rate	Management Fee	Amount paid to Investment Sub-Advisor	Amounts Paid to Manager
0.11%	$265	$148	$117

Administration Agreement

The Manager and the Trust entered into an Administration Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administration Agreement, the Manager receives an annualized fee of 0.15% of the average daily net assets of the Institutional Class, 0.30% of the average daily net assets of the Y and Investor Classes. Prior to July 1, 2014, the Manager received an annualized fee of 0.40% of the average daily net assets of the A and C Classes of the Fund. Beginning July 1, 2014, the Manager received 0.30% of the average daily net assets of the A and C Class of the Fund.

Distribution Plans

The Trust, 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 separately 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 of the Fund. The fee will be payable without regard to whether the amount of the fee is more or less than the actual expense incurred in a particular month by the Manager for distribution assistance.

Service Plan

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 of the Fund. As compensation for performing the duties required under the Service Plans, 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.

Interfund Lending Program

Pursuant to an exemptive order by the Securities and Exchange Commission (the “SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program as a borrower. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. During the year ended December 31, 2014, 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 $21,171 was

12

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

receivable from the Manager at December 31, 2014. During the year ended December 31, 2014, the Manager reimbursed expenses as follows:

	Expense Cap and Limits
Class	1/1/14 to 6/30/14			7/1/14 to 12/31/14			Reimbursed Expenses		Expiration of Reimbursements
Institutional		0.10	%*		0.10	%*	$	228,793		2017
Y		0.61	%		0.61	%		120		2017
Investor		0.69	%		0.69	%		3,643		2017
A		1.00	%		0.90	%		247		2017
C		1.78	%		1.68	%		11		2017

* The Manager has agreed to reduce the Administrative Service Fee of the Institutional Class in an amount equal to 0.10% of the average daily net assets of the class.

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 $246,503 and $207,574 which will expire in 2015 and 2016, respectively. The Fund did not record 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 year ended December 31, 2014, Foreside collected $929 from the sale of Class A Shares.

A CDSC of 0.50% will be deducted with respect to Class A Shares on certain purchases of $1,000,000 or more that are redeemed in whole or part within 18 months of purchase, unless waived as discussed in the Prospectus. Any applicable CDSC will be 0.50% of the lesser of the original purchase price or the value of the redemption of the Class A Shares redeemed. During the year ended December 31, 2014, there were no CDSC fees collected for Class A Shares.

A 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. During the year ended December 31, 2014, there were no CDSC fees for the 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.

13

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

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 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 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.

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. The end of period timing recognition has been adopted for the transfer between levels of the Fund’s assets and liabilities. During the year ended December 31, 2014, there were no transfers between levels. As of December 31, 2014, the investments were classified as described below (in thousands):

	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	245,314	$	—	$	245,314
Short-term Investments - Money Market Funds		2,060		—		—		2,060
Total Investments in Securities	$	2,060	$	245,314	$	—	$	247,374

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

14

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

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 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.

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. Securities and Other Investments

U.S. Treasury Inflation Protected Securities

Treasury Inflation Protected securities (“TIPs”) are inflation-indexed bonds issued by the U.S. Treasury. The principal amount is adjusted daily to the rate of inflation. Interest is accrued based on the adjusted principal amount. The adjustments to the principal due to inflation are reflected as increases or decreases to interest income in the accompanying Statement of Operations, even though principal is not received until maturity. Such adjustments may have a significant impact on the Fund’s distributions.

Other Investment Company Securities and Other Exchange Traded Products

The Fund may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, unit investment trusts, and other investment companies of the Trust. The Fund 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

15

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

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. Principal Risks

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists. Security values fluctuate (market risk) and may decline due to factors affecting securities markets in general, particular industries represented in the securities markets or conditions specifically related to a particular company. Failure of the other party to a transaction to perform (credit and counterparty risk), for example by not making principal and interest payments when due, reduces the value of the issuer’s debt and could reduce the Funds’ income. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Funds’ investments may be illiquid and the Funds may not be able to vary the portfolio investments in response to changes in economic and other conditions. If a Fund is required to liquidate all or a portion of its investments quickly, the Fund may realize significantly less than the value at which it previously recorded those investments.

6. 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, 2014 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.

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.

16

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

The tax character of distributions paid was as follows (in thousands):

	Year Ended December 31, 2014		Year Ended December 31, 2013
Distributions paid from:
Ordinary income*
Institutional Class	$	1,861	$	—
Y Class		3		—
Investor Class		7		—
A Class		1		—
C Class		—		—
Tax Return of Capital
Institutional Class		248		—
Y Class		—		—
Investor Class		1		—
A Class		—		—
C Class		—		—
Total distributions paid	$	2,121	$	—

* For tax purposes, short-term capital gains distributions are considered ordinary income distributions.

As of December 31, 2014, 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	$	255,630
Unrealized appreciation		—
Unrealized depreciation		(8,256	)
Net unrealized appreciation or (depreciation)		(8,256	)
Undistributed ordinary income		—
Accumulated long-term gain or (loss)		(3,806	)
Other temporary differences		—
Distributable earnings or (deficits)	$	(12,062	)

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.

Due to inherent differences in the recognition of income, expenses, and realized gains (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 return of capital distributions as of December 31, 2014 (in thousands):

Paid-in-capital	$	—
Undistributed net investment income		—
Accumulated net realized gain (loss)		—
Unrealized appreciation or (depreciation) of investments		—

Under the Regulated Investment Company Modernization Act of 2010 (the “RIC MOD”), net capital losses recognized by the Fund in taxable years beginning after December 22, 2010 are carried forward indefinitely and retain their character as short-term and/or long-term losses. Prior to RIC MOD, net capital losses incurred by the Fund was carried forward for eight years and treated as short-term losses. RIC MOD requires that post-enactment net capital losses be used before pre-enactment net capital losses.

17

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

As of December 31, 2014, the Fund has $2,792 of short-term and $1,014 of long-term post enactment capital loss carryforwards (in thousands).

7. Investment Transactions

Purchases and proceeds from sales of investments, other than short-term obligations, for the year ended December 31, 2014 were $276,023,310 and $236,521,448, respectively. These amounts also represent purchases and sales of U.S. Government securities.

8. Capital Share Transactions

The tables below summarize the activity in capital shares (dollars and shares in thousands):

For the Year Ended December 31, 2014

	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		8,046		$	84,971			22		$	229			17		$	176
Reinvestment of dividends		204			2,108			—			3			1			8
Shares redeemed		(4,045	)		(42,621	)		(25	)		(264	)		(221	)		(2,294	)
Net increase (decrease) in shares outstanding		4,205		$	44,458			(3	)	$	(32	)		(203	)	$	(2,110	)

	A Class						C Class
	Shares			Amount			Shares			Amount
Shares sold		14		$	142			13		$	130
Reinvestment of dividends		—			—			—			—
Shares redeemed		(27	)		(276	)		(42	)		(419	)
Net (decrease) in shares outstanding		(13	)	$	(134	)		(29	)	$	(289	)

For the Year Ended December 31, 2013

	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		10,712		$	114,681			34		$	373			311		$	3,303
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(9,674	)		(103,003	)		(69	)		(733	)		(1,665	)		(17,492	)
Net increase (decrease) in shares outstanding		1,038		$	11,678			(35	)	$	(360	)		(1,354	)	$	(14,189	)

	A Class						C Class
	Shares			Amount			Shares			Amount
Shares sold		53		$	563			12		$	132
Reinvestment of dividends		—			—			—			—
Shares redeemed		(43	)		(458	)		(1	)		(12	)
Net increase in shares outstanding		10		$	105			11		$	120

18

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

December 31, 2014

9. Subsequent Event

Agreement and Plan of Merger

On November 20, 2014, Lighthouse Holdings Parent, Inc. (“LHPI”), the indirect parent company of American Beacon Advisors, Inc., the Trusts’ investment manager, entered into an Agreement and Plan of Merger pursuant to which LHPI agreed to be acquired by investment funds managed by Kelso & Company, L.P. and Estancia Capital Management, LLC, both of which are private equity firms (“Transaction”). The Transaction is expected to close in the second calendar quarter of 2015, subject to customary closing conditions, including obtaining necessary client consents and approval from the Funds’ shareholders. There can be no assurance that the Transaction will be consummated as contemplated or that necessary conditions will be satisfied.

This change in control is deemed to be an “assignment” under the Investment Company Act of 1940 (the “1940 Act”) of the Trusts’ existing investment management agreement with the Manager and the sub-advisory agreements between the Trusts, the Manager, and each sub-advisor to the Funds and will result in automatic termination of each agreement. A new investment management agreement has been submitted to the Funds’ shareholders for approval and the Funds’ Board of Trustees approved new agreements with each sub-advisor under substantially the same terms as the current agreements.

The Transaction is not expected to result in any change in the portfolio management of the Fund or in the Fund’s investment objectives or policies.

19

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Year Ended December 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	10.34		$	10.97		$	11.16		$	10.51		$	10.16
Income from investment operations:
Net investment income (loss)		0.09			(0.02	)		0.04			0.28			0.16
Net gains (losses) from investments (both realized and unrealized)		(0.03	)		(0.61	)		0.49			0.67			0.35
Total income (loss) from investment operations		0.06			(0.63	)		0.53			0.95			0.51
Less distributions:
Dividends from net investment income		(0.08	)		—			(0.07	)		(0.29	)		(0.16	)
Distributions from net realized gains		—			—			(0.49	)		—			—
Tax return of capital		(0.01	)A		—			(0.16	)A		(0.01	)A		—
Total distributions		(0.09	)		—			(0.72	)		(0.30	)		(0.16	)
Net asset value, end of period	$	10.31		$	10.34		$	10.97		$	11.16		$	10.51
Total return B		0.58	%		(5.74	)%		4.80	%		9.14	%		5.03	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	244,192		$	201,381		$	202,274		$	206,864		$	157,195
Ratios to average net assets (annualized):
Expenses, before reimbursements		0.40	%		0.39	%		0.37	%		0.36	%		0.35	%
Expenses, net of reimbursements		0.30	%		0.30	%		0.27	%		0.26	%		0.25	%
Net investment income (loss), before reimbursements		0.71	%		(0.31	)%		0.64	%		2.24	%		1.40	%
Net investment income (loss), net of reimbursements		0.81	%		(0.21	)%		0.74	%		2.34	%		1.50	%
Portfolio turnover rate		102	%		252	%		286	%		381	%		214	%

^A The tax return of capital is calculated based on outstanding shares at the time of distribution.

^B 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.

^C Not annualized.

^D Annualized.

^E Portfolio turnover rate is for the period from January 1 through December 31, 2010.

^F Amounts are less than $0.01 per share.

20

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class															Investor Class															A Class
Year Ended December 31,												March 1 to Dec. 31,			Year Ended December 31,															Year Ended December 31,												May 17 to Dec. 31,
2014			2013			2012			2011			2010			2014			2013			2012			2011			2010			2014			2013			2012			2011			2010
$	10.37		$	11.03		$	11.24		$	10.60		$	10.25		$	10.24		$	10.90		$	11.12		$	10.48		$	10.13		$	10.23		$	10.93		$	11.15		$	10.54		$	10.35
	0.05			(0.07	)		0.09			0.26			0.05			(0.05	)		(0.13	)		0.06			0.24			0.06			(0.01	)		(0.07	)		0.00	F		0.10			0.04
	(0.02	)		(0.59	)		0.41			0.65			0.35			0.06			(0.53	)		0.42			0.66			0.41			0.01			(0.63	)		0.45			0.76			0.19
	0.03			(0.66	)		0.50			0.91			0.40			0.01			(0.66	)		0.48			0.90			0.47			0.00			(0.70	)		0.45			0.86			0.23
	(0.04	)		—			(0.06	)		(0.26	)		(0.05	)		(0.03	)		—			(0.05	)		(0.25	)		(0.12	)		(0.01	)		—			(0.02	)		(0.24	)		(0.04	)
	—			—			(0.49	)		—			—			—			—			(0.49	)		—			—			—			—			(0.49	)		—			—
	(0.01	)A		—			(0.16	)A		(0.01	)A		—			(0.00	)AF		—			(0.16	)A		(0.01	)A		—			(0.00	)AF		—			(0.16	)A		(0.01	)A		—
	(0.05	)		—			(0.71	)		(0.27	)		(0.05	)		(0.03	)		—			(0.70	)		(0.26	)		(0.12	)		(0.01	)		—			(0.67	)		(0.25	)		(0.04	)
$	10.35		$	10.37		$	11.03		$	11.24		$	10.60		$	10.22		$	10.24		$	10.90		$	11.12		$	10.48		$	10.22		$	10.23		$	10.93		$	11.15		$	10.54
	0.32	%		(5.98	)%		4.42	%		8.66	%		3.89	%C		0.14	%		(6.06	)%		4.32	%		8.67	%		4.62	%		0.03	%		(6.40	)%		4.07	%		8.17	%		2.23	%C
$	593		$	627		$	1,051		$	501		$	365		$	2,315		$	4,395		$	19,438		$	19,920		$	15,262		$	662		$	793		$	741		$	855		$	155
	0.63	%		0.63	%		0.62	%		1.04	%		0.60	%D		0.81	%		0.79	%		0.77	%		0.77	%		0.75	%		0.99	%		1.06	%		1.07	%		1.32	%		0.99	%D
	0.61	%		0.61	%		0.61	%		0.63	%		0.60	%D		0.69	%		0.69	%		0.69	%		0.68	%		0.64	%		0.95	%		1.00	%		1.01	%		1.03	%		0.99	%D
	0.46	%		(0.59	)%		0.81	%��		1.80	%		0.85	%D		0.25	%		(0.66	)%		0.44	%		2.24	%		1.06	%		0.25	%		(0.93	)%		0.07	%		0.88	%		0.55	%D
	0.47	%		(0.57	)%		0.82	%		2.21	%		0.85	%D		0.37	%		(0.56	)%		0.53	%		2.32	%		1.17	%		0.29	%		(0.86	)%		0.13	%		1.17	%		0.55	%D
	102	%		252	%		286	%		381	%		214	%E		102	%		252	%		286	%		381	%		214	%		102	%		252	%		286	%		381	%		214	%E

21

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
													Sept. 1
	Year Ended December 31,												to Dec. 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	10.00		$	10.77		$	11.06		$	10.46		$	10.38
Income from investment operations:
Net investment income (loss)		(0.76	)		(0.15	)		(0.05	)		0.13			0.00	F
Net gains (losses) from investments (both realized and unrealized)		0.68			(0.62	)		0.41			0.65			0.08
Total income (loss) from investment operations		(0.08	)		(0.77	)		0.36			0.78			0.08
Less distributions:
Dividends from net investment income		—			—			—			(0.17	)		—
Distributions from net realized gains		—			—			(0.49	)		—			—
Tax return of capital		—			—			(0.16	)A		(0.01	)A		—
Total distributions		—			—			(0.65	)		(0.18	)		—
Net asset value, end of period	$	9.92		$	10.00		$	10.77		$	11.06		$	10.46
Total return B		(0.80	)%		(7.15	)%		3.26	%		7.47	%		0.77	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	107		$	396		$	307		$	266		$	153
Ratios to average net assets (annualized):
Expenses, before reimbursements		1.74	%		1.79	%		1.79	%		2.62	%		1.77	%D
Expenses, net of reimbursements		1.74	%		1.78	%		1.77	%		1.79	%		1.77	%D
Net investment income (loss), before reimbursements		(0.43	)%		(1.71	)%		(0.61	)%		0.25	%		(0.05	)%D
Net investment income (loss), net of reimbursements		(0.42	)%		(1.69	)%		(0.59	)%		1.08	%		(0.05	)%D
Portfolio turnover rate		102	%		252	%		286	%		381	%		214	%E

^A The tax return of capital is calculated based on outstanding shares at the time of distribution.

^B 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.

^C Not annualized.

^D Annualized.

^E Portfolio turnover rate is for the period from January 1 through December 31, 2010.

^F Amounts are less than $0.01 per share.

22

American Beacon Treasury Inflation Protected Securities Fund

Privacy Policy and Federal Tax Information

December 31, 2014 (Unaudited)

Privacy Policy

The American Beacon Funds recognize and respect the privacy of our shareholders. We are providing this notice to you so you will understand how shareholder information may be collected and used.

We may collect nonpublic personal information about you from one or more of the following sources:

• information we receive from you on applications or other forms;

• information about your transactions with us or our service providers; and

• information we receive from third parties.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

We restrict access to your nonpublic personal information to those employees or service providers who need to know that information to provide products or services to you. To ensure the confidentiality of your nonpublic personal information, we maintain safeguards that comply with federal standards.

Federal Tax Information

Certain tax information regarding the Fund is required to be provided to shareholders relating to the Fund’s income and distributions for the taxable year ended December 31, 2014. The information and distributions reported herein may differ from information and distributions taxable to the shareholder for the calendar year ended December 31, 2014.

Of the ordinary dividends paid to shareholders during the tax year ended December 31, 2014, 99.99% were derived from U.S. Treasury Obligations.

Shareholders will receive notification in January 2015 of the applicable tax information necessary to prepare their 2014 income tax returns.

23

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

The Trustees and officers of the American Beacon Funds (the “Trust”) are listed below, together with their principal occupations during the past five years. Unless otherwise indicated, the address of each person listed below is 220 East Las Colinas Boulevard, Suite 1200, Irving, Texas 75039. Each Trustee oversees thirty-three funds in the fund complex that includes the Trust and the American Beacon Select Funds. The Trust’s Statement of Additional Information contains additional information about the Trustees and is available without charge by calling 1-800-658-5811.

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
INTERESTED TRUSTEES	Term
	Lifetime of Trust until removal, resignation or retirement*
Alan D. Feld** (78)	Trustee since 1996	Sole Shareholder of a professional corporation which is a Partner in the law firm of Akin, Gump, Strauss, Hauer & Feld, LLP (law firm) (1960-Present); Trustee, American Beacon Mileage Funds (1996-2012); Trustee, American Beacon Select Funds (1999-Present); Trustee, American Beacon Master Trust (1996-2012).
NON-INTERESTED	Term
TRUSTEES	Lifetime of Trust until removal, resignation or retirement*
Gerard J. Arpey (56)	Trustee since 2012	Partner, Emerald Creek Group (private equity firm) (2011-Present); Chairman and Chief Executive Officer, AMR Corp. and American Airlines; Inc. (2003-2011); Director, S. C. Johnson & Son, Inc. (privately held company) (2008-present); Trustee, American Beacon Select Funds (2012-Present).
W. Humphrey Bogart (70)	Trustee since 2004	Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Brenda A. Cline (54)	Trustee since 2004	Executive Vice President, Chief Financial Officer, Treasurer and Secretary, Kimbell Art Foundation (1993-Present); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Eugene J. Duffy (60)	Trustee since 2008	Principal and Executive Vice President, Paradigm Asset Management (1994-Present); Director, Sunrise Bank of Atlanta (2008-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Thomas M. Dunning (72)	Trustee since 2008	Chairman Emeritus (2008-Present) and Chairman (1998-2008), Lockton Dunning Benefits (consulting firm in employee benefits); Lead Director, Oncor Electric Delivery Company LLC (2007-Present); Board Member, BancTec (2010-Present); Trustee, American Beacon Mileage Funds (2008-2012); Trustee, American Beacon Select Funds (2008-Present); Trustee, American Beacon Master Trust (2008-2012).
Richard A. Massman (71)	Trustee since 2004 Chairman since 2008	Consultant and General Counsel Emeritus (2009-Present) and Senior Vice President and General Counsel (1994-2009), Hunt Consolidated, Inc. (holding company engaged in oil and gas exploration and production, refining, real estate, farming, ranching and venture capital activities); Trustee, American Beacon Mileage Funds (2004-2012); Trustee, American Beacon Select Funds (2004-Present); Trustee, American Beacon Master Trust (2004-2012).
Barbara J. McKenna, CFA (51)	Trustee since 2012	Managing Principal, Longfellow Investment Management Company (2005-Present); Trustee, American Beacon Select Funds (2012-Present).
R. Gerald Turner (69)	Trustee since 2001	President, Southern Methodist University (1995-Present); Director, J.C. Penney Company, Inc. (1996-Present); Director, Kronus Worldwide Inc. (chemical manufacturing) (2003-Present); Trustee, American Beacon Mileage Funds (2001-2012); Trustee, American Beacon Select Funds (2001-Present); Trustee, American Beacon Master Trust (2001-2012).

24

Trustees and Officers of the American Beacon Funds^SM

(Unaudited)

Name, Age and Address	Position, Term of Office and Length of Time Served with the Trust	Principal Occupation(s) During Past 5 Years and Current Directorships
OFFICERS	Term
	One Year
Gene L. Needles, Jr. (60)	President since 2009 Executive Vice President since 2009	President, CEO and Director (2009-Present), American Beacon Advisors, Inc.; President, CEO and Director (2009-Present), Lighthouse Holdings, Inc.; President and CEO (2009-Present), Lighthouse Holdings Parent, Inc.; President (2009-Present), American Beacon Select Funds; President (2009-2012), American Beacon Mileage Funds; President (2008-2009), Touchstone Investments; President (2003-2007), CEO (2004-2007), AIM Distributors.
Rosemary K. Behan (55)	VP, Secretary and Chief Legal Officer since 2006	General Counsel, Vice President, Legal and Compliance, American Beacon Advisors, Inc. (2006-Present); Secretary (2008-Present), Lighthouse Holdings, Inc.; Secretary (2008-Present), Lighthouse Holdings Parent, Inc.
Brian E. Brett (54)	VP since 2004	Vice President, Director of Sales, American Beacon Advisors, Inc. (2004-Present).
Wyatt L. Crumpler (48)	VP since 2007	Chief Investment Officer (2012-Present), Vice President, Asset Management (2009-2012), and Vice President, Trust Investments (2007-2009), American Beacon Advisors, Inc.
Erica Duncan (44)	VP Since 2011	Vice President, Marketing and Client Services (2011-Present), American Beacon Advisors, Inc.; Supervisor, Brand Marketing (2010-2011), Invesco; Supervisor, Marketing Communications (2009-2010) and Senior Financial Writer (2004-2009), Invesco AIM.
Michael W. Fields (60)	VP since 1989	Chief Fixed Income Officer (2011-Present) and Vice President, Fixed Income Investments, American Beacon Advisors, Inc. (1988-2011); Director, American Beacon Global Funds SPC (2002-2011); Director, American Beacon Global Funds plc (2007-2009).
Melinda G. Heika (53)	Treasurer since 2010	Treasurer (2010-Present), and Controller (2005-2009), American Beacon Advisors, Inc.; Treasurer (2010-Present), Lighthouse Holdings, Inc.; Treasurer (2010-Present), Lighthouse Holdings Parent, Inc.
Terri L. McKinney (51)	VP since 2010	Vice President, Enterprise Services (2009-Present) and Managing Director (2003-2009), American Beacon Advisors, Inc.
Jeffrey K. Ringdahl (39)	VP since 2010	Chief Operating Officer, American Beacon Advisors, Inc. (2010-Present); Vice President, Product Management, Touchstone Advisors, Inc. (2007-2010); Senior Director, Business Integration, Fidelity Investments (2005-2007).
Samuel J. Silver (51)	VP Since 2011	Vice President, Fixed Income Investments (2011-Present) and Senior Portfolio Manager, Fixed Income Investments (1999-2011), American Beacon Advisors, Inc.
Christina E. Sears (43)	Chief Compliance Officer since 2004 and Asst. Secretary since 1999	Chief Compliance Officer (2004-Present) and Senior Compliance Analyst (1998-2004), American Beacon Advisors, Inc.
Sonia L. Bates (58)	Asst. Treasurer since 2011	Director, Tax and Financial Reporting (2011-Present) and Manager, Tax and Financial Reporting (2005-2010), American Beacon Advisors, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings, Inc.; Asst. Treasurer (2011-Present), Lighthouse Holdings Parent, Inc.

* As of 11/12/2014, the Board adopted a retirement plan that requires Trustees to retire no later than the last day of the calendar year in they reach the age of 75.

** Mr. Feld is deemed to be an “interested person” of the Trust, as defined by the 1940 Act. Mr. Feld’s law firm of Akin, Gump, Strauss, Hauer & Feld LLP has provided legal services within the past two fiscal years to the Manager and one or more of the Trust’s sub-advisors.

25

Delivery of Documents

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 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:

By E-mail: american_beacon.funds@ambeacon.com	On the Internet: Visit our website at www.americanbeaconfunds.com
By Telephone: Institutional, Y and Investor Classes 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 report, the Fund files a complete schedule of its portfolio holdings with the Securities and Exchange Commission (“SEC”) on Form N-Q as of the first and third fiscal quarters. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Section, 100 F Street, NE, Washington, DC 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090. A complete schedule of the Fund’s portfolio holdings is also available on www.americanbeaconfunds.com approximately twenty days after the end of each month.	Availability of Proxy Voting Policy and Records A description of the policies and procedures the Fund uses to determine how to vote proxies relating to portfolio securities is available in the Fund’s Statement of Additional Information, is available free of charge on the Fund’s website www.americanbeaconfunds.com and by calling 1-800-967-9009 or by accessing the SEC’s website at www.sec.gov. The Fund’s proxy voting record for the most recent year ended June 30 is filed annually with the SEC on Form N-PX. The Fund’s Forms N-PX are available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record may also be obtained by calling 1-800-967-9009.

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 the American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.

AR 12/14

ITEM 2. CODE OF ETHICS.

The Trust has adopted a code of ethics that applies to its principal executive and financial officers (the “Code”). The Trust amended its code November 12, 2013 to disclose the removal of terminated Investment Companies. The Trust did not grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1. The Code is filed herewith as Exhibit 99.CODE ETH.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Trust’s Board of Trustees has determined that Ms. Brenda Cline, a member of the Trust’s Audit and Compliance Committee, is an “audit committee financial expert” as defined in Form N-CSR. Ms. Brenda Cline is “independent” as defined in Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a)

Audit Fees	Fiscal Year Ended
$168,847		12/31/2013
$236,768		12/31/2014

(b)

Audit-Related Fees	Fiscal Year Ended
$0		12/31/2013
$0		12/31/2014

(c)

Tax Fees	Fiscal Year Ended
$18,750		12/31/2013
$37,000		12/31/2014

(d)

All Other Fees	Fiscal Year Ended
$0		12/31/2013
$0		12/31/2014

(e)(1) Pursuant to its charter, the Trust’s Audit and Compliance Committee shall have the following duties and powers pertaining to pre-approval of audit and non-audit services provided by the Trust’s principal accountant:

- to approve, prior to appointment, the engagement of auditors to annually audit and provide their opinion on the Trusts’ financial statements, and, in connection therewith, reviewing and evaluating matters potentially affecting the independence and capabilities of the auditors;

- to approve, prior to appointment, the engagement of the auditors to provide non-audit services to the Trusts, an investment adviser to any series of the Trusts or any entity controlling, controlled by, or under common control with an investment adviser (“adviser affiliate”) that provides ongoing services to the Trusts, if the engagement relates directly to the operations and financial reporting of the Trusts;

- to consider whether the non-audit services provided by a Trust’s auditor to an investment adviser or any adviser affiliate that provides ongoing services to a series of the Trusts, which services were not pre-approved by the Committee, are compatible with maintaining the auditor’s independence;

- to review the arrangements for and scope of the annual audit and any special audits; and

- to review and approving the fees proposed to be charged to the Trusts by the auditors for each audit and non-audit service.

The Audit and Compliance Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to a subcommittee of one or more members. Any decisions of the subcommittee to grant pre-approvals shall be presented to the full audit committee at its next regularly scheduled meeting.

(e)(2) None of the fees disclosed in paragraphs (b) through (d) above were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g)

Aggregate Non-Audit Fees for Services Rendered to the:

Registrant	Adviser		Adviser’s Affiliates Providing Ongoing Services to Registrant	Fiscal Year Ended
$20,000		$50,950	N/A		12/31/2013
$44,750		$34,905	N/A		12/31/2014

(h) 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) Filed herewith as EX-99.CODE ETH.

(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:	March 9, 2015

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:	March 9, 2015

By	/s/ Melinda G. Heika
	Melinda G. Heika
	Treasurer
Date:	March 9, 2015