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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04984

AMERICAN BEACON FUNDS

(Exact name of registrant as specified in charter)

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, 2015

Date of reporting period: June 30, 2015

ITEM 1. REPORTS TO STOCKHOLDERS.

About American Beacon Advisors

Since 1986, American Beacon Advisors has offered a variety of products and investment advisory services to numerous institutional and retail clients, including a variety of mutual funds, corporate cash management, and separate account management.

Our clients include defined benefit plans, defined contribution plans, foundations, endowments, corporations, financial planners, and other institutional investors. With American Beacon Advisors, you can put the experience of a multi-billion dollar asset management firm to work for your company.

Contents

President’s Message	1
Performance Overview	2
Schedule of Investments	5
Financial Statements	11
Notes to the Financial Statements	14
Financial Highlights	28
Additional Information	Back Cover

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. Please see the prospectus for a complete discussion of the Fund’s risks. There can be no assurances that the investment objectives of this Fund will be met.

Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.

American Beacon Funds June 30, 2015

  Dear Shareholders,   During the first six months of the year, U.S. bond prices fell. Rising rates and wider spreads caused negative returns in most fixed-income categories. Long-duration bonds had the largest decline and lower-credit categories outperformed as higher coupons helped offset rising rates. Following the strongest first quarter since 2008, the managed futures category endured a challenging second quarter.   The BofA Merrill Lynch 3-Month Treasury Bill Index, which is the performance benchmark for the American Beacon AHL Managed Futures Strategy Fund, gained a scant 0.01% during the six-month period under review. The benchmark, an unmanaged market index of U.S. Treasury securities maturing in 90 days,

assumes reinvestment of all income.

For the six months ended June 30, 2015, the American Beacon AHL Managed Futures Strategy Fund (Investor Class) returned -1.56%.

American Beacon Advisors identifies and partners with experienced asset managers from across all asset classes to help protect our shareholders’ portfolios over the long term. We are proud to offer a variety of funds that allow investors to take advantage of different asset classes.

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 AHL Managed Futures Strategy Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Investor Class of the American Beacon AHL Managed Futures Strategy Fund (the “Fund”) returned -1.56% for the six months ended June 30, 2015.

Total Returns for the Period ended 6/30/15

	Ticker		6 Months*			Since incep. (8/19/14)*
Institutional Class (1,5)		AHLIX		(1.46)	%		11.78	%
Y Class (1,5)		AHLYX		(1.46)	%		11.68	%
Investor Class (1,5)		AHLPX		(1.56)	%		11.47	%
A Class with sales load (1,2,5)		AHLAX		(7.24)	%		5.06	%
A Class without sales load (1,2,5)		AHLAX		(1.56)	%		11.47	%
C Class with sales load (1,3,5)		AHLCX		(2.93)	%		9.76	%
C Class without sales load (1,3,5)		AHLCX		(1.93)	%		10.76	%
BofA Merrill Lynch 3-Month Treasury Bill Index (4)				0.01	%		0.02	%

* 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 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.

The first half of 2015 was a tale of two quarters. Strong trend continuation in Bonds (long), Currencies (long U.S. dollar), and Energy (short) drove strong performance in the first quarter. Reversals in these profitable first quarter trends which began in late April caused the Fund to give back all of its profits and turn negative by the end of the period.

The sole sector that posted positive performance in the first half of 2015 was Equities, pulled higher by long positions in the Japan Nikkei and Hong Kong Hang Seng, each adding 0.4%.

The remaining sectors all detracted from performance. The Energy sector detracted the most returning -0.5%. A short position in Natural Gas generated the greatest losses (-0.3%) as warmer weather in the U.S. during May and June pushed prices higher. Additionally, a short position in Heating Oil contributed a loss of 0.1%.

The Metals sector posted a loss of 0.4% during the period, and the bulk of the loss occurred during the second quarter. Driving the loss were short positions in precious metals Gold (-0.4%) and Silver (-0.3%) as these safe haven assets were bid up during the volatility of the Greek financial crisis.

Within the Interest Rates sector, long positions in the shorter-dated Sterling and Eurodollar contracts lost 0.2% and 0.1%, respectively, as global yields drifted higher beginning in late April.

The Agricultural sector positions were detrimental to the Fund over the period. Short positions in Soybeans (-0.3%) and Corn (-0.2%) detracted the most. A majority of the losses occurred in late June as the Midwestern region of the United States became inundated with rain causing acreage and crop yields to decline and prices to spike higher.

2

American Beacon AHL Managed Futures Strategy Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

In the Currency sector, the Fund entered the year with a meaningful long U.S. dollar position before flipping to a short U.S. dollar position in April and then back again to a long U.S. dollar position in the last part of May. This created a challenging environment for the Fund’s trend-following philosophy. Leading detractors were a short position in the Swiss franc versus U.S. dollar (-0.7%) driven by the Swiss National Bank’s removal of the Swiss franc’s peg with the euro in January. A short position in the Mexican peso versus U.S. dollar (-0.6%) was another meaningful negative contributor.

Lastly, within the Bond sector a long position in the Japanese 10-year lost 0.4% while a long position in the British 10-year lost 0.1%.

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.

Sector Exposure		% of VaR
Commodities			36.9
Equities			29.4
Currencies			17.1
Fixed Income			16.6
Holdings Summary
Number of Long Holdings			21
Number of Short Holdings			26
Number of Currency Pairs			18
Top Active Exposures by Sector
Commodities		% of VaR
Gold Futures	Short		7.00
Natural Gas Futures	Short		6.27
Crude Oil Futures	Short		6.46
Currencies		% of VaR
KRW/USD	Short		6.68
MRY/USD	Short		6.50
JPY/USD	Short		5.66
Equities		% of VaR
S&P 500 Futures	Long		5.22
Russell 2000 Futures	Long		3.86
Nikkei Futures	Long		3.69
Fixed Income		% of VaR
U.S. Treasury Futures	Short		5.46
Australian Bond Futures	Short		5.76
U.K. Gilt Futures	Short		3.27

3

American Beacon AHL Managed Futures Strategy Fund^SM

Fund Expenses

June 30, 2015 (Unaudited)

Fund Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees if applicable, and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2015 through June 30, 2015.

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 cost would have been $15 higher.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.

	Beginning Account Value 1/1/15		Ending Account Value 6/30/15		Expenses Paid During Period* 1/1/15 - 6/30/15
Institutional Class
Actual	$	1,000.00	$	985.39	$	7.58
Hypothetical **	$	1,000.00	$	1,017.16	$	7.70
Y Class
Actual	$	1,000.00	$	985.38	$	8.07
Hypothetical **	$	1,000.00	$	1,016.66	$	8.20
Investor Class
Actual	$	1,000.00	$	984.44	$	9.45
Hypothetical **	$	1,000.00	$	1,015.27	$	9.59
A Class
Actual	$	1,000.00	$	984.44	$	9.55
Hypothetical **	$	1,000.00	$	1,015.17	$	9.69
C Class
Actual	$	1,000.00	$	980.73	$	13.21
Hypothetical **	$	1,000.00	$	1,011.46	$	13.42

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.54%, 1.64%, 1.92%, 1.94%, and 2.69% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

4

American Beacon AHL Managed Futures Strategy Fund^SM

Consolidated Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
SHORT-TERM INVESTMENTS – 93.32%
Money Market Funds – 1.57%
JPMorgan U.S. Government Money Market Fund, Capital ClassA		856,272	$	856
	Par Amount
	(000’s)
U.S. Treasury Bills – 91.75%
U.S. Treasury Bill , 0.00%, Due 9/17/2015A		50,000,000		50,000
Total Short-Term Investments (Cost $50,856)				50,856
TOTAL INVESTMENTS - 93.32% (Cost $50,856)				50,856
OTHER ASSETS, NET OF LIABILITIES – 6.68%				3,637
TOTAL NET ASSETS - 100.00%			$	54,493

Percentages are stated as a percent of net assets.

Purchased Futures Contracts Open on June 30, 2015:

Commodity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Cocoa FuturesA	36	September 2015	$	1,176,840	$	34,058
Gasoline RBOB FuturesA	5	July 2015		430,374		2,709
LME Copper FuturesA	1	July 2015		143,931		(15,085	)
LME Lead FuturesA	4	July 2015		174,925		(33,268	)
LME Nickel FuturesA	1	July 2015		71,637		(6,755	)
LME Primary Aluminum FuturesA	2	August 2015		83,775		(7,457	)
LME Primary Aluminum FuturesA	7	July 2015		290,238		(46,722	)
LME Zinc FuturesA	1	August 2015		49,875		(6,469	)
LME Zinc FuturesA	7	July 2015		348,556		(53,177	)
Wheat (CBT) FuturesA	6	December 2015		186,600		11,237
			$	2,956,751	$	(120,929	)

Currency Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
90-Day Eurodollar Futures	21	June 2017	$	5,158,912	$	645
90-Day Eurodollar Futures	49	September 2016		12,109,125		13,456
90-Day Sterling Futures	2	September 2016		388,099		(512	)
Pound Sterling Currency Futures	41	September 2015		4,029,531		31,898
			$	21,685,667	$	45,487

Equity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Amsterdam Index Futures	4	July 2015	$	421,012	$	(14,208	)
CAC40 Index Futures	8	July 2015		426,898		(18,204	)
DAX Index Futures	1	September 2015		306,625		(13,003	)
Euro Stoxx 50 Index Futures	13	September 2015		497,981		(26,763	)
FTSE 100 Index Futures	2	September 2015		204,074		(7,009	)
FTSE/MIB Index Futures	3	September 2015		377,482		(17,208	)
Hang Seng Index Futures	6	July 2015		1,014,146		(40,188	)
H-SHARES Index Futures	5	July 2015		416,852		(21,263	)
IBEX 35 Index Futures	2	July 2015		240,248		(12,458	)
MSCI Taiwan Stock Index Futures	8	July 2015		273,840		(4,330	)
NASDAQ 100 E-Mini Futures	8	September 2015		702,440		(23,326	)
Nikkei 225 (SGX) Futures	14	September 2015		1,160,518		(9,514	)

See accompanying notes

5

American Beacon AHL Managed Futures Strategy Fund^SM

Consolidated Schedule of Investments

June 30, 2015 (Unaudited)

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
OMXS30 Index Futures	17	July 2015	$	316,167	$	(8,223	)
E-Mini Russell 2000 Futures	17	September 2015		2,125,680		(26,848	)
S&P/TSX 60 Index Futures	1	September 2015		135,132		(3,828	)
S&P 500 E-mini Futures	18	September 2015		1,848,960		(51,776	)
TOPIX Index Futures	5	September 2015		666,136		(17,029	)
			$	11,134,191	$	(315,178	)

Interest Rate Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
3-Month Euro Euribor Futures	23	September 2015	$	6,406,859	$	(139	)
U.S. 2-Year Treasury Note Futures	75	September 2015		16,420,313		15,873
U.S. 5-Year Treasury Note Futures	13	September 2015		1,550,352		2,169
			$	24,377,524	$	17,903

Sold Futures Contracts Open on June 30, 2015:

Commodity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value			Unrealized Appreciation (Depreciation)
Brent Crude FuturesA	15	August 2015	$	(953,850	)	$	(4,994	)
Coffee ‘C’ FuturesA	8	September 2015		(397,200	)		(9,167	)
Copper FuturesA	16	September 2015		(1,046,000	)		18,229
Corn FuturesA	41	December 2015		(884,575	)		(106,375	)
Gold 100oz FuturesA	29	August 2015		(3,398,220	)		28,674
LME Copper FuturesA	2	August 2015		(288,050	)		11,188
LME Copper FuturesA	1	July 2015		(143,931	)		4,200
LME Copper FuturesA	1	September 2015		(144,081	)		(200	)
LME Lead FuturesA	4	July 2015		(144,081	)		15,670
LME Lead FuturesA	4	September 2015		(174,925	)		2,579
LME Nickel FuturesA	2	August 2015		(175,825	)		9,865
LME Nickel FuturesA	2	July 2015		(143,478	)		8,905
LME Nickel FuturesA	2	September 2015		(143,274	)		13,807
LME Primary Aluminum FuturesA	42	August 2015		(143,658	)		92,219
LME Primary Aluminum FuturesA	7	July 2015		(290,238	)		21,029
LME Primary Aluminum FuturesA	2	September 2015		(84,238	)		1,593
LME Zinc FuturesA	1	August 2015		(49,875	)		1,288
LME Zinc FuturesA	7	July 2015		(348,556	)		25,540
LME Zinc FuturesA	9	September 2015		(449,663	)		7,415
Low Sulphur Gasoil FuturesA	10	July 2015		(573,750	)		(10	)
Natural Gas FuturesA	23	July 2015		(651,360	)		13
Natural Gas Swap FuturesA	4	April 2016		(30,490	)		(494	)
Natural Gas Swap FuturesA	4	August 2016		(31,430	)		(1,434	)
Natural Gas Swap FuturesA	8	December 2015		(62,680	)		(1,789	)
Natural Gas Swap FuturesA	8	February 2016		(64,760	)		(3,869	)
Natural Gas Swap FuturesA	8	January 2016		(64,820	)		(3,928	)
Natural Gas Swap FuturesA	4	July 2016		(31,280	)		(1,284	)
Natural Gas Swap FuturesA	4	June 2016		(30,900	)		(904	)
Natural Gas Swap FuturesA	8	March 2016		(63,940	)		(3,049	)
Natural Gas Swap FuturesA	4	May 2016		(30,560	)		(564	)
Natural Gas Swap FuturesA	8	November 2015		(59,300	)		1,591
Natural Gas Swap FuturesA	4	October 2016		(31,660	)		(1,664	)
Natural Gas Swap FuturesA	4	September 2016		(31,360	)		(1,364	)
NY Harbor ULSD FuturesA	8	August 2015		(635,006	)		(7,359	)
Silver FuturesA	14	September 2015		(1,090,670	)		44,483
Soybean FuturesA	6	November 2015		(311,175	)		(22,738	)
Sugar #11 (World Markets) FuturesA	99	October 2015		(1,382,674	)		(41,272	)
WTI Crude FuturesA	9	August 2015		(535,230	)		(8,294	)
			$	(16,731,957	)	$	87,536

See accompanying notes

6

American Beacon AHL Managed Futures Strategy Fund^SM

Consolidated Schedule of Investments

June 30, 2015 (Unaudited)

Currency Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value			Unrealized Appreciation (Depreciation)
90-Day Eurodollar Futures	3	March 2018	$	(733,762.00	)	$	(1,392	)
90-Day Sterling Futures	56	June 2017		(10,817,270	)		(9,524	)
Australian Dollar Currency Futures	15	September 2015		(1,152,750	)		(8,204	)
Canadian Dollar Currency Futures	12	September 2015		(959,760	)		2,578
Swiss Franc Currency Futures	1	September 2015		(134,025	)		949
U.S. Dollar Index Futures	1	September 2015		(95,661	)		(1,593	)
Euro FX Currency Futures	8	September 2015		(1,115,600	)		(11,020	)
Japanese Yen Currency Futures	44	September 2015		(4,500,375	)		(73,467	)
Mexican Peso Futures	20	September 2015		(632,700	)		1,956
			$	(20,141,903	)	$	(99,717	)

Equity Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value			Unrealized Appreciation (Depreciation)
FTSE/JSE Top 40 Index Futures	8	September 2015	$	(304,060	)	$	(1,327	)
KOSPI 200 Index Futures	4	September 2015		(452,284	)		(4,983	)
			$	(756,344	)	$	(6,310	)

Interest Rate Futures Contracts

Description	Number of Contracts	Expiration Date	Contract Value			Unrealized Appreciation (Depreciation)
3-Month Euro Euribor Futures	14	June 2017	$	(3,894,365	)	$	(3,130	)
3-Month Euro Euribor Futures	59	March 2018		(16,378,255	)		(14,778	)
Australia 10-Year Bond Futures	33	September 2015		(3,189,301	)		(21,703	)
Australia 3-Year Bond Futures	40	September 2015		(3,436,285	)		848
Euro-Buxl 30-Year Bond Futures	2	September 2015		(331,422	)		(848	)
Euro-Bobl Futures	6	September 2015		(866,773	)		(4,997	)
Euro-Bond Futures	7	September 2015		(1,186,200	)		(11,085	)
10-Year Japanese Government Bond (OSE) Futures	2	September 2015		(2,401,765	)		(13,730	)
Long GILT Futures	15	September 2015		(2,727,611	)		(8,636	)
U.S. 10-Year Treasury Note Futures	11	September 2015		(1,387,891	)		(11,587	)
U.S. Long Bond (CBT) Futures	6	September 2015		(905,062	)		7,589
U.S. Ultra Bond (CBT) Futures	11	September 2015		(1,694,688	)		23,210
			$	(33,399,618	)	$	(58,847	)

Forward Currency Contracts Open at June 30, 2015:

Type	Currency	Principal Amount Covered by Contract		Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Buy	PHP		55,429	7/6/2015	DUB	$	70	$	—		$	7
Buy	AUD		23,823	7/17/2015	RBS		239		—			239
Buy	EUR		29,812	7/17/2015	DUB		189		—			189
Buy	JPY		46,455	7/17/2015	DUB		186		—			186
Buy	SEK		7,548	7/17/2015	DUB		47		—			47
Buy	JPY		50,499	7/17/2015	DUB		198		—			198
Buy	ZAR		562	7/17/2015	DUB		4		—			4
Buy	PHP		55,429	7/6/2015	DUB		96		—			96
Buy	PHP		55,429	7/6/2015	DUB		47		—			47
Buy	PHP		55,429	7/6/2015	DUB		3		—			3
Buy	PHP		55,429	7/6/2015	DUB		9		—			9
Buy	TWD		81,033	7/20/2015	DUB		—		(384	)		(384	)
Buy	KRW		89,614	7/20/2015	DUB		—		(1,032	)		(1,032	)
Buy	INR		391,745	7/13/2015	DUB		—		(243	)		(243	)
Buy	SEK		109,986	7/17/2015	DUB		—		(2,113	)		(2,113	)
Buy	KRW		179,227	7/20/2015	DUB		—		(2,039	)		(2,039	)
Buy	KRW		89,614	7/20/2015	DUB		—		(1,027	)		(1,027	)
Buy	CNY		2,656,863	7/23/2015	HUS		—		(35,981	)		(35,981	)

See accompanying notes

7

American Beacon AHL Managed Futures Strategy Fund^SM

Consolidated Schedule of Investments

June 30, 2015 (Unaudited)

Type	Currency	Principal Amount Covered by Contract		Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Buy	BRL		763,038	8/4/2015	HUS	$	—	$	(5,709	)	$	(5,709	)
Buy	BRL		1,061,400	7/2/2015	HUS		—		(14,430	)		(14,430	)
Buy	BRL		32,164	7/2/2015	HUS		238		—			238
Buy	BRL		64,327	7/2/2015	HUS		473		—			473
Buy	CLP		78,167	7/8/2015	RBS		—		(873	)		(873	)
Buy	CLP		78,167	7/8/2015	RBS		—		(4,126	)		(4,126	)
Buy	BRL		160,818	7/2/2015	HUS		224		—			224
Buy	PEN		78,564	7/8/2015	RBS		—		(325	)		(325	)
Buy	CNY		161,033	7/22/2015	RBS		—		(1,814	)		(1,814	)
Buy	CLP		78,168	7/8/2015	RBS		—		(4,618	)		(4,618	)
Buy	PEN		78,564	7/8/2015	RBS		—		(323	)		(323	)
Buy	CNY		2,657,042	7/22/2015	RBS		—		(30,473	)		(30,473	)
Buy	CLP		234,502	7/8/2015	RBS		—		(11,008	)		(11,008	)
Buy	COP		76,720	7/8/2015	RBS		—		(7,780	)		(7,780	)
Buy	CLP		78,168	7/8/2015	RBS		—		(3,865	)		(3,865	)
Buy	COP		76,720	7/8/2015	RBS		—		(5,635	)		(5,635	)
Buy	CLP		390,837	7/8/2015	RBS		—		(15,370	)		(15,370	)
Buy	PEN		78,564	7/8/2015	RBS		—		(459	)		(459	)
Buy	BRL		160,818	7/2/2015	HUS		2,171		—			2,171
Buy	TWD		486,197	7/20/2015	DUB		1,153		—			1,153
Buy	JPY		31,491	7/17/2015	DUB		279		—			279
Buy	SEK		7,704	7/17/2015	DUB		—		(95	)		(95	)
Buy	HKD		53,046	7/17/2015	RBS		7		—			7
Buy	EUR		6,855	7/17/2015	DUB		—		(49	)		(49	)
Buy	BRL		578,946	7/2/2015	HUS		—		(10,872	)		(10,872	)
Buy	PEN		78,564	7/8/2015	RBS		15		—			15
Buy	COP		383,599	7/8/2015	RBS		—		(33,373	)		(33,373	)
Buy	COP		76,720	7/8/2015	RBS		—		(6,540	)		(6,540	)
Buy	COP		76,720	7/8/2015	RBS		—		(6,624	)		(6,624	)
Buy	PHP		221,779	7/1/2015	BNP		—		(1,127	)		(1,127	)
Buy	PHP		221,779	7/1/2015	BRC		—		(1,361	)		(1,361	)
Buy	PHP		221,779	7/1/2015	BRC		—		(1,385	)		(1,385	)
Buy	EUR		589,613	7/17/2015	DUB		—		(11,318	)		(11,318	)
Buy	JPY		294,672	7/17/2015	DUB		988		—			988
Buy	BRL		643,273	7/2/2015	HUS		—		(10,473	)		(10,473	)
Buy	KRW		89,614	7/20/2015	DUB		—		(1,028	)		(1,028	)
Buy	KRW		89,614	7/20/2015	DUB		—		(1,024	)		(1,024	)
Buy	KRW		448,068	7/20/2015	DUB		—		(6,151	)		(6,151	)
Buy	TWD		81,033	7/20/2015	DUB		—		(557	)		(557	)
Buy	KRW		179,227	7/20/2015	DUB		—		(2,740	)		(2,740	)
Buy	KRW		89,614	7/20/2015	DUB		—		(1,360	)		(1,360	)
Buy	KRW		179,227	7/20/2015	DUB		—		(2,727	)		(2,727	)
Buy	INR		195,872	7/13/2015	DUB		—		(586	)		(586	)
Buy	SEK		15,338	7/17/2015	DUB		—		(307	)		(307	)
Buy	INR		4,438,152	8/14/2015	DUB		—		(7,263	)		(7,263	)
Buy	INR		548,442	7/13/2015	DUB		3,356		—			3,356
Buy	INR		1,214,408	7/13/2015	DUB		6,603		—			6,603
Buy	BRL		611,109	7/2/2015	HUS		—		(3,758	)		(3,758	)
Buy	BRL		128,655	7/2/2015	HUS	��	1,016		—			1,016
Buy	BRL		32,164	7/2/2015	HUS		251		—			251
Buy	PEN		78,564	7/8/2015	RBS		—		(456	)		(456	)
Buy	CLP		156,335	7/8/2015	RBS		—		(1,700	)		(1,700	)
Buy	CLP		78,167	7/8/2015	RBS		—		(442	)		(442	)
Buy	INR		1,214,408	7/13/2015	DUB		5,982		—			5,982
Buy	BRL		64,327	7/2/2015	HUS		472		—			472
Buy	AUD		14,024	7/17/2015	RBS		—		(90	)		(90	)
Buy	PHP		55,429	7/6/2015	DUB		32		—			32
Buy	PHP		1,773,738	7/6/2015	DUB		1,670		—			1,670
Buy	PHP		55,376	7/24/2015	DUB		—		(13	)		(13	)
Buy	PHP		55,376	7/24/2015	DUB		—		(6	)		(6	)
Buy	CLP		1,876,020	7/8/2015	RBS		—		(3,385	)		(3,385	)
Buy	PEN		1,728,411	7/8/2015	RBS		—		(1,965	)		(1,965	)

See accompanying notes

8

American Beacon AHL Managed Futures Strategy Fund^SM

Consolidated Schedule of Investments

June 30, 2015 (Unaudited)

Type	Currency	Principal Amount Covered by Contract		Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Sell	PHP		55,429	7/6/2015	DUB	$	—	$	(117	)	$	(117	)
Sell	BRL		192,982	7/2/2015	HUS		—		(6,524	)		(6,524	)
Sell	BRL		160,818	7/2/2015	HUS		—		(4,613	)		(4,613	)
Sell	MYR		66,166	7/20/2015	DUB		566		—			566
Sell	EUR		892,057	7/17/2015	RBS		21,103		—			21,103
Sell	GBP		311,267	7/17/2015	RBS		4,108		—			4,108
Sell	AUD		385,463	7/17/2015	RBS		3,617		—			3,617
Sell	HKD		278,734	7/17/2015	RBS		—		(56	)		(56	)
Sell	JPY		443,964	7/17/2015	RBS		—		(958	)		(958	)
Sell	BRL		96,491	7/2/2015	HUS		—		(1,793	)		(1,793	)
Sell	PHP		1,662,879	7/6/2015	DUB		—		(9,804	)		(9,804	)
Sell	PHP		2,768,797	7/24/2015	DUB		—		(14,280	)		(14,280	)
Sell	HKD		63,181	7/17/2015	RBS		—		(2	)		(2	)
Sell	JPY		47,892	7/17/2015	DUB		—		(274	)		(274	)
Sell	GBP		6,569	7/17/2015	RBS		58		—			58
Sell	ZAR		4,820	7/17/2015	DUB		—		(14	)		(14	)
Sell	CLP		77,700	9/11/2015	RBS		649		—			649
Sell	JPY		15,407	7/17/2015	DUB		—		(87	)		(87	)
Sell	EUR		37,638	7/17/2015	DUB		613		—			613
Sell	CLP		312,670	7/8/2015	RBS		10,041		—			10,041
Sell	CLP		78,168	7/8/2015	RBS		2,332		—			2,332
Sell	CLP		1,094,345	7/8/2015	RBS		25,476		—			25,476
Sell	COP		76,720	7/8/2015	RBS		1,524		—			1,524
Sell	CNY		2,657,042	7/22/2015	RBS		35,956		—			35,956
Sell	PHP		55,429	7/6/2015	DUB		—		(107	)		(107	)
Sell	MYR		66,166	7/20/2015	DUB		240		—			240
Sell	MYR		66,166	7/20/2015	DUB		355		—			355
Sell	PHP		55,429	7/6/2015	DUB		—		(241	)		(241	)
Sell	CNY		80,516	7/22/2015	RBS		941		—			941
Sell	COP		76,720	7/8/2015	RBS		3,184		—			3,184
Sell	COP		76,720	7/8/2015	DUB		2,551		—			2,551
Sell	CLP		78,168	7/8/2015	RBS		2,935		—			2,935
Sell	COP		76,720	7/8/2015	RBS		935		—			935
Sell	BRL		32,164	7/2/2015	HUS		—		(975	)		(975	)
Sell	BRL		32,164	7/2/2015	HUS		—		(982	)		(982	)
Sell	CLP		78,168	7/8/2015	RBS		2,611		—			2,611
Sell	BRL		32,164	7/2/2015	HUS		—		(985	)		(985	)
Sell	BRL		32,164	7/2/2015	HUS		—		(982	)		(982	)
Sell	BRL		32,164	7/2/2015	HUS		—		(982	)		(982	)
Sell	PHP		55,429	7/6/2015	DUB		—		(118	)		(118	)
Sell	CLP		703,507	7/8/2015	RBS		15,975		—			15,975
Sell	BRL		32,164	7/2/2015	HUS		—		(610	)		(610	)
Sell	KRW		2,509,179	7/20/2015	DUB		10,347		—			10,347
Sell	INR		2,977,258	7/13/2015	DUB		—		(22,359	)		(22,359	)
Sell	BRL		32,164	7/2/2015	HUS		—		(590	)		(590	)
Sell	CLP		78,167	7/8/2015	RBS		2,006		—			2,006
Sell	CLP		78,167	7/8/2015	RBS		1,578		—			1,578
Sell	PHP		55,429	7/6/2015	DUB		—		(85	)		(85	)
Sell	CLP		78,167	7/8/2015	RBS		2,381		—			2,381
Sell	BRL		160,818	7/2/2015	HUS		—		(5,263	)		(5,263	)
Sell	PEN		1,964,103	7/8/2015	RBS		3,471		—			3,471
Sell	BRL		868,419	7/2/2015	HUS		15,943		—			15,943
Sell	ZAR		12,151	7/17/2015	DUB		—		(272	)		(272	)
Sell	MYR		4,433,126	7/20/2015	DUB		4,313		—			4,313
Sell	PHP		55,429	7/6/2015	DUB		—		(604	)		(604	)
Sell	JPY		4,017	7/17/2015	DUB		—		(35	)		(35	)
Sell	GBP		24,448	7/17/2015	RBS		—		(327	)		(327	)
Sell	MYR		66,166	7/20/2015	DUB		133		—			133
Sell	AUD		49,410	7/17/2015	RBS		—		(22	)		(22	)
Sell	EUR		27,152	7/17/2015	DUB		194		—			194
Sell	KRW		368,959	7/17/2015	RBS		—		(848	)		(848	)
Sell	BRL		160,818	7/2/2015	HUS		2,442		—			2,442

See accompanying notes

9

American Beacon AHL Managed Futures Strategy Fund^SM

Consolidated Schedule of Investments

June 30, 2015 (Unaudited)

Type	Currency	Principal Amount Covered by Contract		Settlement Date	Counterparty	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Sell	PEN		78,564	7/8/2015	RBS	$	74	$	—		$	74
Sell	COP		76,720	7/8/2015	RBS		3,262		—			3,262
Sell	BRL		546,782	7/2/2015	HUS		—		(9,054	)		(9,054	)
Sell	COP		76,720	7/8/2015	RBS		1,807		—			1,807
Sell	BRL		160,818	7/2/2015	HUS		—		(3,807	)		(3,807	)
Sell	BRL		192,982	7/2/2015	HUS		169		—			169
Sell	COP		76,720	7/8/2015	RBS		3,088		—			3,088
Sell	CNY		80,516	7/22/2015	RBS		923		—			923
Sell	PEN		78,564	7/8/2015	RBS		324		—			324
Sell	MYR		66,166	7/20/2015	DUB		444		—			444
Sell	CLP		156,335	7/8/2015	RBS		3,046		—			3,046
Sell	CLP		78,167	7/8/2015	RBS		1,274		—			1,274
Sell	COP		153,440	7/8/2015	RBS		317		—			317
Sell	PHP		55,429	7/6/2015	DUB		—		(393	)		(393	)
Sell	CLP		78,167	7/8/2015	RBS		1,316		—			1,316
Sell	CLP		78,168	7/8/2015	RBS		2,718		—			2,718
Sell	CLP		78,168	7/8/2015	RBS		2,799		—			2,799
Sell	PHP		1,770,803	8/6/2015	DUB		—		(1,283	)		(1,283	)
Sell	BRL		158,966	8/4/2015	HUS		630		—			630
Sell	CLP		1,864,799	9/11/2015	RBS		3,196		—			3,196
Sell	COP		152,361	9/11/2015	RBS		486		—			486
Sell	COP		152,361	9/11/2015	RBS		261		—			261
Sell	PEN		1,712,222	9/11/2015	RBS		1,975		—			1,975
Sell	KRW		627,295	7/20/2015	DUB		—		(4,541	)		(4,541	)
Sell	KRW		89,614	7/20/2015	DUB		—		(509	)		(509	)
Sell	TWD		405,164	7/20/2015	DUB		—		(1,704	)		(1,704	)
Sell	KRW		179,227	7/20/2015	DUB		—		(1,028	)		(1,028	)
Sell	KRW		179,227	7/20/2015	DUB		—		(1,042	)		(1,042	)
Sell	EUR		47,654	7/17/2015	DUB		—		(321	)		(321	)
Sell	KRW		89,614	7/20/2015	DUB		—		(512	)		(512	)
Sell	HKD		39,733	7/17/2015	RBS		—		(4	)		(4	)
Sell	KRW		89,614	7/20/2015	DUB		—		(513	)		(513	)
Sell	GBP		15,880	7/17/2015	RBS		—		(13	)		(13	)
Sell	BRL		190,760	8/4/2015	HUS		—		(2,081	)		(2,081	)
Sell	KRW		179,227	7/20/2015	DUB		—		(1,031	)		(1,031	)
Sell	TWD		567,230	7/20/2015	DUB		—		(2,167	)		(2,167	)
Sell	KRW		806,522	7/20/2015	DUB		—		(6,885	)		(6,885	)
Sell	KRW		179,227	7/20/2015	DUB		—		(1,025	)		(1,025	)
Sell	KRW		448,068	7/20/2015	DUB		—		(238	)		(238	)
Sell	KRW		716,908	7/20/2015	DUB		311		—			311
Sell	PHP		55,429	7/6/2015	DUB		—		(86	)		(86	)
Sell	BRL		771,928	7/2/2015	HUS		5,400		—			5,400
Sell	MYR		66,166	7/20/2015	DUB		247		—			247
						$	238,663	$	(381,548	)	$	(142,885	)

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

Glossary

Counterparty Abbreviations:
BNP	Banque Nationale De Paris	DUB	Deutsche Bank AG	RBS	Royal Bank of Scotland
BRC	Barclays Bank PLC	HUS	HSBC Bank PLC

Currency Abbreviations:
AUD	Australian Dollar	EUR	Euro	MYR	Malaysian Ringgit
BRL	Brazilian Real	GBP	Pound Sterling	PEN	Peruvian Nuevo
CAD	Canadian Dollar	HKD	Hong Kong Dollar	PHP	Philippine Peso
CLP	Chilean Peso	INR	Indian Rupee	SEK	Swedish Krona
CNY	Chinese Yuan Renminbi	JPY	Japanese Yen
COP	Columbian Peso	KRW	South Korean Won

See accompanying notes

10

American Beacon AHL Managed Futures Strategy Fund^SM

Statement of Assets and Liabilities^**

June 30, 2015 (Unaudited) (in thousands, except share and per share amounts)

Assets:
Investments in unaffiliated securities, at fair value A	$	50,856
Deposits with brokers for futures		3,442
Receivable for fund shares sold		542
Receivable for expense reimbursement (Note 2)		29
Receivable for variation margin on open futures contracts		163
Unrealized appreciation from foreign currency contracts		239
Prepaid expenses		113
Total assets		55,384
Liabilities:
Payable for fund shares redeemed		34
Management and investment advisory fees payable		45
Administrative service and service fees payable		24
Transfer agent fees payable		4
Custody and fund accounting fees payable		34
Professional fees payable		45
Prospectus and shareholder reports fees payable		3
Payable for variation margin from open futures contracts		321
Unrealized depreciation from foreign currency contracts		381
Total liabilities		891
Net assets	$	54,493
Analysis of Net Assets:
Paid-in-capital		52,434
Undistributed (or overdistribution of) net investment income		167
Accumulated net realized gain		2,492
Unrealized depreciation of foreign currency contracts		(143	)
Unrealized depreciation of futures contracts		(457	)
Net assets	$	54,493
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		322,829
Y Class		1,534,321
Investor Class		1,365,769
A Class		1,740,829
C Class		97,981
Net assets (not in thousands):
Institutional Class	$	3,485,871
Y Class	$	16,546,881
Investor Class	$	14,689,131
A Class	$	18,724,058
C Class	$	1,047,033
Net asset value, offering and redemption price per share:
Institutional Class	$	10.80
Y Class	$	10.78
Investor Class	$	10.76
A Class	$	10.76
A Class (offering price)	$	11.42
C Class	$	10.69
A        Cost of investments in unaffiliated securities	$	50,856

** Consolidated financial statement. See Note 2 in the Notes to Financial Statements for additional information.

See accompanying notes

11

American Beacon AHL Managed Futures Strategy Fund^SM

Statement of Operations^**

For the Six Months ended June 30, 2015 (Unaudited) (in thousands)

Investment Income:
Interest income	$	2
Total investment income		2
Expenses:
Management and investment advisory fees (Note 2)		273
Administrative service fees (Note 2):
Institutional Class		22
Y Class		13
Investor Class		19
A Class		23
C Class		1
Transfer agent fees:
Institutional Class		1
Y Class		1
Investor Class		1
A Class		1
C Class		1
Custody and fund accounting fees		40
Professional fees		66
Registration fees and expenses		57
Service fees (Note 2):
Y Class		4
Investor Class		15
A Class		12
C Class		1
Distribution fees (Note 2):
A Class		19
C Class		4
Prospectus and shareholder report expenses		4
Trustee fees		1
Other expenses		3
Total expenses		582
Net fees waived and expenses reimbursed (Note 2)		(118	)
Net expenses		464
Net investment income		(462	)
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Foreign currency transactions		(29	)
Futures contracts		1,748
Change in net unrealized appreciation or (depreciation) of:
Foreign currency transactions		(218	)
Futures contracts		(2,030	)
Net (loss) from investments		(529	)
Net (decrease) in net assets resulting from operations	$	(991	)

** Consolidated financial statement. See Note 2 in the Notes to Financial Statements for additional information.

See accompanying notes

12

American Beacon AHL Managed Futures Strategy Fund^SM

Statement of Changes in Net Assets^** (in thousands)

	Six Months Ended June 30, 2015			From August 19 to Dec. 31, 2014
	(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(462	)	$	902
Net realized gain from investments, foreign currency contracts, and futures contracts		1,719			1,239
Change in net unrealized appreciation or (depreciation) from investments, foreign currency contracts, and futures contracts		(2,248	)		1,689
Net increase (decrease) in net assets resulting from operations		(991	)		3,830
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(774	)
Y Class		—			(12	)
Investor Class		—			(35	)
A Class		—			(243	)
C Class		—			(9	)
Net realized gain from investments:
Institutional Class		—			(210	)
Y Class		—			(3	)
Investor Class		—			(9	)
A Class		—			(66	)
C Class		—			(3	)
Net distributions to shareholders		—			(1,364	)
Capital Share Transactions:
Proceeds from sales of shares		49,265			33,129
Reinvestment of dividends and distributions		—			1,364
Cost of shares redeemed		(35,455	)		(285	)
Net increase in net assets from capital share transactions		13,810			34,208
Net increase in net assets		12,819			36,674
Net Assets:
Beginning of period		41,674			5,000
End of Period *	$	54,493		$	41,674
*  Includes undistributed (or overdistribution of) net investment income	$	167		$	212

** Consolidated financial statement. See Note 2 in the Notes to Financial Statements for additional information.

See accompanying notes

13

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) 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. As of June 30, 2015, the Trust consists of thirty-one active series, one of which is presented in this filing: American Beacon AHL Managed Futures Strategy Fund (the “Fund”). The remaining thirty active series are reported in separate filings.

Effective April 30, 2015 American Beacon Advisors, Inc. (the “Manager”) became a wholly-owned subsidiary of Astro AB Borrower, Inc., which is indirectly owned by investment funds affiliated with Kelso & Company, L.P. and Estancia Capital Management, LLC, two prominent private equity firms. Prior to April 30 the Manager was a wholly-owned subsidiary of Lighthouse Holdings, Inc., which was indirectly owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, L.P., two leading private equity firms.

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 respective Fund. Class specific expenses, where applicable, currently include administration fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.

Recently Adopted 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 Fund adopted this ASU for the fiscal year ended December 31, 2015. 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. 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

14

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

investment advisor hired to direct investment activities of the Fund. Management fees paid during the six months ended June 30, 2015 were as follows (in thousands):

Management Fee Rate	Management Fee	Amounts Paid to Investment Sub-Advisors	Amount Paid to Manager
1.05%	$273	$260	$13

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 0.30% of the average daily net assets of the Institutional, Y, Investor, A, and C Classes of the Fund.

Distribution Plans

The Fund, 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 Fund for distribution purposes. However, the Plan authorizes the management and administration fees received by the Manager and the investment advisors hired by the Manager to be used for distribution purposes. Under this Plan, the Fund does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Fund shares.

A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C 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 expenses incurred in a particular month by the Manager for distribution assistance.

Service Plans

The Manager and the Trust entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund.

Interfund Lending Program

Pursuant to an exemptive order by the Securities and Exchange Commission (“SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the six months ended June 30, 2015, the Fund did not utilize the credit facility.

Expense Reimbursement Plan

The Manager contractually agreed to reimburse the classes of the Fund to the extent that total annual fund operating expenses exceeded the Fund’s expense cap. Of these amounts $29,131 was receivable from the Manager at June 30, 2015. For the six months ended June 30, 2015, the Manager reimbursed expenses as follows:

15

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

	Expense Cap and Limits					Expiration of
Class	1/1/15 to 6/30/15			Reimbursed Expenses		Reimbursements
Institutional		1.54	%	$	42,836		2018
Y		1.64	%		21,163		2018
Investor		1.92	%		16,377		2018
A		1.94	%		34,921		2018
C		2.69	%		2,466		2018

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, is $371,247 which will expire in 2017. The Fund has not recorded a liability for these potential reimbursements, due to the current assessment that reimbursements are unlikely.

Sales Commissions

The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the six months ended June 30, 2015, Foreside collected $6,350 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 six months ended June 30, 2015, 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 six months ended June 30, 2015, CDSC fees of $263 were collected for C Class Shares.

Consolidation of Subsidiaries

The consolidated Schedule of Investments of the 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 Fund.

For Federal tax purposes, taxable income for the 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 Fund’s taxable income. Net losses of the Subsidiary are not deductible by the 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 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 Fund’s investment objectives and policies. The Fund expects to achieve a significant portion of its exposure to commodities and commodities-related investments through investment in the Subsidiary. Unlike the Fund, the Subsidiary may invest without limitation in commodities and commodities-related investments.

16

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Fund	Inception Date of Subsidiary	Subsidiary Net Assets at June 30, 2015		% of Total Net Assets of the Fund at June 30, 2015			Net Realized Gain (Loss) from Investments Held in Subsidiary
American Beacon Cayman Managed Futures Strategy Fund, Ltd.	August 19, 2014	$	12,512,475		23.0	%	$	38,569

CFTC Regulation

On August 13, 2013, the Commodity Futures Trading Commission (“CFTC”) adopted rules to harmonize conflicting United States Securities and Exchange Commission (the “SEC’’) and 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.

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.

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.

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.

Securities for which market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the “Board”).

Valuation Inputs

Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

17

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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

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 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.

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.

The Fund’s investments are summarized by level based on the inputs used to determine their values. U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all significant transfers between any levels to be disclosed. During the six months ended June 30, 2015, there were no transfers between levels. As of June 30, 2015, the investments were classified as described below (in thousands):

	Level 1			Level 2			Level 3		Total
Money Market Funds	$	856		$	—		$	—	$	856
U.S. Treasury Bills		—			50,000			—		50,000
Total Investments in Securities	$	856		$	50,000		$	—	$	50,856
Financial Derivative Instruments - Assets
Futures Contracts	$	151		$	—		$	—	$	151
Forward Currency Contracts		—			239			—		239
	$	151		$	239		$	—	$	390
Financial Derivative Instruments - Liabilities
Futures Contracts	$	(601	)	$	—		$	—	$	(601	)
Forward Currency Contracts		—			(382	)		—		(382	)
	$	(601	)	$	(382	)	$	—	$	(983	)

18

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Security Transactions and Investment Income

Security transactions are recorded on the trade date of the security purchase or sale. The Fund may purchase securities with delivery or payment to occur at a later date. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the NAV. The value of the security may vary with market fluctuations.

Dividend income is recorded on the ex-dividend date. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.

Dividends to Shareholders

Dividends from net investment income of the Fund normally will be declared and paid at least semi-annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.

Allocation of Income, Expenses, Gains, and Losses

Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based 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 directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.

4. Securities and Other Investments

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 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

19

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 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 may also use foreign currency forward contracts to increase exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. 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 six months ended June 30, 2015, the Fund entered into foreign currency exchange contracts primarily for speculative purposes.

The Fund’s foreign currency contract notional dollar values outstanding fluctuate throughout the operating year as required to meet strategic requirements. The following table illustrates 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 June 30, 2015
Fund	Purchased Contracts		Sold Contracts
AHL Managed Futures Strategy	$	25,578	$	34,044

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.

During the six months ended June 30, 2015, the Fund entered into future contracts primarily for speculative purposes.

The Fund’s 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.

20

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Average Futures Contracts Outstanding
Fund	Six months ended June 30, 2015
AHL Managed Futures Strategy		1,571

The following is a summary of the Fund’s 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 June 30, 2015 (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	$	239		$	—		$	—		$	—		$	—		$	239
Receivable for variation margin from open futures contracts(2)		—			38			70			21			34			163
	$	239		$	38		$	70		$	21		$	34		$	402
Liabilities:
Unrealized depreciation of foreign currency contracts	$	(381	)	$	—		$	—		$	—		$	—		$	(381	)
Payable for variation margin from open futures contracts(2)		—			(255	)		(12	)		(31	)		(23	)		(321	)
	$	(381	)	$	(255	)	$	(12	)	$	(31	)	$	(23	)	$	(702	)

The effect of financial derivative instruments on the Statement of Operations for the six months ended June 30, 2015 (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	$	(29	)	$	—		$	—		$	—		$	—		$	(29	)
Net realized gain (loss) from futures contracts		—			38			130			1,101			479			1,748
	$	(29	)	$	38		$	130		$	1,101		$	479		$	1,719
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	$	(218	)	$	—		$	—		$	—		$	—		$	(218	)
Change in net unrealized appreciation or (depreciation) from futures contracts		—			(660	)		(302	)		(398	)		(670	)		(2,030	)
	$	(218	)	$	(660	)	$	(302	)	$	(398	)	$	(670	)	$	(2,248	)

⁽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 Fund trades financial instruments and enters 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 Fund’s income. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will fail to make required payments or otherwise comply with the terms of the

21

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

instrument, transaction or contract. The potential loss could exceed the value of the financial assets recorded in the financial statements. Some of the Fund’s investments may be illiquid and the Fund 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 Fund’s investments in financial derivatives and other financial instruments expose the Fund 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 Fund invests 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, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s 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 Fund’s 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 Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

22

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Cash collateral that has been pledged to cover obligations of the Fund 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 Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party is determined at the close of business of the Fund and additional required collateral is delivered to/pledged by the Fund on the next business day. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Offsetting Assets and Liabilities

The Fund is party 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 Fund employs multiple money managers and counterparties and jas elected not to offset qualifying financial and derivative instruments on the Statement 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 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, June 30, 2015 (in thousands).

Offsetting of Financial Assets and Derivative Assets as of June 30, 2015:

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(1)	$	163	$	—	$	163
Forward Currency Contracts		239		—		239
Total	$	402	$	—	$	402

Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2015:

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 (1)	$	(321	)	$	—	$	(321	)
Forward Currency Contracts		(381	)		—		(381	)
Total	$	(702	)	$	—	$	(702	)

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2015:

	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
BofA Merrill Lynch(1)	$	(66	)	$	—	$	—	$	(66	)
JP Morgan(1)		(50	)		—		—		(50	)
Credit Suisse(1)		(42	)		—		—		(42	)
Deutsche Bank AG		(168	)		—		—		(168	)
Royal Bank of Scotland PLC		26			—		—		26
Total	$	(300	)	$	—	$	—	$	(300	)

⁽¹⁾ The securities presented here within are not subject to Master Netting Agreements. As such, this is disclosed for informational purposes only.

23

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

7. 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.

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

	Six Months Ended June 30, 2015		Year Ended December 31, 2014
	(unaudited)
Distributions paid from:
Ordinary income:*
Institutional Class	$	—	$	863
Y Class		—		13
Investor Class		—		39
A Class		—		271
C Class		—		11
Ordinary income:*
Institutional Class		—		121
Y Class		—		2
Investor Class		—		5
A Class		—		38
C Class		—		1
Total distributions paid	$	—	$	1,364

* For tax purposes, short-term capital gains distributions are considered ordinary income distributions.

As of June 30, 2015, 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	$	50,856
Unrealized appreciation		—
Unrealized depreciation		—
Net unrealized appreciation or (depreciation)		—
Undistributed ordinary income		181
Undistributed long-term gain or (loss)		(1,301	)
Other temporary differences		3,179
Distributable earnings or (deficits)	$	2,059

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 realization of unrealized gains or (losses) from certain derivative instruments.

24

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 rounding differences as of June 30, 2015 (in thousands):

Paid-in-capital	$	(405	)
Undistributed net investment income		417
Accumulated net realized gain (loss)		29
Unrealized appreciation or (depreciation) of investments		(41	)

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.

As of June 30, 2015, the Fund has $107 of short-term and $1,194 of long-term post enactment capital loss carryforwards (in thousands).

8. Investment Transactions

Purchases and proceeds from sales of investments for the six months ended June 30, 2015, excluding short-term investments, were $0 and $0, respectively (in thousands).

9. Capital Share Transactions

The tables below summarize the activity in capital shares (dollars and shares in thousands):

For the Six Months Ended June 30, 2015

	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		(368	)	$	4,174			(1,548	)	$	17,600			(1,320	)	$	14,954
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		2,673			(30,670	)		56			(638	)		231			(2,589	)
Net increase (decrease) in shares outstanding		2,305		$	(26,496	)		(1,492	)	$	16,962			(1,089	)	$	12,365

	A Class						C Class
	Shares			Amount			Shares			Amount
Shares sold		(1,040	)	$	11,710			(74	)	$	827
Reinvestment of dividends		—			—			—			—
Shares redeemed		124			(1,408	)		13			(150	)
Net increase (decrease) in shares outstanding		(916	)	$	10,302			(61	)	$	677

For the Year Ended December 31, 2014

	Institutional Class						Y Class					Investor Class
	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

25

American Beacon AHL Managed Futures Strategy Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

	A Class						C Class
	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

26

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27

American Beacon AHL Managed Futures Strategy Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class						Y Class						Investor Class
	Six Months Ended June 30, 2015			Aug. 19 to Dec. 31, 2014A			Six Months Ended June 30, 2015			Aug. 19 to Dec. 31, 2014A			Six Months Ended June 30, 2015			Aug. 19 to Dec. 31, 2014A
	(unaudited)						(unaudited)						(unaudited)
Net asset value, beginning of period	$	10.95		$	10.00		$	10.94		$	10.00		$	10.93		$	10.00
Income from investment operations:
Net investment income (loss)		(0.83	)		0.24			(0.04	)		0.30			(0.08	)		0.30
Net gains (losses) on investments (both realized and unrealized)		0.68			1.10			(0.12	)		1.03			(0.09	)		1.02
Total income (loss) from investment operations		(0.15	)		1.34			(0.16	)		1.33			(0.17	)		1.32
Less distributions:
Dividends from net investment income		—			(0.31	)		—			(0.31	)		—			(0.31	)
Distributions from net realized gains		—			(0.08	)		—			(0.08	)		—			(0.08	)
Total distributions		—			(0.39	)		—			(0.39	)		—			(0.39	)
Net asset value, end of period	$	10.80		$	10.95		$	10.78		$	10.94		$	10.76		$	10.93
Total return B		(1.37	)%C		13.43	%C		(1.46	)%C		13.33	%C		(1.56	)%C		13.23	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	3,486		$	28,765		$	16,547		$	465		$	14,689		$	3,024
Ratios to average net assets:
Expenses, before reimbursements		2.14	%D		4.97	%D		2.12	%D		7.71	%D		2.18	%D		5.98	%D
Expenses, net of reimbursements		1.54	%D		1.54	%D		1.64	%D		1.64	%D		1.92	%D		1.92	%D
Net investment income (loss), before expense reimbursements		(2.12	)%D		2.73	%D		(2.11	)%D		12.50	%D		(2.18	)%D		10.41	%D
Net investment income (loss), net of reimbursements		(1.53	)%D		6.17	%D		(1.63	)%D		18.58	%D		(1.91	)%D		14.47	%D
Portfolio turnover rate		—	%E		—	%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.

28

American Beacon AHL Managed Futures Strategy Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

A Class						C Class
Six Months Ended June 30, 2015			Aug. 19 to Dec. 31, 2014A			Six Months Ended June 30, 2015			Aug. 19 to Dec. 31, 2014A
(unaudited)						(unaudited)
$	10.93		$	10.00		$	10.90		$	10.00
	(0.10	)		0.32			(0.08	)		0.27
	(0.07	)		1.00			(0.13	)		1.02
	(0.17	)		1.32			(0.21	)		1.29
	—			(0.31	)		—			(0.31	)
	—			(0.08	)		—			(0.08	)
	—			(0.39	)		—			(0.39	)
$	10.76		$	10.93		$	10.69		$	10.90
	(1.56	)%C		13.23	%C		(1.93	)%C		12.93	%C
$	18,724		$	9,019		$	1,047		$	401
	2.39	%D		5.31	%D		3.38	%D		8.75	%D
	1.94	%D		1.94	%D		2.69	%D		2.68	%D
	(2.38	)%D		32.48	%D		(3.37	)%D		7.02	%D
	(1.93	)%D		35.85	%D		(2.68	)%D		13.09	%D
	—	%E		—	%E		—	%E		—	%E

29

American Beacon Funds^SM

Affirmation of the Commodity Pool Operator

June 30, 2015 (Unaudited)

To the best of my knowledge and belief, the information contained in the attached financial statements for the period from January 1, 2015 to June 30, 2015, is accurate and complete.

Melinda G. Heika, Treasurer

American Beacon Advisors, Inc.

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

30

American Beacon Funds^SM

Results of Shareholder Meeting (Unaudited)

Special meetings of shareholders of each of the portfolios of the American Beacon Funds (the “Trust”) were held on April 7 and April 28, 2015. The shareholders of the AHL Managed Futures Strategy Fund (the “Fund”) approved a new investment management agreement between American Beacon Advisors, Inc. and the Fund. Approval of this proposal required a majority of the outstanding voting securities of the Fund. The following are the results of the shareholder votes for this proposal:

Funds	For		Against		Abstain		Non-Voting
AHL Managed Futures Strategy Fund		28,176,796.78		21,274.20		51,132.29		23,191,197.63

Special meetings of shareholders of the Trust were held on April 7 and April 28, 2015. The shareholders of the Trust approved the re-election of nine of the current Trustees to the Board of the Trust and the election of two additional Trustees to the Board. Approval of this proposal required a plurality vote of the Trust’s shares. The following are the results of the election of each Trustee:

Gilbert G. Alvarado
Affirmative	16,655,574,211.10
Withhold	242,060,281.87
Joseph B. Armes
Affirmative	16,653,130,207.99
Withhold	244,504,284.98
Gerard J. Arpey
Affirmative	16,659,813,172.19
Withhold	237,821,320.78
W. Humphrey Bogart
Affirmative	16,532,151,093.14
Withhold	365,483,399.83
Brenda A. Cline
Affirmative	16,662,050,138.08
Withhold	235,584,354.89
Eugene J. Duffy
Affirmative	16,430,210,258.21
Withhold	467,424,234.76
Thomas M. Dunning
Affirmative	16,651,792,247.83
Withhold	245,842,245.14
Alan D. Feld
Affirmative	14,899,039,186.08
Withhold	1,998,595,306.89
Richard A. Massman
Affirmative	16,651,582,060.07
Withhold	246,052,432.90
Barbara J. McKenna
Affirmative	16,435,773,869.81
Withhold	461,860,623.16
R. Gerald Turner
Affirmative	16,653,429,720.08
Withhold	244,204,772.89

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33

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, 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 at 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 American Beacon AHL Managed Futures Strategy Fund are service marks of American Beacon Advisors, Inc.

SAR 6/15

American Beacon
FUNDS
2015
SEMI-ANNUAL REPORT
JUNE 30, 2015
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

President’s Message	1
Performance Overviews	2
Schedules of Investments:
Bahl & Gaynor Small Cap Growth Fund	15
Bridgeway Large Cap Value Fund	17
Holland Large Cap Growth Fund	20
Stephens Small Cap Growth Fund	22
Stephens Mid-Cap Growth Fund	24
Financial Statements	26
Notes to the Financial Statements	31
Financial Highlights	50
Additional Information	Back Cover

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. 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. 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. 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. 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. 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. 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. 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. 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. 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. The advisor’s strategies and the Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.

American Beacon Funds June 30, 2015

Dear Shareholders,

During the first half of 2015, U.S. stocks in general posted modest gains and small-cap stocks performed better than their large-cap counterparts. U.S. equity markets have had to contend with slower economic growth, modestly higher-than-average valuations, and geopolitical and financial turmoil in Greece. Uncertainty over the timing of the U.S. Federal Reserve’s first interest rate increase since emergency lending rates were established during the financial crisis has also weighed on the equity market. The S&P 500 Index, a U.S. large-cap stock bellwether, gained 1.23%; the Russell Midcap Index, a barometer of mid-cap stocks, gained 2.35%; and the Russell 2000 Index, which generally represents the small-cap segment, gained 4.75%.

Perhaps more notable than the differences in performance by market capitalization was the variance between the value and growth categories. For the six months ended June 30, 2015, the Russell 1000 Value Index and the Russell 1000 Growth Index posted total returns of -0.61% and 3.96%, respectively, while the Russell 1000 Index returned 1.71%.

At American Beacon Advisors, we are proud to offer a broad range of equity funds to help investors navigate the economic storms and market downturns in the U.S. and abroad. Our years of experience evaluating sub-advisors has led us to identify and partner with several asset managers who have adhered to their disciplined processes for many years and through a variety of economic and market conditions.

For the six months ended June 30, 2015:

• American Beacon Bahl & Gaynor Small Cap Growth Fund (Investor Class) returned 2.06%.

• American Beacon Bridgeway Large Cap Value Fund (Investor Class) returned 1.94%.

• American Beacon Holland Large Cap Growth Fund (Investor Class) returned 4.11%.

• American Beacon Stephens Small Cap Growth Fund (Investor Class) returned 5.09%.

• American Beacon Stephens Mid-Cap Growth Fund (Investor Class) returned 6.48%.

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 Bahl & Gaynor Small Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Investor Class of the Bahl & Gaynor Small Cap Growth Fund (the “Fund”) returned 2.06% for the six months ended June 30, 2015. The Fund underperformed the Russell 2000 Growth Index (the “Index”) return of 8.74% for the period.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			Since incep. (7/15/14)*
Institutional Class (1,5)	GBSIX		2.24	%		9.68	%
Y Class (1,5)	GBSYX		2.15	%		9.58	%
Investor Class (1,5)	GBSPX		2.06	%		9.28	%
A Class with sales charge (1,2,5)	GBSAX		(3.88	)%		2.90	%
A Class without sales charge (1,2,5)	GBSAX		1.96	%		9.18	%
C Class with sales charge (1,3,5)	GBSCX		0.69	%		7.48	%
C Class without sales charge (1,3,5)	GBSCX		1.69	%		8.48	%
Russell 2000 Growth Index (4)			8.74	%		15.30	%
S&P 500 Index (4)			1.23	%		6.43	%

* 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.

The Fund trailed the Index due to poor stock selection and sector allocation for the six months ending June 30, 2015. From a stock selection perspective, positions in the Information Technology sector detracted about 240 basis points (2.4%), from the Fund’s relative return, such as positions in Methode Electronics Inc. (down 26.1%) and Power Integrations Inc. (down 13.3%). Additionally, stock selections within the Health Care sector detracted about 240 basis points (2.4%), including positions held in Abaxis Inc. (down 7.5%) and Computer Programs & Systems (down 13.8%). A bright spot for stock selections came from within the Industrials sector, contributing about 30 basis points (0.3%) to the Fund, where positions in Rollins Inc. (up 29.5%) and II-VI Inc. (up 38.7%) added relative value.

From a sector allocation standpoint, underweighting the Health Care sector (up 20.5%) and overweighting the Consumer Staples sector (down 1.4%) detracted from relative performance during the period. The Fund benefited from underweighting the Telecom and Materials sectors (down 3.1% and 1.0%, respectively).

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.

2

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

Top Ten Holdings (% Net Assets)
MarketAxess Holdings, Inc.		3.2
Texas Roadhouse, Inc.		3.0
j2 Global, Inc.		2.5
PacWest Bancorp		2.4
Rollins, Inc.		2.4
Watsco, Inc.		2.3
Cantel Medical Corp.		2.2
STERIS Corp.		2.1
Blackbaud, Inc.		2.1
Ritchie Bros. Auctioneers, Inc.		2.1
Total Fund Holdings	70
Sector Allocation (% Equities)
Information Technology		24.6
Consumer Discretionary		19.0
Health Care		15.1
Industrials		14.5
Financials		13.0
Consumer Staples		6.0
Materials		4.0
Energy		3.2
Utilities		0.6

3

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Investor Class of the American Beacon Bridgeway Large Cap Value Fund (the “Fund”) returned 1.94% for the six months ended June 30, 2015, compared to the Russell 1000^® Value Index (the “Index”) return of -0.61% for the same period.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,7)	BRLVX		2.05	%		7.34	%		18.48	%		8.87	%
Y Class (1,2,7)	BWLYX		2.10	%		7.35	%		18.44	%		8.85	%
Investor Class(1,3,7)	BWLIX		1.94	%		7.04	%		18.24	%		8.76	%
A Class with sales charge (1,4,7)	BWLAX		(3.94	)%		0.86	%		16.73	%		8.07	%
A Class without sales charge (1,4,7)	BWLAX		1.90	%		7.00	%		18.13	%		8.71	%
C Class with sales charge (1,5,7)	BWLCX		0.55	%		5.18	%		17.57	%		8.46	%
C Class without sales charge (1,5,7)	BWLCX		1.55	%		6.18	%		17.57	%		8.46	%
Russell 1000 Value Index (6)			(0.61	)%		4.13	%		16.50	%		7.05	%

* 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 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 6/30/05 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 6/30/05. 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 6/30/05 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 6/30/05. 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 6/30/05 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 6/30/05. 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 6/30/05 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 6/30/05. 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.

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 0.80%, 0.85%, 1.12% 1.15%, and 1.88%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund outperformed the Index entirely due to stock selection as sector allocation detracted modest value relative to the Index.

4

American Beacon Bridgeway Large Cap Value Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

Most of the Fund’s excess performance related to security selection was attributable to holdings in the Health Care, Energy and Information Technology sectors. Investments in the Health Care sector contributed more than 125 basis points (1.25%) to performance. In the Health Care sector, Cigna (up 42.2%), HCA Holdings (up 24.1%) and Universal Health Services (up 28.6%) contributed most to the Fund’s returns. Tesoro (up 14.7%) and the Fund’s smaller position in Exxon Mobil, down 8.5% versus the Index, added relative value in the Energy sector. Not owning Chevron, which was down 12.3% in the Index, also positively impacted the Fund’s performance. In the Information Technology sector, Skyworks Solutions (up 43.6%), Broadcom (up 29.1%) and Electronic Arts (up 41.4%) were the largest contributors. The aforementioned good performance was slightly offset by the Fund’s poor selection in the Consumer Discretionary sector where Best Buy (down 14.4%), Royal Caribbean Cruises (down 9.0%) and General Motors (down 3.1%) detracted from the Fund’s returns.

Underweight positions in Health Care, the best performing sector in the Index, and the Financials sector detracted from performance through sector allocation. The Fund’s overweight in Information Technology, the second worst performing sector in the Index, also detracted 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)
Cigna Corp.		2.3
HCA Holdings, Inc.		2.1
Universal Health Services, Inc.		1.8
Rite Aid Corp.		1.6
Tesoro Corp.		1.6
Celanese Corp.		1.5
Northrop Grumman Corp.		1.5
Phillips 66		1.4
Abbott Laboratories		1.4
Johnson & Johnson		1.4
Total Fund Holdings	112
Sector Allocation (% Equities)
Financials		26.6
Health Care		16.6
Industrials		11.4
Energy		10.0
Information Technology		8.5
Consumer Staples		7.1
Consumer Discretionary		6.8
Materials		6.4
Utilities		5.4
Telecommunication Services		1.2

5

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Investor Class of the American Beacon Holland Large Cap Growth Fund (the “Fund”) returned 4.11% for the six months ended June 30, 2015, compared to the Russell 1000^® Growth Index (the “Index”) return of 3.96% for the same period.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,2,7)	LHGIX		4.29	%		7.54	%		16.30	%		7.95	%
Y Class (1,3,7)	LHGYX		4.15	%		7.25	%		16.17	%		7.89	%
Investor Class (1,7)	LHGFX		4.11	%		7.16	%		15.97	%		7.79	%
A Class with sales charge (1,4,7)	LHGAX		(1.93	)%		0.93	%		14.49	%		7.11	%
A Class without sales charge (1,4,7)	LHGAX		4.06	%		7.09	%		15.86	%		7.74	%
C Class with sales charge (1,5,7)	LHGCX		2.68	%		5.29	%		15.29	%		7.47	%
C Class without sales charge (1,5,7)	LHGCX		3.68	%		6.29	%		15.29	%		7.47	%
Russell 1000 Growth Index (6)			3.96	%		10.56	%		18.59	%		9.10	%

* 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 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 ten-year period represents the returns achieved by the Investor Class from 6/30/05 up to 3/1/10, the inception date of the Institutional Class, and the returns of the Institutional Class since its inception. Expenses of the Institutional Class are lower than those of the Investor Class. As a result, total returns shown may be lower than they would have been had the Institutional Class been in existence since 6/30/05. 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 6/30/05 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 and higher than those of the Institutional Class. As a result, total returns shown may be different than they would have been had the Y Class been in existence since 6/30/05. A portion of the fees charged to the Y Class was waived in 2012, 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 ten-year period represents the returns achieved by the Investor Class from 6/30/05 through 2/1/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Investor Class. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/05. 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 6/30/05 to 2/1/10 and the returns of the A Class from 2/1/10 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 and A Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/05. 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 0.90%, 1.12%, 1.16%, 1.31%, and 2.06% 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.

6

American Beacon Holland Large Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Fund outperformed the Index primarily due to sector allocation, and to a lesser extent, through stock selection.

Underweight positions in the Industrials, Financials and Materials sectors contributed to the Fund’s returns through sector allocation. The Fund’s overweight in Consumer Discretionary, the second best performing sector in the Index, also added relative value.

Investments in the Industrials sector contributed more than 30 basis points (0.30%) to performance. WABCO Holdings (up 16.8%) and Roper Technologies (up 10.7%) were the largest contributors in the Industrials sector. Not owning United Parcel Service or American Airlines, which were down 11.6% and 25.2%, respectively, in the Index, also positively impacted performance. The Fund’s Consumer Discretionary and Financials holdings also added value relative to the Index. Amazon.com (up 39.8%), Yum! Brands (up 26.2%) and Under Armour (up 22.9%) contributed most to the Fund’s returns in the Consumer Discretionary sector. In the Financials sector, not owning American Express or American Tower, which were down 15.6% and 4.8%, respectively, in the Index, also added relative value. Poor security selection in the Information Technology sector detracted from the Fund’s returns. Qualcomm (down 14.6%) was the largest detractor in the Information Technology sector. The Fund’s smaller allocation in Apple (up 14.6%) versus the Index also hurt performance.

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.		4.6
Apple, Inc.		4.5
Adobe Systems, Inc.		3.5
Amazon.com, Inc.		3.5
Gilead Sciences, Inc.		3.4
Citrix Systems, Inc.		3.4
Priceline.com, Inc.		3.4
Google, Inc., Class C		3.3
Qualcomm, Inc.		3.3
Cisco Systems, Inc.		2.9
Total Fund Holdings	48
Sector Allocation (% Equities)
Information Technology		33.4
Consumer Discretionary		22.2
Health Care		14.6
Consumer Staples		11.5
Industrials		11.5
Financials		3.8
Energy		1.7
Materials		1.3

7

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Investor Class of the American Beacon Stephens Small Cap Growth Fund (the “Fund”) returned 5.09% for the six months ended June 30, 2015, underperforming the Russell 2000^® Growth Index (the “Index”) return of 8.74% for the same period.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			1 Year			5 Years			Since Incep. 12/1/05
Institutional Class (1,2,7)	STSIX		5.25	%		4.89	%		17.10	%		9.40	%
Y Class (1,3,7)	SPWYX		5.20	%		4.84	%		16.95	%		8.21	%
Investor Class (1,7)	STSGX		5.09	%		4.52	%		16.78	%		8.12	%
A Class with sales charge (1,4,7)	SPWAX		(0.91	)%		(1.45	)%		15.28	%		7.39	%
A Class without sales charge (1,4,7)	SPWAX		5.12	%		4.55	%		16.65	%		8.06	%
C Class with sales charge (1,5,7)	SPWCX		3.65	%		2.68	%		16.06	%		7.78	%
C Class without sales charge (1,5,7)	SPWCX		4.65	%		3.68	%		16.06	%		7.78	%
S&P 500 Index (6)			1.23	%		7.42	%		17.34	%		7.63	%
Russell 2000 Growth Index (6)			8.74	%		12.34	%		19.33	%		9.41	%

* 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 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 the 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 the 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.

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 1.10%, 1.18%, 1.33%, 1.48%, and 2.23% 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.

8

American Beacon Stephens Small Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Fund underperformed the Index entirely due to stock selection as sector allocation added value relative to the Index.

Investments in the Information Technology and Health Care sectors detracted approximately 180 (1.80%) and 145 (1.45%) basis points, respectively, from performance. In the Information Technology sector, Stratasys (down 52.3%), ChannelAdvisor (down 67.6%) and Athenahealth (down 21.3%) were the largest detractors. Pacira Pharmaceuticals (down 21.3%) detracted most from performance in the Health Care sector. The Fund was also negatively impacted by not owning Synageva BioPharma or Bluebird Bio, which were up 130.0% and 111.8%, respectively, in the Index. Companies within the Energy sector also detracted relative value. In the Energy sector, Flotek (down 32.6%) and Rignet (down 24.9%) detracted most from the Fund’s returns. The aforementioned poor performance was somewhat offset by good stock selection in the Financials sector. Companies contributing the most relative value in Financials included WisdomTree Investments (up 41.0%), Hilltop Holdings (up 22.0%) and Demandware (up 23.7%).

Underweight positions in Materials and Telecommunication Services, two of the poorer performing sectors in the Index, contributed to the Fund’s returns through sector allocation. The Fund’s underweight in the Industrials sector, also added 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)
Acadia Healthcare Co., Inc.		1.8
ICON PLC		1.7
Proofpoint, Inc.		1.6
Manhattan Associates, Inc.		1.6
Cepheid, Inc.		1.5
Advisory Board Co.		1.5
PAREXEL International Corp.		1.5
Tyler Technologies, Inc.		1.5
CoStar Group, Inc.		1.5
Akorn, Inc.		1.5
Total Fund Holdings	109
Sector Allocation (% Equities)
Information Technology		26.8
Health Care		25.9
Consumer Discretionary		17.1
Industrials		10.5
Financials		10.1
Energy		4.4
Consumer Staples		3.7
Materials		1.5

9

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Investor Class of the American Beacon Stephens Mid-Cap Growth Fund (the “Fund”) returned 6.48% for the six months ended June 30, 2015. The Fund outperformed the Russell Midcap^® Growth Index (the “Index”) return of 4.18% for the same period.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			1 Year			5 Years			Since Incep. 2/1/06
Institutional Class (1,2,7)	SFMIX		6.65	%		7.62	%		17.08	%		9.73	%
Y Class (1,3,7)	SMFYX		6.56	%		7.52	%		16.94	%		7.90	%
Investor Class (1,7)	STMGX		6.48	%		7.21	%		16.70	%		7.78	%
A Class with sales charge (1,4,7)	SMFAX		0.33	%		1.05	%		15.28	%		7.08	%
A Class without sales charge (1,4,7)	SMFAX		6.43	%		7.23	%		16.65	%		7.76	%
C Class with sales charge (1,5,7)	SMFCX		5.03	%		5.42	%		16.09	%		7.48	%
C Class without sales charge (1,5,7)	SMFCX		6.03	%		6.42	%		16.09	%		7.48	%
S&P 500 Index (6)			1.23	%		7.42	%		17.34	%		7.47	%
Russell Midcap Growth Index (6)			4.18	%		9.45	%		18.69	%		8.52	%

* 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 the Investor 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.

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 has been waived since 2006. Performance prior to waiving fees was lower than the 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 the 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 the 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 1.06%, 1.11%, 1.28%, 1.41%, and 2.18%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report that are based on expenses incurred during the period covered by this report.

The Fund outperformed the Index as both stock selection and sector allocation added value relative to the Index.

10

American Beacon Stephens Mid-Cap Growth Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

Investments in the Consumer Discretionary and Financials sectors added approximately 190 (1.90%) and 95 (0.95%) basis points, respectively, to performance. In the Consumer Discretionary sector, Netflix (up 92.3%), IMAX (up 30.5%) and Papa John’s International (up 36.1%) added the most relative value. Companies in the Financials sector which contributed to the Fund’s returns included SVB Financial Group (up 24.0%) and East West Bancorp (up 16.9%). The aforementioned excess performance was somewhat offset by the Fund’s holdings in the Health Care sector which detracted more than 125 basis points (1.25%). Pacira Pharmaceuticals (down 20.5%) and Idexx Laboratories (down 13.0%) detracted from the Fund’s returns in the Health Care sector. The Fund’s absence from Pharmacyclics also hurt performance.

Overweight positions in Health Care and Information Technology, the two best performing sectors in the Index, added more than 75 (0.75%) and 20 (0.20%) basis points, respectively, to performance through sector allocation. The Fund’s absence from Utilities and underweight positions in Financials and Industrials, the three worst performing sectors in the Index, also 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.		2.1
Fortinet, Inc.		2.0
Netflix, Inc.		1.8
Monster Beverage Corp.		1.7
Cerner Corp.		1.7
SVB Financial Group		1.6
CoStar Group, Inc.		1.5
Stericycle, Inc.		1.5
MercadoLibre, Inc.		1.5
Ross Stores, Inc.		1.5
Total Fund Holdings	101
Sector Allocation (% Equities)
Information Technology		26.7
Consumer Discretionary		23.1
Health Care		19.7
Industrials		11.5
Financials		7.8
Consumer Staples		5.1
Energy		5.1
Materials		1.0

11

American Beacon Fund^SM

Fund Expenses

June 30, 2015 (Unaudited)

Fund Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including management fees, administrative service fees, distribution (12b-1) fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period in each Class and held for the entire period from January 1, 2015 through June 30, 2015.

Actual Expenses

The “Actual” lines of the table provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

Hypothetical Example for Comparison Purposes

The “Hypothetical” lines of the table provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in the Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Investor and Institutional Classes that invest in the Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund, such as sales charges (loads). Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” lines of the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.

12

American Beacon Fund^SM

Fund Expenses

June 30, 2015 (Unaudited)

Bahl & Gaynor Small Cap Growth Fund

	Beginning Account Value 1/1/15		Ending Account Value 6/30/15		Expenses Paid During Period* 1/1/15 - 6/30/15
Institutional Class
Actual	$	1,000.00	$	1,022.41	$	4.91
Hypothetical**	$	1,000.00	$	1,019.93	$	4.91
Y Class
Actual	$	1,000.00	$	1,021.48	$	5.41
Hypothetical**	$	1,000.00	$	1,019.44	$	5.41
Investor Class
Actual	$	1,000.00	$	1,020.58	$	6.81
Hypothetical**	$	1,000.00	$	1,018.05	$	6.80
A Class
Actual	$	1,000.00	$	1,019.64	$	6.91
Hypothetical**	$	1,000.00	$	1,017.95	$	6.90
C Class
Actual	$	1,000.00	$	1,016.90	$	10.65
Hypothetical**	$	1,000.00	$	1,014.23	$	10.64

* Expenses are equal to the Fund’s annualized expense ratios for the six-month 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 fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Bridgeway Large Cap Value Fund

	Beginning Account Value 1/1/15		Ending Account Value 6/30/15		Expenses Paid During Period* 1/1/15 - 6/30/15
Institutional Class
Actual	$	1,000.00	$	1,020.52	$	4.21
Hypothetical**	$	1,000.00	$	1,020.63	$	4.21
Y Class
Actual	$	1,000.00	$	1,020.97	$	4.06
Hypothetical**	$	1,000.00	$	1,020.78	$	4.06
Investor Class
Actual	$	1,000.00	$	1,019.36	$	5.46
Hypothetical**	$	1,000.00	$	1,019.39	$	5.46
A Class
Actual	$	1,000.00	$	1,019.01	$	5.61
Hypothetical**	$	1,000.00	$	1,019.24	$	5.61
C Class
Actual	$	1,000.00	$	1,015.48	$	9.29
Hypothetical**	$	1,000.00	$	1,015.57	$	9.30

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.84%, 0.81%, 1.09%, 1.12%, and 1.86% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Holland Large Cap Growth Fund

	Beginning Account Value 1/1/15		Ending Account Value 6/30/15		Expenses Paid During Period* 1/1/15 - 6/30/15
Institutional Class
Actual	$	1,000.00	$	1,042.89	$	4.51
Hypothetical**	$	1,000.00	$	1,020.38	$	4.46
Y Class
Actual	$	1,000.00	$	1,041.50	$	5.67
Hypothetical**	$	1,000.00	$	1,019.24	$	5.61
Investor Class
Actual	$	1,000.00	$	1,041.05	$	6.33
Hypothetical**	$	1,000.00	$	1,018.60	$	6.26
A Class
Actual	$	1,000.00	$	1,040.58	$	6.53
Hypothetical**	$	1,000.00	$	1,018.40	$	6.46
C Class
Actual	$	1,000.00	$	1,036.77	$	10.30
Hypothetical**	$	1,000.00	$	1,014.68	$	10.19

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.89%, 1.12%, 1.25%, 1.29%, and 2.04% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

Stephens Small Cap Growth Fund

	Beginning Account Value 1/1/15		Ending Account Value 6/30/15		Expenses Paid During Period* 1/1/15 - 6/30/15
Institutional Class
Actual	$	1,000.00	$	1,052.48	$	5.45
Hypothetical**	$	1,000.00	$	1,019.49	$	5.36
Y Class
Actual	$	1,000.00	$	1,051.96	$	5.85
Hypothetical**	$	1,000.00	$	1,019.09	$	5.76
Investor Class
Actual	$	1,000.00	$	1,050.93	$	7.02
Hypothetical**	$	1,000.00	$	1,017.95	$	6.90
A Class
Actual	$	1,000.00	$	1,051.24	$	7.68
Hypothetical**	$	1,000.00	$	1,017.31	$	7.55
C Class
Actual	$	1,000.00	$	1,046.53	$	11.47
Hypothetical**	$	1,000.00	$	1,013.59	$	11.28

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.07%, 1.15%, 1.38%, 1.51%, and 2.26% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

13

American Beacon Fund^SM

Fund Expenses

June 30, 2015 (Unaudited)

Stephens Mid-Cap Growth Fund

	Beginning Account Value 1/1/15		Ending Account Value 6/30/15		Expenses Paid During Period* 1/1/15 - 6/30/15
Institutional Class
Actual	$	1,000.00	$	1,066.53	$	5.12
Hypothetical**	$	1,000.00	$	1,019.84	$	5.01
Y Class
Actual	$	1,000.00	$	1,065.55	$	5.63
Hypothetical**	$	1,000.00	$	1,019.34	$	5.51
Investor Class
Actual	$	1,000.00	$	1,064.83	$	7.07
Hypothetical**	$	1,000.00	$	1,017.95	$	6.90
A Class
Actual	$	1,000.00	$	1,064.35	$	7.17
Hypothetical**	$	1,000.00	$	1,017.85	$	7.00
C Class
Actual	$	1,000.00	$	1,060.35	$	10.98
Hypothetical**	$	1,000.00	$	1,014.13	$	10.74

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 1.00%, 1.10%, 1.38%, 1.40%, and 2.15% for the Institutional, Y, Investor, A, and C Classes respectively, multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

14

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 96.82%
CONSUMER DISCRETIONARY - 18.40%
Auto Components - 1.66%
Strattec Security Corp.		1,620	$	111
Automobiles - 3.01%
Hyster-Yale Materials Handling, Inc.		960		67
Thor Industries, Inc.		2,385		134
				201
Hotels, Restaurants & Leisure - 4.73%
Brinker International, Inc.		2,025		117
Texas Roadhouse, Inc.		5,370		200
				317
Household Durables - 2.92%
Flexsteel Industries, Inc.		2,885		125
Matthews International Corp., Class A		1,325		70
				195
Multiline Retail - 1.77%
Pricesmart, Inc.		1,290		118
Specialty Retail - 2.08%
Buckle, Inc.		575		26
Monro Muffler Brake, Inc.		1,815		113
				139
Textiles & Apparel - 2.23%
Movado Group, Inc.		1,760		48
Wolverine World Wide, Inc.		3,545		101
				149
Total Consumer Discretionary				1,230
CONSUMER STAPLES - 5.84%
Food & Drug Retailing - 2.15%
B&G Foods, Inc.		1,200		34
United Natural Foods, Inc.A		1,720		110
				144
Food Products - 1.92%
J&J Snack Foods Corp.		1,155		128
Personal Products - 1.77%
Inter Parfums, Inc.		3,480		118
Total Consumer Staples				390
ENERGY - 3.07%
Energy Equipment & Services - 0.60%
Bristow Group, Inc.		755		40
Oil & Gas - 2.47%
GasLog Ltd.		3,910		78
SemGroup Corp., Class A		1,090		87
				165
Total Energy				205
FINANCIALS - 12.60%
Banks - 7.66%
Bank of the Ozarks, Inc.		1,335		61
Evercore Partners, Inc., Class A		2,090		113
Glacier Bancorp, Inc.		1,470		43
PacWest Bancorp		3,415		159
S&T Bancorp, Inc.		2,285		68
Virtu Financial, Inc., Class AA		2,880		68
				512

	Shares		Fair Value
			(000’s)
Diversified Financials - 3.22%
MarketAxess Holdings, Inc.		2,320	$	215
Insurance - 1.72%
Horace Mann Educators Corp.		3,150		115
Total Financials				842
HEALTH CARE - 14.62%
Biotechnology - 2.07%
Neogen Corp.A B		1,000		47
Trinity Biotech PLC, Sponsored ADRC D		5,000		91
				138
Health Care Equipment & Supplies - 8.90%
Abaxis, Inc.		2,490		128
Atrion Corp.		130		51
Bio-Techne Corp.		630		62
Computer Programs and Systems, Inc.		1,390		74
STERIS Corp.		2,220		143
West Pharmaceutical Services, Inc.		2,355		137
				595
Health Care Providers & Services - 3.65%
Cantel Medical Corp.		2,755		148
HealthSouth Corp.		2,090		96
				244
Total Health Care				977
INDUSTRIALS - 14.05%
Building Products - 2.33%
Watsco, Inc.		1,260		156
Commercial Services & Supplies - 7.95%
G&K Services, Inc., Class A		1,090		75
Healthcare Services Group, Inc.		3,295		109
Monotype Imaging Holdings, Inc.		4,370		105
MSA Safety, Inc.		1,685		82
Rollins, Inc.		5,590		160
				531
Electrical Equipment - 0.72%
II-VI, Inc.		2,510		48
Industrial Conglomerates - 0.67%
Raven Industries, Inc.		2,230		45
Machinery - 2.38%
Applied Industrial Technologies, Inc.		2,320		92
Valmont Industries, Inc.		565		67
				159
Total Industrials				939
INFORMATION TECHNOLOGY - 23.76%
Communications Equipment - 1.39%
Plantronics, Inc.		1,655		93
Electronic Equipment & Instruments - 4.06%
Analogic Corp.		820		65
Intersil Corp., Class A		4,370		55
Methode Electronics, Inc.		3,750		102
NVE Corp.		620		49
				271
Internet Software & Services - 3.86%
GrubHub, Inc.A		1,470		50

See accompanying notes

15

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
j2 Global, Inc.		2,420	$	165
Reis, Inc.		1,950		43
				258
IT Consulting & Services - 2.10%
Ritchie Bros. Auctioneers, Inc.		5,000		140
Semiconductor Equipment & Products - 4.38%
FEI Co.		1,190		99
Micrel, Inc.		3,550		49
Monolithic Power Systems, Inc.		1,520		77
Power Integrations, Inc.		1,500		68
				293
Software - 7.97%
Blackbaud, Inc.		2,490		141
EPIQ Systems, Inc.		2,380		40
Mentor Graphics Corp.		4,570		120
National Instruments Corp.		2,985		88
Pegasystems, Inc.		2,785		64
Solera Holdings, Inc.		1,790		80
				533
Total Information Technology				1,588
MATERIALS - 3.88%
Chemicals - 3.88%
Balchem Corp.		1,550		86
PolyOne Corp.		3,450		136
Stepan Co.		685		37
Total Materials				259
UTILITIES - 0.60%
Gas - 0.60%
Targa Resources Corp.		450		40
Total Common Stock (Cost $6,139)				6,470
SHORT-TERM INVESTMENTS - 3.94% (Cost $263)
JPMorgan U.S. Government Money Market Fund, Capital Class		262,854		263
TOTAL INVESTMENTS - 100.76% (Cost $6,402)				6,733
LIABILITIES, NET OF OTHER ASSETS - (0.76%)				(51	)
TOTAL NET ASSETS - 100.00%			$	6,682

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  Illiquid. At period end, the value of these securities amounted to $47 or 0.70% of net assets.

^C  PLC - Public Limited Company.

^D  ADR - American Depositary Receipt.

Futures Contracts Open on June 30, 2015:
Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index September Futures	Long	1	September 2015	$	125,040	$	(462	)
				$	125,040	$	(462	)

See accompanying notes

16

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 97.20%
CONSUMER DISCRETIONARY - 6.57%
Automobiles - 1.72%
Ford Motor Co.		903,740	$	13,565
General Motors Co.		518,780		17,291
				30,856
Hotels, Restaurants & Leisure - 0.70%
Marriott International, Inc., Class A		169,000		12,572
Household Durables - 0.95%
Stanley Black & Decker, Inc.		162,300		17,080
Media - 2.54%
CBS Corp., Class BA		234,700		13,026
Comcast Corp., Class A		273,600		16,454
Time Warner, Inc.		185,900		16,250
				45,730
Specialty Retail - 0.66%
Best Buy Co., Inc.		365,000		11,903
Total Consumer Discretionary				118,141
CONSUMER STAPLES - 6.89%
Beverages - 0.86%
Constellation Brands, Inc., Class A		134,000		15,547
Food & Drug Retailing - 2.52%
Rite Aid Corp.B		3,465,200		28,934
Sysco Corp.		450,700		16,270
				45,204
Food Products - 2.40%
Archer-Daniels-Midland Co.		345,000		16,636
Pilgrim’s Pride Corp.		719,400		16,525
Tyson Foods, Inc., Class A		236,300		10,073
				43,234
Household Products - 1.11%
Colgate-Palmolive Co.		305,200		19,963
Total Consumer Staples				123,948
ENERGY - 9.74%
Oil & Gas - 9.74%
Apache Corp.		206,700		11,912
Cimarex Energy Co.		53,500		5,902
ConocoPhillips		113,670		6,980
Devon Energy Corp.		192,000		11,422
Exxon Mobil Corp.		134,770		11,213
Hess Corp.		236,900		15,844
Kinder Morgan, Inc.		210,700		8,089
Marathon Petroleum Corp.		299,740		15,679
Murphy Oil Corp.		420,500		17,480
Phillips 66		323,100		26,029
Tesoro Corp.		338,000		28,531
Valero Energy Corp.		257,300		16,107
Total Energy				175,188
FINANCIALS - 25.87%
Banks - 5.05%
CIT Group, Inc.		358,500		16,667
Fifth Third Bancorp		405,200		8,436
M&T Bank Corp.		119,520		14,932
New York Community Bancorp, Inc.		914,000		16,799

	Shares		Fair Value
			(000’s)
PNC Financial Services Group, Inc.		101,000	$	9,661
SunTrust Banks, Inc.		258,700		11,129
U.S. Bancorp		305,800		13,272
				90,896
Diversified Financials - 5.70%
Ally Financial, Inc.B		768,300		17,233
Capital One Financial Corp.		193,500		17,022
Citigroup, Inc.		157,900		8,722
JPMorgan Chase & Co.		255,000		17,279
Morgan Stanley		337,800		13,103
Raymond James Financial, Inc.		160,000		9,533
Wells Fargo & Co.		351,000		19,741
				102,633
Insurance - 13.70%
ACE Ltd.		100,300		10,199
Aflac, Inc.		249,200		15,500
Allstate Corp.		299,300		19,415
American International Group, Inc.		342,100		21,148
Arch Capital Group Ltd.B		258,700		17,323
Chubb Corp.		105,200		10,009
Everest Re Group Ltd.		97,100		17,673
Lincoln National Corp.		251,200		14,876
Marsh & McLennan Cos., Inc.		216,600		12,281
MetLife, Inc.		311,200		17,424
Principal Financial Group, Inc.		172,800		8,863
Progressive Corp.		510,000		14,193
Torchmark Corp.		227,400		13,239
Travelers Cos., Inc.		183,700		17,756
Unum Group		269,900		9,649
Voya Financial, Inc.		361,200		16,785
WR Berkley Corp.		196,300		10,194
				246,527
Real Estate - 1.42%
Simon Property Group, Inc.C		56,600		9,793
SL Green Realty Corp.C		69,000		7,582
Vornado Realty TrustC		86,580		8,219
				25,594
Total Financials				465,650
HEALTH CARE - 16.17%
Health Care Equipment & Supplies - 0.70%
Zimmer Biomet Holdings, Inc.		115,300		12,594
Health Care Providers & Services - 10.66%
Anthem, Inc.		139,410		22,883
Cardinal Health, Inc.		209,100		17,491
Cigna Corp.		249,800		40,468
HCA Holdings, Inc.		409,600		37,159
Humana, Inc.		118,000		22,571
Quest Diagnostics, Inc.		257,100		18,645
Universal Health Services, Inc., Class B		230,000		32,683
				191,900
Pharmaceuticals - 4.81%
Abbott Laboratories		514,200		25,237
Eli Lilly & Co.		259,200		21,641
Johnson & Johnson		258,100		25,154
Pfizer, Inc.		433,020		14,519
				86,551
Total Health Care				291,045

See accompanying notes

17

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
INDUSTRIALS - 11.11%
Aerospace & Defense - 3.78%
General Dynamics Corp.		124,800	$	17,683
Huntington Ingalls Industries, Inc.		113,900		12,824
L-3 Communications Holdings, Inc.		100,900		11,440
Northrop Grumman Corp.		164,900		26,158
				68,105
Air Freight & Couriers - 0.75%
FedEx Corp.		78,800		13,428
Airlines - 2.92%
Alaska Air Group, Inc.		324,400		20,901
Delta Air Lines, Inc.		318,500		13,084
Southwest Airlines Co.		558,900		18,494
				52,479
Commercial Services & Supplies - 2.08%
Equifax, Inc.		71,200		6,913
Graham Holdings Co., Class B		16,352		17,579
Waste Management, Inc.		279,400		12,950
				37,442
Electrical Equipment - 0.73%
Emerson Electric Co.		236,300		13,098
Machinery - 0.85%
Deere & Co.		158,000		15,334
Total Industrials				199,886
INFORMATION TECHNOLOGY - 8.27%
Communications Equipment - 0.99%
Cisco Systems, Inc.		648,600		17,811
Computers & Peripherals - 0.54%
Hewlett-Packard Co.		326,140		9,787
Electronic Equipment & Instruments - 0.73%
The ADT Corp.		389,700		13,082
IT Consulting & Services - 0.66%
Computer Sciences Corp.		181,900		11,940
Semiconductor Equipment & Products - 2.21%
Intel Corp.		343,500		10,448
Micron Technology, Inc.B		540,600		10,185
Skyworks Solutions, Inc.		182,900		19,039
				39,672
Software - 3.14%
Amdocs Ltd.		254,000		13,866
Electronic Arts, Inc.B		212,300		14,118
Microsoft Corp.		321,700		14,203
Navient Corp.		788,100		14,352
				56,539
Total Information Technology				148,831
MATERIALS - 6.23%
Chemicals - 4.47%
Ashland, Inc.		133,500		16,274
Celanese Corp., Series A		365,500		26,271
CF Industries Holdings, Inc.		320,500		20,602
Dow Chemical Co.		337,300		17,260
				80,407
Metals & Mining - 1.76%
Freeport-McMoRan Copper & Gold, Inc.		716,700		13,345

	Shares		Fair Value
			(000’s)
Newmont Mining Corp.		781,500	$	18,256
				31,601
Total Materials				112,008
TELECOMMUNICATION SERVICES - 1.13%
Diversified Telecommunication Services - 1.13%
AT&T, Inc.		571,449		20,298
UTILITIES - 5.22%
Electric - 5.22%
American Electric Power Co., Inc.		158,800		8,412
Entergy Corp.		211,500		14,911
Exelon Corp.		641,500		20,156
PG&E Corp.		224,400		11,018
Pinnacle West Capital Corp.		79,900		4,546
PPL Corp.		501,100		14,767
Public Service Enterprise Group, Inc.		484,400		19,027
Talen Energy Corp.B		62,590		1,074
Total Utilities				93,911
Total Common Stock (Cost $1,634,011)				1,748,906
SHORT-TERM INVESTMENTS - 2.72% (Cost $48,863)
JPMorgan U.S. Government Money Market Fund, Capital Class		48,863,400		48,863
TOTAL INVESTMENTS - 99.92% (Cost $1,682,874)				1,797,769
OTHER ASSETS, NET OF LIABILITIES - 0.08%				1,359
TOTAL NET ASSETS - 100.00%			$	1,799,128

Percentages are stated as a percent of net assets.

^A  Non-voting participating shares.

^B  Non-income producing security.

^C  REIT - Real Estate Investment Trust.

See accompanying notes

18

American Beacon Bridgeway Large Cap Value Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

Futures Contracts Open on June 30, 2015:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index September Futures	Long	294	September 2015	$	30,199,680	$	(498,944	)
				$	30,199,680	$	(498,944	)

See accompanying notes

19

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 96.79%
CONSUMER DISCRETIONARY - 21.48%
Hotels, Restaurants & Leisure - 1.99%
Yum! Brands, Inc.		22,238	$	2,003
Internet & Catalog Retail - 6.87%
Amazon.com, Inc.A		8,014		3,478
priceline.com, Inc.A		2,989		3,441
				6,919
Media - 2.05%
Twenty-First Century Fox, Inc., Class A		63,224		2,058
Specialty Retail - 6.60%
Advance Auto Parts, Inc.		12,450		1,984
GNC Holdings, Inc., Class A		37,570		1,671
Lowe’s Cos., Inc.		29,314		1,963
Restoration Hardware Holdings, Inc.A		10,430		1,018
				6,636
Textiles & Apparel - 3.97%
NIKE, Inc., Class B		18,843		2,036
Under Armour, Inc., Class AA		23,409		1,953
				3,989
Total Consumer Discretionary				21,605
CONSUMER STAPLES - 11.10%
Beverages - 3.40%
Monster Beverage Corp.A		18,764		2,515
PepsiCo, Inc.		9,657		901
				3,416
Food & Drug Retailing - 6.65%
Costco Wholesale Corp.		13,534		1,828
CVS Caremark Corp.		23,829		2,499
Mead Johnson Nutrition Co., Class A		17,256		1,557
Whole Foods Market, Inc.		20,526		810
				6,694
Household Products - 1.05%
Procter & Gamble Co.		13,462		1,053
Total Consumer Staples				11,163
ENERGY - 1.63%
Oil & Gas - 1.63%
Range Resources Corp.		33,185		1,639
FINANCIALS - 3.70%
Diversified Financials - 3.70%
BlackRock, Inc., Class A		3,524		1,219
Greenhill & Co., Inc.		18,538		766
TD Ameritrade Holding Corp.		47,131		1,736
Total Financials				3,721
HEALTH CARE - 14.16%
Biotechnology - 5.83%
Gilead Sciences, Inc.		29,552		3,460
Medivation, Inc.		6,984		798
Quintiles Transnational Holdings, Inc.A		11,191		813
Vertex Pharmaceuticals, Inc.A		6,432		794
				5,865
Health Care Equipment & Supplies - 2.86%
Medtronic PLCB		38,781		2,874

	Shares		Fair Value
			(000’s)
Health Care Providers & Services - 4.00%
Cerner Corp.A		27,661	$	1,910
DaVita HealthCare Partners, Inc.A		26,591		2,113
				4,023
Pharmaceuticals - 1.47%
Bristol-Myers Squibb Co.		22,218		1,478
Total Health Care				14,240
INDUSTRIALS - 11.18%
Aerospace & Defense - 3.24%
Boeing Co.		11,764		1,632
Precision Castparts Corp.		8,145		1,628
				3,260
Airlines - 2.44%
Southwest Airlines Co.		74,035		2,450
Electrical Equipment - 1.87%
Roper Industries, Inc.		10,900		1,880
Industrial Conglomerates - 2.61%
Honeywell International, Inc.		25,718		2,623
Road & Rail - 1.02%
Union Pacific Corp.		10,775		1,028
Total Industrials				11,241
INFORMATION TECHNOLOGY - 32.25%
Communications Equipment - 2.93%
Cisco Systems, Inc.		107,341		2,948
Computers & Peripherals - 6.04%
Apple, Inc.		35,782		4,488
International Business Machines Corp.		9,769		1,589
				6,077
Internet Software & Services - 3.35%
Google, Inc., Class CA		6,475		3,370
IT Consulting & Services - 6.85%
Automatic Data Processing, Inc.		11,223		900
IHS, Inc., Class AA		10,450		1,344
Visa, Inc., Class A		69,156		4,644
				6,888
Semiconductor Equipment & Products - 3.34%
Qualcomm, Inc.		53,648		3,360
Software - 9.74%
Adobe Systems, Inc.A		43,983		3,562
Citrix Systems, Inc.A		49,177		3,450
Intuit, Inc.		14,322		1,443
Microsoft Corp.		30,433		1,344
				9,799
Total Information Technology				32,442
MATERIALS - 1.29%
Chemicals - 1.29%
Ecolab, Inc.		11,444		1,294
Total Common Stock (Cost $70,126)				97,345

See accompanying notes

20

American Beacon Holland Large Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
SHORT-TERM INVESTMENTS - 3.35% (Cost $3,366)
JPMorgan U.S. Government Money Market Fund, Capital Class		3,365,902	$	3,366
TOTAL INVESTMENTS - 100.14% (Cost $73,492)				100,711
LIABILITIES, NET OF OTHER ASSETS - (0.14%)				(145	)
TOTAL NET ASSETS - 100.00%			$	100,566

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  PLC - Public Limited Company.

Futures Contracts Open on June 30, 2015:

Description	Type	Number of Contracts	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
S&P 500 Mini E Index September Futures	Long	30	September 2015	$	3,081,600	$	(46,003	)
				$	3,081,600	$	(46,003	)

See accompanying notes

21

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 99.84%
CONSUMER DISCRETIONARY - 17.08%
Auto Components - 0.84%
Motorcar Parts of America, Inc.A B		187,400	$	5,639
Commercial Services - 1.25%
CEB, Inc.		96,300		8,384
Hotels, Restaurants & Leisure - 5.91%
Buffalo Wild Wings, Inc.B		46,024		7,212
Chuy’s Holdings, Inc.B		144,691		3,876
Krispy Kreme Doughnuts, Inc.B		404,822		7,797
National CineMedia, Inc.A		593,155		9,466
Papa John’s International, Inc.		82,300		6,223
Potbelly Corp.B C		419,100		5,134
				39,708
Internet & Catalog Retail - 0.71%
Homeaway, Inc.B		154,400		4,805
Leisure Equipment & Products - 1.69%
Callaway Golf Co.		701,616		6,273
Sportsman’s Warehouse Holdings, Inc.A B C		446,273		5,074
				11,347
Media - 2.86%
IMAX Corp.B		223,478		8,999
Rentrak Corp.B C		51,700		3,609
Shutterstock, Inc.B C		73,043		4,283
TiVo, Inc.B		227,900		2,311
				19,202
Specialty Retail - 2.81%
Cabela’s, Inc.B		118,500		5,923
Men’s Wearhouse, Inc.		84,000		5,382
Monro Muffler Brake, Inc.		122,440		7,610
				18,915
Textiles & Apparel - 1.01%
Five Below, Inc.B		171,100		6,764
Total Consumer Discretionary				114,764
CONSUMER STAPLES - 3.69%
Food & Drug Retailing - 1.37%
United Natural Foods, Inc.B		144,840		9,223
Food Products - 2.32%
Calavo Growers, Inc.A		116,133		6,031
Inventure Foods, Inc.B		349,866		3,551
TreeHouse Foods, Inc.B		74,400		6,029
				15,611
Total Consumer Staples				24,834
ENERGY - 4.40%
Energy Equipment & Services - 2.50%
Flotek Industries, Inc.B C		296,000		3,709
Forum Energy Technologies, Inc.B		179,000		3,630
PDC Energy, Inc.B		100,700		5,401
RigNet, Inc.B		133,206		4,072
				16,812
Oil & Gas - 1.90%
Carrizo Oil & Gas, Inc.B		108,500		5,343
Rice Energy, Inc.B		270,000		5,624

	Shares		Fair Value
			(000’s)
Whiting Petroleum Corp.B		53,688	$	1,804
				12,771
Total Energy				29,583
FINANCIALS - 10.07%
Banks - 1.44%
East West Bancorp, Inc.		98,800		4,428
SVB Financial GroupB		36,600		5,270
				9,698
Diversified Financials - 6.63%
Cardtronics, Inc.B		190,100		7,043
Demandware, Inc.B		123,500		8,779
Encore Capital Group, Inc.B C		147,932		6,323
Euronet Worldwide, Inc.B		129,600		7,996
PRA Group, Inc.C		117,400		7,315
WisdomTree Investments, Inc.C		325,300		7,145
				44,601
Insurance - 2.00%
Hilltop Holdings, Inc.B		303,600		7,314
WEX, Inc.B		53,500		6,097
				13,411
Total Financials				67,710
HEALTH CARE - 25.82%
Biotechnology - 4.73%
Cepheid, Inc.B		169,800		10,384
MiMedx Group, Inc.B C		475,880		5,515
Myriad Genetics, Inc.B C		131,929		4,484
Neogen Corp.A B		205,450		9,747
Repligen Corp.B		40,879		1,687
				31,817
Health Care Equipment & Supplies - 4.81%
Abaxis, Inc.		110,081		5,667
ABIOMED, Inc.B		54,700		3,595
Bio-Techne Corp.		44,800		4,411
DexCom, Inc.B		28,200		2,255
Medidata Solutions, Inc.B		180,442		9,803
NuVasive, Inc.B		138,980		6,585
				32,316
Health Care Providers & Services - 9.65%
AAC Holdings, Inc.B C		39,900		1,738
Acadia Healthcare Co., Inc.B		152,400		11,937
Advisory Board Co.B		187,425		10,247
HealthEquity, Inc.B		227,272		7,284
IPC Healthcare, Inc.B		122,660		6,794
MAXIMUS, Inc.		74,400		4,890
Omnicell, Inc.B		89,600		3,379
PAREXEL International Corp.B		158,900		10,219
VCA Antech, Inc.B		153,655		8,360
				64,848
Pharmaceuticals - 6.63%
Akorn, Inc.B		225,500		9,845
ICON PLCB D		168,000		11,306
Ligand Pharmaceuticals, Inc.		91,335		9,216
Pacira Pharmaceuticals, Inc.B		91,400		6,464
Proto Labs, Inc.B C		114,940		7,756
				44,587
Total Health Care				173,568

See accompanying notes

22

American Beacon Stephens Small Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
INDUSTRIALS - 10.44%
Aerospace & Defense - 1.23%
Astronics Corp.		116,615	$	8,267
Air Freight & Couriers - 1.42%
Echo Global Logistics, Inc.B C		194,200		6,342
HUB Group, Inc., Class AB		78,600		3,171
				9,513
Building Products - 1.04%
Trex Co., Inc.B		141,100		6,975
Commercial Services & Supplies - 3.58%
CoStar Group, Inc.B		49,401		9,943
HMS Holdings Corp.B		388,669		6,673
WageWorks, Inc.B		186,242		7,533
				24,149
Diversified Manufacturing - 0.69%
Acuity Brands, Inc.		25,700		4,625
Electrical Equipment - 0.67%
Power Solutions International, Inc.B C		83,020		4,485
Industrial Conglomerates - 0.55%
RPX Corp.B		218,900		3,699
Machinery - 0.80%
RBC Bearings, Inc.		75,300		5,404
Trading Companies & Distributors - 0.46%
MSC Industrial Direct Co., Inc., Class A		43,845		3,059
Total Industrials				70,176
INFORMATION TECHNOLOGY - 26.85%
Communications Equipment - 0.47%
CalAmp Corp.B		171,200		3,126
Electronic Equipment & Instruments - 0.78%
Taser International, Inc.B C		157,200		5,236
Internet Software & Services - 5.29%
Athenahealth, Inc.B C		55,602		6,371
Fortinet, Inc.B		164,800		6,811
Global Eagle Entertainment, Inc.B C		363,370		4,731
HealthStream, Inc.A B		222,814		6,778
Proofpoint, Inc.B		170,126		10,832
				35,523
IT Consulting & Services - 1.51%
Tyler Technologies, Inc.		78,284		10,128
Semiconductor Equipment & Products - 5.83%
8x8, Inc.B		623,900		5,590
Cavium, Inc.B		102,400		7,046
Fluidigm Corp.B		83,700		2,026
Integrated Device Technology, Inc.B		175,400		3,806
Microsemi Corp.		223,930		7,826
Power Integrations, Inc.		113,900		5,146
Rudolph Technologies, Inc.A B		267,000		3,207
Semtech Corp.B		229,086		4,547
				39,194
Software - 12.97%
Aspen Technology, Inc.B		159,048		7,245
Cognex Corp.		185,400		8,917

	Shares		Fair Value
			(000’s)
CyberArk Software Ltd.B C		82,000	$	5,151
Envestnet, Inc.B		173,909		7,031
Guidewire Software, Inc.B		140,600		7,442
inContact, Inc.B		472,300		4,662
Manhattan Associates, Inc.B		177,217		10,570
National Instruments Corp.		117,467		3,461
PROS Holdings, Inc.B		261,200		5,514
Qlik Technologies, Inc.B		106,800		3,734
Qualys, Inc.B		159,100		6,420
SPS Commerce, Inc.B		73,718		4,851
Ultimate Software Group, Inc.B		46,700		7,675
VASCO Data Security International, Inc.B C		150,200		4,535
				87,208
Total Information Technology				180,415
MATERIALS - 1.49%
Chemicals - 0.70%
Balchem Corp.		84,266		4,695
Metals & Mining - 0.79%
Mueller Water Products, Inc., Class A		582,900		5,305
Total Materials				10,000
Total Common Stock (Cost $551,780)				671,050
SHORT-TERM INVESTMENTS - 0.82% (Cost $5,509)
JPMorgan U.S. Government Money Market Fund, Capital Class		5,509,352		5,509
SECURITIES LENDING COLLATERAL - 10.37%
DWS Government and Agency Securities Portfolio, Institutional Class		7,895,305		7,895
American Beacon U.S. Government Money Market Select Fund, Select ClassE		61,791,615		61,792
Total Securities Lending Collateral (Cost $69,687)				69,687
TOTAL INVESTMENTS - 111.03% (Cost $626,976)				746,246
LIABILITIES, NET OF OTHER ASSETS - (11.03%)				(74,141	)
TOTAL NET ASSETS - 100.00%			$	672,105

Percentages are stated as a percent of net assets.

^A  Illiquid. At period end, the value of these securities amounted to $45,942 or 6.84% of net assets.

^B  Non-income producing security.

^C  All or a portion of this security is on loan at June 30, 2015.

^D  PLC - Public Limited Company.

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

See accompanying notes

23

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
COMMON STOCK - 97.61%
CONSUMER DISCRETIONARY - 22.50%
Auto Components - 1.63%
LKQ Corp.A		49,650	$	1,501
Mobileye N.V.A		13,350		710
				2,211
Automobiles - 0.82%
Tesla Motors, Inc.A B		4,150		1,113
Hotels, Restaurants & Leisure - 3.26%
Buffalo Wild Wings, Inc.A		9,550		1,496
Chipotle Mexican Grill, Inc.A		2,750		1,664
Papa John’s International, Inc.		16,800		1,270
				4,430
Household Durables - 0.85%
Harman International Industries, Inc.		9,750		1,160
Internet & Catalog Retail - 1.67%
Homeaway, Inc.A		29,250		910
TripAdvisor, Inc.A		15,550		1,355
				2,265
Leisure Equipment & Products - 1.25%
Polaris Industries, Inc.		11,450		1,696
Media - 4.12%
Cinemark Holdings, Inc.		34,650		1,392
IMAX Corp.A		43,162		1,738
Netflix, Inc.A		3,750		2,464
				5,594
Specialty Retail - 7.68%
Cabela’s, Inc.A		31,500		1,574
CarMax, Inc.A		28,450		1,884
Copart, Inc.A		29,400		1,043
Ross Stores, Inc.		42,100		2,047
Tractor Supply Co.		21,350		1,920
Ulta Salon Cosmetics & Fragrance, Inc.		12,700		1,962
				10,430
Textiles & Apparel - 1.22%
Under Armour, Inc., Class AA		19,850		1,656
Total Consumer Discretionary				30,555
CONSUMER STAPLES - 5.02%
Beverages - 3.18%
Brown-Forman Corp., Class B		19,480		1,952
Monster Beverage Corp.A		17,650		2,365
				4,317
Food & Drug Retailing - 1.34%
United Natural Foods, Inc.A		28,600		1,821
Food Products - 0.50%
White Waves Food Co.A		13,950		682
Total Consumer Staples				6,820
ENERGY - 4.98%
Energy Equipment & Services - 2.36%
Core Laboratories N.V.B		10,250		1,169
FMC Technologies, Inc.A		16,380		680
Oceaneering International, Inc.		18,550		864
RPC, Inc.B		35,800		495
				3,208

	Shares		Fair Value
			(000’s)
Oil & Gas - 2.62%
Pioneer Natural Resources Co.		7,550	$	1,047
Range Resources Corp.		23,600		1,165
Southwestern Energy Co.A		43,510		989
Whiting Petroleum Corp.A		10,700		360
				3,561
Total Energy				6,769
FINANCIALS - 7.58%
Banks - 2.90%
East West Bancorp, Inc.		39,300		1,762
SVB Financial GroupA		15,100		2,174
				3,936
Diversified Financials - 3.53%
Affiliated Managers Group, Inc.A		6,180		1,351
PRA Group, Inc.		25,400		1,582
Towers Watson & Co., Class A		7,750		975
WisdomTree Investments, Inc.		40,200		883
				4,791
Insurance - 1.15%
WEX, Inc.A		13,700		1,561
Total Financials				10,288
HEALTH CARE - 19.18%
Biotechnology - 2.89%
Alexion Pharmaceuticals, Inc.A		4,950		895
Cepheid, Inc.A		31,300		1,914
QIAGEN N.V.A		44,850		1,112
				3,921
Health Care Equipment & Supplies - 8.13%
DexCom, Inc.A		5,550		444
Hologic, Inc.A		37,850		1,441
Idexx Laboratories, Inc.A		22,100		1,417
Illumina, Inc.A		12,800		2,795
Medidata Solutions, Inc.A		26,149		1,420
ResMed, Inc.		25,350		1,429
Sirona Dental Systems, Inc.		10,800		1,085
Varian Medical Systems, Inc.A		12,100		1,020
				11,051
Health Care Providers & Services - 5.93%
Acadia Healthcare Co., Inc.A		14,500		1,136
Cerner Corp.A		33,730		2,329
Henry Schein, Inc.A		10,795		1,534
PAREXEL International Corp.A		21,350		1,373
VCA Antech, Inc.A		30,930		1,683
				8,055
Pharmaceuticals - 2.23%
Akorn, Inc.A		26,750		1,168
ICON PLCA C		11,850		797
Pacira Pharmaceuticals, Inc.A		15,000		1,061
				3,026
Total Health Care				26,053
INDUSTRIALS - 11.26%
Aerospace & Defense - 0.82%
B/E Aerospace, Inc.		20,200		1,109
Commercial Services & Supplies - 5.48%
CoStar Group, Inc.A		10,370		2,086
HMS Holdings Corp.A		75,712		1,300
Stericycle, Inc.A		15,500		2,076

See accompanying notes

24

American Beacon Stephens Mid-Cap Growth Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Shares		Fair Value
			(000’s)
Verisk Analytics, Inc.A		27,250	$	1,983
				7,445
Diversified Manufacturing - 1.19%
Acuity Brands, Inc.		9,000		1,620
Electrical Equipment - 1.57%
IPG Photonics Corp.		9,650		822
Roper Industries, Inc.		4,650		802
Sensata Technologies Holding N.V.A		9,550		504
				2,128
Road & Rail - 0.76%
J.B. Hunt Transport Services, Inc.		12,500		1,026
Trading Companies & Distributors - 1.44%
Fastenal Co.		24,460		1,032
MSC Industrial Direct Co., Inc., Class A		13,330		930
				1,962
Total Industrials				15,290
INFORMATION TECHNOLOGY - 26.07%
Communications Equipment - 1.43%
Palo Alto Networks, Inc.A		11,150		1,948
Electronic Equipment & Instruments - 1.09%
FLIR Systems, Inc.		48,200		1,486
Internet Software & Services - 6.21%
Akamai Technologies, Inc.A		13,000		908
Athenahealth, Inc.A B		12,527		1,435
Fortinet, Inc.A		64,550		2,667
LinkedIn Corp., Class AA		3,450		713
MercadoLibre, Inc.		14,550		2,062
Twitter, Inc.A		17,850		647
				8,432
IT Consulting & Services - 1.65%
Alliance Data Systems Corp.A		4,350		1,270
IHS, Inc., Class AA		7,500		965
				2,235
Semiconductor Equipment & Products - 4.20%
Cree, Inc.A B		16,700		435
FEI Co.		15,237		1,263
Lam Research Corp.		12,668		1,031
Microchip Technology, Inc.		30,930		1,466
NXP Semiconductors N.V.A		8,450		830
Xilinx, Inc.		15,350		678
				5,703
Software - 11.49%
Ansys, Inc.A		7,150		652
Aspen Technology, Inc.A		30,900		1,407
Autodesk, Inc.A		18,400		921
Cadence Design Systems, Inc.A		75,850		1,491
Check Point Software Technologies Ltd.A		16,350		1,301
Cognex Corp.		28,750		1,383
FireEye, Inc.A		27,569		1,348
Inovalon Holdings, Inc., Class AA		16,700		466
National Instruments Corp.		30,655		903
Red Hat, Inc.A		14,840		1,127
Salesforce.com, Inc.A		10,470		729
Splunk, Inc.A		13,600		947
Tableau Software, Inc., Class AA		13,050		1,505

	Shares		Fair Value
			(000’s)
Ultimate Software Group, Inc.A		8,650	$	1,422
				15,602
Total Information Technology				35,406
MATERIALS - 1.01%
Chemicals - 1.01%
Airgas, Inc.		12,900		1,365
Total Common Stock (Cost $103,074)				132,546
SHORT-TERM INVESTMENTS - 1.86% (Cost $2,532)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,532,006		2,532
SECURITIES LENDING COLLATERAL - 3.42%
American Beacon U.S. Government Money Market Select Fund, Select ClassD		3,484,563		3,484
DWS Government and Agency Securities Portfolio, Institutional Class		1,164,768		1,165
Total Securities Lending Collateral (Cost $4,649)				4,649
TOTAL INVESTMENTS - 102.89% (Cost $110,255)				139,727
LIABILITIES, NET OF OTHER ASSETS - (2.89%)				(3,920	)
TOTAL NET ASSETS - 100.00%			$	135,807

Percentages are stated as a percent of net assets.

^A  Non-income producing security.

^B  All or a portion of this security is on loan at June 30, 2015.

^C  PLC - Public Limited Company.

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

See accompanying notes

25

American Beacon Funds^SM

Statements of Assets and Liabilities

June 30, 2015 (Unaudited) (in thousands, except share and per share amounts)

	Bahl & Gaynor Small Cap Growth Fund			Bridgeway Large Cap Value Fund			Holland Large Cap Growth Fund			Stephens Small Cap Growth Fund			Stephens Mid-Cap Growth Fund
Assets:
Investments in unaffiliated securities, at fair valueA C	$	6,733		$	1,797,769		$	100,711		$	684,454		$	136,243
Investments in affiliated securities, at fair valueB		—			—			—			61,792			3,484
Deposit with brokers for futures contracts		10			1,624			138			—			—
Dividends and interest receivable		6			1,709			40			—			17
Receivable for investments sold		—			15,209			427			—			1,059
Receivable for fund shares sold		10			7,920			50			457			427
Receivable for tax reclaims		—			—			—			1			—
Receivable for expense reimbursement (Note 2)		10			—			—			—			—
Receivable for variation margin on open futures contracts		1			78			6			—			—
Prepaid expenses		42			102			35			41			33
Total assets		6,812			1,824,411			101,407			746,745			141,263
Liabilities:
Payable for investments purchased		92			22,346			473			1,760			606
Payable for fund shares redeemed		—			1,417			260			2,503			51
Payable under excess expense reimbursement plan		—			94			—			1			4
Payable upon return of securities loaned		—			—			—			69,687			4,649
Management and investment advisory fees payable		3			540			37			373			60
Administrative service and service fees payable		2			791			43			214			45
Transfer agent fees payable		6			22			2			27			7
Custody and fund accounting fees payable		—			11			—			8			2
Professional fees payable		23			21			17			28			18
Trustee fees payable		—			11			1			8			2
Payable for prospectus and shareholder reports		3			29			3			26			8
Other liabilities		1			1			5			5			4
Total liabilities		130			25,283			841			74,640			5,456
Net Assets	$	6,682		$	1,799,128		$	100,566		$	672,105		$	135,807
Analysis of Net Assets:
Paid-in-capital		6,328			1,648,453			66,219			554,158			103,201
Undistributed (or overdistribution of) net investment income		25			11,117			12			—			—
Accumulated net realized gain (loss)		(1	)		25,162			7,162			(1,323	)		3,134
Unrealized appreciation of investments		331			114,895			27,219			119,270			29,472
Unrealized (depreciation) of futures contracts		(1	)		(499	)		(46	)		—			—
Net assets	$	6,682		$	1,799,128		$	100,566		$	672,105		$	135,807
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		313,785			20,556,113			698,164			20,359,580			4,715,201
Y Class		188,346			9,876,075			2,328			10,032,055			134,661
Investor Class		46,457			35,365,013			3,001,324			7,889,534			986,120
A Class		39,589			5,725,675			40,698			551,859			903,471
C Class		22,873			2,648,210			27,242			175,107			124,564
Net assets (not in thousands):
Institutional Class	$	3,434,946		$	501,147,272		$	18,842,163		$	355,293,676		$	96,756,699
Y Class	$	2,060,654		$	240,355,462		$	62,545		$	174,680,436		$	2,758,000
Investor Class	$	506,675		$	856,972,097		$	79,886,775		$	130,281,665		$	17,814,126
A Class	$	431,623		$	138,071,098		$	1,075,174		$	9,051,929		$	16,289,555
C Class	$	247,622		$	62,582,490		$	699,130		$	2,796,814		$	2,188,323
Net asset value, offering and redemption price per share:
Institutional Class	$	10.95		$	24.38		$	26.99		$	17.45		$	20.52
Y Class	$	10.94		$	24.34		$	26.86		$	17.41		$	20.48
Investor Class	$	10.91		$	24.23		$	26.62		$	16.51		$	18.06
A Class	$	10.90		$	24.11		$	26.42		$	16.40		$	18.03
A Class (offering price)	$	11.56		$	25.58		$	28.03		$	17.40		$	19.13
C Class	$	10.83		$	23.63		$	25.66		$	15.97		$	17.57

See accompanying notes

26

American Beacon Funds^SM

Statements of Assets and Liabilities

June 30. 2015 (Unaudited) (in thousands, except share and per share amounts)

	Bahl & Gaynor Small Cap Growth Fund		Bridgeway Large Cap Value Fund		Holland Large Cap Growth Fund		Stephens Small Cap Growth Fund		Stephens Mid-Cap Growth Fund
A Cost of investments in unaffiliated securities	$	6,402	$	1,682,874	$	73,492	$	565,184	$	106,771
B Cost of investments in affiliated securities	$	—	$	—	$	—	$	61,792	$	3,484
C Fair value of securities on loan	$	—	$	—	$	—	$	68,151	$	4,551

See accompanying notes

27

American Beacon Funds^SM

Statements of Operations

For the Six Months Ended June 30, 2015 (Unaudited) (in thousands)

	Bahl & Gaynor Small Cap Growth Fund			Bridgeway Large Cap Value Fund			Holland Large Cap Growth Fund			Stephens Small Cap Growth Fund			Stephens Mid-Cap Growth Fund
Investment Income:
Dividend income from unaffiliated securities (net of foreign taxes)A	$	43		$	18,885		$	613		$	748		$	273
Income derived from securities lending		—			—			—			513			37
Total investment income		43			18,885			613			1,261			310
Expenses:
Management and investment advisory fees (Note 2)		15			2,817			226			2,324			359
Administrative service fees (Note 2):
Institutional Class		5			597			28			538			140
Y Class		2			275			—			258			4
Investor Class		1			1,152			121			209			28
A Class		—			178			2			13			24
C Class		—			74			1			4			3
Transfer agent fees:
Institutional Class		1			86			1			79			29
Y Class		1			4			—			22			—
Investor Class		1			13			4			5			1
A Class		1			6			—			—			1
C Class		1			3			—			—			—
Custody and fund accounting fees		5			61			7			30			8
Professional fees		19			25			17			24			16
Registration fees and expenses		48			93			32			43			35
Service fees (Note 2):
Y Class		1			92			—			86			1
Investor Class		—			1,449			146			249			33
A Class		—			89			1			7			12
C Class		—			37			1			2			1
Distribution fees (Note 2):
A Class		—			149			1			11			20
C Class		1			245			3			14			10
Prospectus and shareholder report expenses		1			53			3			26			5
Trustee fees		—			31			2			17			3
Other expenses		4			19			5			15			4
Total expenses		107			7,548			601			3,976			737
Net fees waived and expenses reimbursed/recouped by Manager (Note 2)		(78	)		182			—			(5	)		—
Net expenses		29			7,730			601			3,971			737
Net investment income		14			11,155			12			(2,710	)		(427	)
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Investments		(2	)		21,876			5,710			893			2,329
Commission recapture (Note 3)		—			—			1			—			—
Futures contracts		5			587			82			—			—
Change in net unrealized appreciation or (depreciation) of:
Investments		103			(6,427	)		(1,619	)		37,385			6,485
Futures contracts		(5	)		(330	)		(81	)		—			—
Net gain from investments		101			15,706			4,093			38,278			8,814
Net increase in net assets resulting from operations	$	115		$	26,861		$	4,105		$	35,568		$	8,387
A Foreign taxes		—			—			—			—			2

See accompanying notes

28

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	Bahl & Gaynor Small Cap Growth Fund						Bridgeway Large Cap Value Fund
	Six Months Ended June 30, 2015			From July 15 to Dec. 31, 2014			Six Months Ended June 30, 2015			Year Ended Dec. 31, 2014
	(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	14		$	7		$	11,155		$	6,232
Net realized gain from investments, commission recapture, and futures contracts		3			6			22,463			15,953
Change in net unrealized appreciation or (depreciation) from investments and futures contracts		98			232			(6,757	)		82,822
Net increase in net assets resulting from operations		115			245			26,861			105,007
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(5	)		—			(2,129	)
Y Class		—			(1	)		—			(792	)
Investor Class		—			—			—			(2,728	)
A Class		—			—			—			(488	)
C Class		—			—			—			(93	)
Net realized gain from investments:
Institutional Class		—			—			—			(4,669	)
Y Class		—			—			—			(1,747	)
Investor Class		—			—			—			(10,006	)
A Class		—			—			—			(1,551	)
C Class		—			—			—			(496	)
Net distributions to shareholders		—			(6	)		—			(24,699	)
Capital Share Transactions:
Proceeds from sales of shares		2,644			791			798,590			895,125
Reinvestment of dividends and distributions		—			6			1			24,214
Cost of shares redeemed		(113	)		—			(265,059	)		(168,475	)
Net increase in net assets from capital share transactions		2,531			797			533,532			750,864
Net increase in net assets		2,646			1,036			560,393			831,172
Net Assets:
Beginning of period		4,036			3,000			1,238,735			407,563
End of Period*	$	6,682		$	4,036		$	1,799,128		$	1,238,735
* Includes undistributed (or overdistribution of) net investment income	$	25		$	1		$	11,117		$	—

See accompanying notes

29

American Beacon Funds^SM

Statements of Changes in Net Assets (in thousands)

	Holland Large Cap Growth Fund						Stephens Small Cap Growth Fund						Stephens Mid-Cap Growth Fund
	Six Months Ended June 30, 2015			Year Ended Dec. 31, 2014			Six Months Ended June 30, 2015			Year Ended Dec. 31, 2014			Six Months Ended June 30, 2015			Year Ended Dec. 31, 2014
	(unaudited)						(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	12		$	(134	)	$	(2,710	)	$	(4,912	)	$	(427	)	$	(790	)
Net realized gain from investments, commission recapture, and futures contracts		5,793			10,306			893			31,911			2,329			8,718
Change in net unrealized appreciation or (depreciation) from investments and futures contracts		(1,700	)		(3,617	)		37,385			(54,645	)		6,485			(4,843	)
Net increase (decrease) in net assets resulting from operations		4,105			6,555			35,568			(27,646	)		8,387			3,085
Distributions to Shareholders:
Net realized gain from investments:
Institutional Class		—			(1,687	)		—			(14,779	)		—			(5,108	)
Y Class		—			(7	)		—			(7,036	)		—			(185	)
Investor Class		—			(7,647	)		—			(6,460	)		—			(1,310	)
A Class		—			(97	)		—			(420	)		—			(1,127	)
C Class		—			(59	)		—			(122	)		—			(130	)
Net distributions to shareholders		—			(9,497	)		—			(28,817	)		—			(7,860	)
Capital Share Transactions:
Proceeds from sales of shares		2,336			12,416			51,235			226,308			14,094			54,295
Reinvestment of dividends and distributions		—			9,472			—			28,166			—			7,117
Cost of shares redeemed		(6,810	)		(13,539	)		(106,258	)		(215,176	)		(15,363	)		(44,790	)
Net increase (decrease) in net assets from capital share transactions		(4,474	)		8,349			(55,023	)		39,298			(1,269	)		16,622
Net increase (decrease) in net assets		(369	)		5,407			(19,455	)		(17,165	)		7,118			11,847
Net Assets:
Beginning of period		100,935			95,528			691,560			708,725			128,689			116,842
End of Period*	$	100,566		$	100,935		$	672,105		$	691,560		$	135,807		$	128,689
* Includes undistributed (or overdistribution of) net investment income	$	12		$	—		$	—		$	—		$	—		$	—

See accompanying notes

30

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”), 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. As of June 30, 2015, the Trust consists of thirty-one active series, five of which are presented in this filing (collectively, the “Funds” and each individually a “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. The remaining twenty-six active series are reported in separate filings.

Effective April 30, 2015, American Beacon Advisors, Inc. (the “Manager”) became a wholly-owned subsidiary of Astro AB Borrower, Inc., which is indirectly owned by investment funds affiliated with Kelso & Company, L.P. and Estancia Capital Management, LLC, two prominent private equity firms. Prior to April 30, the Manager was a wholly-owned subsidiary of Lighthouse Holdings, Inc., which was indirectly owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, L.P., two leading private equity firms.

Class Disclosure

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.

Recently Adopted 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 Funds adopted this ASU for the fiscal year ended December 31, 2015. Management has evaluated the implications of the ASU and determined that adoption thereof will not have a material impact on the financial statements.

31

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

2. Transactions with Affiliates

Management Agreement

The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory, fund management, and securities lending services. As compensation for performing the duties required under the Management Agreement, the Manager receives from the Funds an annualized fee equal to 0.05% of the average daily net assets plus amounts paid by the Manager to the unaffiliated investment advisors hired by the Manager to direct investment activities of the Funds. Management fees paid by the Funds during the six months ended June 30, 2015 were as follows (in thousands):

Fund	Management Fee Rate			Management Fee		Amounts paid to Investment Advisors		Net Amounts Retained by Manager
Bahl & Gaynor Small Cap Growth		0.55	%	$	15	$	14	$	1
Bridgeway Large Cap Value		0.37	%		2,817		2,438		379
Holland Large Cap Growth		0.45	%		226		201		25
Stephens Small Cap Growth		0.68	%		2,324		2,097		227
Stephens Mid-Cap Growth		0.54	%		359		322		37

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 six months ended June 30, 2015, securities lending fees paid to the Manager were $53,106 and $2,947 for the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds, respectively.

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 0.30% of the average daily net assets of the Institutional, Y, Investor, A, and C Classes of the Funds.

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.

32

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 Funds.

Investment in Affiliated Funds

The Funds may invest in the American Beacon Money Market Select Fund (the “MM Select Fund”) or the American Beacon 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 Administrative Service fees totaling 0.10% of the average daily net assets of the Select Funds. During the six months ended June 30, 2015, the Manager earned $20,703 and $2,267 from the Stephens Small Cap Growth and Stephens Mid-Cap Growth Funds’ securities lending collateral invested in the Select Funds, respectively.

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 six months ended June 30, 2015, the Stephens Small Cap Growth Fund borrowed on average $2,316,814 for 6 days at an average rate of 0.73% with interest charges of $279. This amount is 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 six months ended June 30, 2015, the Manager waived or reimbursed expenses as follows:

Fund	Class	Expense Cap			Reimbursed or (Recovered) Expenses			Expiration
Bahl & Gaynor Small Cap Growth	Institutional		0.98	%	$	46,977		2018
Bahl & Gaynor Small Cap Growth	Y		1.08	%		17,168		2018
Bahl & Gaynor Small Cap Growth	Investor		1.36	%		5,983		2018
Bahl & Gaynor Small Cap Growth	A		1.38	%		4,149		2018
Bahl & Gaynor Small Cap Growth	C		2.13	%		3,369		2018
Bridgeway Large Cap Value	Institutional		N/A			(182,101	)	2018
Holland Large Cap Growth	Institutional		N/A			(469	)	2018
Holland Large Cap Growth	Y		0.99	%		16		2018
Holland Large Cap Growth	A		1.29	%		16		2018
Holland Large Cap Growth	C		2.04	%		26		2018
Stephens Small Cap Growth	Institutional		N/A			(284	)	2018
Stephens Small Cap Growth	Investor		N/A			9,358		2018
Stephens Small Cap Growth	A		N/A			(2,983	)	2018
Stephens Small Cap Growth	C		N/A			(853	)	2018
Stephens Mid-Cap Growth	Institutional		0.99	%		7,992		2018
Stephens Mid-Cap Growth	Y		N/A			(405	)	2018
Stephens Mid-Cap Growth	Investor		N/A			(4,549	)	2018
Stephens Mid-Cap Growth	A		1.39	%		(2,530	)	2018
Stephens Mid-Cap Growth	C		2.14	%		(229	)	2018

Of these amounts, $94,281, $1,468, and $3,850 was payable to the Manager at June 30, 2015 for the Bridgeway Large Cap Value, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively.

33

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

$10,262 and $26 was receivable from the Manager at June 30, 2015 for the Bahl & Gaynor Small Cap Growth and Holland Large 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 reimbursements 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
Bahl & Gaynor Small Cap Growth	$	—	$	132,904	2017
Bridgeway Large Cap Value		108,637		—	2015
Bridgeway Large Cap Value		73,464		2,766	2016
Holland Large Cap Growth		469		6,532	2015
Holland Large Cap Growth		—		104	2016
Holland Large Cap Growth		—		156	2017
Stephens Small Cap Growth		3,836		5,675	2015
Stephens Small Cap Growth		284		55,746	2016
Stephens Mid-Cap Growth		7,713		82,524	2015
Stephens Mid-Cap Growth		—		60,289	2016
Stephens Mid-Cap Growth		—		38,647	2017

The Manager recovered expenses from various classes of the Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds during the six months ended June 30, 2015 as follows:

Fund	Class	Recovered Expense		Expiration
Bridgeway Large Cap Value	Institutional	$	108,637	2015
Bridgeway Large Cap Value	Institutional		73,464	2016
Holland Large Cap Growth	Institutional		469	2015
Stephens Small Cap Growth	Institutional		284	2016
Stephens Small Cap Growth	A		2,983	2015
Stephens Small Cap Growth	C		853	2015
Stephens Mid-Cap Growth	Y		405	2015
Stephens Mid-Cap Growth	Investor		4,549	2015
Stephens Mid-Cap Growth	A		2,530	2015
Stephens Mid-Cap Growth	C		229	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 six months ended June 30, 2015, Foreside collected $292, $68,410, $2,395, and $1,996 for Bahl & Gaynor Small Cap Growth, Bridgeway Large Cap Value, Stephens Small Cap Growth, and Stephens Mid-Cap Growth Funds, respectively, 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 six months ended June 30, 2015, CDSC fees of $1,000 and $96 were collected for the Bridgeway Large Cap Value and Stephens Small Cap Growth Funds, respectively.

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 six months ended June 30, 2015, CDSC fees of $6,506 and $927 were collected for the Bridgeway Large Cap Value and Stephens Mid-Cap Growth Funds, respectively.

34

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

3. Security Valuation and Fair Value Measurements

Investments are valued at the close of the New York Stock Exchange (the “Exchange”), normally 4 p.m. ET, each day that the Exchange is open for business. Equity securities, including exchange-traded funds (“ETFs”), for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade.

Investments in open-end mutual funds are valued at the closing net asset value (“NAV”) per share of the mutual fund on the day of valuation.

Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Trust’s Board of Trustees (the “Board”).

Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized, but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.

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 Manager’s Valuation Committee, pursuant to procedures 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.
Level 2	-	Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others.
Level 3	-	Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Level 1 and Level 2 trading assets and trading liabilities, at fair value

Common stocks and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are generally 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.

35

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 six months ended June 30, 2015, there were no transfers between levels. As of June 30, 2015, the investments were classified as described below (in thousands):

Bahl & Gaynor Small Cap Growth Fund*	Level 1			Level 2		Level 3		Total
Common Stock	$	6,470		$	—	$	—	$	6,470
Short-Term Investments – Money Market Funds		263			—		—		263
Total Investments in Securities	$	6,733		$	—	$	—	$	6,733
Financial Derivative Instruments
Futures Contracts(1)	$	—		$	—	$	—	$	—
Bridgeway Large Cap Value Fund*	Level 1			Level 2		Level 3		Total
Common Stock	$	1,748,906		$	—	$	—	$	1,748,906
Short-Term Investments – Money Market Funds		48,863			—		—		48,863
Total Investments in Securities	$	1,797,769		$	—	$	—	$	1,797,769
Financial Derivative Instruments
Futures Contracts	$	(499	)	$	—	$	—	$	(499	)
Holland Large Cap Growth Fund*	Level 1			Level 2		Level 3		Total
Common Stock	$	97,345		$	—	$	—	$	97,345
Short-Term Investments – Money Market Funds		3,366			—		—		3,366
Total Investments in Securities	$	100,711		$	—	$	—	$	100,711
Financial Derivative Instruments
Futures Contracts	$	(46	)	$	—	$	—	$	(46	)
Stephens Small Cap Growth Fund*	Level 1			Level 2		Level 3		Total
Common Stock	$	671,050		$	—	$	—	$	671,050
Short-Term Investments – Money Market Funds		5,509			—		—		5,509
Securities Lending Collateral invested in Money Market Funds		69,687			—		—		69,687
Total Investments in Securities	$	746,246		$	—	$	—	$	746,246
Stephens Mid-Cap Growth Fund*	Level 1			Level 2		Level 3		Total
Common Stock	$	132,546		$	—	$	—	$	132,546
Short-Term Investments – Money Market Funds		2,532			—		—		2,532
Securities Lending Collateral invested in Money Market Funds		4,649			—		—		4,649
Total Investments in Securities	$	139,727		$	—	$	—	$	139,727

* Refer to the Schedule of Investments for industry information.

⁽¹⁾  Amount is between $(500) and $500.

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

36

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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.

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.

37

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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-characterize distributions received from REIT investments based on information provided by the REITs into the following categories: ordinary income, long-term capital gains, and return of capital. If information is not available on a timely basis from the REITs, the re-characterization will be estimated based on available information which may include the previous year allocation. If new or additional information becomes available from the REITs at a later date, a re-characterization will be made the following year. These re-characterizations are not recorded for financial statement purposes, but as an adjustment to the calculation of taxable income.

Other Investment Company Securities and Other Exchange Traded Products

The Funds may invest in shares of other investment companies, including open-end funds, closed-end funds, business development companies, ETFs, unit investment trusts, and other investment companies of the Trust. The Funds may invest in investment company securities advised by the Manager or a sub-advisor. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear a Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. These other fees and expenses are reflected as Acquired Fund Fees and Expenses and are included in the Fees and Expenses Table for the Fund in its Prospectus, if applicable. Investments in other investment companies may involve the payment of substantial premiums above the value of such issuer’s portfolio securities.

5. Financial Derivative Instruments

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.

During the six months ended June 30, 2015, the Funds entered into future contracts primarily for exposing cash to markets.

38

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 the average number of contracts outstanding as of the end of each of the six months through June 30, 2015.

For the Quarter Ended	Average Futures Contracts Outstanding
Bahl & Gaynor Small Cap Growth		1
Bridgeway Large Cap Value		184
Holland Large Cap Growth		26

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

Fair Values of financial derivative instruments not accounted for as hedging instruments as of June 30, 2015:

Statements of Assets and Liabilities	Derivative	Bahl & Gaynor Small Cap Growth		Bridgeway Large Cap Value		Holland Large Cap Growth
Receivable for variation margin from open futures contracts	Equity Contracts	$	1	$	78	$	6

The effect of financial derivative instruments not accounted for as hedging instruments during the six months ended June 30, 2015:

Statements of Operations
Net realized gain from futures contracts	Equity Contracts	$	5		$	587		$	82
Change in net unrealized (depreciation) of futures contracts	Equity Contracts		(5	)		(330	)		(81	)

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

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

39

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 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.

40

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Offsetting Assets and Liabilities

The Funds are parties to enforceable master netting agreements between brokers and counterparties such as International Swaps and Derivatives Association (“ISDA”) agreements, 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 that would be due from or to the counterparty in the event of default. Exposure from borrowings and other financing 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, June 30, 2015 (in thousands).

Bahl & Gaynor Small Cap Growth Fund

Offsetting of Financial Assets and Derivative Assets as of June 30, 2015:

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Futures Contracts	$	1	$	—	$	1

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2015:

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

Bridgeway Large Cap Value Fund

Offsetting of Financial Assets and Derivative Assets as of June 30, 2015:

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Futures Contracts	$	78	$	—	$	78

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2015:

	Net amount of Assets Presented in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs & Co.	$	78	$	—	$	—	$	78

Holland Large Cap Growth Fund

Offsetting of Financial Assets and Derivative Assets as of June 30, 2015:

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Futures Contracts	$	6	$	—	$	6

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2015:

	Net amount of Assets Presented in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
Goldman Sachs & Co.	$	6	$	—	$	—	$	6

41

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Stephens Small Cap Growth Fund

Offsetting of Financial Assets and Derivative Assets as of June 30, 2015:

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Securities on Loan	$	68,151	$	—	$	68,151

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2015:

	Net amount of Assets Presented in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received1			Net Amount
Barclays Capital, Inc.	$	5,057	$	—	$	(5,057	)	$	—
BNP Paribas Prime Brokerage		5,210		—		(5,210	)		—
Citigroup Global Markets, Inc.		3,408		—		(3,408	)		—
Credit Suisse Securities LLC		5,113		—		(5,113	)		—
Goldman, Sachs & Co.		8,298		—		(8,298	)		—
ING Financial Markets, LLC		910		—		(910	)		—
JPMorgan Clearing Corp.		2,201		—		(2,201	)		—
MS Securities Services Inc.		12,457		—		(12,457	)		—
National Financial Services Corp (NFS)		14,516		—		(14,516	)		—
Scotia Capital USA Inc.		3,590		—		(3,590	)		—
UBS Securities LLC		7,391		—		(7,391	)		—
Total:	$	68,151	$	—	$	(68,151	)	$	—

¹  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $68,687 has been received in connection with securities lending transactions.

Stephens Mid-Cap Growth Fund

Offsetting of Financial Assets and Derivative Assets as of June 30, 2015:

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Securities on Loan	$	4,551	$	—	$	4,551

Financial Assets, Derivative Assets, and Collateral Pledged by Counterparty as of June 30, 2015:

	Net amount of Assets Presented in the Statement of Assets and Liabilities		Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty			Financial Instruments		Cash Collateral Received1			Net Amount
Barclays Capital, Inc.	$	1,503	$	—	$	(1,503	)	$	—
Citigroup Global Markets, Inc.		1,414		—		(1,414	)		—
Goldman, Sachs & Co.		1,634		—		(1,634	)		—
Total:	$	4,551	$	—	$	(4,551	)	$	—

¹  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. Collateral with a value of $4,649 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.

42

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Dividends are categorized in accordance with income tax regulations which may treat certain transactions differently than U.S. GAAP. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements.

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

	Bahl & Gaynor Small Cap Growth				Bridgeway Large Cap Value				Holland Large Cap Growth
	Six months ended June 30, 2015		Year Ended December 31, 2014		Six months ended June 30, 2015		Year Ended December 31, 2014		Six months ended June 30, 2015		Year Ended December 31, 2014
	(unaudited)				(unaudited)				(unaudited)
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	5	$	—	$	4,256	$	—	$	4
Y Class		—		1		—		1,588		—		—
Investor Class		—		—		—		7,289		—		18
A Class		—		—		—		1,195		—		1
C Class		—		—		—		319		—		—
Long-Term Capital Gain
Institutional Class		—		—		—		2,542		—		1,683
Y Class		—		—		—		951		—		7
Investor Class		—		—		—		5,445		—		7,629
A Class		—		—		—		844		—		96
C Class		—		—		—		270		—		59
Total distributions paid	$	—	$	6	$	—	$	24,699	$	—	$	9,497

	Stephens Small Cap Growth				Stephens Mid-Cap Growth
	Six months ended June 30, 2015		Year Ended December 31, 2014		Six months ended June 30, 2015		Year Ended December 31, 2014
	(unaudited)				(unaudited)
Distributions paid from:
Ordinary income*
Institutional Class	$	—	$	—	$	—	$	—
Y Class		—		—		—		—
Investor Class		—		—		—		—
A Class		—		—		—		—
C Class		—		—		—		—
Long-Term Capital Gain
Institutional Class		—		14,779		—		5,108
Y Class		—		7,036		—		185
Investor Class		—		6,460		—		1,310
A Class		—		420		—		1,127
C Class		—		122		—		130
Total distributions paid	$	—	$	28,817	$	—	$	7,860

* For tax purposes, short-term capital gains are considered ordinary income distributions.

As of June 30, 2015 the components of distributable earnings or (deficits) on a tax basis were as follows (in thousands):

	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	$	6,404		$	1,682,874		$	73,608		$	558,683		$	105,798
Unrealized appreciation		598			165,037			28,539			142,236			33,398
Unrealized depreciation		(269	)		(50,142	)		(1,437	)		(24,360	)		(4,119	)
Net unrealized appreciation or (depreciation)		329			114,895			27,102			117,876			29,279
Undistributed ordinary income		25			12,070			303			—			—
Accumulated long-term gain or (loss)		—			23,711			6,942			71			3,327
Other temporary differences		—			(1	)		—			—			—
Distributable earnings or (deficits)	$	354		$	150,675		$	34,347		$	117,947		$	32,606

43

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The temporary differences between financial reporting and tax-basis reporting of unrealized appreciation or (depreciation) are attributable primarily to the tax deferral of losses from wash sales and the realization for tax purposes of unrealized gains or (losses) on certain derivative instruments.

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

Accordingly, the following amounts represent current year permanent differences derived from the 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 dividends that have been reclassed as of June 30, 2015 (in thousands):

	Bahl & Gaynor Small Cap Growth			Bridgeway Large Cap Value			Holland Large Cap Growth		Stephens Small Cap Growth			Stephens Mid-Cap Growth
Paid-in-capital	$	—		$	(1	)	$	—	$	(2,710	)	$	(427	)
Undistributed net investment income		10			(38	)		—		2,710			427
Accumulated net realized gain (loss)		(10	)		39			—		—			—
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 six month period ending June 30, 2015 the Funds do not have any capital loss carryforwards.

8. Investment Transactions

The aggregate cost of purchases and proceeds from sales of investments, other than short-term obligations, for the six months ended June 30, 2015 were as follows (in thousands):

	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)	$	3,337	$	777,257	$	14,393	$	76,796	$	11,073
Sales and maturities (excluding U.S. government securities)		761		251,961		18,154		135,765		10,962

A summary of the Funds’ security lending collateral transactions in the Select Funds for the six months ended June 30, 2015 is set forth below (in thousands):

Fund	Affiliate		December 31, 2014 Shares/Fair Value		Purchases		Sales		June 30, 2015 Shares/Fair Value		Dividend Income
Stephens Small Cap Growth		USG Select Fund	$	43,153	$	151,272	$	132,633	$	61,792	$	2
Stephens Mid-Cap Growth		USG Select Fund		5,242		28,864		30,621		3,485		—

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

44

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 Funds, the Agent, and the Manager retain 80%, 10%, and 10%, respectively, of the income generated from securities lending.

While securities are on loan, the Funds continue 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 Funds would be subject to on the dividend.

Securities lending transactions pose certain risks to the Funds, 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 Funds could also experience delays and costs in gaining access to the collateral. The Funds bear 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.

As of June 30, 2015, 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	$	68,151	$	—	$	68,687
Stephens Mid-Cap Growth		4,551		—		4,649

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 Funds may not be sold or re-pledged except to satisfy a borrower default. Therefore, non-cash collateral is not included on the Fund’s Schedule of Investments or Statements of Assets and Liabilities.

45

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 Six Months Ended June 30, 2015

	Institutional Class						Y Class						Investor Class
Bahl & Gaynor Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		26		$	289			159		$	1,721			25		$	269
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(2	)		(26	)		(7	)		(79	)		(1	)		(8	)
Net increase in shares outstanding		24		$	263			152		$	1,642			24		$	261

	A Class				C Class
Bahl & Gaynor Small Cap Growth Fund	Shares		Amount		Shares		Amount
Shares sold		24	$	262		10	$	103
Reinvestment of dividends		—		—		—		—
Shares redeemed		—		—		—		—
Net increase in shares outstanding		24	$	262		10	$	103

	Institutional Class						Y Class						Investor Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,091		$	221,521			5,852		$	141,619			14,332		$	345,840
Reinvestment of dividends		—			—			—			—			—			1
Shares redeemed		(1,665	)		(40,505	)		(974	)		(23,690	)		(7,095	)		(171,827	)
Net increase in shares outstanding		7,426		$	181,016			4,878		$	117,929			7,237		$	174,014

	A Class						C Class
Bridgeway Large Cap Value Fund	Shares			Amount			Shares			Amount
Shares sold		2,482		$	59,690			1,271		$	29,920
Reinvestment of dividends		—			—			—			—
Shares redeemed		(1,140	)		(27,532	)		(64	)		(1,505	)
Net increase in shares outstanding		1,342		$	32,158			1,207		$	28,415

	Institutional Class						Y Class						Investor Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		11		$	302			—		$	4			70		$	1,861
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(12	)		(315	)		(1	)		(18	)		(242	)		(6,411	)
Net (decrease) in shares outstanding		(1	)	$	(13	)		(1	)	$	(14	)		(172	)	$	(4,550	)

	A Class						C Class
Holland Large Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		3		$	70			4		$	99
Reinvestment of dividends		—			—			—			—
Shares redeemed		(2	)		(51	)		(1	)		(15	)
Net increase in shares outstanding		1		$	19			3		$	84

	Institutional Class						Y Class						Investor Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,947		$	32,914			718		$	12,123			339		$	5,407
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(3,305	)		(56,518	)		(1,076	)		(18,237	)		(1,822	)		(29,536	)
Net (decrease) in shares outstanding		(1,358	)	$	(23,604	)		(358	)	$	(6,114	)		(1,483	)	$	(24,129	)

46

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

	A Class						C Class
Stephens Small Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		47		$	753			2		$	38
Reinvestment of dividends		—			—			—			—
Shares redeemed		(117	)		(1,828	)		(9	)		(139	)
Net (decrease) in shares outstanding		(70	)	$	(1,075	)		(7	)	$	(101	)

	Institutional Class						Y Class						Investor Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		580		$	11,584			17		$	353			19		$	339
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(418	)		(8,428	)		(44	)		(862	)		(185	)		(3,240	)
Net increase (decrease) in shares outstanding		162		$	3,156			(27	)	$	(509	)		(166	)	$	(2,901	)

	A Class						C Class
Stephens Mid-Cap Growth Fund	Shares			Amount			Shares			Amount
Shares sold		74		$	1,363			26		$	455
Reinvestment of dividends		—			—			—			—
Shares redeemed		(145	)		(2,555	)		(16	)		(278	)
Net increase (decrease) in shares outstanding		(71	)	$	(1,192	)		10		$	177

For the Year Ended December 31, 2014

	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

	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

47

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

	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

48

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49

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class						Y Class
	Six Months Ended June 30, 2015			July 15A to Dec. 31, 2014			Six Months Ended June 30, 2015			July 15A to Dec. 31, 2014
	(unaudited)						(unaudited)
Net asset value, beginning of period	$	10.71		$	10.00		$	10.71		$	10.00
Income from investment operations:
Net investment income (loss)		0.03			0.02			0.02			0.01
Net gains (losses) on investments (both realized and unrealized)		0.21			0.71			0.21			0.72
Total income (loss) from investment operations		0.24			0.73			0.23			0.73
Less distributions:
Dividends from net investment income		—			(0.02	)		—			(0.02	)
Distributions from net realized gains		—			—			—			—
Total distributions		—			(0.02	)		—			(0.02	)
Net asset value, end of period	$	10.95		$	10.71		$	10.94		$	10.71
Total returnB		2.24	%C		7.28	%C		2.15	%C		7.28	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	3,435		$	3,103		$	2,061		$	388
Ratios to average net assets:
Expenses, before reimbursements		3.91	%D		8.98	%D		3.67	%D		11.71	%D
Expenses, net of reimbursements		0.98	%D		0.98	%D		1.08	%D		1.08	%D
Net investment (loss), before expense reimbursements		(2.31	)%D		(7.51	)%D		(2.01	)%D		(10.06	)%D
Net investment income (loss), net of reimbursements		0.62	%D		0.49	%D		0.58	%D		0.57	%D
Portfolio turnover rate		15	%C		12	%E		15	%C		12	%E

^A Commencement of operations.

^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 July 15, 2014 to December 31, 2014, and is not annualized.

50

American Beacon Bahl & Gaynor Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Investor Class						A Class						C Class
Six Months Ended June 30, 2015			July 15A to Dec. 31, 2014			Six Months Ended June 30, 2015			July 15A to Dec. 31, 2014			Six Months Ended June 30, 2015			July 15A to Dec 31, 2014
(unaudited)						(unaudited)						(unaudited)
$	10.69		$	10.00		$	10.69		$	10.00		$	10.65		$	10.00
	0.02			0.01			0.02			0.00			0.00			(0.02	)
	0.20			0.70			0.19			0.71			0.18			0.69
	0.22			0.71			0.21			0.71			0.18			0.67
	—			(0.02	)		—			(0.02	)		—			(0.02	)
	—			—			—			—			—			—
	—			(0.02	)		—			(0.02	)		—			(0.02	)
$	10.91		$	10.69		$	10.90		$	10.69		$	10.83		$	10.65
	2.06	%C		7.08	%C		1.96	%C		7.08	%C		1.69	%C		6.68	%C
$	507		$	239		$	432		$	164		$	248		$	142
	4.63	%D		12.62	%D		4.82	%D		13.84	%D		5.75	%D		13.72	%D
	1.36	%D		1.36	%D		1.38	%D		1.38	%D		2.13	%D		2.13	%D
	(3.00	)%D		(11.12	)%D		(3.14	)%D		(12.35	)%D		(4.16	)%D		(12.23	)%D
	0.27	%D		0.14	%D		0.30	%D		0.10	%D		(0.54	)%D		(0.64	)%D
	15	%C		12	%E		15	%C		12	%E		15	%C		12	%E

51

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended December 31,						Six Months Ended Dec. 31,			Year Ended June 30,
	2015			2014			2013			2012			2012			2011
	(unaudited)
Net asset value, beginning of period	$	23.89		$	21.39		$	15.85		$	14.80		$	14.62		$	11.44
Income from investment operations:
Net investment income		0.16			0.10			0.11			0.20			0.24			0.20	A
Net gains (losses) on investments (both realized and unrealized)		0.33			2.94			5.87			1.14			0.12			3.21
Total income (loss) from investment operations		0.49			3.04			5.98			1.34			0.36			3.41
Less distributions:
Dividends from net investment income		—			(0.17	)		(0.11	)		(0.29	)		(0.18	)		(0.23	)
Distributions from net realized gains		—			(0.37	)		(0.33	)		—			—			—
Total distributions		—			(0.54	)		(0.44	)		(0.29	)		(0.18	)		(0.23	)
Net asset value, end of period	$	24.38		$	23.89		$	21.39		$	15.85		$	14.80		$	14.62
Total returnB		2.05	%C		14.18	%		37.77	%		9.04	%C		2.60	%		30.02	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	501,147		$	313,661		$	79,889		$	26,669		$	26,950		$	29,647
Ratios to average net assets:
Expenses, before reimbursements or recoupments		0.75	%D		0.79	%		1.01	%		1.73	%D		1.30	%		1.17	%
Expenses, net of reimbursements or recoupments		0.84	%D		0.84	%		0.84	%		0.84	%D		0.82	%		0.84	%
Net investment income (loss), before reimbursements or recoupments		1.73	%D		1.08	%		0.98	%		1.38	%D		1.17	%		1.17	%
Net investment income, net of reimbursements or recoupments		1.64	%D		1.04	%		1.16	%		2.27	%D		1.66	%		1.50	%
Portfolio turnover rate		17	%C		31	%		38	%		21	%C		36	%		43	%

^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.

52

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class															Investor Class
Six Months Ended June 30,			Year Ended December 31,						Six Months Ended Dec. 31,			Feb. 3E to June 30,			Six Months Ended June 30,			Year Ended December 31,						Six Months Ended Dec. 31,			Feb. 3E to June 30,
2015			2014			2013			2012			2012			2015			2014			2013			2012			2012
(unaudited)															(unaudited)
$	23.84		$	21.35		$	15.84		$	14.80		$	14.46		$	23.77		$	21.28		$	15.81		$	14.78		$	14.46
	0.18			0.13			0.22			0.07			0.09			0.15			0.14			0.21			0.12			0.03
	0.32			2.90			5.72			1.26			0.25			0.31			2.82			5.68			1.19			0.29
	0.50			3.03			5.94			1.33			0.34			0.46			2.96			5.89			1.31			0.32
	—			(0.17	)		(0.10	)		(0.29	)		—			—			(0.10	)		(0.09	)		(0.28	)		—
	—			(0.37	)		(0.33	)		—			—			—			(0.37	)		(0.33	)		—			—
	—			(0.54	)		(0.43	)		(0.29	)		—			—			(0.47	)		(0.42	)		(0.28	)		—
$	24.34		$	23.84		$	21.35		$	15.84		$	14.80		$	24.23		$	23.77		$	21.28		$	15.81		$	14.78
	2.10	%C		14.15	%		37.55	%		8.98	%C		2.35	%C		1.94	%C		13.89	%		37.28	%		8.84	%C		2.21	%C
$	240,355		$	119,162		$	19,914		$	36		$	5		$	856,972		$	668,659		$	274,114		$	489		$	215
	0.81	%D		0.84	%		0.93	%		3.75	%D		144.38	%D		1.09	%D		1.11	%		1.08	%		2.26	%D		18.30	%D
	0.81	%D		0.85	%		0.94	%		0.93	%D		0.94	%D		1.09	%D		1.11	%		1.09	%		1.21	%D		1.22	%D
	1.63	%D		1.03	%		1.07	%		(0.51	)%D		(141.90	)%D		1.40	%D		0.76	%		0.95	%		1.00	%D		(15.48	)%D
	1.63	%D		1.03	%		1.06	%		2.31	%D		1.54	%D		1.40	%D		0.76	%		0.94	%		2.05	%D		1.59	%D
	17	%C		31	%		38	%		21	%C		36	%F		17	%C		31	%		38	%		21	%C		36	%F

53

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	A Class
	Six Months Ended June 30,			Year Ended December 31,						Six Months Ended Dec. 31,			Feb. 3E to June 30,
	2015			2014			2013			2012			2012
	(unaudited)
Net asset value, beginning of period	$	23.66		$	21.22		$	15.78		$	14.77		$	14.46
Income from investment operations:
Net investment income		0.15			0.09			0.19			0.15			0.01
Net gains (losses) on investments (both realized and unrealized)		0.30			2.84			5.64			1.15			0.30
Total income (loss) from investment operations		0.45			2.93			5.83			1.30			0.31
Less distributions:
Dividends from net investment income		—			(0.12	)		(0.06	)		(0.29	)		—
Distributions from net realized gains		—			(0.37	)		(0.33	)		—			—
Total distributions		—			(0.49	)		(0.39	)		(0.29	)		—
Net asset value, end of period	$	24.11		$	23.66		$	21.22		$	15.78		$	14.77
Total returnB		1.90	%C		13.76	%		37.01	%		8.78	%C		2.14	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	138,071		$	103,717		$	31,300		$	311		$	276
Ratios to average net assets:
Expenses, before reimbursements or recoupments		1.12	%D		1.19	%		1.38	%		2.21	%D		15.39	%D
Expenses, net of reimbursements or recoupments		1.12	%D		1.21	%		1.34	%		1.33	%D		1.34	%D
Net investment income (loss), before reimbursements or recoupments		1.40	%D		0.69	%		0.61	%		0.90	%D		(13.13	)%D
Net investment income, net of reimbursements or recoupments		1.40	%D		0.67	%		0.66	%		1.78	%D		0.92	%D
Portfolio turnover rate		17	%C		31	%		38	%		21	%		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.

54

American Beacon Bridgeway Large Cap Value Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six Months Ended June 30,			Year Ended December 31,						Six Months Ended Dec. 31,			Feb. 3E to June 30, 2012
	2015			2014			2013			2012
	(unaudited)
Net asset value, beginning of period	$	23.27		$	21.00		$	15.70		$	14.73		$	14.46
Income from investment operations:
Net investment income		0.09			0.02			0.18			0.09			0.02
Net gains (losses) on investments (both realized and unrealized)		0.27			2.69			5.47			1.17			0.25
Total income (loss) from investment operations		0.36			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	$	23.63		$	23.27		$	21.00		$	15.70		$	14.73
Total returnB		1.55	%C		12.88	%		36.02	%		8.54	%C		1.87	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	62,583		$	33,536		$	2,346		$	20		$	14
Ratios to average net assets:
Expenses, before reimbursements or recoupments		1.86	%D		1.92	%		2.13	%		6.81	%D		64.88	%D
Expenses, net of reimbursements or recoupments		1.86	%D		1.94	%		2.09	%		1.77	%D		2.09	%D
Net investment income (loss), before reimbursements or recoupments		0.58	%D		(0.05	)%		(0.13	)%		(3.55	)%D		(62.47	)%D
Net investment income (loss), net of reimbursements or recoupments		0.58	%D		(0.08	)%		(0.08	)%		1.49	%D		0.32	%D
Portfolio turnover rate		17	%C		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.

55

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended December 31,												March 1A to Dec. 31,
	2015			2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	25.88		$	26.57		$	21.60		$	20.30		$	20.00		$	17.88
Income from investment operations:
Net investment income (loss)		0.04			0.03			0.02			0.09	F		(0.02	)G		(0.01	)G
Net gains (losses) on securities (both realized and unrealized)		1.07			1.94			7.02			2.47			0.71			2.61
Total income (loss) from investment operations		1.11			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		—			(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	$	26.99		$	25.88		$	26.57		$	21.60		$	20.30		$	20.00
Total returnB		4.29	%C		7.31	%		32.73	%		12.57	%		3.47	%		14.58	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	18,842		$	18,103		$	16,292		$	1,619		$	1,193		$	1,126
Ratios to average net assets:
Expenses, before reimbursements or recoupments		0.88	%D		0.89	%		0.86	%		1.32	%		1.49	%		1.91	%D
Expenses, net of reimbursements or recoupments		0.89	%D		0.89	%		0.89	%		0.96	%		1.20	%		1.20	%D
Net investment income (loss), before expense reimbursements or recoupments		0.32	%D		0.14	%		0.24	%		0.07	%		(0.38	)%		(0.77	)%D
Net investment income (loss), net of reimbursements or recoupments		0.32	%D		0.13	%		0.21	%		0.43	%		(0.09	)%		0.06	%D
Portfolio turnover rate		15	%C		27	%		29	%		18	%		12	%		18	%

^A Commencement of operations.

^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, 2012 to December 31, 2012.

^F 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.

^G 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.

56

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class												Investor Class
Six Months Ended June 30,			Year Ended December 31,						March 23A to Dec. 31,			Six Months Ended June 30,			Year Ended December 31,
2015			2014			2013			2012			2015			2014			2013			2012			2011			2010
(unaudited)												(unaudited)
$	25.79		$	26.53		$	21.59		$	23.00		$	25.57		$	26.36		$	21.52		$	20.24		$	19.97		$	17.94
	0.02			(0.02	)		0.02			0.09	F		(0.01	)		(0.04	)		(0.05	)		0.02	F		(0.05	)G		(0.04	)G
	1.05			1.94			6.98			(0.26	)		1.06			1.91			6.95			2.45			0.71			2.55
	1.07			1.92			7.00			(0.17	)		1.05			1.87			6.90			2.47			0.66			2.51
	—			—			0.00			(0.06	)		—			—			0.00			(0.01	)		—			—
	—			(2.66	)		(2.06	)		(1.18	)		—			(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	)
$	26.86		$	25.79		$	26.53		$	21.59		$	26.62		$	25.57		$	26.36		$	21.52		$	20.24		$	19.97
	4.15	%C		7.13	%		32.59	%		(0.79	)%C		4.11	%C		6.99	%		32.21	%		12.18	%		3.33	%		14.03	%
$	63		$	74		$	79		$	23		$	79,887		$	81,154		$	77,426		$	66,568		$	58,682		$	54,128
	1.17	%D		1.11	%		0.97	%		10.18	%D		1.25	%D		1.15	%		1.26	%		1.44	%		1.64	%		1.77	%
	1.12	%D		1.08	%		0.99	%		0.98	%D		1.25	%D		1.21	%		1.27	%		1.29	%		1.35	%		1.35	%
	0.01	%D		(0.10	)%		0.15	%		(8.77	)%D		(0.04	)%D		(0.13	)%		(0.17	)%		(0.08	)%		(0.53	)%		(0.64	)%
	0.07	%D		(0.06	)%		0.12	%		0.43	%D		(0.04	)%D		(0.19	)%		(0.18	)%		0.07	%		(0.24	)%		(0.22	)%
	15	%C		27	%		29	%		18	%E		15	%C		27	%		29	%		18	%		12	%		18	%

57

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	A Class
	Six Months Ended June 30,			Year Ended December 31,												Feb. 1A to Dec. 31,
	2015			2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	25.39		$	26.22		$	21.43		$	20.23		$	19.96		$	17.40
Income from investment operations:
Net investment income (loss)		(0.01	)		(0.08	)		(0.03	)		0.03	F		(0.05	)G		(0.04	)G
Net gains (losses) on securities (both realized and unrealized)		1.04			1.91			6.88			2.41			0.71			3.08
Total income (loss) from investment operations		1.03			1.83			6.85			2.44			0.66			3.04
Less distributions:
Dividends from net investment income		—			—			0.00			(0.06	)		—			—
Distributions from net realized gains		—			(2.66	)		(2.06	)		(1.18	)		(0.39	)		(0.48	)
Total distributions		—			(2.66	)		(2.06	)		(1.24	)		(0.39	)		(0.48	)
Net asset value, end of period	$	26.42		$	25.39		$	26.22		$	21.43		$	20.23		$	19.96
Total returnB		4.06	%C		6.88	%		32.11	%		11.99	%		3.33	%		17.51	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	1,075		$	1,012		$	1,028		$	467		$	13		$	12
Ratios to average net assets:
Expenses, before reimbursements or recoupments		1.29	%D		1.35	%		1.40	%		2.73	%		10.06	%		42.81	%D
Expenses, net of reimbursements or recoupments		1.29	%D		1.34	%		1.39	%		1.38	%		1.40	%		1.40	%D
Net investment (loss), before expense reimbursements or recoupments		(0.08	)%D		(0.32	)%		(0.28	)%		(0.97	)%		(8.94	)%		(41.83	)%D
Net investment income (loss), net of reimbursements or recoupments		(0.07	)%D		(0.31	)%		(0.27	)%		0.37	%		(0.28	)%		(0.22	)%D
Portfolio turnover rate		15	%C		27	%		29	%		18	%		12	%		18	%

^A Commencement of operations.

^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, 2012 to December 31, 2012.

^F 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.

^G 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.

58

American Beacon Holland Large Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six Months Ended June 30,			Year Ended December 31,						March 23A to Dec. 31,
	2015			2014			2013			2012
	(unaudited)
Net asset value, beginning of period	$	24.75		$	25.82		$	21.29		$	22.90
Income from investment operations:
Net investment income (loss)		(0.03	)		(0.36	)		(0.17	)		0.01	F
Net gains (losses) on securities (both realized and unrealized)		0.94			1.95			6.76			(0.38	)
Total income (loss) from investment operations		0.91			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	$	25.66		$	24.75		$	25.82		$	21.29
Total returnB		3.68	%C		6.05	%		31.10	%		(1.65	)%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	699		$	592		$	703		$	281
Ratios to average net assets:
Expenses, before reimbursements or recoupments		2.05	%D		2.10	%		2.15	%		6.17	%D
Expenses, net of reimbursements or recoupments		2.04	%D		2.09	%		2.14	%		2.12	%D
Net investment income (loss), before expense reimbursements or recoupments		(0.85	)%D		(1.07	)%		(1.04	)%		(3.85	)%D
Net investment income (loss), net of reimbursements or recoupments		(0.84	)%D		(1.07	)%		(1.03	)%		0.20	%D
Portfolio turnover rate		15	%C		27	%		29	%		18	%E

^A Commencement of operations.

^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, 2012 to December 31, 2012.

^F 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.

^G 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.

59

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec. 31,			Year Ended November 30,
	2015			2014			2013			2012			2012H			2011H			2010H
	(unaudited)
Net asset value, beginning of period	$	16.57		$	17.83		$	12.99		$	13.54		$	13.14		$	12.03		$	9.37
Income from investment operations:
Net investment income (loss)		(0.08	)		(0.07	)		(0.05	)		0.06			(0.04	)J		(0.11	)A		(0.09	)A
Net gains (losses) from investments (both realized and unrealized)		0.96			(0.49	)		5.60			0.23			1.43			1.37			2.75
Total income (loss) from investment operations		0.88			(0.56	)		5.55			0.29			1.39			1.26			2.66
Less distributions:
Dividends from net investment income		—			—			0.00			—			—			—			—
Distributions from net realized gains		—			(0.70	)		(0.67	)		(0.84	)		(0.99	)		(0.15	)		—
Return of capitalK		—			—			(0.04	)		—			—			—			—
Total distributions		—			(0.70	)		(0.71	)		(0.84	)		(0.99	)		(0.15	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—
Net asset value, end of period	$	17.45		$	16.57		$	17.83		$	12.99		$	13.54		$	13.14		$	12.03
Total returnB		5.25	%C		(3.14	)%		42.93	%		2.15	%C		11.74	%		10.49	%		28.39	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	355,294		$	359,959		$	317,341		$	130,342		$	88,815		$	52,336		$	39,169
Ratios to average net assets:
Expenses, before reimbursementsD		1.07	%G		1.08	%		1.11	%		1.20	%G		1.20	%		1.15	%		1.35	%
Expenses, net of reimbursementsD		1.07	%G		1.10	%		1.09	%		1.06	%G		1.10	%		1.10	%		1.10	%
Net investment income (loss), before reimbursements		(0.70	)%G		(0.59	)%		(0.73	)%		0.54	%G		(0.84	)%		(0.91	)%		(1.09	)%
Net investment income (loss), net of reimbursements		(0.70	)%G		(0.61	)%		(0.71	)%		0.68	%G		(0.74	)%		(0.86	)%		(0.84	)%
Portfolio turnover rate		11	%C		46	%		39	%		6	%C		45	%		36	%		66	%

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

^E Commencement of operations.

^F Amount represents less than $0.01 per share.

^G Annualized.

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

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

^J 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.

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

60

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class															Investor Class
Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec. 31,			Feb. 24E to Nov. 30,			Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec. 31,			Year Ended November 30,
2015			2014			2013			2012			2012			2015			2014			2013			2012			2012H			2011H			2010H
(unaudited)															(unaudited)
$	16.54		$	17.81		$	12.98		$	13.54		$	13.59		$	15.71		$	16.98		$	12.42		$	12.99		$	12.67		$	11.64		$	9.09
	(0.07	)		(0.12	)		(0.04	)		0.01			(0.02	)		(0.16	)		(0.16	)		(0.04	)		0.02			(0.06	)J		(0.14	)A		(0.11	)A
	0.94			(0.45	)		5.58			0.27			(0.03	)		0.96			(0.41	)		5.31			0.25			1.37			1.32			2.66
	0.87			(0.57	)		5.54			0.28			(0.05	)		0.80			(0.57	)		5.27			0.27			1.31			1.18			2.55
	—			—			0.00			—			—			—			—			0.00			—			—			—			—
	—			(0.70	)		(0.68	)		(0.84	)		—			—			(0.70	)		(0.69	)		(0.84	)		(0.99	)		(0.15	)		—
	—			—			(0.03	)		—			—			—			—			(0.02	)		—			—			—			—
	—			(0.70	)		(0.71	)		(0.84	)		—			—			(0.70	)		(0.71	)		(0.84	)		(0.99	)		(0.15	)		—
	—			—			—			—			—			—			—			—			—			—			0.00	F		0.00	F
$	17.41		$	16.54		$	17.81		$	12.98		$	13.54		$	16.51		$	15.71		$	16.98		$	12.42		$	12.99		$	12.67		$	11.64
	5.20	%C		(3.20	)%		42.88	%		2.07	%C		(0.37	)%C		5.09	%C		(3.35	)%		42.62	%		2.08	%C		11.44	%		10.15	%		28.05	%
$	174,680		$	171,901		$	208,196		$	4,563		$	2,699		$	130,282		$	147,227	��	$	169,799		$	69,786		$	67,506		$	47,101		$	45,911
	1.15	%G		1.16	%		1.19	%		1.36	%G		2.05	%G		1.39	%G		1.31	%		1.39	%		1.62	%G		1.56	%		1.40	%		1.60	%
	1.15	%G		1.16	%		1.19	%		1.16	%G		1.21	%G		1.38	%G		1.37	%		1.35	%		1.34	%G		1.36	%		1.35	%		1.35	%
	(0.78	)%G		(0.67	)%		(0.79	)%		0.19	%G		(1.57	)%G		(1.02	)%G		(0.81	)%		(1.01	)%		0.23	%G		(1.20	)%		(1.16	)%		(1.33	)%
	(0.78	)%G		(0.68	)%		(0.78	)%		0.38	%G		(0.73	)%G		(1.01	)%G		(0.88	)%		(0.96	)%		0.50	%G		(1.00	)%		(1.11	)%		(1.08	)%
	11	%C		46	%		39	%		6	%C		45	%I		11	%C		46	%		39	%		6	%C		45	%		36	%		66	%

61

American Beacon Stephens Small Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	A Class															C Class
	Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec. 31,			Feb. 24E to Nov. 30,			Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec, 31,			Feb. 24E to Nov. 30,
	2015			2014			2013			2012			2012			2015			2014			2013			2012			2012
	(unaudited)															(unaudited)
Net asset value, beginning of period	$	15.61		$	16.91		$	12.40		$	12.98		$	13.07		$	15.26		$	16.66		$	12.32		$	12.91		$	13.07
Income from investment operations:
Net investment income (loss)		(0.13	)		(0.18	)		(0.10	)		0.01			(0.07	)		(0.16	)		(0.24	)		(0.13	)		0.00			(0.06	)
Net gains (losses) from investments (both realized and unrealized)		0.92			(0.42	)		5.32			0.25			(0.02	)		0.87			(0.46	)		5.18			0.25			(0.10	)
Total income (loss) from investment operations		0.79			(0.60	)		5.22			0.26			(0.09	)		0.71			(0.70	)		5.05			0.25			(0.16	)
Less distributions:
Dividends from net investment income		—			—			0.00			—			—			—			—			0.00			—			—
Distributions from net realized gains		—			(0.70	)		(0.71	)		(0.84	)		—			—			(0.70	)		(0.71	)		(0.84	)		—
Return of capitalK		—			—			(0.00	)F		—			—			—			—			—			—			—
Total distributions		—			(0.70	)		(0.71	)		(0.84	)		—			—			(0.70	)		(0.71	)		(0.84	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—			—			—			—
Net asset value, end of period	$	16.40		$	15.61		$	16.91		$	12.40		$	12.98		$	15.97		$	15.26		$	16.66		$	12.32		$	12.91
Total returnB		5.12	%C		(3.54	)%		42.28	%		2.01	%C		(0.69	)%C		4.65	%C		(4.20	)%		41.17	%		1.94	%C		(1.22	)%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	9,052		$	9,702		$	10,942		$	3,131		$	2,941		$	2,797		$	2,771		$	2,447		$	349		$	343
Ratios to average net assets:
Expenses, before reimbursementsD		1.44	%G		1.51	%		1.57	%		1.79	%G		2.08	%G		2.19	%G		2.26	%		2.33	%		3.21	%G		6.15	%G
Expenses, net of reimbursementsD		1.51	%G		1.52	%		1.59	%		1.58	%G		1.61	%G		2.26	%G		2.27	%		2.34	%		2.33	%G		2.35	%G
Net investment income (loss), before reimbursements		(1.07	)%G		(1.02	)%		(1.18	)%		0.04	%G		(1.68	)%G		(1.82	)%G		(1.76	)%		(1.93	)%		(1.36	)%G		(5.71	)%G
Net investment income (loss), net of reimbursements		(1.14	)%G		(1.03	)%		(1.20	)%		0.25	%G		(1.21	)%G		(1.89	)%G		(1.77	)%		(1.94	)%		(0.48	)%G		(1.91	)%G
Portfolio turnover rate		11	%C		46	%		39	%		6	%		45	%I		11	%C		46	%		39	%		6	%C		45	%I

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

^E Commencement of operations.

^F Amount represents less than $0.01 per share.

^G Annualized.

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

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

^J 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.

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

62

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63

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec. 31,			Year Ended November 30,
	2015			2014			2013			2012			2012A			2011A			2010 A
	(unaudited)
Net asset value, beginning of period	$	19.24		$	19.76		$	15.38		$	15.24		$	13.69		$	12.44		$	9.63
Income from investment operations:
Net investment income (loss)		(0.05	)		(0.04	)		(0.05	)		0.02			—	B		(0.10	)C		(0.09	)C
Net gains from investments (both realized and unrealized)		1.33			0.72			5.12			0.20			1.55			1.35			2.90
Total income from investment operations		1.28			0.68			5.07			0.22			1.55			1.25			2.81
Less distributions:
Dividends from net investment income		—			—			(0.01	)		—			—			—			—
Distributions from net realized gains		—			(1.20	)		(0.66	)		(0.08	)		—			—			—
Return of capitalK		—			—			(0.02	)		—			—			—			—
Total distributions		—			(1.20	)		(0.69	)		(0.08	)		—			—			—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—
Net asset value, end of period	$	20.52		$	19.24		$	19.76		$	15.38		$	15.24		$	13.69		$	12.44
Total returnD		6.65	%E		3.41	%		33.14	%		1.43	%		11.32	%		10.05	%		29.18	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	96,757		$	87,620		$	63,236		$	31,005		$	30,503		$	13,208		$	7,124
Ratios to average net assets:
Expenses, before reimbursementsF		1.01	%G		1.05	%		1.12	%		1.31	%G		1.28	%		1.65	%		2.27	%
Expenses, net of reimbursementsF		1.00	%G		1.00	%		0.99	%		0.99	%G		1.03	%		1.25	%		1.25	%
Net investment income (loss), before reimbursements		(0.54	)%G		(0.53	)%		(0.70	)%		1.37	%G		(0.62	)%		(1.12	)%		(1.81	)%
Net investment income (loss), net of reimbursements		(0.53	)%G		(0.48	)%		(0.58	)%		1.69	%G		(0.37	)%		(0.72	)%		(0.79	)%
Portfolio turnover rate		9	%E		37	%		25	%		1	%E		27	%		30	%		20	%

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

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

^G Annualized.

^H Commencement of operations.

^I Amount represents less than $0.01 per share.

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

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

64

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class															Investor Class
Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec. 31,			Feb. 24H to Nov. 30,			Six Months Ended June 30,			Year Ended December 31,						One Month Ended Dec. 31,			Year Ended November 30,
2015			2014			2013			2012			2012			2015			2014			2013			2012			2012A			2011 A			2010 A
(unaudited)															(unaudited)
$	19.22		$	19.76		$	15.38		$	15.23		$	15.09		$	16.97		$	17.64		$	13.83		$	13.72		$	12.36		$	11.26		$	8.74
	(0.09	)		(0.06	)		(0.08	)		0.02			(0.03	)		(0.20	)		(0.36	)		(0.08	)		0.02			(0.14	)B		(0.11	)C		(0.10	)C
	1.35			0.72			5.15			0.21			0.17			1.29			0.89			4.58			0.17			1.50			1.21			2.62
	1.26			0.66			5.07			0.23			0.14			1.09			0.53			4.50			0.19			1.36			1.10			2.52
	—			—			(0.01	)		—			—			—			—			(0.01	)		—			—			—			—
	—			(1.20	)		(0.68	)		(0.08	)		—			—			(1.20	)		(0.68	)		(0.08	)		—			—			—
	—			—			0.00			—			—			—			—			0.00			—			—			—			—
	—			(1.20	)		(0.69	)		(0.08	)		—			—			(1.20	)		(0.69	)		(0.08	)		—			—			—
	—			—			—			—			—			—			—			—			—			—			—			0.00	I
$	20.48		$	19.22		$	19.76		$	15.38		$	15.23		$	18.06		$	16.97		$	17.64		$	13.83		$	13.72		$	12.36		$	11.26
	6.56	%E		3.31	%		33.14	%		1.50	%		0.93	%E		6.48	%E		2.97	%		32.71	%		1.37	%		11.00	%		9.77	%		28.83	%
$	2,758		$	3,109		$	1,672		$	374		$	222		$	17,814		$	19,552		$	31,912		$	18,585		$	18,092		$	20,034		$	15,076
	1.07	%G		1.10	%		1.14	%		1.53	%G		3.85	%G		1.33	%G		1.27	%		1.38	%		1.68	%G		1.67	%		1.91	%		2.52	%
	1.10	%G		1.10	%		1.09	%		1.09	%G		1.09	%G		1.38	%G		1.38	%		1.37	%		1.37	%G		1.40	%		1.50	%		1.50	%
	(0.60	)%G		(0.57	)%		(0.73	)%		0.69	%G		(3.09	)%G		(0.85	)%G		(0.77	)%		(0.98	)%		0.94	%G		(1.04	)%		(1.35	)%		(2.06	)%
	(0.63	)%G		(0.58	)%		(0.68	)%		1.13	%G		(0.33	)%G		(0.90	)%G		(0.88	)%		(0.97	)%		1.26	%G		(0.76	)%		(0.94	)%		(1.04	)%
	9	%E		37	%		25	%		1	%E		27	%J		9	%E		37	%		25	%		1	%E		27	%		30	%		20	%

65

American Beacon Stephens Mid-Cap Growth Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	A Class															C Class
	Six Months Ended June 30, 2015			Year Ended December 31,						One Month Ended Dec. 31, 2012			Feb. 24H to Nov. 30, 2012			Six Months Ended June 30, 2015			Year Ended December 31,						One Month Ended Dec. 31, 2012			Feb. 24H to Nov. 30, 2012
				2014			2013												2014			2013
	(unaudited)															(unaudited)
Net asset value, beginning of period	$	16.94		$	17.61		$	13.83		$	13.72		$	13.62		$	16.57		$	17.38		$	13.75		$	13.63		$	13.62
Income from investment operations:
Net investment income (loss)		(0.11	)		(0.19	)		(0.10	)		0.02			(0.05	)		(0.10	)		(0.27	)		(0.16	)		0.02			(0.04	)
Net gains from investments (both realized and unrealized)		1.20			0.72			4.57			0.17			0.15			1.10			0.66			4.47			0.18			0.05
Total income from investment operations		1.09			0.53			4.47			0.19			0.10			1.00			0.39			4.31			0.20			0.01
Less distributions:
Dividends from net investment income		—			—			(0.01	)		—			—			—			—			0.00			—			—
Distributions from net realized gains		—			(1.20	)		(0.68	)		(0.08	)		—			—			(1.20	)		(0.68	)		(0.08	)		—
Return of capitalK		—			—			(0.00	)I		—			—			—			—			(0.00	)I		—			—
Total distributions		—			(1.20	)		(0.69	)		(0.08	)		—			—			(1.20	)		(0.68	)		(0.08	)		—
Redemption fees added to beneficial interests		—			—			—			—			—			—			—			—			—			—
Net asset value, end of period	$	18.03		$	16.94		$	17.61		$	13.83		$	13.72		$	17.57		$	16.57		$	17.38		$	13.75		$	13.63
Total returnD		6.43	%E		2.97	%		32.49	%		1.37	%E		0.73	%E		6.03	%E		2.21	%		31.35	%		1.45	%E		0.07	%E
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	16,290		$	16,506		$	18,396		$	7,302		$	7,063		$	2,188		$	1,902		$	1,626		$	302		$	147
Ratios to average net assets:
Expenses, before reimbursementsF		1.36	%G		1.45	%		1.57	%		1.81	%G		1.83	%G		2.12	%G		2.22	%		2.28	%		2.68	%G		14.54	%G
Expenses, net of reimbursementsF		1.40	%G		1.45	%		1.49	%		1.49	%G		1.49	%G		2.15	%G		2.20	%		2.24	%		2.24	%G		2.24	%G
Net investment income (loss), before reimbursements		(0.90	)%G		(0.94	)%		(1.16	)%		0.86	%G		(1.04	)%G		(1.66	)%G		(1.69	)%		(1.87	)%		0.15	%G		(13.65	)%G
Net investment income (loss), net of reimbursements		(0.93	)%G		(0.94	)%		(1.09	)%		1.18	%G		(0.70	)%G		(1.68	)%G		(1.68	)%		(1.84	)%		0.59	%G		(1.36	)%G
Portfolio turnover rate		9	%E		37	%		25	%		1	%E		27	%J		9	%E		37	%		25	%		1	%E		27	%J

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

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

^G Annualized.

^H Commencement of operations.

^I Amount represents less than $0.01 per share.

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

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

66

American Beacon Funds^SM

Results of Shareholder Meeting (Unaudited)

Special meetings of shareholders of each of the portfolios of the American Beacon Funds (the “Trust”) were held on April 7 and April 28, 2015. The shareholders of the Bahl & Gaynor Small Cap Growth, Bridgeway Large Cap Value, Holland Large Cap Growth, Stephens Mid-Cap Growth and Stephens Small Cap Growth Funds (the “Funds”) approved a new investment management agreement between American Beacon Advisors, Inc. and the Funds. Approval of this proposal required a majority of the outstanding voting securities of each Fund. The following are the results of the shareholder votes for this proposal:

Funds	For		Against		Abstain		Non-Voting
Bahl & Gaynor Small Cap Growth Fund		3,634,545.43		0		0		871,717.92
Bridgeway Large Cap Value Fund		652,647,010.69		17,214,372.39		7,724,926.82		284,427,229.70
Stephens Mid-Cap Growth Fund		61,309,317.08		776,459.43		487,016.81		28,280,135.15
Stephens Small Cap Growth Fund		296,089,938.94		2,255,163.40		5,242,692.92		111,992,772.19
Holland Large Cap Growth Fund		54,770,551.18		11,056.30		12,938,500.43		3,661,747.68

Special meetings of shareholders of the Trust were held on April 7 and April 28, 2015. The shareholders of the Trust approved the re-election of nine of the current Trustees to the Board of the American Beacon Trust and the election of two additional Trustees to the Board. Approval of this proposal required a plurality vote of the Trust’s shares. The following are the results of the election of each Trustee:

Gilbert G. Alvarado
Affirmative	16,665,574,211.10
Withhold	242,060,281.87
Joseph B. Armes
Affirmative	16,653,130,207.99
Withhold	244,504,284.98
Gerard J. Arpey
Affirmative	16,659,813,172.19
Withhold	237,821,320.78
W. Humphrey Bogart
Affirmative	16,532,151,093.14
Withhold	365,483,399.83
Brenda A. Cline
Affirmative	16,662,050,138.08
Withhold	235,584,354.89
Eugene J. Duffy
Affirmative	16,430,210,258.21
Withhold	467,424,234.76
Thomas M. Dunning
Affirmative	16,651,792,247.83
Withhold	245,842,245.14
Alan D. Feld
Affirmative	14,899,039,186.08
Withhold	1,998,595,306.89
Richard A. Massman
Affirmative	16,651,582,060.07
Withhold	246,052,432.90
Barbara J. McKenna
Affirmative	16,435,773,869.81
Withhold	461,860,623.16
R. Gerald Turner
Affirmative	16,653,429,720.08
Withhold	244,204,772.89

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69

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 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, 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 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, 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.

SAR 6/15

American Beacon®
FUNDS
2015 SEMI-ANNUAL REPORT
JUNE 30, 2015
S&P 500 INDEX FUND - Closed to New Investors
SMALL CAP INDEX FUND - Closed to New Investors
INTERNATIONAL EQUITY INDEX FUND - Closed to New Investors

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	9
Statements of Operations	10
Statements of Changes in Net Assets	11
Notes to Financial Statements	12
Financial Highlights	18
State Street Equity 500 Index Portfolio
Portfolio of Investments	24
Statement of Assets and Liabilities	30
Statement of Operations	31
Statement of Changes in Net Assets	32
Financial Highlights	33
Notes to Financial Statements	34
Quantitative Master Series LLC
Master International Index Series
Schedule of Investments	42
Master Small Cap Index Series
Schedule of Investments	52
Statement of Assets and Liabilities	72
Statement of Operations	73
Statement of Changes in Net Assets	74
Financial Highlights	75
Notes to Financial Statements	76
Additional Information	Back Cover

Investing in the securities of small capitalization companies involves greater risk and the possibility of greater price volatility than investing in larger capitalization and more established companies. Investing in foreign equities entails additional risk not associated with domestic equities, such as currency fluctuations, economic and political instability, and differences in accounting standards. Investing in derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when more advantageous. Investing in derivatives could result in losing more than the amount invested. The American Beacon International Equity Index and American Beacon Small Cap Index Funds may be exposed to security lending risk through their investment in their respective Master Portfolio. Please see the prospectus for a complete discussion of these Funds’ risks. There can be no assurances that the investment objectives of these Funds will be met.

Any opinions herein, including forecasts, reflect our judgment as of the end of the reporting period and are subject to change. Each advisor’s strategies and each Fund’s portfolio composition will change depending on economic and market conditions. This report is not a complete analysis of market conditions and therefore, should not be relied upon as investment advice. Although economic and market information has been compiled from reliable sources, American Beacon Advisors, Inc. makes no representation as to the completeness or accuracy of the statements contained herein.

American Beacon Funds June 30, 2015

Dear Shareholders,

During the first half of 2015, U.S. stocks in general posted modest gains and small-cap stocks performed better than their large-cap counterparts. U.S. equity markets have had to contend with slower economic growth, modestly higher-than-average valuations, and geopolitical and financial turmoil in Greece. Uncertainty over the timing of the U.S. Federal Reserve’s first interest rate increase since emergency lending rates were established during the financial crisis has also weighed on the equity market. The S&P 500 Index, a U.S. large-cap stock bellwether, gained 1.23%; the Russell Midcap Index, a barometer of mid-cap stocks, gained 2.35%; and the Russell 2000 Index, which generally represents the small-cap segment, gained 4.75%.

International stocks produced mixed returns as signs of improving economic growth were offset by fears of rising interest rates and a worsening debt crisis in Greece. The MSCI EAFE Index, which measures the world’s developed markets, closed up 5.52% for the period under review.

For the six months ended June 30, 2015:

• American Beacon S&P 500 Index Fund (Investor Class) returned 0.95%.

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

• American Beacon International Equity Index Fund (Institutional Class) returned 6.21%.

Thank you for your continued investment in the American Beacon Funds. For additional information about the Funds or to access your account information, please visit our website at www.americanbeaconfunds.com.

Sincerely,

Gene L. Needles, Jr.

President

American Beacon Funds

1

American Beacon S&P 500^® Index Fund ^†

Performance Overview

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, the return of the Investor Class of the American Beacon S&P 500 Index Fund (the “Fund”) was 0.95%, underperforming the S&P 500^® Index (the “Index”) return of 1.23%.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,3)	AASPX		1.17	%		7.30	%		17.17	%		7.79	%
Investor Class (1,3)	AAFPX		0.95	%		6.79	%		16.62	%		7.30	%
S&P 500 Index (2)			1.23	%		7.42	%		17.34	%		7.89	%

* Not annualized

1. Performance shown is historical and is not indicative of future returns. Investment returns and principal value will vary, and shares may be worth more or less at redemption than at original purchase. Performance shown is 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 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 prospectus for the Institutional and Investor Class shares were 0.13% and 0.58%, respectively. The expense ratios above may vary from the expense ratios presented in other sections of this report which are based on expenses incurred during the period covered by this report.

Performance Summary provided by SSgA Funds Management, Inc.

2015 began with a flurry of divergent Central Bank policy moves in response to an uneven global growth outlook, rapidly declining global inflation and a major anticipated expansion of quantitative easing by the European Central Bank (“ECB”). Many started to wonder if the Federal Reserve (“Fed”) was really prepared to start raising interest rates in the face of weak oil prices as well as monetary easing and currency devaluation from central banks around the world. On January 29, the Fed released its policy statement saying, “The Committee continues to see the risks to the outlook for economic activity and the labor market as nearly balanced. Inflation is anticipated to decline further in the near term, but the Committee expects inflation to rise gradually toward 2 percent over the medium term as the labor market improves further and the transitory effects of lower energy prices and other factors dissipate.” However, in a nod to international events, the Fed did note that they were watching developments for potential impact on the U.S. economy.

After a turbulent January for equity markets, volatility subsided through the month of February as oil prices stabilized and the aggressive pace of global central bank actions witnessed the prior month moderated. After the Royal Bank of Australia cut rates on February 3, the remainder of the month was moderately quiet from a central bank standpoint. Data releases in the U.S. remained upbeat for the month, beginning on February 6, with the release of stronger than expected U.S. Non-Farm Payroll numbers. The positive tone of the U.S. economic data helped the market gain strength.

As widely expected on March 18, the Fed removed the word “patient” from their post-meeting statement, setting the stage for a hike in rates; the Fed was also very careful to say that a lack of “patience” didn’t mean that a rate hike was imminent. The equity market rallied on the news that a rate hike was not in the near future. While the S&P 500 Index saw ups and downs throughout the first quarter of the year, it finished slightly higher for the quarter.

Late in April, the Q1 2015 U.S. GDP disappointed expectations on negative impacts from net exports and non-residential construction. The disruptions in West Coast ports and poor weather likely contributed to the plunge in non-residential construction. With the poor data, U.S. equities sold off. At the end of the month, the Fed did not make any changes to interest rate policy at its scheduled meeting. Despite the April 8 selloff, oil prices rebounded in the month. After April’s bumpy ride for equity investors, May offered some respite as volatility subsided. The May 7 U.S. employment report for April was encouraging as payroll employment rose.

2

American Beacon S&P 500^® Index Fund ^†

Performance Overview

June 30, 2015 (Unaudited)

Housing started to rebound impressively. It was unclear if this is the start of a new stronger trend in home starts or merely reflects starts that may have been delayed due to poor winter weather. On May 20, Federal Open Market Committee minutes showed that the committee viewed weak Q1 data to be transitory and was concerned that any increase in rates might push longer rates substantially higher.

As June came around, U.S. large cap indices continued to trade in a tight range in the month with the S&P 500 hitting a high of 2124.2 on June 23 for the month and a low of 2057.6 on June 29, a mere 3.2% spread. For all of 2015, the U.S. market, as gauged by the S&P 500 Index, was extremely tentative in direction.

For the six month reporting period, exactly half of the sectors posted positive returns. The top performing sector was Health Care with a gain of 9.55%. Consumer Discretionary followed with a return of 6.74%, and Telecommunications posted a return of 3.28%. The bottom performing sector was Utilities, with a return of -10.72%. The largest negative contributor at the sector level was the Energy sector, with a weight of 7.86% and a return of -4.63%.

On an individual security level, the top contributors for the reporting period were: Apple Inc., Amazon.com, Inc., and Gilead Sciences, Inc. The bottom individual security contributors were: Exxon Mobil Corporation, Proctor & Gamble Company, and Intel Corporation.

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.		4.0
Microsoft Corporation		2.0
Exxon Mobil Corporation		1.9
Johnson & Johnson		1.5
General Electric Company		1.5
Wells Fargo & Company		1.4
JPMorgan Chase & Co.		1.4
Berkshire Hathaway Inc. Class B		1.4
Procter & Gamble Company		1.2
Pfizer, Inc.		1.1
Total Fund Holdings	489

* Percent of the Net Assets of State Street Equity 500 Index Portfolio

Sector Allocation (% Equities)*
Information Technology	19.6
Financials	16.6
Health Care	15.4
Consumer Discretionary	12.8
Industrials	10.2
Consumer Staples	9.4
Energy	7.8
Materials	3.2
Utilities	2.8
Telecommunication Services	2.2

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

^†  S&P is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use. “Standard & Poor’s^®,” “S&P^®,” “Standard & Poor’s 500,” “S&P 500^®” and “500” are all trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by State Street Bank and Trust Company. The American Beacon S&P 500 Index Fund is not sponsored, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in this Fund.

3

American Beacon Small Cap Index Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, the Institutional Class of the American Beacon Small Cap Index Fund (the “Fund”) posted a return of 4.86%, slightly outperforming the Russell 2000^® Index (the “Index”) return of 4.75%.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,3)	ASCIX		4.86	%		6.63	%		17.06	%		8.38	%
Russell 2000 Index (2)			4.75	%		6.49	%		17.08	%		8.40	%

* 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 value as of date indicated, and current performance may be lower or higher than the performance data quoted. To obtain performance as of the most recent month end, please visit www.americanbeaconfunds.com or call 1-800-967-9009. Fund performance in the table above does not reflect the deduction of taxes a shareholder would pay on distributions or the redemption of shares.

2. The Russell 2000 Index is an unmanaged index comprising approximately 2,000 smaller-capitalization stocks from various industrial sectors. One cannot invest directly in an index.

3. The total annual Fund operating expense ratio set forth in the most recent prospectus for the Fund was 0.20%. The expense ratio above may vary from the expense ratio presented in other sections of this report which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

The year started with U.S. stock prices falling as lower oil prices punished the energy sector and the negative impact of a stronger dollar began to show in the earnings of large global exporting companies. High valuations in U.S. stocks drove equity investors toward more appealing opportunities overseas. U.S. stocks rebounded in February thanks to increased merger and acquisition activity and strong earnings reports from cyclical technology companies. However, stock prices came under pressure again in March as an improving labor market furthered the appreciation of the U.S. dollar and raised investors’ focus on the timing of an expected Federal Reserve move toward tightening policy. U.S. equities came back into favor in April, after a powerful rally in European equities left valuations in the United States looking more appealing by comparison. U.S. stocks continued to outperform international markets in the following months as increasing turmoil around Greece’s debt troubles drove investors to the relative stability of U.S. markets.

A clear sign of strength has yet to emerge from the blurry U.S. economic picture, as uptrends in the housing and labor markets stand in contrast with consumer caution and productivity languor. This economic unevenness together with still quiescent inflation has kept the Federal Reserve tentative on when to start raising short-term interest rates. However, hiring strength and a modest but concrete pickup in wage growth point to a possible acceleration in the second half of 2015. More investors are now penciling in an autumn rate hike — a significant event that could push market volatility beyond the unusually low levels of the past few years, but most of the ups and downs will likely be short-lived for 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.

4

American Beacon Small Cap Index Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

Top Ten Holdings (% Net Assets)*
Team Health Holdings, Inc.		0.2
MAXIMUS, Inc.		0.2
Investors Bancorp Inc.		0.2
Tyler Technologies, Inc.		0.2
Manhattan Associates, Inc.		0.2
Cepheid		0.2
Neurocrine Biosciences Inc.		0.2
Prosperity Bancshares, Inc.		0.2
HealthSouth Corp.		0.2
West Pharmaceutical Services, Inc.		0.2
Total Fund Holdings	1,989

* Percent of Net Assets of Master Small Cap Index Series

Sector Allocation (% Equities)*
Financials	23.3
Information Technology	16.5
Health Care	15.4
Consumer Discretionary	14.0
Industrials	12.3
Cash	4.1
Materials	3.9
Energy	3.7
Utilities	3.1
Consumer Staples	2.9
Telecommunications	0.8

* Percent of equity portion of Master Small Cap Index Series

5

American Beacon International Equity Index Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, the Institutional Class of the American Beacon International Equity Index Fund (the “Fund”) posted a return of 6.21%, outperforming the MSCI EAFE Index (the “Index”) return of 5.52%. The investment manager’s application of its fair valuation policy during the period was a significant driver of the Fund’s overperformance.

Total Returns for the Period ended 6/30/15

	Ticker	6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,3)	AIIIX		6.21	%		(4.79	)%		9.52	%		5.00	%
MSCI EAFE Index (2)			5.52	%		(4.22	)%		9.54	%		5.12	%

* 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 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 set forth in the most recent prospectus for the Fund was 0.20%. The expense ratio above may vary from the expense ratio presented in other sections of this report, which is based on expenses incurred during the period covered by this report.

Performance Summary provided by BlackRock Investment Management, LLC

In Europe, the economic landscape and company fundamentals broadly continued to improve with the support of the European Central Bank’s large asset purchase program. A strong rally in European equity markets in the earlier part of the period was harshly interrupted as the severity of Greece’s debt troubles dominated headlines. European assets came under pressure as the Greek government’s negotiations with the Troika (i.e., the European Commission, European Central Bank and International Monetary Fund) became increasingly erratic leading up to the June 30 expiration of the most recent bailout package. Market volatility spiked when failure to strike a deal resulted in the Greek government putting the Troika’s proposal to a public vote. For the six-month period as a whole, European equities broadly produced positive results, with the strongest performance coming from markets in Denmark, Ireland, Italy and Portugal.

Japanese stocks experienced a powerful rally during the period, driven largely by increased domestic demand. Japan’s finance leaders effectively encouraged retail investors to take more risk with the introduction of new tax-efficient investment vehicles. In the institutional arena, the Government Pension Investment Fund has been shifting away from Japanese government bonds toward equities and foreign bonds. A weak yen and optimism around the reform of corporate governance policies has also helped stock prices move higher.

For the six-month period the strongest performance came from Denmark (up 18.55%), Japan (up 13.62%), Ireland (up 12.43%), Hong Kong (up 11.90%) and Italy (up 9.50%). The weakest performance came from New Zealand (down 14.63%), Australia (down 3.28%), Spain (down 2.61%), Singapore (down 1.96%) and Finland (down 1.50%).

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.

6

American Beacon International Equity Index Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

Top Ten Holdings (% Net Assets)*
Nestle S.A.		1.8
Novartis AG		1.7
Roche Holding Ltd.		1.5
Toyota Motor Corp.		1.4
HSBC Holdings PLC		1.3
BP PLC		0.9
Sanofi S.A.		0.9
Bayer AG		0.9
Royal Dutch Shell PLC		0.8
Commonwealth Bank of Australia		0.8
Total Fund Holdings	952

* Percent of Net Assets of the Master International Index Series

Sector Allocation (% Equities)*
Financials	25.8
Consumer Discretionary	12.9
Industrials	12.4
Health Care	11.0
Consumer Staples	10.7
Materials	7.2
Energy	5.1
Telecommunications	4.8
Information Technology	4.7
Utilities	3.5
Other	1.9

* Percent of equity portion of Master International Index Series

ALL COUNTRY WEIGHTINGS (% of Long-Term Investments)*	FUND
Japan	22.9
United Kingdom	20.4
France	9.2
Switzerland	9.0
Germany	8.9
Australia	7.0
Spain	3.4
Netherlands	3.2
Hong Kong	3.2
Sweden	2.9
Italy	2.4
Denmark	1.6
Belgium And Luxembourg	1.5
Singapore	1.4
Finland	0.8
Norway	0.6
Israel	0.6
Ireland	0.3
Austria	0.2
New Zealand	0.1
Portugal	0.1
China Offshore	0.1
United States	0.1
Others	0.1
Mexico	0.0

* Percent of equity portion of Master International Index Series

7

American Beacon Funds^SM

Fund Expenses

June 30, 2015 (Unaudited)

Fund Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in a particular Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2015 through June 30, 2015.

Actual Expenses

The following table provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the “Expenses Paid During Period” row to estimate the expenses you paid on your account during this period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA or Roth IRA may be subject to a custodial IRA fee of $15 that is typically deducted each December. If your account was subject to a custodial IRA fee during the period, your costs would have been $15 higher.

Actual

Institutional Class	S&P 500 Index			Small Cap Index			International Equity Index			Investor Class	S&P 500 Index
Beginning Account Value 1/1/15	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 1/1/15	$	1,000.00
Ending Account Value 6/30/15	$	1,011.66		$	1,048.61		$	1,062.07		Ending Account Value 6/30/15	$	1,009.51
Expenses Paid During Period* 1/1/15 - 6/30/15	$	0.60		$	0.80		$	0.95		Expenses Paid During Period* 1/1/15 - 6/30/15	$	2.89
Annualized Expense Ratio		0.12	%		0.16	%		0.19	%	Annualized Expense Ratio		0.58	%

Hypothetical Example for Comparison Purposes

The following table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the Fund’s actual return). You may compare the ongoing costs of investing in a particular Fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Shareholders of the Institutional and Investor Classes that invest in a Fund through an IRA 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 1/1/15	$	1,000.00		$	1,000.00		$	1,000.00		Beginning Account Value 1/1/15	$	1,000.00
Ending Account Value 6/30/15	$	1,024.20		$	1,024.00		$	1,023.85		Ending Account Value 6/30/15	$	1,021.92
Expenses Paid During Period* 1/1/15 - 6/30/15	$	0.60		$	0.80		$	0.95		Expenses Paid During Period* 1/1/15 - 6/30/15	$	2.91
Annualized Expense Ratio		0.12	%		0.16	%		0.19	%	Annualized Expense Ratio		0.58	%

* Expenses are equal to each Fund’s annualized expense ratio for the six-month period multiplied by the average account value over the period, multiplied by the number derived by dividing the number of days in the most recent fiscal half-year (181) by days in the year (365) to reflect the half-year period.

8

American Beacon Funds^SM

Statements of Assets and Liabilities

June 30, 2015 (Unaudited) (in thousands, except share and per share amounts)

	S&P 500 Index Fund			Small Cap Index Fund			International Equity Index Fund
Assets:
Investment in Portfolio, at fair value	$	1,318,296		$	371,982		$	608,885
Receivable for fund shares sold		447			—			258
Prepaid expenses		28			3			12
Total assets		1,318,771			371,985			609,155
Liabilities:
Payable for fund shares redeemed		794			106			8,399
Administrative service and service fees payable (Note 2)		66			14			24
Printing fees payable		41			18			32
Professional fees payable		26			11			17
Sub-administration fees payable		—			24			137
Transfer agent fees payable		5			—			7
Trustee fees payable		26			1			8
Other liabilities		1			6			14
Total liabilities		959			180			8,638
Net Assets	$	1,317,812		$	371,805		$	600,517
Analysis of Net Assets:
Paid-in-capital		1,007,424			308,098			582,129
Undistributed net investment income		6,924			1,745			9,326
Accumulated net realized gain (loss)		(32,916	)		11,337			(90,562	)
Unrealized net appreciation (depreciation) of investments		337,618			50,703			99,959
Unrealized net appreciation (depreciation) of foreign currency contracts		—			—			(120	)
Unrealized net appreciation (depreciation) of futures contracts		(1,238	)		(78	)		(215	)
Net assets	$	1,317,812		$	371,805		$	600,517
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		45,470,791			20,040,321			54,850,916
Investor Class		1,311,288			N/A			N/A
Net assets (not in thousands):
Institutional Class	$	1,281,230,566		$	371,804,600		$	600,516,897
Investor Class	$	36,581,073		$	N/A		$	N/A
Net asset value, offering and redemption price per share:
Institutional Class	$	28.18		$	18.55		$	10.95
Investor Class	$	27.90		$	N/A		$	N/A

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

9

American Beacon Funds^SM

Statements of Operations

For the Six Months ended June 30, 2015 (Unaudited) (in thousands)

	S&P 500 Index Fund			Small Cap Index Fund			International Equity Index Fund
Investment Income (expense) Allocated From Portfolio:
Dividend income (net of foreign taxes)A	$	13,558		$	1,734		$	11,361
Interest income		14			5			(7	)
Securities lending income		—			294			27
Portfolio expenses (net of fees waived)B		(300	)		(97	)		(137	)
Net investment income allocated from Portfolio		13,272			1,936			11,244
Fund Expenses:
Administrative service fees (Note 2):
Institutional Class		323			74			148
Investor Class		47			—			—
Sub-administrative service fees:
Institutional Class		—			8			140
Transfer agent fees:
Institutional Class		18			4			20
Investor Class		3			—			—
Custody and accounting fees		6			6			6
Professional fees		22			12			17
Registration fees		24			5			18
Service fees - Investor Class (Note 2)		47			—			—
Printing expense		56			17			40
Trustee fees		—			4			15
Insurance expense		—			1			4
Other expenses		48			4			23
Total fund expenses		594			135			431
Net investment income		12,678			1,801			10,813
Realized and unrealized gain (loss) allocated from master portfolio
Net realized gain (loss) from:
Investments		13,102			10,600			(3,361	)
Foreign currency transactions		—			—			(524	)
Futures contracts		1,933			419			1,438
Change in net unrealized appreciation or (depreciation) of:
Investments		(10,590	)		1,740			26,730
Foreign currency transactions		—			—			(96	)
Futures contracts		(1,384	)		(141	)		(1,042	)
Net gain on investments		3,061			12,618			23,145
Net increase in net assets resulting from operations	$	15,739		$	14,419		$	33,958
A    Foreign taxes	$	—		$	1		$	1,630
B    Fees waived by Master Portfolio	$	—		$	4		$	1

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

10

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
	Six Months ended June 30, 2015			Year ended December 31, 2014			Six Months ended June 30, 2015			Year ended December 31, 2014			Six Months ended June 30, 2015			Year ended December 31, 2014
	(unaudited)						(unaudited)						(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	12,678		$	20,766		$	1,801		$	2,344		$	10,813		$	21,776
Net realized gain (loss) from investments, foreign currency, and futures contracts		15,035			7,028			11,019			11,393			(2,447	)		(5,180	)
Change in net unrealized appreciation or (depreciation) of investments, foreign currency contracts, and futures contracts		(11,974	)		114,170			1,599			(8,729	)		25,592			(52,580	)
Net increase (decrease) in net assets resulting from operations		15,739			141,964			14,419			5,008			33,958			(35,984	)
Distributions to Shareholders:
Net investment income:
Institutional Class		(6,236	)		(20,038	)		—			(2,348	)		—			(22,032	)
Investor Class		(137	)		(494	)		—			—			—			—
Net realized gain from investments:
Institutional Class		—			—			—			(11,017	)		—			—
Investor Class		—			—			—			—			—			—
Total distributions to shareholders		(6,373	)		(20,532	)		—			(13,365	)		—			(22,032	)
Capital Share Transactions:
Proceeds from sales of shares		77,933			292,446			218,096			50,423			67,282			140,139
Reinvestment of dividends and distributions		6,290			20,303			—			13,365			—			21,268
Cost of shares redeemed		(82,975	)		(97,222	)		(7,901	)		(193,795	)		(58,076	)		(175,775	)
Net increase (decrease) in net assets from capital share transactions		1,248			215,527			210,195			(130,007	)		9,206			(14,368	)
Net increase (decrease) in net assets		10,614			336,959			224,614			(138,364	)		43,164			(72,384	)
Net Assets:
Beginning of period		1,307,198			970,239			147,191			285,555			557,353			629,737
End of Period *	$	1,317,812		$	1,307,198		$	371,805		$	147,191		$	600,517		$	557,353
*  Includes undistributed (or over distribution of) net investment income of	$	6,924		$	621		$	1,745		$	(56	)	$	9,326		$	(1,487	)

See accompanying notes

See accompanying Financial Statements of the respective Master Portfolios

11

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”), 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. As of June 30, 2015, the Trust consists of thirty-one active series, three of which are presented in this filing (each a “Fund” and collectively, the “Funds”): American Beacon S&P 500 Index Fund (closed to new investors), American Beacon Small Cap Index Fund (closed to new investors), and American Beacon International Equity Index Fund (closed to new investors). The remaining twenty-eight active series are reported in separate filings.

Effective April 30, 2015, American Beacon Advisors, Inc. (the “Manager”) became a wholly-owned subsidiary of Astro AB Borrower, Inc., which is indirectly owned by investment funds affiliated with Kelso & Company, L.P. and Estancia Capital Management, LLC, two prominent private equity firms. Prior to April 30, the Manager was a wholly-owned subsidiary of Lighthouse Holdings, Inc., which was indirectly owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, L.P., two leading private equity firms.

Each Fund invests all of its investable assets in a corresponding portfolio. The State Street Equity 500 Index Portfolio, Master Small Cap Index Series and the Master International Index Series (each a “Portfolio” and collectively the “Portfolios”) are open-ended management investment companies registered under the Act. The value of such investment reflects each Fund’s proportionate interest in the net assets of the corresponding Portfolio.

American Beacon:	Portfolios:	% of Portfolio Held  by Fund at June 30, 2015
S&P 500 Index Fund	State Street Equity 500 Index Portfolio		44.93	%
Small Cap Index Fund	Master Small Cap Index Series		37.04	%
International Equity Index Fund	Master International Index Series		16.53	%

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

Class Disclosure

The S&P 500 Index Fund has two classes of shares designed to meet the needs of different groups of investors. The following table sets forth the differences between the classes:

Class:	Offered to:
Institutional Class	Investors making an initial investment of $250,000
Investor Class	General public and investors investing through an intermediary

Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary between the classes as described more fully in Note 2.

Recently Adopted 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

12

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

investment company. The Funds adopted this ASU for the fiscal year ended December 31, 2015. 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 an annualized fee of 0.25% of the average daily net assets of the Investor Class of the S&P 500 Index Fund.

Service Plans

The Manager and the Trust entered into a Service Plan that obligates the Manager to oversee additional shareholder servicing of the Investor Class of the 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 0.09% 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 market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund’s policy is to fair value financial investment in the Portfolio at fair value based on the Fund’s apportionate interest in the net assets of the Portfolios. Valuation of securities held by the Portfolios is discussed in the accompanying Notes to the Financial Statements of the respective Portfolios attached.

Investment Income

Each Fund records its share of net investment income and realized and unrealized gains and losses from the security transactions of its corresponding Portfolio each day. All net investment income and realized and unrealized gains (losses) of each Portfolio are allocated pro rata among the investors in that Portfolio at the time of such determination.

Dividends to Shareholders

Dividends from net investment income of the Small Cap Index and International Equity Index Funds normally will be declared and paid annually. The S&P 500 Index Fund normally will declare and pay dividends quarterly. Distributions, if any, of net realized capital gains are generally paid annually and recorded on the ex-dividend date.

13

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

Allocation of Income, Expenses, Gains and Losses

Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Valuation of Shares

The price per share is calculated on each day on which shares are offered for sale. NAV per share is computed by dividing the value of each Fund’s total assets (which includes the value of the Fund’s investments in its Portfolio) less liabilities, by the number of Fund shares outstanding.

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 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):

14

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

	S&P 500 Index				Small Cap Index				International Equity Index
	Six Months Ended June  30, 2015		Year Ended December  31, 2014		Six Months Ended June  30, 2015		Year Ended December  31, 2014		Six Months Ended June  30, 2015		Year Ended December  31, 2014
	(unaudited)				(unaudited)				(unaudited)
Distributions paid from:
Ordinary income:*
Institutional Class	$	6,236	$	20,038	$	—	$	2,348	$	—	$	22,032
Investor Class		137		494		—		—		—		—
Long-term capital gains:
Institutional Class		—		—		—		11,017		—		—
Investor Class		—		—		—		—		—		—
Total distributions paid	$	6,373	$	20,532	$	—	$	13,365	$	—	$	22,032

* For tax purposes short-term capital gains distributions are considered ordinary income distributions.

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 incurred that will be carried forward under the provisions of RIC MOD are as follows (in thousands):

	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 are as follows (in thousands):

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

5. Capital Share Transactions

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

For the Six Months ended June 30, 2015

	Institutional Class						Investor Class
S&P 500 Index Fund	Shares			Amount			Shares			Amount
Shares sold		2,687		$	76,007			69		$	1,926
Reinvestment of dividends		220			6,158			5			132
Shares redeemed		(2,780	)		(79,220	)		(134	)		(3,755	)
Net increase (decrease) in shares outstanding		127		$	2,945			(60	)	$	(1,697	)

	Institutional Class
Small Cap Index Fund	Shares			Amount
Shares sold		12,146		$	218,096
Reinvestment of dividends		—			—
Shares redeemed		(427	)		(7,901	)
Net increase in shares outstanding		11,719		$	210,195

15

American Beacon Funds^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

	Institutional Class
International Equity Index Fund	Shares			Amount
Shares sold		6,151		$	67,282
Reinvestment of dividends		—			—
Shares redeemed		(5,367	)		(58,076	)
Net increase in shares outstanding		784		$	9,206

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	)

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17

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2015			2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	27.99		$	25.10		$	19.35		$	17.05		$	17.07		$	15.15
Income from investment operations:
Net investment income:A		0.27			0.49			0.43			0.39			0.34			0.29
Net gain (loss) from investments (both realized and unrealized)		0.06			2.88			5.74			2.31			(0.02	)		1.95
Total income (loss) from investment operations		0.33			3.37			6.17			2.70			0.32			2.24
Less distributions:
Dividends from net investment income		(0.14	)		(0.48	)		(0.42	)		(0.40	)		(0.34	)		(0.32	)
Tax return of capital		—			—			—			—			(0.00	)B		—
Total distributions		(0.14	)		(0.48	)		(0.42	)		(0.40	)		(0.34	)		(0.32	)
Net asset value, end of period	$	28.18		$	27.99		$	25.10		$	19.35		$	17.05		$	17.07
Total return C		1.17	%D		13.55	%		32.15	%		15.87	%		1.92	%		14.96	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	1,281,231		$	1,269,143		$	941,930		$	649,457		$	422,337		$	381,592
Ratios to average net assets:A
Net investment income		1.92	%E		1.90	%		1.95	%		2.19	%		1.95	%		1.90	%
Expenses, including expenses allocated from the master portfolio		0.12	%D		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.

^D Not annualized.

^E Annualized.

18

American Beacon S&P 500 Index Fund

Financial Highlights

(For a share outstanding throughout each period)

Investor Class
Six Months ended June 30,			Year Ended December 31,
2015			2014			2013			2012			2011			2010
(unaudited)
$	27.74		$	24.89		$	19.19		$	16.82		$	16.88		$	15.00
	0.20			0.40			0.37			0.31			0.22			0.15
	0.06			2.82			5.65			2.25			0.02			1.99
	0.26			3.22			6.02			2.56			0.24			2.14
	(0.10	)		(0.37	)		(0.32	)		(0.19	)		(0.30	)		(0.26	)
	—			—			—			—			0.00	B		—
	(0.10	)		(0.37	)		(0.32	)		(0.19	)		(0.30	)		(0.26	)
$	27.90		$	27.74		$	24.89		$	19.19		$	16.82		$	16.88
	0.95	%D		13.02	%		31.56	%		15.25	%		1.44	%		14.43	%
$	36,581		$	38,055		$	28,309		$	18,174		$	16,154		$	17,707
	1.46	%E		1.43	%		1.48	%		1.67	%		1.44	%		1.42	%
	0.58	%D		0.58	%		0.60	%		0.63	%		0.64	%		0.60	%

19

American Beacon Small Cap Index Fund^SM

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2015			2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	17.69		$	18.57		$	13.52		$	11.86		$	12.64		$	10.06
Income from investment operations:
Net investment incomeA		0.20			0.23			0.22			0.21			0.19			0.13
Net gain (loss) from investments and futures transactions (both realized and unrealized)		0.66			0.66			5.05			1.73			(0.76	)		2.59
Total income (loss) from investment operations		0.86			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	$	18.55		$	17.69		$	18.57		$	13.52		$	11.86		$	12.64
Total return D		4.86	%E		4.86	%		38.98	%		16.36	%		(4.54	)%		27.05	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	371,805		$	147,191		$	285,555		$	186,660		$	43,157		$	93,138
Ratios to average net assets:A
Net investment income		1.21	%F		1.13	%		1.34	%		2.23	%		1.04	%		1.21	%
Expenses, including expenses allocated from the master portfolio		0.16	%E		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.

^E Not annualized.

^F Annualized.

20

American Beacon International Equity Index Fund^SM

Financial Highlights

(For a share outstanding throughout each period)

	Institutional Class
	Six Months ended June 30,			Year Ended December 31,
	2015			2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	10.31		$	11.43		$	9.65		$	8.36		$	9.87		$	9.38
Income from investment operations:
Net investment incomeA		0.21			0.41			0.29			0.25			0.29			0.22
Net gain (loss) from investments, foreign currency contracts, and futures transactions (both realized and unrealized)		0.43			(1.11	)		1.79			1.29			(1.51	)		0.49
Total income (loss) from investment operations		0.64			(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	$	10.95		$	10.31		$	11.43		$	9.65		$	8.36		$	9.87
Total return B		6.21	%C		(6.19	)%		21.66	%		18.42	%		(12.29	)%		7.57	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	600,517		$	557,353		$	629,737		$	480,900		$	321,592		$	326,055
Ratios to average net assets:A
Net investment income		3.64	%D		3.45	%		2.80	%		3.28	%		3.26	%		2.66	%
Expenses, including expenses allocated from the master portfolio		0.19	%C		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.

^C Not annualized.

^D  Annualized.

21

American Beacon Funds^SM

Results of Shareholder Meeting (Unaudited)

Special meetings of shareholders of each of the portfolios of the American Beacon Funds (the “Trust”) were held on April 7 and April 28, 2015. The shareholders of the International Equity Index, S&P 500 Index and Small Cap Index Funds (the “Funds”) approved a new investment management agreement between American Beacon Advisors, Inc. and the Funds. Approval of this proposal required a majority of the outstanding voting securities of each Fund. The following are the results of the shareholder votes for this proposal:

Funds	For		Against		Abstain		Non-Voting
S&P 500 Index Fund		1,222,024,825.15		224,282.69		278,686.30		29,793,903.30
Small Cap Index Fund		231,831,077.40		0		0		N/A
International Equity Index Fund		476,221,805.35		4,889.06		129,683.15		700,432.40

Special meetings of shareholders of the Trust were held on April 7 and April 28, 2015. The shareholders of the Trust approved the re-election of nine of the current Trustees to the Board of the Trust and the election of two additional Trustees to the Board. Approval of this proposal required a plurality vote of the Trust’s shares. The following are the results of the election of each Trustee:

Gilbert G. Alvarado
Affirmative	16,655,574,211.10
Withhold	242,060,281.87
Joseph B. Armes
Affirmative	16,653,130,207.99
Withhold	244,504,284.98
Gerard J. Arpey
Affirmative	16,659,813,172.19
Withhold	237,821,320.78
W. Humphrey Bogart
Affirmative	16,532,151,093.14
Withhold	365,483,399.83
Brenda A. Cline
Affirmative	16,662,050,138.08
Withhold	235,584,354.89
Eugene J. Duffy
Affirmative	16,430,210,258.21
Withhold	467,424,234.76
Thomas M. Dunning
Affirmative	16,651,792,247.83
Withhold	245,842,245.14
Alan D. Feld
Affirmative	14,899,039,186.08
Withhold	1,998,595,306.89
Richard A. Massman
Affirmative	16,651,582,060.07
Withhold	246,052,432.90
Barbara J. McKenna
Affirmative	16,435,773,869.81
Withhold	461,860,623.16
R. Gerald Turner
Affirmative	16,653,429,720.08
Withhold	244,204,772.89

22

State Street Equity 500 Index Portfolio

Semi-Annual Report

June 30, 2015

23

State Street Equity 500 Index Portfolio

Portfolio of Investments

June 30, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – 97.8%
Consumer Discretionary – 12.5%
Amazon.com, Inc.(a)		59,602	$	25,872,632
AutoNation, Inc.(a)		12,469		785,298
AutoZone, Inc.(a)		4,988		3,326,497
Bed Bath & Beyond, Inc.(a)		25,130		1,733,467
Best Buy Co., Inc.		44,213		1,441,786
BorgWarner, Inc.		36,423		2,070,283
Cablevision Systems Corp. Class A		30,812		737,639
CarMax, Inc.(a)		32,197		2,131,763
Carnival Corp.		69,149		3,415,269
CBS Corp. Class B		72,993		4,051,111
Chipotle Mexican Grill, Inc.(a)		5,014		3,033,420
Coach, Inc.		45,800		1,585,138
Comcast Corp. Class A		395,665		23,795,293
D.R. Horton, Inc.		50,179		1,372,897
Darden Restaurants, Inc.		20,917		1,486,780
Delphi Automotive PLC		47,381		4,031,649
DIRECTV(a)		79,675		7,393,043
Discovery Communications, Inc. Class A(a)		21,597		718,316
Discovery Communications, Inc. Class C(a)		39,797		1,236,891
Dollar General Corp.		48,287		3,753,831
Dollar Tree, Inc.(a)		33,793		2,669,309
Expedia, Inc.		15,023		1,642,765
Family Dollar Stores, Inc.		16,865		1,329,131
Ford Motor Co.		606,560		9,104,466
Fossil Group, Inc.(a)		7,617		528,315
GameStop Corp. Class A		16,878		725,079
Gannett Co., Inc.(a)		17,126		239,593
Gap, Inc.		44,764		1,708,642
Garmin Ltd.		19,560		859,271
General Motors Co.		214,477		7,148,518
Genuine Parts Co.		24,420		2,186,323
Goodyear Tire & Rubber Co.		40,813		1,230,512
H&R Block, Inc.		45,551		1,350,587
Hanesbrands, Inc.		62,600		2,085,832
Harley-Davidson, Inc.		33,585		1,892,515
Harman International Industries, Inc.		10,405		1,237,571
Hasbro, Inc.		19,928		1,490,415
Home Depot, Inc.		206,910		22,993,908
Interpublic Group of Cos., Inc.		62,228		1,199,134
Johnson Controls, Inc.		102,206		5,062,263
Kohl’s Corp.		33,588		2,102,945
L Brands, Inc.		39,546		3,390,279
Leggett & Platt, Inc.		20,944		1,019,554
Lennar Corp. Class A		26,425		1,348,732
Lowe’s Cos., Inc.		144,712		9,691,363
Macy’s, Inc.		53,161		3,586,773
Marriott International, Inc. Class A		33,797		2,514,159
Mattel, Inc.		56,543		1,452,590
McDonald’s Corp.		149,715		14,233,405
Michael Kors Holdings, Ltd.(a)		33,686		1,417,844
Mohawk Industries, Inc.(a)		9,669		1,845,812
Netflix, Inc.(a)		9,628		6,325,018
Newell Rubbermaid, Inc.		41,451		1,704,051
News Corp. Class A(a)		86,114		1,256,403
NIKE, Inc. Class B		110,751		11,963,323

	Shares		Value
Nordstrom, Inc.		23,856	$	1,777,272
O’Reilly Automotive, Inc.(a)		15,320		3,462,014
Omnicom Group, Inc.		38,550		2,678,839
Priceline Group, Inc.(a)		8,108		9,335,308
PulteGroup, Inc.		47,343		953,961
PVH Corp.		12,451		1,434,355
Ralph Lauren Corp.		9,236		1,222,477
Ross Stores, Inc.		67,544		3,283,314
Royal Caribbean Cruises, Ltd.		25,100		1,975,119
Scripps Networks Interactive, Inc. Class A		15,263		997,742
Staples, Inc.		95,234		1,458,032
Starbucks Corp.		235,092		12,604,458
Starwood Hotels & Resorts Worldwide, Inc.		25,244		2,047,036
Target Corp.		99,044		8,084,962
TEGNA, Inc.		34,252		1,098,462
Tiffany & Co.		18,581		1,705,736
Time Warner Cable, Inc.		44,474		7,923,933
Time Warner, Inc.		130,780		11,431,480
TJX Cos., Inc.		109,375		7,237,344
Tractor Supply Co.		22,674		2,039,300
TripAdvisor, Inc.(a)		19,015		1,656,967
Twenty-First Century Fox, Inc. Class A		283,409		9,223,546
Under Armour, Inc. Class A(a)		25,076		2,092,341
Urban Outfitters, Inc.(a)		15,839		554,365
V.F. Corp.		53,528		3,733,043
Viacom, Inc. Class B		57,541		3,719,450
Walt Disney Co.		245,593		28,031,985
Whirlpool Corp.		12,459		2,156,030
Wyndham Worldwide Corp.		19,646		1,609,204
Wynn Resorts, Ltd.		11,859		1,170,127
Yum! Brands, Inc.		67,990		6,124,539
				367,332,144
Consumer Staples – 9.2%
Altria Group, Inc.		309,070		15,116,614
Archer-Daniels-Midland Co.		102,992		4,966,274
Brown-Forman Corp. Class B		24,161		2,420,449
Campbell Soup Co.		30,583		1,457,280
Clorox Co.		19,379		2,015,804
Coca-Cola Co.		614,722		24,115,544
Coca-Cola Enterprises, Inc.		35,313		1,533,997
Colgate-Palmolive Co.		134,579		8,802,812
ConAgra Foods, Inc.		66,051		2,887,750
Constellation Brands, Inc. Class A		27,076		3,141,357
Costco Wholesale Corp.		68,834		9,296,720
CVS Health Corp.		175,627		18,419,760
Dr. Pepper Snapple Group, Inc.		31,703		2,311,149
Estee Lauder Cos., Inc. Class A		36,263		3,142,552
General Mills, Inc.		94,522		5,266,766
Hershey Co.		23,615		2,097,720
Hormel Foods Corp.		23,349		1,316,183
J.M. Smucker Co.		14,855		1,610,431
Kellogg Co.		40,207		2,520,979
Keurig Green Mountain, Inc.		18,089		1,386,160
Kimberly-Clark Corp.		57,473		6,090,414
Kraft Foods Group, Inc.		90,751		7,726,540
Kroger Co.		76,955		5,580,007
McCormick & Co., Inc.		20,261		1,640,128

See Notes to Financial Statements.

24

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
Mead Johnson Nutrition Co.		30,568	$	2,757,845
Molson Coors Brewing Co. Class B		23,509		1,641,163
Mondelez International, Inc. Class A		255,994		10,531,593
Monster Beverage Corp.(a)		23,647		3,169,171
PepsiCo, Inc.		231,738		21,630,425
Philip Morris International, Inc.		245,087		19,648,625
Procter & Gamble Co.		423,461		33,131,589
Reynolds American, Inc.		65,846		4,916,062
Sysco Corp.		93,735		3,383,833
Tyson Foods, Inc. Class A		44,691		1,905,177
Wal-Mart Stores, Inc.		248,299		17,611,848
Walgreens Boots Alliance, Inc.		137,213		11,586,266
Whole Foods Market, Inc.		55,587		2,192,351
				268,969,338
Energy – 7.7%
Anadarko Petroleum Corp.		81,044		6,326,295
Apache Corp.		60,570		3,490,649
Baker Hughes, Inc.		69,094		4,263,100
Cabot Oil & Gas Corp.		65,622		2,069,718
Cameron International Corp.(a)		30,467		1,595,557
Chesapeake Energy Corp.		78,594		877,895
Chevron Corp.		294,834		28,442,636
Cimarex Energy Co.		13,242		1,460,725
ConocoPhillips		191,303		11,747,917
CONSOL Energy, Inc.		32,173		699,441
Devon Energy Corp.		59,550		3,542,629
Diamond Offshore Drilling, Inc.		9,954		256,913
Ensco PLC Class A		32,889		732,438
EOG Resources, Inc.		86,263		7,552,326
EQT Corp.		22,243		1,809,246
Exxon Mobil Corp.		657,072		54,668,390
FMC Technologies, Inc.(a)		39,709		1,647,526
Halliburton Co.		130,167		5,606,293
Helmerich & Payne, Inc.		18,874		1,329,107
Hess Corp.		38,344		2,564,447
Kinder Morgan, Inc.		272,976		10,479,549
Marathon Oil Corp.		109,289		2,900,530
Marathon Petroleum Corp.		87,602		4,582,461
Murphy Oil Corp.		24,962		1,037,670
National Oilwell Varco, Inc.		57,941		2,797,391
Newfield Exploration Co.(a)		29,185		1,054,162
Noble Corp. PLC		37,996		584,758
Noble Energy, Inc.		62,595		2,671,555
Occidental Petroleum Corp.		121,135		9,420,669
ONEOK, Inc.		31,504		1,243,778
Phillips 66		85,692		6,903,347
Pioneer Natural Resources Co.		23,524		3,262,543
Range Resources Corp.		24,841		1,226,648
Schlumberger, Ltd.		202,072		17,416,586
Southwestern Energy Co.(a)		63,944		1,453,447
Spectra Energy Corp.		104,141		3,394,997
Tesoro Corp.		20,049		1,692,336
Transocean, Ltd.		47,690		768,763
Valero Energy Corp.		83,386		5,219,964
Williams Cos., Inc.		108,410		6,221,650
				225,016,052

	Shares		Value
Financials – 16.1%
ACE, Ltd.		52,067	$	5,294,173
Affiliated Managers Group, Inc.(a)		8,476		1,852,854
Aflac, Inc.		69,737		4,337,641
Allstate Corp.		63,967		4,149,539
American Express Co.		139,752		10,861,525
American International Group, Inc.		213,332		13,188,184
American Tower Corp. REIT		66,982		6,248,751
Ameriprise Financial, Inc.		29,963		3,743,278
Aon PLC		45,682		4,553,582
Apartment Investment & Management Co. Class A REIT		27,165		1,003,203
Assurant, Inc.		10,846		726,682
AvalonBay Communities, Inc. REIT		21,029		3,361,906
Bank of America Corp.		1,655,566		28,177,733
Bank of New York Mellon Corp.		171,591		7,201,674
BB&T Corp.		116,439		4,693,656
Berkshire Hathaway, Inc. Class B(a)		287,519		39,134,211
BlackRock, Inc.		20,118		6,960,426
Boston Properties, Inc. REIT		24,821		3,004,334
Capital One Financial Corp.		88,868		7,817,718
CBRE Group, Inc.(a)		42,908		1,587,596
Charles Schwab Corp.		181,489		5,925,616
Chubb Corp.		35,896		3,415,145
Cincinnati Financial Corp.		23,305		1,169,445
Citigroup, Inc.		474,493		26,210,993
CME Group, Inc.		49,092		4,568,501
Comerica, Inc.		25,917		1,330,060
Crown Castle International Corp. REIT		51,842		4,162,913
Discover Financial Services		72,977		4,204,935
E*TRADE Financial Corp.(a)		43,889		1,314,476
Equity Residential REIT		56,238		3,946,220
Essex Property Trust, Inc. REIT		9,555		2,030,437
Fifth Third Bancorp		136,554		2,843,054
Franklin Resources, Inc.		62,651		3,071,779
General Growth Properties, Inc. REIT		100,542		2,579,908
Genworth Financial, Inc. Class A(a)		71,189		538,901
Goldman Sachs Group, Inc.		63,688		13,297,417
Hartford Financial Services Group, Inc.		70,630		2,936,089
HCP, Inc. REIT		69,777		2,544,767
Health Care REIT, Inc.		55,581		3,647,781
Host Hotels & Resorts, Inc. REIT		113,659		2,253,858
Hudson City Bancorp, Inc.		66,376		655,795
Huntington Bancshares, Inc.		122,865		1,389,603
Intercontinental Exchange, Inc.		17,525		3,918,765
Invesco Ltd.		65,489		2,455,183
Iron Mountain, Inc. REIT		33,274		1,031,494
JPMorgan Chase & Co.		587,672		39,820,655
KeyCorp		128,679		1,932,759
Kimco Realty Corp. REIT		64,016		1,442,921
Legg Mason, Inc.		15,615		804,641
Leucadia National Corp.		47,809		1,160,802

See Notes to Financial Statements.

25

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Financials – (continued)
Lincoln National Corp.		40,310	$	2,387,158
Loews Corp.		48,012		1,848,942
M&T Bank Corp.		21,534		2,690,243
Macerich Co. REIT		20,945		1,562,497
Marsh & McLennan Cos., Inc.		82,934		4,702,358
McGraw Hill Financial, Inc.		43,298		4,349,284
MetLife, Inc.		175,626		9,833,300
Moody’s Corp.		26,634		2,875,407
Morgan Stanley		239,155		9,276,822
NASDAQ OMX Group, Inc.		21,225		1,035,992
Navient Corp.		59,941		1,091,526
Northern Trust Corp.		35,310		2,699,803
People’s United Financial, Inc.		49,334		799,704
Plum Creek Timber Co., Inc. REIT		27,186		1,102,936
PNC Financial Services Group, Inc.		82,842		7,923,837
Principal Financial Group, Inc.		45,626		2,340,158
Progressive Corp.		85,852		2,389,261
ProLogis, Inc. REIT		80,147		2,973,454
Prudential Financial, Inc.		73,437		6,427,206
Public Storage, Inc. REIT		22,852		4,213,223
Realty Income Corp. REIT		35,500		1,575,845
Regions Financial Corp.		213,143		2,208,161
Simon Property Group, Inc. REIT		48,935		8,466,734
State Street Corp.(b)		66,647		5,131,819
SunTrust Banks, Inc.		78,882		3,393,504
T. Rowe Price Group, Inc.		41,420		3,219,577
Torchmark Corp.		19,384		1,128,536
Travelers Cos., Inc.		51,098		4,939,133
U.S. Bancorp		278,230		12,075,182
Unum Group		43,424		1,552,408
Ventas, Inc. REIT		51,003		3,166,776
Vornado Realty Trust REIT		27,746		2,633,928
Wells Fargo & Co.		735,046		41,338,987
Weyerhaeuser Co. REIT		81,681		2,572,951
XL Group PLC		48,220		1,793,784
Zions Bancorporation		31,258		991,973
				473,215,988
Health Care – 15.0%
Abbott Laboratories		233,759		11,472,892
AbbVie, Inc.		270,563		18,179,128
Aetna, Inc.		55,415		7,063,196
Agilent Technologies, Inc.		52,075		2,009,054
Alexion Pharmaceuticals, Inc.(a)		35,227		6,367,985
Allergan PLC(a)		61,526		18,670,680
AmerisourceBergen Corp.		33,552		3,567,920
Amgen, Inc.		119,991		18,421,018
Anthem, Inc.		42,119		6,913,413
Baxter International, Inc.		86,645		6,059,085
Becton Dickinson and Co.		33,504		4,745,842
Biogen, Inc.(a)		37,347		15,085,947
Boston Scientific Corp.(a)		208,377		3,688,273
Bristol-Myers Squibb Co.		261,112		17,374,392
C.R. Bard, Inc.		11,162		1,905,353
Cardinal Health, Inc.		52,424		4,385,268
Celgene Corp.(a)		125,265		14,497,545
Cerner Corp.(a)		47,263		3,263,983

	Shares		Value
CIGNA Corp.		39,511	$	6,400,782
DaVita HealthCare Partners, Inc.(a)		26,572		2,111,677
DENTSPLY International, Inc.		20,166		1,039,557
Edwards Lifesciences Corp.(a)		16,445		2,342,261
Eli Lilly & Co.		152,857		12,762,031
Endo International PLC(a)		31,900		2,540,835
Express Scripts Holding Co.(a)		114,747		10,205,598
Gilead Sciences, Inc.		232,946		27,273,318
HCA Holdings, Inc.(a)		46,800		4,245,696
Henry Schein, Inc.(a)		13,100		1,861,772
Hospira, Inc.(a)		28,117		2,494,259
Humana, Inc.		22,717		4,345,308
Intuitive Surgical, Inc.(a)		5,452		2,641,494
Johnson & Johnson		437,341		42,623,254
Laboratory Corp. of America Holdings(a)		16,747		2,030,071
Mallinckrodt PLC(a)		17,700		2,083,644
McKesson Corp.		36,031		8,100,129
Medtronic PLC		221,604		16,420,856
Merck & Co., Inc.		445,198		25,345,122
Mylan, Inc.(a)		64,807		4,397,803
Patterson Cos., Inc.		11,159		542,885
PerkinElmer, Inc.		16,632		875,508
Perrigo Co. PLC		22,414		4,142,780
Pfizer, Inc.		966,348		32,401,648
Quest Diagnostics, Inc.		22,158		1,606,898
Regeneron Pharmaceuticals, Inc.(a)		11,458		5,845,070
St. Jude Medical, Inc.		44,053		3,218,953
Stryker Corp.		45,595		4,357,514
Tenet Healthcare Corp.(a)		13,452		778,602
Thermo Fisher Scientific, Inc.		62,512		8,111,557
UnitedHealth Group, Inc.		148,522		18,119,684
Universal Health Services, Inc.		13,300		1,889,930
Varian Medical Systems, Inc.(a)		15,631		1,318,162
Vertex Pharmaceuticals, Inc.(a)		38,748		4,784,603
Waters Corp.(a)		14,215		1,824,922
Zimmer Holdings, Inc.		25,727		2,810,160
Zoetis, Inc.		76,228		3,675,714
				441,241,031
Industrials – 10.0%
3M Co.		99,043		15,282,335
ADT Corp.		25,056		841,130
Allegion PLC		17,437		1,048,661
American Airlines Group, Inc.		112,000		4,472,720
AMETEK, Inc.		37,101		2,032,393
Boeing Co.		102,124		14,166,641
C.H. Robinson Worldwide, Inc.		22,382		1,396,413
Caterpillar, Inc.		93,855		7,960,781
Cintas Corp.		15,222		1,287,629
CSX Corp.		155,859		5,088,796
Cummins, Inc.		26,444		3,469,188
Danaher Corp.		96,478		8,257,552
Deere & Co.		53,554		5,197,416
Delta Air Lines, Inc.		130,566		5,363,651
Dover Corp.		27,945		1,961,180
Dun & Bradstreet Corp.		6,145		749,690
Eaton Corp. PLC		76,199		5,142,671
Emerson Electric Co.		110,169		6,106,668
Equifax, Inc.		20,295		1,970,442

See Notes to Financial Statements.

26

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Industrials – (continued)
Expeditors International of Washington, Inc.		29,444	$	1,357,516
Fastenal Co.		44,042		1,857,692
FedEx Corp.		41,950		7,148,280
Flowserve Corp.		23,555		1,240,406
Fluor Corp.		22,556		1,195,694
General Dynamics Corp.		48,689		6,898,744
General Electric Co.		1,586,963		42,165,607
Honeywell International, Inc.		123,603		12,603,798
Illinois Tool Works, Inc.		56,071		5,146,757
Ingersoll-Rand PLC		41,116		2,772,041
Jacobs Engineering Group, Inc.(a)		20,157		818,777
JB Hunt Transport Services, Inc.		14,500		1,190,305
Joy Global, Inc.		14,887		538,909
Kansas City Southern		16,704		1,523,405
L-3 Communications Holdings, Inc.		12,465		1,413,282
Lockheed Martin Corp.		42,749		7,947,039
Masco Corp.		54,139		1,443,887
Nielsen NV		52,275		2,340,352
Norfolk Southern Corp.		49,768		4,347,733
Northrop Grumman Corp.		31,686		5,026,350
PACCAR, Inc.		54,235		3,460,735
Pall Corp.		16,107		2,004,516
Parker-Hannifin Corp.		23,914		2,781,916
Pentair PLC		28,991		1,993,131
Pitney Bowes, Inc.		30,921		643,466
Precision Castparts Corp.		21,978		4,392,743
Quanta Services, Inc.(a)		30,293		873,044
Raytheon Co.		47,736		4,567,381
Republic Services, Inc.		41,114		1,610,435
Robert Half International, Inc.		20,374		1,130,757
Rockwell Automation, Inc.		21,779		2,714,535
Rockwell Collins, Inc.		22,300		2,059,405
Roper Technologies, Inc.		16,535		2,851,626
Ryder System, Inc.		9,755		852,294
Snap-on, Inc.		8,872		1,412,866
Southwest Airlines Co.		105,927		3,505,124
Stanley Black & Decker, Inc.		24,950		2,625,738
Stericycle, Inc.(a)		14,104		1,888,667
Textron, Inc.		44,906		2,004,155
Tyco International PLC		67,336		2,591,089
Union Pacific Corp.		140,038		13,355,424
United Parcel Service, Inc. Class B		109,455		10,607,284
United Rentals, Inc.(a)		15,200		1,331,824
United Technologies Corp.		128,827		14,290,779
W.W. Grainger, Inc.		9,412		2,227,350
Waste Management, Inc.		68,204		3,161,255
Xylem, Inc.		32,634		1,209,742
				292,919,812
Information Technology – 19.3%
Accenture PLC Class A		99,282		9,608,512
Adobe Systems, Inc.(a)		73,813		5,979,591
Akamai Technologies, Inc.(a)		27,734		1,936,388
Alliance Data Systems Corp.(a)		10,204		2,978,956
Altera Corp.		44,454		2,276,045
Amphenol Corp. Class A		49,980		2,897,341
Analog Devices, Inc.		50,818		3,261,753

	Shares		Value
Apple, Inc.		905,864	$	113,617,992
Applied Materials, Inc.		190,653		3,664,351
Autodesk, Inc.(a)		34,170		1,711,063
Automatic Data Processing, Inc.		76,465		6,134,787
Avago Technologies, Ltd.		38,718		5,146,784
Broadcom Corp. Class A		87,635		4,512,326
CA, Inc.		54,159		1,586,317
Cisco Systems, Inc.		803,029		22,051,176
Citrix Systems, Inc.(a)		25,678		1,801,568
Cognizant Technology Solutions Corp. Class A(a)		93,627		5,719,673
Computer Sciences Corp.		22,732		1,492,128
Corning, Inc.		203,350		4,012,095
eBay, Inc.(a)		170,458		10,268,390
Electronic Arts, Inc.(a)		50,121		3,333,046
EMC Corp.		305,674		8,066,737
Equinix, Inc. REIT		8,800		2,235,200
F5 Networks, Inc.(a)		10,559		1,270,776
Facebook, Inc. Class A(a)		331,507		28,431,698
Fidelity National Information Services, Inc.		44,886		2,773,955
First Solar, Inc.(a)		11,749		551,968
Fiserv, Inc.(a)		40,042		3,316,679
FLIR Systems, Inc.		20,339		626,848
Google, Inc. Class A(a)		45,023		24,314,221
Google, Inc. Class C(a)		44,845		23,342,271
Harris Corp.		16,098		1,238,097
Hewlett-Packard Co.		289,363		8,683,784
Intel Corp.		740,620		22,525,957
International Business Machines Corp.		143,647		23,365,621
Intuit, Inc.		42,026		4,234,960
Juniper Networks, Inc.		58,444		1,517,791
KLA-Tencor Corp.		26,573		1,493,668
Lam Research Corp.		24,281		1,975,259
Linear Technology Corp.		35,021		1,548,979
Mastercard, Inc. Class A		155,049		14,493,980
Microchip Technology, Inc.		34,006		1,612,735
Micron Technology, Inc.(a)		173,328		3,265,500
Microsoft Corp.(c)		1,270,477		56,091,560
Motorola Solutions, Inc.		33,022		1,893,481
NetApp, Inc.		49,643		1,566,733
NVIDIA Corp.		87,012		1,749,811
Oracle Corp.		507,070		20,434,921
Paychex, Inc.		49,131		2,303,261
Qorvo, Inc.(a)		23,300		1,870,291
QUALCOMM, Inc.		258,985		16,220,231
Red Hat, Inc.(a)		28,130		2,135,911
Salesforce.com, Inc.(a)		93,805		6,531,642
SanDisk Corp.		33,206		1,933,253
Seagate Technology PLC		49,776		2,364,360
Skyworks Solutions, Inc.		29,700		3,091,770
SL Green Realty Corp. REIT		15,400		1,692,306
Symantec Corp.		108,203		2,515,720
TE Connectivity, Ltd.		64,849		4,169,791
Teradata Corp.(a)		21,913		810,781
Texas Instruments, Inc.		163,806		8,437,647
Total System Services, Inc.		22,999		960,668
VeriSign, Inc.(a)		19,320		1,192,430
Visa, Inc. Class A		304,440		20,443,146
Western Digital Corp.		33,647		2,638,598
Western Union Co.		89,340		1,816,282

See Notes to Financial Statements.

27

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2015 (Unaudited)

	Shares		Value
COMMON STOCKS – (continued)
Information Technology – (continued)
Xerox Corp.		161,592	$	1,719,339
Xilinx, Inc.		39,642		1,750,591
Yahoo!, Inc.(a)		137,637		5,407,758
				566,619,248
Materials – 3.1%
Air Products & Chemicals, Inc.		29,807		4,078,492
Airgas, Inc.		10,040		1,062,031
Alcoa, Inc.		183,889		2,050,362
Allegheny Technologies, Inc.		14,911		450,312
Avery Dennison Corp.		13,318		811,599
Ball Corp.		21,658		1,519,309
C.F. Industries Holdings, Inc.		40,030		2,573,128
Dow Chemical Co.		173,790		8,892,834
E.I. du Pont de Nemours & Co.		142,594		9,118,886
Eastman Chemical Co.		25,372		2,075,937
Ecolab, Inc.		41,565		4,699,755
FMC Corp.		22,922		1,204,551
Freeport-McMoRan, Inc.		157,964		2,941,290
International Flavors & Fragrances, Inc.		13,780		1,506,016
International Paper Co.		66,808		3,179,393
LyondellBasell Industries NV Class A		62,452		6,465,031
Martin Marietta Materials, Inc.		10,555		1,493,638
MeadWestvaco Corp.		24,943		1,177,060
Monsanto Co.		75,094		8,004,270
Mosaic Co.		47,516		2,226,125
Newmont Mining Corp.		73,573		1,718,665
Nucor Corp.		53,006		2,335,975
Owens-Illinois, Inc.(a)		22,763		522,183
PPG Industries, Inc.		42,888		4,920,111
Praxair, Inc.		45,000		5,379,750
Sealed Air Corp.		32,469		1,668,257
Sherwin-Williams Co.		13,287		3,654,191
Sigma-Aldrich Corp.		19,661		2,739,760
Vulcan Materials Co.		22,290		1,870,800
WestRock Co.(a)		13,293		809,544
				91,149,255
Telecommunication Services – 2.2%
AT&T, Inc.		816,573		29,004,673
CenturyLink, Inc.		86,173		2,531,763
Frontier Communications Corp.		143,538		710,513
Level 3 Communications, Inc.(a)		41,500		2,185,805
Verizon Communications, Inc.		639,051		29,786,167
				64,218,921
Utilities – 2.7%
AES Corp.		98,059		1,300,262
AGL Resources, Inc.		18,002		838,173
Ameren Corp.		36,056		1,358,590
American Electric Power Co., Inc.		75,043		3,975,028
CenterPoint Energy, Inc.		65,335		1,243,325
CMS Energy Corp.		42,001		1,337,312
Consolidated Edison, Inc.		47,100		2,726,148
Dominion Resources, Inc.		91,268		6,103,091
DTE Energy Co.		29,539		2,204,791
Duke Energy Corp.		110,491		7,802,874
Edison International		49,505		2,751,488

	Shares		Value
Entergy Corp.		27,000	$	1,903,500
Eversource Energy		51,243		2,326,945
Exelon Corp.		131,659		4,136,726
FirstEnergy Corp.		68,129		2,217,599
NextEra Energy, Inc.		69,057		6,769,658
NiSource, Inc.		47,478		2,164,522
NRG Energy, Inc.		51,498		1,178,274
Pepco Holdings, Inc.		35,659		960,653
PG&E Corp.		77,112		3,786,199
Pinnacle West Capital Corp.		18,956		1,078,407
PPL Corp.		105,756		3,116,629
Public Service Enterprise Group, Inc.		76,936		3,022,046
SCANA Corp.		23,801		1,205,521
Sempra Energy		35,624		3,524,638
Southern Co.		139,484		5,844,380
TECO Energy, Inc.		42,650		753,199
WEC Energy Group, Inc.		45,587		2,050,049
Xcel Energy, Inc.		80,800		2,600,145
				80,280,172
TOTAL COMMON STOCKS (Cost $1,395,305,844)				2,870,961,961
	Par Amount
U.S. GOVERNMENT SECURITY – 0.1%
U.S. Treasury Bill 0.01% due 07/09/2015(c)(d)(e)	$	3,760,000		3,759,996
TOTAL U.S. GOVERNMENT SECURITY – 0.1% (Cost $3,759,996)				3,759,996
	Shares
MONEY MARKET FUND – 2.0%
State Street Institutional Liquid Reserves Fund, Premier Class 0.11%(b)(f)		58,147,914		58,147,914
TOTAL MONEY MARKET FUND – 2.0% (Cost $58,147,914)				58,147,914
TOTAL INVESTMENTS – 99.9%(g) (Cost $1,457,213,754)				2,932,869,871
Other Assets in Excess of Liabilities – 0.1%				1,541,890
NET ASSETS – 100.0%			$	2,934,411,761

^(a)  Non-income producing security.

^(b)  Affiliated issuer (Note 4).

^(c)  All or part of this security has been designated as collateral for futures contracts.

^(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.

^(g)  Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 (Note 2).

See Notes to Financial Statements.

28

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

June 30, 2015 (Unaudited)

PLC	Public Limited Company
REIT	Real Estate Investment Trust

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Depreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 09/2015		648	$	66,562,560	$	(655,898	)
Total unrealized depreciation on open futures contracts purchased					$	(655,898	)

See Notes to Financial Statements.

29

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

June 30, 2015 (Unaudited)

Assets
Investments in unaffiliated issuers, at value (cost $1,396,714,640) (Note 2)	$	2,869,590,138
Investments in non-controlled affiliated issuer, at value (cost $60,499,114) (Notes 2 and 4)		63,279,733
Total investments (cost $1,457,213,754)		2,932,869,871
Cash		233,616
Cash at broker		757,654
Receivable for investment securities sold		505,671
Dividends and interest receivable		3,279,002
Dividend receivable from non-controlled affiliates (Note 4)		26,292
Total assets		2,937,672,106
Liabilities
Investment securities purchased		1,999,918
Daily variation margin on futures contracts		656,212
Management fees payable (Note 4)		604,215
Total liabilities		3,260,345
Net Assets	$	2,934,411,761

See Notes to Financial Statements.

30

State Street Equity 500 Index Portfolio

Statement of Operations

Six Months Ended June 30, 2015 (Unaudited)

Investment Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $96,005)	$	29,776,455
Dividend income – non-controlled affiliated issuer		72,507
Interest		138
Total investment income		29,849,100
Expenses
Management fees (Note 4)		658,954
Other expenses		156
Total expenses		659,110
Net Investment Income		29,189,990
Realized and Unrealized Gain (Loss)
Net realized gain on:
Investments – unaffiliated issuers		28,732,410
Futures contracts		4,237,467
Net realized gain		32,969,877
Change in net unrealized appreciation (depreciation) on:
Investments		(23,497,792	)
Futures contracts		(3,037,956	)
Net change in unrealized appreciation (depreciation)		(26,535,748	)
Net realized and unrealized gain		6,434,129
Net Increase in Net Assets Resulting from Operations	$	35,624,119

See Notes to Financial Statements.

31

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	29,189,990		$	54,845,406
Net realized gain on investments and futures contracts		32,969,877			17,844,354
Net change in unrealized appreciation (depreciation) on investments and futures contracts		(26,535,748	)		279,107,499
Net increase in net assets from operations		35,624,119			351,797,259
Capital Transactions:
Contributions		140,152,400			353,779,321
Withdrawals		(110,687,630	)		(185,039,609	)
In-kind redemptions (Note 6)		–			(390,808,177	)
Net increase (decrease) in net assets from capital transactions		29,464,770			(222,068,465	)
Net Increase in Net Assets		65,088,889			129,728,794
Net Assets
Beginning of period		2,869,322,872			2,739,594,078
End of period	$	2,934,411,761		$	2,869,322,872

See Notes to Financial Statements.

32

State Street Equity 500 Index Portfolio

Financial Highlights

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

	Six Months Ended 6/30/15 (Unaudited)			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)	$	2,934,412		$	2,869,323		$	2,739,594		$	2,055,241		$	1,825,528		$	2,098,137
Ratios to average net assets:
Expenses		0.045	%(a)		0.045	%		0.045	%		0.045	%		0.045	%		0.045	%
Net investment income		1.99	%(a)		1.98	%		2.05	%		2.26	%		2.04	%		1.99	%
Portfolio turnover rate(b)		1	%		2	%		4	%		9	%		15	%		12	%
Total return(c)		1.22	%		13.62	%		32.30	%		15.97	%		2.03	%		15.08	%

^(a) Annualized

^(b) The portfolio turnover rate excludes in-kind security transactions.

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

See Notes to Financial Statements.

33

State Street Equity 500 Index Portfolio

Notes to Financial Statements

June 30, 2015 (Unaudited)

1. Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust 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 June 30, 2015, 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 Portfolios are 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 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.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements:

The preparation of financial statements in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).

Security valuation – The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as

34

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2015 (Unaudited)

the price 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. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to policies and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The members of the Committee are approved by the Board. Valuation techniques used to value the Portfolio’s investments by major category are as follows:

• Equity investments (including registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with Fund procedures to stabilize net asset value.

• Exchange-traded futures contracts are valued at the settlement price on the primary market on which, they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

In the event prices or quotations are not readily available or that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with valuation policies and procedures approved by the Board.

Fair value pricing could result in a difference between the prices used to calculate the Portfolio’s net asset value and the prices used by the Portfolio’s underlying index, which in turn could result in a difference between the Portfolio’s performance and the performance of the Portfolio’s underlying index. Various inputs are used in determining the value of the Portfolio’s investments. These inputs are categorized into a hierarchy consisting of three broad levels for financial reporting purposes. The Portfolio values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

35

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2015 (Unaudited)

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

• Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities;

• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Portfolio had no transfers between levels for the six months ended June 30, 2015.

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2015. The breakdown of the Portfolio’s investments into major categories is disclosed in its schedule of investments.

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	$	2,870,961,961		$	–	$	–	$	2,870,961,961
U.S. Government Security		–			3,759,996		–		3,759,996
Money Market Fund		58,147,914			–		–		58,147,914
TOTAL INVESTMENTS		2,929,109,875			3,759,996		–		2,932,869,871
LIABILITIES:
OTHER FINANCIAL INSTRUMENTS:
Futures contracts*		(655,898	)		–		–		(655,898	)
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	2,928,453,977		$	3,759,996	$	–	$	2,932,213,973

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

36

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2015 (Unaudited)

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.

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 June 30, 2015, tax years 2011 through 2014 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At June 30, 2015, the tax cost of investments was $1,457,213,754 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $1,496,707,567 and $21,051,450, respectively, resulting in net appreciation of $1,475,656,117 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

37

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2015 (Unaudited)

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 the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at June 30, 2015:

Liability Derivatives⁽¹⁾

	Equity Contracts Risk	Total
Futures Contracts	$(655,898)	$	(655,898	)

Transactions in derivative instruments during the six months ended June 30, 2015, were as follows:

Realized Gain (Loss)⁽²⁾

	Equity Contracts Risk	Total
Futures Contracts	$4,237,467	$	4,237,467

Change in Appreciation (Depreciation)⁽³⁾

	Equity Contracts Risk	Total
Futures Contracts	$(3,037,956)	$	(3,037,956	)

⁽¹⁾  Portfolio of Investments: Unrealized depreciation 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 on: Futures contracts

⁽³⁾ Statement of Operations location: Change in net unrealized appreciation (depreciation) on: Futures contracts

The average notional value of futures outstanding during the six months ended June 30, 2015 was $55,106,053.

3. Securities Transactions

For the six months ended June 30, 2015, purchases and sales of investment securities, excluding short-term investments, and futures contracts, aggregated to $121,356,796 and $21,401,770, respectively.

4. Fees and Compensation Paid to Affiliates and Other Related Party 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.

38

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2015 (Unaudited)

Effective June 1, 2015, SSGA FM serves as Administrator and State Street serves as Sub-Administrator. The Trust has contracted with State Street to provide custody, sub-administration and transfer agent services to the Portfolio. In compensation for SSGA FM’s services as investment adviser and administrator and for State Street’s services as sub-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. Prior to June 1, 2015, State Street served as Administrator.

Transactions with Affiliates

The Portfolio invested in an affiliated company, State Street Corp. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Amounts relating to these investments at June 30, 2015 and for the six months then ended are:

Security Description	Number of shares held at 12/31/14		Shares purchased for the six months ended 06/30/15		Shares sold for the six months ended 06/30/15		Number of shares held at 06/30/15		Value at 06/30/15		Income earned for the six months ended 06/30/15		Realized gain/loss on shares sold
State Street Corp.		62,947		3,700		–		66,647	$	5,131,819	$	42,654	$	–
State Street Institutional Liquid Reserves Fund, Premier Class		91,116,189		159,235,675		192,203,950		58,147,914		58,147,914		29,853		–

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 Portfolio does not receive compensation from the Portfolio 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. 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.

7. 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

39

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2015 (Unaudited)

untimely disposition of securities. The Participants are charged an annual commitment fee which is 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 June 30, 2015.

40

JUNE 30, 2015

Quantitative Master Series LLC

u Master International Index Series

u Master Small Cap Index Series

Not FDIC Insured • May Lose Value • No Bank Guarantee

41

Schedule of Investments June 30, 2015 (Unaudited)	Master International Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Australia — 6.7%
AGL Energy Ltd.		187,477	$	2,245,768
Alumina Ltd.		849,453		999,891
Amcor Ltd.		350,674		3,705,745
AMP Ltd.		800,702		3,715,505
APA Group		304,683		1,935,210
Aristocrat Leisure Ltd.		144,821		853,993
Asciano Ltd.		273,320		1,400,562
ASX Ltd.		52,552		1,616,204
Aurizon Holdings Ltd.		592,941		2,342,301
AusNet Services		449,402		483,432
Australia & New Zealand Banking Group Ltd.		772,641		19,174,754
Bank of Queensland Ltd.		120,072		1,181,443
Bendigo & Adelaide Bank Ltd.		143,888		1,360,557
BGP Holdings PLC (a)		783,183		9
BHP Billiton Ltd.		878,671		17,923,854
Boral Ltd.		228,900		1,031,163
Brambles Ltd.		421,993		3,442,499
Caltex Australia Ltd.		73,627		1,807,404
CIMIC Group, Ltd.		23,200		388,651
Coca-Cola Amatil Ltd.		184,314		1,300,139
Cochlear Ltd.		16,471		1,017,882
Commonwealth Bank of Australia		451,442		29,604,170
Computershare Ltd.		119,489		1,076,173
Crown Resorts Ltd.		98,617		926,604
CSL Ltd.		130,178		8,678,495
Dexus Property Group		297,376		1,673,336
Federation Centres Ltd.		848,556		1,909,343
Flight Centre Travel Group Ltd.		16,412		431,354
Fortescue Metals Group Ltd. (b)		431,377		635,312
Goodman Group		475,031		2,294,248
GPT Group		489,158		1,612,588
Harvey Norman Holdings Ltd.		162,714		565,011
Healthscope Ltd.		321,481		673,168
Iluka Resources Ltd.		126,019		745,239
Incitec Pivot Ltd.		473,370		1,403,419
Insurance Australia Group Ltd.		652,219		2,804,133
Lend Lease Group		148,842		1,720,948
Macquarie Group Ltd.		81,772		5,123,457
Medibank Pvt, Ltd. (a)		766,647		1,187,928
Mirvac Group		1,147,530		1,634,863
National Australia Bank Ltd.		730,618		18,765,242
Newcrest Mining Ltd. (a)		213,655		2,151,322
Orica Ltd.		98,184		1,611,677
Origin Energy Ltd.		296,792		2,739,178
Platinum Asset Management Ltd.		75,974		437,840
Qantas Airways Ltd.		176,948		429,981
QBE Insurance Group Ltd.		367,953		3,874,581
Ramsay Health Care Ltd.		39,359		1,864,353
REA Group Ltd.		14,420		434,954
Rio Tinto Ltd.		124,963		5,169,311
Santos Ltd.		301,300		1,819,153
Scentre Group		1,425,761		4,118,606
Seek Ltd.		82,747		896,706
Sonic Healthcare Ltd.		99,676		1,641,332
South32, Ltd.		1,427,620		1,971,650
Stockland		657,046		2,074,768
Suncorp Group Ltd.		349,570		3,616,674
Sydney Airport		299,518		1,149,305
Tabcorp Holdings Ltd.		235,938		827,020

Common Stocks	Shares		Value
Australia (concluded)
Tatts Group Ltd.		383,922	$	1,100,802
Telstra Corp. Ltd.		1,184,804		5,607,141
TPG Telecom Ltd.		63,778		440,528
Transurban Group		529,183		3,794,033
Treasury Wine Estates Ltd.		187,715		720,885
Wesfarmers Ltd.		307,202		9,238,526
Westfield Corp.		530,568		3,726,567
Westpac Banking Corp.		870,646		21,541,532
Woodside Petroleum Ltd.		211,960		5,592,916
Woolworths Ltd.		346,104		7,191,783
WorleyParsons Ltd.		58,158		466,937
				247,642,058
Austria — 0.2%
Andritz AG		20,805		1,152,098
Erste Group Bank AG (a)		83,596		2,381,769
OMV AG		38,454		1,058,627
Raiffeisen Bank International AG		44,493		647,427
Strabag SE		30,711		1
Voestalpine AG		28,418		1,184,387
				6,424,309
Belgium — 1.3%
Ageas		58,773		2,267,656
Anheuser-Busch InBev NV		219,659		26,433,838
Belgacom SA		47,252		1,672,102
Colruyt SA		20,019		898,012
Delhaize Group		28,029		2,279,802
Groupe Bruxelles Lambert SA		22,956		1,851,096
KBC Groep NV (a)		69,680		4,671,216
Solvay SA		16,199		2,231,660
Telenet Group Holding NV (a)		15,436		839,833
UCB SA		37,518		2,697,739
Umicore SA		27,318		1,297,237
				47,140,191
Denmark — 1.6%
A.P. Moeller — Maersk A/S, Class A		1,008		1,767,835
A.P. Moeller — Maersk A/S, Class B		2,015		3,643,202
Carlsberg A/S, Class B		30,039		2,721,703
Coloplast A/S, Class B		30,257		1,984,350
Danske Bank A/S		194,227		5,709,688
DSV A/S		46,960		1,520,608
ISS A/S (a)		41,481		1,366,196
Novo Nordisk A/S, Class B		520,529		28,563,958
Novozymes A/S, Class B		66,360		3,152,806
Pandora A/S		31,102		3,337,375
TDC A/S		225,902		1,655,940
Tryg A/S		34,120		711,401
Vestas Wind Systems A/S		60,488		3,014,934
William Demant Holding A/S (a)		7,188		548,346
				59,698,342
Finland — 0.8%
Elisa OYJ		40,139		1,271,725
Fortum OYJ		125,915		2,236,873
Kone OYJ, Class B		85,130		3,455,428
Metso OYJ		32,769		900,624
Neste Oil OYJ		37,195		948,846

Portfolio Abbreviations

CVA	Certificaten Van Aandelen (Dutch Certificate)
CVR	Contingent Value Rights
FTSE	Financial Times Stock Exchange
REIT	Real Estate Investment Trust
USD	U.S. Dollar

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 42

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

Common Stocks	Shares		Value
Finland (concluded)
Nokia OYJ		1,043,539	$	7,113,761
Nokian Renkaat OYJ		33,098		1,036,973
Orion OYJ, Class B		28,540		999,709
Sampo OYJ, Class A		127,571		6,012,030
Stora Enso OYJ, Class R		152,508		1,571,631
UPM-Kymmene OYJ		148,967		2,636,105
Wartsila OYJ		40,461		1,895,881
				30,079,586
France — 9.5%
Accor SA		58,011		2,935,942
Aeroports de Paris		7,309		825,630
Air Liquide SA		96,867		12,291,501
Airbus Group NV		161,455		10,516,742
Alcatel-Lucent (a)		826,816		3,015,588
Alstom SA		57,744		1,640,175
ArcelorMittal		277,874		2,698,602
Arkema		20,662		1,493,605
AtoS		23,662		1,768,102
AXA SA		531,107		13,464,537
BNP Paribas SA		288,881		17,530,085
Bollore SA		272,969		1,460,226
Bouygues SA		55,276		2,066,575
Bureau Veritas SA		73,521		1,694,803
Cap Gemini SA		42,725		3,790,411
Carrefour SA		158,099		5,080,273
Casino Guichard-Perrachon SA		15,584		1,182,863
Christian Dior SA		14,325		2,804,389
Cie Generale des Etablissements Michelin		51,115		5,378,512
CNP Assurances		44,564		745,856
Compagnie de Saint-Gobain		130,303		5,882,057
Credit Agricole SA		285,990		4,269,815
Danone SA		157,865		10,225,608
Dassault Systemes SA		34,428		2,499,272
Edenred		54,814		1,354,385
EDF		74,847		1,674,223
Essilor International SA		56,076		6,717,928
Eurazeo		11,658		774,329
Eutelsat Communications SA		47,382		1,530,590
Fonciere Des Regions		7,047		599,556
GDF Suez		413,787		7,704,029
Gecina SA		9,068		1,117,600
Groupe Eurotunnel SA, Registered Shares		128,891		1,868,817
Hermes International		7,012		2,618,136
ICADE		9,872		706,130
Iliad SA		7,306		1,619,651
Imerys SA		8,311		637,562
JCDecaux SA		21,415		895,539
Kering		20,515		3,667,816
Klepierre		46,200		2,036,931
L’Oreal SA		70,878		12,681,553
Lafarge SA		50,799		3,358,681
Lagardere SCA		32,521		951,591
Legrand SA		71,280		4,011,773
LVMH Moet Hennessy Louis Vuitton SA		76,138		13,385,839
Natixis		255,735		1,845,726
Numericable-SFR		26,086		1,382,702
Orange SA		505,945		7,819,049
Pernod Ricard SA		57,891		6,692,337
Peugeot SA		118,735		2,448,532
Publicis Groupe SA		50,742		3,761,145
Remy Cointreau SA		5,536		399,953
Renault SA		52,873		5,543,594
Rexel SA		81,619		1,317,055
Safran SA		80,161		5,447,691
Sanofi		330,392		32,685,630
Schneider Electric SE		151,281		10,474,544

Common Stocks	Shares		Value
France (concluded)
SCOR SE		42,527	$	1,503,816
SES SA		89,612		3,012,573
Societe BIC SA		8,051		1,283,519
Societe Generale SA		197,811		9,282,037
Sodexo		25,173		2,396,412
Suez Environnement Co.		81,913		1,529,233
Technip SA		27,674		1,715,072
Thales SA		28,042		1,694,324
Total SA		595,918		29,230,340
Unibail-Rodamco SE		26,704		6,773,034
Valeo SA		21,843		3,455,190
Vallourec SA		26,693		545,328
Veolia Environnement SA		126,845		2,597,086
Vinci SA		129,016		7,487,793
Vivendi SA (a)		326,038		8,267,207
Wendel SA		8,940		1,098,541
Zodiac Aerospace		56,038		1,825,368
				348,688,659
Germany — 8.7%
adidas AG		58,135		4,448,159
Allianz SE, Registered Shares		124,732		19,452,080
Axel Springer AG		12,585		660,960
BASF SE		251,078		22,093,085
Bayer AG, Registered Shares		225,929		31,639,108
Bayerische Motoren Werke AG		90,975		9,963,071
Bayerische Motoren Werke AG, Preference Shares		17,170		1,453,835
Beiersdorf AG		27,426		2,298,031
Brenntag AG		45,855		2,631,223
Commerzbank AG		296,688		3,792,742
Continental AG		31,216		7,391,241
Daimler AG, Registered Shares		268,390		24,449,147
Deutsche Annington Immobilien SE		123,349		3,480,658
Deutsche Bank AG, Registered Shares		378,392		11,376,991
Deutsche Boerse AG		59,186		4,902,233
Deutsche Lufthansa AG, Registered Shares (a)		66,433		857,120
Deutsche Post AG, Registered Shares		265,277		7,751,202
Deutsche Telekom AG, Registered Shares		868,378		14,971,088
Deutsche Wohnen AG, Bearer Shares		81,704		1,873,138
E.ON SE		550,696		7,343,231
Evonik Industries AG		24,664		941,752
Fraport AG Frankfurt Airport Services Worldwide		9,794		615,183
Fresenius Medical Care AG & Co. KGaA		60,290		4,991,181
Fresenius SE & Co. KGaA		104,317		6,697,815
Fuchs Petrolub SE, Preference Shares		19,203		811,956
GEA Group AG		54,586		2,435,242
Hannover Rueck SE		15,900		1,538,907
HeidelbergCement AG		37,790		2,995,115
Henkel AG & Co. KGaA		28,956		2,761,124
Henkel AG & Co. KGaA, Preference Shares		48,255		5,414,983
Hugo Boss AG		18,081		2,021,385
Infineon Technologies AG		326,240		4,048,505
K+S AG, Registered Shares		53,068		2,237,761
Kabel Deutschland Holding AG (a)		7,482		1,001,205
Lanxess AG		26,135		1,542,019
Linde AG		52,343		9,919,696
MAN SE		11,536		1,188,503
Merck KGaA		34,779		3,467,125
Metro AG		45,697		1,443,300
Muenchener Rueckversicherungs AG, Registered Shares		47,267		8,380,166
Osram Licht AG		28,431		1,360,159
Porsche Automobil Holding SE, Preference Shares		41,372		3,488,342
ProSiebenSat.1 Media AG, Registered Shares		59,231		2,925,662
RWE AG		134,371		2,890,101
SAP AG		268,590		18,821,788
Siemens AG, Registered Shares		221,155		22,374,554

See Notes to Financial Statements.

43 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Germany (concluded)
Symrise AG		33,201	$	2,061,951
Telefonica Deutschland Holding AG (a)		150,330		866,015
ThyssenKrupp AG		105,339		2,740,333
TUI AG		136,027		2,200,953
United Internet AG, Registered Shares		32,539		1,446,197
Volkswagen AG		10,576		2,448,835
Volkswagen AG, Preference Shares		45,901		10,652,641
				321,558,797
Hong Kong — 3.2%
AIA Group Ltd.		3,360,800		21,975,122
ASM Pacific Technology Ltd.		85,004		841,227
Bank of East Asia Ltd.		314,532		1,374,125
BOC Hong Kong Holdings Ltd.		1,068,400		4,446,734
Cathay Pacific Airways Ltd.		327,263		804,055
Cheung Kong Infrastructure Holdings Ltd.		197,500		1,533,074
Cheung Kong Property Holdings, Ltd.		737,439		6,117,141
CK Hutchison Holdings Ltd.		737,439		10,841,810
CLP Holdings Ltd.		556,187		4,727,062
First Pacific Co. Ltd.		663,250		559,585
Galaxy Entertainment Group Ltd.		633,000		2,518,685
Hang Lung Properties Ltd.		607,000		1,803,956
Hang Seng Bank Ltd.		210,053		4,102,535
Henderson Land Development Co. Ltd.		315,220		2,154,824
HKT Trust & HKT Ltd.		755,560		888,946
Hong Kong & China Gas Co. Ltd.		2,009,511		4,210,638
Hong Kong Exchanges & Clearing Ltd.		302,727		10,666,446
Hysan Development Co. Ltd.		154,791		670,319
Kerry Properties Ltd.		168,500		660,488
Li & Fung Ltd.		1,661,980		1,317,571
The Link REIT		623,914		3,651,102
MGM China Holdings Ltd.		313,600		512,067
MTR Corp.		402,500		1,872,661
New World Development Co. Ltd.		1,448,968		1,893,290
NWS Holdings Ltd.		375,824		543,271
PCCW Ltd.		1,417,000		845,180
Power Assets Holdings Ltd.		403,000		3,674,312
Sands China Ltd.		675,000		2,268,539
Shangri-La Asia Ltd.		339,905		473,911
Sino Land Co. Ltd.		841,263		1,404,166
SJM Holdings Ltd.		610,000		659,564
Sun Hung Kai Properties Ltd.		474,324		7,675,880
Swire Pacific Ltd., Class A		170,077		2,135,652
Swire Properties Ltd.		303,800		968,966
Techtronic Industries Co.		386,000		1,262,075
WH Group Ltd. (a)(c)		1,635,500		1,113,138
Wharf Holdings Ltd.		413,357		2,746,982
Wheelock & Co. Ltd.		241,000		1,229,742
Wynn Macau Ltd.		440,000		733,156
Yue Yuen Industrial Holdings Ltd.		182,785		611,399
				118,489,396
Ireland — 0.9%
Bank of Ireland (a)		7,606,420		3,079,051
CRH PLC		219,312		6,183,048
Experian PLC		283,808		5,162,009
James Hardie Industries SE		126,500		1,683,740
Kerry Group PLC, Class A		41,276		3,061,885
Ryanair Holdings PLC		10,891		144,022
Shire PLC		165,540		13,301,064
				32,614,819
Israel — 0.6%
Azrieli Group		8,578		342,368
Bank Hapoalim BM		294,700		1,586,061
Bank Leumi Le-Israel BM (a)		387,888		1,639,021
Bezeq The Israeli Telecommunication Corp. Ltd.		559,653		953,074

Common Stocks	Shares		Value
Israel (concluded)
Delek Group Ltd.		1,219	$	359,407
Israel Chemicals Ltd.		138,102		964,565
The Israel Corp. Ltd.		1,111		392,122
Mizrahi Tefahot Bank Ltd. (a)		35,985		445,968
NICE Systems Ltd.		14,847		942,960
Teva Pharmaceutical Industries Ltd.		234,998		13,906,698
				21,532,244
Italy — 2.2%
Assicurazioni Generali SpA		328,275		5,916,753
Atlantia SpA		114,332		2,824,899
Banca Monte dei Paschi di Siena SpA (a)		683,804		1,332,409
Banco Popolare SC (a)		72,344		1,191,186
Enel Green Power SpA		509,317		995,615
Enel SpA		1,991,527		9,026,183
Eni SpA		704,041		12,504,901
Exor SpA		29,849		1,425,883
Finmeccanica SpA (a)		113,326		1,425,538
Intesa Sanpaolo SpA		3,727,080		13,396,925
Luxottica Group SpA		47,734		3,175,164
Mediobanca SpA		156,133		1,530,829
Pirelli & C SpA		78,836		1,330,526
Prysmian SpA		52,578		1,136,544
Saipem SpA (a)		76,040		803,521
Snam SpA		630,990		3,002,894
Telecom Italia SpA		2,833,610		3,600,981
Telecom Italia SpA, Non-Convertible Savings Shares		1,844,048		1,880,490
Tenaris SA		127,199		1,715,693
Terna — Rete Elettrica Nazionale SpA		470,887		2,082,141
UniCredit SpA		1,179,525		7,927,435
Unione di Banche Italiane SCpA		236,831		1,900,371
UnipolSai SpA		211,988		525,171
				80,652,052
Japan — 22.4%
ABC-Mart, Inc.		7,400		452,898
Acom Co. Ltd. (a)		116,300		445,823
Advantest Corp.		44,400		461,652
Aeon Co. Ltd.		194,800		2,764,229
AEON Financial Service Co. Ltd.		32,700		907,246
Aeon Mall Co. Ltd.		31,250		585,180
Air Water, Inc.		36,000		658,163
Aisin Seiki Co. Ltd.		51,100		2,172,733
Ajinomoto Co., Inc.		156,000		3,373,541
Alfresa Holdings Corp.		48,100		748,491
Amada Co. Ltd.		100,700		1,062,899
ANA Holdings, Inc.		299,000		810,687
Aozora Bank Ltd.		329,000		1,241,321
Asahi Glass Co. Ltd.		273,100		1,639,566
Asahi Group Holdings Ltd.		104,600		3,321,904
Asahi Kasei Corp.		349,000		2,862,701
Asics Corp.		45,200		1,167,660
Astellas Pharma, Inc.		589,500		8,397,922
The Bank of Kyoto Ltd.		96,000		1,104,301
The Bank of Yokohama Ltd.		315,000		1,929,051
Benesse Holdings, Inc.		15,300		383,562
Bridgestone Corp.		179,100		6,619,998
Brother Industries Ltd.		58,100		821,914
Calbee, Inc.		24,700		1,040,562
Canon, Inc.		298,600		9,686,100
Casio Computer Co. Ltd. (b)		54,600		1,076,969
Central Japan Railway Co.		38,800		7,001,636
The Chiba Bank Ltd.		199,000		1,515,344
Chiyoda Corp.		48,000		424,843
Chubu Electric Power Co., Inc.		181,800		2,709,574
Chugai Pharmaceutical Co. Ltd.		62,000		2,138,587

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 44

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

Common Stocks	Shares		Value
Japan (continued)
The Chugoku Bank Ltd.		56,600	$	892,119
The Chugoku Electric Power Co., Inc.		85,100		1,241,392
Citizen Holdings Co. Ltd.		73,200		510,698
COLOPL, Inc. (b)		13,400		270,767
Credit Saison Co. Ltd.		38,500		824,311
Dai Nippon Printing Co. Ltd.		144,000		1,485,915
The Dai-ichi Life Insurance Co. Ltd.		298,800		5,867,691
Daicel Corp.		82,400		1,057,372
Daihatsu Motor Co. Ltd.		44,100		627,683
Daiichi Sankyo Co. Ltd.		172,700		3,191,592
Daikin Industries Ltd.		63,500		4,564,912
Daito Trust Construction Co. Ltd.		20,000		2,069,905
Daiwa House Industry Co. Ltd.		161,800		3,769,608
Daiwa Securities Group, Inc.		458,000		3,426,163
Denso Corp.		133,900		6,661,939
Dentsu, Inc.		60,213		3,114,972
Don Quijote Co. Ltd.		31,600		1,344,547
East Japan Railway Co.		92,049		8,275,133
Eisai Co. Ltd.		68,000		4,559,033
Electric Power Development Co. Ltd.		39,700		1,402,438
FamilyMart Co. Ltd.		20,400		938,096
FANUC Corp.		55,700		11,397,088
Fast Retailing Co. Ltd.		14,400		6,529,983
Fuji Electric Co. Ltd.		132,800		571,166
Fuji Heavy Industries Ltd.		158,200		5,817,138
FUJIFILM Holdings Corp.		125,400		4,475,278
Fujitsu Ltd.		513,000		2,866,308
Fukuoka Financial Group, Inc.		209,000		1,083,269
GungHo Online Entertainment, Inc.		158,200		615,647
The Gunma Bank Ltd.		95,000		700,944
The Hachijuni Bank Ltd.		114,000		859,564
Hakuhodo DY Holdings, Inc.		67,000		716,526
Hamamatsu Photonics KK		41,000		1,208,971
Hankyu Hanshin Holdings, Inc.		288,000		1,700,054
Hikari Tsushin, Inc.		5,000		336,990
Hino Motors Ltd.		64,600		798,601
Hirose Electric Co. Ltd.		7,400		1,060,262
The Hiroshima Bank Ltd.		142,000		847,916
Hisamitsu Pharmaceutical Co., Inc.		16,000		621,126
Hitachi Chemical Co. Ltd.		29,800		536,728
Hitachi Construction Machinery Co. Ltd.		31,200		546,171
Hitachi High-Technologies Corp.		15,400		432,921
Hitachi Ltd.		1,328,000		8,748,260
Hitachi Metals Ltd.		62,000		953,154
Hokuhoku Financial Group, Inc.		358,000		844,609
Hokuriku Electric Power Co.		44,100		656,901
Honda Motor Co. Ltd.		445,700		14,404,949
Hoya Corp.		115,400		4,621,737
Hulic Co. Ltd.		82,400		730,241
Ibiden Co. Ltd.		28,300		478,593
Idemitsu Kosan Co. Ltd.		22,100		433,556
IHI Corp.		424,000		1,974,217
Iida Group Holdings Co. Ltd.		43,000		683,585
Inpex Corp.		262,600		2,980,759
Isetan Mitsukoshi Holdings Ltd.		94,305		1,684,824
Isuzu Motors Ltd.		162,000		2,125,368
ITOCHU Corp.		450,700		5,952,490
Itochu Techno-Solutions Corp.		17,200		428,343
The Iyo Bank Ltd.		65,500		804,140
J. Front Retailing Co. Ltd.		66,400		1,249,733
Japan Airlines Co. Ltd.		34,580		1,205,092
Japan Airport Terminal Co. Ltd.		11,600		631,336
Japan Display, Inc. (a)		96,900		365,758
Japan Exchange Group, Inc.		76,600		2,483,302
Japan Prime Realty Investment Corp.		287		891,094
Japan Real Estate Investment Corp.		324		1,470,401
Japan Retail Fund Investment Corp.		676		1,351,789

Common Stocks		Shares		Value
Japan (continued)
Japan Tobacco, Inc.			309,500	$	11,002,500
JFE Holdings, Inc.			131,300		2,909,068
JGC Corp.			58,000		1,094,875
The Joyo Bank Ltd.			183,000		1,024,694
JSR Corp.			47,900		845,593
JTEKT Corp.			58,700		1,110,042
JX Holdings, Inc.			608,360		2,622,852
Kajima Corp.			208,800		980,687
Kakaku.com, Inc.			52,700		762,498
Kamigumi Co. Ltd.			62,000		581,985
Kaneka Corp.			78,000		569,629
The Kansai Electric Power Co., Inc.			211,500		2,341,417
Kansai Paint Co. Ltd.			75,000		1,161,990
Kao Corp.			139,200		6,473,768
Kawasaki Heavy Industries Ltd.			396,000		1,845,832
KDDI Corp.			479,100		11,561,617
Keihan Electric Railway Co. Ltd.			142,000		826,917
Keikyu Corp.			118,000		890,118
Keio Corp.			144,000		1,030,009
Keisei Electric Railway Co. Ltd.			76,000		903,595
Keyence Corp.			12,392		6,678,996
Kikkoman Corp.			47,000		1,467,510
Kintetsu Corp.			501,000		1,706,098
Kirin Holdings Co. Ltd.	��		240,900		3,318,195
Kobe Steel Ltd.			861,000		1,448,556
Koito Manufacturing Co. Ltd.			29,000		1,129,178
Komatsu Ltd.			251,600		5,047,927
Konami Corp.			28,900		537,193
Konica Minolta, Inc.			120,600		1,405,612
Kubota Corp.			304,000		4,820,336
Kuraray Co. Ltd.			97,300		1,188,554
Kurita Water Industries Ltd.			37,600		875,850
Kyocera Corp.			87,300		4,538,940
Kyowa Hakko Kirin Co. Ltd.			65,000		849,411
Kyushu Electric Power Co., Inc.			121,400		1,407,501
Lawson, Inc.			20,800		1,423,368
LIXIL Group Corp.			66,500		1,319,070
M3, Inc.			52,100		1,047,285
Mabuchi Motor Co. Ltd.			12,800		809,631
Makita Corp.			32,700		1,770,992
Marubeni Corp.			489,000		2,806,199
Marui Group Co. Ltd.			58,700		793,069
Maruichi Steel Tube Ltd.			14,000		347,484
Mazda Motor Corp.			146,980		2,876,220
McDonald’s Holdings Co. Japan Ltd. (b)			15,400		325,242
Medipal Holdings Corp.			33,100		539,119
Meiji Holdings Co. Ltd.			18,393		2,373,250
Minebea Co. Ltd.			85,000		1,403,211
Miraca Holdings, Inc.			15,000		749,463
Mitsubishi Chemical Holdings Corp.			367,200		2,308,450
Mitsubishi Corp.			390,300		8,580,354
Mitsubishi Electric Corp.			549,000		7,089,068
Mitsubishi Estate Co. Ltd.			344,000		7,409,101
Mitsubishi Gas Chemical Co., Inc.			96,000		537,528
Mitsubishi Heavy Industries Ltd.			820,200		4,985,956
Mitsubishi Logistics Corp.			35,000		459,359
Mitsubishi Materials Corp.			284,000		1,090,480
Mitsubishi Motors Corp.			163,200		1,387,857
Mitsubishi Tanabe Pharma Corp.			62,800		940,858
Mitsubishi UFJ Financial Group, Inc.			3,490,874		25,114,958
Mitsubishi UFJ Lease & Finance Co. Ltd.			213,700		1,168,608
Mitsui & Co. Ltd.			458,600		6,230,596
Mitsui Chemicals, Inc.			209,000		776,492
Mitsui Fudosan Co. Ltd.			259,000		7,247,570
Mitsui OSK Lines Ltd.			298,000		953,895
Mixi, Inc.			15,200		754,116
Mizuho Financial Group, Inc.			6,381,364		13,807,565

See Notes to Financial Statements.

45 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Japan (continued)
MS&AD Insurance Group Holdings, Inc.		146,170	$	4,550,019
Murata Manufacturing Co. Ltd.		55,700		9,720,503
Nabtesco Corp.		29,400		737,461
Nagoya Railroad Co. Ltd.		221,000		826,330
Namco Bandai Holdings, Inc.		43,700		844,483
NEC Corp.		720,000		2,178,827
Nexon Co. Ltd.		40,300		554,830
NGK Insulators Ltd.		74,000		1,904,097
NGK Spark Plug Co. Ltd.		50,200		1,390,247
NH Foods Ltd.		51,000		1,163,038
NHK Spring Co. Ltd.		42,700		470,143
Nidec Corp.		59,100		4,422,914
Nikon Corp.		97,000		1,120,999
Nintendo Co. Ltd.		28,700		4,787,950
Nippon Building Fund, Inc.		356		1,558,041
Nippon Electric Glass Co. Ltd.		101,500		513,284
Nippon Express Co. Ltd.		237,000		1,164,481
Nippon Paint Co. Ltd.		41,300		1,163,858
Nippon Prologis REIT, Inc.		420		772,859
Nippon Steel & Sumitomo Metal		2,083,265		5,401,601
Nippon Telegraph & Telephone Corp.		205,352		7,436,974
Nippon Yusen KK		454,000		1,263,961
Nissan Motor Co. Ltd.		680,700		7,111,237
Nisshin Seifun Group, Inc.		54,540		724,907
Nissin Foods Holdings Co. Ltd.		15,800		692,249
Nitori Holdings Co. Ltd.		19,400		1,581,653
Nitto Denko Corp.		45,710		3,753,813
NOK Corp.		23,500		728,119
Nomura Holdings, Inc.		991,600		6,695,132
Nomura Real Estate Holdings, Inc.		43,200		906,709
Nomura Research Institute Ltd.		30,100		1,177,027
NSK Ltd.		131,600		2,029,168
NTT Data Corp.		36,000		1,572,144
NTT DoCoMo, Inc.		418,200		8,028,831
NTT Urban Development Corp.		39,100		388,374
Obayashi Corp.		183,000		1,334,462
Odakyu Electric Railway Co. Ltd.		166,000		1,548,819
Oji Holdings Corp.		207,000		899,586
Olympus Corp. (a)		71,500		2,468,538
Omron Corp.		55,900		2,428,198
Ono Pharmaceutical Co. Ltd.		22,300		2,433,931
Oracle Corp. Japan		14,800		618,724
Oriental Land Co. Ltd.		54,200		3,457,371
ORIX Corp.		358,700		5,326,505
Osaka Gas Co. Ltd.		522,000		2,060,229
Otsuka Corp.		14,400		672,215
Otsuka Holdings Co. Ltd.		106,700		3,399,803
Panasonic Corp.		606,500		8,306,748
Park24 Co. Ltd.		26,700		457,090
Rakuten, Inc.		215,600		3,480,674
Recruit Holdings Co. Ltd.		40,100		1,222,819
Resona Holdings, Inc.		595,556		3,248,238
Ricoh Co. Ltd.		196,400		2,034,500
Rinnai Corp.		9,000		708,706
Rohm Co. Ltd.		26,700		1,788,875
Sankyo Co. Ltd.		11,200		396,522
Sanrio Co. Ltd. (b)		20,200		548,843
Santen Pharmaceutical Co. Ltd.		116,000		1,641,251
SBI Holdings, Inc.		60,940		837,768
Secom Co. Ltd.		60,900		3,956,401
Sega Sammy Holdings, Inc.		43,932		574,424
Seibu Holdings, Inc.		35,200		815,142
Seiko Epson Corp.		73,100		1,295,363
Sekisui Chemical Co. Ltd.		118,000		1,448,571
Sekisui House Ltd.		165,800		2,633,061
Seven & I Holdings Co. Ltd.		212,900		9,138,863
Seven Bank Ltd.		146,500		678,179

Common Stocks	Shares		Value
Japan (continued)
Sharp Corp. (a)(b)		403,000	$	489,691
Shikoku Electric Power Co., Inc.		56,100		839,809
Shimadzu Corp.		71,000		963,623
Shimamura Co. Ltd.		6,100		640,434
Shimano, Inc.		21,900		2,988,482
Shimizu Corp.		163,000		1,371,733
Shin-Etsu Chemical Co. Ltd.		111,100		6,889,412
Shinsei Bank Ltd.		448,000		902,838
Shionogi & Co. Ltd.		82,800		3,208,766
Shiseido Co. Ltd.		98,800		2,240,912
The Shizuoka Bank Ltd.		165,000		1,722,388
Showa Shell Sekiyu KK		48,300		422,024
SMC Corp.		15,500		4,664,246
Softbank Corp.		262,900		15,485,594
Sompo Japan Nipponkoa Holdings, Inc.		96,975		3,550,859
Sony Corp. (a)		320,700		9,106,872
Sony Financial Holdings, Inc.		59,200		1,036,520
Stanley Electric Co. Ltd.		34,900		726,856
Sumitomo Chemical Co. Ltd.		416,000		2,499,495
Sumitomo Corp.		327,300		3,809,581
Sumitomo Dainippon Pharma Co. Ltd.		48,400		533,383
Sumitomo Electric Industries Ltd.		209,400		3,240,955
Sumitomo Heavy Industries Ltd.		155,000		902,774
Sumitomo Metal Mining Co. Ltd.		133,000		2,022,793
Sumitomo Mitsui Financial Group, Inc.		348,650		15,521,614
Sumitomo Mitsui Trust Holdings, Inc.		958,820		4,386,217
Sumitomo Realty & Development Co. Ltd.		104,000		3,644,878
Sumitomo Rubber Industries Ltd.		42,300		655,240
Suntory Beverage & Food Ltd.		38,400		1,528,741
Suruga Bank Ltd.		47,300		1,013,220
Suzuken Co. Ltd.		21,700		694,248
Suzuki Motor Corp.		98,700		3,331,071
Sysmex Corp.		39,800		2,370,387
T&D Holdings, Inc.		172,600		2,573,037
Taiheiyo Cement Corp.		301,000		880,239
Taisei Corp.		317,000		1,819,894
Taisho Pharmaceutical Holdings Co. Ltd.		9,500		641,745
Taiyo Nippon Sanso Corp.		40,900		494,961
Takashimaya Co. Ltd.		74,000		670,765
Takeda Pharmaceutical Co. Ltd.		216,500		10,450,163
TDK Corp.		36,300		2,779,580
Teijin Ltd.		254,000		985,636
Terumo Corp.		79,200		1,899,233
THK Co. Ltd.		33,000		712,147
Tobu Railway Co. Ltd.		325,000		1,396,030
Toho Co. Ltd.		29,100		723,576
Toho Gas Co. Ltd.		112,000		663,054
Tohoku Electric Power Co., Inc.		138,700		1,877,927
Tokio Marine Holdings, Inc.		196,200		8,159,777
The Tokyo Electric Power Co., Inc.		398,200		2,169,354
Tokyo Electron Ltd.		47,800		3,038,027
Tokyo Gas Co. Ltd.		636,000		3,376,318
Tokyo Tatemono Co. Ltd.		54,500		756,441
Tokyu Corp.		313,000		2,094,799
Tokyu Fudosan Holdings Corp.		141,500		1,090,555
TonenGeneral Sekiyu KK		70,000		651,138
Toppan Printing Co. Ltd.		148,000		1,237,272
Toray Industries, Inc.		402,700		3,403,897
Toshiba Corp.		1,168,000		4,005,419
Toto Ltd.		89,000		1,604,125
Toyo Seikan Kaisha Ltd.		43,000		689,866
Toyo Suisan Kaisha Ltd.		29,800		1,085,818
Toyoda Gosei Co. Ltd.		17,900		431,466
Toyota Industries Corp.		43,700		2,488,557
Toyota Motor Corp.		747,400		50,013,968
Toyota Tsusho Corp.		58,900		1,580,473
Trend Micro, Inc.		29,800		1,019,359

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 46

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

Common Stocks	Shares		Value
Japan (concluded)
Unicharm Corp.		100,800	$	2,394,455
United Urban Investment Corp.		701		989,935
USS Co. Ltd.		60,000		1,082,106
West Japan Railway Co.		46,100		2,949,436
Yahoo! Japan Corp.		439,700		1,774,650
Yakult Honsha Co. Ltd.		24,500		1,451,125
Yamada Denki Co. Ltd.		231,900		927,665
Yamaguchi Financial Group, Inc.		55,000		684,875
Yamaha Corp.		42,300		852,539
Yamaha Motor Co. Ltd.		72,800		1,590,656
Yamato Holdings Co. Ltd.		93,200		1,802,081
Yamazaki Baking Co. Ltd.		30,000		499,531
Yaskawa Electric Corp.		63,300		809,636
Yokogawa Electric Corp.		58,700		756,009
The Yokohama Rubber Co. Ltd.		31,500		632,067
				825,149,902
Luxembourg — 0.1%
Altice SA (a)		25,369		3,494,317
RTL Group SA (a)		10,877		983,281
				4,477,598
Netherlands — 4.1%
Aegon NV		491,067		3,623,186
Akzo Nobel NV		67,998		4,964,469
ASML Holding NV		96,028		9,988,581
CNH Industrial NV		266,002		2,427,253
Delta Lloyd NV		61,661		1,012,237
Gemalto NV		23,828		2,127,815
Heineken Holding NV		27,301		1,913,512
Heineken NV		63,432		4,822,568
ING Groep NV CVA (a)		1,078,628		17,911,011
Koninklijke Ahold NV		247,089		4,638,514
Koninklijke Boskalis Westminster NV		22,091		1,084,395
Koninklijke DSM NV		50,004		2,903,241
Koninklijke KPN NV		861,095		3,301,298
Koninklijke Philips Electronics NV		256,792		6,553,962
Koninklijke Vopak NV		23,059		1,166,261
NN Group NV (a)		40,174		1,131,391
OCI NV (a)		29,547		837,409
QIAGEN NV (a)		62,014		1,524,100
Randstad Holding NV		34,592		2,250,813
Reed Elsevier NV		190,736		4,536,787
Royal Dutch Shell PLC, Class A		1,083,977		30,648,520
Royal Dutch Shell PLC, Class B		681,526		19,403,391
TNT Express NV		137,210		1,165,290
Unilever NV CVA		445,316		18,618,271
Wolters Kluwer NV		85,267		2,537,865
				151,092,140
New Zealand — 0.1%
Auckland International Airport Ltd.		260,005		870,207
Contact Energy Ltd.		102,592		348,303
Fletcher Building Ltd.		223,352		1,229,041
Meridian Energy Ltd.		390,387		571,419
Mighty River Power Ltd.		241,178		455,982
Ryman Healthcare Ltd.		138,281		742,158
Spark New Zealand Ltd.		466,008		882,047
				5,099,157
Norway — 0.6%
DnB NOR ASA		271,720		4,525,118
Gjensidige Forsikring ASA		51,954		836,552
Norsk Hydro ASA		413,546		1,735,623
Orkla ASA		225,464		1,769,014
Seadrill Ltd.		98,134		1,019,176
Statoil ASA		307,554		5,499,990
Subsea 7 SA		67,352		658,790

Common Stocks	Shares		Value
Norway (concluded)
Telenor ASA		208,366	$	4,568,393
Yara International ASA		48,521		2,528,338
				23,140,994
Portugal — 0.2%
Banco Comercial Portugues SA (a)		11,308,691		988,503
EDP — Energias de Portugal SA		531,905		2,026,555
Galp Energia SGPS SA		113,713		1,338,546
Jeronimo Martins SGPS SA		69,401		894,852
				5,248,456
Singapore — 1.4%
Ascendas Real Estate Investment Trust		619,762		1,131,516
CapitaCommercial Trust		623,100		721,163
CapitaLand Ltd.		721,249		1,872,914
CapitaMall Trust		721,400		1,150,693
City Developments Ltd.		118,135		857,251
ComfortDelGro Corp. Ltd.		634,516		1,473,567
DBS Group Holdings Ltd.		476,007		7,303,681
Genting Singapore PLC		1,738,327		1,154,149
Global Logistic Properties Ltd.		968,000		1,817,195
Golden Agri-Resources Ltd.		2,240,451		682,198
Hutchison Port Holdings Trust		1,602,400		1,009,268
Jardine Cycle & Carriage Ltd.		30,021		737,028
Keppel Corp. Ltd.		393,777		2,400,119
Noble Group Ltd.		1,259,840		709,777
Oversea-Chinese Banking Corp. Ltd.		802,698		6,061,943
SembCorp Industries Ltd.		255,090		736,246
SembCorp Marine Ltd. (b)		220,197		463,917
Singapore Airlines Ltd.		167,209		1,331,321
Singapore Exchange Ltd.		215,400		1,251,290
Singapore Press Holdings Ltd.		99,985		302,725
Singapore Technologies Engineering Ltd.		425,813		1,042,565
Singapore Telecommunications Ltd.		2,238,632		6,986,136
StarHub Ltd.		174,257		510,830
Suntec Real Estate Investment Trust		802,800		1,028,275
United Overseas Bank Ltd.		346,147		5,922,218
UOL Group Ltd.		148,899		764,265
Wilmar International Ltd.		558,570		1,359,495
Yangzijiang Shipbuilding Holdings Ltd.		582,383		611,686
				51,393,431
Spain — 3.4%
Abertis Infraestructuras SA		135,120		2,218,956
ACS Actividades de Construccion y Servicios SA		56,450		1,820,848
Aena SA		19,000		1,982,030
Amadeus IT Holding SA, Class A		126,785		5,061,283
Banco Bilbao Vizcaya Argentaria SA		1,750,753		17,251,835
Banco de Sabadell SA		1,372,293		3,323,945
Banco de Sabadell SA, International Shares		23,160		55,900
Banco Popular Espanol SA		485,586		2,362,675
Banco Santander SA		4,000,295		28,138,122
Bankia SA (a)		1,289,149		1,641,250
Bankinter SA		198,958		1,475,653
CaixaBank SA		757,315		3,524,012
Distribuidora Internacional de Alimentacion SA		185,863		1,424,375
Enagas SA		13,781		375,152
Endesa SA		76,846		1,471,727
Ferrovial SA		132,758		2,884,355
Gas Natural SDG SA		108,425		2,462,033
Grifols SA		39,780		1,606,389
Iberdrola SA		1,477,635		9,976,314
Inditex SA		303,283		9,892,272
International Consolidated Airlines Group SA (a)		231,541		1,806,369
Mapfre SA		352,463		1,218,148
Red Electrica Corp. SA		7,322		587,955
Repsol SA		289,152		5,096,484
Telefonica SA		1,244,812		17,732,832

See Notes to Financial Statements.

47 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Spain (concluded)
Zardoya Otis SA		47,968	$	523,528
				125,914,442
Sweden — 2.9%
Alfa Laval AB		91,556		1,611,474
Assa Abloy AB		277,254		5,219,527
Atlas Copco AB, A Shares		187,619		5,249,262
Atlas Copco AB, B Shares		102,155		2,544,745
Boliden AB		75,335		1,373,410
Electrolux AB, Class B		64,756		2,029,009
Elekta AB, B Shares (b)		131,745		826,401
Getinge AB, Class B		56,831		1,368,264
Hennes & Mauritz AB, Class B		267,285		10,287,454
Hexagon AB, Class B		75,968		2,751,601
Husqvarna AB, Class B		119,187		897,793
ICA Gruppen AB		20,946		743,104
Industrivarden AB, Class C		42,032		792,115
Investment AB Kinnevik, Class B		64,063		2,026,303
Investor AB, Class B		128,093		4,776,036
Lundin Petroleum AB (a)		65,556		1,124,714
Millicom International Cellular SA		17,970		1,325,645
Nordea Bank AB		824,045		10,277,283
Sandvik AB		290,899		3,215,973
Securitas AB, Class B		88,325		1,166,501
Skandinaviska Enskilda Banken AB, Class A		419,034		5,360,005
Skanska AB, Class B		101,940		2,065,717
SKF AB, Class B		111,448		2,543,021
Svenska Cellulosa AB, Class B		169,854		4,319,078
Svenska Handelsbanken AB, Class A		426,556		6,226,971
Swedbank AB, Class A		249,122		5,808,132
Swedish Match AB		55,921		1,589,869
Tele2 AB, Class B		81,638		950,704
Telefonaktiebolaget LM Ericsson, Class B		859,209		8,948,776
TeliaSonera AB		696,716		4,106,259
Volvo AB, Class B		423,306		5,256,412
				106,781,558
Switzerland — 9.5%
ABB Ltd., Registered Shares (a)		601,224		12,600,643
Actelion Ltd., Registered Shares (a)		29,680		4,346,678
Adecco SA, Registered Shares (a)		49,318		4,002,522
Aryzta AG (a)		24,274		1,194,361
Baloise Holding AG, Registered Shares		13,568		1,654,357
Barry Callebaut AG, Registered Shares (a)		771		878,245
Cie Financiere Richemont SA, Registered Shares		142,667		11,595,660
Coca-Cola HBC AG (a)		55,055		1,181,543
Credit Suisse Group AG, Registered Shares (a)		418,410		11,542,873
Dufry AG (a)		8,732		1,216,737
EMS-Chemie Holding AG, Registered Shares		2,064		872,028
Geberit AG, Registered Shares		10,283		3,428,295
Givaudan SA, Registered Shares (a)		2,495		4,319,608
Glencore PLC (a)		3,038,021		12,183,074
Holcim Ltd., Registered Shares (a)		65,794		4,854,646
Julius Baer Group Ltd. (a)		61,670		3,460,548
Kuehne & Nagel International AG, Registered Shares		15,101		2,005,157
Lindt & Spruengli AG		281		1,486,314
Lindt & Spruengli AG, Registered Shares		28		1,752,533
Lonza Group AG, Registered Shares (a)		14,520		1,940,817
Nestle SA, Registered Shares		894,857		64,564,471
Novartis AG, Registered Shares		638,358		62,789,182
Pargesa Holding SA, Bearer Shares		7,631		513,828
Partners Group Holding AG		4,823		1,441,535
Roche Holding AG		194,289		54,476,969
Schindler Holding AG, Participation Certificates		12,180		1,992,052
Schindler Holding AG, Registered Shares		5,413		884,018
SGS SA, Registered Shares		1,438		2,622,329

Common Stocks	Shares		Value
Switzerland (concluded)
Sika AG — Bearer Shares		603	$	2,126,710
Sonova Holding AG, Registered Shares		14,900		2,014,848
STMicroelectronics NV		183,025		1,498,412
Sulzer AG, Registered Shares		6,863		705,940
The Swatch Group AG, Bearer Shares		8,369		3,261,215
The Swatch Group AG, Registered Shares		13,126		985,962
Swiss Life Holding AG, Registered Shares (a)		8,631		1,976,332
Swiss Prime Site AG, Registered Shares (a)		16,088		1,220,861
Swiss Re AG		95,726		8,473,926
Swisscom AG, Registered Shares		7,493		4,199,426
Syngenta AG, Registered Shares		25,393		10,360,901
Transocean Ltd.		98,143		1,591,077
UBS Group AG (a)		1,000,147		21,219,596
Zurich Insurance Group AG (a)		40,753		12,406,420
				347,842,649
United Kingdom — 17.7%
3i Group PLC		265,666		2,155,662
Aberdeen Asset Management PLC		258,157		1,637,499
Admiral Group PLC		57,580		1,254,685
Aggreko PLC		71,476		1,614,449
AMEC PLC		103,200		1,325,416
Anglo American PLC		383,539		5,540,770
Antofagasta PLC		101,747		1,101,293
ARM Holdings PLC		387,241		6,336,763
Ashtead Group PLC		137,201		2,364,629
Associated British Foods PLC		95,803		4,317,092
AstraZeneca PLC		352,379		22,302,151
Aviva PLC		1,093,704		8,471,150
Babcock International Group PLC		80,137		1,357,716
BAE Systems PLC		865,660		6,133,568
Barclays PLC		4,505,012		18,464,457
Barratt Developments PLC		293,807		2,833,864
BG Group PLC		955,575		15,914,910
BHP Billiton PLC		577,497		11,354,554
BP PLC		5,075,080		33,681,649
British American Tobacco PLC		508,043		27,354,305
British Land Co. PLC		255,889		3,187,378
BT Group PLC		2,341,646		16,581,996
Bunzl PLC		89,423		2,439,408
Burberry Group PLC		130,174		3,211,440
Capita PLC		192,637		3,743,056
Carnival PLC		54,523		2,787,745
Centrica PLC		1,375,475		5,707,505
Cobham PLC		316,308		1,306,353
Compass Group PLC		457,159		7,561,016
Croda International PLC		36,145		1,562,878
Diageo PLC		685,944		19,864,782
Direct Line Insurance Group PLC		372,020		1,962,873
Dixons Carphone PLC		271,648		1,931,661
easyJet PLC		44,947		1,092,595
Fiat Chrysler Automobiles NV		243,821		3,576,889
Fresnillo PLC		63,568		693,196
G4S PLC		421,410		1,776,887
GKN PLC		488,566		2,566,839
GlaxoSmithKline PLC		1,354,804		28,168,997
Hammerson PLC		202,712		1,959,070
Hargreaves Lansdown PLC		73,652		1,334,428
HSBC Holdings PLC		5,241,605		46,935,465
ICAP PLC		145,924		1,213,793
IMI PLC		75,968		1,342,923
Imperial Tobacco Group PLC		261,318		12,585,647
Inmarsat PLC		124,522		1,790,066
InterContinental Hotels Group PLC		69,707		2,810,359
Intertek Group PLC		44,920		1,727,173
Intu Properties PLC		229,167		1,107,027
Investec PLC		155,291		1,395,286

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 48

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

Common Stocks	Shares		Value
United Kingdom (continued)
ITV PLC		1,033,069	$	4,274,257
J. Sainsbury PLC		364,838		1,518,721
Johnson Matthey PLC		56,591		2,698,719
Kingfisher PLC		644,290		3,514,273
Land Securities Group PLC		212,961		4,026,894
Legal & General Group PLC		1,628,231		6,366,484
Lloyds Banking Group PLC (a)		15,586,835		20,920,616
London Stock Exchange Group PLC		96,147		3,576,730
Marks & Spencer Group PLC		452,256		3,815,200
Meggitt PLC		222,702		1,630,786
Melrose Industries PLC		321,549		1,249,775
Merlin Entertainments PLC (c)		222,998		1,495,615
Mondi PLC		100,295		2,159,277
National Grid PLC		1,048,533		13,495,486
Next PLC		40,835		4,779,404
Old Mutual PLC		1,353,895		4,285,554
Pearson PLC		220,430		4,173,721
Persimmon PLC (a)		90,811		2,817,497
Petrofac Ltd.		64,792		942,769
Prudential PLC		701,047		16,894,906
Randgold Resources Ltd.		28,368		1,902,819
Reckitt Benckiser Group PLC		176,121		15,187,662
Reed Elsevier PLC		323,830		5,262,457
Rexam PLC		196,009		1,699,994
Rio Tinto PLC		347,403		14,289,718
Rolls-Royce Holdings PLC (a)		505,655		6,906,862
Royal Bank of Scotland Group PLC (a)		737,730		4,079,285
Royal Mail PLC		171,624		1,387,496
RSA Insurance Group PLC		309,686		1,931,138
SABMiller PLC		264,350		13,706,652
The Sage Group PLC		290,467		2,338,121
Schroders PLC		36,209		1,806,712
Segro PLC		196,012		1,248,871
Severn Trent PLC		66,588		2,175,853
Sky PLC		287,065		4,675,610
Smith & Nephew PLC		258,535		4,373,708
Smiths Group PLC		105,487		1,869,825
Sports Direct International PLC (a)		78,087		880,422
SSE PLC		280,660		6,773,560
Standard Chartered PLC		675,391		10,815,980
Standard Life PLC		530,824		3,701,455
Tate & Lyle PLC		125,348		1,023,171
Taylor Wimpey PLC		963,284		2,809,202
Tesco PLC		2,218,493		7,391,528
Travis Perkins PLC		65,947		2,184,148
Tullow Oil PLC		235,864		1,260,522
Unilever PLC		350,260		15,039,860

Common Stocks	Shares		Value
United Kingdom (concluded)
United Utilities Group PLC		191,640	$	2,684,180
Vodafone Group PLC		7,385,860		26,942,822
The Weir Group PLC		59,739		1,592,177
Whitbread PLC		52,581		4,084,977
William Hill PLC		243,637		1,543,298
WM Morrison Supermarkets PLC		605,897		1,720,005
Wolseley PLC		70,159		4,474,342
WPP PLC		362,052		8,126,682
				651,969,111
Total Common Stocks — 98.1%				3,612,629,891

Rights
Singapore — 0.0%
Jardine Cycle & Carriage, Ltd. (Expires 07/20/15) (a)	3,336	17,584
			��
Spain — 0.0%
Abertis Infraestructuras SA (Expires 07/17/15) (a)	135,120	111,472
Repsol SA (Expires 07/03/15) (a)	289,152	149,898
Zardoya Otis SA (Expires 07/31/15) (a)	47,968	20,910
		282,280
Total Rights — 0.0%		299,864
Total Long-Term Investments (Cost — $3,367,954,960) — 98.1%		3,612,929,755

Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.07% (d)(e)		10,072,077		10,072,077
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.23% (d)(e)(f)	$	3,524		3,524,062
Total Short-Term Securities (Cost — $13,596,139) — 0.4%				13,596,139
Total Investments (Cost — $3,381,551,099) — 98.5%				3,626,525,894
Other Assets Less Liabilities — 1.5%				54,973,454
Net Assets — 100.0%			$	3,681,499,348

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) During the six months ended June 30, 2015, investments in issuers considered to be affiliates of the Series for purposes of Section 2(a)(3) of the 1940 Act were as follows:

Affiliate	Shares/Beneficial Interest Held at December 31, 2014		Net Activity			Shares/Beneficial Interest Held at June 30, 2015		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		3,872,785		6,199,292	1		10,072,077	$	6,524
BlackRock Liquidity Series, LLC, Money Market Series	$	4,107,347	$	(583,285	)2	$	3,524,062	$	138,285	3

¹  Represents net shares purchased.

²  Represents net beneficial interest sold.

³  Represents securities lending income earned from reinvestment of cash collateral from loaned securities, net of fees, and other payments to and from borrowers of securities, and less the collateral investment expenses.

See Notes to Financial Statements.

49 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Schedule of Investments (continued) Master International Index Series

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

(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 June 30, 2015, financial futures contracts outstanding were as follows:

Contracts Long	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
589	Euro Stoxx 50 Index	Eurex Mercantile	September 2015	USD	22,562,370	$	120,725
205	FTSE 100 Index	Euronext Life	September 2015	USD	20,917,579		(475,893	)
208	Nikkei 225 Index	Singapore Exchange	September 2015	USD	17,241,982		4,093
91	SPI 200 Index	Australian Securities Exchange	September 2015	USD	9,473,228		(174,350	)
Total						$	(525,425	)

• 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)

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 June 30, 2015, 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	$	1,971,650	$	245,670,399	$	9	$	247,642,058
Austria		—		6,424,308		1		6,424,309
Belgium		—		47,140,191		—		47,140,191
Denmark		548,346		59,149,996		—		59,698,342
Finland		—		30,079,586		—		30,079,586
France		7,470,047		341,218,612		—		348,688,659
Germany		—		321,558,797		—		321,558,797
Hong Kong		7,565,672		110,923,724		—		118,489,396
Ireland		—		32,614,819		—		32,614,819
Israel		—		21,532,244		—		21,532,244
Italy		—		80,652,052		—		80,652,052
Japan		—		825,149,902		—		825,149,902
Luxembourg		3,494,317		983,281		—		4,477,598
Netherlands		1,012,237		150,079,903		—		151,092,140
New Zealand		1,375,704		3,723,453		—		5,099,157
Norway		—		23,140,994		—		23,140,994
Portugal		—		5,248,456		—		5,248,456
Singapore		—		51,393,431		—		51,393,431
Spain		—		125,914,442		—		125,914,442
Sweden		1,569,505		105,212,053		—		106,781,558
Switzerland		2,099,106		345,743,543		—		347,842,649
United Kingdom		9,759,604		642,209,507		—		651,969,111
Rights		170,807		129,057		—		299,864
Short-Term Securities		10,072,077		3,524,062		—		13,596,139
Total	$	47,109,072	$	3,579,416,812	$	10	$	3,626,525,894

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 50

Schedule of Investments (continued) Master International Index Series

	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments1
Assets:
Equity contracts	$	124,818			—		—	$	124,818
Liabilities:
Equity contracts	$	(650,243	)		—		—	$	(650,243	)
Total	$	(525,425	)		—		—	$	(525,425	)

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 June 30, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for financial futures contracts	$	3,548,560		—			—	$	3,548,560
Foreign currency at value		72,427,156		—			—		72,427,156
Liabilities:
Collateral on securities loaned at value		—	$	(3,524,062	)		—		(3,524,062	)
Total	$	75,975,716	$	(3,524,062	)		—	$	72,451,654

During the six months ended June 20, 2015, there were no transfers between levels.

See Notes to Financial Statements.

51 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Schedule of Investments June 30, 2015 (Unaudited)	Master Small Cap Index Series
	(Percentages shown are based on Net Assets)

Common Stocks	Shares		Value
Advertising Agencies — 0.3%
Constant Contact, Inc. (a)		16,243	$	467,149
Harte-Hanks, Inc.		25,932		154,555
Marchex, Inc., Class B		17,264		85,457
Marin Software, Inc. (a)		15,012		101,181
Marketo, Inc. (a)		17,459		489,899
MDC Partners, Inc., Class A		22,009		433,577
National CineMedia, Inc.		31,201		497,968
QuinStreet, Inc. (a)		18,339		118,287
Sizmek, Inc. (a)		10,376		73,670
TubeMogul, Inc. (a)		6,991		99,901
Viad Corp.		10,321		279,802
				2,801,446
Aerospace — 1.3%
AAR Corp.		17,910		570,792
Aerojet Rocketdyne Holdings, Inc. (a)		31,734		654,038
Aerovironment, Inc. (a)		9,884		257,775
Astronics Corp. (a)		9,666		685,223
Cubic Corp.		10,901		518,669
Curtiss-Wright Corp.		23,949		1,734,865
Ducommun, Inc. (a)		5,861		150,452
Esterline Technologies Corp. (a)		15,674		1,494,359
HEICO Corp.		9,690		564,927
HEICO Corp., Class A		20,106		1,020,782
Kaman Corp.		13,473		565,058
KLX, Inc. (a)		26,531		1,170,813
Kratos Defense & Security Solutions, Inc. (a)		23,388		147,344
Moog, Inc., Class A (a)		19,534		1,380,663
Teledyne Technologies, Inc. (a)		17,830		1,881,243
				12,797,003
Agriculture, Fishing & Ranching — 0.4%
Alico, Inc.		1,893		85,867
The Andersons, Inc.		14,327		558,753
Arcadia Biosciences, Inc. (a)		3,831		24,403
Cal-Maine Foods, Inc.		15,876		828,727
Calavo Growers, Inc.		7,424		385,528
Fresh Del Monte Produce, Inc.		16,787		648,985
Limoneira Co.		5,618		124,888
Sanderson Farms, Inc.		11,378		855,171
Seaboard Corp. (a)		133		478,667
				3,990,989
Air Transport — 0.5%
Air Transport Services Group, Inc. (a)		26,770		280,817
Allegiant Travel Co.		6,746		1,199,978
Atlas Air Worldwide Holdings, Inc. (a)		12,676		696,673
Bristow Group, Inc.		17,569		936,428
Era Group, Inc. (a)		10,104		206,930
Hawaiian Holdings, Inc. (a)		24,292		576,935
PHI, Inc. (a)		6,221		186,754
Republic Airways Holdings, Inc. (a)		26,639		244,546
SkyWest, Inc.		26,150		393,296
Virgin America, Inc. (a)		12,714		349,381
				5,071,738
Alternative Energy — 0.2%
Abengoa Yield PLC		24,544		768,718
Ameresco, Inc., Class A (a)		10,588		80,998
EnerNOC, Inc. (a)		13,586		131,784
Green Brick Partners, Inc. (a)		7,138		78,161
Green Plains Renewable Energy, Inc.		19,183		528,492
REX American Resources Corp. (a)		3,437		218,731
Solazyme, Inc. (a)(b)		41,674		130,857
Vivint Solar, Inc. (a)(b)		10,343		125,874
				2,063,615

Common Stocks	Shares		Value
Aluminum — 0.1%
Century Aluminum Co. (a)		25,123	$	262,033
Kaiser Aluminum Corp.		8,551		710,417
				972,450
Asset Management & Custodian — 0.6%
Arlington Asset Investment Corp.		8,623		168,666
Ashford, Inc. (a)		510		44,508
Calamos Asset Management, Inc., Class A		8,959		109,748
CIFC Corp.		3,012		23,885
Cohen & Steers, Inc.		10,248		349,252
Cowen Group, Inc., Class A (a)		57,245		366,368
Diamond Hill Investment Group, Inc.		1,513		302,086
Fifth Street Asset Management, Inc.		2,870		29,504
Financial Engines, Inc.		26,173		1,111,829
GAMCO Investors, Inc., Class A		3,195		219,528
KCG Holdings, Inc., Class A (a)		22,497		277,388
Medley Management, Inc.		3,817		45,193
OM Asset Management PLC		12,461		221,681
Oppenheimer Holdings, Inc., Class A		5,178		136,078
Pzena Investment Management, Inc., Class A		6,495		71,770
RCS Capital Corp., Class A (a)		24,493		187,616
Resource America, Inc., Class A		8,345		70,181
Virtus Investment Partners, Inc.		3,465		458,246
Westwood Holdings Group, Inc.		3,828		228,034
WisdomTree Investments, Inc.		57,570		1,264,525
ZAIS Group Holdings, Inc. (a)		1,748		19,053
				5,705,139
Auto Parts — 0.8%
American Axle & Manufacturing Holdings, Inc. (a)		38,556		806,206
Dana Holding Corp.		82,418		1,696,162
Dorman Products, Inc. (a)		13,382		637,786
Federal-Mogul Corp. (a)		15,138		171,816
Fenix Parts, Inc. (a)		6,805		68,186
Fox Factory Holding Corp. (a)		8,063		129,653
Gentherm, Inc. (a)		18,080		992,773
Meritor, Inc. (a)		49,483		649,217
Metaldyne Performance Group, Inc.		5,712		103,673
Remy International, Inc.		14,205		314,072
Standard Motor Products, Inc.		9,995		351,024
Stoneridge, Inc. (a)		14,046		164,479
Superior Industries International, Inc.		11,360		208,002
Tenneco, Inc. (a)		30,913		1,775,643
Tower International, Inc. (a)		10,796		281,236
				8,349,928
Auto Services — 0.1%
Cooper Tire & Rubber Co.		29,148		986,077
Back Office Support, HR & Consulting — 1.9%
6D Global Technologies, Inc. (a)		9,572		62,601
The Advisory Board Co. (a)		21,464		1,173,437
Angie’s List, Inc. (a)		22,416		138,082
Arrowhead Research Corp. (a)(b)		29,993		214,450
Barrett Business Services, Inc.		3,579		129,989
CBIZ, Inc. (a)		25,269		243,593
CDI Corp.		7,357		95,641
CEB, Inc.		16,975		1,477,843
Convergys Corp.		50,208		1,279,802
CRA International, Inc. (a)		4,807		133,971
DHI Group, Inc. (a)		22,366		198,834
ExlService Holdings, Inc. (a)		16,897		584,298
Forrester Research, Inc.		5,129		184,747
FTI Consulting, Inc. (a)		21,110		870,576
GP Strategies Corp. (a)		6,581		218,752
The Hackett Group, Inc.		12,423		166,841
Heidrick & Struggles International, Inc.		9,434		246,039
Huron Consulting Group, Inc. (a)		11,746		823,277

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 52

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)
ICF International, Inc. (a)		10,044	$	350,134
Insperity, Inc.		9,793		498,464
Kelly Services, Inc., Class A		14,881		228,423
Kforce, Inc.		12,476		285,326
Korn/Ferry International		25,475		885,766
Liquidity Services, Inc. (a)		12,470		120,086
MAXIMUS, Inc.		33,379		2,194,002
Monster Worldwide, Inc. (a)		45,774		299,362
Navigant Consulting, Inc. (a)		24,598		365,772
NV5 Holdings, Inc. (a)		2,603		63,149
On Assignment, Inc. (a)		26,146		1,027,015
Patriot National, Inc. (a)		4,601		73,616
Paylocity Holding Corp. (a)		7,848		281,351
PFSweb, Inc. (a)		5,860		81,220
Resources Connection, Inc.		19,293		310,424
RPX Corp. (a)		27,640		467,116
ServiceSource International, Inc. (a)		29,988		164,034
Sykes Enterprises, Inc. (a)		19,864		481,702
TeleTech Holdings, Inc.		8,371		226,687
TriNet Group, Inc. (a)		20,816		527,686
TrueBlue, Inc. (a)		21,187		633,491
Volt Information Sciences, Inc. (a)		4,484		43,540
WageWorks, Inc. (a)		18,057		730,406
				18,581,545
Banks: Diversified — 7.9%
1st Source Corp.		7,379		251,771
Access National Corp.		3,359		65,299
Ambac Financial Group, Inc. (a)		17,555		292,115
American National Bankshares, Inc.		4,432		105,526
Ameris Bancorp		16,111		407,447
Ames National Corp.		4,424		111,042
Anchor BanCorp Wisconsin, Inc. (a)		3,801		144,362
Arrow Financial Corp.		5,405		146,097
Bancfirst Corp.		3,490		228,421
Banco Latinoamericano de Comercio Exterior SA		15,396		495,443
The Bancorp, Inc. (a)		17,098		158,669
BancorpSouth, Inc.		49,078		1,264,249
Bank of Marin Bancorp		3,037		154,492
Bank of the Ozarks, Inc.		39,443		1,804,517
Banner Corp.		10,658		510,838
Bar Harbor Bankshares		2,662		94,315
BBCN Bancorp, Inc.		40,315		596,259
BBX Capital Corp. (a)		1,551		25,188
Beneficial Bancorp, Inc. (a)		41,254		515,262
BNC Bancorp		11,965		231,283
Boston Private Financial Holdings, Inc.		41,703		559,237
Bridge Bancorp, Inc.		5,957		158,992
Bridge Capital Holdings (a)		4,971		148,136
Bryn Mawr Bank Corp.		8,448		254,792
Camden National Corp.		3,721		144,003
Capital City Bank Group, Inc.		5,174		79,007
Capitol Federal Financial, Inc.		71,197		857,212
Cardinal Financial Corp.		16,265		354,414
Cascade Bancorp (a)		14,544		75,338
Cathay General Bancorp		40,443		1,312,375
Centerstate Banks, Inc.		22,357		302,043
Central Pacific Financial Corp.		11,614		275,833
Century Bancorp, Inc., Class A		1,790		72,781
Charter Financial Corp.		8,275		102,693
Chemical Financial Corp.		16,921		559,408
Citizens & Northern Corp.		5,955		122,375
City Holding Co.		7,590		373,807
CNB Financial Corp.		7,463		137,319
CoBiz Financial, Inc.		18,716		244,618
Columbia Banking System, Inc.		29,223		950,916
Community Bank System, Inc.		20,621		778,855

Common Stocks	Shares		Value
Banks: Diversified (continued)
Community Trust Bancorp, Inc.		7,795	$	271,812
CommunityOne Bancorp (a)		5,682		61,195
ConnectOne Bancorp, Inc.		14,364		309,257
CU Bancorp (a)		8,054		178,477
Customers Bancorp, Inc. (a)		13,822		371,674
CVB Financial Corp.		53,849		948,281
Eagle Bancorp, Inc. (a)		15,056		661,862
Enterprise Bancorp, Inc.		3,640		85,322
Enterprise Financial Services Corp.		10,274		233,939
EverBank Financial Corp.		48,366		950,392
Farmers Capital Bank Corp. (a)		3,646		103,656
Fidelity Southern Corp.		8,829		153,978
Financial Institutions, Inc.		7,316		181,729
First Bancorp, Inc.		4,908		95,412
First Bancorp, North Carolina		10,354		172,705
First BanCorp, Puerto Rico (a)		59,021		284,481
First Busey Corp.		35,704		234,575
First Business Financial Services, Inc.		2,135		100,089
First Citizens BancShares, Inc., Class A		3,915		1,029,802
First Commonwealth Financial Corp.		45,826		439,471
First Community Bancshares, Inc.		8,380		152,684
First Connecticut Bancorp, Inc.		8,288		131,531
First Financial Bancorp		30,536		547,816
First Financial Bankshares, Inc.		32,349		1,120,569
First Financial Corp.		5,544		198,253
First Interstate Bancsystem, Inc.		9,693		268,884
First Merchants Corp.		19,014		469,646
First Midwest Bancorp, Inc.		39,698		753,071
First NBC Bank Holding Co. (a)		7,758		279,288
The First of Long Island Corp.		6,443		178,600
FirstMerit Corp.		84,101		1,751,824
Flagstar Bancorp, Inc. (a)		10,661		197,015
FNB Corp.		89,022		1,274,795
Franklin Financial Network, Inc. (a)		2,739		62,833
Fulton Financial Corp.		87,759		1,146,133
German American Bancorp, Inc.		6,735		198,346
Glacier Bancorp, Inc.		38,201		1,123,873
Great Western Bancorp, Inc.		20,691		498,860
Guaranty Bancorp		7,702		127,160
Hampton Roads Bankshares, Inc. (a)		19,070		39,666
Hancock Holding Co.		39,321		1,254,733
Hanmi Financial Corp.		16,076		399,328
Heartland Financial USA, Inc.		8,969		333,826
Heritage Commerce Corp.		11,043		106,123
Heritage Oaks Bancorp		12,105		95,266
Home BancShares, Inc.		28,746		1,050,954
Horizon Bancorp		4,687		116,988
Hudson Valley Holding Corp.		7,806		220,207
Iberiabank Corp.		19,167		1,307,764
Independent Bank Corp./MA		13,126		615,478
Independent Bank Corp./MI		8,253		111,911
Independent Bank Group, Inc.		4,906		210,467
International Bancshares Corp.		27,499		738,898
Janus Capital Group, Inc.		74,557		1,276,416
Lakeland Bancorp, Inc.		19,759		234,935
Lakeland Financial Corp.		8,306		360,231
MainSource Financial Group, Inc.		10,723		235,370
MB Financial, Inc.		37,834		1,303,003
Mercantile Bank Corp.		8,585		183,805
Merchants Bancshares, Inc.		2,406		79,566
Metro Bancorp, Inc.		6,190		161,807
National Bank Holdings Corp., Class A		18,688		389,271
National Bankshares, Inc.		3,352		98,080
National Commerce Corp. (a)		2,876		74,201
National Penn Bancshares, Inc.		70,809		798,726
NBT Bancorp, Inc.		22,034		576,630
NewBridge Bancorp		17,592		157,097

See Notes to Financial Statements.

53 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Banks: Diversified (concluded)
OFG Bancorp		22,898	$	244,322
Old National Bancorp		59,492		860,254
Old Second Bancorp, Inc. (a)		10,762		71,029
Opus Bank		5,121		185,278
Pacific Continental Corp.		10,119		136,910
Pacific Premier Bancorp, Inc. (a)		11,130		188,765
Palmetto Bancshares, Inc.		2,178		43,059
Park National Corp.		6,425		561,352
Park Sterling Corp.		24,207		174,290
Peapack Gladstone Financial Corp.		7,935		176,316
Penns Woods Bancorp, Inc.		2,435		107,359
Peoples Bancorp, Inc.		8,958		209,080
Peoples Financial Services Corp.		3,833		151,825
Pinnacle Financial Partners, Inc.		18,201		989,588
Preferred Bank		5,956		178,978
PrivateBancorp, Inc.		39,743		1,582,566
Prosperity Bancshares, Inc.		35,416		2,044,920
Provident Financial Services, Inc.		33,046		627,544
QCR Holdings, Inc.		5,735		124,794
Renasant Corp.		15,829		516,025
Republic Bancorp, Inc., Class A		5,165		132,741
S&T Bancorp, Inc.		17,201		508,978
Sandy Spring Bancorp, Inc.		12,485		349,330
Seacoast Banking Corp. of Florida (a)		11,339		179,156
ServisFirst Bancshares, Inc.		10,811		406,169
Sierra Bancorp		6,314		109,295
Simmons First National Corp., Class A		14,732		687,690
South State Corp.		12,258		931,485
Southside Bancshares, Inc.		12,781		373,589
Southwest Bancorp, Inc.		9,836		183,048
Square 1 Financial, Inc. (a)		8,513		232,831
State Bank Financial Corp.		18,161		394,094
Stock Yards Bancorp, Inc.		7,464		282,065
Stonegate Bank		5,294		157,073
Suffolk Bancorp		5,953		152,754
Susquehanna Bancshares, Inc.		93,061		1,314,021
Talmer Bancorp, Inc., Class A		27,312		457,476
Texas Capital Bancshares, Inc. (a)		23,156		1,441,229
Tompkins Financial Corp.		7,514		403,652
TowneBank		22,780		371,086
Trico Bancshares		11,549		277,753
Tristate Capital Holdings, Inc. (a)		11,077		143,226
Triumph Bancorp, Inc. (a)		7,395		97,244
TrustCo Bank Corp. NY		47,795		335,999
Trustmark Corp.		34,091		851,593
UMB Financial Corp.		19,827		1,130,536
Umpqua Holdings Corp.		111,132		1,999,265
Union Bankshares Corp.		22,661		526,642
United Bankshares, Inc.		34,996		1,407,889
United Community Banks, Inc.		24,997		521,687
United Community Financial Corp.		25,932		138,736
Univest Corp. of Pennsylvania		9,221		187,740
Valley National Bancorp		118,133		1,217,951
Washington Trust Bancorp, Inc.		7,363		290,691
Webster Financial Corp.		46,152		1,825,312
WesBanco, Inc.		18,937		644,237
West BanCorp., Inc.		8,410		166,854
Westamerica BanCorp		12,796		648,117
Western Alliance Bancorp (a)		39,575		1,336,052
Wilshire Bancorp, Inc.		36,162		456,726
Wintrust Financial Corp.		24,014		1,281,867
Yadkin Financial Corp. (a)		12,433		260,471
				79,335,390
Banks: Savings, Thrift & Mortgage Lending — 1.4%
Apollo Residential Mortgage, Inc.		16,286		239,241
Astoria Financial Corp.		45,663		629,693

Common Stocks	Shares		Value
Banks: Savings, Thrift & Mortgage Lending (concluded)
Banc of California, Inc.		18,343	$	252,216
Bank Mutual Corp.		24,291		186,312
BankFinancial Corp.		9,713		114,419
Bear State Financial, Inc. (a)		5,997		56,012
Berkshire Hills Bancorp, Inc.		14,985		426,773
BofI Holding, Inc. (a)		7,815		826,124
Brookline Bancorp, Inc.		35,931		405,661
BSB Bancorp, Inc. (a)		3,755		83,023
Clifton Bancorp, Inc.		13,165		184,178
Dime Community Bancshares, Inc.		15,835		268,245
First Defiance Financial Corp.		4,712		176,841
Flushing Financial Corp.		15,112		317,503
Fox Chase Bancorp, Inc.		5,656		95,700
Great Southern Bancorp, Inc.		5,422		228,483
Heritage Financial Corp.		15,615		279,040
Heritage Financial Group, Inc.		4,554		137,440
Hingham Institution for Savings		589		67,800
HomeStreet, Inc. (a)		11,276		257,318
Investors Bancorp, Inc.		176,125		2,166,337
Kearny Financial Corp. (a)		46,708		521,261
Ladder Capital Corp., Class A		19,552		339,227
LegacyTexas Financial Group, Inc.		23,845		720,119
Meridian Bancorp, Inc. (a)		27,343		366,670
Northfield Bancorp, Inc.		23,682		356,414
Northwest Bancshares, Inc.		47,663		611,040
OceanFirst Financial Corp.		6,798		126,783
Ocwen Financial Corp. (a)		54,124		552,065
Oritani Financial Corp.		22,181		356,005
Sterling Bancorp		46,375		681,713
Territorial Bancorp, Inc.		4,134		100,291
United Financial Bancorp, Inc.		25,253		339,653
Washington Federal, Inc.		47,930		1,119,165
Waterstone Financial, Inc.		15,622		206,210
WSFS Financial Corp.		14,241		389,491
				14,184,466
Beverage: Brewers & Distillers — 0.1%
The Boston Beer Co., Inc., Class A (a)		4,579		1,062,282
Castle Brands, Inc. (a)		30,835		42,861
Craft Brew Alliance, Inc. (a)		5,710		63,152
				1,168,295
Beverage: Soft Drinks — 0.1%
Coca-Cola Bottling Co. Consolidated		2,340		353,504
Farmer Bros Co. (a)		3,848		90,428
National Beverage Corp. (a)		5,703		128,260
				572,192
Biotechnology — 5.6%
Acceleron Pharma, Inc. (a)		10,932		345,888
Acorda Therapeutics, Inc. (a)		21,606		720,128
Aduro Biotech, Inc. (a)		4,226		128,175
Advaxis, Inc. (a)		15,296		310,968
Aegerion Pharmaceuticals, Inc. (a)		12,744		241,754
Affimed NV (a)		7,693		103,625
Agenus, Inc. (a)		38,485		332,126
Akebia Therapeutics, Inc. (a)		11,821		121,638
Albany Molecular Research, Inc. (a)		12,364		250,000
Alder Biopharmaceuticals, Inc. (a)		10,398		550,782
Alimera Sciences, Inc. (a)		15,058		69,417
AMAG Pharmaceuticals, Inc. (a)		8,505		587,355
Amicus Therapeutics, Inc. (a)		48,563		687,166
ANI Pharmaceuticals, Inc. (a)		3,985		247,269
Anthera Pharmaceuticals, Inc. (a)		18,083		155,875
Applied Genetic Technologies Corp. (a)		4,257		65,302
Ardelyx, Inc. (a)		6,055		96,698
Arena Pharmaceuticals, Inc. (a)		122,028		566,210

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 54

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

Common Stocks	Shares		Value
Biotechnology (continued)
Ariad Pharmaceuticals, Inc. (a)		84,530	$	699,063
Array BioPharma, Inc. (a)		71,338		514,347
Assembly Biosciences, Inc. (a)		7,055		135,879
Asterias Biotherapeutics, Inc. (a)		5,229		24,053
Atara Biotherapeutics, Inc. (a)		7,284		384,304
aTyr Pharma, Inc. (a)		3,061		56,690
Avalanche Biotechnologies, Inc. (a)		9,857		160,078
Bellicum Pharmaceuticals, Inc. (a)		4,289		91,227
BioCryst Pharmaceuticals, Inc. (a)		36,565		545,915
BioDelivery Sciences International, Inc. (a)		23,530		187,299
BioTelemetry, Inc. (a)		14,600		137,678
Biotime, Inc. (a)(b)		27,703		100,562
Blueprint Medicines Corp. (a)		4,719		125,006
Calithera Biosciences, Inc. (a)(b)		5,615		40,091
Carbylan Therapeutics, Inc. (a)		6,127		43,808
Catalyst Pharmaceutical Partners, Inc. (a)		37,692		155,668
Celldex Therapeutics, Inc. (a)		49,729		1,254,165
Cellular Biomedicine Group, Inc. (a)		4,974		186,575
Cepheid, Inc. (a)		36,294		2,219,378
ChemoCentryx, Inc. (a)		14,743		121,335
Cidara Therapeutics, Inc. (a)		2,410		33,788
Clovis Oncology, Inc. (a)		12,566		1,104,300
Coherus Biosciences, Inc. (a)		11,834		342,003
Collegium Pharmaceutical, Inc. (a)		3,371		60,139
Corium International, Inc. (a)		4,199		57,484
CTI BioPharma Corp. (a)		81,214		158,367
Curis, Inc. (a)		55,689		184,331
Cytokinetics, Inc. (a)		18,010		121,027
CytRx Corp. (a)(b)		28,762		106,995
Dermira, Inc. (a)		6,254		109,758
Dyax Corp. (a)		73,492		1,947,538
Dynavax Technologies Corp. (a)		14,804		346,784
Emergent Biosolutions, Inc. (a)		15,201		500,873
Epizyme, Inc. (a)		14,577		349,848
Exact Sciences Corp. (a)		44,825		1,333,095
Exelixis, Inc. (a)(b)		99,069		372,499
Fibrocell Science, Inc. (a)		12,133		63,941
FibroGen, Inc. (a)		24,102		566,397
Five Prime Therapeutics, Inc. (a)		10,782		267,825
Flex Pharma, Inc. (a)		2,873		49,416
Foundation Medicine, Inc. (a)(b)		6,057		204,969
Galena Biopharma, Inc. (a)		83,479		141,914
GenMark Diagnostics, Inc. (a)		21,045		190,668
Genocea Biosciences, Inc. (a)		9,171		125,918
Genomic Health, Inc. (a)		8,829		245,358
Geron Corp. (a)		80,021		342,490
Halozyme Therapeutics, Inc. (a)		53,551		1,209,182
Harvard Bioscience, Inc. (a)		15,343		87,455
Heron Therapeutics, Inc. (a)		12,437		387,537
Idera Pharmaceuticals, Inc. (a)(b)		44,732		165,956
IGI Laboratories, Inc. (a)(b)		21,049		132,609
Ignyta, Inc. (a)		9,170		138,375
Immunogen, Inc. (a)		43,486		625,329
Immunomedics, Inc. (a)		48,339		196,256
INC Research Holdings, Inc., Class A (a)		6,559		263,147
Inovio Pharmaceuticals, Inc. (a)		36,330		296,453
Insmed, Inc. (a)		30,919		755,042
Insys Therapeutics, Inc. (a)		11,931		428,562
Invitae Corp. (a)		3,830		56,990
Karyopharm Therapeutics, Inc. (a)		11,561		314,575
Keryx Biopharmaceuticals, Inc. (a)(b)		52,236		521,315
Lexicon Pharmaceuticals, Inc. (a)		20,432		164,478
Ligand Pharmaceuticals, Inc., Class B (a)		8,875		895,488
Lion Biotechnologies, Inc. (a)		22,559		206,866
Loxo Oncology, Inc. (a)		3,845		69,325
MacroGenics, Inc. (a)		14,185		538,604
MannKind Corp. (a)(b)		124,370		707,665

Common Stocks	Shares		Value
Biotechnology (concluded)
Medgenics, Inc. (a)		8,070	$	49,469
Merrimack Pharmaceuticals, Inc. (a)		55,465		685,825
Mirati Therapeutics, Inc. (a)		4,977		156,626
Momenta Pharmaceuticals, Inc. (a)		30,789		702,297
Myriad Genetics, Inc. (a)		34,825		1,183,702
Nektar Therapeutics (a)		66,359		830,151
Neurocrine Biosciences, Inc. (a)		43,110		2,058,934
NewLink Genetics Corp. (a)		10,476		463,773
Northwest Biotherapeutics, Inc. (a)(b)		23,095		229,333
Novavax, Inc. (a)		135,247		1,506,652
Ocata Therapeutics, Inc. (a)		17,444		91,930
Omeros Corp. (a)		19,102		343,645
OncoMed Pharmaceuticals, Inc. (a)		8,532		191,970
Oncothyreon, Inc. (a)		51,318		191,929
Ophthotech Corp. (a)		11,907		619,878
Orexigen Therapeutics, Inc. (a)		51,972		257,261
Organovo Holdings, Inc. (a)(b)		40,878		154,110
Osiris Therapeutics, Inc. (a)		9,712		188,996
Pacific Biosciences of California, Inc. (a)		30,573		176,100
PDL BioPharma, Inc.		83,638		537,792
Peregrine Pharmaceuticals, Inc. (a)		92,875		121,666
Pfenex, Inc. (a)		8,184		158,770
PRA Health Sciences, Inc. (a)		10,183		369,948
Progenics Pharmaceuticals, Inc. (a)		35,226		262,786
Proteon Therapeutics, Inc. (a)		3,720		66,439
Prothena Corp. PLC (a)		15,793		831,817
PTC Therapeutics, Inc. (a)		17,067		821,435
RadNet, Inc. (a)		16,937		113,309
Raptor Pharmaceutical Corp. (a)		40,578		640,727
Regulus Therapeutics, Inc. (a)		14,277		156,476
Repligen Corp. (a)		16,578		684,174
Retrophin, Inc. (a)		17,653		585,197
Rigel Pharmaceuticals, Inc. (a)		43,340		139,121
Rockwell Medical, Inc. (a)(b)		25,024		403,387
RTI Surgical, Inc. (a)		29,054		187,689
Sage Therapeutics, Inc. (a)		6,950		507,350
Sangamo Biosciences, Inc. (a)		35,027		388,449
Sarepta Therapeutics, Inc. (a)		20,924		636,717
Sequenom, Inc. (a)		58,892		179,032
Sorrento Therapeutics, Inc. (a)		14,306		252,072
Spark Therapeutics, Inc. (a)		4,077		245,721
Stemline Therapeutics, Inc. (a)		7,911		93,112
Sucampo Pharmaceuticals, Inc., Class A (a)		12,631		207,527
Synergy Pharmaceuticals, Inc. (a)(b)		50,398		418,303
Synta Pharmaceuticals Corp. (a)		45,785		102,101
TESARO, Inc. (a)		11,738		690,077
Theravance, Inc. (b)		42,929		775,727
Threshold Pharmaceuticals, Inc. (a)		30,993		125,212
Tobira Therapeutics, Inc. (a)		1,239		21,373
Tokai Pharmaceuticals, Inc. (a)(b)		4,736		62,989
Trevena, Inc. (a)		11,999		75,114
Trovagene, Inc. (a)		12,287		124,713
Vanda Pharmaceuticals, Inc. (a)		21,023		266,782
Veracyte, Inc. (a)		6,683		74,449
Verastem, Inc. (a)		16,460		124,108
Versartis, Inc. (a)		11,235		170,997
Vitae Pharmaceuticals, Inc. (a)		6,631		95,486
Vital Therapies, Inc. (a)(b)		8,337		175,911
West Pharmaceutical Services, Inc.		36,447		2,116,842
Wright Medical Group, Inc. (a)		26,057		684,257
XBiotech, Inc. (a)		2,031		36,720
Xencor Inc. (a)		14,310		314,391
XOMA Corp. (a)		46,399		180,028
ZIOPHARM Oncology, Inc. (a)(b)		57,860		694,320
				56,255,625

See Notes to Financial Statements.

55 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Building Materials — 0.7%
Builders FirstSource, Inc. (a)		23,473	$	301,393
Continental Building Products, Inc. (a)		16,053		340,163
Gibraltar Industries, Inc. (a)		15,603		317,833
Griffon Corp.		17,457		277,916
Headwaters, Inc. (a)		37,365		680,790
Louisiana-Pacific Corp. (a)		72,289		1,231,082
LSI Industries, Inc.		11,362		106,121
Masonite International Corp. (a)		15,234		1,068,056
NCI Building Systems, Inc. (a)		13,799		207,951
Patrick Industries, Inc. (a)		6,582		250,445
PGT, Inc. (a)		24,431		354,494
Quanex Building Products Corp.		17,246		369,582
Simpson Manufacturing Co., Inc.		21,165		719,610
Stock Building Supply Holdings, Inc. (a)		7,378		144,240
Summit Materials, Inc., Class A (a)		12,918		329,409
Trex Co., Inc. (a)		16,301		805,758
				7,504,843
Building: Climate Control — 0.1%
AAON, Inc.		20,582		463,507
Comfort Systems USA, Inc.		18,935		434,558
Nortek, Inc. (a)		4,818		400,520
				1,298,585
Building: Roofing, Wallboard & Plumbing — 0.1%
Beacon Roofing Supply, Inc. (a)		25,113		834,254
Casinos & Gambling — 0.3%
Boyd Gaming Corp. (a)		41,582		621,651
Caesars Acquisition Co., Class A (a)		24,430		168,078
Caesars Entertainment Corp. (a)(b)		28,153		172,296
Eldorado Resorts, Inc. (a)		14,774		115,533
Empire Resorts, Inc. (a)(b)		7,240		36,852
Isle of Capri Casinos, Inc. (a)		11,825		214,624
Monarch Casino & Resort, Inc. (a)		5,650		116,164
Penn National Gaming, Inc. (a)		41,155		755,194
Pinnacle Entertainment, Inc. (a)		23,194		864,672
Scientific Games Corp., Class A (a)(b)		25,420		395,027
				3,460,091
Cement — 0.0%
US Concrete, Inc. (a)		7,512		284,630
Chemicals: Diversified — 1.0%
Aceto Corp.		14,758		363,490
American Vanguard Corp.		14,810		204,378
Axiall Corp.		35,489		1,279,378
Chemtura Corp. (a)		34,058		964,182
Hawkins, Inc.		5,287		213,542
Innophos Holdings, Inc.		10,456		550,404
KMG Chemicals, Inc.		5,021		127,734
Landec Corp. (a)		13,567		195,772
LSB Industries, Inc. (a)		9,964		406,930
Olin Corp.		39,211		1,056,736
OM Group, Inc.		15,230		511,728
OMNOVA Solutions, Inc. (a)		23,430		175,491
PolyOne Corp.		44,983		1,761,984
Rayonier Advanced Materials, Inc.		20,489		333,151
Sensient Technologies Corp.		23,548		1,609,270
Tronox Ltd., Class A		32,012		468,336
				10,222,506
Chemicals: Specialty — 0.5%
Balchem Corp.		15,670		873,133
Calgon Carbon Corp.		26,476		513,105
FutureFuel Corp.		11,997		154,401
Innospec, Inc.		12,156		547,506
Kraton Performance Polymers, Inc. (a)		15,897		379,620
Polypore International, Inc. (a)		22,712		1,359,995

Common Stocks	Shares		Value
Chemicals: Specialty (concluded)
Quaker Chemical Corp.		6,710	$	596,116
Stepan Co.		9,746		527,356
Valhi, Inc.		8,132		46,027
				4,997,259
Coal — 0.1%
Cloud Peak Energy, Inc. (a)		31,288		145,802
Hallador Energy Co.		4,864		40,566
Peabody Energy Corp.		139,672		305,882
Westmoreland Coal Co. (a)		8,907		185,087
				677,337
Commercial Banks — 0.1%
Blue Hills Bancorp, Inc. (a)		14,285		199,990
C1 Financial, Inc. (a)(b)		2,832		54,884
Green Bancorp, Inc. (a)		4,969		76,324
HomeTrust Bancshares, Inc. (a)		10,600		177,656
Sun Bancorp, Inc. (a)		4,107		79,060
				587,914
Commercial Finance & Mortgage Companies — 0.2%
Capital Bank Financial Corp., Class A (a)		11,463		333,229
Federal Agricultural Mortgage Corp., Class C		5,486		159,423
Impac Mortgage Holdings, Inc. (a)		4,418		84,561
Meta Financial Group, Inc.		3,366		144,469
Nationstar Mortgage Holdings, Inc. (a)		19,934		334,891
NewStar Financial, Inc. (a)		12,319		135,509
On Deck Capital, Inc. (a)(b)		5,542		64,176
PennyMac Financial Services, Inc. (a)(c)		5,912		107,125
RE/MAX Holdings, Inc., Class A		5,997		212,954
Stonegate Mortgage Corp. (a)		7,665		77,187
Walker & Dunlop, Inc. (a)		13,372		357,567
				2,011,091
Commercial Services & Supplies — 0.1%
ARC Document Solutions, Inc. (a)		21,370		162,626
Civeo Corp.		53,588		164,515
Collectors Universe, Inc.		3,723		74,237
Hill International, Inc. (a)		19,052		100,213
LifeLock, Inc. (a)		47,489		778,819
National Research Corp.		5,122		72,784
National Research Corp., Class B		262		8,853
Weight Watchers International, Inc. (a)(b)		13,867		67,255
				1,429,302
Commercial Services: Rental & Leasing — 0.4%
Aircastle Ltd.		31,570		715,692
CAI International, Inc. (a)		8,986		185,022
Electro Rent Corp.		8,402		91,246
H&E Equipment Services, Inc.		15,764		314,807
Marlin Business Services Corp.		4,328		73,057
McGrath RentCorp		13,078		397,963
Mobile Mini, Inc.		23,083		970,409
Neff Corp., Class A (a)		6,007		60,611
PHH Corp. (a)		25,201		655,982
TAL International Group, Inc. (a)		16,849		532,428
				3,997,217
Commercial Vehicles & Parts — 0.3%
Accuride Corp. (a)		19,665		75,710
Blue Bird Corp. (a)		2,361		30,669
Commercial Vehicle Group, Inc. (a)		15,733		113,435
Cooper-Standard Holding, Inc. (a)		6,810		418,611
Miller Industries, Inc.		5,742		114,553
Modine Manufacturing Co. (a)		24,107		258,668
Motorcar Parts of America, Inc. (a)		9,037		271,923
Navistar International Corp. (a)		25,720		582,044
Rush Enterprises, Inc., Class A (a)		17,817		466,984

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 56

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

Common Stocks	Shares		Value
Commercial Vehicles & Parts (concluded)
Strattec Security Corp.		1,873	$	128,675
Wabash National Corp. (a)		34,478		432,354
				2,893,626
Communications Equipment — 0.1%
Aerohive Networks, Inc. (a)		11,398		79,558
Polycom, Inc. (a)		68,156		779,705
Ruckus Wireless, Inc. (a)		37,918		392,072
				1,251,335
Communications Technology — 1.5%
ADTRAN, Inc.		26,932		437,645
Alliance Fiber Optic Products, Inc.		7,453		138,253
Anixter International, Inc. (a)		14,391		937,574
Bel Fuse, Inc., Class B		5,357		109,926
Black Box Corp.		7,559		151,180
Calix, Inc. (a)		22,402		170,479
Ciena Corp. (a)		59,372		1,405,929
Comtech Telecommunications Corp.		8,225		238,936
Cyan, Inc. (a)		14,835		77,735
Datalink Corp. (a)		10,854	��	97,035
Digi International, Inc. (a)		12,505		119,423
DigitalGlobe, Inc. (a)		36,631		1,017,976
Extreme Networks, Inc. (a)		49,069		131,996
Finisar Corp. (a)		52,485		937,907
General Cable Corp.		24,701		487,351
Harmonic, Inc. (a)		44,739		305,567
Infinera Corp. (a)		65,477		1,373,707
Intelsat SA (a)(b)		14,297		141,826
InterDigital, Inc.		18,188		1,034,715
Ixia (a)		30,457		378,885
KVH Industries, Inc. (a)		8,279		111,353
Loral Space & Communications, Inc. (a)		6,516		411,290
NeoPhotonics Corp. (a)		14,220		129,829
NETGEAR, Inc. (a)		17,395		522,198
Novatel Wireless, Inc. (a)		18,913		61,467
Pacific DataVision, Inc. (a)		6,488		273,339
Plantronics, Inc.		19,743		1,111,728
QLogic Corp. (a)		44,114		625,978
RingCentral, Inc., Class A (a)		26,923		497,806
Seachange International, Inc. (a)		16,626		116,548
ShoreTel, Inc. (a)		32,477		220,194
Sonus Networks, Inc. (a)		25,009		173,062
TeleNav, Inc. (a)		14,084		113,376
ViaSat, Inc. (a)		21,529		1,297,338
				15,359,551
Computer Services Software & Systems — 5.8%
A10 Networks, Inc. (a)		16,730		107,741
ACI Worldwide, Inc. (a)		58,865		1,446,313
Acxiom Corp. (a)		39,553		695,342
American Software, Inc., Class A		12,436		118,142
Apigee Corp. (a)		2,319		23,028
Aspen Technology, Inc. (a)		43,083		1,962,431
AVG Technologies NV (a)		20,674		562,540
Avid Technology, Inc. (a)		16,190		215,975
Bankrate, Inc. (a)		33,792		354,478
Barracuda Networks, Inc. (a)		4,044		160,223
Bazaarvoice, Inc. (a)		30,563		180,016
Benefitfocus, Inc. (a)		3,981		174,567
Blackbaud, Inc.		23,656		1,347,209
Blucora, Inc. (a)		20,720		334,628
Bottomline Technologies, Inc. (a)		20,544		571,329
Box, Inc., Class A (a)(b)		6,425		119,762
Brightcove, Inc. (a)		16,147		110,768
BroadSoft, Inc. (a)		14,704		508,317
CACI International, Inc., Class A (a)		12,340		998,183

Common Stocks	Shares		Value
Computer Services Software & Systems (continued)
Callidus Software, Inc. (a)		27,861	$	434,074
CIBER, Inc. (a)		41,383		142,771
Code Rebel Corp. (a)		557		18,030
CommVault Systems, Inc. (a)		22,778		966,015
ComScore, Inc. (a)		17,368		925,020
Connecture, Inc. (a)		3,751		39,611
Cornerstone OnDemand, Inc. (a)		27,184		946,003
CSG Systems International, Inc.		16,704		528,849
Cvent, Inc. (a)		11,791		303,972
DealerTrack Holdings, Inc. (a)		27,634		1,735,139
Demandware, Inc. (a)		16,828		1,196,134
Digimarc Corp. (a)		3,864		174,421
Digital Turbine, Inc. (a)		23,391		70,641
Dot Hill Systems Corp. (a)		30,616		187,370
EarthLink Holdings Corp.		51,720		387,383
Ebix, Inc. (b)		13,604		443,626
Endurance International Group Holdings, Inc. (a)		29,587		611,267
Envestnet, Inc. (a)		17,920		724,506
EPAM Systems, Inc. (a)		24,663		1,756,745
EPIQ Systems, Inc.		16,366		276,258
ePlus, Inc. (a)		2,799		214,543
Guidance Software, Inc. (a)		9,996		84,666
Guidewire Software, Inc. (a)		35,386		1,872,981
Hortonworks, Inc. (a)(b)		3,736		94,596
HubSpot, Inc. (a)		9,469		469,473
iGATE Corp. (a)		18,342		874,730
Imperva, Inc. (a)		13,422		908,669
Infoblox, Inc. (a)		28,773		754,140
Interactive Intelligence Group, Inc. (a)		8,698		386,800
Internap Network Services Corp. (a)		28,530		263,902
IntraLinks Holdings, Inc. (a)		20,332		242,154
Jive Software, Inc. (a)		23,159		121,585
The KEYW Holding Corp. (a)(b)		16,813		156,697
Limelight Networks, Inc. (a)		31,045		122,317
Lionbridge Technologies, Inc. (a)		34,016		209,879
LivePerson, Inc. (a)		28,117		275,828
LogMeIn, Inc. (a)		12,424		801,224
Luxoft Holding, Inc. (a)		9,259		523,596
Manhattan Associates, Inc. (a)		37,220		2,220,173
Mantech International Corp., Class A		12,314		357,106
MaxPoint Interactive, Inc. (a)		3,335		26,947
Mentor Graphics Corp.		50,473		1,334,001
Mercury Systems, Inc. (a)		17,518		256,464
MicroStrategy, Inc., Class A (a)		4,680		795,974
Millennial Media, Inc. (a)		58,768		95,204
ModusLink Global Solutions, Inc. (a)		17,640		59,976
Monotype Imaging Holdings, Inc.		20,115		484,973
Netscout Systems, Inc. (a)		18,847		691,119
New Relic, Inc. (a)		2,916		102,614
NIC, Inc.		33,064		604,410
Nimble Storage, Inc. (a)		25,515		715,951
PDF Solutions, Inc. (a)		13,736		219,776
Pegasystems, Inc.		18,005		412,134
Perficient, Inc. (a)		17,834		343,126
Progress Software Corp. (a)		25,539		702,322
Proofpoint, Inc. (a)		19,932		1,269,070
PROS Holdings, Inc. (a)		12,074		254,882
Q2 Holdings, Inc. (a)		9,812		277,189
QAD, Inc., Class A		5,040		133,207
QLIK Technologies, Inc. (a)		46,069		1,610,572
RealNetworks, Inc. (a)		10,991		59,461
RealPage, Inc. (a)		26,615		507,548
Reis, Inc.		4,602		102,072
Rocket Fuel, Inc. (a)(b)		13,084		107,289
Rovi Corp. (a)		44,584		711,115
Sapiens International Corp. NV		11,800		122,484

See Notes to Financial Statements.

57 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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)
Science Applications International Corp.		23,316	$	1,232,251
SciQuest, Inc. (a)		13,637		201,964
Shutterstock, Inc. (a)		9,882		579,480
SPS Commerce, Inc. (a)		8,377		551,207
Synchronoss Technologies, Inc. (a)		19,548		893,930
SYNNEX Corp.		14,516		1,062,426
Syntel, Inc. (a)		15,974		758,446
Tangoe, Inc. (a)(b)		20,114		253,034
TechTarget, Inc. (a)		10,003		89,327
TeleCommunication Systems, Inc., Class A (a)		24,534		81,208
Textura Corp. (a)		10,016		278,745
Travelzoo, Inc. (a)		3,425		38,634
Tyler Technologies, Inc. (a)		16,978		2,196,614
Unisys Corp. (a)		25,491		509,565
United Online, Inc. (a)		7,350		115,175
Varonis Systems, Inc. (a)		4,511		99,648
VASCO Data Security International, Inc. (a)(b)		14,862		448,684
Verint Systems, Inc. (a)		30,923		1,878,418
VirnetX Holding Corp. (a)(b)		22,763		95,605
Virtusa Corp. (a)		14,963		769,098
Web.com Group, Inc. (a)		22,166		536,861
Wix.com Ltd. (a)		9,409		222,241
Workiva, Inc. (a)		3,340		46,192
Yodlee, Inc. (a)		9,036		130,480
Zix Corp. (a)		29,308		151,522
				58,034,521
Computer Technology — 0.6%
Cray, Inc. (a)		20,692		610,621
Diebold, Inc.		32,557		1,139,495
Imation Corp. (a)		16,041		65,126
Immersion Corp. (a)		13,943		176,658
Insight Enterprises, Inc. (a)		19,494		583,066
PC Connection, Inc.		5,352		132,409
Quantum Corp. (a)		109,250		183,540
Safeguard Scientifics, Inc. (a)		10,205		198,589
Silicon Graphics International Corp. (a)		17,845		115,457
Stratasys Ltd. (a)		25,640		895,605
Super Micro Computer, Inc. (a)		18,619		550,750
Synaptics, Inc. (a)		18,602		1,613,445
Violin Memory, Inc. (a)		46,361		113,584
				6,378,345
Construction — 0.4%
Aegion Corp. (a)		18,562		351,564
EMCOR Group, Inc.		31,713		1,514,930
Granite Construction, Inc.		19,915		707,182
Great Lakes Dredge & Dock Corp. (a)		29,990		178,740
Orion Marine Group, Inc. (a)		15,084		108,907
Primoris Services Corp.		19,604		388,159
Tutor Perini Corp. (a)		19,113		412,459
				3,661,941
Consumer Electronics — 0.2%
RealD, Inc. (a)		20,774		256,143
Skullcandy, Inc. (a)		10,985		84,255
TiVo, Inc. (a)		49,154		498,422
Universal Electronics, Inc. (a)		7,992		398,321
VOXX International Corp. (a)		10,507		86,998
XO Group, Inc. (a)		13,302		217,488
Zagg, Inc. (a)		14,864		117,723
				1,659,350
Consumer Lending — 0.7%
Cash America International, Inc.		13,875		363,386
Encore Capital Group, Inc. (a)		13,190		563,741
Enova International, Inc. (a)		13,331		249,023
Ezcorp, Inc., Class A (a)		26,096		193,893

Common Stocks	Shares		Value
Consumer Lending (concluded)
First Cash Financial Services, Inc. (a)		14,169	$	645,965
LendingTree, Inc. (a)		2,954		232,214
Marcus & Millichap, Inc. (a)		6,903		318,504
MGIC Investment Corp. (a)		171,882		1,956,017
MoneyGram International, Inc. (a)		14,814		136,141
Nelnet, Inc., Class A		12,032		521,106
PRA Group, Inc. (a)		24,390		1,519,741
Regional Management Corp. (a)		5,744		102,588
World Acceptance Corp. (a)		3,849		236,752
				7,039,071
Consumer Services: Miscellaneous — 0.3%
Chuy’s Holdings, Inc. (a)		8,309		222,598
Core-Mark Holding Co., Inc.		11,669		691,388
Del Frisco’s Restaurant Group, Inc. (a)		11,759		219,070
Nutrisystem, Inc.		14,578		362,701
Sotheby’s		31,361		1,418,772
Steiner Leisure Ltd. (a)		6,437		346,182
				3,260,711
Containers & Packaging — 0.3%
AEP Industries, Inc. (a)		1,966		108,523
Berry Plastics Group, Inc. (a)		60,349		1,955,308
Greif, Inc., Class A		15,418		552,735
Myers Industries, Inc.		12,321		234,099
Veritiv Corp. (a)		4,128		150,507
				3,001,172
Cosmetics — 0.1%
Elizabeth Arden, Inc. (a)(b)		13,405		191,155
Inter Parfums, Inc.		8,570		290,780
Revlon, Inc., Class A (a)		5,805		213,102
				695,037
Diversified Financial Services — 0.9%
Altisource Asset Management Corp. (a)		463		66,806
Altisource Portfolio Solutions SA (a)(b)		7,297		224,675
Blackhawk Network Holdings, Inc. (a)		27,452		1,131,022
Evercore Partners, Inc., Class A		17,424		940,199
FCB Financial Holdings, Inc., Class A (a)		14,018		445,772
FNFV Group (a)		40,112		616,923
Greenhill & Co., Inc.		14,865		614,371
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		16,344		327,697
HRG Group, Inc. (a)		39,850		518,050
JG Wentworth Co (a)		7,836		72,091
Liberty Tax, Inc.		2,775		68,681
MBIA, Inc. (a)		79,406		477,230
MidWestOne Financial Group, Inc.		3,684		121,277
Moelis & Co., Class A		8,606		247,078
Outerwall, Inc.		9,353		711,857
Piper Jaffray Cos. (a)		8,191		357,455
Real Industry, Inc. (a)		12,307		139,685
Stifel Financial Corp. (a)		34,324		1,981,868
Tiptree Financial, Inc. A REIT		13,406		97,194
				9,159,931
Diversified Manufacturing Operations — 0.5%
Barnes Group, Inc.		27,652		1,078,151
Federal Signal Corp.		31,671		472,215
Harsco Corp.		40,366		666,039
Lydall, Inc. (a)		8,589		253,891
OSI Systems, Inc. (a)		10,026		709,741
Raven Industries, Inc.		18,800		382,204
Standex International Corp.		6,424		513,470
TriMas Corp. (a)		22,895		677,692
				4,753,403

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 58

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

Common Stocks	Shares		Value
Diversified Materials & Processing — 0.5%
Belden, Inc.		21,518	$	1,747,907
Cabot Microelectronics Corp. (a)		12,370		582,751
CLARCOR, Inc.		25,233		1,570,502
Encore Wire Corp.		10,460		463,273
Insteel Industries, Inc.		9,672		180,866
Koppers Holdings, Inc.		10,372		256,396
NL Industries, Inc. (a)		3,493		25,883
Tredegar Corp.		12,691		280,598
Uranium Energy Corp. (a)		46,438		73,837
				5,182,013
Diversified Media — 0.1%
EW Scripps Co.		29,810		681,158
Hemisphere Media Group, Inc. (a)		5,395		64,201
				745,359
Diversified Retail — 0.5%
Big Lots, Inc.		27,185		1,223,053
Etsy, Inc. (a)		10,094		141,821
EVINE Live, Inc. (a)		25,199		67,785
Fred’s, Inc., Class A		18,600		358,794
HSN, Inc.		16,356		1,148,028
Overstock.com, Inc. (a)		6,269		141,303
Pricesmart, Inc.		9,726		887,400
Tuesday Morning Corp. (a)		22,215		250,252
Winmark Corp.		1,114		109,729
zulily, Inc., Class A (a)		32,994		430,242
				4,758,407
Drug & Grocery Store Chains — 0.5%
Casey’s General Stores, Inc.		19,582		1,874,781
Diplomat Pharmacy, Inc. (a)		18,215		815,121
Ingles Markets, Inc., Class A		6,767		323,260
PetMed Express, Inc.		10,074		173,978
Smart & Final Stores, Inc. (a)		12,205		218,103
Supervalu, Inc. (a)		132,245		1,069,862
Village Super Market, Inc., Class A		3,476		110,155
Weis Markets, Inc.		5,468		230,476
				4,815,736
Education Services — 0.8%
2U, Inc. (a)		12,016		386,795
American Public Education, Inc. (a)		8,682		223,301
Apollo Education Group, Inc. (a)		47,534		612,238
Bridgepoint Education, Inc. (a)		8,632		82,522
Bright Horizons Family Solutions, Inc. (a)		18,815		1,087,507
Cambium Learning Group, Inc. (a)		6,336		27,055
Capella Education Co.		6,133		329,158
Career Education Corp. (a)		34,818		114,900
Chegg, Inc. (a)		38,045		298,273
DeVry Education Group, Inc.		32,088		961,998
Franklin Covey Co. (a)		6,053		122,815
Grand Canyon Education, Inc. (a)		23,748		1,006,915
HealthStream, Inc. (a)		12,615		383,748
Houghton Mifflin Harcourt Co. (a)		68,891		1,736,053
K12, Inc. (a)		17,134		216,745
Strayer Education, Inc. (a)		5,578		240,412
Universal Technical Institute, Inc.		10,246		88,116
				7,918,551
Electronic Components — 0.7%
Acacia Research Corp.		26,254		230,248
AVX Corp.		22,264		299,673
Checkpoint Systems, Inc.		21,722		221,130
InvenSense, Inc. (a)		39,099		590,395
Methode Electronics, Inc.		19,421		533,106
Multi-Fineline Electronix, Inc. (a)		4,835		105,693
NVE Corp.		2,332		182,829

Common Stocks	Shares		Value
Electronic Components (concluded)
Park Electrochemical Corp.		10,211	$	195,643
Rogers Corp. (a)		9,381		620,459
Sanmina Corp. (a)		41,844		843,575
ScanSource, Inc. (a)		14,379		547,265
Sparton Corp. (a)		4,998		136,545
Tech Data Corp. (a)		18,375		1,057,665
TTM Technologies, Inc. (a)		29,837		298,072
Universal Display Corp. (a)		20,293		1,049,757
				6,912,055
Electronic Entertainment — 0.2%
DTS, Inc. (a)		9,024		275,142
Glu Mobile, Inc. (a)		60,738		377,183
Take-Two Interactive Software, Inc. (a)		42,703		1,177,321
				1,829,646
Electronics — 0.3%
Agilysys, Inc. (a)		7,618		69,933
American Science & Engineering, Inc.		3,641		159,512
Coherent, Inc. (a)		12,003		761,951
Control4 Corp. (a)		10,369		92,180
Daktronics, Inc.		19,944		236,536
II-VI, Inc. (a)		26,427		501,585
Imprivata, Inc. (a)		4,604		75,321
iRobot Corp. (a)		15,049		479,762
Newport Corp. (a)		20,091		380,925
Rofin-Sinar Technologies, Inc. (a)		14,185		391,506
				3,149,211
Energy Equipment — 0.3%
Dynegy, Inc. (a)		64,656		1,891,188
Enphase Energy, Inc. (a)		13,910		105,855
FuelCell Energy, Inc. (a)(b)		120,115		117,341
Matador Resources Co. (a)		36,907		922,675
PowerSecure International, Inc. (a)		11,624		171,570
Silver Spring Networks, Inc. (a)		18,137		225,080
				3,433,709
Energy Equipment & Services — 0.0%
Geospace Technologies Corp. (a)		6,457		148,834
Pioneer Energy Services Corp. (a)		31,913		202,328
				351,162
Engineering & Contracting Services — 0.5%
Argan, Inc.		6,553		264,283
Dycom Industries, Inc. (a)		17,239		1,014,515
Engility Holdings, Inc.		9,171		230,742
Exponent, Inc.		13,182		590,290
Furmanite Corp. (a)		18,882		153,322
HC2 Holdings, Inc. (a)		9,851		88,166
MasTec, Inc. (a)		33,823		672,063
Mistras Group, Inc. (a)		8,358		158,635
MYR Group, Inc. (a)		10,641		329,445
Power Solutions International, Inc. (a)		2,383		128,730
Tetra Tech, Inc.		30,344		778,020
VSE Corp.		2,192		117,294
				4,525,505
Entertainment — 0.4%
AMC Entertainment Holdings, Inc., Class A		10,988		337,112
Ascent Capital Group, Inc., Class A (a)		6,630		283,366
Carmike Cinemas, Inc. (a)		12,396		328,990
DreamWorks Animation SKG, Inc., Class A (a)		38,239		1,008,745
IMAX Corp. (a)		30,384		1,223,564
Reading International, Inc., Class A (a)		8,327		115,329
Rentrak Corp. (a)		6,408		447,278
World Wrestling Entertainment, Inc. (b)		15,096		249,084
				3,993,468

See Notes to Financial Statements.

59 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Environmental, Maintenance, & Security Service — 0.5%
ABM Industries, Inc.		28,264	$	929,038
The Brink’s Co.		24,580		723,389
G&K Services, Inc., Class A		10,037		693,958
Healthcare Services Group, Inc.		35,894		1,186,297
MSA Safety, Inc.		14,897		722,653
SP Plus Corp. (a)		8,554		223,345
UniFirst Corp.		7,496		838,428
				5,317,108
Fertilizers — 0.0%
Intrepid Potash, Inc. (a)		28,319		338,129
Rentech, Inc. (a)		83,520		89,366
				427,495
Financial Data & Systems — 0.8%
Advent Software, Inc.		26,627		1,177,180
Cardtronics, Inc. (a)		22,826		845,703
Cass Information Systems, Inc.		5,838		328,212
Euronet Worldwide, Inc. (a)		26,243		1,619,193
EVERTEC, Inc.		33,133		703,745
Fair Isaac Corp.		15,778		1,432,327
Global Cash Access Holdings, Inc. (a)		33,500		259,290
Green Dot Corp., Class A (a)		23,128		442,207
Heartland Payment Systems, Inc.		18,572		1,003,817
Xoom Corp. (a)		16,066		338,270
				8,149,944
Food & Staples Retailing — 0.0%
Fairway Group Holdings Corp. (a)(b)		11,330		40,335
Natural Grocers by Vitamin Cottage, Inc. (a)		4,688		115,418
				155,753
Foods — 1.3%
B&G Foods, Inc.		29,115		830,651
Boulder Brands, Inc. (a)		27,467		190,621
The Chefs’ Warehouse, Inc. (a)		9,360		198,806
Dean Foods Co.		47,680		770,986
Diamond Foods, Inc. (a)		13,137		412,239
The Fresh Market, Inc. (a)		21,767		699,591
Freshpet, Inc. (a)(b)		10,288		191,357
Inventure Foods, Inc. (a)		9,730		98,760
J&J Snack Foods Corp.		7,459		825,488
John B Sanfilippo & Son, Inc.		4,336		225,039
Lancaster Colony Corp.		9,251		840,453
Lifeway Foods, Inc. (a)		2,337		44,847
Medifast, Inc. (a)		5,679		183,545
Natural Health Trends Corp.		4,016		166,503
Nature’s Sunshine Products, Inc.		5,208		71,610
Nutraceutical International Corp. (a)		4,096		101,335
Omega Protein Corp. (a)		11,252		154,715
Post Holdings, Inc. (a)		27,696		1,493,645
Seneca Foods Corp., Class A (a)		4,094		113,690
Senomyx, Inc. (a)		21,732		116,484
Snyders-Lance, Inc.		24,540		791,906
SpartanNash Co.		18,967		617,186
Synutra International, Inc. (a)		10,871		77,728
Tootsie Roll Industries, Inc.		9,349		302,066
TreeHouse Foods, Inc. (a)		21,630		1,752,679
United Natural Foods, Inc. (a)		25,234		1,606,901
				12,878,831
Forest Products — 0.2%
Boise Cascade Co. (a)		20,196		740,789
Deltic Timber Corp.		5,603		378,987
Universal Forest Products, Inc.		10,223		531,903
				1,651,679

Common Stocks	Shares		Value
Forms & Bulk Printing Services — 0.3%
Deluxe Corp.		25,211	$	1,563,082
Ennis, Inc.		12,955		240,833
InnerWorkings, Inc. (a)		18,256		121,768
Multi-Color Corp.		6,396		408,576
Quad/Graphics, Inc.		14,390		266,359
				2,600,618
Fruit & Grain Processing — 0.0%
MGP Ingredients, Inc.		5,374		90,391
Funeral Parlors & Cemeteries — 0.2%
Carriage Services, Inc.		8,440		201,547
Hillenbrand, Inc.		31,745		974,572
Matthews International Corp., Class A		16,567		880,370
				2,056,489
Gas Pipeline — 0.2%
SemGroup Corp., Class A		22,146		1,760,164
Glass — 0.1%
Apogee Enterprises, Inc.		14,725		775,124
Gold — 0.0%
Coeur Mining, Inc. (a)		68,594		391,672
Health Care Equipment & Supplies — 0.0%
Inogen, Inc. (a)		7,980		355,908
Health Care Facilities — 0.9%
AAC Holdings, Inc. (a)(b)		4,017		174,981
Adeptus Health, Inc., Class A (a)		3,150		299,219
Amsurg Corp. (a)		24,418		1,708,039
Capital Senior Living Corp. (a)		14,900		365,050
The Ensign Group, Inc.		12,796		653,364
Five Star Quality Care, Inc. (a)		21,077		101,170
Genesis Healthcare, Inc. (a)		18,165		119,889
Hanger, Inc. (a)		18,019		422,365
HealthSouth Corp.		46,145		2,125,439
Kindred Healthcare, Inc.		42,150		855,223
National Healthcare Corp.		5,055		328,524
Select Medical Holdings Corp.		52,956		857,887
Surgical Care Affiliates, Inc. (a)		10,789		414,082
U.S. Physical Therapy, Inc.		6,178		338,307
				8,763,539
Health Care Management Services — 0.5%
BioScrip, Inc. (a)(b)		33,637		122,102
Computer Programs & Systems, Inc.		5,622		300,327
Magellan Health Services, Inc. (a)		13,790		966,265
Molina Healthcare, Inc. (a)		17,828		1,253,308
Triple-S Management Corp., Class B (a)		12,310		315,875
Universal American Corp. (a)		24,839		251,371
WellCare Health Plans, Inc. (a)		22,236		1,886,280
				5,095,528
Health Care Services — 2.0%
Accelerate Diagnostics, Inc. (a)(b)		10,948		282,568
Addus HomeCare Corp. (a)		3,333		92,857
Air Methods Corp. (a)		19,828		819,690
Alliance HealthCare Services, Inc. (a)		2,417		45,174
Almost Family, Inc. (a)		3,693		147,388
Amedisys, Inc. (a)		14,192		563,848
AMN Healthcare Services, Inc. (a)		24,053		759,834
Cara Therapeutics, Inc. (a)		8,238		100,092
Care.com, Inc. (a)		9,282		54,949
Catalent, Inc. (a)		42,215		1,238,166
Chemed Corp.		8,633		1,131,786
Civitas Solutions, Inc. (a)		5,970		127,340
Corvel Corp. (a)		4,319		138,294
Cross Country Healthcare, Inc. (a)		16,586		210,310
ExamWorks Group, Inc. (a)		20,865		815,821

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 60

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

Common Stocks	Shares		Value
Health Care Services (concluded)
Flexion Therapeutics, Inc. (a)		6,972	$	152,617
Globus Medical, Inc., Class A (a)		35,001		898,476
HealthEquity, Inc. (a)		18,212		583,695
Healthways, Inc. (a)		15,761		188,817
HMS Holdings Corp. (a)		44,885		770,675
IPC The Hospitalist Co., Inc. (a)		8,759		485,161
LHC Group, Inc. (a)		6,526		249,620
Medidata Solutions, Inc. (a)		27,898		1,515,419
MiMedx Group, Inc. (a)		54,797		635,097
NeoGenomics, Inc. (a)		26,425		142,959
Nobilis Health Corp. (a)		15,632		106,298
Omnicell, Inc. (a)		18,184		685,719
OvaScience, Inc. (a)		11,874		343,515
PharMerica Corp. (a)		15,382		512,221
Phibro Animal Health Corp., Class A		8,877		345,670
Press Ganey Holdings, Inc. (a)		5,256		150,690
Quality Systems, Inc.		25,050		415,078
Ryman Hospitality Properties		22,130		1,175,324
T2 Biosystems, Inc. (a)(b)		4,481		72,727
Team Health Holdings, Inc. (a)		36,337		2,373,896
Tetraphase Pharmaceuticals, Inc. (a)		18,227		864,689
WebMD Health Corp. (a)		19,096		845,571
				20,042,051
Health Care: Miscellaneous — 0.1%
MedAssets, Inc. (a)		30,752		678,389
The Providence Service Corp. (a)		6,900		305,532
				983,921
Home Building — 0.8%
Beazer Homes USA, Inc. (a)		14,371		286,701
Century Communities, Inc. (a)		7,764		156,289
Hovnanian Enterprises, Inc., Class A (a)		61,577		163,795
Installed Building Products, Inc. (a)		10,100		247,248
KB Home		41,715		692,469
LGI Homes, Inc. (a)		7,278		143,959
M/I Homes, Inc. (a)		12,688		313,013
MDC Holdings, Inc.		20,057		601,108
Meritage Homes Corp. (a)		20,186		950,559
The New Home Co., Inc. (a)		4,542		78,259
The Ryland Group, Inc.		23,798		1,103,513
Standard Pacific Corp. (a)		75,031		668,526
Taylor Morrison Home Corp., Class A (a)		16,565		337,263
Tile Shop Holdings, Inc. (a)		13,826		196,191
TRI Pointe Homes, Inc. (a)		81,785		1,251,311
WCI Communities, Inc. (a)		7,909		192,901
William Lyon Homes, Class A (a)		10,049		257,958
				7,641,063
Hotel/Motel — 0.3%
Belmond Ltd., Class A (a)		49,824		622,302
Bloomin’ Brands, Inc.		62,486		1,334,076
Intrawest Resorts Holdings, Inc. (a)		8,878		103,162
La Quinta Holdings, Inc. (a)		48,102		1,099,131
The Marcus Corp.		9,552		183,207
Morgans Hotel Group Co. (a)		15,169		102,239
				3,444,117
Household Appliances — 0.0%
National Presto Industries, Inc.		2,417		194,133
Household Equipment & Products — 0.2%
Central Garden and Pet Co., Class A (a)		21,446		244,699
CSS Industries, Inc.		4,754		143,808
Helen of Troy Ltd. (a)		14,346		1,398,592
Libbey, Inc.		11,072		457,606
				2,244,705

Common Stocks	Shares		Value
Household Furnishings — 0.3%
American Woodmark Corp. (a)		6,582	$	361,023
Bassett Furniture Industries, Inc.		5,356		152,164
Ethan Allen Interiors, Inc.		12,905		339,918
Flexsteel Industries, Inc.		2,845		122,591
Hooker Furniture Corp.		5,286		132,731
Kirkland’s, Inc.		8,694		242,302
La-Z-Boy, Inc.		25,837		680,547
Lifetime Brands, Inc.		5,683		83,938
Select Comfort Corp. (a)		26,450		795,351
				2,910,565
Insurance: Life — 0.7%
American Equity Investment Life Holding Co.		39,284		1,059,882
Citizens, Inc. (a)(b)		23,875		178,108
CNO Financial Group, Inc.		99,805		1,831,422
FBL Financial Group, Inc., Class A		4,831		278,845
Fidelity & Guaranty Life		5,714		135,022
Independence Holding Co.		3,763		49,634
Kansas City Life Insurance Co.		1,689		77,204
National Western Life Insurance Co., Class A		1,168		279,724
Primerica, Inc.		25,957		1,185,975
Symetra Financial Corp.		37,909		916,261
Third Point Reinsurance Ltd. (a)		42,394		625,312
Trupanion, Inc. (a)(b)		7,663		63,143
				6,680,532
Insurance: Multi-Line — 0.3%
Atlas Financial Holdings, Inc. (a)		5,540		109,858
Crawford & Co., Class B		14,312		120,650
eHealth, Inc. (a)		8,809		111,786
Horace Mann Educators Corp.		20,750		754,885
James River Group Holdings, Ltd.		5,672		146,735
Kemper Corp.		21,938		845,710
Maiden Holdings Ltd.		25,832		407,629
PICO Holdings, Inc. (a)		11,508		169,398
				2,666,651
Insurance: Property-Casualty — 1.6%
Amerisafe, Inc.		9,562		449,988
Argo Group International Holdings Ltd.		14,087		784,646
Baldwin & Lyons, Inc., Class B		4,830		111,187
Donegal Group, Inc., Class A		3,937		59,961
EMC Insurance Group, Inc.		3,868		96,971
Employers Holdings, Inc.		16,150		367,897
Enstar Group Ltd. (a)		4,482		694,486
Essent Group Ltd. (a)		28,043		766,976
Federated National Holding Co.		7,395		178,959
First American Financial Corp.		54,850		2,040,968
Global Indemnity PLC (a)		4,182		117,431
Greenlight Capital Re Ltd. (a)		14,730		429,674
Hallmark Financial Services, Inc. (a)		7,397		84,178
HCI Group, Inc.		4,591		202,968
Heritage Insurance Holdings, Inc. (a)		12,590		289,444
Hilltop Holdings, Inc. (a)		38,538		928,380
Infinity Property & Casualty Corp.		5,767		437,369
Meadowbrook Insurance Group, Inc.		26,419		227,203
Montpelier Re Holdings Ltd.		18,375		725,813
National General Holdings Corp.		18,094		376,898
National Interstate Corp.		3,452		94,309
The Navigators Group, Inc. (a)		5,315		412,231
NMI Holdings, Inc., Class A (a)		24,790		198,816
OneBeacon Insurance Group Ltd.		11,422		165,733
Radian Group, Inc.		97,024		1,820,170
RLI Corp.		21,806		1,120,610
Safety Insurance Group, Inc.		7,286		420,475
Selective Insurance Group, Inc.		28,951		812,076
State Auto Financial Corp.		7,494		179,481

See Notes to Financial Statements.

61 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Insurance: Property-Casualty (concluded)
State National Cos., Inc.		15,337	$	166,100
Stewart Information Services Corp.		11,509		458,058
United Fire Group, Inc.		10,257		336,019
United Insurance Holdings Corp.		8,785		136,519
Universal Insurance Holdings, Inc.		16,642		402,736
				16,094,730
International Trade & Diversified Logistic — 0.0%
Radiant Logistics, Inc. (a)		12,815		93,678
Vectrus, Inc. (a)		5,393		134,124
				227,802
Internet Software & Services — 0.4%
Amber Road, Inc. (a)		8,515		59,775
ChannelAdvisor Corp. (a)		10,650		127,268
Coupons.com, Inc. (a)(b)		30,608		330,260
Everyday Health, Inc. (a)		10,769		137,628
Global Eagle Entertainment, Inc. (a)		23,293		303,275
Gogo, Inc. (a)		28,337		607,262
GrubHub, Inc. (a)		37,916		1,291,798
OPOWER, Inc. (a)(b)		13,096		150,735
TrueCar, Inc. (a)		24,670		295,793
Zendesk, Inc. (a)		27,069		601,203
				3,904,997
Leisure Time — 1.3%
Black Diamond, Inc. (a)		11,480		106,075
Callaway Golf Co.		39,626		354,257
Churchill Downs, Inc.		6,916		864,846
ClubCorp Holdings, Inc.		22,085		527,390
Escalade, Inc.		5,267		96,860
International Speedway Corp., Class A		14,029		514,443
Interval Leisure Group, Inc.		19,766		451,653
Johnson Outdoors, Inc.		2,558		60,241
Liberty TripAdvisor Holdings, Inc., Series A (a)		37,635		1,212,600
Marriott Vacations Worldwide Corp.		13,365		1,226,239
Nautilus, Inc. (a)		16,044		345,106
Orbitz Worldwide, Inc. (a)		56,395		644,031
Pool Corp.		21,921		1,538,416
SeaWorld Entertainment, Inc.		34,381		633,986
SFX Entertainment, Inc. (a)		23,327		104,738
Smith & Wesson Holding Corp. (a)		27,304		452,973
Speedway Motorsports, Inc.		5,963		135,062
Sturm Ruger & Co., Inc.		9,463		543,649
Travelport Worldwide, Ltd.		53,100		731,718
Vail Resorts, Inc.		18,365		2,005,458
West Marine, Inc. (a)		9,077		87,502
				12,637,243
Luxury Items — 0.0%
Movado Group, Inc.		8,187		222,359
Machinery: Agricultural — 0.1%
Alamo Group, Inc.		4,863		265,714
Lindsay Corp. (b)		5,927		521,043
Titan International, Inc.		21,933		235,560
Titan Machinery, Inc. (a)		8,644		127,326
				1,149,643
Machinery: Construction & Handling — 0.1%
Astec Industries, Inc.		9,492		396,955
Douglas Dynamics, Inc.		11,342		243,626
NACCO Industries, Inc., Class A		2,123		128,994
				769,575
Machinery: Engines — 0.0%
Briggs & Stratton Corp.		22,477		432,907

Common Stocks	Shares		Value
Machinery: Industrial — 0.9%
Actuant Corp., Class A		30,184	$	696,948
Altra Industrial Motion Corp.		13,268		360,624
Applied Industrial Technologies, Inc.		20,252		802,992
Chart Industries, Inc. (a)		15,424		551,408
Columbus McKinnon Corp.		10,142		253,550
DXP Enterprises, Inc. (a)		6,382		296,763
EnPro Industries, Inc.		11,553		661,063
The ExOne Co. (a)(b)		5,368		59,585
Graham Corp.		5,169		105,913
Hyster-Yale Materials Handling, Inc.		4,764		330,050
John Bean Technologies Corp.		14,697		552,460
Kadant, Inc.		5,539		261,441
MTS Systems Corp.		7,447		513,471
Omega Flex, Inc.		1,603		60,369
Proto Labs, Inc. (a)		11,746		792,620
Tennant Co.		9,211		601,847
Twin Disc, Inc.		4,060		75,678
Woodward, Inc.		32,894		1,808,841
				8,785,623
Machinery: Specialty — 0.1%
Albany International Corp., Class A		14,254		567,309
Hurco Cos., Inc.		3,407		117,950
Xerium Technologies, Inc. (a)		5,882		107,053
				792,312
Manufactured Housing — 0.0%
Cavco Industries, Inc. (a)		4,480		337,971
Medical & Dental Instruments & Supplies — 2.1%
ABIOMED, Inc. (a)		21,084		1,385,851
AngioDynamics, Inc. (a)		12,988		213,003
Anika Therapeutics, Inc. (a)		7,386		243,960
Antares Pharma, Inc. (a)		78,893		164,097
AtriCure, Inc. (a)		14,373		354,151
Atrion Corp.		731		286,779
Cantel Medical Corp.		17,518		940,191
Cardiovascular Systems, Inc. (a)		15,890		420,290
Cerus Corp. (a)(b)		48,327		250,817
CONMED Corp.		14,015		816,654
CryoLife, Inc.		13,449		151,705
Cutera, Inc. (a)		7,241		112,091
Endologix, Inc. (a)		34,147		523,815
Entellus Medical, Inc. (a)		2,877		74,428
Exactech, Inc. (a)		5,314		110,691
Halyard Health, Inc. (a)		23,580		954,990
HeartWare International, Inc. (a)		8,786		638,654
ICU Medical, Inc. (a)		7,205		689,230
Insulet Corp. (a)		28,752		890,881
Integra LifeSciences Holdings Corp. (a)		13,034		878,101
Intersect ENT, Inc. (a)		7,019		200,954
Invacare Corp.		16,510		357,111
InVivo Therapeutics Holdings Corp. (a)		13,461		217,395
K2M Group Holdings, Inc. (a)		8,873		213,129
Landauer, Inc.		4,746		169,147
LDR Holding Corp. (a)		11,791		509,961
LeMaitre Vascular, Inc.		5,810		70,069
Meridian Bioscience, Inc.		21,091		393,136
Merit Medical Systems, Inc. (a)		22,353		481,484
NanoString Technologies, Inc. (a)		6,373		98,272
Navidea Biopharmaceuticals, Inc. (a)(b)		75,861		122,136
Neogen Corp. (a)		18,658		885,136
NuVasive, Inc. (a)		24,682		1,169,433
Ocular Therapeutix, Inc. (a)		6,591		138,609
OraSure Technologies, Inc. (a)		29,024		156,439
Orthofix International NV (a)		9,601		317,985
Owens & Minor, Inc.		32,237		1,096,058
Quidel Corp. (a)		14,730		338,054

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 62

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)
Second Sight Medical Products, Inc. (a)(b)		6,032	$	82,096
Sientra, Inc. (a)		3,611		91,106
Staar Surgical Co. (a)		19,415		187,549
STERIS Corp.		30,371		1,957,107
SurModics, Inc. (a)		6,790		159,022
Tornier NV (a)		18,399		459,791
TransEnterix, Inc. (a)		17,684		53,052
Unilife Corp. (a)(b)		59,582		128,101
Utah Medical Products, Inc.		1,996		119,021
Vascular Solutions, Inc. (a)		9,059		314,528
				20,586,260
Medical Equipment — 1.1%
Abaxis, Inc.		11,436		588,725
Accuray, Inc. (a)		39,784		268,144
Affymetrix, Inc. (a)		39,044		426,360
Analogic Corp.		6,341		500,305
Corindus Vascular Robotics, Inc. (a)		11,369		39,905
Cyberonics, Inc. (a)		13,286		789,986
Cynosure, Inc., Class A (a)		11,409		440,159
Fluidigm Corp. (a)		14,506		351,045
Greatbatch, Inc. (a)		13,031		702,632
Haemonetics Corp. (a)		26,370		1,090,663
iRadimed Corp. (a)		1,428		33,230
Luminex Corp. (a)		21,350		368,501
Masimo Corp. (a)		22,307		864,173
Merge Healthcare, Inc. (a)		34,916		167,597
Natus Medical, Inc. (a)		16,779		714,114
Nevro Corp. (a)		7,666		412,047
NxStage Medical, Inc. (a)		31,908		455,806
Oxford Immunotec Global PLC (a)		10,112		140,051
Spectranetics Corp. (a)		21,553		495,935
Tandem Diabetes Care, Inc. (a)		8,882		96,281
Thoratec Corp. (a)		27,521		1,226,611
Zeltiq Aesthetics, Inc. (a)		16,325		481,098
				10,653,368
Medical Services — 0.2%
Bio-Reference Laboratories, Inc. (a)		12,447		513,439
PAREXEL International Corp. (a)		27,892		1,793,734
				2,307,173
Metal Fabricating — 0.7%
Advanced Drainage Systems, Inc.		16,998		498,551
Global Brass & Copper Holdings, Inc.		10,997		187,059
Haynes International, Inc.		6,179		304,748
Lawson Products, Inc. (a)		2,646		62,128
LB Foster Co., Class A		5,364		185,648
MRC Global, Inc. (a)		51,907		801,444
Mueller Industries, Inc.		28,792		999,658
Mueller Water Products, Inc., Series A		81,198		738,902
NN, Inc.		9,663		246,600
Northwest Pipe Co. (a)		4,954		100,913
RBC Bearings, Inc. (a)		11,772		844,759
Rexnord Corp. (a)		51,218		1,224,622
RTI International Metals, Inc. (a)		15,598		491,649
Worthington Industries, Inc.		24,264		729,376
				7,416,057
Metals & Minerals: Diversified — 0.5%
Cliffs Natural Resources, Inc.		77,274		334,596
Commercial Metals Co.		58,733		944,427
Energy Fuels, Inc. (a)		20,681		92,030
Globe Specialty Metals, Inc.		32,723		579,197
Hecla Mining Co.		186,754		491,163
Materion Corp.		10,180		358,845
Minerals Technologies, Inc.		17,550		1,195,682
Oil-Dri Corp. of America		2,507		76,163

Common Stocks	Shares		Value
Metals & Minerals: Diversified (concluded)
Ring Energy, Inc. (a)		10,135	$	113,411
SunCoke Energy, Inc.		32,957		428,441
U.S. Silica Holdings, Inc. (b)		26,943		791,046
United States Lime & Minerals, Inc.		890		51,727
				5,456,728
Office Supplies & Equipment — 0.6%
ACCO Brands Corp. (a)		55,881		434,195
Eastman Kodak Co. (a)		8,717		146,446
Electronics for Imaging, Inc. (a)		23,589		1,026,357
Essendant, Inc.		19,371		760,312
Herman Miller, Inc.		30,038		868,999
HNI Corp.		22,464		1,149,034
Kimball International, Inc., Class B		17,323		210,648
Knoll, Inc.		24,637		616,664
Steelcase, Inc., Class A		41,953		793,331
				6,005,986
Offshore Drilling & Other Services — 0.1%
Atwood Oceanics, Inc.		32,692		864,376
North Atlantic Drilling, Ltd. (b)		31,845		37,896
				902,272
Oil Well Equipment & Services — 0.8%
Basic Energy Services, Inc. (a)		21,305		160,853
C&J Energy Services, Ltd. (a)		28,322		373,850
Exterran Holdings, Inc.		34,967		1,141,673
Flotek Industries, Inc. (a)		27,147		340,152
FMSA Holdings, Inc. (a)(b)		32,268		264,275
Forum Energy Technologies, Inc. (a)		29,949		607,366
Helix Energy Solutions Group, Inc. (a)		53,537		676,172
Hornbeck Offshore Services, Inc. (a)		16,334		335,337
Independence Contract Drilling, Inc. (a)		7,954		70,552
ION Geophysical Corp. (a)		69,466		74,329
Key Energy Services, Inc. (a)		65,166		117,299
Matrix Service Co. (a)		13,526		247,255
McDermott International, Inc. (a)		120,551		643,742
Natural Gas Services Group, Inc. (a)		6,489		148,079
Newpark Resources, Inc. (a)		42,748		347,541
Oil States International, Inc. (a)		25,983		967,347
Parker Drilling Co. (a)		62,992		209,133
RigNet, Inc. (a)		5,995		183,267
SEACOR Holdings, Inc. (a)		9,211		653,428
Seventy Seven Energy, Inc. (a)		28,150		120,764
Tesco Corp.		19,286		210,217
TETRA Technologies, Inc. (a)		40,912		261,019
				8,153,650
Oil, Gas & Consumable Fuels — 0.3%
Ardmore Shipping Corp.		8,853		107,210
CARBO Ceramics, Inc.		9,867		410,763
DHT Holdings, Inc.		47,135		366,239
Dorian LPG, Ltd. (a)		12,481		208,183
EXCO Resources, Inc. (b)		82,713		97,601
Gastar Exploration, Inc. (a)		40,950		126,536
Navios Maritime Acq Corp.		42,424		152,302
Pacific Ethanol, Inc. (a)		12,821		132,313
Parsley Energy, Inc., Class A (a)		41,984		731,361
Plug Power, Inc. (a)(b)		86,846		212,773
RSP Permian, Inc. (a)		27,506		773,194
TransAtlantic Petroleum, Ltd. (a)		12,247		62,582
				3,381,057
Oil: Crude Producers — 1.2%
Abraxas Petroleum Corp. (a)		48,961		144,435
Approach Resources, Inc. (a)(b)		18,399		126,033
Bill Barrett Corp. (a)		25,000		214,750
Bonanza Creek Energy, Inc. (a)		25,029		456,779

See Notes to Financial Statements.

63 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Oil: Crude Producers (concluded)
Callon Petroleum Co. (a)		33,498	$	278,703
Carrizo Oil & Gas, Inc. (a)		25,970		1,278,763
Clayton Williams Energy, Inc. (a)		2,984		196,198
Contango Oil & Gas Co. (a)		9,059		111,154
Earthstone Energy, Inc. (a)		522		10,195
Eclipse Resources Corp. (a)		23,641		124,352
Energy XXI Bermuda Ltd. (b)		46,331		121,850
Erin Energy Corp. (a)		6,870		26,862
Evolution Petroleum Corp.		11,718		77,222
Halcon Resources Corp. (a)(b)		184,622		214,161
Isramco, Inc. (a)		423		58,382
Jones Energy, Inc., Class A (a)		14,507		131,288
Magnum Hunter Resources Corp. (a)(b)		103,524		193,590
Northern Oil and Gas, Inc. (a)(b)		30,961		209,606
Oasis Petroleum, Inc. (a)		70,130		1,111,560
ONE Gas, Inc.		26,522		1,128,776
Panhandle Oil and Gas, Inc.		8,194		169,534
PDC Energy, Inc. (a)		20,233		1,085,298
Penn Virginia Corp. (a)		35,187		154,119
Rex Energy Corp. (a)(b)		25,023		139,879
Rosetta Resources, Inc. (a)		38,135		882,444
Sanchez Energy Corp. (a)(b)		26,337		258,103
SandRidge Energy, Inc. (a)		216,280		189,678
Stone Energy Corp. (a)		28,859		363,335
Synergy Resources Corp. (a)		52,340		598,246
Triangle Petroleum Corp. (a)(b)		24,052		120,741
Ultra Petroleum Corp. (a)		77,245		967,107
Unit Corp. (a)		25,266		685,214
W&T Offshore, Inc. (b)		17,460		95,681
				11,924,038
Oil: Refining & Marketing — 0.4%
Adams Resources & Energy, Inc.		1,047		46,696
Alon USA Energy, Inc.		15,803		298,677
Clean Energy Fuels Corp. (a)(b)		35,418		199,049
Delek U.S. Holdings, Inc.		29,031		1,068,921
Par Petroleum Corp. (a)		7,858		147,102
Renewable Energy Group, Inc. (a)		22,243		257,129
Trecora Resources (a)		10,200		154,020
Western Refining, Inc.		35,905		1,566,176
				3,737,770
Paints & Coatings — 0.2%
Chase Corp.		3,622		143,974
Ferro Corp. (a)		36,806		617,605
HB Fuller Co.		25,433		1,033,088
Kronos Worldwide, Inc.		10,761		117,941
				1,912,608
Paper — 0.3%
Clearwater Paper Corp. (a)		9,680		554,664
KapStone Paper and Packaging Corp.		43,252		999,986
Neenah Paper, Inc.		8,574		505,523
PH Glatfelter Co.		22,070		485,319
Schweitzer-Mauduit International, Inc.		15,501		618,180
Wausau Paper Corp.		21,172		194,359
				3,358,031
Personal Care — 0.1%
Orchids Paper Products Co.		4,656		112,070
USANA Health Sciences, Inc. (a)		2,890		394,947
WD-40 Co.		7,290		635,397
				1,142,414
Pharmaceuticals — 2.7%
Abeona Therapeutics, Inc. (a)		5,115		25,882
ACADIA Pharmaceuticals, Inc. (a)		40,208		1,683,911
Achillion Pharmaceuticals, Inc. (a)		59,245		524,911

Common Stocks	Shares		Value
Pharmaceuticals (concluded)
Adamas Pharmaceuticals, Inc. (a)		5,107	$	133,906
Aerie Pharmaceuticals, Inc. (a)		10,372		183,066
Agile Therapeutics, Inc. (a)		5,082		43,654
Amphastar Pharmaceuticals, Inc. (a)		15,947		280,348
Anacor Pharmaceuticals, Inc. (a)		20,683		1,601,485
Aratana Therapeutics, Inc. (a)		14,918		225,560
Biospecifics Technologies Corp. (a)		2,477		127,813
Cambrex Corp. (a)		15,865		697,108
Cempra, Inc. (a)		16,127		554,124
Chimerix, Inc. (a)		20,814		961,607
Concert Pharmaceuticals, Inc. (a)		7,744		115,308
Corcept Therapeutics, Inc. (a)		31,181		187,398
CorMedix, Inc. (a)		15,797		61,292
Depomed, Inc. (a)		30,340		651,096
Dicerna Pharmaceuticals, Inc. (a)		7,570		105,602
Durect Corp. (a)		56,290		134,533
Eagle Pharmaceuticals, Inc. (a)		4,344		351,256
Enanta Pharmaceuticals, Inc. (a)		8,061		362,664
Endocyte, Inc. (a)		18,683		96,965
Esperion Therapeutics, Inc. (a)		6,641		542,968
Foamix Pharmaceuticals, Ltd. (a)		11,294		115,764
Furiex Pharamceuticals, Inc.		3,003		30,030
Heska Corp. (a)		2,831		84,052
Immune Design Corp. (a)		5,653		116,734
Impax Laboratories, Inc. (a)		36,196		1,662,120
Infinity Pharmaceuticals, Inc. (a)		24,731		270,804
Intra-Cellular Therapies, Inc. (a)		10,951		349,884
Ironwood Pharmaceuticals, Inc. (a)		63,038		760,238
Kite Pharma, Inc. (a)(b)		14,550		887,113
La Jolla Pharmaceutical Co. (a)		5,774		141,521
Lannett Co., Inc. (a)		13,431		798,339
The Medicines Co. (a)		33,470		957,577
Otonomy, Inc. (a)		7,411		170,379
Pacira Pharmaceuticals, Inc. (a)		18,380		1,299,834
Paratek Pharmaceuticals, Inc.		6,034		155,496
Pernix Therapeutics Holdings (a)		22,249		131,714
Portola Pharmaceuticals, Inc. (a)		23,285		1,060,632
Pozen, Inc. (a)		15,228		157,001
Prestige Brands Holdings, Inc. (a)		26,425		1,221,892
Radius Health, Inc. (a)		14,749		998,507
Relypsa, Inc. (a)		16,416		543,205
Revance Therapeutics, Inc. (a)		7,820		250,084
Sagent Pharmaceuticals, Inc. (a)		11,067		269,039
Sciclone Pharmaceuticals, Inc. (a)		25,294		248,387
Spectrum Pharmaceuticals, Inc. (a)		34,547		236,301
Supernus Pharmaceuticals, Inc. (a)		17,337		294,382
TG Therapeutics, Inc. (a)		17,847		296,082
TherapeuticsMD, Inc. (a)		64,170		504,376
Theravance Biopharma, Inc. (a)		12,778		166,370
Ultragenyx Pharmaceutical, Inc. (a)		18,084		1,851,621
Vivus, Inc. (a)		53,157		125,451
XenoPort, Inc. (a)		29,153		178,708
Zafgen, Inc. (a)		8,270		286,390
Zogenix, Inc. (a)		77,706		130,546
ZS Pharma, Inc. (a)		9,141		478,897
				26,881,927
Plastics — 0.1%
A. Schulman, Inc.		14,746		644,695
Core Molding Technologies, Inc. (a)		3,900		89,076
Ply Gem Holdings, Inc. (a)		11,372		134,076
Trinseo SA (a)		5,885		157,953
				1,025,800
Power Transmission Equipment — 0.2%
Advanced Energy Industries, Inc. (a)		20,708		569,263
Generac Holdings, Inc. (a)		34,965		1,389,859

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 64

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

Common Stocks	Shares		Value
Power Transmission Equipment (concluded)
Powell Industries, Inc.		4,558	$	160,305
Vicor Corp. (a)		8,613		104,992
				2,224,419
Precious Metals & Minerals — 0.1%
Horsehead Holding Corp. (a)		28,563		334,759
Stillwater Mining Co. (a)		61,119		708,369
				1,043,128
Printing & Copying Services — 0.2%
Casella Waste Systems, Inc. (a)		19,940		111,864
Cimpress NV (a)		16,558		1,393,521
				1,505,385
Producer Durables: Miscellaneous — 0.1%
Blount International, Inc. (a)		24,706		269,790
Park-Ohio Holdings Corp.		4,451		215,695
				485,485
Production Technology Equipment — 0.8%
Axcelis Technologies, Inc. (a)		56,296		166,636
Brooks Automation, Inc.		34,117		390,640
Cohu, Inc.		12,782		169,106
Entegris, Inc. (a)		70,632		1,029,108
FEI Co.		20,908		1,733,900
GSI Group, Inc. (a)		17,126		257,404
Mattson Technology, Inc. (a)		37,511		125,662
MKS Instruments, Inc.		26,921		1,021,383
Nanometrics, Inc. (a)		12,021		193,779
Photronics, Inc. (a)		33,432		317,938
Rudolph Technologies, Inc. (a)		16,254		195,211
Tessera Technologies, Inc.		26,607		1,010,534
Ultra Clean Holdings, Inc. (a)		16,532		102,994
Ultratech, Inc. (a)		13,931		258,559
Veeco Instruments, Inc. (a)		20,348		584,801
				7,557,655
Publishing — 0.6%
Daily Journal Corp. (a)		553		108,670
Eros International PLC (a)		14,187		356,377
Journal Media Group, Inc.		12,144		100,674
Martha Stewart Living Omnimedia, Class A (a)		15,328		95,647
Media General, Inc. (a)		48,441		800,245
Meredith Corp.		18,536		966,652
New Media Investment Group, Inc.		22,728		407,513
The New York Times Co., Class A		69,511		948,825
Scholastic Corp.		13,441		593,151
Time, Inc.		55,364		1,273,926
Tribune Publishing Co.		9,951		154,639
				5,806,319
Radio & TV Broadcasters — 0.3%
Central European Media Enterprises Ltd. (a)		36,951		80,553
Crown Media Holdings, Inc., Class A (a)		16,618		75,113
Cumulus Media, Inc., Class A (a)		71,457		145,058
Entercom Communications Corp., Class A (a)		13,402		153,051
Entravision Communications Corp., Class A		32,657		268,767
Gray Television, Inc. (a)		32,299		506,448
Nexstar Broadcasting Group, Inc., Class A		15,817		885,752
Saga Communications, Inc., Class A		1,880		71,158
Sinclair Broadcast Group, Inc., Class A		33,537		936,018
Townsquare Media, Inc. (a)		3,693		50,151
				3,172,069
Railroad Equipment — 0.1%
American Railcar Industries, Inc.		4,779		232,451
FreightCar America, Inc.		6,444		134,551
The Greenbrier Cos., Inc.		13,384		627,040
				994,042

Common Stocks	Shares		Value
Real Estate — 0.3%
AV Homes, Inc. (a)		5,788	$	83,174
Consolidated-Tomoka Land Co.		2,227		128,364
Forestar Group, Inc. (a)		17,064		224,562
HFF, Inc., Class A		19,017		793,579
Kennedy-Wilson Holdings, Inc.		46,768		1,150,025
The St. Joe Co. (a)		16,367		254,180
Tejon Ranch Co. (a)		6,769		174,031
				2,807,915
Real Estate Investment Trusts (REITs) — 8.1%
Acadia Realty Trust		34,925		1,016,667
AG Mortgage Investment Trust, Inc.		15,052		260,099
Agree Realty Corp.		8,964		261,480
Alexander & Baldwin, Inc.		24,835		978,499
Alexander’s, Inc.		1,055		432,550
Altisource Residential Corp.		29,235		492,610
American Assets Trust, Inc.		13,915		545,607
American Capital Mortgage Investment Corp.		26,300		420,537
American Residential Properties, Inc.		16,221		300,088
Anworth Mortgage Asset Corp.		54,221		267,310
Apollo Commercial Real Estate Finance, Inc.		30,131		495,052
Ares Commercial Real Estate Corp.		14,445		164,529
Armada Hoffler Properties, Inc.		13,803		137,892
ARMOUR Residential REIT, Inc.		179,376		504,047
Ashford Hospitality Prime, Inc.		12,670		190,303
Ashford Hospitality Trust, Inc.		41,667		352,503
Associated Estates Realty Corp.		29,542		845,787
Bluerock Residential Growth REIT, Inc.		9,293		117,649
Campus Crest Communities, Inc.		32,653		180,898
Capstead Mortgage Corp.		48,953		543,378
CareTrust REIT, Inc.		15,655		198,349
Catchmark Timber Trust, Inc.		19,264		222,884
Cedar Realty Trust, Inc.		43,319		277,242
Chambers Street Properties		120,539		958,285
Chatham Lodging Trust		19,622		519,394
Chesapeake Lodging Trust		30,291		923,270
Colony Financial, Inc.		57,316		1,298,207
CorEnergy Infrastructure Trust, Inc.		23,686		149,695
Coresite Realty Corp.		12,394		563,183
Cousins Properties, Inc.		109,781		1,139,527
CubeSmart		84,284		1,952,017
CyrusOne, Inc.		26,916		792,676
CYS Investments, Inc.		83,814		647,882
DCT Industrial Trust, Inc.		44,985		1,414,328
DiamondRock Hospitality Co.		102,034		1,307,056
DuPont Fabros Technology, Inc.		32,189		947,966
Dynex Capital, Inc.		28,921		220,378
Easterly Government Properties, Inc.		7,143		113,717
EastGroup Properties, Inc.		16,296		916,324
Education Realty Trust, Inc.		24,502		768,383
EPR Properties		28,923		1,584,402
Equity One, Inc.		36,763		858,048
Excel Trust, Inc.		32,518		512,809
FelCor Lodging Trust, Inc.		72,650		717,782
First Industrial Realty Trust, Inc.		55,925		1,047,475
First Potomac Realty Trust		29,812		307,064
Franklin Street Properties Corp.		44,899		507,808
Geo Group, Inc.		37,575		1,283,562
Getty Realty Corp.		12,937		211,649
Gladstone Commercial Corp.		10,203		168,962
Government Properties Income Trust		29,574		548,598
Gramercy Property Trust, Inc.		28,979		677,239
Great Ajax Corp.		2,564		36,358
Hatteras Financial Corp.		49,455		806,116
Healthcare Realty Trust, Inc.		50,997		1,186,190
Hersha Hospitality Trust		24,901		638,462
Highwoods Properties, Inc.		47,514		1,898,184

See Notes to Financial Statements.

65 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Real Estate Investment Trusts (REITs) (concluded)
Hudson Pacific Properties, Inc.		37,852	$	1,073,861
Independence Realty Trust, Inc.		10,869		81,844
InfraREIT, Inc.		11,135		315,789
Inland Real Estate Corp.		43,934		413,858
Invesco Mortgage Capital, Inc.		63,258		905,855
Investors Real Estate Trust		59,657		425,951
iStar Financial, Inc. (a)		43,156		574,838
Kite Realty Group Trust		42,073		1,029,526
KYTHERA Biopharmaceuticals, Inc. (a)		12,976		977,223
LaSalle Hotel Properties		57,289		2,031,468
Lexington Realty Trust		104,634		887,296
LTC Properties, Inc.		18,101		753,002
Mack-Cali Realty Corp.		45,280		834,510
Medical Properties Trust, Inc.		106,405		1,394,970
Monmouth Real Estate Investment Corp., Class A		29,558		287,304
Monogram Residential Trust, Inc.		83,929		757,040
National Health Investors, Inc.		19,023		1,185,133
National Storage Affiliates Trust		11,684		144,882
New Residential Investment Corp.		101,338		1,544,391
New Senior Investment Group, Inc.		33,136		443,028
New York Mortgage Trust, Inc.		57,400		429,352
New York REIT, Inc.		82,531		821,183
NexPoint Residential Trust, Inc.		9,522		127,880
One Liberty Properties, Inc.		6,735		143,321
Orchid Island Capital, Inc.		9,240		103,580
Parkway Properties, Inc.		42,744		745,455
Pebblebrook Hotel Trust		36,398		1,560,746
Pennsylvania Real Estate Investment Trust		35,130		749,674
PennyMac Mortgage Investment Trust (c)		28,817		502,280
Physicians Realty Trust		35,723		548,705
Potlatch Corp.		20,581		726,921
Preferred Apartment Communities, Inc.		10,638		105,848
PS Business Parks, Inc.		9,857		711,183
QTS Realty Trust, Inc., Class A		12,069		439,915
RAIT Financial Trust		38,843		237,331
Ramco-Gershenson Properties Trust		40,339		658,332
Redwood Trust, Inc.		43,404		681,443
Resource Capital Corp.		69,897		270,501
Retail Opportunity Investments Corp.		46,969		733,656
Rexford Industrial Realty, Inc.		28,271		412,191
RLJ Lodging Trust		67,108		1,998,476
Rouse Properties, Inc.		18,374		300,415
Sabra Health Care REIT, Inc.		30,051		773,513
Saul Centers, Inc.		4,925		242,261
Select Income REIT		31,389		647,869
Silver Bay Realty Trust Corp.		18,202		296,511
Sovran Self Storage, Inc.		18,036		1,567,509
STAG Industrial, Inc.		32,752		655,040
Starwood Waypoint Residential Trust		19,278		458,045
STORE Capital Corp.		17,271		347,147
Strategic Hotels & Resorts, Inc. (a)		139,552		1,691,370
Summit Hotel Properties, Inc.		45,468		591,539
Sun Communities, Inc.		23,572		1,457,457
Sunstone Hotel Investors, Inc.		105,974		1,590,670
Terreno Realty Corp.		21,801		429,480
Trade Street Residential, Inc.		8,842		58,888
UMH Properties, Inc.		11,555		113,239
United Development Funding IV		15,103		264,000
Universal Health Realty Income Trust		4,736		220,035
Urban Edge Properties		30,396		631,933
Urstadt Biddle Properties, Inc., Class A		12,676		236,788
Walter Investment Management Corp. (a)(b)		19,281		440,956
Washington Real Estate Investment Trust		34,541		896,339
Western Asset Mortgage Capital Corp. (b)		22,003		324,984
Whitestone REIT		11,742		152,881
Xenia Hotels & Resorts, Inc.		56,345		1,224,940
				81,212,507

Common Stocks	Shares		Value
Recreational Vehicles & Boats — 0.1%
Arctic Cat, Inc.		6,448	$	214,138
Drew Industries, Inc.		12,132		703,899
Malibu Boats, Inc. (a)		8,851		177,816
Marine Products Corp.		5,203		32,467
Winnebago Industries, Inc.		13,657		322,169
				1,450,489
Rental & Leasing Services: Consumer — 0.1%
Rent-A-Center, Inc.		26,759		758,618
Restaurants — 1.9%
Biglari Holdings, Inc. (a)		836		345,895
BJ’s Restaurants, Inc. (a)		10,806		523,551
Bob Evans Farms, Inc.		11,918		608,414
Bojangles’, Inc. (a)		4,098		97,778
Bravo Brio Restaurant Group, Inc. (a)		8,003		108,441
Buffalo Wild Wings, Inc. (a)		9,581		1,501,247
Carrols Restaurant Group, Inc. (a)		17,760		184,704
The Cheesecake Factory, Inc.		24,537		1,338,125
Cracker Barrel Old Country Store, Inc.		9,672		1,442,676
Dave & Buster’s Entertainment, Inc. (a)		11,442		412,942
Denny’s Corp. (a)		42,834		497,303
Diamond Resorts International, Inc. (a)		21,411		675,517
DineEquity, Inc.		8,563		848,508
El Pollo Loco Holdings, Inc. (a)(b)		6,803		140,890
Ellie Mae, Inc. (a)		14,867		1,037,568
Fiesta Restaurant Group, Inc. (a)		13,561		678,050
The Habit Restaurants, Inc. (a)		5,731		179,323
Jack in the Box, Inc.		18,871		1,663,667
Jamba, Inc. (a)		7,105		110,056
Kona Grill, Inc. (a)		4,111		79,794
Krispy Kreme Doughnuts, Inc. (a)		32,780		631,343
Noodles & Co. (a)(b)		6,315		92,199
Papa John’s International, Inc.		14,621		1,105,494
Papa Murphy’s Holdings, Inc. (a)(b)		4,595		95,208
Popeyes Louisiana Kitchen, Inc. (a)		11,647		698,704
Potbelly Corp. (a)		10,843		132,827
Red Robin Gourmet Burgers, Inc. (a)		7,126		611,553
Ruby Tuesday, Inc. (a)		31,798		199,373
Ruth’s Hospitality Group, Inc.		17,613		283,922
Shake Shack, Inc., Class A (a)(b)		2,905		175,084
Sonic Corp.		26,340		758,592
Texas Roadhouse, Inc.		35,261		1,319,819
Zoe’s Kitchen, Inc. (a)		9,704		397,282
				18,975,849
Scientific Instruments: Control & Filter — 0.3%
Brady Corp., Class A		24,105		596,358
CIRCOR International, Inc.		8,612		469,612
ESCO Technologies, Inc.		13,033		487,565
The Gorman-Rupp Co.		9,441		265,103
Sun Hydraulics Corp.		11,318		431,329
Thermon Group Holdings, Inc. (a)		16,174		389,308
Watts Water Technologies, Inc., Class A		14,159		734,144
				3,373,419
Scientific Instruments: Electrical — 0.5%
Allied Motion Technologies, Inc.		3,211		72,119
AZZ, Inc.		13,028		674,850
EnerSys, Inc.		22,420		1,575,902
Franklin Electric Co., Inc.		23,879		772,008
GrafTech International Ltd. (a)		60,881		301,970
Littelfuse, Inc.		11,339		1,075,958
Preformed Line Products Co.		1,464		55,222
Taser International, Inc. (a)		27,020		900,036
				5,428,065

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 66

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

Common Stocks	Shares		Value
Scientific Instruments: Gauges & Meters — 0.2%
Badger Meter, Inc.		7,222	$	458,525
FARO Technologies, Inc. (a)		8,755		408,859
Itron, Inc. (a)		19,350		666,414
Mesa Laboratories, Inc.		1,491		132,550
Vishay Precision Group, Inc. (a)		6,507		97,995
				1,764,343
Scientific Instruments: Pollution Control — 0.2%
Ceco Environmental Corp.		10,878		123,248
Darling International, Inc. (a)		83,414		1,222,849
Heritage-Crystal Clean, Inc. (a)		6,324		92,963
Team, Inc. (a)		10,438		420,130
TRC Cos., Inc. (a)		8,602		87,310
U.S. Ecology, Inc.		10,899		530,999
				2,477,499
Securities Brokerage & Services — 0.4%
BGC Partners, Inc., Class A		91,794		803,198
Gain Capital Holdings, Inc.		16,204		154,910
INTL FCStone, Inc. (a)		7,688		255,549
Investment Technology Group, Inc.		17,454		432,859
Ladenburg Thalmann Financial Services, Inc. (a)		52,307		183,075
MarketAxess Holdings, Inc.		18,825		1,746,395
Virtu Financial, Inc., Class A (a)		9,471		222,379
				3,798,365
Semiconductors & Components — 2.0%
Advanced Micro Devices, Inc. (a)		319,927		767,825
Alpha & Omega Semiconductor Ltd. (a)		10,991		96,061
Amkor Technology, Inc. (a)		49,872		298,235
Applied Micro Circuits Corp. (a)		40,636		274,293
Cavium, Inc. (a)		27,898		1,919,661
Ceva, Inc. (a)		10,357		201,236
Cirrus Logic, Inc. (a)		32,063		1,091,104
Diodes, Inc. (a)		18,764		452,400
DSP Group, Inc. (a)		11,363		117,380
Emcore Corp. (a)		11,880		71,518
Exar Corp. (a)		19,689		192,558
Fairchild Semiconductor International, Inc. (a)		58,798		1,021,909
FormFactor, Inc. (a)		28,639		263,479
Inphi Corp. (a)		19,333		441,952
Integrated Device Technology, Inc. (a)		74,791		1,622,965
Integrated Silicon Solution, Inc.		16,023		354,749
Intersil Corp., Class A		66,325		829,726
IXYS Corp.		12,577		192,428
Kopin Corp. (a)		33,991		117,269
Lattice Semiconductor Corp. (a)		59,005		347,539
MA-COM Technology Solutions Holdings, Inc. (a)		11,843		452,995
MaxLinear, Inc., Class A (a)		26,257		317,710
Micrel, Inc.		22,314		310,165
Microsemi Corp. (a)		48,021		1,678,334
Monolithic Power Systems, Inc.		19,856		1,006,898
OmniVision Technologies, Inc. (a)		29,269		766,701
Pericom Semiconductor Corp.		11,235		147,740
PMC—Sierra, Inc. (a)		88,112		754,239
Power Integrations, Inc.		14,794		668,393
Rambus, Inc. (a)		58,295		844,694
Semtech Corp. (a)		33,514		665,253
Sigma Designs, Inc. (a)		17,633		210,362
Silicon Laboratories, Inc. (a)		21,496		1,160,999
Vishay Intertechnology, Inc.		67,929		793,411
				20,452,181
Semiconductors & Semiconductor Equipment — 0.2%
Ambarella, Inc. (a)(b)		15,812		1,623,734
Cascade Microtech, Inc. (a)		6,955		105,890
Xcerra Corp. (a)		27,612		209,023
				1,938,647

Common Stocks	Shares		Value
Shipping — 0.5%
Eagle Bulk Shipping, Inc. (a)		10,549	$	73,527
Frontline Ltd. (a)		54,540		133,078
GasLog Ltd.		20,983		418,611
Golden Ocean Group, Ltd. (b)		33,501		128,979
Gulfmark Offshore, Inc., Class A		12,637		146,589
Matson, Inc.		21,956		923,030
Navios Maritime Holdings, Inc.		40,129		149,280
Nordic American Offshore Ltd. (b)		9,448		76,907
Nordic American Tankers Ltd.		45,041		640,933
Safe Bulkers, Inc.		20,456		65,868
Scorpio Tankers, Inc.		90,215		910,269
Ship Finance International Ltd.		29,788		486,140
Teekay Tankers Ltd., Class A		42,715		282,346
Tidewater, Inc.		23,684		538,337
Ultrapetrol Bahamas Ltd. (a)		9,205		10,402
UTI Worldwide, Inc. (a)		46,442		463,956
				5,448,252
Software — 0.4%
Actua Corp. (a)		20,424		291,246
Castlight Health, Inc. (a)(b)		16,824		136,947
Comverse, Inc. (a)		11,210		225,097
Five9, Inc. (a)		11,451		59,889
FleetMatics Group PLC (a)		19,315		904,522
Gigamon, Inc. (a)		13,859		457,208
Globant SA (a)		7,676		233,581
MobileIron, Inc. (a)		19,195		113,442
Model N, Inc. (a)		10,497		125,019
Park City Group, Inc. (a)(b)		5,314		65,841
Paycom Software, Inc. (a)		16,016		546,946
Qualys, Inc. (a)		12,565		506,998
Rally Software Development Corp. (a)		13,080		254,406
The Rubicon Project, Inc. (a)		13,046		195,168
				4,116,310
Specialty Retail — 3.4%
1-800-Flowers.com, Inc., Class A (a)		12,822		134,118
Abercrombie & Fitch Co., Class A		34,965		752,097
America’s Car-Mart, Inc. (a)		4,252		209,709
American Eagle Outfitters, Inc.		98,770		1,700,819
ANN, Inc. (a)		23,202		1,120,425
Asbury Automotive Group, Inc. (a)		13,753		1,246,297
Ascena Retail Group, Inc. (a)		70,576		1,175,443
Barnes & Noble, Inc. (a)		25,497		661,902
bebe Stores, Inc.		14,016		28,032
Big 5 Sporting Goods Corp.		9,573		136,032
Blue Nile, Inc. (a)		5,983		181,823
Boot Barn Holdings, Inc. (a)		6,014		192,448
The Buckle, Inc. (b)		14,272		653,229
Build-A-Bear Workshop, Inc. (a)		7,363		117,734
Burlington Stores, Inc. (a)		38,116		1,951,539
Caleres, Inc.		22,156		704,118
The Cato Corp., Class A		13,275		514,539
Chico’s FAS, Inc.		71,974		1,196,928
The Children’s Place Retail Stores, Inc.		10,417		681,376
Christopher & Banks Corp. (a)		18,731		75,111
Citi Trends, Inc. (a)		7,836		189,631
Conn’s, Inc. (a)		13,844		549,607
The Container Store Group, Inc. (a)(b)		8,125		137,069
Destination XL Group, Inc. (a)		16,937		84,854
Express, Inc. (a)		42,834		775,724
The Finish Line, Inc., Class A		23,225		646,119
Five Below, Inc. (a)		27,444		1,084,861
Francesca’s Holdings Corp. (a)		21,498		289,578
FTD Cos., Inc. (a)		9,228		260,137
Genesco, Inc. (a)		12,121		800,350
Group 1 Automotive, Inc.		11,791		1,070,977

See Notes to Financial Statements.

67 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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

Common Stocks	Shares		Value
Specialty Retail (concluded)
Guess?, Inc.		31,250	$	599,063
Haverty Furniture Cos., Inc.		10,437		225,648
Hibbett Sports, Inc. (a)		12,566		585,324
Lands’ End, Inc. (a)		8,535		211,924
Lithia Motors, Inc., Class A		11,484		1,299,529
Lumber Liquidators Holdings, Inc. (a)(b)		13,714		284,017
MarineMax, Inc. (a)		12,903		303,350
Mattress Firm Holding Corp. (a)		10,338		630,101
The Men’s Wearhouse, Inc.		24,379		1,561,963
Monro Muffler Brake, Inc.		16,029		996,363
Party City Holdco, Inc. (a)		12,665		256,720
The Pep Boys-Manny Moe & Jack (a)		26,777		328,554
Performance Sports Group Ltd. (a)		22,593		406,674
Pier 1 Imports, Inc.		45,570		575,549
Regis Corp. (a)		20,516		323,332
Restoration Hardware Holdings, Inc. (a)		16,836		1,643,699
RetailMeNot, Inc. (a)		19,413		346,134
Shoe Carnival, Inc.		7,551		217,922
Shutterfly, Inc. (a)		18,931		905,091
Sonic Automotive, Inc., Class A		16,630		396,293
Sportsman’s Warehouse Holdings, Inc. (a)		9,172		104,286
Stage Stores, Inc.		16,225		284,424
Stamps.com, Inc. (a)		7,216		530,881
Stein Mart, Inc.		14,777		154,715
Systemax, Inc. (a)		5,534		47,814
Tilly’s, Inc., Class A (a)		5,419		52,402
Vitamin Shoppe, Inc. (a)		15,038		560,466
Wayfair, Inc., Class A (a)		10,085		379,599
Zumiez, Inc. (a)		10,968		292,078
				33,826,541
Steel — 0.2%
AK Steel Holding Corp. (a)		89,867		347,785
Carbonite, Inc. (a)		8,912		105,251
Carpenter Technology Corp.		25,286		978,063
Handy & Harman Ltd. (a)		1,379		47,782
Olympic Steel, Inc.		4,453		77,660
Ryerson Holding Corp. (a)		5,393		49,076
Schnitzer Steel Industries, Inc., Class A		13,217		230,901
TimkenSteel Corp.		20,008		540,016
				2,376,534
Technology: Miscellaneous — 0.2%
Benchmark Electronics, Inc. (a)		26,387		574,709
CTS Corp.		16,741		322,599
Fabrinet (a)		17,858		334,481
Kimball Electronics, Inc. (a)		14,602		213,043
Pendrell Corp. (a)		84,978		116,420
Plexus Corp. (a)		16,931		742,932
				2,304,184
Telecommunications Equipment — 0.2%
Applied Optoelectronics, Inc. (a)		7,624		132,353
CalAmp Corp. (a)		18,352		335,107
Clearfield, Inc. (a)(b)		5,995		95,380
Inteliquent, Inc.		16,985		312,524
Knowles Corp. (a)		42,671		772,345
Oclaro, Inc. (a)		50,410		113,927
Ubiquiti Networks, Inc.		15,422		492,193
Vocera Communications, Inc. (a)		13,157		150,648
				2,404,477
Textile Products — 0.1%
Culp, Inc.		5,145		159,495
Interface, Inc.		33,294		834,015
Unifi, Inc. (a)		7,579		253,896
				1,247,406

Common Stocks	Shares		Value
Textiles Apparel & Shoes — 0.9%
Cherokee, Inc.		4,164	$	117,342
Columbia Sportswear Co.		14,373		868,992
Crocs, Inc. (a)		38,851		571,498
Deckers Outdoor Corp. (a)		17,420		1,253,717
G-III Apparel Group Ltd. (a)		20,063		1,411,432
Iconix Brand Group, Inc. (a)		24,184		603,874
Oxford Industries, Inc.		7,395		646,693
Perry Ellis International, Inc. (a)		6,165		146,542
Quiksilver, Inc. (a)(b)		68,459		45,375
Sequential Brands Group, Inc. (a)		12,619		192,944
Steven Madden Ltd. (a)		28,369		1,213,626
Superior Uniform Group, Inc.		3,539		58,535
Tumi Holdings, Inc. (a)		28,277		580,244
Vera Bradley, Inc. (a)		10,708		120,679
Vince Holding Corp. (a)		7,702		92,270
Weyco Group, Inc.		3,141		93,665
Wolverine World Wide, Inc.		52,111		1,484,121
				9,501,549
Tobacco — 0.2%
Universal Corp.		11,431		655,225
Vector Group Ltd.		40,810		957,403
				1,612,628
Toys — 0.0%
JAKKS Pacific, Inc. (a)(b)		10,261		101,481
Transportation Miscellaneous — 0.4%
Echo Global Logistics, Inc. (a)		15,083		492,611
Hub Group, Inc., Class A (a)		18,145		731,969
Scorpio Bulkers, Inc. (a)		89,967		146,646
Textainer Group Holdings Ltd.		11,158		290,220
Wesco Aircraft Holdings, Inc. (a)		30,741		465,726
XPO Logistics, Inc. (a)		36,060		1,629,191
				3,756,363
Truckers — 0.8%
ArcBest Corp.		13,218		420,332
Celadon Group, Inc.		13,803		285,446
Con-way, Inc.		29,037		1,114,150
Covenant Transportation Group, Inc., Class A (a)		5,967		149,533
Forward Air Corp.		15,557		813,009
FRP Holdings, Inc. (a)		3,336		108,187
Heartland Express, Inc.		25,301		511,839
Knight Transportation, Inc.		31,484		841,882
Marten Transport Ltd.		11,722		254,367
PAM Transportation Services, Inc. (a)		1,577		91,545
Quality Distribution, Inc. (a)		14,147		218,713
Roadrunner Transportation Systems, Inc. (a)		14,344		370,075
Saia, Inc. (a)		12,718		499,690
Swift Transportation Co. (a)		44,675		1,012,782
Universal Truckload Services, Inc.		4,085		89,707
USA Truck, Inc. (a)		4,904		104,112
Werner Enterprises, Inc.		22,384		587,580
YRC Worldwide, Inc. (a)		16,361		212,366
				7,685,315
Utilities: Electrical — 1.6%
ALLETE, Inc.		24,588		1,140,637
Atlantic Power Corp.		61,001		187,883
Avista Corp.		31,475		964,709
Black Hills Corp.		22,593		986,184
Cleco Corp.		30,410		1,637,579
El Paso Electric Co.		20,312		704,014
The Empire District Electric Co.		21,774		474,673
Genie Energy Ltd. (a)	��	6,177		64,673
IDACORP, Inc.		25,382		1,424,946
MGE Energy, Inc.		17,393		673,631

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 68

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

Common Stocks	Shares		Value
Utilities: Electrical (concluded)
NorthWestern Corp.		23,705	$	1,155,619
NRG Yield, Inc., Class A		17,852		392,566
NRG Yield, Inc., Class C		16,972		371,517
Otter Tail Corp.		18,744		498,590
Pattern Energy Group, Inc.		25,792		731,977
PNM Resources, Inc.		40,340		992,364
Portland General Electric Co.		39,757		1,318,342
Spark Energy, Inc., Class A		1,500		23,640
Talen Energy Corp. (a)		41,773		716,825
UIL Holdings Corp.		28,637		1,312,147
Unitil Corp.		6,871		226,880
				15,999,396
Utilities: Gas Distributors — 0.8%
Chesapeake Utilities Corp.		7,660		412,491
The Laclede Group, Inc.		21,932		1,141,780
New Jersey Resources Corp.		43,227		1,190,904
Northwest Natural Gas Co.		13,463		567,869
Piedmont Natural Gas Co., Inc.		39,560		1,396,864
South Jersey Industries, Inc.		34,515		853,556
Southwest Gas Corp.		23,663		1,259,108
WGL Holdings, Inc.		25,184		1,367,239
				8,189,811
Utilities: Miscellaneous — 0.1%
Ormat Technologies, Inc.		18,729		705,709
Utilities: Telecommunications — 1.0%
8x8, Inc. (a)		44,425		398,048
Atlantic Tele-Network, Inc.		5,110		352,999
Boingo Wireless, Inc. (a)		18,280		150,993
Cincinnati Bell, Inc. (a)		106,871		408,247
Cogent Communications Group, Inc.		23,125		782,550
Consolidated Communications Holdings, Inc.		25,390		533,444
Fairpoint Communications, Inc. (a)		10,382		189,160
General Communication, Inc., Class A (a)		17,845		303,543
Globalstar, Inc. (a)(b)		239,059		504,414
GTT Communications, Inc. (a)		12,402		296,036
Hawaiian Telcom Holdco, Inc. (a)		5,377		140,340
IDT Corp., Class B		8,472		153,174
inContact, Inc. (a)		31,193		307,875
Iridium Communications, Inc. (a)		41,893		380,807
j2 Global, Inc.		24,305		1,651,282
Lumos Networks Corp.		11,340		167,719
NeuStar, Inc., Class A (a)		9,676		282,636
NTELOS Holdings Corp. (a)		8,432		38,956
ORBCOMM, Inc. (a)		30,248		204,174
Premiere Global Services, Inc. (a)		23,525		242,072
Shenandoah Telecommunications Co.		12,205		417,777
Spok Holdings, Inc.		11,299		190,275
Straight Path Communications, Inc., Class B (a)		4,762		156,146
Vonage Holdings Corp. (a)		94,096		462,011
West Corp.		26,271		790,757
Windstream Holdings, Inc.		50,608		322,879
				9,828,314

Common Stocks	Shares		Value
Utilities: Water — 0.2%
American States Water Co.		19,133	$	715,383
Artesian Resources Corp., Class A		3,795		80,036
California Water Service Group		24,052		549,588
Connecticut Water Service, Inc.		5,618		191,911
Consolidated Water Co. Ltd.		7,061		88,969
Middlesex Water Co.		7,960		179,578
SJW Corp.		8,005		245,673
York Water Co.		6,555		136,737
				2,187,875
Total Common Stocks —94.7%				950,900,569
Other Interests (d) — 0.0%	Beneficial Interest (000)
Gerber Scientific, Inc.	$	13		128
Rights	Shares
Health Care Management Services — 0.0%
Bioscrip, Inc. (a)		105		—
Utilities: Telecommunications — 0.0%
Leap Wireless, CVR (a)		28,200		71,064
Total Rights — 0.0%				71,064
Warrants (e) — 0.0%
Magnum Hunter Resources Corp., (Issued 10/15/13, 1 Share for 10 Warrant, Expires 4/15/16, Strike Price $8.50)		7,791		—
Total Long-Term Investments (Cost — $677,252,650) — 94.7%				950,971,761
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.07% (c)(f)		43,745,299		43,745,299
	Beneficial Interest (000)
BlackRock Liquidity Series, LLC, Money Market Series, 0.23% (c)(f)(g)	$	16,414		16,414,073
Total Short-Term Securities (Cost — $60,159,372) — 6.0%				60,159,372
Total Investments (Cost — $737,412,022) — 100.7%				1,011,131,133
Liabilities in Excess of Other Assets — (0.7)%				(6,749,880	)
Net Assets — 100.0%			$	1,004,381,253

Notes to Schedule of Investments

(a) Non-income producing security.

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

See Notes to Financial Statements.

69 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Schedule of Investments (continued) Master Small Cap Index Series

(c) During the six months ended June 30, 2015, investments in issuers considered to be affiliates of the Series for purposes of Section 2(a)(3) of the 1940 Act were as follows:

Affiliate	Shares/ Beneficial Interest  Held at December 31, 2014		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at June 30, 2015		Value at June 30, 2015		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		14,055,813		29,689,486	1		—			43,745,299	$	43,745,299	$	14,517
BlackRock Liquidity Series, LLC, Money Market Series	$	18,352,402		—		$	(1,938,329	)2	$	16,414,073	$	16,414,073	$	880,900	3
PennyMac Financial Services, Inc.		5,912		—			—			5,912	$	107,125		—
PennyMac Mortgage Investment Trust		28,817		—			—			28,817	$	502,280	$	17,578

¹  Represents net shares purchased.

²  Represents beneficial interest sold.

³  Represents securities lending income earned from reinvestment of cash collateral from loaned securities, net of fees, and other payments to and from borrowers of securities, and less the collateral investment expenses.

(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 June 30, 2015, financial futures contracts outstanding were as follows:

Contracts Long	Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
319	Russell 2000 Mini Index	ICE Futures U.S. Indicies	September 2015	$	39,887,760	$	(419,342	)

• 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 instruments 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 and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of June 30, 2015, 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 Investments4
Common Stocks	$	950,796,702	$	73,837	$	30,030	$	950,900,569
Other Interests		—		—		128		128
Rights		—		—		71,064		71,064
Short-Term Securities		43,745,299		16,414,073		—		60,159,372
Total	$	994,542,001	$	16,487,910	$	101,222	$	1,011,131,133

⁴  See above Schedule of Investments for values in each sector.

	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments 5
Liabilities:
Equity contracts	$	(419,342	)		—		—	$	(419,342	)

⁵  Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 70

Schedule of Investments (concluded) Master Small Cap Index Series

The Series may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of June 30, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged for financial futures contracts	$	1,937,400		—			—		1,937,400
Liabilities:
Bank overdraft		—	$	(1,404,470	)		—	$	(1,404,470	)
Collateral on securities loaned at value		—		(16,414,073	)		—		(16,414,073	)
Total	$	1,937,400	$	(17,818,543	)		—	$	(15,881,143	)

During the six months ended June 30, 2015, there were no transfers between levels.

See Notes to Financial Statements.

71 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Statements of Assets and Liabilities

June 30, 2015 (Unaudited)	Master International Index Series		Master Small Cap Index Series
Assets
Investments at value — unaffiliated1,2	$	3,612,929,755	$	950,362,356
Investments at value — affiliated3		13,596,139		60,768,777
Cash pledged for financial futures contracts		3,548,560		1,937,400
Foreign currency at value4		72,427,156		—
Receivables:
Dividends		11,015,106		1,095,966
Contributions from investors		5,464,639		13,864,639
Investments sold		88,732		102,361,846
Securities lending income — affiliated		11,834		163,170
Variation margin receivable on financial futures contracts		—		191,247
Prepaid expenses		2,170		1,506
Total assets		3,719,084,091		1,130,746,907
Liabilities
Bank overdraft		—		1,404,470
Payables:
Investments purchased		20,205,622		98,792,961
Withdrawals to investors		10,884,541		9,552,965
Investment advisory fees		30,582		6,253
Other affiliates		5,991		3,980
Directors’ fees		4,662		2,463
Collateral on securities loaned at value		3,524,062		16,414,073
Variation margin payable on financial futures contracts		2,280,281		—
Other accrued expenses		649,002		188,489
Total liabilities		37,584,743		126,365,654
Net Assets	$	3,681,499,348	$	1,004,381,253
Net Assets Consist of
Investors’ capital	$	3,437,048,886	$	731,081,484
Net unrealized appreciation (depreciation)		244,450,462		273,299,769
Net Assets	$	3,681,499,348	$	1,004,381,253
1    Investments at cost — unaffiliated	$	3,367,954,960	$	676,566,112
2    Securities loaned at value	$	3,270,116	$	13,307,033
3    Investments at cost — affiliated	$	13,596,139	$	60,845,910
4    Foreign currency at cost	$	72,347,724		—

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 72

Statements of Operations

Six Months Ended June 30, 2015 (Unaudited)	Master International Index Series			Master Small Cap Index Series
Investment Income
Dividends — unaffiliated	$	70,421,219		$	5,117,141
Securities lending — affiliated — net		138,285			880,900
Dividends — affiliated		6,524			32,095
Foreign taxes withheld		(8,644,069	)		(4,373	)
Total income		61,921,959			6,025,763
Expenses
Investment advisory		157,412			45,135
Accounting services		274,378			82,071
Custodian		241,446			100,783
Professional		47,155			35,659
Directors		35,545			12,226
Printing		10,871			10,057
Miscellaneous		41,142			22,407
Total expenses		807,949			308,338
Less fees waived and/or reimbursed by the Manager		(5,074	)		(12,825	)
Total expenses after fees waived and/or reimbursed		802,875			295,513
Net investment income		61,119,084			5,730,250
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(16,346,476	)		29,806,312
Financial futures contracts		6,393,154			1,394,002
Foreign currency transactions		(2,596,801	)		(22	)
		(12,550,123	)		31,200,292
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		97,457,255			8,560,375
Investments — affiliated		—			(100,624	)
Financial futures contracts		(2,186,124	)		(759,905	)
Foreign currency translations		478,850			—
		95,749,981			7,699,846
Net realized and unrealized gain		83,199,858			38,900,138
Net Increase in Net Assets Resulting from Operations	$	144,318,942		$	44,630,388

See Notes to Financial Statements.

73 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Statements of Changes in Net Assets

	Master International Index Series
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
Operations
Net investment income	$	61,119,084		$	39,593,185
Net realized loss		(12,550,123	)		(10,016,117	)
Net change in unrealized appreciation (depreciation)		95,749,981			(154,439,873	)
Net increase (decrease) in net assets resulting from operations		144,318,942			(124,862,805	)
Capital Transactions
Proceeds from contributions		1,297,775,878			2,104,755,672
Value of withdrawals		(430,956,711	)		(322,345,637	)
Net increase in net assets derived from capital transactions		866,819,167			1,782,410,035
Net Assets
Total increase in net assets		1,011,138,109			1,657,547,230
Beginning of period		2,670,361,239			1,012,814,009
End of period	$	3,681,499,348		$	2,670,361,239
	Master Small Cap Index Series
Increase (Decrease) in Net Assets:	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31, 2014
Operations
Net investment income	$	5,730,250		$	10,354,007
Net realized gain		31,200,292			53,378,759
Net change in unrealized appreciation (depreciation)		7,699,846			(29,791,650	)
Net increase in net assets resulting from operations		44,630,388			33,941,116
Capital Transactions
Proceeds from contributions		353,987,925			181,052,489
Value of withdrawals		(95,171,966	)		(373,456,979	)
Net increase (decrease) in net assets derived from capital transactions		258,815,959			(192,404,490	)
Net Assets
Total increase (decrease) in net assets		303,446,347			(158,463,374	)
Beginning of period		700,934,906			859,398,280
End of period	$	1,004,381,253		$	700,934,906

See Notes to Financial Statements.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 74

Financial Highlights Master International Index Series

	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31,
				2014			2013			2012			2011			2010
Total Return
Total Return		6.34	%1		(6.02	)%		21.94	%		19.01	%		(12.34	)%		7.66	%
Ratios to Average Net Assets
Total expenses		0.05	%2		0.07	%		0.07	%		0.06	%		0.08	%		0.11	%
Total expenses after fees waived and/or reimbursed and paid indirectly		0.05	%2		0.07	%		0.07	%		0.06	%		0.08	%		0.10	%
Net investment income		3.88	%2		3.20	%		2.97	%		3.36	%		3.38	%		2.73	%
Supplemental Data
Net assets, end of period (000)	$	3,684,194		$	2,670,361		$	1,012,814		$	758,144		$	855,781		$	922,700
Portfolio turnover rate		4	%		6	%		8	%		21	%		6	%		8	%

Master Small Cap Index Series

	Six Months Ended June 30, 2015 (Unaudited)			Year Ended December 31,
				2014			2013			2012			2011			2010
Total Return
Total Return		4.96	%1		5.05	%		39.11	%		16.52	%		(4.30	)%		27.19	%
Ratios to Average Net Assets
Total expenses		0.07	%2		0.09	%		0.07	%		0.14	%		0.09	%		0.12	%
Total expenses after fees waived and/or reimbursed and paid indirectly		0.07	%2		0.08	%		0.06	%		0.08	%		0.07	%		0.08	%
Net investment income		1.27	%2		1.45	%		1.46	%		2.13	%		1.46	%		1.27	%
Supplemental Data
Net assets, end of period (000)	$	1,004,381		$	700,935		$	859,398		$	581,771		$	529,054		$	338,172
Portfolio turnover rate		17	%		21	%		22	%		68	%		31	%		42	%

¹  Aggregate total return.

²  Annualized.

See Notes to Financial Statements.

75 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Notes to Financial Statements (Unaudited) Quantitative Master Series LLC

1. Organization:

Master International Index Series (“Master International Index”) and Master Small Cap Index Series (“Master Small Cap Index”) (collectively, the “Series”, or individually, a “Series”) are a 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 an open-end management investment company. The Master LLC’s Limited Liability Company Agreement permits the Board of Directors of the Master LLC (the “Board”) to issue non-transferable interests, subject to certain limitations.

2. Significant Accounting Policies:

The Series’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“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. The 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 values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board of Directors of the Series (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 price 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 value their investments in BlackRock Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon its pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. The Series may withdraw up to 25% of its investment daily, although the Manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

In the event that 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.

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

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 76

Notes to Financial Statements (continued) Quantitative Master Series LLC

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 dates 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 their 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 date. 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.

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 their 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 their 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 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, or excess collateral returned by the Series, on the next business day. During the term of the loan, the Series are 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.

77 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Notes to Financial Statements (continued) Quantitative Master Series LLC

The market value of securities on loan, all of which were classified as common stocks in the Series’ Schedules of Investments, 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 June 30, 2015, 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 June 30, 2015, 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
Barclays Capital Inc.	$	295,674	$	(295,674	)		—
Credit Suisse Securities (USA) LLC		210,683		(210,683	)		—
Deutsche Bank Securities, Inc.		151,889		(151,889	)		—
JP Morgan Clearing Corp.		1,905,342		(1,905,342	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		583,268		(583,268	)		—
Morgan Stanley & Co. LLC		123,260		(123,260	)		—
Total	$	3,270,116	$	(3,270,116	)		—

¹  Collateral with a value of $3,524,062 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.	$	1,073,132	$	(1,073,132	)		—
BNP Paribas Prime Brokerage, Inc.		164,138		(164,138	)		—
Citigroup Global Markets, Inc.		865,449		(865,449	)		—
Credit Suisse Securities (USA) LLC		30,574		(30,574	)		—
Deutsche Bank Securities, Inc.		1,177,812		(1,177,812	)		—
Goldman Sachs & Co.		2,915,027		(2,915,027	)		—
JP Morgan Clearing Corp.		1,922,767		(1,922,767	)		—
Merrill Lynch, Pierce, Fenner & Smith, Inc.		295,593		(295,593	)		—
Morgan Stanley & Co. LLC		3,521,443		(3,521,443	)		—
National Financial Services LLC		641,095		(641,095	)		—
Nomura Securities International, Inc.		13,068		(13,068	)		—
UBS Securities LLC		686,935		(686,935	)		—
Total	$	13,307,033	$	(13,307,033	)		—

²  Collateral with a value of $16,414,073 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 benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned 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.

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 manage economically their exposure to certain risks such as equity risk, and foreign currency exchange rate risk. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 78

Notes to Financial Statements (continued) Quantitative Master Series LLC

Financial Futures Contracts: The Series invest in long and/or short positions in 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 (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 Instrument Six Months Ended June 30, 2015
		Value
		Master International Index					Master Small Cap Index
	Statement of Assets and Liabilities Location	Derivative Assets		Derivative Liabilities			Derivative Assets		Derivative Liabilities
Equity contracts	Net unrealized appreciation (depreciation)1	$	124,818	$	(650,243	)		—	$	(419,342	)

¹  Includes cumulative appreciation (depreciation) on financial futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

The Effect of Derivative Financial Instruments in the Statements of Operations Six Months Ended June 30, 2015
	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	$	6,393,154	$	1,394,002	$	(2,186,124	)	$	(759,905	)

For the six months ended June 30, 2015, 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	$	49,428,316	$	48,668,580

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 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.

79 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Notes to Financial Statements (continued) Quantitative Master Series LLC

5. Investment Advisory Agreement and Other Transactions with Affiliates:

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

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

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Series’ business. The expense limitations as a percentage of average daily net assets are as follows: 0.07% for Master International Index and 0.08% for Master Small Cap Index. Prior to April 30, 2015, the expense limitation as a percentage of average daily net assets for Master International Index was 0.12%.

The Manager has agreed not to reduce or discontinue this contractual waiver or reimbursement prior to May 1, 2016, unless approved by the Board, including a majority of the Independent Directors. For the year ended June 30, 2015, the Manager waived $490 with respect to Master Small Cap Index, which is included in fees waived and/or reimbursed by the 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. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Series’ investments in other affiliated investment companies, if any. For the six months ended June 30, 2015 the amounts waived for Master International Index and Master Small Cap Index were $5,074 and $12,335, respectively.

For the six months ended June 30, 2015, each 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 each 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. Each 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, 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 certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, 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.

The share of securities lending income earned by each Series is shown as securities lending — affiliated — net in the Statements of Operations. For the six months ended June 30, 2015, each Series paid BIM the following amounts for securities lending agent services:

Master International Index	$	34,571
Master Small Cap Index	$	220,225

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

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. For the six months ended June 30, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

	Purchases		Sales
Master Small Cap Index	$	17,773,833	$	31,528,501

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 80

Notes to Financial Statements (continued) Quantitative Master Series LLC

6. Purchases and Sales:

For the six months ended June 30, 2015, purchases and sales of investments, excluding short-term securities, were as follows:

	Purchases		Sales
Master International Index	$	1,045,119,755	$	118,015,034
Master Small Cap Index	$	374,115,551	$	144,577,720

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 an investor in the Series can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Series file 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 Funds’ 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 as of June 30, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Series’ financial statements.

As of June 30, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

	Master International Index			Master Small Cap Index
Tax cost	$	3,426,386,686		$	755,434,638
Gross unrealized appreciation	$	341,243,277		$	300,568,491
Gross unrealized depreciation		(141,104,069	)		(44,871,996	)
Net unrealized appreciation	$	200,139,208		$	255,696,495

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”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders, under which the Series may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Series, can borrow up to an aggregate commitment amount of $1.6 billion, subject to asset coverage and other limitations as specified in the agreement. The credit 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. The agreement expires in April 2016 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statements 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 six months ended June 30, 2015, the Series did not borrow under the credit agreement.

9. Principal Risks:

In the normal course of business, the Series invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations, including to pay principal and interest when due (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, 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 their commitments. The Series manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Series to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Series’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the 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

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Notes to Financial Statements (concluded) Quantitative Master Series LLC

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 Master International Index’s investments.

As of June 30, 2015, 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 Master Small Cap Index and could affect the value, income and/or liquidity of positions in such securities.

As of June 30, 2015, the Series investments had the following industry classifications:

Master International Index

Industry	Percent of Long-Term Investments
Banks		15	%
Pharmaceuticals		10
Telecommunications		6
Insurance		6
Food		5
Oil & Gas		5
Others		53

Master Small Cap Index

Industry	Percent of Long-Term Investments
Real Estate Investment Trusts		8	%
Banks		8
Retail		6
Commercial Services		5
Pharmaceuticals		5
Software		5
Others		63

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 JUNE 30, 2015 82

Disclosure of Investment Advisory Agreement Quantitative Master Series LLC

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of Quantitative Master Series LLC (the “Master LLC”) met in person on April 21, 2015 (the “April Meeting”) and May 18-20, 2015 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Agreement”) between the Master LLC, on behalf of Master International Index Series and Master Small Cap Index Series (each, a “Master Portfolio” and collectively, the “Master Portfolios”), each a series of the Master LLC, and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), the Master LLC’s investment advisor.

Activities and Composition of the Board

On the date of the May Meeting, the Board consisted of fourteen individuals, thirteen of whom were not “interested persons” of the Master LLC as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master LLC and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement, and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolios by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management services; administrative and shareholder services; the oversight of fund service providers; marketing services; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolios and their interest holders. Among the matters the Board considered were: (a) investment performance of affiliated feeder funds that invest all of their investable assets in the corresponding Master Portfolio (each, a “representative feeder fund” and collectively, the “representative feeder funds”) for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or underperformance relative to its peers, benchmark, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolios for services, such as marketing and distribution, call center and fund accounting; (c) the Master Portfolios’ operating expenses and how BlackRock allocates expenses to the Master Portfolios; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Master Portfolio’s investment objective(s), policies and restrictions, and meeting new regulatory requirements; (e) the Master LLC’s compliance with its compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master LLC’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolios; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

The Board has engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. BlackRock also furnished information to the Board in response to specific questions. These questions covered issues such as: BlackRock’s profitability; investment performance; sub-advisory and advisory relationships with other clients (including mutual funds sponsored by third parties); the viability of specific funds; fund size and manager capacity; BlackRock’s research capabilities; portfolio managers’ investments in funds they manage; funds’ portfolio risk targets; and management fee levels and breakpoints. The Board further discussed with BlackRock: BlackRock’s management structure; portfolio turnover, execution quality and use of soft dollars; BlackRock’s portfolio manager compensation and performance accountability; marketing support for the funds; services provided to the funds by BlackRock affiliates; and BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreement

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreement. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on fees and expenses of each Master Portfolio and representative feeder fund, as applicable, as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of each representative feeder fund as compared with a peer group of

83 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Disclosure of Investment Advisory Agreement (continued) Quantitative Master Series LLC

funds as determined by Lipper¹, as well as the gross investment performance of the representative feeder fund as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Master Portfolio to BlackRock; and (g) if applicable, a comparison of management fees to similar BlackRock open-end funds, as classified by Lipper.

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.

At the May Meeting, the Board, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master LLC with respect to each Master Portfolio for a one-year term ending June 30, 2016. In approving the continuation of the Agreement, the Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Master Portfolio and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolios; (d) each representative feeder fund’s costs to investors compared to the costs of Expense Peers and each representative feeder fund’s performance compared to the relevant performance comparison as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Master Portfolios; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to the placement of Master Portfolio interests, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of each Master Portfolio, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Master Portfolios and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Master Portfolio. Throughout the year, the Board compared each representative feeder fund’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Master Portfolio’s portfolio management team discussing the performance of the Master Portfolio and the pertinent representative feeder fund and the Master Portfolio’s investment objective(s), strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Master Portfolio’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to each Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to each Master Portfolio. BlackRock and its affiliates provide the Master Portfolios with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolios by third parties) and officers and other personnel as are necessary for the operations of the Master Portfolios. In particular, BlackRock and its affiliates provide the Master Portfolios with the following administrative services, including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) overseeing and coordinating the activities of other service providers; (iv) organizing Board meetings and preparing the materials for such Board meetings; (v) providing legal and compliance support; (vi) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (vii) performing other administrative functions necessary for the operation of the Master Portfolios, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Master Portfolios and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Master Portfolio. The Board noted that the investment results of each representative feeder fund correspond directly to the investment results of the corresponding Master Portfolio. In preparation for the April Meeting, the Board worked with its independent legal counsel,

¹  Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 84

Disclosure of Investment Advisory Agreement (continued) Quantitative Master Series LLC

BlackRock and Lipper to develop a template for, and was provided with, reports independently prepared by Lipper, which included a comprehensive analysis of each representative feeder fund’s performance. The Board also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of each representative feeder fund as compared to other funds in its applicable Lipper category and the gross investment performance of the representative feeder fund as compared with its benchmark. The Board was provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of each Master Portfolio and representative feeder fund, as applicable, throughout the year.

In evaluating performance, the Board recognized that the performance data reflects a snapshot of a period or as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

BlackRock believes that gross performance relative to the applicable benchmark is an appropriate performance metric for each of the representative feeder funds.

The Board noted that for the one-, three- and five-year periods reported, the gross performance (before expenses and fees) of the representative feeder fund relating to Master International Index Series, as agreed upon by the Board, was out of tolerance of its benchmark, underperformed its benchmark and underperformed its benchmark, respectively. The Board and BlackRock reviewed and discussed the reasons for the representative feeder fund’s out of tolerance performance during the one-year period. The Board was informed that, underperformance for the one-year period was due in part to large flows into the representative feeder fund.

The Board noted that for the one-, three- and five-year periods reported, the gross performance (before expenses and fees) of the representative feeder fund relating to Master Small Cap Index Series, as agreed upon by the Board, was within tolerance, out of tolerance and out of tolerance of its benchmark, respectively. The Board noted the representative feeder fund’s improved performance during the one-year period. The Board and BlackRock reviewed and discussed the reasons for the representative feeder fund’s out of tolerance performance during the three- and five-year periods. The Board was informed that, among other things, one of the factors which caused the representative feeder fund to exceed the benchmark, by an out of tolerance amount, in the three- and five-year periods was the result of securities lending.

The Board and BlackRock also discussed BlackRock’s strategy for improving the performance of each Master Portfolio/representative feeder fund and BlackRock’s commitment to providing the resources necessary to assist the portfolio managers of each Master Portfolio in seeking to do so.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolios: The Board, including the Independent Board Members, reviewed each Master Portfolio’s contractual management fee rate compared with the other funds in the corresponding representative feeder fund’s Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each representative feeder fund’s total expense ratio, as well as each Master Portfolio’s actual management fee rate, to those of other funds in the corresponding representative feeder fund’s Lipper category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds.

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolios. The Board reviewed BlackRock’s profitability with respect to each Master Portfolio and other funds the Board currently oversees for the year ended December 31, 2014 compared to available aggregate profitability data provided for the two prior years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

85 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

Disclosure of Investment Advisory Agreement (concluded) Quantitative Master Series LLC

In addition, the Board considered the cost of the services provided to the Master Portfolios by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolios and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs to the management of the Master Portfolios. The Board also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolios in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board noted that with respect to each Master Portfolio, the Master Portfolio’s contractual management fee rate ranked in the first quartile, and the actual management fee rate and the corresponding representative feeder fund’s total expense ratio ranked in the first and second quartiles, respectively, relative to the representative feeder fund’s Expense Peers. The Board also noted that BlackRock has contractually agreed to a cap on each Master Portfolio’s total expenses as a percentage of the Master Portfolio’s average daily net assets. The Board noted that BlackRock proposed, and the Board agreed to, a lower contractual expense cap on the Master International Index Series. This expense cap reduction was implemented on April 30, 2015.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolios increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolios benefit from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolios to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Master Portfolios. In their consideration, the Board Members took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolios, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolios, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Conclusion

The Board, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master LLC with respect to each Master Portfolio for a one-year term ending June 30, 2016. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of each Master Portfolio and its interest holders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolios reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015 86

Officers and Directors

Rodney D. Johnson, Chair of the Board and Director

David O. Beim, Director

Collette Chilton, Director

Frank J. Fabozzi, Director

Dr. Matina S. Horner, Director

Herbert I. London, Director

Cynthia A. Montgomery, Director

Barbara G. Novick, Director

Joseph P. Platt, Director

Robert C. Robb, Jr., Director

Toby Rosenblatt, Director

Mark Stalnecker, Director

Kenneth L. Urish, Director

Frederick W. Winter, Director

John M. Perlowski, President and Chief Executive Officer

Jennifer McGovern, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Charles Park, Chief Compliance Officer

Fernanda Piedra, Anti-Money Laundering Compliance Officer

Benjamin Archibald, Secretary

Effective March 1, 2015, Charles Park resigned as Anti-Money Laundering Compliance Officer of the Master LLC and Fernanda Piedra became Anti-Money Laundering Compliance Officer of the Master LLC.

Effective May 18, 2015, Ian MacKinnon resigned as a Director of the Master LLC.

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

87 QUANTITATIVE MASTER SERIES LLC JUNE 30, 2015

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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 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:	On the Internet:
american_beacon.funds@ambeacon.com	Visit our website at www.americanbeaconfunds.com
By Telephone:	By Mail:
Institutional and Investor Classes	American Beacon Funds
Call (800) 658-5811	P.O. Box 219643
	Kansas City, MO 64121
Availability of Quarterly Portfolio Schedules	Availability of Proxy Voting Policy and Records
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, D.C. 20549-1520. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090.	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	TRANSFER AGENT	INDEPENDENT REGISTERED	DISTRIBUTOR
State Street Bank and	Boston Financial Data	PUBLIC ACCOUNTING	Foreside Fund Services,
Trust	Services	FIRM	LLC
Boston, Massachusetts	Kansas City, Missouri	Ernst & Young LLP	Portland, Maine
		Dallas, Texas

This report is prepared for shareholders of the American Beacon Funds and may be distributed to others only if preceded or accompanied by a current Prospectus or Summary Prospectus.

American Beacon Funds, American Beacon Small Cap Index Fund, and American Beacon International Equity Index Fund are service marks of American Beacon Advisors, Inc.

SAR 6/15

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 Overview	2
Schedule of Investments	5
Financial Statements	6
Notes to the Financial Statements	9
Financial Highlights	18
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 June 30, 2015

Dear Shareholders, Since 1997, the U.S. Treasury has been issuing Treasury Inflation-Protected Securities (“TIPS”). The principal of these securities, backed by the full faith and credit of the federal government, 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. During the first half of 2015, U.S. bond prices fell. Rising rates and wider spreads caused negative returns in many fixed-income categories. Long-duration bonds had the largest decline and lower-credit categories outperformed as higher coupons helped offset rising rates. Despite the ups and downs in the period,

TIPS posted a small loss and moved in the same general direction, but with less volatility, as straight Treasuries. As of June 30, 2015, the average interest rate for TIPS was 0.883%, as compared to 0.994% for the same period a year ago.

The American Beacon Treasury Inflation Protected Securities Fund, unlike many other funds in its peer group, 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 six months ended June 30, 2015, the American Beacon Treasury Inflation Protected Securities Fund (Investor Class) returned 0.78%.

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 Treasury Inflation Protected Securities Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

The Investor Class of the Treasury Inflation Protected Securities Fund (the “Fund”) returned 0.78% for the six months ended June 30, 2015, underperforming the Barclays Capital 1-10 Year U.S. TIPS Index (the “Index”) return of 1.06%.

Total Returns for the Period ended 6/30/15
	Ticker		6 Months*			1 Year			5 Years			10 Years
Institutional Class (1,7,8)		ATPIX		1.07	%		(2.14	)%		2.22	%		3.49	%
Y Class (1,2,7,8)		ACUYX		0.77	%		(2.48	)%		1.86	%		3.30	%
Investor Class (1,3,7,8)		ABTPX		0.78	%		(2.59	)%		1.80	%		3.21	%
A Class with sales load (1,4,7,8)		ATSAX		(4.10	)%		(7.34	)%		0.54	%		2.57	%
A Class without sales load (1,4,7,8)		ATSAX		0.68	%		(2.70	)%		1.52	%		3.07	%
C Class with sales load (1,5,7,8)		ATSCX		(0.70	)%		(4.49	)%		0.75	%		2.68	%
C Class without sales load (1,5,7,8)		ATSCX		0.30	%		(3.49	)%		0.75	%		2.68	%
Barclays Capital 1-10 Yr. U.S. TIPS Index (6)				1.06	%		(1.95	)%		2.36	%		3.70	%
Barclays Capital U.S. TIPS Index (6)				0.34	%		(1.73	)%		3.29	%		4.13	%

* 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 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 ten-year period represents the total returns achieved by the Institutional Class up to 3/1/10, the inception date of the Y Class, and the returns of the Y Class since its inception. Expenses of the Y Class are higher than those of the Institutional Class. As a result, total returns shown may be higher than they would have been had the Y Class been in existence since 6/30/05.

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 6/30/05.

4. Fund performance for the ten-year period represents the total returns achieved by the Institutional Class from 6/30/05 through 3/1/09, and the Investor Class from 3/2/09 up to 5/17/10, the inception date of the A Class, and the returns of the A Class since its inception. Expenses of the A Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the A Class been in existence since 6/30/05. 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 6/30/05 through 3/1/09, and the Investor Class from 3/2/09 up to 9/1/10, the inception date of the C Class, and the returns of the C Class since its inception. Expenses of the C Class are higher than those of the Institutional and Investor Classes. As a result, total returns shown may be higher than they would have been had the C Class been in existence since 6/30/05. The maximum contingent deferred sales charge for C Class is 1.00% for shares redeemed within one year of the date of purchase.

6. The 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 was waived from its 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 ratio set forth in the most recent Fund prospectus for the Institutional, Y, Investor, A, and C Class shares was 0.40%, 0.63%, 0.81%, 0.94%, 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.

The Fund produced positive absolute returns for the six-month time period, benefiting from the months of January and April, as TIPS rallied amid weak economic data during those times.

From a yield curve positioning standpoint, the Fund’s underperformance relative to the Index stemmed from underweight allocations in the 1-2 year and 2-3 year maturity ranges during the prior six months, and from overweighting the 6-7 year maturity range. Overweighting the 7-8 year maturity range and

2

American Beacon Treasury Inflation Protected Securities Fund^SM

Performance Overview

June 30, 2015 (Unaudited)

underweighting the 3-4 year maturity range added value during the period. Security selection within the 2-3 year maturity range also contributed positively during the period.

From a duration perspective, one sub-advisor began the period with a short duration position relative to the Index, benefitting performance. The sub-advisor moved to duration neutral during mid-January, and both sub-advisors maintained neutral positioning through the remainder of the six-month period.

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 Protected Security, 0.125%, Due 1/15/2022	13.1
U.S. Treasury Inflation Protected Security, 0.125%, Due 4/15/2017	11.6
U.S. Treasury Inflation Protected Security, 0.125%, Due 4/15/2019	8.5
U.S. Treasury Inflation Protected Security, 0.625%, Due 1/15/2024	7.5
U.S. Treasury Inflation Protected Security, 2.375%, Due 1/15/2025	7.4
U.S. Treasury Inflation Protected Security, 1.25%, Due 7/15/2020	6.6
U.S. Treasury Inflation Protected Security, 0.625%, Due 7/15/2021	6.6
U.S. Treasury Inflation Protected Security, 0.125%, Due 7/15/2022	5.8
U.S. Treasury Inflation Protected Security, 0.375%, Due 7/15/2023	4.8
U.S. Treasury Inflation Protected Security, 0.125%, Due 4/15/2020	4.8
Total Fund Holdings	22

Portfolio Statistics
Effective Maturity (years)	5.4
Effective Duration (years)	5.5
3-Year Standard Deviation	3.9

Security Type (% of Total Investments)
Treasury Inflation Protected Securities	98.8
Short-Term Investments	0.9

3

American Beacon Treasury Inflation Protected Securities Fund^SM

Fund Expenses

June 30, 2015 (Unaudited)

Fund Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees if applicable, and (2) ongoing costs, including management fees, administrative service fees, and other Fund expenses. The examples below are intended to help you understand the ongoing cost (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2015 through June 30, 2015.

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 cost would have been $15 higher.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs charged by the Fund. Similarly, the expense examples for other funds do not reflect any transaction costs charged by those funds, such as sales charges (loads), redemption fees or exchange fees. Therefore, the “Hypothetical” line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. If you were subject to any transaction costs during the period, your costs would have been higher.

	Beginning Account Value 1/1/15		Ending Account Value 6/30/15		Expenses Paid During Period* 1/1/15 - 6/30/15
Institutional Class
Actual	$	1,000.00	$	1,010.67	$	1.40
Hypothetical **	$	1,000.00	$	1,023.41	$	1.40
Y Class
Actual	$	1,000.00	$	1,007.73	$	3.04
Hypothetical **	$	1,000.00	$	1,021.77	$	3.06
Investor Class
Actual	$	1,000.00	$	1,007.82	$	3.44
Hypothetical **	$	1,000.00	$	1,021.37	$	3.46
A Class
Actual	$	1,000.00	$	1,006.85	$	4.48
Hypothetical **	$	1,000.00	$	1,020.33	$	4.51
C Class
Actual	$	1,000.00	$	1,003.02	$	8.34
Hypothetical **	$	1,000.00	$	1,016.46	$	8.40

* Expenses are equal to the Fund’s annualized expense ratios for the six-month period of 0.28%, 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 (181) by days in the year (365) to reflect the half-year period.

** 5% return before expenses.

4

American Beacon Treasury Inflation Protected Securities Fund^SM

Schedule of Investments

June 30, 2015 (Unaudited)

	Par Amount		Fair Value
	(000’s)		(000’s)
U.S. TREASURY OBLIGATIONS - 98.83%
0.125%, Due 4/15/2016 A	$	1,147	$	1,152
2.50%, Due 7/15/2016 A		2,548		2,643
0.125%, Due 4/15/2017 A		29,546		29,948
1.625%, Due 1/15/2018 A		1,417		1,498
0.125%, Due 4/15/2018 A		11,165		11,341
1.375%, Due 7/15/2018 A		2,463		2,612
2.125%, Due 1/15/2019 A		10,050		10,942
0.125%, Due 4/15/2019 A		21,728		22,010
1.875%, Due 7/15/2019 A		2,792		3,043
1.375%, Due 1/15/2020 A		848		906
0.125%, Due 4/15/2020 A		12,219		12,317
1.25%, Due 7/15/2020 A		15,871		16,982
1.125%, Due 1/15/2021 A		4,229		4,473
0.625%, Due 7/15/2021 A		16,401		16,929
0.125%, Due 1/15/2022 A		34,191		33,883
0.125%, Due 7/15/2022 A		14,989		14,876
0.125%, Due 1/15/2023 A		11,741		11,534
0.375%, Due 7/15/2023 A		12,342		12,386
0.625%, Due 1/15/2024 A		18,966		19,289
0.125%, Due 7/15/2024 A		6,810		6,642
2.375%, Due 1/15/2025 A		16,191		19,047
2.50%, Due 1/15/2029 A		672		828
Total U.S. Treasury Obligations (Cost $256,545)				255,281
	Shares
SHORT-TERM INVESTMENTS - 0.92% (Cost $2,373)
JPMorgan U.S. Government Money Market Fund, Capital Class		2,372,982		2,373
TOTAL INVESTMENTS - 99.75% (Cost $258,917)				257,654
OTHER ASSETS, NET OF LIABILITIES - 0.25%				649
TOTAL NET ASSETS - 100.00%			$	258,303

Percentages are stated as a percent of net assets.

^A  Inflation-Indexed Note.

See accompanying notes

5

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Assets and Liabilities

June 30, 2015 (Unaudited) (in thousands, except share and per share amounts)

Assets:
Investments in unaffiliated securities, at fair value A	$	257,654
Receivable for investments sold		5,189
Receivable for fund shares sold		376
Dividends and interest receivable		665
Receivable for expense reimbursement (Note 2)		21
Prepaid expenses		38
Total assets		263,943
Liabilities:
Payable for investments purchased		5,230
Payable for fund shares redeemed		301
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		22
Prospectus and shareholder reports fees payable		16
Trustee fees payable		3
Other liabilities		2
Total liabilities		5,640
Net assets	$	258,303
Analysis of Net Assets:
Paid-in-capital		266,567
Undistributed (or overdistribution of) net investment income		—
Accumulated net realized (loss)		(7,000	)
Unrealized depreciation of investments		(1,264	)
Net assets	$	258,303
Shares outstanding at no par value (unlimited shares authorized):
Institutional Class		24,477,404
Y Class		50,042
Investor Class		213,835
A Class		51,939
C Class		9,856
Net assets (not in thousands):
Institutional Class	$	254,945,749
Y Class	$	522,063
Investor Class	$	2,203,285
A Class	$	534,208
C Class	$	98,046
Net asset value, offering and redemption price per share:
Institutional Class	$	10.42
Y Class	$	10.43
Investor Class	$	10.30
A Class	$	10.29
A Class (offering price)	$	10.80
C Class	$	9.95
A    Cost of investments in unaffiliated securities	$	258,918

See accompanying notes

6

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Operations

For the Six Months ended June 30, 2015 (Unaudited) (in thousands)

Investment Income:
Interest income	$	(1,016	)
Total investment income		(1,016	)
Expenses:
Management and investment advisory fees (Note 2)		140
Administrative service fees (Note 2):
Institutional Class		185
Y Class		1
Investor Class		3
A Class		1
Transfer agent fees:
Institutional Class		40
Investor Class		1
Custody and fund accounting fees		19
Professional fees		25
Registration fees and expenses		38
Service fees (Note 2):
Investor Class		3
Distribution fees (Note 2):
A Class		1
C Class		1
Prospectus and shareholder report expenses		16
Trustee fees		6
Other expenses		8
Total expenses		488
Net fees waived and expenses reimbursed (Note 2)		(125	)
Net expenses		363
Net investment income		(1,379	)
Realized and unrealized gain (loss) from investments:
Net realized gain (loss) from:
Investments		(799	)
Change in net unrealized appreciation or (depreciation) of:
Investments		4,597
Net gain from investments		3,798
Net increase in net assets resulting from operations	$	2,419

See accompanying notes

7

American Beacon Treasury Inflation Protected Securities Fund^SM

Statement of Changes in Net Assets (in thousands)

	Six Months Ended June 30, 2015			Year Ended Dec. 31, 2014
	(unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(1,379	)	$	1,872
Net realized (loss) from investments		(799	)		(758	)
Change in net unrealized appreciation or (depreciation) from investments		4,597			(609	)
Net increase in net assets resulting from operations		2,419			505
Distributions to Shareholders:
Net investment income:
Institutional Class		—			(1,861	)
Y Class		—			(3	)
Investor Class		—			(7	)
A Class		—			(1	)
C Class		—			—
Return of Capital
Institutional Class		—			(248	)
Y Class		—			—
Investor Class		—			(1	)
Y Class		—			—
C Class		—			—
Net distributions to shareholders		—			(2,121	)
Capital Share Transactions:
Proceeds from sales of shares		30,779			85,648
Reinvestment of dividends and distributions		—			2,119
Cost of shares redeemed		(22,764	)		(45,874	)
Net increase in net assets from capital share transactions		8,015			41,893
Net increase in net assets		10,434			40,277
Net Assets:
Beginning of period		247,869			207,592
End of Period *	$	258,303		$	247,869
*  Includes undistributed (or overdistribution of) net investment income	$	—		$	—

See accompanying notes

8

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

1. Organization and Significant Accounting Policies

American Beacon Funds (the “Trust”) 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. As of June 30, 2015, the Trust consists of thirty-one active series, one of which is presented in this filing: American Beacon Treasury Inflation Protected Securities Fund (the “Fund”). The remaining thirty active series are reported in separate filings.

Effective April 30, 2015, American Beacon Advisors, Inc. (the “Manager”) became a wholly-owned subsidiary of Astro AB Borrower, Inc., which is indirectly owned by investment funds affiliated with Kelso & Company, L.P. and Estancia Capital Management, LLC, two prominent private equity firms. Prior to April 30, the Manager was a wholly-owned subsidiary of Lighthouse Holdings, Inc., which was indirectly owned by investment funds affiliated with Pharos Capital Group, LLC and TPG Capital, L.P., two leading private equity firms.

Recently Adopted 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 Fund adopted this ASU for the fiscal year ended December 31, 2015. Management has evaluated the implications of the ASU and determined that adoption thereof will not have a material impact on the financial statements.

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 respective Fund. Class specific expenses, where applicable, currently include administrative service fees, service fees, and distribution fees and vary amongst the classes as described more fully in Note 2.

2. Transactions with Affiliates

Management Agreement

The Trust and the Manager are parties to a Management Agreement that obligates the Manager to provide or oversee the provision of all investment advisory and portfolio management services. Investment assets of the Fund may be managed by multiple investment advisors which have entered into separate

9

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 investment activities of the Fund. Management fees paid during the six months ended June 30, 2015 were as follows (in thousands):

Management Fee Rate	Management Fee	Amounts Paid to Investment Sub-Advisors	Amounts Paid to Manager
0.11%	$140	$78	$62

Administrative Services Agreement

The Manager and the Trust entered into an Administrative Services Agreement which obligates the Manager to provide or oversee administrative services to the Fund. As compensation for performing the duties required under the Administrative Services Agreement, the Manager receives an annualized fee of 0.15% of the average daily net assets of the Institutional Class and 0.30% of the average daily net assets of the Y, Investor, A, and C Classes 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 Trust does not intend to compensate the Manager or any other party, either directly or indirectly, for the distribution of Trust shares.

A separate Distribution Plan (the “Distribution Plan”) has been adopted pursuant to Rule 12b-1 under the Act for the A and C Classes of the Fund. Under the Distribution Plan, as compensation for distribution assistance, the Manager receives an annual fee of 0.25% of the average daily net assets of the A Class and 1.00% of the average daily net assets of the C 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 expenses incurred in a particular month by the Manager for distribution assistance.

Services Plan

The Manager and the Trust entered into a Service Plan which obligates the Manager to oversee additional shareholder servicing of the Y, Investor, A, and C Classes of the Fund. As compensation for performing the duties required under the Service Plan, the Manager receives an annualized fee of 0.10% of the average daily net assets of the Y Class, 0.15% of the average daily net assets of the A and C Classes, and up to 0.375% of the average daily net assets of the Investor Class of the Fund. Service fees for the Y, A, and C Classes for the six months ended June 30, 2015 were less than $500.

Interfund Lending Program

Pursuant to an exemptive order by the Securities and Exchange Commission (“SEC”), the Fund, along with other registered investment companies having management contracts with the Manager, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating Funds. For the six months ended June 30, 2015, the Fund did not utilize the credit facility.

10

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 $21,037 was receivable from the Manager at June 30, 2015. For the six months ended June 30, 2015, the Manager reimbursed expenses as follows:

	Expense Cap and Limits					Expiration of
Class	1/1/15 to 6/30/15			Reimbursed Expenses		Reimbursements
Institutional		0.10	%*	$	123,507		2018
Y		0.61	%		12		2018
Investor		0.69	%		1,485		2018
A		0.90	%		75		2018
C		1.68	%		17		2018

* The Manager has contractually agreed to reduce the Administrative Service Fees for the Institutional Class in an amount equal to 0.10% of the average daily net assets of the class through April 30, 2016.

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, $207,574 and $232,814 which will expire in 2015, 2016, and 2017 respectively. The Fund has not recorded a liability for these potential reimbursements, due to the current assessment that reimbursements are unlikely.

Sales Commissions

The Fund’s distributor, Foreside Fund Services, LLC (“Foreside”) may receive a portion of A Class sales charges from broker dealers and it may be used to offset distribution related expenses. For the six months ended June 30, 2015, Foreside collected $124 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 six months ended June 30, 2015, 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 six months ended June 30, 2015, 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.

11

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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.

Securities for which market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at fair value following procedures approved by the Board of Trustees (the “Board”).

Valuation Inputs

Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1 -	Quoted prices in active markets for identical securities.
Level 2 -	Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above.
Level 3 -	Prices determined using other significant unobservable inputs. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

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 and 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.

The Fund’s investments are summarized by level based on the inputs used to determine their values. U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) also requires all significant transfers between any levels to be disclosed. During the six months ended June 30, 2015, there were no transfers between levels. As of June 30, 2015, the investments were classified as described below (in thousands):

	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	255,281	$	—	$	255,281
Short-Term Investments - Money Market Funds		2,373		—		—		2,373
Total Investments in Securities	$	2,373	$	255,281	$	—	$	257,654

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

12

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

commitment to purchase a security, the transaction is recorded, and the value of the security is reflected in the NAV. The value of the security may vary with market fluctuations.

Dividend income is recorded on the ex-dividend date. Interest income is earned from settlement date, recorded on the accrual basis, and adjusted, if necessary, for accretion of discounts and amortization of premiums. For financial and tax reporting purposes, realized gains and losses are determined on the basis of specific lot identification.

Dividends to Shareholders

Dividends from net investment income of the Fund normally will be declared and paid at least semi-annually. Distributions, if any, of net realized capital gains are generally paid at least annually and recorded on the ex-dividend date.

Allocation of Income, Expenses, Gains, and Losses

Income, expenses (other than those attributable to a specific class), gains, and losses are allocated daily to each class of shares based up on the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimated.

Other

Under the Trust’s organizational documents, its officers and directors are indemnified against certain liability arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that provide indemnification to the other party or parties against potential costs or liabilities. The Trust’s maximum exposure under these arrangements is dependent on claims that may be made in the future and, therefore, cannot be estimated. The Trust has had no prior claims or losses pursuant to any such agreement.

4. Securities and Other Investments

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

13

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

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 Fund trades financial instruments and enters 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 Fund’s income. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has 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 Fund’s investments may be illiquid and the Fund 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.

Offsetting Assets and Liabilities

The Fund is party to enforceable master netting agreements between brokers and counterparties, such as Master Repo Agreements which provide for the right to offset under certain circumstances. The Fund employs multiple 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. There was no offsetting activity on the Statement of Assets and Liabilities as of June 30, 2015.

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.

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

14

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

	Six Months Ended June 30, 2015		Year Ended December 31, 2014
	(unaudited)
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 June 30, 2015, 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	$	261,357
Unrealized appreciation		290
Unrealized depreciation		(3,993	)
Net unrealized appreciation or (depreciation)		(3,703	)
Undistributed ordinary income		—
Undistributed long-term gain or (loss)		(4,561	)
Other temporary differences		—
Distributable earnings or (deficits)	$	(8,264	)

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 rounding differences as of June 30, 2015 (in thousands):

Paid-in-capital	$	(1,379	)
Undistributed net investment income		1,379
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 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.

As of June 30, 2015, the Fund has $2,859 of short-term and $1,702 of long-term post enactment capital loss carryforwards (in thousands).

15

American Beacon Treasury Inflation Protected Securities Fund^SM

Notes to Financial Statements

June 30, 2015 (Unaudited)

7. Investment Transactions

Purchases and proceeds from sales of investments for the six months ended June 30, 2014, excluding short-term investments, were $141,703 and $133,852, respectively (in thousands). 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 Six Months Ended June 30, 2015

	Institutional Class						Y Class						Investor Class
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,926		$	30,551			11		$	112			10		$	100
Reinvestment of dividends		—			—			—			—			—			—
Shares redeemed		(2,127	)		(22,188	)		(18	)		(188	)		(23	)		(230	)
Net increase (decrease) in shares outstanding		799		$	8,363			(7	)	$	(76	)		(13	)	$	(130	)

	A Class						C Class
	Shares			Amount			Shares			Amount
Shares sold		1		$	16			—		$	—
Reinvestment of dividends		—			—			—			—
Shares redeemed		(14	)		(148	)		(1	)		(10	)
Net (decrease) in shares outstanding		(13	)	$	(132	)		(1	)	$	(10	)

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	)

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17

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	Institutional Class
	Six Months Ended June 30,			Year Ended December 31,
	2015			2014			2013			2012			2011			2010
	(unaudited)
Net asset value, beginning of period	$	10.31		$	10.34		$	10.97		$	11.16		$	10.51		$	10.16
Income from investment operations:
Net investment income (loss)		(0.05	)		0.09			(0.02	)		0.04			0.28			0.16
Net gains (losses) from investments (both realized and unrealized)		0.16			(0.03	)		(0.61	)		0.49			0.67			0.35
Total income (loss) from investment operations		0.11			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	$	10.42		$	10.31		$	10.34		$	10.97		$	11.16		$	10.51
Total return B		1.07	%C		0.58	%		(5.74	)%		4.80	%		9.14	%		5.03	%
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	254,946		$	244,192		$	201,381		$	202,274		$	206,864		$	157,195
Ratios to average net assets:
Expenses, before reimbursements		0.38	%D		0.40	%		0.39	%		0.37	%		0.36	%		0.35	%
Expenses, net of reimbursements		0.28	%D		0.30	%		0.30	%		0.27	%		0.26	%		0.25	%
Net investment income (loss), before reimbursements		(1.19	)%D		0.71	%		(0.31	)%		0.64	%		2.24	%		1.40	%
Net investment income (loss), net of reimbursements		(1.09	)%D		0.81	%		(0.21	)%		0.74	%		2.34	%		1.50	%
Portfolio turnover rate		53	%C		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 Amount represents less than $0.01 per share.

^F Portfolio turnover rate is for the period from January 1 through December 31, 2010.

18

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

Y Class																		Investor Class
Six Months Ended June 30,			Year Ended December 31,												Mar. 1 to Dec. 31, 2010			Six Months Ended June 30, 2015			Year Ended December 31,
2015			2014			2013			2012			2011									2014			2013			2012			2011			2010
(unaudited)																		(unaudited)
$	10.35		$	10.37		$	11.03		$	11.24		$	10.60		$	10.25		$	10.22		$	10.24		$	10.90		$	11.12		$	10.48		$	10.13
	(0.08	)		0.05			(0.07	)		0.09			0.26			0.05			(0.10	)		(0.05	)		(0.13	)		0.06			0.24			0.06
	0.16			(0.02	)		(0.59	)		0.41			0.65			0.35			0.18			0.06			(0.53	)		0.42			0.66			0.41
	0.08			0.03			(0.66	)		0.50			0.91			0.40			0.08			0.01			(0.66	)		0.48			0.90			0.47
	—			(0.04	)		—			(0.06	)		(0.26	)		(0.05	)		—			(0.03	)		—			(0.05	)		(0.25	)		(0.12	)
	—			—			—			(0.49	)		—			—			—			—			—			(0.49	)		—			—
	—			(0.01	)A		—			(0.16	)A		(0.01	)A		—			—			(0.00	)A,E		—			(0.16	)A		(0.01	)A		—
	—			(0.05	)		—			(0.71	)		(0.27	)		(0.05	)		—			(0.03	)		—			(0.70	)		(0.26	)		(0.12	)
$	10.43		$	10.35		$	10.37		$	11.03		$	11.24		$	10.60		$	10.30		$	10.22		$	10.24		$	10.90		$	11.12		$	10.48
	0.77	%C		0.32	%		(5.98	)%		4.42	%		8.66	%		3.89	%C		0.78	%C		0.14	%		(6.06	)%		4.32	%		8.67	%		4.62	%
$	522		$	593		$	627		$	1,051		$	501		$	365		$	2,203		$	2,315		$	4,395		$	19,438		$	19,920		$	15,262
	0.61	%D		0.63	%		0.63	%		0.62	%		1.04	%		0.60	%D		0.82	%D		0.81	%		0.79	%		0.77	%		0.77	%		0.75	%
	0.61	%D		0.61	%		0.61	%		0.61	%		0.63	%		0.60	%D		0.69	%D		0.69	%		0.69	%		0.69	%		0.68	%		0.64	%
	(1.53	)%D		0.46	%		(0.59	)%		0.81	%		1.80	%		0.85	%D		(1.77	)%D		0.25	%		(0.66	)%		0.44	%		2.24	%		1.06	%
	(1.53	)%D		0.47	%		(0.57	)%		0.82	%		2.21	%		0.85	%D		(1.63	)%D		0.37	%		(0.56	)%		0.53	%		2.32	%		1.17	%
	53	%C		102	%		252	%		286	%		381	%		214	%F		53	%C		102	%		252	%		286	%		381	%		214	%

19

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	A Class
	Six Months Ended June 30,			Year Ended December 31,												May 17 to Dec. 31, 2010
	2015			2014			2013			2012			2011
	(unaudited)
Net asset value, beginning of period	$	10.22		$	10.23		$	10.93		$	11.15		$	10.54		$	10.35
Income from investment operations:
Net investment income (loss)		(0.17	)		(0.01	)		(0.07	)		0.00			0.10			0.04
Net gains (losses) from investments (both realized and unrealized)		0.24			0.01			(0.63	)		0.45			0.76			0.19
Total income (loss) from investment operations		0.07			0.00			(0.70	)		0.45			0.86			0.23
Less distributions:
Dividends from net investment income		—			(0.01	)		—			(0.02	)		(0.24	)		(0.04	)
Distributions from net realized gains		—			—			—			(0.49	)		—			—
Tax return of capital		—			(0.00	)A,E		—			(0.16	)A		(0.01	)A		—
Total distributions		—			(0.01	)		—			(0.67	)		(0.25	)		(0.04	)
Net asset value, end of period	$	10.29		$	10.22		$	10.23		$	10.93		$	11.15		$	10.54
Total return B		0.68	%C		0.03	%		(6.40	)%		4.07	%		8.17	%		2.23	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	534		$	662		$	793		$	741		$	855		$	155
Ratios to average net assets:
Expenses, before reimbursements		0.93	%D		0.99	%		1.06	%		1.07	%		1.32	%		0.99	%D
Expenses, net of reimbursements		0.90	%D		0.95	%		1.00	%		1.01	%		1.03	%		0.99	%D
Net investment income (loss), before reimbursements		(1.95	)%D		0.25	%		(0.93	)%		0.07	%		0.88	%		0.55	%D
Net investment income (loss), net of reimbursements		(1.93	)%D		0.29	%		(0.86	)%		0.13	%		1.17	%		0.55	%D
Portfolio turnover rate		53	%C		102	%		252	%		286	%		381	%		214	%F

^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 Amount represents less than $0.01 per share.

^F Portfolio turnover rate is for the period from January 1 through December 31, 2010.

20

American Beacon Treasury Inflation Protected Securities Fund^SM

Financial Highlights

(For a share outstanding throughout the period)

	C Class
	Six Months Ended June 30,			Year Ended December 31,												Sept. 1 to Dec. 31, 2010
	2015			2014			2013			2012			2011
	(unaudited)
Net asset value, beginning of period	$	9.92		$	10.00		$	10.77		$	11.06		$	10.46		$	10.38
Income from investment operations:
Net investment income (loss)		(0.23	)		(0.76	)		(0.15	)		(0.05	)		0.13			0.00
Net gains (losses) from investments (both realized and unrealized)		0.26			0.68			(0.62	)		0.41			0.65			0.08
Total income (loss) from investment operations		0.03			(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	$	9.95		$	9.92		$	10.00		$	10.77		$	11.06		$	10.46
Total return B		0.30	%C		(0.80	)%		(7.15	)%		3.26	%		7.47	%		0.77	%C
Ratios and supplemental data:
Net assets, end of period (in thousands)	$	98		$	107		$	396		$	307		$	266		$	153
Ratios to average net assets:
Expenses, before reimbursements		1.71	%D		1.74	%		1.79	%		1.79	%		2.62	%		1.77	%D
Expenses, net of reimbursements		1.68	%D		1.74	%		1.78	%		1.77	%		1.79	%		1.77	%D
Net investment income (loss), before reimbursements		(2.69	)%D		(0.43	)%		(1.71	)%		(0.61	)%		0.25	%		(0.05	)%D
Net investment income (loss), net of reimbursements		(2.66	)%D		(0.42	)%		(1.69	)%		(0.59	)%		1.08	%		(0.05	)%D
Portfolio turnover rate		53	%C		102	%		252	%		286	%		381	%		214	%F

^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 Amount represents less than $0.01 per share.

^F Portfolio turnover rate is for the period from January 1 through December 31, 2010.

21

American Beacon Funds^SM

Results of Shareholder Meeting (Unaudited)

Special meetings of shareholders of each of the portfolios of the American Beacon Funds (the “Trust”) were held on April 7 and April 28, 2015. The shareholders of the Treasury Inflation Protected Securities (TIPS) Fund (the “Fund”) approved a new investment management agreement between American Beacon Advisors, Inc. and the Fund. Approval of this proposal required a majority of the outstanding voting securities of the Fund. The following are the results of the shareholder votes for this proposal:

Funds	For		Against		Abstain		Non-Voting
TIPS Fund		240,197,774.17		302.18		18,517.08		5,409,129.57

Special meetings of shareholders of the Trust were held on April 7 and April 28, 2015. The shareholders of the Trust approved the re-election of nine of the current Trustees to the Board of the Trust and the election of two additional Trustees to the Board. Approval of this proposal required a plurality vote of the Trust’s shares. The following are the results of the election of each Trustee:

Gilbert G. Alvarado
Affirmative	16,655,574,211.10
Withhold	242,060,281.87
Joseph B. Armes
Affirmative	16,653,130,207.99
Withhold	244,504,284.98
Gerard J. Arpey
Affirmative	16,659,813,172.19
Withhold	237,821,320.78
W. Humphrey Bogart
Affirmative	16,532,151,093.14
Withhold	365,483,399.83
Brenda A. Cline
Affirmative	16,662,050,138.08
Withhold	235,584,354.89
Eugene J. Duffy
Affirmative	16,430,210,258.21
Withhold	467,424,234.76
Thomas M. Dunning
Affirmative	16,651,792,247.83
Withhold	245,842,245.14
Alan D. Feld
Affirmative	14,899,039,186.08
Withhold	1,998,595,306.89
Richard A. Massman
Affirmative	16,651,582,060.07
Withhold	246,052,432.90
Barbara J. McKenna
Affirmative	16,435,773,869.81
Withhold	461,860,623.16
R. Gerald Turner
Affirmative	16,653,429,720.08
Withhold	244,204,772.89

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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 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, 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 at 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 American Beacon Treasury Inflation Protected Securities Fund are service marks of American Beacon Advisors, Inc.

SAR 6/15

ITEM 2. CODE OF ETHICS.

The Trust did not amend the code of ethics that applies to its principal executive and financial officers (the “Code”) nor did it grant any waivers to the provisions of the Code during the period covered by the shareholder report presented in Item 1.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

The schedules of investments for each series of the Trust are included in the shareholder report presented in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not Applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not Applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

The Trust has made no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last disclosed such procedures in Schedule 14A.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are effective.

(b) There were no changes in the Trust’s internal control over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Not Applicable.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as EX-99.CERT.

(a)(3) Not Applicable.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): American Beacon Funds

By	/s/ Gene L. Needles, Jr.
	Gene L. Needles, Jr.
	President

Date: September 8, 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: September 8, 2015

By	/s/ Melinda G. Heika
	Melinda G. Heika
	Treasurer

Date: September 8, 2015