UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07885
Name of Fund: Master Extended Market Index Series of Quantitative Master Series
Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, Master Extended Market Index Series of Quantitative Master Series
Trust, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address:
P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/04
Date of reporting period: 01/01/04 - 12/31/04
Item 1 - Report to Stockholders
Master Extended Market Index Series
Annual Report, December 31, 2004
For the year ended December 31, 2004, Master Extended Market Index Series had a
total return of +18.43% (net return, master level). This compared to a return of
+18.56% for the benchmark Dow Jones Wilshire 4500 (Full Cap) Index for the same
period.
As the returns indicate, the portfolio met its objective of closely tracking the
performance of the Dow Jones Wilshire 4500 (Full Cap) Index, which measures the
performance of stocks in the Dow Jones Wilshire 5000 (Full Cap) Index, minus the
stocks found in the Standard & Poor's (S & P) 500 Index. As the value of the Dow
Jones Wilshire 4500 (Full Cap) Index fluctuated during the past 12 months, the
portfolio's performance generally mimicked that of the Index. Throughout the
period, as changes were made to the composition of the Index, the portfolio
purchased and sold securities to maintain its objective of replicating the risks
and return of the benchmark.
Market and Economic Environment
Despite some suspense along the way, 2004 proved to be a positive year for U.S.
equity markets. Economic news was mixed for much of the first three quarters of
the year before turning generally positive in the fourth quarter.
The first quarter was impacted positively by good productivity and gross
domestic product (GDP) numbers, but set back by the railroad bombing in Madrid,
Spain, which caused market volatility to increase substantially. Renewed fears
of terrorist attacks cast the long shadow of geopolitical unrest on equity
markets around the world heading into the second quarter. The aura of
1
uncertainty was exacerbated by such factors as persistent violence in Iraq,
record-high oil prices and mixed, though slowly improving, U.S. economic data.
As the second quarter drew to a close, the drumbeat of presidential election
drama gradually swelled in the United States.
In the third quarter, the course of economic news began to slowly point toward a
strengthening economy. But despite better-than-expected corporate earnings and
Federal Reserve Board (Fed) Chairman Alan Greenspan's congressional testimony
that his outlook on economic growth remained constructive, a number of
challenges hampered the U.S. equity market in the third quarter. Election
buildup, a shifting Fed policy and higher oil prices fanned the flames of fear
that the U.S. economy would slow.
The fourth quarter, however, proved to be the breakout that investors were
looking for in the U.S. equity markets. Negative October news segued into
positive November and December news. As a result of moderating oil prices,
unwinding of the election uncertainty, reasonably good economic and earnings
news, and the beginning of the seasonally strong year-end period, the market
experienced a positive post-election bounce. As expected, the Fed continued to
raise the federal funds rate throughout the year, more than doubling it from 1%
to 2.25% by December 31, 2004.
For the year ended December 31, 2004, the extended market, as measured by the
+18.56% return of the benchmark Dow Jones Wilshire 4500 (Full Cap) Index,
outperformed the broad market, as measured by the +12.62% return of the Dow
Jones Wilshire 5000 (Full Cap) Index.
2
Small-capitalization and mid-capitalization stocks outpaced large-capitalization
stocks for 2004. For the 12 months ended December 31, 2004, the S&P MidCap 400
Index returned +16.48% and the S&P SmallCap 600 Index returned +22.65%. This
compared to the +10.88% total return of the S&P 500 Index, a generally accepted
measure of large cap stock performance.
Overall, the S&P 500 Index closed the year at 1,211.92 with a price return of
+8.99%. The Dow Jones Industrial Average closed at 10,783.01 with a price return
of +3.15%, while the Nasdaq Composite Index returned +8.59% with a closing level
of 2,175.44. European markets also posted positive returns, with the Financial
Times Stock Exchange 100 Index closing at 4,814.30, representing a return of
+7.54% in sterling. The Morgan Stanley Capital International World Index was up
12.84% in U.S. dollar terms, with a closing level of 1,169.34 at December 31,
2004.
Market Outlook
As 2004 came to an end, the economy and earnings growth were beginning to slow,
the Fed appeared poised to continue moving interest rates higher, legislative
progress was anticipated on many fronts in Washington, and concerns remained
about the structural problems of debt and deficits as reflected by a significant
decline in the U.S. dollar.
The recent increase in equity prices to new cyclical highs has led to questions
about how much upside potential exists. Valuation levels, at least on an
absolute basis, are somewhat stretched, although the profit environment is still
strong enough to support the market. Equity prices could have fallen as a result
of the Fed's December interest rate hike, but clearly have been benefiting from
3
recent declines in bond yields as well as from the declining dollar. Our opinion
is that until monetary tightening and/or rising bond yields begin to take their
toll, equities should continue to perform relatively well. Having said that, we
expect the portfolio to continue to meet its objective of tracking the
performance of the Dow Jones Wilshire 4500 (Full Cap) Index in 2005.
4
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Aerospace - 0.4% + Aerosonic Corp. 200 $ 1,202
+ Armor Holdings, Inc. 2,300 108,146
Cubic Corp. 1,500 37,755
+ DRS Technologies, Inc. 1,781 76,066
EDO Corp. 1,300 41,275
+ ESCO Technologies, Inc. 900 68,985
+ EnPro Industries, Inc. 1,100 32,527
Engineered Support Systems, Inc. 1,655 98,009
+ Esterline Technologies Corp. 500 16,325
GenCorp, Inc. 2,800 51,996
Heico Corp. Class A 1,792 30,984
+ KVH Industries, Inc. 2,700 26,460
Kaman Corp. Class A 1,500 18,975
+ MTC Technologies, Inc. 400 13,428
+ Metrologic Instruments, Inc. 1,300 27,625
+ SatCon Technology Corp. 700 1,414
+ Spacehab, Inc. 500 1,065
+ Teledyne Technologies, Inc. 1,900 55,917
+ Transtechnology Corp. 300 2,193
+ Trimble Navigation Ltd. 3,000 99,120
+ Veeco Instruments, Inc. 2,100 44,247
------------
853,714
- -----------------------------------------------------------------------------------------------------------------------------------
Air Transport - 0.4% + AAR Corp. 1,900 25,878
+ AMR Corp.(f) 9,900 108,405
+ ATA Holdings Corp. 1,500 2,100
+ Airtran Holdings, Inc. 3,500 37,450
+ Alaska Air Group, Inc. 1,500 50,235
+ America West Holdings Corp. Class B 1,600 10,528
+ Aviall, Inc. 1,800 41,346
+ Aviation General, Inc. 1,200 0
+ Continental Airlines, Inc. Class B(f) 3,970 53,754
+ EGL, Inc. 2,895 86,531
+ ExpressJet Holdings, Inc. 1,600 20,608
+ FLYi, Inc. 2,700 4,779
+ Frontier Airlines, Inc. 2,100 23,961
+ Great Lakes Aviation Ltd. 700 700
Hawaiian Holdings, Inc. 3,802 25,968
+ JetBlue Airways Corp. 5,250 121,905
+ LMI Aerospace, Inc. 900 4,869
+ MAIR Holdings, Inc. 1,300 11,960
+ Mesa Air Group, Inc. 1,900 15,086
+ Midwest Air Group, Inc. 800 2,328
+ Northwest Airlines Corp. 5,100 55,743
+ Petroleum Helicopters Non-Voting Shares 700 17,010
+ Pinnacle Airlines Corp. 1,300 18,122
Skywest, Inc. 3,500 70,210
+ UAL Corp.(f) 4,705 6,117
+ Vanguard Airlines, Inc. 200 0
------------
815,593
- -----------------------------------------------------------------------------------------------------------------------------------
Apparel - 1.0% + Aeropostale, Inc. 2,650 77,990
+ Ashworth, Inc. 3,500 38,115
Bebe Stores, Inc. 5,100 137,598
Brown Shoe Co., Inc. 1,200 35,796
The Buckle, Inc. 700 20,650
+ Burke Mills, Inc. 1,400 1,540
+ Cache, Inc. 2,100 37,842
+ Carter's, Inc. 900 30,591
Cherokee, Inc. 400 14,112
+ Columbia Sportswear Co. 2,500 149,025
+ DHB Industries, Inc. 3,400 64,736
+ Deckers Outdoor Corp.(f) 1,300 61,087
Escalade, Inc. 600 8,016
Fab Industries, Inc. 200 784
+ Finlay Enterprises, Inc. 600 11,874
+ Fossil, Inc. 4,817 123,508
+ GSI Commerce, Inc. 1,800 32,004
Guess ?, Inc. 1,600 20,080
Haggar Corp. 300 7,044
+ Hampshire Group Ltd. 300 9,451
+ Hartmarx Corp. 2,100 16,317
+ JPS Industries, Inc. 400 2,080
+ The J Jill Group, Inc. 1,900 28,291
+ Jos A. Bank Clothiers, Inc.(f) 1,625 45,987
Kellwood Co. 1,600 55,200
Kenneth Cole Productions, Inc. Class A 1,100 33,946
K-Swiss, Inc. Class A 2,600 75,712
+ Lacrosse Footwear, Inc. 500 5,625
+ Lakeland Financial Corp. 200 7,940
5
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Apparel (concluded) + Magic Lantern Group, Inc. 1,000 $ 450
+ Marisa Christina, Inc. 900 936
+ Mossimo, Inc. 800 2,728
+ Mothers Work, Inc. 300 4,085
Oshkosh B'Gosh, Inc. Class A 700 14,980
Oxford Industries, Inc. 1,500 61,950
+ Perry Ellis International, Inc. 1,400 28,490
Phillips-Van Heusen 1,900 51,300
+ Phoenix Footwear Group, Inc. 1,000 7,780
Polo Ralph Lauren Corp. 3,800 161,880
Quaker Fabric Corp. 1,400 7,840
+ Quiksilver, Inc. 3,300 98,307
+ Rocky Shoes & Boots, Inc. 1,100 32,670
Russell Corp. 2,900 56,492
+ Skechers U.S.A., Inc. Class A 2,300 29,808
+ Stage Stores, Inc. 1,700 70,584
+ Steven Madden Ltd. 800 15,088
Stride Rite Corp. 2,400 26,808
Superior Uniform Group, Inc. 1,500 22,425
Tandy Brands Accessories, Inc. 200 2,850
+ Timberland Co. Class A 2,000 125,340
+ Tropical Sportswear International Corp. 3,300 528
+ Unifi, Inc. 3,200 12,256
+ The Warnaco Group, Inc. 2,700 58,320
Weyco Group, Inc. 150 6,644
Wolverine World Wide, Inc. 2,400 75,408
------------
2,128,888
- -----------------------------------------------------------------------------------------------------------------------------------
Banks - 5.7% ABC Bancorp 600 12,600
Alabama National Bancorporation 800 51,600
Ameriana Bancorp 200 3,140
American National Bankshares, Inc. 400 9,684
Arrow Financial Corp. 432 13,392
Associated Banc-Corp 7,879 261,662
BCSB Bankcorp, Inc. 1,200 20,100
The Banc Corp. 4,700 38,728
Bancfirst Corp. 400 31,592
+ The Bancorp Inc. 460 7,360
Bancorpsouth, Inc. 3,600 87,732
Bank Mutual Corp. 2,500 30,425
Bank of Granite Corp. 525 10,973
Bank of Hawaii Corp. 3,600 182,664
Bank of the Ozarks, Inc. 700 23,821
BankAtlantic Bancorp, Inc. Class A 3,400 67,660
Banknorth Group, Inc. 9,114 333,572
Bar Harbor Bankshares 200 5,796
Berkshire Hills Bancorp, Inc. 300 11,145
Boston Private Financial Holdings, Inc. 2,600 73,242
BostonFed Bancorp, Inc. 1,100 49,797
Brookline Bancorp, Inc. 3,499 57,104
Bryn Mawr Bank Corp. 400 8,796
CFS Bancorp, Inc. 800 11,416
Camco Financial Corp. 500 7,700
Camden National Corp. 300 11,823
Capital Bank Corp. 1,100 20,196
Capital City Bank Group, Inc. 500 20,900
Capitol Bancorp Ltd. 420 14,799
Capitol Federal Financial 4,540 163,440
Carrollton Bancorp 210 3,738
Cascade Bancorp 900 18,090
Cavalry Bancorp, Inc. 400 8,908
Center Bancorp, Inc. 520 6,817
+ Central Coast Bancorp 502 11,591
Century Bancorp, Inc. Class A 300 8,850
Chemical Financial Corp. 1,060 45,495
Chittenden Corp. 2,233 64,154
Citizens Banking Corp. 3,300 113,355
Citizens South Banking Corp. 2,428 34,623
City Bank 300 10,710
City Holding Co. 1,800 65,232
City National Corp. 2,600 183,690
Clifton Savings Bancorp, Inc. 980 11,907
CoBiz, Inc. 1,250 25,375
The Colonial BancGroup, Inc. 7,155 151,901
Columbia Bancorp 400 13,676
Columbia Banking System, Inc. 1,930 48,231
Comm Bancorp, Inc. 100 4,050
Commerce Bancorp, Inc. 3,060 197,064
Commerce Bancshares, Inc. 4,385 220,127
Commercial Bankshares, Inc. 356 13,706
6
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Banks (continued) Commercial National Financial Corp. 100 $ 2,200
Community Bank of Northern Virginia 600 10,800
Community Bank System, Inc. 1,600 45,200
Community Banks, Inc. 488 13,742
Community Trust Bancorp, Inc. 880 28,477
Corus Bankshares, Inc. 1,500 72,015
Cullen/Frost Bankers, Inc. 3,440 167,184
Doral Financial Corp. 6,750 332,437
EFC Bancorp, Inc. 900 23,391
East-West Bancorp, Inc. 3,690 154,832
Exchange National Bancshares, Inc. 250 7,218
FFLC Bancorp, Inc. 350 12,285
FNB Corp. 300 5,721
FNB Corp. 2,769 56,377
FNB Corp. 300 8,508
FNB Financial Services Corp. 1,125 25,650
Farmers Capital Bank Corp. 300 12,282
+ Fidelity Federal Bancorp 1,200 2,232
Financial Institutions, Inc. 100 2,325
First Bancorp 1,950 123,844
First Bancorp 600 16,302
First Busey Corp. 750 15,653
+ First Cash Financial Services, Inc. 1,800 48,078
First Charter Corp. 700 18,319
First Citizens BancShares, Inc. Class A 600 88,950
First Commonwealth Financial Corp. 3,200 49,248
First Federal Bancorp, Inc. 400 5,280
First Federal Bancshares of Arkansas, Inc. 1,200 26,268
First Financial Bancorp 1,710 29,925
First Financial Bankshares, Inc. 350 15,683
First Financial Service Corp. 270 6,988
First M&F Corp. 300 10,155
First Merchants Corp. 115 3,254
First Midwest Bancorp, Inc. 2,175 78,931
First Mutual Bancshares, Inc. 1,210 30,637
First National Bankshares of Florida, Inc. 3,052 72,943
First Niagara Financial Group, Inc. 4,966 69,276
First Oak Brook Bancshares, Inc. 450 14,584
The First of Long Island Corp. 200 9,956
First Republic Bank 800 42,400
First South Bancorp, Inc. 400 10,256
First State Bancorporation 1,200 44,112
FirstBank NW Corp. 542 15,398
FirstMerit Corp. 4,900 139,601
Flag Financial Corp. 500 7,565
+ Franklin Bank Corp. 1,500 27,375
Frontier Financial Corp. 400 15,444
Foothill Independent Bancorp 400 9,392
Fulton Financial Corp. 7,951 185,338
German American Bancorp 561 9,032
Gold Banc Corp., Inc. 3,900 57,018
Great Southern Bancorp, Inc. 600 21,000
Greater Bay Bancorp 3,764 104,940
Greater Community Bancorp 435 7,143
Hancock Holding Co. 1,500 50,190
Hanmi Financial Corp. 2,478 89,059
Harbor Florida Bancshares, Inc. 1,400 48,454
Harleysville National Corp. 1,541 40,991
+ Heritage Commerce Corp. 700 13,314
Hibernia Corp. Class A 9,200 271,492
Home Federal Bancorp 1,200 30,263
Horizon Financial Corp. 500 10,290
Hudson City Bancorp, Inc. 11,820 435,212
Hudson United Bancorp 3,440 135,467
Independent Bank Corp. 800 27,000
Integra Bank Corp. 1,000 23,110
Interchange Financial Services Corp. 650 16,848
Irwin Financial Corp. 1,500 42,585
Jefferson Bancshares, Inc. 2,500 32,875
LSB Bancshares, Inc. 500 8,375
MASSBANK Corp. 250 9,363
Main Street Banks, Inc. 1,000 34,930
MainSource Financial Group, Inc. 363 8,676
Mercantile Bankshares Corp. 5,077 265,019
Merchants Bancshares, Inc. 350 10,150
Mid-State Bancshares 1,400 40,110
Midwest Banc Holdings, Inc. 1,000 21,870
MutualFirst Financial, Inc. 300 7,305
NBT Bancorp, Inc. 1,360 34,979
7
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Banks (continued) NSD Bancorp, Inc. 120 $ 4,356
Nara Bancorp, Inc. 2,900 61,683
National Penn Bancshares, Inc. 787 21,800
Netbank, Inc. 2,900 30,189
North Valley Bancorp 1,500 29,145
Northern States Financial Corp. 300 8,895
Norwood Financial Corp. 150 5,302
OceanFirst Financial Corp. 700 17,255
Ohio Valley Banc Corp. 700 22,750
Old National Bancorp 4,126 106,698
Old Second Bancorp, Inc. 800 25,504
Omega Financial Corp. 546 18,720
Oriental Financial Group 1,295 36,653
PFF Bancorp, Inc. 1,640 75,981
Pamrapo Bancorp, Inc. 1,000 24,730
Park National Corp. 630 85,365
Parkvale Financial Corp. 300 8,637
Peapack Gladstone Financial Corp. 363 11,453
Pennfed Financial Services, Inc. 800 12,864
Peoples Bancorp 200 4,250
Peoples Bancorp, Inc. 595 16,321
Peoples Bancorp of North Carolina, Inc. 200 3,854
Peoples Banctrust Co., Inc. 1,120 17,965
People's Bank 5,342 207,750
Peoples Financial Corp. 1,200 21,444
Popular, Inc. 16,600 478,578
PrivateBancorp, Inc. 2,000 64,460
Prosperity Bancshares, Inc. 1,100 32,131
Provident Bancorp, Inc. 2,603 34,334
Provident Bankshares Corp. 2,856 103,873
Provident Financial Hldgs. 400 11,540
Provident Financial Services, Inc. 589 11,409
Republic Bancorp, Inc. Class A 975 25,058
Republic Bancorp, Inc. 3,330 50,882
Riggs National Corp. 2,940 62,504
Royal Bancshares of Pennsylvania Class A 535 14,442
+ S1 Corp. 6,000 54,360
S&T Bancorp, Inc. 1,500 56,535
SY Bancorp, Inc. 200 4,820
Sandy Spring Bancorp, Inc. 650 24,915
Savannah Bancorp, Inc. 151 4,046
Seacoast Banking Corp. of Florida 870 19,358
Shore Bancshares, Inc. 300 10,836
+ Signature Bank 600 19,416
+ Silicon Valley Bancshares 2,275 101,966
Simmons First National Corp. Class A 400 11,580
Sky Financial Group, Inc. 5,504 157,800
The South Financial Group, Inc. 6,055 196,969
Southwest Bancorp, Inc. 700 17,136
Southwest Bancorp of Texas, Inc. 4,000 93,160
Southwest Georgia Financial Corp. 132 2,970
State Bancorp, Inc. 438 12,045
State Financial Services Corp. Class A 400 12,040
Sterling Bancshares, Inc. 3,950 56,367
Suffolk Bancorp 700 24,381
Summit Bancshares, Inc. 400 15,000
+ Sun Bancorp, Inc. 798 19,934
SunTrust Banks, Inc. 1 57
Susquehanna Bancshares, Inc. 1,972 49,201
TCF Financial Corp. 8,890 285,725
Texas Regional Bancshares, Inc. Class A 2,925 95,589
Tompkins Trustco, Inc. 440 23,536
Trico Bancshares 900 21,060
Trustco Bank Corp. 3,960 54,608
Trustmark Corp. 3,000 93,210
UCBH Holdings, Inc. 3,375 154,643
UMB Financial Corp. 1,310 74,225
U.S.B Holding Co., Inc. 838 20,864
Umpqua Holdings Corp. 4,936 124,437
Union Bankshares Corp. 400 15,372
UnionBanCal Corp. 8,900 573,872
United Bancorp, Inc. 279 4,115
United Bankshares, Inc. 3,400 129,710
United Community Financial Corp. 1,632 18,278
Unizan Financial Corp. 1,232 32,463
Vail Banks, Inc.(f) 1,200 15,600
Valley National Bancorp 5,248 145,107
+ Virginia Commerce Bancorp 1,625 46,020
WSFS Financial Corp. 500 30,160
8
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Banks (concluded) Washington Trust Bancorp, Inc. 800 $ 23,448
WesBanco, Inc. 1,200 38,364
West Coast Bancorp 800 20,328
Westamerica Bancorporation 1,800 104,958
Westcorp 3,121 143,348
Whitney Holding Corp. 2,550 114,725
Wilmington Trust Corp. 3,900 140,985
Wintrust Financial Corp. 1,650 93,984
Yardville National Bancorp 1,600 54,816
------------
12,452,457
- -----------------------------------------------------------------------------------------------------------------------------------
Business Machines - 2.2% + 3Com Corp. 21,790 90,864
+ 3D Systems Corp. 600 12,030
+ ActivCard Corp. 3,700 32,930
+ Adaptec, Inc. 9,400 71,346
+ Advanced Digital Information Corp. 5,200 52,104
American Software Class A 3,400 20,502
Analogic Corp. 1,400 62,706
+ Applied Films Corp. 900 19,404
+ Arbitron, Inc. 2,500 97,950
+ Artesyn Technologies, Inc. 3,100 35,030
+ Ascential Software Corp. 4,190 68,339
+ Avici Systems, Inc. 1,915 17,331
+ Avocent Corp. 2,700 109,404
+ BEA Systems, Inc. 25,340 224,512
Black Box Corp. 1,400 67,228
+ Borland Software Corp. 4,800 56,064
+ Brooktrout, Inc. 2,100 25,221
California First National Bancorp 600 7,494
+ Communication Intelligence 700 416
+ Computer Horizons Corp. 1,900 7,239
+ Concurrent Computer Corp. 3,900 11,154
+ Convera Corp. 2,100 9,786
+ CoSine Communications, Inc. 410 1,140
+ Cray, Inc. 5,100 23,766
+ Crossroads Systems, Inc. 1,100 1,607
Diebold, Inc. 4,100 228,493
+ Digital Lightwave, Inc.(f) 3,600 4,716
+ Enterasys Networks, Inc. 12,600 22,680
+ Exabyte Corp. 300 123
+ Extended Systems, Inc. 100 246
Fair Isaac Corp. 4,051 148,591
+ Flow International Corp. 900 2,691
+ Foundry Networks, Inc. 8,300 109,228
+ General Binding Corp. 500 6,570
+ Hanger Orthopedic Group, Inc. 2,900 23,490
+ Hypercom Corp. 3,000 17,760
IKON Office Solutions, Inc. 9,200 106,352
+ Imagistics International, Inc. 900 30,294
+ Immersion Corp. 200 1,458
+ Input/Output, Inc. 4,900 43,316
+ Integrated Device Technology, Inc. 4,900 56,644
+ Intergraph Corp. 3,016 81,221
+ Interland, Inc. 3,250 10,627
+ InterVoice, Inc. 1,900 25,365
+ Iomega Corp. 3,060 16,952
+ Island Pacific, Inc.(f) 6,800 3,264
+ Juniper Networks, Inc. 32,747 890,391
+ LTX Corp. 2,800 21,532
+ Lantronix, Inc. 2,100 2,121
+ MIPS Technologies, Inc. 2,000 19,700
+ MSC.Software Corp. 1,300 13,611
+ MTI Technology Corp. 200 536
+ Maxtor Corp. 13,412 71,084
+ McData Corp. 5,000 29,800
+ Media 100, Inc. 200 1
Microchip Technology, Inc. 10,949 291,900
+ Micromuse, Inc. 4,700 26,085
+ Micros Systems, Inc. 1,700 132,702
+ Napster Inc. (f) 5,000 47,000
+ Network Engines, Inc. 7,500 20,925
+ Omnicell, Inc. 500 5,500
+ PTEK Holdings, Inc. 3,385 36,253
+ PalmOne, Inc.(f) 2,963 93,483
+ Procom Technology, Inc. 100 215
+ Pure World, Inc. 1,300 2,002
+ Sandisk Corp. 9,090 226,977
+ Scansource, Inc. 600 37,296
+ Scientific Technologies, Inc. 300 1,266
+ Sigma Designs, Inc.(f) 3,300 32,782
9
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Machines (concluded) + Silicon Graphics, Inc.(f) 15,600 $ 26,988
+ Storage Technology Corp. 5,800 183,338
+ SumTotal Systems, Inc. 445 2,314
+ Sybase, Inc. 5,655 112,817
+ Tech Data Corp. 1,300 59,020
+ Titan Corp. 6,000 97,200
Total System Services, Inc. 11,100 269,730
+ Transact Technologies, Inc. 940 20,078
+ Trans-Industries, Inc. 100 206
+ Visual Networks, Inc. 1,300 4,498
+ Vitria Technology, Inc. 2,075 8,736
+ White Electronic Designs Corp. 3,100 19,623
------------
4,873,358
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services -11.6% + @Road Inc. 4,900 33,859
+ 24/7 Real Media, Inc. 1,940 8,517
+ 4Kids Entertainment, Inc. 600 12,612
ABM Industries, Inc. 2,900 57,188
+ AMN Healthcare Services, Inc. 1,720 27,365
+ Accrue Software, Inc. 300 0
+ Actuate Corp. 3,700 9,435
+ Adept Technology, Inc. 200 288
+ Administaff, Inc. 1,800 22,698
+ Advent Software, Inc. 2,500 51,200
+ The Advisory Board Co. 900 33,192
Advo, Inc. 1,800 64,170
+ Aether Systems, Inc. 2,600 8,710
+ Affymetrix, Inc. 3,560 130,118
+ Agile Software Corp. 3,100 25,327
+ Akamai Technologies, Inc. 8,000 104,240
+ Aksys Ltd.(f) 1,800 10,008
+ Alliance Data Systems Corp. 4,000 189,920
+ The Allied Defense Group, Inc. 1,000 22,250
+ Alteon, Inc. 2,500 3,275
+ Altiris, Inc. 1,600 56,688
Ambassadors Group, Inc. 300 10,683
Ambassadors International, Inc. 600 9,438
+ America Online Latin America, Inc. Class A 15,500 11,470
American Ecology Corp. 1,460 17,520
+ American Independence Corp. 48 701
+ American Superconductor Corp. 1,100 16,379
+ Analysts International Corp. 200 800
+ Ansoft Corp. 500 10,100
+ answerthink, Inc. 2,400 11,184
+ Ansys, Inc. 2,800 89,768
+ Anteon International Corp. 1,400 58,604
+ aQuantive, Inc. 4,545 40,632
Aramark Corp. 7,690 203,862
+ Arena Pharmaceuticals, Inc. 3,340 22,345
+ Ariba, Inc. 3,654 60,656
+ Art Technology Group, Inc. 8,571 12,856
+ Artemis International Solutions Corp. 12 35
+ Ask Jeeves 3,460 92,555
+ Aspen Technology, Inc. 4,000 24,840
+ Atari Inc. 8,600 25,198
+ Authentidate Holding Corp. 1,900 11,761
+ The BISYS Group, Inc. 5,600 92,120
+ Bankrate, Inc. 900 12,465
+ Baran Group Ltd. 102 592
+ Barrett Business Services 400 5,512
+ BearingPoint, Inc. 9,900 79,497
+ Bestway, Inc. 300 3,450
+ BindView Development Corp. 7,300 31,755
+ Blue Coat Systems, Inc. 1,070 19,913
+ Blue Martini Software, Inc. 1,400 3,767
+ Bottomline Technologies, Inc. 100 1,449
Bowne & Co., Inc. 2,100 34,146
+ Bright Horizons Family Solutions, Inc. 700 45,332
The Brink's Co. 3,300 130,416
+ BroadVision, Inc.(f) 1,988 5,487
+ Brocade Communications Systems, Inc. 15,400 117,656
+ Bsquare Corp. 4,600 6,854
+ CACI International, Inc. Class A 1,700 115,821
CDI Corp. 1,200 25,656
CDW Corp. 4,845 321,466
+ CSG Systems International 3,865 72,275
+ Career Education Corp. 5,668 226,720
+ Carreker Corp. 1,400 12,040
Cascade Corp. 1,500 59,925
+ Casella Waste Systems, Inc. 1,100 16,104
10
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services (continued) Catalina Marketing Corp. 2,200 $ 65,186
+ Catapult Communications Corp. 500 12,080
+ Cell Genesys, Inc. 3,550 28,755
+ Centra Software, Inc. 1,000 2,340
+ Century Business Services, Inc. 4,545 19,816
Cerbco, Inc. Class A 500 4,875
+ Ceridian Corp. 8,400 153,552
+ Cerner Corp. 1,400 74,438
Certegy, Inc. 3,600 127,908
+ Charles River Associates, Inc. 1,400 65,478
+ Checkfree Corp. 4,790 182,403
+ ChoicePoint, Inc. 5,333 245,265
+ Chordiant Software, Inc. 4,100 9,348
+ Ciber, Inc. 3,800 36,632
+ Clarus Corp. 200 1,800
+ Clean Harbors, Inc. 2,400 36,192
+ Click Commerce, Inc. 2,200 35,354
+ Closure Medical Corp. 800 15,600
+ Cognizant Technology Solutions Corp. 7,400 313,242
+ Commerce One, Inc.(f) 4,960 893
Computer Programs & Systems, Inc. 500 11,575
+ Concord Communications, Inc. 1,090 12,077
+ Concur Technologies, Inc. 1,900 16,929
+ Connetics Corp. 2,100 51,009
+ Copart, Inc. 5,250 138,180
+ Corillian Corp. 2,200 10,824
+ Corinthian Colleges, Inc. 7,035 132,574
+ Corio, Inc. 400 772
+ Cornell Cos., Inc. 700 10,626
Corporate Executive Board Co. 2,800 187,432
+ CoStar Group, Inc. 1,100 50,798
Courier Corp. 225 11,682
+ Covansys Corp. 1,400 21,420
+ Critical Path, Inc. 225 331
+ Cross Country Healthcare, Inc. 3,100 56,048
+ CuraGen Corp. 2,300 16,468
+ Cybersource Corp. 3,700 26,455
+ DSL.Net, Inc. 1,000 220
+ DST Systems, Inc. 5,200 271,024
+ Datastream Systems, Inc. 1,200 8,316
+ Deltathree, Inc. Class A 100 329
+ Dendrite International, Inc. 2,100 40,740
+ DeVry, Inc. 4,100 71,176
+ Digimarc Corp. 1,200 11,184
+ Digital Generation Systems 4,400 5,500
+ Digital Impact, Inc. 200 284
+ Digital Insight Corp. 2,500 46,000
+ Digital River, Inc. 1,400 58,254
+ Digitas, Inc. 3,279 31,314
+ Discovery Partners International, Inc. 1,200 5,700
+ Diversa Corp. 2,300 20,102
+ DocuCorp International, Inc. 2,500 23,750
+ Dot Hill Systems Corp. 3,900 30,576
+ DoubleClick, Inc. 7,200 56,016
+ Dun & Bradstreet Corp. 4,200 250,530
+ Dyax Corp. 3,000 21,660
+ E-Loan, Inc. 5,000 16,900
+ EPIQ Systems, Inc. 1,100 16,104
+ EVCI Career Colleges Holding Corp. 1,775 16,969
+ Earthlink, Inc. 9,600 110,592
+ EasyLink Services Corp. Class A 50 72
+ Echelon Corp. 2,500 21,100
+ Eclipsys Corp. 2,500 51,075
+ eCollege.com, Inc. 2,300 26,128
+ Education Management Corp. 4,200 138,642
+ eFunds Corp. 3,100 74,431
+ Egain Communications Corp. 20 19
+ eLoyalty Corp. 40 235
+ Embarcadero Technologies, Inc. 1,100 10,351
+ Encysive Pharmaceuticals, Inc. 3,100 30,783
+ eMerge Interactive, Inc. Class B(f) 9,400 14,946
+ Ener1, Inc. 3,600 2,736
+ Entrust, Inc. 600 2,274
+ Epicor Software Corp. 2,900 40,861
+ E.piphany, Inc. 4,650 22,459
+ eResearch Technology, Inc. 2,875 45,569
+ Euronet Worldwide, Inc. 2,545 66,221
+ Evolve Software, Inc. 102 0
11
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services (continued) + Evolving Systems, Inc. 3,200 $ 14,368
+ Exchange Applications, Inc. 13 0
+ Exelixis, Inc. 3,800 36,100
+ Exponent, Inc. 700 19,243
+ F5 Networks, Inc. 2,100 102,312
+ FTI Consulting, Inc. 2,050 43,193
Factset Research Systems, Inc. 1,700 99,348
+ Falcon Products, Inc. 300 63
+ FalconStor Software, Inc.(f) 2,800 26,796
+ Fargo Electronics, Inc. 800 11,991
Federal Agricultural Mortgage Corp. Class A 900 15,480
+ Filenet Corp. 3,005 77,409
+ FindWhat.com 1,700 30,141
+ First Consulting Group, Inc. 1,500 9,165
+ Five Star Quality Care, Inc. 8 68
+ Forrester Research, Inc. 1,200 21,528
+ Franklin Covey Co. 800 1,952
G&K Services, Inc. Class A 1,800 78,156
GTECH Holdings Corp. 6,400 166,080
+ GTSI Corp. 1,700 17,867
+ Gaiam, Inc. 460 2,829
+ Gartner, Inc. Class B 2,600 31,954
+ Genaissance Pharmaceuticals 900 1,917
+ Genencor International, Inc. 2,200 36,080
+ General Magic, Inc. 35 -
+ Gentiva Health Services, Inc. 2,900 48,488
+ The Geo Group, Inc. 600 15,948
+ Geoworks Corp. 200 8
Gevity HR, Inc. 1,600 32,896
+ Gliatech, Inc. 100 -
+ Global Imaging Systems, Inc. 2,000 79,000
Global Payments, Inc. 2,360 138,154
+ Google, Inc. 16,300 3,147,530
Grey Global Group, Inc. 79 86,899
+ Harris Interactive, Inc. 3,400 26,860
Harte-Hanks, Inc. 4,100 106,518
+ Heidrick & Struggles International, Inc. 1,800 61,686
+ Hewitt Associates, Inc. Class A 6,220 199,102
+ Hudson Highland Group, Inc. 1,200 34,560
+ Hyperion Solutions Corp. 1,953 91,049
+ IAC/InterActiveCorp 41,472 1,145,457
+ ICT Group, Inc. 800 7,769
+ ID Systems, Inc. 1,500 27,990
+ IDT Corp. Class B 800 12,384
+ IDX Systems Corp. 1,400 48,244
+ IPIX Corp.(f) 1,580 9,164
+ ITT Educational Services, Inc. 3,110 147,881
+ Icoria, Inc. 1,300 819
+ Identix, Inc. 6,390 47,158
+ iGate Corp. 2,100 8,505
+ I-many, Inc. 2,800 4,200
+ The Immune Response Corp. 350 560
+ Indus International, Inc. 1,400 2,995
+ InFocus Corp. 3,900 35,724
+ Infonet Services Corp. Class B 7,700 15,554
+ Informatica Corp. 3,200 25,984
+ Information Architects Corp. 26 3
+ Inforte Corp. 2,700 21,276
+ Infospace, Inc. 1,840 87,492
+ infoUSA, Inc. 1,300 14,547
+ Innovative Solutions & Support, Inc. 1,595 53,209
+ Insurance Auto Auctions, Inc. 700 15,694
+ Insweb Corp. 83 228
Integral Systems, Inc. 600 11,670
+ Integrated Alarm Services Group, Inc.(f) 3,700 20,239
+ Intelligroup, Inc. 3,800 4,560
+ Intellisync Corp.(f) 4,000 8,160
+ Interactive Intelligence, Inc. 600 2,700
+ Internap Network Services Corp. 15,800 14,694
+ Internet Security Systems 2,500 58,125
+ Intersections, Inc. 100 1,725
+ Interwoven, Inc. 2,800 30,464
+ Intevac, Inc. 1,200 9,072
+ Intrado, Inc. 900 10,890
+ Intrusion, Inc. 25 69
+ Invitrogen Corp. 3,300 221,529
+ Iron Mountain, Inc. 7,950 242,395
12
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services (continued) + iVillage, Inc. 1,400 $ 8,652
+ JDA Software Group, Inc. 2,900 39,498
Jack Henry & Associates, Inc. 5,100 101,541
+ Jacobs Engineering Group, Inc. 3,385 161,769
John H Harland Co. 1,700 61,370
+ Jupitermedia Corp. 2,600 61,828
+ Kana Software, Inc. 1,821 3,442
+ Keane, Inc. 3,636 53,449
+ Keith Cos., Inc. 100 1,739
Kelly Services, Inc. Class A 2,000 60,360
+ Keynote Systems, Inc. 500 6,960
+ Kforce, Inc. 1,870 20,757
+ Kinder Morgan Management LLC 2,487 101,221
+ Knology, Inc. 400 1,564
+ Korn/Ferry International 3,000 62,250
+ Kronos, Inc. 1,875 95,869
+ LQ Corp., Inc. 42 75
+ Labor Ready, Inc. 2,500 42,300
+ Lamar Advertising Co. Class A 5,507 235,589
+ Laureate Education, Inc. 3,400 149,906
+ Lawson Software, Inc. 3,300 22,671
+ Layne Christensen Co. 2,000 36,300
+ Learning Care Group, Inc. 300 951
+ Learning Tree International, Inc. 1,000 13,400
+ Level 8 Systems, Inc. 100 13
+ Lightbridge, Inc. 2,219 13,403
+ Lionbridge Technologies 2,800 18,816
+ Looksmart 6,410 14,038
+ Loudeye Corp. 11,000 22,550
+ Luminex Corp. 1,200 10,656
+ Lydall, Inc. 1,000 11,860
+ MAXIMUS, Inc. 900 28,008
+ MPS Group, Inc. 4,600 56,396
+ MPW Industrial Services Group, Inc. 800 2,032
+ MRO Software, Inc. 1,300 16,926
+ Macrovision Corp. 2,690 69,187
+ Magma Design Automation, Inc. 2,040 25,622
+ Management Network Group, Inc. 3,900 9,165
+ Manhattan Associates, Inc. 1,500 35,820
Manpower, Inc. 3,216 155,333
+ Mantech International Corp. Class A 1,895 44,987
+ Manugistics Group, Inc. 4,900 14,063
+ Mapinfo Corp. 1,200 14,376
+ Marchex, Inc. Class B 400 8,400
+ MarketWatch, Inc. 900 16,200
+ Matria Healthcare, Inc. 1,325 51,768
+ Matrixone, Inc. 2,900 18,995
+ Maxygen, Inc. 1,600 20,464
+ McAfee, Inc. 9,477 274,170
+ Mechanical Technology, Inc. 4,100 25,211
+ Medical Staffing Network Holdings, Inc. 1,800 14,742
+ Mentor Graphics Corp. 4,100 62,689
+ Merge Technologies, Inc. 800 17,792
+ Meta Group, Inc. 100 980
+ MetaSolv, Inc. 1,900 5,035
+ Metro One Telecommunications(f) 3,700 5,883
+ Michael Baker Corp. 400 7,840
+ MicroStrategy, Inc. Class A 1,390 83,748
+ Microvision, Inc.(f) 1,300 9,100
+ Millennium Cell, Inc. 3,700 4,625
+ Mindspeed Technologies, Inc. 5,966 16,585
+ Miravant Medical Technologies 2,800 2,744
+ Moldflow Corp. 400 6,360
MoneyGram International, Inc. 5,100 107,814
+ NAVTEQ Corp. 3,300 152,988
+ NCO Group, Inc. 1,837 47,486
NDCHealth Corp. 2,200 40,898
+ NIC, Inc. 3,200 16,256
+ NMS Communications Corp. 1,400 8,834
+ NMT Medical, Inc. 900 4,455
+ NVE Corp.(f) 800 22,240
+ NYFIX, Inc. 1,900 11,761
+ Nassda Corp. 1,600 11,040
National Instruments Corp. 4,500 122,625
+ Natural Health Trends Corp. 240 2,640
Nautilus Group, Inc. 2,000 48,340
+ Navigant Consulting, Inc. 2,700 71,820
+ Navisite, Inc. 13 34
+ NeighborCare, Inc. 3,100 95,232
+ Neoforma, Inc. 1,220 9,382
13
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services (continued) + Neon Systems, Inc. 100 $ 356
+ NeoRx Corp. 200 418
+ Net Perceptions, Inc. 400 296
+ NetFlix, Inc.(f) 3,820 47,101
+ Netguru, Inc. 100 133
+ NetIQ Corp. 2,796 34,139
+ Netmanage, Inc. 57 368
+ Netratings, Inc. 1,900 36,423
+ Netscout Systems, Inc. 200 1,396
+ NetSol Technologies, Inc. 20 53
+ New Century Equity Holdings Corp. 200 60
+ New Frontier Media, Inc. 3,000 23,757
+ New Horizons Worldwide, Inc. 400 2,244
+ Niku Corp. 60 1,210
+ Nuance Communications, Inc. 2,100 8,694
+ Onyx Software Corp. 650 2,080
+ On Assignment, Inc. 4,200 21,798
+ On2 Technologies, Inc. 200 126
+ Onvia, Inc. 60 379
+ Open Solutions, Inc. 1,000 25,960
+ Openwave Systems, Inc. 3,761 58,145
+ Opnet Technologies, Inc. 1,200 10,104
+ Opsware, Inc. 4,400 32,296
Option Care, Inc. 1,225 21,058
+ Orbital Sciences Corp. 2,900 34,307
+ Orchid BioSciences, Inc. 1,545 17,768
+ Overland Storage, Inc. 800 13,352
+ PC Mall, Inc. 100 2,238
+ PC-Tel, Inc. 1,100 8,723
+ PDI, Inc. 900 20,052
+ PLATO Learning, Inc. 1,391 10,363
+ PRG-Schultz International, Inc. 5,700 28,671
+ Packeteer, Inc. 2,000 28,900
+ Pac-West Telecomm, Inc. 2,900 3,828
+ PalmSource, Inc. 1,369 17,441
+ Paxar Corp. 3,500 77,595
+ Pec Solutions, Inc. 600 8,502
+ Pegasus Solutions, Inc. 2,800 35,280
+ Pegasystems, Inc. 500 4,265
+ Perot Systems Corp. Class A 6,500 104,195
+ Per-Se Technologies, Inc. 3,000 47,490
+ Phoenix Technologies Ltd. 3,700 30,562
+ Pixar 4,145 354,853
+ Polycom, Inc. 5,229 121,940
+ Pomeroy IT Solutions, Inc. 2,300 34,983
+ Portal Software, Inc. 1,500 3,975
Pre-Paid Legal Services, Inc.(f) 1,030 38,677
+ Priceline.com, Inc.(f) 2,233 52,676
+ Progress Software Corp. 2,900 67,715
+ ProQuest Co. 1,700 50,490
+ ProsoftTraining 200 80
+ Protection One, Inc. 5,100 1,836
QAD, Inc. 1,700 15,164
+ Quality Systems, Inc. 400 23,920
+ Quest Software, Inc. 4,400 70,180
Quixote Corp. 500 10,165
+ Quotesmith.com, Inc. 366 1,819
+ Quovadx, Inc. 1,500 3,585
+ RH Donnelley Corp. 1,400 82,670
RPC, Inc. 1,800 45,216
+ RSA Security, Inc. 2,400 48,144
+ Radiant Systems, Inc. 1,800 11,718
Raven Industries, Inc. 600 12,786
+ RealNetworks, Inc. 6,800 45,016
+ Red Hat, Inc.(f) 11,300 150,855
+ Register.com 1,497 9,506
+ Remedytemp, Inc. Class A 400 4,100
Renaissance Learning, Inc. 1,700 31,552
Republic Services, Inc. Class A 9,200 308,568
+ Resources Connection, Inc. 1,900 103,189
+ Retek, Inc. 3,100 19,065
The Reynolds & Reynolds Co. Class A 4,300 113,993
+ Rigel Pharmaceuticals, Inc. 1,765 43,101
+ Rural Cellular Corp. Class A 400 2,492
+ SAVVIS Communications Corp. 600 696
+ The SCO Group, Inc. 2,415 10,143
+ SFBC International, Inc. 750 29,625
+ SM&A 2,600 22,181
+ SPAR Group, Inc. 1,400 1,456
+ SPSS, Inc. 709 11,089
14
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services (continued) + SRA International, Inc. Class A 1,000 $ 64,200
SS&C Technologies, Inc. 1,160 23,954
+ SYKES Enterprises, Inc. 2,400 16,680
+ Saba Software, Inc. 875 3,500
+ SafeNet, Inc. 1,434 52,685
+ Sagent Technology, Inc. 200 4
+ Salesforce.com, Inc.(f) 2,800 47,432
+ Salon Media Group, Inc. 600 66
+ Sapient Corp. 7,400 58,534
+ Scientific Learning Corp. 100 600
+ Seachange International, Inc. 1,600 27,904
+ Secure Computing Corp. 2,100 20,958
+ Seebeyond Technology Corp. 3,800 13,604
+ Selectica, Inc. 5,700 20,406
+ Sequenom, Inc. 2,000 2,880
+ Serena Software, Inc. 3,300 71,412
The ServiceMaster Co. 17,900 246,841
+ Sirius Satellite Radio, Inc.(f) 74,225 567,821
+ Sitel Corp. 3,800 9,348
+ Smartserv Online, Inc. 16 34
+ Sonic Foundry, Inc. 300 465
+ SonicWALL, Inc. 3,400 21,488
+ Sourcecorp 1,200 22,932
Spartech Corp. 1,200 32,508
+ Spherion Corp. 3,600 30,240
The Standard Register Co. 1,400 19,768
Startek, Inc. 1,500 42,675
+ Stericycle, Inc. 2,900 133,255
+ Storage Computer Corp. 100 23
+ Stratasys, Inc. 1,120 37,587
+ Strategic Diagnostics, Inc. 6,000 21,000
Strayer Education, Inc. 800 87,832
+ TheStreet.com, Inc. 1,500 6,120
+ SupportSoft, Inc. 4,400 29,304
+ Sycamore Networks, Inc. 16,500 66,990
+ Symyx Technologies 2,300 69,184
+ Synopsys, Inc. 8,805 172,754
+ Synplicity, Inc. 1,600 9,472
Syntel, Inc. 1,200 21,048
Sypris Solutions, Inc. 600 9,186
+ TIBCO Software, Inc. 14,400 192,096
+ TNS, Inc. 600 13,110
+ TRC Cos., Inc. 600 10,200
Talx Corp. 1,455 37,524
+ Tapestry Pharmaceuticals, Inc. 8,800 8,536
+ Technology Solutions Co. 300 333
+ TeleCommunication Systems, Inc. Class A 200 668
+ TeleTech Holdings, Inc. 4,500 43,605
+ Telik, Inc. 2,830 54,166
+ Tenfold Corp. 200 180
+ TeraForce Technology Corp. 600 90
+ Tetra Tech, Inc. 3,225 53,987
+ Tetra Technologies, Inc. 2,150 60,845
+ Tier Technologies, Inc. Class B 900 8,325
Track Data Corp. 12,500 11,875
+ TradeStation Group, Inc. 2,500 17,550
+ Transaction Systems Architects, Inc. Class A 2,800 55,580
+ Trident Microsystems, Inc. 1,950 32,604
+ Trizetto Group 800 7,600
+ Tumbleweed Communications Corp. 277 925
+ UNOVA, Inc. 4,200 106,218
+ URS Corp. 1,600 51,360
+ Ultimate Software Group, Inc. 1,200 15,216
+ United Online, Inc. 3,853 44,425
+ Universal Access Global Holdings, Inc. 645 113
+ Universal Electronics, Inc. 600 10,560
+ Universal Technical Institute, Inc. 1,055 40,217
+ VA Software Corp. 7,300 18,250
+ VI Technologies, Inc.(f) 5,036 3,273
+ Valueclick, Inc. 5,777 77,007
+ Vasco Data Security International 200 1,292
+ Vastera, Inc. 2,500 6,575
+ Ventiv Health, Inc. 2,180 44,298
+ Verint Systems, Inc. 1,800 65,394
+ VeriSign, Inc. 15,258 511,448
+ Verisity Ltd. 1,300 10,660
+ Verity, Inc. 2,685 35,227
+ Versata, Inc. 50 135
+ Verso Technologies, Inc. 570 410
+ Vertel Corp. 300 2
15
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services (concluded) + VerticalNet, Inc. 460 $ 741
+ Vertrue, Inc.(f) 1,400 52,878
Viad Corp. 1,350 38,462
+ The viaLink Co. 200 9
+ Via Net.Works, Inc. 16,800 14,112
+ Viewpoint Corp. 6,030 18,693
+ Vignette Corp. 17,300 24,047
+ Viisage Technology, Inc. 3,500 31,535
+ VitalWorks, Inc. 2,700 12,015
+ Volt Information Sciences, Inc. 600 17,634
+ Waste Connections, Inc. 2,750 94,188
+ WatchGuard Technologies 2,000 8,860
Watson Wyatt & Co. Holdings 1,640 44,198
+ Wave Systems Corp. Class A 2,000 2,280
+ WebEx Communications, Inc. 2,700 64,206
+ WebMD Corp. 19,060 155,530
+ webMethods, Inc. 3,200 23,072
+ Websense, Inc. 1,600 81,152
+ Weight Watchers International, Inc. 6,650 273,116
+ Westaff, Inc. 500 1,885
+ Wind River Systems, Inc. 5,700 77,235
+ Wireless Facilities, Inc. 3,700 34,928
+ Witness Systems, Inc. 1,100 19,206
+ Worldgate Communications 200 998
+ Wynn Resorts Ltd. 3,400 227,528
+ Xybernaut Corp.(f) 10,000 12,300
+ Zix Corp.(f) 3,400 17,510
------------
25,370,355
- -----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.6% + AEP Industries, Inc. 400 5,932
AMCOL International Corp. 1,500 30,135
Aceto Corp. 950 18,088
Airgas, Inc. 3,400 90,134
Albemarle Corp. 2,600 100,646
+ Anika Therapeutics, Inc. 1,400 12,810
Arch Chemicals, Inc. 500 14,390
+ Bio-Rad Laboratories, Inc. Class A 1,300 74,581
Brady Corp. 900 56,313
Cabot Corp. 3,500 135,380
Calgon Carbon Corp. 2,300 20,884
+ Celgene Corp. 9,980 264,769
Crompton Corp. 5,800 68,440
Cytec Industries, Inc. 1,900 97,698
+ Entegris, Inc. 4,400 43,780
Ferro Corp. 2,400 55,656
+ Foamex International, Inc. 5,100 19,176
+ General Chemical Group, Inc. 4,300 86
Georgia Gulf Corp. 2,000 99,600
HB Fuller Co. 1,700 48,467
Hawkins, Inc. 300 3,552
KMG Chemicals, Inc. 550 3,910
Kronos Worldwide, Inc. 3,167 129,028
+ Landec Corp. 3,600 24,624
Lubrizol Corp. 3,415 125,877
Lyondell Chemical Co. 14,756 426,744
MacDermid, Inc. 1,600 57,760
+ Mace Security International, Inc. 450 2,160
+ Matrixx Initiatives, Inc. 2,100 24,339
+ The Mosaic Co. 11,100 181,152
+ NewMarket Corp. 120 2,388
+ OM Group, Inc. 2,200 71,324
Olin Corp. 3,192 70,288
+ Omnova Solutions, Inc. 1,700 9,554
+ Oxigene, Inc. 2,000 11,000
Penford Corp. 400 6,292
+ PolyOne Corp. 5,500 49,830
Quaker Chemical Corp. 500 12,420
RPM International, Inc. 6,800 133,688
+ Rogers Corp. 1,000 43,100
Rollins, Inc. 2,600 68,432
Schawk, Inc. 1,100 19,998
Schulman A, Inc. 3,000 64,230
Sensient Technologies Corp. 3,200 76,768
Stepan Co. 400 9,744
+ TOR Minerals International, Inc. 1,300 7,670
Terra Nitrogen Co. LP 2,700 60,237
Tredegar Corp. 1,600 32,336
+ Trex Co., Inc. 1,100 57,684
Valspar Corp. 2,900 145,029
WD-40 Co. 1,900 53,979
+ WR Grace & Co. 6,800 92,548
16
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Chemicals (concluded) Wellman, Inc. 4,600 $ 49,174
Westlake Chemical Corp. 1,100 36,740
+ Zoltek Cos., Inc.(f) 1,100 16,445
------------
3,437,009
- -----------------------------------------------------------------------------------------------------------------------------------
Communication Equipment - 0.1% + Utstarcom, Inc.(f) 6,000 132,900
- -----------------------------------------------------------------------------------------------------------------------------------
Construction - 2.2% + Ablest, Inc. 400 2,956
Advanced Lighting Technologies, Inc. 200 57
American Woodmark Corp. 1,000 43,680
Ameron International Corp. 400 15,160
Apogee Enterprises, Inc. 2,900 38,889
+ Armstrong Holdings, Inc.(f) 2,500 6,300
Beazer Homes USA, Inc. 88 12,866
Brookfield Homes Corp. 1,900 64,410
Building Material Holding Corp. 2,140 81,941
+ Cavco Industries, Inc. 755 33,937
+ Ceradyne, Inc. 250 14,302
DR Horton, Inc. 12,563 506,414
+ Dominion Homes, Inc. 500 12,611
+ Dycom Industries, Inc. 2,633 80,359
+ EMCOR Group, Inc. 900 40,662
Eagle Materials, Inc. 1,240 107,074
ElkCorp 2,200 75,284
Florida Rock Industries, Inc. 2,650 157,754
Granite Construction, Inc. 1,950 51,870
+ Hovnanian Enterprises, Inc. Class A 3,500 173,320
+ Insituform Technologies, Inc. Class A 1,600 36,272
+ Integrated Electrical Services, Inc. 100 484
International Aluminum Corp. 800 27,080
LS Starrett Co. Class A 300 6,180
LSI Industries, Inc. 750 8,588
Lafarge North America, Inc. 4,400 225,808
Lennar Corp. Class A 7,280 412,630
Levitt Corp. Class A 1,180 36,073
MDC Holdings, Inc. 2,013 174,004
M/I Homes, Inc. 1,500 82,665
Martin Marietta Materials, Inc. 2,800 150,248
+ Mastec, Inc. 1,900 19,209
+ Meritage Homes Corp. 600 67,620
+ NCI Building Systems, Inc. 1,200 45,000
+ NVR, Inc. 423 325,456
Noland Co. 200 9,002
+ Palm Harbor Homes, Inc. 2,400 40,512
+ Patriot Transportation Holding, Inc. 100 4,499
+ Performance Technologies, Inc. 500 4,650
+ Perini Corp. 1,400 23,366
+ Quanta Services, Inc. 6,600 52,800
Ryland Group, Inc. 1,000 57,540
+ SBA Communications Corp. Class A 6,800 63,104
Simpson Manufacturing Co., Inc. 2,000 69,800
Skyline Corp. 100 4,080
Standard-Pacific Corp. 2,600 166,764
Technical Olympic USA, Inc. 2,800 71,064
Texas Industries, Inc. 1,300 81,094
+ Toll Brothers, Inc. 4,300 295,023
+ US Concrete, Inc. 1,400 10,738
+ USG Corp.(f) 3,900 157,053
United Mobile Homes, Inc. 500 7,870
+ WCI Communities, Inc. 2,600 76,440
+ WESCO International, Inc. 1,600 47,424
Walter Industries, Inc. 4,300 145,039
+ West Corp. 3,200 105,952
+ Westell Technologies, Inc. Class A 6,000 40,800
+ William Lyon Homes, Inc. 500 35,120
+ Wilsons The Leather Experts 1,300 5,070
+ Yankee Candle Co., Inc. 2,200 72,996
------------
4,784,963
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer - Durables - 0.7% + American Technology Corp. 1,700 18,785
+ Applica, Inc. 1,665 10,073
Bassett Furniture Industries, Inc. 700 13,738
+ Champion Enterprises, Inc. 4,200 49,644
Compx International, Inc. 300 4,959
Ethan Allen Interiors, Inc. 1,900 76,038
Flexsteel Industries 200 3,530
Furniture Brands International, Inc. 2,700 67,635
+ Gemstar-TV Guide International, Inc. 24,700 146,224
+ Genlyte Group, Inc. 800 68,544
+ Griffon Corp. 2,920 78,840
Haverty Furniture Cos., Inc. 1,100 20,350
+ Helen of Troy Ltd. 2,400 80,664
17
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer - Durables (concluded) + Interface, Inc. Class A 3,400 $ 33,898
Kimball International, Inc. Class B 2,300 34,063
Koss Corp. 200 3,750
La-Z-Boy, Inc. 3,100 47,647
Lifetime Hoan Corp. 400 6,360
+ Mac-Gray Corp. 500 4,045
+ Mohawk Industries, Inc. 3,664 334,340
National Presto Industries, Inc. 400 18,200
+ Restoration Hardware, Inc. 3,705 21,267
+ Rockford Corp. 1,700 3,434
+ The Rowe Cos. 500 2,585
+ Salton, Inc.(f) 600 3,396
+ Select Comfort Corp. 2,100 37,674
Stanley Furniture Co., Inc. 1,000 44,950
Sturm Ruger & Co., Inc. 1,600 14,448
+ Tempur-Pedic International, Inc. 5,700 120,840
Thomas Industries, Inc. 800 31,936
Toro Co. 1,445 117,551
+ United Rentals, Inc. 4,300 81,270
+ Virco Manufacturing 642 4,821
+ Water Pik Technologies, Inc. 600 10,638
+ Wickes, Inc. 300 -
------------
1,616,137
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer - Non-Durables - 0.1% + Alderwoods Group, Inc. 3,900 44,382
Angelica Corp. 500 13,525
+ Candela Corp. 1,100 12,496
+ LECG Corp. 2,400 44,760
+ Rewards Network, Inc. 1,500 10,500
------------
125,663
- -----------------------------------------------------------------------------------------------------------------------------------
Containers - 0.4% + Crown Holdings, Inc. 9,900 136,026
+ Graphic Packaging Corp. 9,900 71,280
Greif, Inc. 1,200 67,200
+ Mobile Mini, Inc. 1,900 62,776
+ Owens-Illinois, Inc. 9,300 210,645
Packaging Dynamics Corp. 500 7,200
Silgan Holdings, Inc. 1,000 60,960
Sonoco Products Co. 5,500 163,075
------------
779,162
- -----------------------------------------------------------------------------------------------------------------------------------
Domestic Oil - 2.6% Amerivest Properties, Inc. 4,400 28,160
Berry Petroleum Co. Class A 500 23,850
+ Cal Dive International, Inc. 3,100 126,325
+ Callon Petroleum Co. 700 10,122
+ Carrizo Oil & Gas, Inc. 3,200 36,160
Chesapeake Energy Corp. 15,100 249,150
+ Clayton Williams Energy, Inc. 500 11,450
+ Comstock Resources, Inc. 2,000 44,100
Consol Energy, Inc. 5,610 230,290
+ Delta Petroleum Corp. 3,335 52,193
Diamond Offshore Drilling 8,700 348,435
Dorchester Minerals LP 400 9,568
+ Edge Petroleum Corp. 1,900 27,702
+ Enbridge Energy Management LLC 1,180 58,142
+ Encore Acquisition Co. 1,000 34,910
+ Energy Partners Ltd. 2,800 56,756
Frontier Oil Corp. 2,800 74,648
+ Global Industries Ltd. 10,030 83,149
Gulf Island Fabrication, Inc. 1,830 39,949
+ Gulfmark Offshore, Inc. 1,200 26,724
+ Harvest Natural Resources, Inc. 2,100 36,267
Holly Corp. 1,600 44,592
+ Houston Exploration Co. 1,400 78,834
+ KCS Energy, Inc. 2,900 42,862
Magellan Midstream Partners 1,300 76,271
+ Magnum Hunter Resources, Inc. 6,350 81,915
+ Matrix Service Co. 1,900 15,314
+ McMoRan Exploration Co.(f) 2,200 41,140
+ Meridian Resource Corp. 4,500 27,225
+ Mission Resources Corp. 4,800 28,032
Murphy Oil Corp. 5,400 434,430
+ National-Oilwell, Inc. 4,700 165,863
+ Newfield Exploration Co. 2,199 129,851
+ PYR Energy Corp. 900 954
Pacific Energy Partners LP 2,100 60,732
+ Parallel Petroleum Corp. 5,900 31,860
Patina Oil & Gas Corp. 4,312 161,700
Patterson-UTI Energy, Inc. 9,410 183,025
+ Petroquest Energy, Inc. 7,100 35,145
Pioneer Natural Resources Co. 8,175 286,943
+ Plains Exploration & Production Co. 5,384 139,984
18
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Domestic Oil (concluded) Pogo Producing Co. 3,600 $ 174,564
Premcor, Inc. 4,800 202,416
+ Pride International, Inc. 7,900 162,266
+ Quicksilver Resources, Inc. 2,820 103,720
+ Remington Oil & Gas Corp. 1,800 49,050
+ Spinnaker Exploration Co. 1,700 59,619
St. Mary Land & Exploration Co. 2,200 91,828
+ Stone Energy Corp. 2,179 98,251
Sunoco Logistics Partners LP 800 34,440
+ Superior Energy Services 2,300 35,443
+ Syntroleum Corp. 4,800 38,544
TEPPCO Partners LP 3,300 129,987
+ Tatham Offshore, Inc. 15,700 16
+ Tesoro Corp. 4,000 127,440
+ Transmontaigne, Inc. 2,000 12,260
+ Ultra Petroleum Corp. 4,100 197,333
+ Universal Compression Holdings, Inc. 2,600 90,766
Valero LP 1,200 71,316
Valley National Gases, Inc. 500 9,000
+ Varco International, Inc. 5,600 163,240
Vintage Petroleum, Inc. 3,900 88,491
+ Whiting Petroleum Corp. 1,100 33,275
------------
5,647,987
- -----------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine - 9.5% + 1-800 Contacts, Inc. 600 13,200
+ AMERIGROUP Corp. 1,100 83,226
+ ATS Medical, Inc. 900 4,194
+ AVANIR Pharmaceuticals Class A 3,000 10,230
+ AVI BioPharma, Inc.(f) 2,200 5,170
+ aaiPharma, Inc.(f) 4,300 13,975
+ Abaxis, Inc. 1,200 17,388
+ Abgenix, Inc. 5,300 54,802
+ Abiomed, Inc. 1,100 16,984
+ Able Laboratories, Inc. 2,000 45,500
+ Accelrys, Inc. 1,600 12,480
+ Accredo Health, Inc. 3,003 83,243
+ Advanced Medical Optics, Inc. 2,300 94,622
+ Advanced Neuromodulation Systems, Inc. 1,700 67,082
+ Air Methods Corp. 1,700 14,620
+ Albany Molecular Research, Inc. 1,900 21,166
+ Alexion Pharmaceuticals, Inc. 1,600 40,320
+ Alfacell Corp. 3,400 14,756
+ Align Technology, Inc. 3,600 38,700
+ Alkermes, Inc. 4,700 66,223
+ Alliance Imaging, Inc. 1,700 19,125
+ Allos Therapeutics 5,800 13,920
+ Allscripts Healthcare Solutions, Inc. 2,345 25,021
Alpharma, Inc. Class A 2,200 37,290
+ Amedisys, Inc. 1,200 38,868
+ American Healthways, Inc. 2,600 85,904
+ American Medical Systems Holdings, Inc. 2,000 83,620
+ American Pharmaceutical Partners, Inc.(f) 4,250 158,992
+ Amsurg Corp. 2,800 82,712
+ Amylin Pharmaceuticals, Inc. 6,600 154,176
+ Andrx Corp. 4,300 93,869
+ Angiodynamics, Inc. 514 11,381
+ Antigenics, Inc.(f) 3,300 33,396
+ Aphton Corp.(f) 5,585 17,369
+ Apria Healthcare Group, Inc. 2,800 92,260
+ Aradigm Corp.(f) 8,200 14,186
+ Ariad Pharmaceuticals, Inc. 3,100 23,033
+ Arqule, Inc. 3,130 18,123
+ Array Biopharma, Inc. 1,400 13,328
Arrow International, Inc. 2,400 74,376
+ Arthrocare Corp. 2,000 64,120
+ Aspect Medical Systems, Inc. 700 17,122
+ Atherogenics Inc. 2,200 51,832
+ Avant Immunotherapeutics, Inc. 3,800 7,638
+ Avigen, Inc. 1,000 3,260
+ Axonyx, Inc. 600 3,684
+ Barr Pharmaceuticals, Inc. 4,063 185,029
+ Barrier Therapeutics, Inc. 200 3,320
Beckman Coulter, Inc. 3,500 234,465
Berkshire Bancorp, Inc. 300 6,150
+ Beverly Enterprises, Inc. 6,400 58,560
+ BioCryst Pharmaceuticals, Inc. 3,100 17,918
Biolase Technology, Inc.(f) 2,400 26,088
+ BioMarin Pharmaceuticals, Inc. 6,500 41,535
+ Biopure Corp.(f) 3,000 1,770
+ Biosite, Inc.(f) 1,360 83,694
+ Biosource International, Inc. 100 690
19
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine (continued) + Biospecifics Technologies 1,000 $ 1,490
+ BioSphere Medical, Inc. 900 3,501
+ BioVeris Corp. 1,800 13,158
+ Birman Managed Care, Inc. 11,900 1
+ Bone Care International, Inc. 1,800 50,130
+ Bradley Pharmaceuticals, Inc. 1,600 31,040
+ Britesmile, Inc. 388 2,704
CNS, Inc. 2,700 33,885
+ CTI Molecular Imaging, Inc. 2,700 38,313
+ CV Therapeutics, Inc. 2,700 62,100
+ Calypte Biomedical Corp. 16,300 6,357
Cambrex Corp. 1,200 32,520
+ Cardiac Science, Inc. 3,300 7,062
+ Cardiodynamics International Corp. 2,400 12,408
+ Cardiotech International, Inc. 1,476 4,354
+ Cell Therapeutics, Inc. 3,600 29,304
+ Centene Corp. 3,300 93,555
+ Cephalon, Inc. 3,200 162,816
+ Cerus Corp. 1,400 4,144
+ Charles River Laboratories International, Inc. 3,892 179,071
+ Cholestech Corp. 900 7,327
+ ChromaVision Medical Systems, Inc. 11,200 24,080
+ Ciphergen Biosystems, Inc. 1,400 6,020
+ Collagenex Pharmaceuticals, Inc. 2,500 18,350
+ Columbia Laboratories, Inc. 2,500 6,617
+ Community Health Systems, Inc. 5,000 139,400
+ Compex Technologies, Inc. 2,700 12,609
+ Conceptus, Inc. 1,000 8,115
+ Conmed Corp. 2,050 58,261
Cooper Cos., Inc. 1,400 98,826
+ CorAutus Genetics, Inc. 142 737
+ Corixa Corp. 3,800 13,832
+ Corvel Corp. 100 2,678
+ Covance, Inc. 3,600 139,500
+ Coventry Health Care, Inc. 5,100 270,708
+ CryoLife, Inc. 2,400 16,968
+ Cubist Pharmaceuticals, Inc. 3,600 42,588
+ Curative Health Services, Inc. 1,935 13,255
+ Curis, Inc. 2,300 12,006
+ Cyberonics, Inc. 1,900 39,368
+ Cypress Bioscience, Inc. 1,800 25,182
+ Cytogen Corp. 730 8,410
+ Cytokinetics, Inc. 200 2,050
+ Cytyc Corp. 6,400 176,448
D&K Healthcare Resources, Inc. 900 7,272
+ DJ Orthopedics, Inc. 500 10,710
+ Dade Behring Holdings, Inc. 2,675 149,800
Datascope Corp. 1,400 55,566
+ DaVita, Inc. 6,100 241,133
+ Daxor Corp. 900 20,538
+ Dendreon Corp.(f) 3,430 36,975
Dentsply International, Inc. 4,550 255,710
Diagnostic Products Corp. 1,500 82,575
+ Diametrics Medical, Inc. 200 9
+ Digene Corp. 1,000 26,150
+ Discovery Laboratories, Inc. 2,800 22,204
+ Dov Pharmaceutical, Inc. 2,100 37,905
+ Durect Corp. 3,000 9,840
+ Dusa Pharmaceuticals, Inc. 600 8,580
E-Z-EM, Inc. 600 8,760
+ EPIX Pharmaceuticals, Inc. 1,400 25,074
+ Edwards Lifesciences Corp. 3,500 144,410
+ Emisphere Technologies, Inc. 2,300 9,315
+ Encore Medical Corp. 400 2,716
+ Endo Pharmaceuticals Holdings, Inc. 8,200 172,364
+ Endocardial Solutions, Inc. 1,300 15,210
+ Endologix, Inc. 200 1,366
+ Entremed, Inc.(f) 4,300 13,932
+ Enzo Biochem, Inc. 673 13,103
+ Enzon Pharmaceuticals, Inc. 2,600 35,672
+ Eon Labs, Inc. 5,500 148,500
+ Escalon Medical Corp. 725 6,228
+ Exact Sciences Corp. 1,600 6,112
+ Eyetech Pharmaceuticals, Inc. 900 40,950
+ First Health Group Corp. 6,500 121,615
+ First Horizon Pharmaceutical Corp. 2,150 49,213
+ Fonar Corp. 17,300 26,815
+ GLYCOGENESYS INC 133 293
+ Genaera Corp. 3,100 10,509
+ Gene Logic, Inc. 1,900 6,992
20
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine (continued) + Genelabs Technologies 2,000 $ 2,400
+ Genentech, Inc. 50,440 2,745,954
+ Genesis HealthCare Corp. 1,150 40,284
+ Genitope Corp. 2,100 35,784
+ Gen-Probe, Inc. 3,200 144,672
+ Genta, Inc. 9,700 17,072
+ Genzyme Corp. 0 23
+ Geron Corp. 3,100 24,707
+ Guilford Pharmaceuticals, Inc.(f) 4,900 24,255
+ Haemonetics Corp. 1,500 54,315
+ Health Net, Inc. 6,480 187,078
Healthcare Services Group 900 18,756
+ HealthExtras, Inc. 3,100 50,530
+ HealthTronics, Inc. 2,000 21,260
+ Hemispherx Biopharma, Inc.(f) 1,300 2,470
+ Henry Schein, Inc. 1,200 83,568
Hillenbrand Industries, Inc. 3,345 185,781
+ Hi-Tech Pharmacal Co., Inc. 1,250 23,050
+ Hollis-Eden Pharmaceuticals 2,300 21,666
+ Hologic, Inc. 1,200 32,964
Hooper Holmes, Inc. 2,600 15,392
+ Human Genome Sciences, Inc. 6,700 80,534
+ Hydron Technologies, Inc. 2,900 464
+ I-Flow Corp. 1,100 20,053
+ ICOS Corp. 3,700 104,636
+ ICU Medical, Inc.(f) 1,600 43,744
II-VI, Inc. 800 33,992
+ IMPAC Medical Systems, Inc. 600 12,354
+ IVAX Corp. 14,143 223,742
+ Idexx Laboratories, Inc. 2,500 136,475
+ ImClone Systems, Inc. 4,721 217,544
+ Immucor, Inc. 3,825 89,926
+ Immunogen, Inc. 2,400 21,216
+ Immunomedics, Inc. 3,000 9,120
+ Impax Laboratories, Inc. 3,700 58,756
+ Inamed Corp. 2,400 151,800
+ Incyte Corp. 6,500 64,935
+ Indevus Pharmaceuticals, Inc. 4,800 28,608
+ Inkine Pharmaceutical Co. 1,400 7,532
+ Insmed, Inc.(f) 4,200 9,236
+ Inspire Pharmaceuticals, Inc. 2,300 38,571
+ Integra LifeSciences Holdings Corp. 1,900 70,167
+ InterMune, Inc. 2,800 37,128
+ Intrabiotics Pharmaceuticals, Inc. 16 65
+ Introgen Therapeutics, Inc.(f) 3,500 29,610
+ Intuitive Surgical, Inc. 2,450 98,049
Invacare Corp. 1,800 83,268
+ Inverness Medical Innovations, Inc. 828 20,783
+ Isis Pharmaceuticals, Inc. 4,400 25,960
+ KV Pharmaceutical Co. Class A 1,900 41,895
+ Kendle International, Inc. 1,200 10,560
+ Kensey Nash Corp. 1,300 44,889
+ Kindred Healthcare, Inc. 2,190 65,591
+ Kinetic Concepts, Inc. 3,515 268,195
+ Kyphon, Inc. 1,900 48,944
LCA-Vision, Inc. 1,950 45,610
+ La Jolla Pharmaceutical Co. 3,700 6,179
Lakeland Industries, Inc. 1,000 20,290
Landauer, Inc. 400 18,280
+ Langer, Inc. 300 1,998
+ Large Scale Biology Corp.(f) 1,000 1,260
+ Lectec Corp. 800 1,160
+ Lexicon Genetics, Inc. 2,100 16,286
+ Lifecell Corp. 3,000 30,660
+ Lifecore Biomedical, Inc. 700 7,882
+ Life Medical Sciences, Inc. 8,500 3,400
+ LifePoint Hospitals, Inc. 2,100 73,122
+ Ligand Pharmaceuticals, Inc. Class B 4,375 50,925
+ Lincare Holdings, Inc. 5,300 226,045
+ MGI Pharma, Inc. 4,400 123,244
+ MIM Corp. 3,700 23,495
+ Macrochem Corp. 1,100 770
+ Magellan Health Services, Inc. 1,479 50,523
Mannatech, Inc. 1,300 24,752
+ Martek Biosciences Corp. 1,800 92,160
+ Maxim Pharmaceuticals, Inc. 3,300 9,966
+ Medarex, Inc. 4,700 50,666
+ Medcath Corp. 1,900 46,816
+ Med-Design Corp. 600 780
+ Medical Action Industries, Inc. 800 15,760
21
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine (continued) + Medicines Co. 2,870 $ 82,656
Medicis Pharmaceutical Corp. Class A 3,000 105,330
+ Medis Technologies Ltd.(f) 1,030 18,901
+ Medwave, Inc. 300 1,395
Mentor Corp. 2,800 94,472
Meridian Bioscience, Inc. 900 15,651
+ Merit Medical Systems, Inc. 2,768 42,295
+ Millennium Pharmaceuticals, Inc. 17,638 213,773
Mine Safety Appliances Co. 1,600 81,120
+ Molecular Devices Corp. 1,000 20,100
+ Molina Healthcare, Inc. 1,100 51,018
+ Myriad Genetics, Inc. 1,700 38,267
+ NBTY, Inc. 4,200 100,842
+ NPS Pharmaceuticals, Inc. 2,240 40,947
+ Nabi Biopharmaceuticals 3,400 49,810
+ National Dentex Corp. 100 3,045
National Healthcare Corp. 400 14,120
+ Natrol, Inc. 400 1,340
Nature's Sunshine Products, Inc. 800 16,288
+ Natus Medical, Inc. 4,200 33,600
+ Nektar Therapeutics 5,200 105,248
+ Neopharm, Inc. 2,786 34,853
+ Neose Technologies, Inc. 1,200 8,064
+ Neurocrine Biosciences, Inc. 2,645 130,398
+ Neurogen Corp. 1,200 11,232
+ Northfield Laboratories, Inc.(f) 2,100 47,355
+ Novavax, Inc. 2,400 7,800
+ Noven Pharmaceuticals, Inc. 2,100 35,826
+ Nutraceutical International Corp. 1,400 21,574
+ Nuvelo, Inc. 3,121 30,742
+ OCA, Inc.(f) 3,700 23,495
+ OSI Pharmaceuticals, Inc. 2,413 180,613
Oakley, Inc. 4,200 53,550
+ Ocular Sciences, Inc. 1,400 68,614
+ Odyssey HealthCare, Inc. 3,050 41,724
Omnicare, Inc. 5,800 200,796
+ Onyx Pharmaceuticals, Inc. 2,300 74,497
+ OraSure Technologies, Inc. 4,575 30,744
+ Orthologic Corp. 4,100 25,625
+ Orthovita, Inc. 5,920 24,805
+ Oscient Pharmaceuticals Corp. 2,700 9,855
+ Osteotech, Inc. 3,300 18,150
Owens & Minor, Inc. 2,300 64,791
+ PSS World Medical, Inc. 5,600 70,084
+ Pacificare Health Systems 4,560 257,731
+ Pain Therapeutics, Inc. 3,800 27,398
+ Palatin Technologies, Inc. 100 266
+ Par Pharmaceutical Cos., Inc. 1,700 70,346
+ Parexel International Corp. 2,700 54,810
+ Patterson Cos., Inc. 7,800 338,442
+ Pediatric Services of America, Inc. 1,180 15,057
+ Pediatrix Medical Group, Inc. 1,500 96,075
+ Penwest Pharmaceuticals Co. 2,300 27,508
+ Peregrine Pharmaceuticals, Inc. 8,500 9,945
Perrigo Co. 5,000 86,350
+ Pharmaceutical Product Development, Inc. 3,500 144,515
+ Pharmacopeia Drug Discovery, Inc. 700 4,193
+ Pharmacyclics, Inc. 2,290 23,976
+ Pharmion Corp. 1,900 80,199
+ Pharmos Corp. 5,200 7,384
+ Physiometrix, Inc. 100 108
PolyMedica Corp. 1,600 59,664
+ Pozen, Inc. 3,900 28,353
+ Praecis Pharmaceuticals, Inc. 3,100 5,890
+ Priority Healthcare Corp. 2,700 58,779
+ Progenics Pharmaceuticals, Inc. 500 8,580
+ Protein Design Labs, Inc. 5,500 113,630
+ Province Healthcare Co. 2,800 62,580
+ Proxymed, Inc. 300 2,946
Psychemedics Corp. 125 1,619
+ Psychiatric Solutions, Inc. 1,366 49,941
+ QMed, Inc. 700 7,686
+ Quidel Corp. 1,900 9,652
+ Radiologix, Inc. 1,100 4,840
+ Regeneration Technologies, Inc. 1,600 16,768
+ Regeneron Pharmaceuticals, Inc. 2,400 22,104
+ RehabCare Group, Inc. 1,200 33,588
+ Renal Care Group, Inc. 4,550 163,755
+ Repligen Corp. 1,900 5,453
+ Res-Care, Inc. 1,200 18,264
22
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine (concluded) + Resmed, Inc. 2,100 $ 107,310
+ Respironics, Inc. 800 43,488
+ Retractable Technologies, Inc. 1,300 5,980
+ Rita Medical Systems, Inc. 900 3,483
+ Salix Pharmaceuticals Ltd. 2,700 47,493
+ Sangamo Biosciences, Inc. 1,300 7,800
+ Santarus, Inc. 800 7,248
+ Savient Pharmaceuticals, Inc. 3,700 10,027
+ Sciclone Pharmaceuticals, Inc. 2,700 9,990
+ Seattle Genetics, Inc. 700 4,571
Select Medical Corp. 4,900 86,240
+ Sepracor, Inc. 5,155 306,052
+ Serologicals Corp. 2,385 52,756
+ Sierra Health Services 2,100 115,731
+ Sirna Therapeutics, Inc. 2,015 6,367
+ Sola International, Inc. 1,200 33,048
+ Sonic Innovations, Inc. 3,500 14,595
+ SonoSite, Inc. 800 27,160
+ Sparta Surgical Corp. 1,900 0
+ Specialty Laboratories, Inc. 900 9,936
+ Spectrum Pharmaceuticals, Inc. 16 106
+ Staar Surgical Co. 2,400 14,976
+ Star Scientific, Inc.(f) 4,600 23,391
+ Steris Corp. 3,200 75,904
+ Sunrise Senior Living, Inc.(f) 1,300 60,268
+ Sunrise Technologies International 400 1
+ SuperGen, Inc.(f) 2,630 18,542
+ SurModics, Inc.(f) 1,900 61,769
+ Sybron Dental Specialties, Inc. 2,300 81,374
+ Synovis Life Technologies, Inc. 2,100 22,701
+ Tanox, Inc. 3,800 57,760
+ Targeted Genetics Corp. 8,500 12,835
+ Techne Corp. 2,500 97,250
+ Theragenics Corp. 1,900 7,714
+ Third Wave Technologies, Inc. 1,900 16,340
+ Thoratec Corp. 5,000 52,100
+ Titan Pharmaceuticals, Inc. 2,800 9,016
+ Transgenomic, Inc. 900 1,035
+ Transkaryotic Therapies, Inc. 2,500 63,475
+ Triad Hospitals, Inc. 4,146 154,273
+ Trimeris, Inc. 1,600 22,672
+ TriPath Imaging, Inc. 1,600 14,352
+ Tripos, Inc. 700 3,731
+ US Physical Therapy, Inc. 800 12,336
+ USANA Health Sciences, Inc. 1,700 58,140
+ United Surgical Partners International, Inc. 1,400 58,380
+ United Therapeutics Corp. 2,100 94,815
+ Universal Display Corp. 1,100 9,900
Universal Health Services, Inc. Class B 3,400 151,300
+ Urologix, Inc. 1,700 10,999
Utah Medical Products, Inc. 1,100 24,717
+ VCA Antech, Inc. 5,040 98,784
Valeant Pharmaceuticals International 4,700 123,845
+ Valentis, Inc. 193 496
+ Varian Medical Systems, Inc. 7,020 303,545
+ Vasomedical, Inc. 2,300 2,116
+ Ventana Medical Systems 1,400 89,586
+ Vertex Pharmaceuticals, Inc. 4,462 47,163
+ Viasys Healthcare, Inc. 1,500 28,500
+ Vical, Inc. 1,000 4,700
+ Vicuron Pharmaceuticals, Inc. 3,200 55,712
+ Vion Pharmaceuticals, Inc. 3,300 15,444
+ Viragen, Inc.(f) 1,390 1,390
+ ViroLogic Inc. 9,860 27,509
+ Viropharma, Inc.(f) 900 2,925
+ VistaCare, Inc. Class A 1,805 30,017
+ Visx, Inc. 2,300 59,501
Vital Signs, Inc. 800 31,136
+ Vivus, Inc. 2,400 10,680
West Pharmaceutical Services, Inc. 1,400 35,042
+ Wilson Greatbatch Technologies, Inc. 2,100 47,082
+ Women First Healthcare, Inc. 1,200 1
+ Wright Medical Group, Inc. 1,400 39,900
+ XOMA Ltd. 2,000 5,180
+ Zila, Inc. 2,700 11,556
+ Zoll Medical Corp. 555 19,092
+ Zymogenetics, Inc. 2,000 46,000
------------
20,815,570
- -----------------------------------------------------------------------------------------------------------------------------------
23
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics - 5.9% + 8x8, Inc.(f) 7,300 $ 29,711
+ ADE Corp. 800 14,976
+ APAC Customer Services, Inc. 3,100 5,394
+ APW Ltd. 3,800 0
+ ATMI, Inc. 1,800 40,554
AVX Corp. 9,100 114,660
+ AXT, Inc. 1,200 1,896
+ Ace*Comm Corp. 56 124
+ Actel Corp. 2,900 50,866
Acuity Brands, Inc. 2,400 76,320
Acxiom Corp. 5,200 136,760
+ Advanced Energy Industries, Inc. 1,900 17,347
+ Advanced Power Technology, Inc. 500 3,870
+ Agere Systems, Inc. Class A 95,635 131,020
Agilysys, Inc. 2,200 37,708
+ Airnet Communications Corp. 20 60
+ Alliance Fiber Optic Products, Inc. 1,400 2,100
+ Alliance Semiconductor Corp. 5,000 18,500
+ Alliant Techsystems, Inc. 2,262 147,889
+ American Physicians Capital, Inc. 1,200 43,224
+ American Science & Engineering, Inc. 1,200 49,452
+ American Technical Ceramics Corp. 100 998
+ Amkor Technology, Inc. 13,810 92,251
+ Amphenol Corp. Class A 5,405 198,580
+ Amtech Systems, Inc. 100 420
+ Anadigics, Inc. 2,200 8,250
+ Anaren, Inc. 1,200 15,552
Anixter International, Inc. 2,200 79,178
+ Applera Corp. - Celera Genomics Group 4,100 56,375
+ Arris Group, Inc. 5,200 36,608
+ Arrow Electronics, Inc. 5,600 136,080
+ Aspect Communications Corp. 3,500 38,990
+ Asyst Technologies Inc. 4,300 21,887
+ Atheros Communications Inc. 1,600 16,400
+ Atmel Corp. 27,600 108,192
+ Audiovox Corp. Class A 2,200 34,716
+ Avanex Corp. 4,000 13,240
+ Avid Technology, Inc. 2,000 123,500
+ Avnet, Inc. 6,564 119,727
+ Aware, Inc. 900 4,365
+ Axcelis Technologies, Inc. 6,400 52,032
+ Axsys Technologies, Inc. 1,800 31,644
BEI Technologies, Inc. 1,500 46,320
Badger Meter, Inc. 200 5,990
Bel Fuse, Inc. Class A 900 26,370
Belden CDT, Inc. 2,800 64,960
+ Bell Microproducts, Inc. 3,335 32,083
+ Benchmark Electronics, Inc. 2,500 85,250
Boston Acoustics, Inc. 200 2,770
+ Broadwing Corp. 2,880 26,237
+ Brooks Automation, Inc. 2,796 48,147
+ Bruker BioSciences Corp. 5,300 21,359
C&D Technologies, Inc. 1,400 23,856
+ C-COR, Inc. 2,600 24,180
+ CCC Information Services Group 764 16,968
+ CMGI, Inc. 19,400 49,470
CTS Corp. 2,200 29,238
+ Cabot Microelectronics Corp. 1,900 76,095
+ Cadence Design Systems, Inc. 15,400 212,674
+ CalAmp Corp. 2,600 23,244
+ California Micro Devices CP 2,300 16,307
+ Caliper Life Sciences, Inc. 3,185 23,983
+ Captaris, Inc. 1,900 9,804
Celeritek, Inc. 500 765
+ Cepheid, Inc. 2,400 23,856
+ Ceva, Inc. 1,100 10,018
Champion Industries, Inc. 700 2,562
+ Checkpoint Systems, Inc. 2,200 39,710
+ Chronimed, Inc. 800 5,224
+ Cirrus Logic, Inc. 4,100 22,591
+ Coherent, Inc. 2,600 79,144
Cohu, Inc. 1,300 24,128
+ CommScope, Inc. 2,500 47,250
+ Computer Network Technology Corp. 1,700 12,070
+ Comtech Telecommunications Corp. 1,600 60,176
+ Conexant Systems, Inc. 36,848 73,327
+ Cox Radio, Inc. Class A 2,200 36,256
+ Credence Systems Corp. 3,200 29,280
+ Cree, Inc. 3,600 144,288
+ Cymer, Inc. 2,205 65,136
24
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics (continued) + Cypress Semiconductor Corp. 7,200 $ 84,456
+ DDi Corp. 1,590 5,056
+ DSP Group, Inc. 2,700 60,291
+ Daktronics, Inc. 1,800 44,802
+ Dataram Corp. 100 636
+ Digital Theater Systems, Inc. 300 6,039
+ Dionex Corp. 1,600 90,672
+ Ducommun, Inc. 500 10,425
+ Dupont Photomasks, Inc. 2,200 58,102
+ Dynamics Research Corp. 1,400 24,962
+ EFJ, Inc. 2,800 27,020
+ EMS Technologies, Inc. 600 9,972
+ ESS Technology 4,000 28,440
+ Electro Scientific Industries, Inc. 2,500 49,400
+ Electroglas, Inc.(f) 1,700 8,075
+ Electronics for Imaging 4,000 69,640
+ eMagin Corp. 200 236
+ Emcore Corp. 1,900 6,631
+ Emerson Radio 1,700 6,375
+ Emulex Corp. 4,100 69,044
+ Energizer Holdings, Inc. 4,500 223,605
+ Energy Conversion Devices, Inc. 1,100 21,252
+ Entrada Networks, Inc. 25 3
+ Exar Corp. 3,900 55,341
+ Excel Technology, Inc. 100 2,600
+ FEI Co. 2,000 42,000
+ FSI International, Inc. 1,800 8,406
+ Fairchild Semiconductor International, Inc. 5,600 91,056
+ Faro Technologies, Inc. 1,400 43,652
+ Flir Systems, Inc. 2,100 133,959
+ Formfactor, Inc. 1,300 35,282
+ Freescale Semiconductor, Inc. Class A 24,000 427,680
+ FuelCell Energy, Inc.(f) 2,900 28,710
+ GTC Biotherapeutics, Inc. 2,400 3,648
+ General Cable Corp. 2,300 31,855
+ Genesis Microchip, Inc. 3,100 50,282
+ Getty Images, Inc. 3,200 220,320
+ Glenayre Technologies, Inc. 500 1,090
+ Glowpoint, Inc. 200 310
Harman International Industries, Inc. 3,400 431,800
+ Harmonic, Inc. 4,300 35,862
Harris Corp. 2,345 144,897
+ Harvard Bioscience, Inc. 1,520 7,038
Hearst-Argyle Television, Inc. 3,200 84,416
+ Herley Industries, Inc. 2,075 42,205
+ Hifn, Inc. 447 4,121
+ Hollywood Entertainment Corp. 3,600 47,124
+ Hungarian Telephone & Cable 800 11,520
+ Hutchinson Technology, Inc. 495 17,112
+ IRIS International, Inc. 2,600 25,142
+ IXYS Corp. 2,000 20,640
+ Illumina, Inc. 1,900 18,012
+ Innovex, Inc. 3,935 21,446
+ Integrated Circuit Systems, Inc. 3,900 81,588
+ Integrated Silicon Solutions, Inc. 2,000 16,400
+ Interactive Data Corp. 4,500 97,830
+ Interlink Electronics, Inc. 100 946
+ Intermagnetics General Corp. 2,403 61,060
+ International Rectifier Corp. 3,800 169,366
Intersil Corp. Class A 8,115 135,845
+ Itron, Inc. 2,300 54,993
+ Ixia 2,100 35,301
Keithley Instruments, Inc. 600 11,820
+ Kemet Corp. 4,800 42,960
+ Kopin Corp. 4,200 16,254
+ Kulicke & Soffa Industries, Inc. 5,000 43,100
+ LCC International, Inc. Class A 100 583
+ Lam Research Corp. 7,800 225,498
+ Laserscope 1,650 59,252
+ Lattice Semiconductor Corp. 6,170 35,169
+ Leadis Technology, Inc. 200 2,130
+ LeCroy Corp. 500 11,670
+ Lightpath Technologies, Inc. Class A 100 445
+ Littelfuse, Inc. 1,770 60,463
+ M-Wave, Inc. 100 132
+ MEMC Electronic Materials, Inc. 10,700 141,775
+ MKS Instruments, Inc. 2,953 54,778
+ MRV Communications, Inc. 6,287 23,073
MTS Systems Corp. 2,200 74,382
+ Macromedia, Inc. 3,160 98,339
25
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics (continued) + Mattson Technology, Inc. 1,800 $ 20,268
+ Maxwell Technologies, Inc. 400 4,056
+ Mercury Computer Systems, Inc. 1,400 41,552
+ Mestek, Inc. 500 9,010
Methode Electronics, Inc. 2,100 26,985
+ Microsemi Corp. 3,600 62,496
+ Mobility Electronics, Inc. 1,700 14,586
+ Monolithic System Technology, Inc. 2,155 13,426
+ Mykrolis Corp. 2,400 34,008
+ NU Horizons Electronics Corp. 800 6,384
+ Nanogen, Inc. 1,825 13,432
+ Nanometrics, Inc. 2,000 32,238
+ Nanophase Technologies Corp.(f) 3,000 26,619
+ Neomagic Corp. 1,600 1,968
+ Neoware Systems, Inc. 1,000 9,309
+ Netgear, Inc. 3,100 56,389
+ Netopia, Inc. 3,400 11,050
+ Newport Corp. 2,200 31,020
+ Novoste Corp. 1,000 1,710
+ ON Semiconductor Corp. 15,350 69,689
+ OSI Systems, Inc. 700 15,897
+ Omnivision Technologies, Inc. 4,400 80,740
+ Oplink Communications, Inc. 7,700 15,169
+ Optical Communication Products, Inc. 400 1,000
+ P-Com, Inc. 4 2
+ PDF Solutions, Inc. 200 3,222
+ PLX Technology, Inc. 1,500 15,600
Park Electrochemical Corp. 1,150 24,932
+ Parkervision, Inc. 800 7,119
+ Parlex Corp. 1,100 8,250
+ Paxson Communications Corp. 3,600 4,968
+ Pemstar, Inc. 2,700 4,887
+ Pericom Semiconductor Corp. 1,500 14,145
+ Photon Dynamics, Inc. 1,600 38,848
+ Pinnacle Systems, Inc. 3,200 19,520
+ Pixelworks, Inc. 2,700 30,618
+ Planar Systems, Inc. 900 10,107
Plantronics, Inc. 2,600 107,822
+ Plexus Corp. 2,300 29,923
+ Powell Industries, Inc. 600 11,094
+ Power Integrations, Inc. 1,800 35,604
+ Powerwave Technologies, Inc. 4,400 37,312
Preformed Line Products Co. 900 26,082
+ Proxim Corp. Class A 2,262 9,252
+ Quantum Corp. 6,100 15,982
+ QuickLogic Corp. 200 568
+ RF Micro Devices, Inc. 10,835 74,111
+ Radisys Corp. 900 17,595
+ Rambus, Inc. 6,400 147,200
+ Rayovac Corp. 1,600 48,896
+ Remec, Inc. 4,800 34,608
Richardson Electronics Ltd. 800 8,488
+ Robotic Vision Systems, Inc. 100 72
+ Rofin-Sinar Technologies, Inc. 900 38,205
+ Rudolph Technologies, Inc. 1,000 17,170
+ SAFLINK Corp. 5,900 16,343
+ SBS Technologies, Inc. 2,300 32,108
+ SCM Microsystems, Inc. 800 3,904
+ Sagemark Cos. Ltd. 1,200 4,200
+ ScanSoft, Inc. 6,318 26,472
Seagate Technology 26,700 461,109
+ Semitool, Inc. 1,100 10,208
+ Semtech Corp. 5,300 115,911
+ Sigmatel, Inc. 1,300 46,189
+ Sigmatron International, Inc. 1,200 16,164
+ Silicon Image, Inc. 4,400 72,424
+ Silicon Laboratories, Inc. 3,100 109,461
+ Silicon Storage Technology, Inc. 5,800 34,510
+ Siliconix, Inc. 1,800 65,682
+ SimpleTech, Inc. 600 2,760
+ Sipex Corp. 1,900 8,892
+ Sirenza Microdevices, Inc. 3,300 21,648
+ Sirf Technology Holdings, Inc. 1,700 21,624
+ Skyworks Solutions, Inc. 8,900 83,927
+ SmartDisk Corp. 100 18
+ Somera Communications, Inc. 2,500 3,175
Spectralink Corp. 1,200 17,016
+ Standard Microsystems Corp. 1,400 24,962
+ Stratex Networks, Inc. 5,400 12,204
+ Suntron Corp. 200 628
26
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics (concluded) + Superconductor Technologies 4,320 $ 6,005
+ Supertex, Inc. 100 2,170
+ Symmetricom, Inc. 2,076 20,158
+ Synaptics, Inc. 2,300 70,334
+ TTM Technologies, Inc. 1,900 22,420
+ Taser International, Inc.(f) 3,230 102,003
+ Technitrol, Inc. 1,900 34,580
+ Tegal Corp. 10,100 16,463
+ Tekelec 3,700 75,628
+ Terayon Corp. 4,400 11,924
+ Tessera Technologies, Inc. 1,500 55,815
+ Therma-Wave, Inc. 5,500 19,030
+ Thomas & Betts Corp. 5,865 180,349
+ Three-Five Systems, Inc. 1,300 3,146
+ Tollgrade Communications, Inc. 800 9,792
+ Transmeta Corp. 10,000 16,300
+ Transwitch Corp. 3,600 5,544
+ Tripath Technology, Inc. 1,700 2,125
+ Triquint Semiconductor, Inc. 6,845 30,460
Triton Network Systems, Inc. 100 3
+ Tvia, Inc. 200 396
+ Tweeter Home Entertainment Group, Inc. 1,500 10,275
+ Ultralife Batteries, Inc. 1,500 29,175
+ Ultratech, Inc. 2,400 45,240
United Industrial Corp. 1,800 69,732
Unitil Corp. 600 16,980
+ Valence Technology, Inc. 1,800 5,580
+ Varian, Inc. 2,050 84,071
+ Varian Semiconductor Equipment Associates, Inc. 2,200 81,070
+ Vialta, Inc. 105 22
+ Viasat, Inc. 1,400 33,978
Vicor Corp. 1,800 23,598
+ Virage Logic Corp. 1,300 24,141
+ Vishay Intertechnology, Inc. 9,326 140,077
+ Vitesse Semiconductor Corp. 12,600 44,478
+ Vyyo, Inc. 66 568
+ WJ Communications 3,600 12,384
+ Western Digital Corp. 13,000 140,920
+ Western Wireless Corp. Class A 5,900 172,870
+ YDI Wireless, Inc. 75 458
+ Zebra Technologies Corp. Class A 4,117 231,705
+ Zhone Technologies, Inc. 4,352 10,793
+ Zoran Corp. 3,361 38,920
------------
12,754,736
- -----------------------------------------------------------------------------------------------------------------------------------
Energy & Raw Materials - 2.6% + AMIS Holdings, Inc. 3,600 59,472
APCO Argentina, Inc. 1,000 36,150
Alliance Resource Partners LP 1,500 111,000
+ Altair Nanotechnologies, Inc. 8,900 23,941
Arch Coal, Inc. 3,700 131,498
+ Atwood Oceanics, Inc. 1,400 72,940
Barnwell Industries, Inc. 100 7,401
+ Brigham Exploration Co. 2,400 21,600
Buckeye Partners LP 1,200 50,784
CARBO Ceramics, Inc. 900 62,100
Cabot Oil & Gas Corp. Class A 2,480 109,740
+ Canyon Resources Corp. 5,600 7,168
+ Cimarex Energy Co. 2,481 94,030
Compass Minerals International, Inc. 1,700 41,191
+ Cooper Cameron Corp. 1,600 86,096
Crosstex Energy, Inc. 100 4,190
+ Dawson Geophysical Co. 1,500 32,775
+ Denbury Resources, Inc. 3,200 87,840
+ Diodes, Inc. 700 15,841
+ Dril-Quip, Inc. 700 16,982
ENSCO International, Inc. 7,720 245,033
+ Emex Corp. 4,203 0
Enterprise Products Partners LP(f) 18,005 465,609
+ The Exploration Co. of Delaware, Inc. 1,000 6,210
+ FMC Technologies, Inc. 3,200 103,040
+ Forest Oil Corp. 2,600 82,472
+ Friede Goldman Halter, Inc. 500 0
+ Grant Prideco, Inc. 5,800 116,290
+ Grey Wolf, Inc. 10,800 56,916
+ Hanover Compressor Co. 2,849 40,256
+ Headwaters, Inc. 2,700 76,950
Helmerich & Payne, Inc. 2,700 91,908
+ Horizon Offshore, Inc. 4,800 7,872
+ Hydril 1,800 81,918
Inergy LP 1,900 54,606
Joy Global, Inc. 3,000 130,290
27
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Energy & Raw Materials + Kestrel Energy, Inc. 900 $ 630
(concluded) + Key Energy Services, Inc. 7,800 92,040
+ Kirby Corp. 1,500 66,570
Lufkin Industries, Inc. 300 11,972
+ Lynx Therapeutics, Inc. 14 53
+ MAXXAM, Inc. 600 19,560
Massey Energy Co. 4,700 164,265
+ McDermott International, Inc. 5,700 104,652
+ NL Industries 3,000 66,300
Natural Resource Partners LP 200 11,530
+ Newpark Resources 5,000 25,750
Noble Energy, Inc. 3,400 209,644
+ Offshore Logistics, Inc. 2,200 71,434
+ Oil States International, Inc. 1,400 27,006
+ Parker Drilling Co. 9,600 37,728
Peabody Energy Corp. 3,295 266,598
Penn Virginia Corp. 800 32,456
+ Petroleum Development Corp. 1,780 68,655
Plains All American Pipeline LP 2,800 105,672
+ Prolong International Corp. 5,700 1,368
+ Quantum Fuel Systems Technologies Worldwide, Inc. 1,300 7,826
RGC Resources, Inc. 100 2,589
Range Resources Corp. 5,000 102,300
+ Reliant Energy, Inc. 16,900 230,685
+ SEACOR Holdings, Inc. 1,100 58,740
+ Smith International, Inc. 4,500 244,845
+ Southwestern Energy Co. 2,000 101,380
+ Swift Energy Co. 1,900 54,986
TC Pipelines LP 1,100 41,558
Tidewater, Inc. 1,055 37,569
+ Trico Marine Services, Inc. 5,700 998
USEC, Inc. 4,000 38,760
+ Unit Corp. 2,400 91,704
+ W-H Energy Services, Inc. 2,900 64,844
+ Weatherford International Ltd. 7,100 364,230
Western Gas Resources, Inc. 3,800 111,150
+ Westmoreland Coal Co. 500 15,230
World Fuel Services Corp. 600 29,880
+ Xanser Corp. 1,300 3,640
------------
5,618,906
- -----------------------------------------------------------------------------------------------------------------------------------
Energy & Utilities - 2.7% AGL Resources, Inc. 4,000 132,960
+ ATG, Inc. 1,100 0
+ Active Power, Inc. 3,500 16,100
Alliant Energy Corp. 6,200 177,320
American States Water Co. 950 24,700
Aqua America, Inc. 4,613 113,434
+ Aquila, Inc. 7,810 28,819
Artesian Resources Corp. Class A 150 4,218
Atmos Energy Corp. 4,100 112,135
Avista Corp. 2,900 51,243
BIW Ltd. 200 3,950
+ Beacon Power Corp. 7,730 7,034
Black Hills Corp. 1,800 55,224
CH Energy Group, Inc. 900 43,245
California Water Service Group 900 33,885
Cascade Natural Gas Corp. 800 16,960
+ Catalytica Energy Systems 2,766 6,251
Central Vermont Public Service Corp. 1,700 39,542
Chesapeake Utilities Corp. 1,400 37,380
Cleco Corp. 2,800 56,728
Connecticut Water Service, Inc. 400 10,596
DPL, Inc. 8,435 211,803
Delta Natural Gas Co., Inc. 100 2,722
Duquesne Light Holdings, Inc. 4,100 77,285
+ El Paso Electric Co. 3,900 73,866
The Empire District Electric Co. 2,700 61,236
Energen Corp. 2,400 141,480
Energy East Corp. 7,800 208,104
+ Energy West, Inc. 200 1,380
EnergySouth, Inc. 450 12,618
Equitable Resources, Inc. 3,790 229,901
Florida Public Utilities Co. 133 2,547
Great Plains Energy, Inc. 5,100 154,428
Green Mountain Power Corp. 1,000 28,830
Hawaiian Electric Industries 4,720 137,588
Idacorp, Inc. 2,100 64,197
The Laclede Group, Inc. 2,000 62,300
MDU Resources Group, Inc. 5,750 153,410
MGE Energy, Inc. 300 10,809
Middlesex Water Co. 466 8,826
28
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Energy & Utilities (concluded) + NRG Energy, Inc. 5,430 $ 195,751
NSTAR 2,800 151,984
National Fuel Gas Co. 4,650 131,781
New Jersey Resources Corp. 2,140 92,748
Northeast Utilities 8,200 154,570
Northwest Natural Gas Co. 1,600 53,984
OGE Energy Corp. 5,000 132,550
Oneok, Inc. 5,790 164,552
Otter Tail Corp. 1,200 30,636
PNM Resources, Inc. 3,400 85,986
Pennichuck Corp. 133 3,471
Pepco Holdings, Inc. 10,273 219,020
Piedmont Natural Gas Co. 3,700 85,988
Puget Energy, Inc. 5,500 135,850
Questar Corp. 4,200 214,032
SCANA Corp. 6,300 248,220
SEMCO Energy, Inc. 5,800 30,972
SJW Corp. 300 10,920
+ Sierra Pacific Resources 6,600 69,300
South Jersey Industries, Inc. 800 42,048
+ Southern Union Co. 4,542 108,917
Southwest Gas Corp. 1,600 40,640
Southwest Water Co. 1,497 20,139
+ Streicher Mobile Fueling, Inc. 600 1,098
UGI Corp. 3,280 134,185
UIL Holdings Corp. 1,400 71,820
Unisource Energy Corp. 2,600 62,686
Vectren Corp. 3,400 91,120
+ Veritas DGC, Inc. 2,940 65,885
WGL Holdings, Inc. 2,300 70,932
WPS Resources Corp. 700 34,972
Westar Energy, Inc. 5,225 119,496
Wisconsin Energy Corp. 7,380 248,780
------------
5,940,087
- -----------------------------------------------------------------------------------------------------------------------------------
Environmental Control - 0.0% + Darling International, Inc. 600 2,616
- -----------------------------------------------------------------------------------------------------------------------------------
Finance - 0.1% American Mortgage Acceptance Co. 500 8,600
+ Criimi MAE, Inc. 3,100 49,910
+ The First Marblehead Corp. 3,300 185,625
+ Frontline Capital Group 300 0
------------
244,135
- -----------------------------------------------------------------------------------------------------------------------------------
Finance Services - 0.4% Apollo Investment Corp. 2,900 43,790
Genworth Financial, Inc. Class A 25,600 691,200
Greenhill & Co., Inc. 700 20,090
NewAlliance Bancshares, Inc. 5,400 82,620
------------
837,700
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Agriculture - 2.9% + 7-Eleven, Inc. 6,900 165,255
Alico, Inc. 400 23,408
American Italian Pasta Co. Class A 1,200 27,900
The Andersons, Inc. 300 7,650
+ Atlantic Premium Brands Ltd. 600 660
+ Bridgford Foods Corp. 500 4,500
Bunge Ltd. 6,600 376,266
+ Cagle's, Inc. Class A 200 2,580
Chiquita Brands International, Inc. 1,802 39,752
Coca-Cola Bottling Co. Consolidated 400 22,824
Corn Products International, Inc. 2,200 117,832
+ Cuisine Solutions, Inc. 1,200 4,200
+ Dairy Mart Convenience Stores 500 0
+ Dean Foods Co. 8,461 278,790
+ Del Monte Foods Co. 13,100 144,362
Delta & Pine Land Co. 2,300 62,744
+ Eden Bioscience Corp. 2,700 2,619
+ Embrex, Inc. 400 5,300
Farmer Bros. Co. 200 4,848
+ Fisher Communications, Inc. 100 4,888
Flowers Foods, Inc. 2,675 84,476
+ Fresh Brands, Inc. 900 6,975
Fresh Del Monte Produce, Inc. 4,500 133,245
+ Gehl Co. 1,100 25,685
+ Glacier Water Services, Inc. 200 5,398
Golden Enterprises, Inc. 600 1,656
+ Green Mountain Coffee Roasters, Inc. 400 10,040
+ Griffin Land & Nurseries, Inc. 1,000 25,750
+ Hain Celestial Group, Inc. 2,200 45,474
+ Hansen Natural Corp. 1,100 40,238
+ Harris & Harris Group, Inc. 2,000 32,760
+ Hines Horticulture, Inc. 4,100 14,227
Hormel Foods Corp. 7,890 247,351
Imperial Sugar Co. New Shares 12 229
Ingles Markets, Inc. Class A 1,800 22,302
29
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Food & Agriculture (concluded) + Ionatron, Inc.(f) 2,165 $ 24,335
J&J Snack Foods Corp. 500 24,515
The JM Smucker Co. 3,319 156,225
+ John B. Sanfilippo & Son, Inc. 600 15,468
Kraft Foods, Inc. 62,980 2,242,718
Lance, Inc. 1,700 32,351
+ Lifeway Foods, Inc. 900 8,226
+ M&F Worldwide Corp. 1,000 13,620
MGP Ingredients, Inc. 1,600 13,824
Marsh Supermarkets, Inc. Class B 700 8,610
+ Maui Land & Pineapple Co., Inc. 400 15,700
+ Monterey Gourmet Foods, Inc. 700 2,366
Nash Finch Co. 1,520 57,395
+ Neogen Corp. 875 19,819
+ NitroMed, Inc.(f) 2,100 55,965
+ The Pantry, Inc. 1,300 39,117
+ Peet's Coffee & Tea, Inc. 700 18,529
PepsiAmericas, Inc. 8,227 174,741
+ Performance Food Group Co. 3,800 102,258
Pilgrim's Pride Corp. 4,100 125,788
+ Provena Foods, Inc. 1,200 1,080
Ralcorp Holdings, Inc. 1,732 72,623
Rocky Mountain Chocolate Factory, Inc. 660 9,669
Sanderson Farms, Inc. 1,150 49,772
+ The Scotts Co. Class A 1,900 139,688
+ Seneca Foods Corp. 200 3,600
+ Smart & Final, Inc. 1,700 24,463
+ Smithfield Foods, Inc. 7,100 210,089
+ Spartan Stores, Inc. 800 5,320
+ Spectrum Organic Products, Inc. 2,200 1,166
Standard Commercial Corp. 700 13,622
Tasty Baking Co. 400 3,236
+ Tejon Ranch Co. 200 8,160
+ Terra Industries, Inc.(f) 4,600 40,848
Tootsie Roll Industries, Inc. 2,999 103,855
Tyson Foods, Inc. Class A 20,158 370,907
+ United Natural Foods, Inc. 3,200 99,520
+ Wild Oats Markets, Inc. 3,500 30,835
+ Willamette Valley Vineyards 800 2,376
+ Zanett, Inc. 500 2,545
+ Zapata Corp. 100 5,990
------------
6,343,118
- -----------------------------------------------------------------------------------------------------------------------------------
Gold - 0.1% + Glamis Gold Ltd. 5,900 101,244
+ Hanover Gold Co., Inc. 13,100 917
+ MK Resources Co. 2,000 4,080
+ Meridian Gold, Inc. 5,580 105,853
Royal Gold, Inc. 2,835 51,710
+ US Gold Corp. 12,700 5,207
------------
269,011
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance - 3.5% 21st Century Insurance Group 5,300 72,080
Alfa Corp. 3,500 53,147
+ Alleghany Corp. 522 148,901
+ Allmerica Financial Corp. 3,800 124,754
American Equity Investment Life Holding Co. 1,100 11,847
American Financial Group, Inc. 4,300 134,633
American National Insurance 1,700 177,072
AmerUs Group Co. 2,800 126,840
+ Arch Capital Group Ltd. 705 27,283
+ Argonaut Group, Inc. 1,700 35,921
Arthur J Gallagher & Co. 4,800 156,000
Assurant, Inc. 7,805 238,443
+ Atlantic American Corp. 700 2,170
Baldwin & Lyons, Inc. Class B 850 22,771
Bristol West Holdings, Inc. 3,280 65,600
Brown & Brown, Inc. 3,400 148,070
+ CNA Financial Corp. 14,829 396,082
+ CNA Surety Corp. 800 10,680
+ Clark, Inc. 1,100 17,072
Commerce Group, Inc. 1,900 115,976
+ Conseco, Inc. 8,100 161,595
Crawford & Co. Class B 3,000 22,500
Delphi Financial Group Class A 1,900 87,685
Donegal Group, Inc. Class B 1,566 34,843
EMC Insurance Group, Inc. 500 10,820
Erie Indemnity Co. Class A 3,500 183,995
FBL Financial Group, Inc. Class A 800 22,840
FMS Financial Corp. 400 8,200
+ FPIC Insurance Group, Inc. 600 21,228
Fidelity National Financial, Inc. 9,142 417,515
First American Corp. 4,435 155,846
30
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance (concluded) First United Corp. 400 $ 8,316
Fremont General Corp. 4,800 120,864
Great American Financial Resources, Inc. 2,910 50,547
HCC Insurance Holdings, Inc. 3,700 122,544
Harleysville Group, Inc. 1,800 42,966
Hilb Rogal & Hobbs Co. 1,900 68,856
Horace Mann Educators Corp. 2,400 45,792
Independence Holding Co. 720 13,284
Infinity Property & Casualty Corp. 2,100 73,920
Kansas City Life Ins. Co. 400 18,940
LandAmerica Financial Group, Inc. 1,200 64,716
Liberty Corp. 1,200 52,752
+ Markel Corp. 600 218,400
+ Meadowbrook Insurance Group, Inc. 400 1,996
Merchants Group, Inc. 100 2,400
Mercury General Corp. 2,900 173,768
NYMAGIC, Inc. 600 15,180
+ National Medical Health Card Systems, Inc. 1,000 23,101
Nationwide Financial Services Class A 3,400 129,982
+ Navigators Group, Inc. 800 24,088
Odyssey Re Holdings Corp. 3,700 93,277
+ Ohio Casualty Corp. 4,600 106,766
Old Republic International Corp. 10,650 269,445
+ PMA Capital Corp. Class A 4,195 43,418
The PMI Group, Inc. 3,400 141,950
+ Penn Treaty American Corp. 1,000 2,090
Penn-America Group, Inc. 750 11,325
+ Philadelphia Consolidated Holding Co. 1,300 85,982
The Phoenix Cos., Inc. 5,600 70,000
+ Pico Holdings, Inc. 700 14,539
Presidential Life Corp. 1,800 30,528
+ ProAssurance Corp. 2,300 89,953
Protective Life Corp. 3,700 157,953
RLI Corp. 900 37,413
+ RTW, Inc. 200 1,896
Radian Group, Inc. 5,044 268,543
Reinsurance Group of America 3,300 159,885
+ SCPIE Holdings, Inc. 400 3,960
Selective Insurance Group 2,300 101,752
Stancorp Financial Group, Inc. 1,600 132,000
State Auto Financial Corp. 1,625 42,006
Sterling Financial Corp. 1,250 35,838
Stewart Information Services Corp. 900 37,485
Transatlantic Holdings, Inc. 4,031 249,237
+ Triad Guaranty, Inc. 900 54,432
UICI 3,800 128,820
+ USI Holdings Corp. 1,200 13,884
+ Unico American Corp. 300 2,820
United Fire & Casualty Co. 1,200 40,452
Unitrin, Inc. 3,800 172,710
+ Universal American Financial Corp. 3,200 49,504
+ Vesta Insurance Group, Inc. 1,900 6,992
WR Berkley Corp. 5,085 239,859
+ WellChoice, Inc. 4,500 240,300
Zenith National Insurance Corp. 1,700 84,728
------------
7,706,563
- -----------------------------------------------------------------------------------------------------------------------------------
International Oil - 0.2% + ATP Oil & Gas Corp.(f) 3,700 68,746
GlobalSantaFe Corp. 11,289 373,779
------------
442,525
- -----------------------------------------------------------------------------------------------------------------------------------
Liquor - 0.2% + Boston Beer Co., Inc. Class A 600 12,762
+ Central European Distribution Corp. 1,875 55,388
+ The Chalone Wine Group Ltd. 1,900 26,904
+ Constellation Brands, Inc. Class A 5,440 253,014
Genesee Corp. Class B 1,000 2,000
National Beverage Corp. 2,300 19,136
Pyramid Breweries, Inc. 100 210
------------
369,414
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery-0.0% + Global Power Equipment Group, Inc. 600 5,904
- -----------------------------------------------------------------------------------------------------------------------------------
Materials & Services -0.0% Anchor Glass Container Corp. 200 1,344
+ Polymer Group, Inc. Class B 3 56
------------
1,400
- -----------------------------------------------------------------------------------------------------------------------------------
Media - 3.9% + Acme Communications, Inc. 1,000 7,010
Advanced Marketing Services 1,100 11,066
+ Adolor Corp. 3,000 29,760
+ America's Car Mart, Inc. 500 19,000
Banta Corp. 1,400 62,664
+ Beasley Broadcasting Group, Inc. Class A 400 7,012
Belo Corp. Class A 6,580 172,659
Blockbuster, Inc. Class A 2,700 25,758
31
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Media (concluded) + CNET Networks, Inc. 8,600 $ 96,578
+ CTN Media Group, Inc. 50 0
+ Cablevision Systems Corp. Class A 14,700 366,030
Cadmus Communications Corp. 600 7,680
Carmike Cinemas, Inc. 1,400 51,100
+ Charter Communications, Inc. Class A(f) 17,600 39,424
+ Citadel Broadcasting Corp. 6,500 105,170
+ Consolidated Graphics, Inc. 500 22,950
+ Cross Media Marketing Corp. 29 0
+ Crown Media Holdings, Inc. Class A 6,200 53,320
+ Cumulus Media, Inc. Class A 3,365 50,744
+ The DIRECTV Group, Inc. 85,245 1,427,001
+ Daily Journal Corp. 100 3,625
Dex Media, Inc. 5,700 142,272
EW Scripps Co. Class A 10,240 494,387
EchoStar Communications Corp. Class A 14,865 494,113
+ Emmis Communications Corp. Class A 4,300 82,517
+ Entercom Communications Corp. 2,700 96,903
+ Entravision Communications Corp. Class A 3,000 25,050
+ Fox Entertainment Group, Inc. Class A 25,550 798,693
+ Gartner, Inc. Class A 4,980 62,051
+ Gaylord Entertainment Co. 2,220 92,197
Gray Television, Inc. 1,000 15,500
Hollinger International, Inc. Class A 4,580 71,814
+ iBEAM Broadcasting Corp. 80 0
+ Insight Communications Co., Inc. Class A 5,400 50,058
+ Intraware, Inc. 200 234
John Wiley & Sons, Inc. Class A 3,900 135,876
Journal Communications, Inc. Class A 5,500 99,385
+ Journal Register Co. 1,300 25,129
Lee Enterprises, Inc. 2,600 119,808
+ Liberty Media International, Inc. Class A 10,125 468,079
+ Lifeline Systems, Inc. 400 10,304
+ Lin TV Corp. Class A 2,700 51,570
+ Lynch Interactive Corp. 100 3,200
+ Martha Stewart Living Omnimedia Class A(f) 2,800 81,256
McClatchy Co. Class A 2,900 208,249
Media General, Inc. Class A 1,300 84,253
+ Mediacom Communications Corp. Class A 4,600 28,750
Metro-Goldwyn-Mayer, Inc. 14,254 169,338
+ Network Equipment Technologies, Inc. 1,400 13,748
+ Nexstar Broadcasting Group, Inc. Class A 2,500 23,050
+ Penton Media, Inc. 1,700 153
+ Playboy Enterprises, Inc. Class B 800 9,832
+ Primedia, Inc. 15,834 60,169
Pulitzer, Inc. 600 38,910
+ Radio One, Inc. Class A 5,000 80,500
+ Raindance Communications, Inc. 3,300 7,656
The Reader's Digest Association, Inc. Class A 5,200 72,332
Regal Entertainment Group Class A 4,600 95,450
+ Regent Communications, Inc. 1,900 10,070
+ Saga Communications, Inc. Class A 425 7,161
+ Salem Communications Corp. Class A 1,000 24,950
+ Scholastic Corp. 2,610 96,466
Sinclair Broadcast Group, Inc. Class A 5,200 47,892
+ Source Interlink Cos., Inc. 3,030 40,238
+ Spanish Broadcasting System Class A 4,000 42,240
Thomas Nelson, Inc. 800 18,080
+ Tivo, Inc.(f) 6,865 40,298
+ USTMAN Technologies, Inc. 22,800 182
+ United Capital Corp. 1,800 40,770
+ Univercell Holdings, Inc. 9,900 20
+ Valassis Communications, Inc. 2,600 91,026
+ Valuevision Media, Inc. Class A 2,200 30,602
Washington Post Class B 525 516,086
+ Westwood One, Inc. 6,200 166,966
+ XM Satellite Radio Holdings, Inc. Class A 11,575 435,452
+ Young Broadcasting, Inc. Class A 2,400 25,344
------------
8,505,180
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous - 0.1% Chemed Corp. 600 40,266
+ Coinstar, Inc. 2,300 61,709
Crane Co. 600 17,304
Deluxe Corp. 2,700 100,791
Ennis, Inc. 400 7,700
+ Gerber Scientific, Inc. 1,400 10,654
+ Kaiser Ventures LLC Class A 200 0
------------
238,424
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance - 8.4% 1st Source Corp. 1,000 25,510
+ ACE Cash Express, Inc. 1,240 36,778
AG Edwards, Inc. 4,950 213,890
32
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance (continued) ASB Financial Corp. 300 $ 6,465
+ Accredited Home Lenders Holding Co. 1,700 84,456
Advanta Corp. 1,700 38,454
+ Affiliated Managers Group 1,700 115,158
Agree Realty Corp. 1,400 44,366
Alliance Capital Management Holding LP 5,500 231,000
Amcore Financial, Inc. 1,500 48,270
+ Ameralia, Inc. 900 720
American Financial Realty Trust 8,300 134,294
American Home Mortgage Investment Corp. 2,344 80,282
+ AmeriCredit Corp. 8,150 199,267
+ Ameritrade Holding Corp. 26,780 380,812
+ Ampal American Israel Class A 100 380
Anchor Bancorp Wisconsin, Inc. 1,600 46,640
Astoria Financial Corp. 4,500 179,865
Atlantic Realty Trust Inc. 300 5,052
+ Atlantis Plastics, Inc. 400 7,120
BNP Residential Properties, Inc. 300 4,830
+ BOK Financial Corp. 3,101 151,205
BP Prudhoe Bay Royalty Trust(f) 2,100 101,430
+ Bankunited Financial Corp. Class A 2,735 87,383
Banner Corp. 600 18,714
Bay View Capital Corp. 2,800 42,868
+ Berkshire Hathaway, Inc. Class A 75 6,592,500
+ Berkshire Hathaway, Inc. Class B 136 399,296
Blackrock, Inc. 1,100 84,986
CVB Financial Corp. 2,350 62,416
Capital Corp. of the West 300 14,100
+ CapitalSource, Inc. 6,100 156,587
Cascade Financial Corp. 412 7,651
Cash America International, Inc. 1,700 50,541
Cathay General Bancorp 3,022 113,325
Cedar Shopping Centers, Inc. 1,100 15,730
Central Pacific Financial Corp. 2,476 89,557
+ Cenveo, Inc. 3,000 9,300
+ Ceres Group, Inc. 1,700 8,772
Charter Financial Corp. 500 21,935
CharterMac 2,800 68,432
Chicago Mercantile Exchange Holdings, Inc. 2,060 471,122
+ Citizens, Inc.+(f) 1,112 7,082
Coastal Financial Corp. 572 10,891
Commercial Capital Bancorp, Inc. 4,122 95,548
Commercial Federal Corp. 2,500 74,275
+ CompuCredit Corp. 1,900 51,946
+ Corrections Corp. of America 2,000 80,900
Cotton States Life Insurance Co. 1,600 32,352
Cross Timbers Royalty Trust 1,156 46,101
+ Danielson Holdings Corp. 700 5,915
Dime Community Bancshares 3,700 66,267
Downey Financial Corp. 1,200 68,400
ESB Financial Corp. 629 9,089
Eastern Virginia Bankshares, Inc. 300 7,752
Eaton Vance Corp. 3,900 203,385
+ Encore Capital Group, Inc. 1,300 30,914
+ ePlus, Inc. 2,500 29,525
+ eSpeed, Inc. Class A 3,300 40,821
+ The FINOVA Group, Inc. 900 144
Falcon Financial Investment Trust 4,000 28,000
Fidelity Bankshares, Inc. 900 38,484
Financial Federal Corp. 1,100 43,120
+ Financial Industries Corp. 600 4,800
First Albany Companies Inc. 2,400 23,280
First Community Bancorp, Inc. 1,000 42,700
First Defiance Financial Corp. 400 11,388
First Financial Corp. 800 28,024
First Financial Holdings, Inc. 1,400 45,836
First Indiana Corp. 500 11,255
First Place Financial Corp. 615 13,770
+ First Union Real Estate Equity & Mortgage Investments 6,356 23,962
+ FirstFed Financial Corp. 800 41,496
Flagstar Bancorp, Inc. 3,700 83,620
Flushing Financial Corp. 750 15,045
Friedman Billings Ramsey Group, Inc. Class A 8,310 161,131
Gabelli Asset Management, Inc. Class A 400 19,408
+ Giant Industries, Inc. 1,555 41,223
Glacier Bancorp, Inc. 537 18,279
Greater Delaware Valley Savings Bank 710 27,690
HMN Financial, Inc. 900 28,890
Heritage Financial Corp. 400 8,848
Hudson River Bancorp 1,500 29,685
33
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance (continued) Hugoton Royalty Trust 3,400 $ 89,080
Humphrey Hospitality Trust 300 1,167
IBERIABANK Corp. 800 53,088
+ ITLA Capital Corp. 200 11,758
Independence Community Bank Corp. 4,468 190,247
+ Independence Federal Savings Bank 242 2,626
Independent Bank Corp. 1,142 34,066
IndyMac Bancorp, Inc. 4,000 137,800
InnSuites Hospitality Trust 800 1,104
+ Instinet Group, Inc. 16,200 97,686
International Bancshares Corp. 2,665 104,948
+ Investment Technology Group, Inc. 3,000 60,000
Investors Financial Services Corp. 4,300 214,914
+ iPayment, Inc. 1,400 69,328
Jefferies Group, Inc. New Shares 3,300 132,924
+ KFX, Inc. 1,700 24,684
KNBT Bancorp, Inc. 1,790 30,251
+ Knight Trading Group, Inc. Class A 6,900 75,555
+ La Quinta Corp. 8,600 78,174
+ LabOne, Inc. 1,800 57,672
+ LaBranche & Co., Inc. 3,300 29,568
+ Ladenburg Thalmann Financial Services, Inc. 1,707 990
Legg Mason, Inc. 6,112 447,765
Leucadia National Corp. 3,893 270,486
+ Liberty Self-Stor, Inc. 6,000 2,940
Lincoln Bancorp 1,000 19,289
+ Lipid Sciences, Inc. 1,000 3,660
MAF Bancorp, Inc. 2,780 124,600
MB Financial, Inc. 1,450 61,118
MCG Capital Corp. 3,795 65,008
Maxus Realty Trust, Inc. 300 4,173
McGrath Rentcorp 600 26,166
Medallion Financial Corp. 4,000 38,800
+ Metris Cos., Inc. 3,500 44,625
+ MicroFinancial, Inc. 500 1,875
Mid Penn Bancorp, Inc. 105 2,898
The Midland Co. 300 9,381
Monmouth Capital Corp. 400 2,560
Monmouth Real Estate Investment Corporation Class A 2,200 18,942
NASB Financial, Inc. 400 15,732
+ Nastech Pharmaceutical Co, Inc.(f) 1,490 18,014
National Financial Partners Corp. 2,000 77,600
National Security Group, Inc. 120 2,700
+ National Western Life Insurance Co. Class A 200 33,322
+ Nelnet, Inc. Class A 2,400 64,632
New York Community Bancorp, Inc. 15,464 318,094
+ North American Scientific, Inc. 400 2,156
Northwest Bancorp, Inc. 1,800 45,162
Nuveen Investments, Inc. Class A 5,800 228,926
Oak Hill Financial, Inc. 300 11,637
+ Ocwen Financial Corp. 2,400 22,944
One Liberty Properties, Inc. 200 4,144
Onyx Acceptance Corp. 300 8,388
PAB Bankshares, Inc. 600 7,866
PMC Commercial Trust 2,125 32,236
PVF Capital Corp. 292 4,030
Pacific Capital Bancorp 2,710 92,113
Partners Trust Financial Group, Inc. 2,308 26,890
Peoples Holding Co. 450 14,895
+ Piper Jaffray Cos. 645 30,928
+ Portfolio Recovery Associates, Inc. 1,800 74,196
+ Prime Group Realty Trust 1,300 8,359
R-G Financial Corp. Class B 1,800 69,984
Raymond James Financial, Inc. 3,400 105,332
Resource America, Inc. Class A 1,000 32,500
Roberts Realty Investors, Inc. 300 2,421
SEI Investments Co. 6,760 283,447
SWS Group, Inc. 1,210 26,523
Sanders Morris Harris Group, Inc. 900 16,029
Santander BanCorp 1,903 57,394
Security Bank Corp. 200 8,000
+ Siebert Financial Corp. 3,300 12,705
Sound Federal Bancorp, Inc. 2,700 43,875
+ Sports Resorts International, Inc. 3,000 7,980
Sterling Financial Corp. 2,059 80,836
Student Loan Corp. 1,032 189,888
TF Financial Corp. 100 3,200
+ Tarragon Corp. 453 8,086
+ Transnational Financial Network, Inc. 1,500 780
34
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance (concluded) United Community Banks, Inc. 1,100 $ 29,623
+ United PanAm Financial Corp. 1,000 19,060
+ UnitedGlobalCom, Inc. Class A 21,132 204,135
Universal Health Realty Income Trust 500 16,065
Value Line, Inc. 100 3,924
W Holding Co., Inc. 7,568 173,619
+ WFS Financial, Inc. 2,560 129,997
WP Carey & Co. LLC 1,500 52,740
WVS Financial Corp. 200 3,350
Waddell & Reed Financial, Inc. Class A 3,500 83,615
Washington Federal, Inc. 4,692 124,526
Wayne Savings Bancshares, Inc. 151 2,416
Waypoint Financial Corp. 2,525 71,584
Webster Financial Corp. 3,000 151,920
+ Wellsford Real Properties, Inc. 900 12,978
Wesco Financial Corp. 402 157,986
White Mountains Insurance Group Inc. 100 64,600
+ Willis Lease Finance Corp. 200 1,560
Willow Grove Bancorp, Inc. 2,300 43,585
+ World Acceptance Corp. 2,300 63,273
+ Wyndham International, Inc. Class A 800 952
------------
18,250,068
- -----------------------------------------------------------------------------------------------------------------------------------
Motor Vehicles - 1.2% AO Smith Corp. 1,800 53,892
+ ASV, Inc. 800 38,320
Adesa, Inc. 5,690 120,742
+ Aftermarket Technology Corp. 305 4,910
American Axle & Manufacturing Holdings, Inc. 3,300 101,178
Arctic Cat, Inc. 1,700 45,084
ArvinMeritor, Inc. 3,800 85,006
BorgWarner, Inc. 3,000 162,510
+ CSK Auto Corp. 1,600 26,784
Coachmen Industries, Inc. 700 12,152
+ Collins & Aikman Corp. 6,800 29,648
Donaldson Co., Inc. 4,900 159,642
+ Dura Automotive Systems, Inc. Class A 3,300 35,739
+ Federal-Mogul Corp. 3,300 1,155
+ Fleetwood Enterprises, Inc. 3,190 42,937
Gentex Corp. 5,145 190,468
+ Group 1 Automotive, Inc. 1,000 31,500
+ IMPCO Technologies, Inc. 1,300 9,815
+ Keystone Automotive Industries, Inc. 600 13,950
+ The Lamson & Sessions Co. 200 1,820
Lear Corp. 3,645 222,381
Lithia Motors, Inc. Class A 700 18,774
+ MarineMax, Inc. 800 23,808
+ Midas, Inc. 900 18,000
Modine Manufacturing Co. 1,900 64,163
Monaco Coach Corp. 1,800 37,026
+ Monro Muffler, Inc. 850 21,505
Myers Industries, Inc. 2,020 25,856
Noble International Ltd. 1,300 26,507
Oshkosh Truck Corp. 2,100 143,598
Polaris Industries, Inc. 2,700 183,654
Sonic Automotive, Inc. 1,700 42,160
Spartan Motors, Inc. 2,700 32,211
Standard Motor Products, Inc. 1,200 18,960
+ Starcraft Corp. 945 13,117
+ Stoneridge, Inc. 900 13,617
Superior Industries International 1,510 43,866
+ TRW Automotive Holdings Corp. 5,000 103,500
Thor Industries, Inc. 3,685 136,529
Titan International, Inc. 2,700 40,770
+ Tower Automotive, Inc.(f) 7,000 16,730
United Auto Group, Inc. 2,000 59,180
+ United Defense Industries, Inc. 2,840 134,190
Winnebago Industries 1,800 70,308
------------
2,677,662
- -----------------------------------------------------------------------------------------------------------------------------------
Non-Durables - 2.0% + Acclaim Entertainment, Inc. 8,400 36
Action Performance Cos., Inc. 1,100 12,089
+ Activision, Inc. 7,825 157,908
American Greetings Class A 3,800 96,330
Applebees International, Inc. 5,665 149,839
+ BJ's Restaurants, Inc. 1,100 15,400
+ Benihana, Inc. Class A 430 6,987
Bob Evans Farms, Inc. 2,000 52,280
Bowl America, Inc. Class A 210 2,961
+ Boyds Collection Ltd. 3,700 16,280
+ Brinker International, Inc. 4,900 171,843
+ Buca, Inc. 2,600 18,096
CBRL Group, Inc. 500 20,925
35
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Non-Durables (concluded) + CEC Entertainment, Inc. 2,250 $ 89,932
+ CKE Restaurants, Inc. 2,300 33,373
+ Cabela's, Inc. Class A 1,100 25,014
+ California Pizza Kitchen, Inc. 2,200 50,600
+ Centillium Communications, Inc. 2,400 5,832
+ Championship Auto Racing Teams, Inc. 1,700 238
+ Champps Entertainment, Inc. 2,800 24,136
+ Checkers Drive-In Restaurant 2,700 36,180
+ The Cheesecake Factory 4,417 143,420
Churchill Downs, Inc. 200 8,940
+ Dave & Buster's, Inc. 700 14,140
+ Denny's Corp. 2,700 12,096
+ Department 56 500 8,325
Dover Motorsports, Inc. 7,200 41,256
+ Drew Industries, Inc. 1,200 43,404
+ EMAK Worldwide, Inc. 1,200 12,000
+ Electronics Boutique Holdings Corp. 1,600 68,704
Handleman Co. 1,500 32,220
+ Hanover Direct, Inc. 410 4
+ Hibbett Sporting Goods, Inc. 1,412 37,573
+ Hollywood Media Corp. 4,300 20,855
Ihop Corp. 800 33,512
International Speedway Corp. Class A 3,000 158,400
+ Isle of Capri Casinos, Inc. 3,100 79,515
+ Jack in the Box, Inc. 2,200 81,114
+ Jakks Pacific, Inc. 2,513 55,562
+ Kreisler Manufacturing Corp. 300 1,515
+ Krispy Kreme Doughnuts, Inc.(f) 4,400 55,440
Lancaster Colony Corp. 2,000 85,740
Landry's Restaurants, Inc. 1,700 49,402
+ Lazare Kaplan International, Inc. 300 2,853
+ Leapfrog Enterprises, Inc. 1,800 24,480
+ Lodgenet Entertainment Corp. 1,100 19,459
Lone Star Steakhouse & Saloon 2,200 61,600
+ Luby's, Inc. 1,100 8,250
+ Marvel Enterprises, Inc. 5,700 116,736
+ Midway Games, Inc. 4,900 51,450
+ Morgan's Foods, Inc. 1,600 1,328
Movado Group, Inc. 1,400 26,110
+ O'Charleys, Inc. 2,505 48,973
Ohio Art Co. 300 2,025
Outback Steakhouse, Inc. 4,300 196,854
+ PF Chang's China Bistro, Inc. 1,995 112,418
+ Panera Bread Co. Class A(f) 2,300 92,736
+ Papa John's International, Inc. 1,900 65,436
+ Peco II, Inc. 900 1,035
+ Penn National Gaming, Inc. 3,200 193,760
+ RC2 Corp. 1,670 54,442
+ Rare Hospitality International, Inc. 2,900 92,394
+ Red Robin Gourmet Burgers, Inc. 800 42,776
Regis Corp. 2,500 115,375
Ruby Tuesday, Inc. 3,000 78,240
Russ Berrie & Co., Inc. 1,300 29,692
+ Ryan's Restaurant Group, Inc. 2,600 40,092
+ Samsonite Corp.(f) 3,400 2,890
+ Service Corp. International 20,300 151,235
+ Servotronics, Inc. 400 1,940
+ Sonic Corp. 4,625 141,063
+ Sotheby's Holdings Class A 2,500 45,400
+ The Steak N Shake Co. 800 16,064
+ Steinway Musical Instruments 510 14,759
+ Stewart Enterprises, Inc. Class A 5,000 34,950
+ THQ, Inc. 2,900 66,526
+ Take-Two Interactive Software, Inc. 800 27,832
+ Tam Restaurants, Inc. 6,800 204
The Topps Co., Inc. 2,400 23,400
Traffix, Inc. 3,300 20,955
+ Trans World Entertainment 2,400 29,928
Triarc Cos. 3,700 45,362
Tupperware Corp. 4,655 96,452
World Wrestling Entertainment, Inc. 2,300 27,899
+ Youbet.com, Inc. 3,090 15,635
------------
4,270,424
- -----------------------------------------------------------------------------------------------------------------------------------
Non-Ferrous Metals - 0.5% + AM Castle & Co. 800 9,552
+ Aleris International, Inc. 2,837 48,002
+ Brush Engineered Materials, Inc. 800 14,800
+ Century Aluminum Co. 2,300 60,398
Cleveland-Cliffs, Inc. 500 51,930
+ Coeur d'Alene Mines Corp. 17,500 68,775
Commercial Metals Co. 1,700 85,952
36
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Non-Ferrous Metals (concluded) + Encore Wire Corp. 1,327 $ 17,689
+ Hecla Mining Co. 10,500 61,215
+ Kaiser Aluminum Corp. 10,800 1,004
Minerals Technologies, Inc. 1,300 86,710
Mueller Industries, Inc. 2,600 83,720
+ RTI International Metals, Inc. 900 18,486
Reliance Steel & Aluminum Co. 1,300 50,648
Southern Peru Copper Corp. 4,200 198,282
+ Stillwater Mining Co. 4,784 53,868
+ Titanium Metals Corp. 1,150 27,761
+ Wolverine Tube, Inc. 900 11,619
Worthington Industries 2,500 48,950
------------
999,361
- -----------------------------------------------------------------------------------------------------------------------------------
Optical Photo & Equipment - 0.2% + August Technology Corp. 700 7,371
+ BMC Industries, Inc. 1,100 1
CPI Corp. 2,100 28,539
+ Cyberoptics Corp. 1,100 16,357
Imation Corp. 1,900 60,477
+ Ingram Micro, Inc. Class A 9,430 196,144
+ LaserCard Corp.(f) 2,095 21,977
+ Lexar Media, Inc.(f) 7,200 56,448
+ Meade Instruments Corp. 200 686
+ Panavision, Inc. 300 1,875
+ Photronics, Inc. 3,100 51,150
+ StockerYale, Inc. 100 131
+ Zomax, Inc. 1,600 6,576
+ Zygo Corp. 700 8,253
------------
455,985
- -----------------------------------------------------------------------------------------------------------------------------------
Other Energy - 0.0% + Todco Class A 2,200 40,524
- -----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.5% + Badger Paper Mills, Inc. 200 850
Bowater, Inc. 3,800 167,086
+ Buckeye Technologies, Inc. 200 2,602
CSS Industries, Inc. 700 22,232
+ Caraustar Industries, Inc. 1,700 28,594
Chesapeake Corp. 600 16,296
Deltic Timber Corp. 700 29,715
+ Earthshell Corp. 100 240
Glatfelter 2,400 36,672
+ Kadant, Inc. 480 9,840
Longview Fibre Co. 2,900 52,606
Packaging Corp. of America 5,100 120,105
Pope & Talbot, Inc. 900 15,399
Potlatch Corp. 2,100 106,218
Rayonier, Inc. 2,914 142,524
Rock-Tenn Co. Class A 900 13,644
+ Smurfit-Stone Container Corp. 15,380 287,298
Universal Forest Products, Inc. 1,400 60,760
Wausau-Mosinee Paper Corp. 3,100 55,366
------------
1,168,047
- -----------------------------------------------------------------------------------------------------------------------------------
Producer Goods - 3.3% + AGCO Corp. 5,023 109,953
+ Aaon, Inc. 500 8,035
+ Actuant Corp. Class A 1,800 93,870
+ Aeroflex, Inc. 4,500 54,540
Alamo Group, Inc. 600 16,296
Albany International Corp. Class A 1,700 59,772
+ Allied Motion Technologies, Inc. 115 819
American Vanguard Corp. 100 3,678
Ametek, Inc. 4,500 160,515
Applied Industrial Technologies, Inc. 1,800 49,320
Aptargroup, Inc. 1,800 95,004
+ Arotech Corp. 200 324
+ Astec Industries, Inc. 1,100 18,931
+ BE Aerospace, Inc. 4,200 48,888
Baldor Electric Co. 1,300 35,789
Barnes Group, Inc. 2,100 55,671
+ Blount International, Inc. 300 5,226
Blyth, Inc. 2,600 76,856
Briggs & Stratton Corp. 3,400 141,372
CIRCOR International, Inc. 600 13,896
+ CUNO, Inc. 1,500 89,100
+ Cantel Medical Corp. 600 22,452
+ Capstone Turbine Corp. 4,100 7,503
+ Catalyst Semiconductor, Inc. 200 1,100
Chicago Rivet & Machine Co. 100 2,700
Clarcor, Inc. 1,500 82,155
Cognex Corp. 3,485 97,232
+ Columbus McKinnon Corp. 3,100 26,877
+ Comfort Systems USA, Inc. 1,900 14,592
37
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Producer Goods (continued) + Concord Camera Corp. 1,800 $ 4,122
+ Cryo-Cell International, Inc. 1,900 8,075
+ Culp, Inc. 600 4,068
Curtiss-Wright Corp. 1,000 57,410
+ DiamondCluster International, Inc. Class A 2,100 30,093
+ Distributed Energy Systems Corp. 7,600 19,000
+ Duraswitch Industries, Inc. 400 920
+ Duratek, Inc. 800 19,928
The Eastern Co. 200 4,000
+ FMC Corp. 1,900 91,770
+ The Fairchild Corp. 1,600 5,904
Fastenal Co. 4,745 292,102
Fedders Corp. 4,220 15,276
Federal Signal Corp. 4,000 70,640
+ Flowserve Corp. 2,500 68,850
+ Foster Wheeler Ltd.(f) 240 3,792
Franklin Electric Co., Inc. 700 29,582
+ Gardner Denver, Inc. 1,200 43,548
The Gorman-Rupp Co. 125 2,875
Graco, Inc. 4,687 175,059
+ GrafTech International Ltd. 5,800 54,868
+ HI Shear Technology Corp. 700 4,151
HNI Corp. 3,300 142,065
Hardinge, Inc. 200 2,700
Harsco Corp. 2,400 133,776
+ Hayes Lemmerz International, Inc. 800 7,064
Helix Technology Corp. 2,600 45,214
Herman Miller, Inc. 4,690 129,585
+ Hexcel Corp. 1,700 24,650
Hubbell, Inc. Class B 3,000 156,900
Hughes Supply, Inc. 3,800 122,930
IDEX Corp. 2,950 119,475
+ Ibis Technology Corp. 100 370
+ Ionics, Inc. 1,400 60,676
JLG Industries, Inc. 2,600 51,038
+ Jacuzzi Brands, Inc. 4,500 39,150
+ Jarden Corp. 1,650 71,676
Juno Lighting, Inc. 100 4,149
Kaydon Corp. 2,500 82,550
Kennametal, Inc. 2,000 99,540
+ Kos Pharmaceuticals, Inc. 2,190 82,432
+ LB Foster Co. Class A 600 5,706
+ Ladish Co., Inc. 700 8,043
Lennox International, Inc. 3,200 65,120
Libbey, Inc. 782 17,368
Lincoln Electric Holdings, Inc. 2,295 79,269
Lindsay Manufacturing Co. 700 18,116
+ Lone Star Technologies 1,700 56,882
MSC Industrial Direct Co. Class A 4,100 147,518
+ Magnetek, Inc. 1,700 11,730
Manitowoc Co. 1,600 60,240
+ Material Sciences Corp. 900 16,191
Matthews International Corp. Class A 1,200 44,160
+ Maverick Tube Corp. 2,500 75,750
+ Merix Corp. 2,300 26,496
+ Micrel, Inc. 5,060 55,761
Middleby Corp. 900 45,648
+ Milacron, Inc. 4,356 14,767
+ Modtech Holdings, Inc. 900 7,083
+ Moog, Inc. Class A 1,550 70,292
NACCO Industries, Inc. Class A 300 31,620
+ NATCO Group, Inc. Class A 800 7,040
NN, Inc. 1,000 13,210
Nordson Corp. 1,900 76,133
+ Oceaneering International, Inc. 1,500 55,980
Paul Mueller Co. 100 3,011
Pentair, Inc. 5,850 254,826
+ Plug Power, Inc. 6,407 39,147
+ Possis Medical, Inc. 1,600 21,568
Precision Castparts Corp. 3,525 231,522
+ Presstek, Inc. 3,140 30,395
+ Raytech Corp. 2,600 4,784
Regal-Beloit Corp. 2,505 71,643
+ Research Frontiers, Inc. 800 5,104
Robbins & Myers, Inc. 900 21,447
Ronson Corp. 926 1,759
Roper Industries, Inc. 2,300 139,771
+ SI International, Inc. 470 14,457
SPX Corp. 4,448 178,187
+ Safeguard Scientifics, Inc. 7,200 15,264
38
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Producer Goods (concluded) Sauer-Danfoss, Inc. 1,500 $ 32,715
+ Schuff International, Inc. 500 2,200
+ Selas Corp. of America 500 1,030
+ Sequa Corp. Class A 500 30,575
+ The Shaw Group, Inc. 3,000 53,550
+ Sonic Solutions, Inc. 1,300 29,172
+ Spectrum Control, Inc. 200 1,452
Standex International Corp. 700 19,943
Steelcase, Inc. Class A 3,300 45,672
Stewart & Stevenson Services 3,000 60,690
Sun Hydraulics, Inc. 1,700 27,149
+ SystemOne Technologies, Inc. 600 72
+ TRM Corp. 1,365 32,269
Technology Research Corp. 1,500 10,394
Tecumseh Products Co. Class A 1,600 76,480
Teleflex, Inc. 2,200 114,268
Tennant Co. 500 19,825
+ Tenneco Automotive, Inc. 2,500 43,100
+ Terex Corp. 2,404 114,551
+ ThermoGenesis Corp. 2,500 15,775
Timken Co. 5,500 143,110
Trinity Industries, Inc. 3,200 109,056
+ Triumph Group, Inc. 800 31,600
Twin Disc, Inc. 100 2,555
Valhi, Inc. 7,440 119,710
Valmont Industries, Inc. 1,100 27,621
Watsco, Inc. 500 17,610
Watts Water Technologies, Inc. Class A 1,900 61,256
Woodhead Industries, Inc. 500 8,015
Woodward Governor Co. 600 42,966
X-Rite, Inc. 1,000 16,010
York International Corp. 2,200 75,988
------------
7,203,826
- -----------------------------------------------------------------------------------------------------------------------------------
Railroads & Shipping - 0.4% Alexander & Baldwin, Inc. 2,700 114,534
+ Diamondhead Casino Corp. 4,600 2,622
Florida East Coast Industries 1,800 81,180
GATX Corp. 2,700 79,812
+ General Maritime Corp. 1,600 63,920
+ Genesee & Wyoming, Inc. Class A 2,200 61,886
Greenbrier Cos., Inc. 700 23,695
+ International Shipholding Corp. 300 4,470
+ Kansas City Southern 3,700 65,601
Martin Midstream Partners LP 1,100 32,923
OMI Corp. New Shares 5,300 89,305
Overseas Shipholding Group 2,200 121,440
+ RailAmerica, Inc. 1,900 24,795
+ SCS Transportation, Inc. 1,800 42,066
+ Seabulk International, Inc. 100 1,211
+ Westinghouse Air Brake Technologies Corp. 2,100 44,772
------------
854,232
- -----------------------------------------------------------------------------------------------------------------------------------
Real Property - 6.8% AMB Property Corp. 4,800 193,872
AMLI Residential Properties Trust 1,250 40,000
Acadia Realty Trust 3,500 57,050
Affordable Residential Communities 2,000 28,700
+ Alexander's, Inc. 200 43,000
Alexandria Real Estate Equities, Inc. 1,100 81,862
American Land Lease, Inc. 400 9,016
+ American Real Estate Partners LP 1,800 51,480
+ American Realty Investors, Inc. 500 4,850
Annaly Mortgage Management, Inc. 3,200 62,784
Anthracite Capital, Inc. 3,000 37,080
Anworth Mortgage Asset Corp. 2,700 28,917
Archstone-Smith Trust 11,925 456,728
Arden Realty, Inc. 4,050 152,766
Ashford Hospitality Trust, Inc. 1,200 13,044
Associated Estates Realty Corp. 4,400 44,968
AvalonBay Communities, Inc. 3,445 259,409
+ Avatar Holdings, Inc. 600 28,860
BRE Properties 3,135 126,372
BRT Realty Trust 300 7,302
Bedford Property Investors 1,000 28,410
Big 5 Sporting Goods Corp. 400 11,656
Boston Properties, Inc. 6,520 421,648
+ Boykin Lodging Co. 4,500 41,220
Brandywine Realty Trust 2,720 79,941
+ CB Richard Ellis Group, Inc. 3,000 100,650
CBL & Associates Properties, Inc. 2,200 167,970
CRT Properties, Inc. 1,600 38,176
+ California Coastal Communities, Inc. 400 9,600
Camden Property Trust 3,000 153,000
39
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Real Property (continued) Capital Automotive REIT 3,000 $ 106,575
Capital Title Group, Inc. 5,800 32,248
Capstead Mortgage Corp. 2,500 26,350
CarrAmerica Realty Corp. 4,000 132,000
Catellus Development Corp. 6,378 195,167
Centerpoint Properties Trust 2,900 138,881
Colonial Properties Trust 1,600 62,832
Commercial Net Lease Realty 2,191 45,135
Cornerstone Realty Income Trust, Inc. 6,200 61,876
Corporate Office Properties Trust 1,100 32,285
Correctional Properties Trust 700 20,216
Cousins Properties, Inc. 2,300 69,621
Crescent Real Estate EQT Co. 7,600 138,776
Developers Diversified Realty Corp. 5,383 238,844
Duke Realty Corp. 8,875 302,993
Eastgroup Properties 1,200 45,984
Entertainment Properties Trust 1,800 80,190
Equity Inns, Inc. 5,300 62,222
Equity Lifestyle Properties, Inc. 1,600 57,200
Equity One, Inc. 2,955 70,122
Essex Property Trust, Inc. 1,400 117,320
Federal Realty Investment Trust 3,240 167,346
+ FelCor Lodging Trust, Inc. 3,500 51,275
+ First Acceptance Corp. 1,127 10,098
First Industrial Realty Trust, Inc. 3,000 122,190
Forest City Enterprises, Inc. Class A 2,600 149,630
Gables Residential Trust 1,685 60,306
General Growth Properties, Inc. 14,630 529,021
Getty Realty Corp. 900 25,857
Glenborough Realty Trust, Inc. 1,100 23,408
Global Signal, Inc. 1,900 52,326
Glimcher Realty Trust 2,700 74,817
Government Properties Trust, Inc. 3,600 35,496
+ Grubb & Ellis Co. 322 1,481
HRPT Properties Trust 11,000 141,130
Health Care Property Investors, Inc. 8,200 227,058
Health Care REIT, Inc. 3,400 129,710
Healthcare Realty Trust, Inc. 2,600 105,820
+ Heartland Partners LP Class A 100 406
Heritage Property Investment Trust 2,000 64,180
Highland Hospitality Corp. 2,100 23,604
Highwoods Properties, Inc. 3,950 109,415
Home Properties, Inc. 2,000 86,000
+ Homestore, Inc. 7,100 21,513
Hospitality Properties Trust 3,805 175,030
Host Marriott Corp. 18,100 313,130
IMPAC Mortgage Holdings, Inc. 3,800 86,146
Inland Real Estate Corp. 400 6,380
Innkeepers USA Trust 4,700 66,740
Investors Real Estate Trust 2,400 25,176
iStar Financial, Inc. 6,700 303,242
+ Jones Lang LaSalle, Inc. 1,900 71,079
Kilroy Realty Corp. 1,400 59,850
Kimco Realty Corp. 6,950 403,031
Kramont Realty Trust 1,400 32,760
LNR Property Corp. 1,245 78,323
LTC Properties, Inc. 900 17,919
LaSalle Hotel Properties 1,700 54,111
Lexington Corporate Properties Trust 1,700 38,386
Liberty Property Trust 2,960 127,872
Luminent Mortgage Capital, Inc. 1,970 23,443
MFA Mortgage Investments, Inc. 4,500 39,690
The Macerich Co. 3,100 194,680
Mack-Cali Realty Corp. 3,500 161,105
Maguire Properties, Inc. 1,600 43,936
+ Meristar Hospitality Corp. 4,700 39,245
Mid-America Apartment Communities, Inc. 1,200 49,464
The Mills Corp. 3,300 210,408
National Health Investors, Inc. 1,600 46,688
National Health Realty, Inc. 600 12,006
Nationwide Health Properties, Inc. 4,000 95,000
New Century Financial Corp. 2,545 162,651
New Plan Excel Realty Trust 5,800 157,064
Newcastle Investment Corp. 2,605 82,787
Novastar Financial, Inc. 1,400 69,300
Omega Healthcare Investors, Inc. 2,800 33,040
+ Orleans Homebuilders, Inc. 900 17,865
PS Business Parks, Inc. 700 31,570
Pan Pacific Retail Properties, Inc. 2,809 176,124
Parkway Properties, Inc. 1,200 60,900
40
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Real Property (concluded) Pennsylvania Real Estate Investment Trust 2,299 $ 98,397
Post Properties, Inc. 2,400 83,760
Prentiss Properties Trust 2,600 99,320
Public Storage, Inc. 8,005 446,279
RAIT Investment Trust 1,500 41,955
Ramco-Gershenson Properties 1,900 61,275
+ Reading International, Inc. Class A 1,000 8,360
Realty Income Corp. 1,900 96,102
Reckson Associates Realty Corp. 4,970 163,066
Redwood Trust, Inc. 1,500 93,135
Regency Centers Corp. 3,700 204,980
SL Green Realty Corp. 2,400 145,320
+ Santa Fe Financial Corp. 200 2,292
Saul Centers, Inc. 500 19,125
Senior Housing Properties Trust 3,200 60,608
Shurgard Storage Centers, Inc. 2,900 127,629
Simon Property Group, Inc. 764 49,408
Sizeler Property Investors 800 9,424
Sovran Self Storage, Inc. 1,500 63,210
The St. Joe Co. 4,700 301,740
+ Stratus Properties, Inc. 200 3,150
Summit Properties, Inc. 1,500 48,840
Sun Communities, Inc. 1,000 40,250
Sunset Financial Resources, Inc. 1,795 18,686
Tanger Factory Outlet Centers, Inc. 2,800 74,088
Taubman Centers, Inc. 3,000 89,850
Thornburg Mortgage, Inc. 4,855 140,601
The Town & Country Trust 1,000 27,630
+ Trammell Crow Co. 15,100 273,461
+ Transcontinental Realty Investors, Inc. 100 1,425
Trizec Properties, Inc. 7,900 149,468
US Restaurant Properties, Inc. 2,900 52,374
United Dominion Realty Trust, Inc. 7,465 185,132
Urstadt Biddle Properties, Inc. 1,300 20,995
Ventas, Inc. 5,200 142,532
Vornado Realty Trust 7,305 556,130
Washington Real Estate Investment Trust 1,800 60,966
Weingarten Realty Investors 5,375 215,538
Winston Hotels, Inc. 1,300 15,353
------------
14,887,250
- -----------------------------------------------------------------------------------------------------------------------------------
Retail - 4.2% + 1-800-FLOWERS.COM, Inc. Class A 1,770 14,886
+ 99 Cents Only Stores 2,866 46,314
+ AC Moore Arts & Crafts, Inc. 1,100 31,691
Aaron Rents, Inc. 2,175 54,375
Abercrombie & Fitch Co. Class A 5,500 258,225
+ Able Energy, Inc. 600 1,680
+ Advance Auto Parts 4,000 174,720
+ Alloy, Inc. 2,500 20,175
+ Amazon.com, Inc.(f) 25,040 1,109,022
American Eagle Outfitters 2,605 122,695
+ AnnTaylor Stores Corp. 1,775 38,216
Arden Group, Inc. Class A 200 20,095
+ Asbury Automotive Group, Inc. 400 5,512
+ BJ's Wholesale Club, Inc. 4,800 139,824
+ Barnes & Noble, Inc. 3,500 112,945
+ Blue Nile, Inc.(f) 500 13,810
+ The Bombay Co. Inc. 2,100 11,613
The Bon-Ton Stores, Inc. 2,000 31,500
Borders Group, Inc. 4,500 114,300
+ Brightpoint, Inc. 1,999 39,060
+ Brookstone, Inc. 1,375 26,881
Burlington Coat Factory Warehouse Corp. 2,500 56,750
+ Carmax, Inc. 6,000 186,300
Casey's General Stores, Inc. 3,000 54,450
+ Casual Male Retail Group, Inc.(f) 3,900 21,255
The Cato Corp. Class A 1,300 37,466
+ Central Garden and Pet Co. 1,900 79,306
+ Charlotte Russe Holding, Inc. 1,600 16,160
+ Charming Shoppes 6,855 64,231
+ Chico's FAS, Inc. 4,550 207,162
+ Childrens Place 1,605 59,433
Christopher & Banks Corp. 2,238 41,291
Claire's Stores, Inc. 5,000 106,250
+ Coldwater Creek, Inc. 2,187 67,513
+ Cost Plus, Inc. 1,900 61,047
DEB Shops, Inc. 100 2,504
+ Dollar Tree Stores, Inc. 6,605 189,431
+ Dress Barn, Inc. 1,853 32,613
+ Drugstore.Com 3,400 11,560
+ Ezcorp, Inc. 2,100 32,361
41
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Retail (concluded) Finish Line Class A 2,400 $ 43,920
Flanigan's Enterprises, Inc. 200 1,450
Foot Locker, Inc. 9,000 242,370
Fred's, Inc. 2,350 40,890
+ Gadzooks, Inc. 100 96
+ GameStop Corp. Class A 3,400 76,024
+ GameStop Corp. Class B 1,487 33,324
+ Gander Mountain Co. 1,400 17,962
+ Genesco, Inc. 1,300 40,482
Goody's Family Clothing, Inc. 2,000 18,280
+ Great Atlantic & Pacific Tea Co. 2,400 24,600
+ Greg Manning Auctions, Inc.(f) 2,500 30,950
+ Guitar Center, Inc. 1,900 100,111
+ Gymboree Corp. 2,900 37,178
+ HOT Topic, Inc. 2,850 48,991
Hancock Fabrics, Inc. 2,700 27,999
+ Insight Enterprises, Inc. 3,800 77,976
+ Jo-Ann Stores, Inc. 1,365 37,592
+ Kirkland's, Inc. 900 11,061
+ Kmart Holding Corp.(f) 4,880 482,876
+ Linens 'N Things, Inc. 2,700 66,960
Longs Drug Stores Corp. 2,200 60,654
+ Men's Wearhouse, Inc. 2,200 70,312
Michaels Stores, Inc. 7,000 209,790
Movie Gallery, Inc. 3,395 64,743
+ Navarre Corp. 2,500 44,000
Neiman-Marcus Group, Inc. Class A 2,400 171,696
+ O'Reilly Automotive, Inc. 3,155 142,133
+ Overstock.com, Inc. 1,100 75,900
+ PC Connection, Inc. 1,000 9,520
PEP Boys-Manny Moe & Jack 3,400 58,038
PETsMART, Inc. 8,900 316,217
+ Pacific Sunwear of California 4,425 98,501
+ Party City Corp. 900 11,637
+ Pathmark Stores, Inc. 4,800 27,888
+ Payless Shoesource, Inc. 3,800 46,740
+ Petco Animal Supplies, Inc. 3,400 134,232
Pier 1 Imports, Inc. 5,100 100,470
+ Pricesmart, Inc. 300 2,268
+ Provide Commerce, Inc. 700 26,005
+ Rex Stores Corp. 700 10,633
+ Rent-A-Center, Inc. 4,800 127,200
+ Retail Ventures, Inc. 2,100 14,910
+ Rite Aid Corp. 27,400 100,284
Ross Stores, Inc. 8,600 248,282
Ruddick Corp. 2,600 56,394
Saks, Inc. 7,800 113,178
+ School Specialty, Inc. 1,800 69,408
+ Sharper Image Corp. 1,600 30,160
+ Shoe Carnival, Inc. 700 9,100
+ ShopKo Stores, Inc. 1,800 33,624
+ The Sportsman's Guide, Inc. 1,300 29,250
Stamps.com, Inc. 1,450 22,968
+ Stein Mart, Inc. 1,700 29,002
+ Systemax, Inc. 700 5,138
Talbots, Inc. 3,500 95,305
+ Too, Inc. 2,100 51,366
+ Tractor Supply Co. 2,800 104,188
+ Tuesday Morning Corp. 2,500 76,575
+ Ultimate Electronics, Inc.(f) 2,000 2,460
Unifirst Corp. 400 11,312
+ United Stationers, Inc. 2,100 97,020
+ Urban Outfitters, Inc. 5,000 222,000
+ VSI Holdings, Inc. 500 0
Weis Markets, Inc. 1,700 65,569
+ West Marine, Inc. 2,000 49,500
+ The Wet Seal, Inc. Class A 4,575 10,385
+ Whitehall Jewellers, Inc. 900 7,191
Whole Foods Market, Inc. 2,645 252,201
+ Williams-Sonoma, Inc. 6,700 234,768
+ Zale Corp. 4,000 119,480
------------
9,145,309
- -----------------------------------------------------------------------------------------------------------------------------------
Soaps & Cosmetics - 0.3% + Chattem, Inc. 1,900 62,890
Church & Dwight Co, Inc. 3,600 121,032
+ DEL Laboratories, Inc. 549 19,078
+ Elizabeth Arden, Inc. 2,700 64,098
The Estee Lauder Cos., Inc. Class A 6,080 278,282
Inter Parfums, Inc. 1,200 19,080
Nu Skin Enterprises, Inc. Class A 4,300 109,134
42
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Soaps & Cosmetics (concluded) + Playtex Products, Inc. 5,100 $ 40,749
+ Revlon, Inc. Class A 1,987 4,570
------------
718,913
- -----------------------------------------------------------------------------------------------------------------------------------
Software-0.0% + SYNNEX Corp. 400 9,624
- -----------------------------------------------------------------------------------------------------------------------------------
Steel - 0.4% + AK Steel Holding Corp. 6,500 94,055
Ampco-Pittsburgh Corp. 200 2,920
Carpenter Technology 1,300 75,998
+ Cold Metal Products, Inc. 1,400 0
Friedman Industries 600 6,468
Gibraltar Industries, Inc. 1,800 42,516
Intermet Corp. 6,400 2,080
+ International Steel Group, Inc. 5,400 219,024
+ Keystone Consolidated Industries, Inc. 700 49
+ NS Group, Inc. 300 8,340
+ National Steel Corp. Class B 11,100 22
+ Northwest Pipe Co. 300 7,485
+ Northwestern Steel & Wire Co. 9,000 5
+ Olympic Steel, Inc. 1,405 37,246
+ Oregon Steel Mills, Inc. 2,500 50,725
Quanex Corp. 1,000 68,570
Roanoke Electric Steel Corp. 700 14,470
Ryerson Tull, Inc. 1,300 20,475
Schnitzer Steel Industries, Inc. Class A 1,750 59,378
+ Shiloh Industries, Inc. 400 5,600
Steel Dynamics, Inc. 3,800 143,944
Steel Technologies, Inc. 1,800 49,518
Weirton Steel Corp. 300 0
------------
908,888
- -----------------------------------------------------------------------------------------------------------------------------------
Technology - 0.1% + AT&T Latin America Corp. Class A 7,300 36
+ AirGate PCS, Inc. 400 14,240
+ Calico Commerce, Inc. 200 0
+ GoRemote Internet Communications, Inc. 3,600 7,488
+ International Fibercom, Inc. 200 0
+ Internet Capital Group, Inc. 4,175 37,575
+ InterWorld Corp. 110 5
+ Ipass, Inc. 6,300 46,620
+ Komag, Inc. 2,700 50,706
Lawson Products 600 30,258
+ MAPICS, Inc. 1,300 13,715
+ Mobius Management Systems, Inc. 1,100 7,979
+ Netobjects 200 0
+ Redback Networks, Inc. 2,800 15,008
+ Tyler Technologies, Inc. 2,100 17,556
------------
241,186
- -----------------------------------------------------------------------------------------------------------------------------------
Telephone - 2.6% Adtran, Inc. 4,480 85,747
Advanced Switching 100 0
+ Alamosa Holdings, Inc. 5,760 71,827
Alaska Communications Systems Group, Inc. 1,800 15,534
+ American Tower Corp. Class A 13,900 255,760
+ Applied Digital Solutions, Inc. 7,105 47,959
+ Applied Innovation, Inc. 600 2,088
Applied Signal Technology, Inc. 1,300 45,825
Atlantic Tele-Network Inc. 200 6,500
+ Autobytel, Inc. 2,200 13,288
+ Boston Communications Group 2,900 26,796
CT Communications, Inc. 800 9,840
+ Carrier Access Corp. 2,000 21,360
+ CellStar Corp. 3,155 14,040
+ Centennial Communications Corp. 3,800 30,134
+ Choice One Communications, Inc. 6,900 0
+ Cincinnati Bell, Inc. 9,600 39,840
+ Commonwealth Telephone Enterprises, Inc. 2,000 99,320
+ Copper Mountain Networks 230 626
+ Covad Communications Group, Inc.(f) 11,615 24,856
+ Covista Communications, Inc. 300 582
+ Crown Castle International Corp. 12,440 207,002
D&E Communications, Inc. 699 8,423
+ Davel Communications, Inc. 6,900 97
+ Ditech Communications Corp. 1,900 28,405
+ Dobson Communications Corp. Class A 3,900 6,825
+ Equinix, Inc. 715 30,559
+ Extreme Networks 7,200 47,160
+ Fibernet Telecom Group, Inc. 10 9
+ Finisar Corp.(f) 9,300 21,204
+ Focal Communications Corp. 64 0
+ General Communication Class A 3,400 37,536
+ Global Crossing Ltd.(f) 2,195 39,819
+ GoAmerica, Inc. 6 58
Hector Communications Corp. 100 2,185
43
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Telephone (concluded) HickoryTech Corp. 800 $ 8,552
+ Integrated Telecom 300 0
+ Intelidata Technologies Corp. 3,200 2,112
+ Interdigital Communications Corp. 2,800 61,880
Inter-Tel, Inc. 2,500 68,450
+ j2 Global Communications, Inc. 1,400 48,300
+ Level 3 Communications, Inc.(f) 46,380 157,228
+ Liberty Media Corp. Class A 175,245 1,924,190
MCI, Inc. 14,100 284,256
+ McLeodUSA, Inc. Class A 11,038 7,837
+ NTL, Inc. 5,722 417,477
+ NET2000 Communications, Inc. 300 0
+ Net2Phone, Inc. 5,800 19,720
+ Nextel Partners, Inc. Class A 11,365 222,072
North Pittsburgh Systems, Inc. 600 14,838
+ Novatel Wireless, Inc. 2,286 44,303
+ Optical Cable Corp. 247 1,405
+ Paradyne Networks Corp. 2,200 7,898
+ Pegasus Communications Corp. Class A(f) 2,080 19,531
+ Price Communications Corp. 3,420 63,578
+ Primus Telecommunications GP 12,300 39,114
+ Sonus Networks, Inc. 14,600 83,658
+ Spectrasite, Inc. 2,440 141,276
+ Stratos International, Inc. 390 1,712
Sunrise Telecom, Inc. 4,800 13,632
SureWest Communications 700 19,845
+ Talk America Holdings, Inc. 3,733 24,712
Telephone & Data Systems, Inc. 3,400 261,630
+ Telular Corp. 200 1,702
+ Terremark Worldwide, Inc. 8,000 5,120
+ Time Warner Telecom, Inc. Class A 6,800 29,648
+ Triton PCS Holdings, Inc. Class A 2,300 7,866
+ Tut Systems, Inc. 100 402
+ US Cellular Corp. 5,300 237,228
+ US LEC Corp. Class A 500 1,599
+ US Unwired, Inc. Class A 3,700 17,760
+ Ubiquitel, Inc. 4,100 29,192
+ Ulticom, Inc. 1,700 27,251
Warwick Valley Telephone Co. 400 9,012
+ Z-Tel Technologies, Inc. 40 70
------------
5,567,260
- -----------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Goods - 0.1% + American Biltrite, Inc. 200 2,280
Bandag, Inc. 1,000 49,810
Carlisle Cos., Inc. 2,200 142,824
+ SRI/Surgical Express, Inc. 1,000 4,960
+ TBC Corp. 2,300 63,940
------------
263,814
- -----------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.1% DIMON, Inc. 2,700 18,144
Schweitzer-Mauduit International, Inc. 900 30,555
Universal Corp. 1,845 88,265
Vector Group Ltd. 4,062 67,551
------------
204,515
- -----------------------------------------------------------------------------------------------------------------------------------
Transportation - 0.0% + Celadon Group, Inc. 1,700 37,825
Maritrans, Inc. 500 9,085
Overnite Corp. 900 33,516
------------
80,426
- -----------------------------------------------------------------------------------------------------------------------------------
Travel & Recreation - 1.9% + All-American SportPark, Inc. 4,038 888
+ Alliance Gaming Corp. 4,200 58,002
+ Amerco, Inc. 1,300 59,774
+ American Classic Voyages Co. 100 0
Ameristar Casinos, Inc. 2,300 99,153
+ Argosy Gaming Co. 1,900 88,730
+ Aztar Corp. 2,200 76,824
+ Bally Total Fitness Holding Corp. 4,800 20,352
+ Bluegreen Corp. 300 5,949
Boyd Gaming Corp. 3,600 149,940
+ Buckhead America Corp. 600 6
+ Caesars Entertainment, Inc. 17,835 359,197
Callaway Golf Co. 4,200 56,700
Cedar Fair -LP 2,400 78,960
Central Parking Corp. 2,000 30,300
Choice Hotels International, Inc. 2,700 156,600
+ Dick's Sporting Goods, Inc. 2,400 84,360
+ Dollar Thrifty Automotive Group 1,500 45,300
Dover Downs Gaming & Entertainment, Inc. 589 7,716
+ Empire Resorts, Inc. 400 4,412
+ Full House Resorts, Inc. 1,000 610
+ Glassmaster Co. 1,200 480
+ Hudson Hotels Corp. 800 0
+ Huffy Corp. 100 13
+ International Leisure Hosts Ltd. 400 1,900
44
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry++ Common Stocks Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Travel & Recreation (concluded) + Jameson Inns, Inc. 400 $ 788
+ Johnson Outdoors, Inc. Class A 1,700 34,170
+ K2, Inc. 1,392 22,105
+ Lakes Entertainment, Inc. 2,900 47,241
+ MGM Mirage 8,300 603,742
+ MTR Gaming Group, Inc. 3,400 35,904
Mandalay Resort Group 3,700 260,591
Marcus Corp. 900 22,626
Marine Products Corp. 400 10,444
+ Mikohn Gaming Corp. 4,900 50,078
+ Monarch Casino & Resort, Inc. 2,300 93,265
+ Multimedia Games, Inc. 2,300 36,248
+ Navigant International, Inc.(f) 900 10,953
+ Pinnacle Entertainment, Inc. 3,500 69,230
+ President Casinos, Inc. 2,300 368
+ Renaissance Entertainment Corp. 4,700 611
+ Rent-Way, Inc. 1,200 9,612
Royal Caribbean Cruises Ltd. 11,400 620,616
SCP Pool Corp. 3,150 100,485
+ Scientific Games Corp. Class A 3,700 88,208
+ Sholodge, Inc. 300 1,306
+ Shuffle Master, Inc.(f) 2,162 101,830
+ Six Flags, Inc. 4,100 22,017
+ Sonesta International Hotels Class A 200 1,288
Speedway Motorsports, Inc. 2,000 78,360
+ The Sports Authority, Inc. 1,692 43,569
+ Sports Entertainment Enterprises, Inc. 7,300 64,605
Station Casinos, Inc. 3,400 185,912
+ Stellent, Inc. 1,100 9,702
+ Travis Boats & Motors, Inc. 500 195
+ Vail Resorts, Inc. 1,700 38,114
+ WMS Industries, Inc. 1,800 60,372
+ Westcoast Hospitality Corp. 300 1,830
------------
4,112,551
- -----------------------------------------------------------------------------------------------------------------------------------
Trucking & Freight - 1.0% Arkansas Best Corp. 1,900 85,291
BancTrust Financial Group, Inc. 300 7,266
CH Robinson Worldwide, Inc. 4,800 266,516
CNF, Inc. 1,200 60,120
+ Central Freight Lines, Inc. 500 3,150
+ Covenant Transport, Inc. Class A 700 14,574
Expeditors International Washington, Inc. 5,205 290,855
+ Forward Air Corp. 1,800 80,460
+ Frozen Food Express Industries 800 10,320
+ HUB Group, Inc. Class A 1,100 57,442
Heartland Express, Inc. 4,581 102,935
JB Hunt Transport Services, Inc. 4,600 206,310
Knight Transportation, Inc. 3,000 74,400
+ Laidlaw International, Inc. 4,610 98,654
+ Landstar System, Inc. 2,200 162,008
+ Marten Transport Ltd. 825 18,752
+ Old Dominion Freight Line 1,375 47,850
+ PAM Transportation Services 400 7,500
+ Pacer International, Inc. 3,600 76,536
+ Sirva, Inc. 3,300 63,426
+ Swift Transportation Co., Inc. 4,670 100,312
+ US Xpress Enterprises, Inc. Class A 700 20,510
USF Corp. 1,700 64,515
+ Wabash National Corp. 1,700 45,781
Werner Enterprises, Inc. 4,400 99,616
+ Yellow Roadway Corp. 2,893 161,169
------------
2,226,268
- -----------------------------------------------------------------------------------------------------------------------------------
Utility - 0.0% + Infrasource Services, Inc. 500 6,500
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Common Stocks
(Cost - $157,423,405) - 95.1% 207,406,108
- -----------------------------------------------------------------------------------------------------------------------------------
Face
Fixed Income Securities Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Non-Ferrous Metals - 0.0% Mueller Industries, Inc., 6% due 11/01/2014 $ 500 490
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Fixed Income Securities
(Cost - $490) - 0.0% 490
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks Shares Held
- -----------------------------------------------------------------------------------------------------------------------------------
Telephone - 0.0% ATSI Communications, Inc. (Series H)
(Convertible) 50 34
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investment in Preferred Stocks
(Cost - $200) - 0.0% 34
- -----------------------------------------------------------------------------------------------------------------------------------
Rights
- -----------------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine - 0.0% Psychiatric Solutions, Inc. (Contingent
Value)(e) 800 0
ViroLogic Inc. (Contingent Value)(e) 9,860 2,268
------------
2,268
- -----------------------------------------------------------------------------------------------------------------------------------
Finance - 0.0% Hoenig Group (Contingent Value)(e) 1,500 0
- -----------------------------------------------------------------------------------------------------------------------------------
Retail - 0.0% Pricesmart Inc. (g) 300 306
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Rights
(Cost - $5,519) - 0.0% 2,574
- -----------------------------------------------------------------------------------------------------------------------------------
45
Master Extended Market Index Series
Schedule of Investments as of December 31, 2004 (concluded)
Industry++ Warrants (c) Shares Held Value
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services - 0.0% Magellan Health Services, Inc. 104 $ 1,092
- -----------------------------------------------------------------------------------------------------------------------------------
Construction - 0.0% Foster Wheeler Ltd. Class B 4,800 3,360
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics - 0.0% APW Ltd. 1 0
- -----------------------------------------------------------------------------------------------------------------------------------
Materials & Services - 0.0% Polymer Group Inc. Class A 103 1
Polymer Group Inc. Class B 103 1
------------
2
- -----------------------------------------------------------------------------------------------------------------------------------
Technology - 0.0% Optical Cable Corporation 121 98
- -----------------------------------------------------------------------------------------------------------------------------------
Telephone - 0.0% SpectraSite, Inc. 46 3,920
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Warrants
(Cost - $1,454) - 0.0% 8,472
- -----------------------------------------------------------------------------------------------------------------------------------
Beneficial Interest/
Other Interests (d) Shares Held
- -----------------------------------------------------------------------------------------------------------------------------------
Business Services - 0.0% StorageNetworks, Inc.. (Litigation Trust
Certificates) $ 14,900 0
- -----------------------------------------------------------------------------------------------------------------------------------
Energy & Utilities - 0.0% PetroCorp Incorporated (Escrow Shares) 600 0
- -----------------------------------------------------------------------------------------------------------------------------------
Finance - 0.0% Bingham Financial Services Corporation
(Escrow Shares) 700 0
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance - 0.0% Malan Realty Investors, Inc. (Litigation
Trust Certificates) $ 200 0
- -----------------------------------------------------------------------------------------------------------------------------------
Telephone - 0.0% High Speed Access Corp. (Liquidating Shares) $ 600 0
McLeod USA, Incorporated (Litigation Trust
Certificates) $ 16,016 0
------------
0
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Other Interests
(Cost - $2,282) - 0.0% 0
- -----------------------------------------------------------------------------------------------------------------------------------
Total Long-Term Investments
(Cost - $157,433,350) - 95.1% 207,417,678
- -----------------------------------------------------------------------------------------------------------------------------------
Short-Term Securities Beneficial Interest
- -----------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I(a) $ 9,952,035 9,952,035
Merrill Lynch Liquidity Series, LLC
Money Market Series I(a)(b) 5,655,420 5,655,420
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Short-Term Securities
(Cost - $15,607,455) - 7.2% 15,607,455
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $173,040,805*) - 102.3% 223,025,133
Liabilities in Excess of Other
Assets - (2.3%) (5,033,728)
------------
Net Assets - 100.0% $217,991,405
============
* The cost and unrealized appreciation/depreciation of investments as of
December 31, 2004, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 173,962,487
=============
Unrealized appreciation $ 60,597,582
Unrealized depreciation (11,534,936)
-------------
Net unrealized appreciation $ 49,062,646
=============
+ Non-income producing security.
++ For Series compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes, and/or as defined by Series' management. This definition may not
apply for the purposes of this report, which may combine such industry
sub-classifications for reporting ease. These industry classifications are
unaudited.
(a) Investments in companies considered to be an affiliate of the Series (such
companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) were as follows:
Affiliate Net Interest/
Activity Dividend
-----------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ (2,277,353) $ 147,940
Merrill Lynch Liquidity Series, LLC Money Market Series $ 3,158,070 $ 37,231
Merrill Lynch Premier Institutional Fund (832,450) $ 2,903
-----------------------------------------------------------------------------------------
(b) Security was purchased with the cash proceeds from securities loans.
(c) 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.
(d) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(e) The rights entitle the holder to future cash distribution.
(f) Security, or portion of security, is on loan.
(g) The rights may be exercised until 1/20/2005.
Financial futures contracts purchased as of December 31, 2004 were as
follows:
--------------------------------------------------------------------------
Number of Unrealized
Contracts Issues Expiration Date Face Value Appreciation
--------------------------------------------------------------------------
12 Russell 2000 Index March 2005 $3,856,004 $ 67,696
21 S&P MidCap 400 Index March 2005 $6,758,628 227,547
--------------------------------------------------------------------------
Total Unrealized Appreciation - Net $ 295,243
===========
See Notes to Financial Statements.
46
Master Extended Market Index Series
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2004
===================================================================================================================
Assets: Investments in unaffiliated securities, at value
(including securities loaned of $5,390,683)
(identified cost-$157,433,350) ..................... $ 207,417,678
Investments in affiliated securities, at value
(identified cost-$15,607,455) ...................... 15,607,455
Cash on deposit for financial futures contracts ..... 475,851
Cash ................................................ 51,331
Receivables:
Contributions .............................. $ 355,151
Securities sold ............................ 218,120
Dividends .................................. 201,039
Variation margin ........................... 22,969
Interest (including $18,918 from affiliates) 18,923
Securities lending ......................... 5,538 821,740
-------------
Prepaid expenses and other assets ................... 6,054
-------------
Total assets ........................................ 224,380,109
-------------
===================================================================================================================
Liabilities: Collateral on securities loaned, at value ........... 5,655,420
Payables:
Withdrawals .................................... 717,564
Investment adviser ............................ 2,028
Other affiliates ............................... 981 720,573
-------------
Other liabilities ................................... 12,711
-------------
Total liabilities ................................... 6,388,704
-------------
===================================================================================================================
Net Assets: Net assets .......................................... $ 217,991,405
=============
===================================================================================================================
Net Assets Investors' capital .................................. $ 167,711,834
Consist of: Unrealized appreciation-net ......................... 50,279,571
-------------
Net assets .......................................... $ 217,991,405
=============
===================================================================================================================
See Notes to Financial Statements.
47
Master Extended Market Index Series
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2004
===================================================================================================================
Investment Dividends (net of $1,875 foreign withholding tax) ... $ 2,072,640
Income: Interest (including $147,940 from affiliates) ....... 148,101
Securities lending-net .............................. 40,134
Other ............................................... 3,862
-------------
Total income ........................................ 2,264,737
-------------
===================================================================================================================
Expenses: Professional fees ................................... $ 63,581
Custodian fees ...................................... 36,409
Accounting services ................................. 26,664
Investment advisory fees ............................ 19,311
Printing and shareholder reports .................... 6,805
Trustees' fees and expenses ......................... 2,173
Other ............................................... 16,297
-------------
Total expenses ...................................... 171,240
-------------
Investment income-net ............................... 2,093,497
-------------
===================================================================================================================
Realized & Realized gain on:
Unrealized Gain (Loss) Investments-net .................................. 5,874,633
- -Net: Futures contracts-net ............................ 495,049 6,369,682
-------------
Change in unrealized appreciation on:
Investments-net .................................. 24,307,772
Futures contracts-net ............................ (101,004) 24,206,768
------------- -------------
Total realized and unrealized gain-net .............. 30,576,450
-------------
Net Increase in Net Assets Resulting from Operations $ 32,669,947
=============
===================================================================================================================
See Notes to Financial Statements.
48
Master Extended Market Index Series
STATEMENTS OF CHANGES IN NET ASSETS
For the
Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2004 2003
===================================================================================================================
Operations: Investment income-net ............................... $ 2,093,497 $ 1,356,296
Realized gain (loss)-net ............................ 6,369,682 (936,686)
Change in unrealized appreciation-net ............... 24,206,768 45,815,708
------------- -------------
Net increase in net assets resulting from operationsX 32,669,947 46,235,318
------------- -------------
===================================================================================================================
Capital Proceeds from contributions ......................... 78,308,788 72,933,076
Transactions: Fair value of withdrawals ........................... (65,469,029) (40,449,340)
------------- -------------
Net increase in net assets derived from capital
transactions ........................................ 12,839,759 32,483,736
------------- -------------
===================================================================================================================
Net Assets: Total increase in net assets ........................ 45,509,706 78,719,054
Beginning of year ................................... 172,481,699 93,762,645
------------- -------------
End of year ......................................... $ 217,991,405 $ 172,481,699
============= =============
===================================================================================================================
See Notes to Financial Statements.
49
Master Extended Market Index Series
FINANCIAL HIGHLIGHTS
For
the Period
The following ratios have Oct. 27,
been derived from information For the Year Ended December 31, 2000+ to
provided in the financial -------------------------------------------------------- December 31,
statements. 2004 2003 2002 2001 2000
=================================================================================================================================
Total Investment Total investment return ........ 18.43% 44.11% (17.77%) (9.03%) --
Return:** ----------- ----------- ----------- ----------- -----------
=================================================================================================================================
Ratios to Expenses, net of reimbursement . .09% .12% .08% .08% .08% *
Average Net ----------- ----------- ----------- ----------- -----------
Assets: Expenses ....................... .09% .13% .15% .28% .65% *
----------- ----------- ----------- ----------- -----------
Investment income-net .......... 1.08% 1.09% 1.11% 1.33% 2.02% *
----------- ----------- ----------- ----------- -----------
=================================================================================================================================
Supplemental Net assets, end of period
Data: (in thousands) ................ $ 217,991 $ 172,482 $ 93,763 $ 104,838 $ 20,805
----------- ----------- ----------- ----------- -----------
Portfolio turnover ............. 22.90% 14.53% 28.14% 97.51% 8.88%
----------- ----------- ----------- ----------- -----------
=================================================================================================================================
* Annualized.
** Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
+ Commencement of operations.
See Notes to Financial Statements.
50
Master Extended Market Index Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Extended Market Index Series (the "Series") is part of Quantitative
Master Series Trust (the "Trust"). The Trust is registered under the Investment
Company Act of 1940, as amended, and is organized as a Delaware statutory trust.
The Declaration of Trust permits the Trustees to issue nontransferable interests
in the Series, subject to certain limitations. The financial statements of the
Series are prepared in conformity with U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from estimates. All such adjustments are of a normal,
recurring nature. The following is a summary of significant accounting policies
followed by the Series.
(a) Valuation of investments - Equity securities held by the Series that are
traded on stock exchanges or the Nasdaq National Market are valued at the last
sale price or official close price on the exchange, as of the close of business
on the day the securities are being valued or, lacking any sales, at the last
available bid price for long positions, and at the last available ask price for
short positions. In cases where equity securities are traded on more than one
exchange, the securities are valued on the exchange designated as the primary
market by or under the authority of the Board of Trustees of the Trust. Long
positions traded in the over-the-counter ("OTC") market, Nasdaq Small Cap or
Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Trustees of the Trust. Short positions traded in the OTC market are valued at
the last available ask price. Portfolio securities that are traded both in the
OTC market and on a stock exchange are valued according to the broadest and most
representative market.
Options written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the OTC market, the last ask price.
Options purchased are valued at their last sale price in the case of
exchange-traded options or, in the case of options traded in the OTC market, the
last bid price. Swap agreements are valued daily based upon quotations from
market makers. Financial futures contracts and options thereon, which are traded
on exchanges, are valued at their last sale price as of the close of such
exchanges. Obligations with remaining maturities of 60 days or less are valued
at amortized cost unless the Investment Adviser believes that this method no
longer produces fair valuations.
Repurchase agreements are valued at cost plus accrued interest. The Trust
employs pricing services to provide certain securities prices for the Series.
Securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Board of Trustees of the Trust, including valuations furnished by the
pricing services retained by the Trust, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Trust under the general supervision of the Board of
Trustees of the Trust. Such valuations and procedures will be reviewed
periodically by the Board of Trustees of the Trust.
Generally, trading in foreign securities, as well as U.S. government securities
and money market instruments, is substantially completed each day at various
times prior to the close of business on the New York Stock Exchange ("NYSE").
The values of such securities used in computing the net assets of the Series'
shares are determined as of such times. Foreign currency exchange rates also are
generally determined prior to the close of business on the NYSE. Occasionally,
events affecting the values of such securities and such exchange rates may occur
between the times at which they are determined and the close of business on the
NYSE that may not be reflected in the computation of the Series' net assets. If
events (for example, a company announcement, market volatility or a natural
disaster) occur during such periods that are expected to materially affect the
value of such securities, those securities may be valued at their fair value as
determined in good faith by the Board of Trustees of the Trust or by the
Investment Adviser using a pricing service and/or procedures approved by the
Board of Trustees of the Trust.
(b) Derivative financial instruments - The Series may engage in various
portfolio investment techniques to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract or if the counterparty does not perform
under the contract.
51
o Financial futures contracts - The Series may purchase or sell financial
futures contracts and options on such futures contracts. Futures contracts
are contracts for delayed delivery of securities at a specific future date
and at a specific price or yield. Upon entering into a contract, the
Series deposits and maintains as collateral such initial margin as
required by the exchange on which the transaction is effected. Pursuant to
the contract, the Series agrees to receive from or pay to the broker an
amount of cash equal to the daily fluctuation in value of the contract.
Such receipts or payments are known as variation margin and are recorded
by the Series as unrealized gains or losses. When the contract is closed,
the Series records 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.
o Options - The Series may purchase and write call and put options. When the
Series writes an option, an amount equal to the premium received by the
Series is reflected as an asset and an equivalent liability. The amount of
the liability is subsequently marked to market to reflect the current
market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received)
is added to (or deducted from) the basis of the security acquired or
deducted from (or added to) the proceeds of the security sold. When an
option expires (or the Series enters into a closing transaction), the
Series realizes a gain or loss on the option to the extent of the premiums
received or paid (or loss or gain to the extent the cost of the closing
transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
o Forward foreign exchange contracts - The Series may enter into forward
foreign exchange contracts as a hedge against either specific transactions
or portfolio positions. The contract is marked-to-market daily and the
change in market value is recorded by the Series as an unrealized gain or
loss. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value at the time it was opened
and the value at the time it was closed.
o Foreign currency options and futures - The Series may purchase or sell
listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long
hedge against possible variations in foreign exchange rates. Such
transactions may be effected with respect to hedges on non-U.S.
dollar-denominated securities owned by the Series, sold by the Series but
not yet delivered, or committed or anticipated to be purchased by the
Series.
(c) Income taxes - The Series is classified as a partnership for federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no federal income tax
provision is required. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. 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.
(d) Security transactions and investment income - Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(e) Securities lending - The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it receives a fee from the borrower. The Series typically
receives the income on the loaned securities, but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
52
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Series could experience
delays and costs in gaining access to the collateral. The Series also could
suffer a loss where the value of the collateral falls below the market value of
the borrowed securities, in the event of borrower default or in the event of
losses on investments made with cash collateral.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML
& Co."), which is the limited partner.
FAM is responsible for the management of the Series portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series' net
assets. FAM has entered into a contractual arrangement with the Series under
which all expenses incurred by the Series will not exceed .12%. This arrangement
has a one-year term and is renewable.
The Trust has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., or its
affiliates. Pursuant to that order, the Trust also has retained Merrill Lynch
Investment Managers, LLC ("MLIM, LLC"), an affiliate of FAM, as the securities
lending agent for a fee based on a share of the returns on investment of cash
collateral. MLIM, LLC may, on behalf of the Trust and the Series, invest cash
collateral received by the Series for such loans, among other things, in a
private investment company managed by MLIM, LLC or in registered money market
funds advised by FAM or its affiliates. As of December 31, 2004, the Series lent
securities with a value of $9,452 to MLPF&S or its affiliates. For the year
ended December 31, 2004, MLIM, LLC received $17,321 in securities lending agent
fees from the Series.
For the year ended December 31, 2004, the Series reimbursed FAM $3,998 for
certain accounting services.
Certain officers and/or trustees of the Series are officers and/or trustees of
FAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2004 were $59,809,261 and $40,873,857, respectively.
4. Short-Term Borrowings:
The Series, along with certain other funds managed by FAM and its affiliates, is
a party to a $500,000,000 credit agreement with a group of lenders. The Series
may borrow under the credit agreement to fund shareholder redemptions and for
other lawful purposes other than for leverage. The Series may borrow up to the
maximum amount allowable under the Series' current prospectus and statement of
additional information, subject to various other legal, regulatory or
contractual limits. The Series pays a commitment fee of .07% per annum based on
the Series pro rata share of the unused portion of the credit agreement. Amounts
borrowed under the credit agreement bear interest at a rate equal to, at each
Series election, the federal funds rate plus .50% or a base rate as defined in
the credit agreement. The Series did not borrow under the credit agreement
during the year ended December 31, 2004. On November 26, 2004, the credit
agreement was renewed for one year under substantially the same terms.
53
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Investors and Board of Trustees of
Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Master Extended Market Index Series, one of the
portfolios constituting the Quantitative Master Series Trust (the "Trust") as of
December 31, 2004, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the respective
periods then ended. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the Trust's
internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting
amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. Our procedures included
confirmation of securities owned as of December 31, 2004, by correspondence with
the custodian. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
Extended Market Index Series of the Quantitative Master Series Trust as of
December 31, 2004, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended,
and its financial highlights for each of the respective periods then ended, in
conformity with U.S. generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 18, 2005
54
Officers and Trustees
Number of
Portfolios in Other Public
Position(s) Length Fund Complex Directorships
Held with of Time Overseen by Held by
Name Address & Age Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Interested Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Terry K. P.O. Box 9011 President 2000 to President and Chairman of the Merrill Lynch 124 Funds 163 None
Glenn* Princeton, NJ and Trustee present Investment Managers, L.P. ("MLIM")/Fund Asset Portfolios
08543-9011 Management, L.P. ("FAM") -- advised funds since
Age: 64 1999; Chairman (Americas Region) of MLIM from
2000 to 2002; Executive Vice President of MLIM
and FAM (which terms as used herein include their
corporate predecessors) from 1983 to 2002;
President of FAM Distributors, Inc. ("FAMD") from
1986 to 2002 and Director thereof from 1991 to
2002; Executive Vice President and Director of
Princeton Services, Inc. ("Princeton Services")
from 1993 to 2002; President of Princeton
Administrators, L.P. from 1989 to 2002; Director
of Financial Data Services, Inc. since 1985.
* Mr. Glenn is a director, trustee or member of an advisory board of certain other investment companies for which MLIM
or FAM acts as investment adviser. Mr. Glenn is an "interested person" as described in the Investment Company Act, of
the Trust based on his present and former positions with MLIM, FAM, FAMD, Princeton Services and Princeton
Administrators, L.P. The Trustee's term is unlimited. Trustees serve until their resignation, removal, or death, or
until December 31 of the year in which they turn 72. As Trust President, Mr. Glenn serves at the pleasure of the Board
of Trustees.
====================================================================================================================================
Independent Trustees*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. P.O. Box 9095 Trustee 2002 to General Partner of The Burton Partnership, 23 Funds ITC Delta-
Burton Princeton, NJ present Limited partnership (an Investment Partnership) 42 Portfolios Com, Inc.,
08543-9095 since 1979; Managing General Partner of The Knology,
Age: 60 South Atlantic Venture Funds, since 1983; Member Inc.,
of the Investment Advisory Committee of the Symbion, Inc.
Florida State Board of Administration since
2001.
- ------------------------------------------------------------------------------------------------------------------------------------
M. Colyer P.O. Box 9095 Trustee 2000 to James R. Williston Professor of Investment 24 Funds Cambridge
Crum Princeton, NJ present Management Emeritus, Harvard Business School 43 Portfolios Bancorp
08543-9095 since 1996;
Age: 72 James R. Williston Professor of Investment
Management, Harvard Business School from 1971 to
1996.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurie P.O. Box 9095 Trustee 2000 to Professor of Finance and Economics, Graduate 23 Funds None
Simon Princeton, NJ present School of Business, Columbia University since 42 Portfolios
Hodrick 08543-9095 1998.
Age: 42
55
Officers and Trustees (continued)
Number of
Portfolios Other Public
in Fund Complex Directorships
Position(s) Length Overseen Held by
Held of Time by Director/ Director/
Name Address & Age with Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Independent Trustees* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O. Box 9095 Trustee 2003 to Consultant with Putnam Investments from 1998 to 2003 23 Funds None
Walsh Princeton, NJ present and employed in various capacities there from 1973 42 Portfolios
08543-9095 to 1992; Director, The National Audubon Society
Age: 63 since 1998; Director The American Museum of Fly
Fishing since 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. P.O. Box 9095 Trustee 2000 to Managing Director of FGW Associates since 1997; Vice 23 Funds Watson Pharm-
Weiss Princeton, NJ present President, Planning, Investment and Development of 42 Portfolios aceuticals,
08543-9095 Warner Lambert Co. from 1979 to 1997; Director of Inc.
Age: 63 Michael J. Fox Foundation for Parkinson's Research
since 2000; Director of BTG International, Plc (a
global technology commercialization company) since
2001.
* The Trustee's term is unlimited. Trustees serve until their resignation, removal or death, or until December 31 of the
year in which they turn 72.
Position(s) Length
Held of Time
Address & Age with Trust Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Trust Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. P.O. Box 9011 Vice 1997 to First Vice President of FAM and MLIM since 1997 and Treasurer thereof since
Burke Princeton, NJ President present 1999; Senior Vice President and Treasurer of Princeton Services since 1999 and
08543-9011 and and 1999 Director since 2004; Vice President of FAMD since 1999; Vice President of MLIM
Age: 44 Treasurer to and FAM from 1990 to 1997; Director of Taxation of MLIM from 1990 to 2001.
present
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. P.O. Box 9011 Senior Vice 1999 to President of MLIM/FAM-advised Funds since 2005; President of MLIM and FAM since
Doll, Jr. Princeton, NJ President present 2001; Co-Head (Americas Region) thereof from 2000 to 2001 and Senior Vice
08543-9011 President from 1999 to 2001; President and Director of Princeton Services, Inc.
Age: 50 since 2001; President of Princeton Administrators, L.P. since 2001; Chief
Investment Officer of Oppenheimer Funds, Inc. from 1991 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Richard J. P.O. Box 9011 Vice 1999 to Managing Director and Head of Global Index and Enhanced Index products for
Vella Princeton, NJ President present Merrill Lynch Quantitative Advisors since 1999; Managing Director and Head of
08543-9011 the Global Index and Enhanced Index business at Bankers Trust from 1984 to 1999.
Age: 48
- ------------------------------------------------------------------------------------------------------------------------------------
56
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey P.O Box 9011 Chief 2004 to Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice President
Hiller Princeton, NJ Compliance present and Chief Compliance Officer of MLIM since 2004; Global Director of Compliance
08534 Officer at Morgan Stanley Investment Management from 2002 to 2004; Managing Director
Age: 53 and Global Director of Compliance at Citigroup Asset Management from 2000 to
2002; Chief Compliance Officer at Soros Fund Management in 2000; Chief
Compliance Officer at Prudential Financial from 1995 to 2000.
- ------------------------------------------------------------------------------------------------------------------------------------
Alice A. P.O. Box 9011 Secretary 2004 to Secretary of MLIM, FAM, FAMD and Princeton Services since 2004; Director (Legal
Pellegrino Princeton, NJ present Advisory) of MLIM since 2002; Vice President of MLIM from 1999 to 2002; Attorney
08543-9011 associated with MLIM since 1997.
Age: 44
- ------------------------------------------------------------------------------------------------------------------------------------
* Officers of the Trust serve at the pleasure of the Board of Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Trust's Officers and Trustees is available in the Trust's Statement of Additional
Information, which can be obtained without charge by calling 1-800-MER-FUND.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
JPMorgan Chase Bank
4 Chase MetroTech Center, 18th floor
Brooklyn, NY 11245
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
- --------------------------------------------------------------------------------
Effective January 1, 2005, Terry K. Glenn, President and Trustee and M. Colyer
Crum, Trustee of Quantitative Master Series Trust retired. The Trust's Board of
Trustees wishes Mr. Glenn and Professor Crum well in their retirements.
Effective January 1, 2005, Robert C. Doll, Jr. became Executive Vice President
and Chief Executive Officer of the Trust.
- --------------------------------------------------------------------------------
57
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the
end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Donald W.
Burton, (2) M. Colyer Crum, (3) Laurie Simon Hodrick, (4) John F.
O'Brien (as of November 22, 2004), (5) David H. Walsh and (6) Fred G.
Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick and M. Colyer Crum qualify as financial experts pursuant to
Item 3(c)(4) of Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in financial
analysts' training programs. Ms. Hodrick has also worked with several
prominent corporations in connection with the analysis of financial
forecasts and projections and analysis of the financial statements of
those companies, serving on the Financial Advisory Council of one of
these major corporations. She has also served as the Treasurer and
Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a
number of articles in leading economic and financial journals and is
the associate editor of two leading finance journals.
M. Colyer Crum also possesses a thorough understanding of generally
accepted accounting principals, financial statements, and internal
controls and procedures for financial reporting through a combination
of education and experience. Professor Crum was a professor of
investment management at the Harvard Business School for 25 years. The
courses taught by Professor Crum place a heavy emphasis on the analysis
of underlying company financial statements with respect to stock
selection and the analysis of credit risk in making loans. Professor
Crum has also served on a number of boards of directors and has served
on the audit committees, and in some cases chaired the audit committee,
for several major corporations and financial institutions. For two such
organizations, Professor Crum has performed extensive investment
analysis of financial statements in connection with investment
management decisions. From these experiences, he has gained significant
experience with the establishment of reserves and accounting policies,
differences between U.S. GAAP and Canadian GAAP and executive
compensation issues.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - Fiscal Year Ending December 31, 2004 - $43,000
Fiscal Year Ending December 31, 2003 - $42,400
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2004 - $8,000
Fiscal Year Ending December 31, 2003 - $8,500
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $0
(e)(1) The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to the
registrant's affiliated service providers that relate directly to the
operations and the financial reporting of the registrant. Certain of
these non-audit services that the Committee believes are a) consistent
with the SEC's auditor independence rules and b) routine and recurring
services that will not impair the independence of the independent
accountants may be approved by the Committee without consideration on a
specific case-by-case basis ("general pre-approval"). However, such
services will only be deemed pre-approved provided that any individual
project does not exceed $5,000 attributable to the registrant or
$50,000 for all of the registrants the Committee oversees. Any proposed
services exceeding the pre-approved cost levels will require specific
pre-approval by the Committee, as will any other services not subject
to general pre-approval (e.g., unanticipated but permissible services).
The Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board meeting.
(e)(2) 0%
(f) Not Applicable
(g) Fiscal Year Ending December 31, 2004 - $11,926,355
Fiscal Year Ending December 31, 2003 - $18,621,495
(h) The registrant's audit committee has considered and determined that
the provision of non-audit services that were rendered to the
registrant's investment adviser and any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant
to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible
with maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $945,000, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
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 - Not Applicable
Item 11 - Controls and Procedures
11(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to
the filing date of this report.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the second fiscal half-year of the
period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
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.
Master Extended Market Index Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Master Extended Market Index Series of Quantitative Master Series Trust
Date: February 24, 2005
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/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Master Extended Market Index Series of Quantitative Master Series Trust
Date: February 24, 2005
By: /s/ Donald C. Burke
-----------------------
Donald C. Burke,
Chief Financial Officer of
Master Extended Market Index Series of Quantitative Master Series Trust
Date: February 24, 2005