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 811-07899
811-07885
Name of Fund: Small Cap Index Fund of Merrill Lynch Index Funds, Inc.
Master Small Cap 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, Small Cap Index Fund of Merrill Lynch Index Funds, Inc. and
Master Small Cap 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
[LOGO] Merrill Lynch Investment Managers www.mlim.ml.com
Merrill Lynch
Small Cap Index Fund
Merrill Lynch Index Funds, Inc.
Annual Report
December 31, 2004
[LOGO] Merrill Lynch Investment Managers
Merrill Lynch Small Cap Index Fund
Sector Representation (unaudited)
Percent of Total
As of December 31, 2004 Investments
- --------------------------------------------------------------------------------
Financial Services ........................................ 22.4%
Consumer Discretionary .................................... 16.9
Technology ................................................ 11.9
Health Care ............................................... 11.4
Materials & Processing .................................... 9.5
Producer Durables ......................................... 7.6
Other Energy .............................................. 4.6
Auto & Transportation ..................................... 4.2
Utilities ................................................. 4.0
Consumer Staples .......................................... 1.5
Integrated Oils ........................................... 0.1
Other* .................................................... 5.9
- --------------------------------------------------------------------------------
* Includes portfolio holdings in short-term securities, mutual funds, fixed
income securities and other interests.
Important Tax Information
The following information is provided with respect to the ordinary income
distributions paid by Merrill Lynch Small Cap Index Fund of Merrill Lynch Index
Funds, Inc. during the fiscal year ended December 31, 2004:
================================================================================
Record Date July 21, 2004 December 16, 2004
Payable Date July 27, 2004 December 22, 2004
================================================================================
Qualified Dividend
Income for Individuals 100% 100%
- --------------------------------------------------------------------------------
Dividends Qualifying for the
Dividends Received Deduction
for Corporations 100% 100%
- --------------------------------------------------------------------------------
Please retain this information for your records.
2 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
A Letter From the President and Chief Investment Officer
Dear Shareholder
The U.S. equity market ended 2004 in positive territory, although not without
some suspense along the way. Fixed income markets also performed well, with high
yield bond investors enjoying some of the greatest returns.
Over the past year, the equity market generally found support from a healthy
economic environment, above-average corporate earnings, increased capital
spending and still-low interest rates. Stalling the momentum somewhat throughout
the year was a contentious election, negligible inflation amid a rising federal
funds interest rate, record-high oil prices and the seemingly ever-present
worries over terrorism and the war in Iraq.
Still, the Standard & Poor's 500 Index posted a 12-month return of +10.88% and a
six-month return of +7.19% as of December 31, 2004. The fourth quarter of the
year proved to be the most telling, as the S&P 500 Index was up only 1.51%
year-to-date as of September 30, 2004. As the price of oil relaxed and election
uncertainties subsided, the market headed more convincingly upward in the last
quarter of the year.
Given the relatively positive environment for equities, the favorable
performance of the bond market came as somewhat of a surprise. The Lehman
Brothers Aggregate Bond Index posted a 12-month return of +4.34% and a six-month
return of +4.18% as of December 31, 2004. The tax-exempt market performed just
as well, with a 12-month return of +4.48% and a six-month return of +5.19%, as
measured by the Lehman Brothers Municipal Bond Index. Those comfortable with a
higher degree of risk benefited this past year, as the Credit Suisse First
Boston High Yield Index posted a 12-month return of +11.95% and a six-month
return of +9.26%. Interestingly, as the Federal Reserve Board began raising its
target short-term interest rate, long-term bond yields were little changed. In
fact, the yield on the 10-year Treasury was 4.24% at year-end compared to 4.27%
at December 31, 2003. The yield on the two-year Treasury climbed to 3.08% at
year-end 2004 from 1.84% a year earlier.
As always, our investment professionals are closely monitoring the markets, the
economy and the overall environment in an effort to make well-informed decisions
for the portfolios they manage. For the individual investor, the key to
investment success -- particularly during uncertain times -- is to maintain a
long-term perspective and adhere to the disciplines of asset allocation,
diversification and rebalancing. We encourage you to work with your financial
advisor to ensure these time-tested techniques are incorporated into your
investment plan.
We thank you for trusting Merrill Lynch Investment Managers with your investment
assets, and we look forward to serving you in the new year and beyond.
Sincerely,
/s/ Robert C. Doll, Jr.
Robert C. Doll, Jr.
President and Chief Investment Officer
Merrill Lynch Investment Managers
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 3
[LOGO] Merrill Lynch Investment Managers
A Discussion With Your Fund's Portfolio Managers
The Fund was able to meet its objective of closely tracking the
performance of the Russell 2000 Index for the year.
How did the Fund perform during the fiscal year?
For the 12-month period ended December 31, 2004, Merrill Lynch Small Cap Index
Fund's Class A and Class I Shares had total returns of +17.29% and +17.55%,
respectively. For the same period, the Fund's benchmark, the Russell 2000 Index,
returned +18.33%. (Complete performance information can be found on pages 6 and
7 of this report to shareholders.)
The Fund met its objective of closely tracking the return of the Russell 2000, a
market-weighted index composed of approximately 2,000 common stocks issued by
small-capitalization U.S. companies in a range of businesses. As the value of
the Russell 2000 Index fluctuated during the year, the Fund's performance
generally tracked that of the Index. Throughout the year, as changes were made
to the composition of the Russell 2000 Index, we purchased and sold securities
to maintain our objective of replicating the risks and return of the benchmark.
As an index fund, the portfolio mirrors the composition of the Russell 2000
Index, a common measure of U.S. market performance for small cap stocks. What
developments affected the market for small cap stocks during the period?
The year 2004 proved to be a positive one for U.S. equity markets, and
particularly for small cap stocks, as indicated by the +18.33% return of the
Russell 2000 Index. By comparison, the Russell 1000 Index, which measures the
performance of large-capitalization stocks, returned +11.40% for the 12 months
ended December 31, 2004.
The beginning of 2004 brought a significant rise in equities, driven by
better-than-expected corporate earnings. The second quarter showed flat to
positive returns for the domestic equity markets, influenced mainly by
indecisive investors. This behavior stemmed from continued political tension in
the United States, violence in Iraq and record-high oil prices. A shift in
investor favor from lower-quality, lower-price and higher-beta (riskier)
securities to higher-quality, higher-cap and lower-beta stocks took place at the
end of the first quarter and grew stronger in the second quarter. For the first
half of 2004, the Russell 1000 Index returned +3.33% and the Russell 2000 Index
returned +6.76%. Large cap stocks showed some strength mid-year, but small caps
rebounded in the fourth quarter. Overall, small caps outperformed large caps for
the sixth consecutive year in 2004.
As the third quarter progressed, the course of economic news slowly began to
point toward a strengthening economy. However, the stock market still faced a
number of challenges, including the geopolitical situation, higher oil prices,
U.S. election uncertainty and a shifting Federal Reserve Board (the Fed) policy.
The fourth quarter, however, proved to be the breakout that investors were
looking for in the U.S. equity markets, as negative October headlines segued
into positive November and December news. As a result of lower 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, more than doubling it from 1% to 2.25% by
year-end.
On December 31, 2004, the Standard & Poor's 500 Index closed 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 delivered comparable gains,
with the Financial Times Stock Exchange 100 Index closing at 4,814.30,
representing a return of +7.54% in sterling. Meanwhile, 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.
As the returns indicate, small cap stocks (as measured by the Russell 2000
Index) outperformed the broader market during the year. Within the small cap
universe, the value style of investing outperformed the growth style for the
year, with the Russell 2000 Value Index returning +22.25% versus the +14.31%
return of the Russell 2000 Growth Index. Turning
4 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
to sector performance, 11 of the 12 Russell 2000 Index sectors posted positive
returns for the year. The top-performing sector was "other energy," which
consists of energy-related businesses, excluding integrated oils. The sector
gained an impressive +50.51% for the year and was followed by "other" (a
category that includes many conglomerates) and integrated oils, which returned
+44.78% and +38.05%, respectively. Technology was by far the worst-performing
sector in the Index, returning -1.85%. It was followed by consumer staples, up
13.50%, and health care, up 15.90%.
How would you characterize market conditions at the close of the period?
As 2004 came to an end, the economy and earnings growth were beginning to slow,
the Fed appeared poised to continuing 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 recent rate hike, but clearly have been benefiting from 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 well. Having said that, we expect the
portfolio to continue to meet its objective of tracking the performance of the
Russell 2000 Index in 2005.
Vincent J. Costa
Co-Portfolio Manager
Debra L. Jelilian
Co-Portfolio Manager
Jeffrey L. Russo
Co-Portfolio Manager
January 11, 2005
- --------------------------------------------------------------------------------
We are pleased to announce that the day-to-day management of Merrill Lynch Small
Cap Index Fund is now run by Vincent J. Costa, Director of Merrill Lynch
Investment Managers (MLIM) (Quantitative Investments) since 1999; Debra L.
Jelilian, Director of MLIM (Quantitative Investments) since 1999; and Jeffrey L.
Russo, Director of MLIM (Quantitative Investments) since 2004 and Vice President
of MLIM from 1999 to 2004.
- --------------------------------------------------------------------------------
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 5
[LOGO] Merrill Lynch Investment Managers
Performance Data
About Fund Performance
Investors are able to purchase shares of the Fund, which offers two pricing
alternatives:
o Class A Shares do not incur an initial sales charge (front-end load) or
deferred sales charge and bear no ongoing distribution fee. In addition,
Class A Shares are subject to an ongoing account maintenance fee of .25%
per year.
o Class I Shares do not incur an initial sales charge (front-end load) or
deferred sales charge and bear no ongoing distribution or account
maintenance fees. Class I Shares are available only to eligible investors.
None of the past results shown should be considered a representation of future
performance. Current performance may be lower or higher than the performance
data quoted. Refer to www.mlim.ml.com to obtain performance data current to the
most recent month-end. Performance results do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares. The Fund is subject to a 2% redemption fee for sales or exchanges of
shares within 30 days of purchase. Performance data does not reflect this
potential fee. Figures shown in each of the following tables assume reinvestment
of all dividends and capital gain distributions, if any, at net asset value on
the ex-dividend date. Investment return and principal value of shares will
fluctuate so that shares, when redeemed, may be worth more or less than their
original cost. Dividends paid to each class of shares will vary because of the
different levels of account maintenance, distribution and transfer agency fees
applicable to each class, which are deducted from the income available to be
paid to shareholders. The Fund's Administrator and the Series' Investment
Adviser voluntarily waived a portion of their administrative and management
fees, respectively. Without such waivers, the Fund's performance would have been
lower.
Recent Performance Results
6-Month 12-Month Since Inception
As of December 31, 2004 Total Return Total Return Total Return
==================================================================================================
ML Small Cap Index Fund Class A Shares* +10.42% +17.29% + 98.05%
- --------------------------------------------------------------------------------------------------
ML Small Cap Index Fund Class I Shares* +10.50 +17.55 +101.78
- --------------------------------------------------------------------------------------------------
Russell 2000(R) Index** +10.83 +18.33 +107.37
- --------------------------------------------------------------------------------------------------
* Cumulative total investment returns are based on changes in net asset
value for the periods shown, and assume reinvestment of all dividends and
capital gains distributions at net asset value on the ex-dividend date.
The Fund's inception date is 4/09/97.
** This unmanaged Index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors.
Since inception total return is from 4/09/97.
Russell 2000 is a registered trademark of the Frank Russell Companies.
6 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Performance Data (concluded)
Total Return Based on a $10,000 Investment--Class A & Class I Shares
A line graph depicting the growth of an investment in the Fund's Class A Shares
and Class I Shares compared to growth of an investment in the Russell 2000
Index. Values are from April 9, 1997 to December 2004.
4/09/97** 12/97 12/98 12/99 12/00 12/01 12/02 12/03 12/04
ML Small Cap Index
Fund+--Class A Shares* $10,000 $12,687 $12,253 $14,759 $14,382 $14,608 $11,577 $16,886 $19,805
ML Small Cap Index
Fund+--Class I Shares* $10,000 $12,704 $12,304 $14,862 $14,504 $14,777 $11,731 $17,165 $20,178
4/30/97** 12/97 12/98 12/99 12/00 12/01 12/02 12/03 12/04
Russell 2000 Index++ $10,000 $12,743 $12,419 $15,059 $14,604 $14,967 $11,901 $17,525 $20,737
* Assuming transaction costs and other operating expenses, including
advisory fees.
** Commencement of operations.
+ The Fund invests all of its assets in Master Small Cap Index Series of
Quantitative Master Series Trust. The Series may invest in a statistically
selected sample of the stocks included in the Russell 2000 Index and other
types of financial instruments.
++ This unmanaged index is comprised of approximately 2,000
smaller-capitalization common stocks from various industrial sectors.
Past performance is not predictive of future performance.
Average Annual Total Return
Class A Shares Return
================================================================================
One Year Ended 12/31/04 +17.29%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/04 + 6.06
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/04 + 9.24
- --------------------------------------------------------------------------------
Class I Shares Return
================================================================================
One Year Ended 12/31/04 +17.55%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/04 + 6.31
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/04 + 9.51
- --------------------------------------------------------------------------------
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 7
[LOGO] Merrill Lynch Investment Managers
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses related
to transactions, including sales charges, redemption fees and exchange fees; and
(b) operating expenses including advisory fees, distribution fees including
12(b)-1 fees, and other Fund expenses. The following example (which is based on
a hypothetical investment of $1,000 invested on July 1, 2004 and held through
December 31, 2004) is intended to assist shareholders both in calculating
expenses based on an investment in the Fund and in comparing these expenses with
similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during the
period covered by this report, shareholders can divide their account value by
$1,000 and then multiply the result by the number in the first line under the
heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders ongoing
costs only and do not reflect any transactional expenses, such as sales charges,
redemption fees or exchange fees. Therefore, the second table is useful in
comparing ongoing expenses only, and will not help shareholders determine the
relative total expenses of owning different funds. If these transactional
expenses were included, shareholder expenses would have been higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value July 1, 2004 to
July 1, 2004 December 31, 2004 December 31, 2004
=====================================================================================================================
Actual
=====================================================================================================================
Class A $1,000 $1,104.20 $4.34
- ---------------------------------------------------------------------------------------------------------------------
Class I $1,000 $1,105.00 $3.02
=====================================================================================================================
Hypothetical (5% annual return before expenses)**
=====================================================================================================================
Class A $1,000 $1,021.01 $4.17
- ---------------------------------------------------------------------------------------------------------------------
Class I $1,000 $1,022.27 $2.90
- ---------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (.82% for Class A and .57% for Class I), multiplied by
the average account value over the period, multiplied by 184/366 (to
reflect the one-half year period shown). Because the Fund is a feeder
fund, the expense table example reflects the expenses of both the feeder
fund and the master series in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating
the number of days in the most recent fiscal half year divided by 366.
8 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Statement of Assets and Liabilities Merrill Lynch Small Cap Index Fund
As of December 31, 2004
=============================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------
Investment in Master Small Cap Index Series (the "Series"),
at value (identified cost--$98,493,898) .......................... $ 124,605,314
Prepaid expenses and other assets ................................. 12,751
-------------
Total assets ...................................................... 124,618,065
-------------
=============================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------
Payables:
Administrator .................................................. $ 33,863
Distributor .................................................... 12,097 45,960
-------------
Accrued expenses .................................................. 26,439
-------------
Total liabilities ................................................. 72,399
-------------
=============================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
Net assets ........................................................ $ 124,545,666
=============
=============================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------
Class A Shares of Common Stock, $.0001 par value, 125,000,000
shares authorized ................................................ $ 401
Class I Shares of Common Stock, $.0001 par value, 125,000,000
shares authorized ................................................ 482
Paid-in capital in excess of par .................................. 101,817,864
Undistributed investment income--net .............................. $ 68,385
Accumulated realized capital losses allocated from the
Series--net ...................................................... (3,452,882)
Unrealized appreciation allocated from the Series--net ............ 26,111,416
-------------
Total accumulated earnings--net ................................... 22,726,919
-------------
Net Assets ........................................................ $ 124,545,666
=============
=============================================================================================================================
Net Asset Value
- -----------------------------------------------------------------------------------------------------------------------------
Class A--Based on net assets of $56,521,789 and 4,009,167
shares outstanding ............................................... $ 14.10
=============
Class I--Based on net assets of $68,023,877 and 4,822,826
shares outstanding ............................................... $ 14.10
=============
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 9
[LOGO] Merrill Lynch Investment Managers
Statement of Operations Merrill Lynch Small Cap Index Fund
For the Year Ended December 31, 2004
=============================================================================================================================
Investment Income Allocated from the Series--Net
- -----------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends (net of $452 foreign withholding tax) ................ $ 1,226,108
Interest (including $56,351 from affiliates) ................... 56,826
Securities lending--net ........................................ 37,204
Expenses (net of $919 expense reimbursement) ................... (86,477)
-------------
Net investment income allocated from the Series ................... 1,233,661
-------------
=============================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------
Administration fees ............................................... $ 319,410
Account maintenance fees--Class A ................................. 133,177
Printing and shareholder reports .................................. 84,110
Transfer agent fees ............................................... 66,455
Registration fees ................................................. 38,292
Professional fees ................................................. 7,550
Directors' fees and expenses ...................................... 1,788
Other ............................................................. 18,989
Total expenses before waiver ...................................... 669,771
-------------
Waiver of expenses ................................................ (1,954)
-------------
Total expenses after waiver ....................................... 667,817
-------------
Investment income--net ............................................ 565,844
-------------
=============================================================================================================================
Realized & Unrealized Gain Allocated from the Series--Net
- -----------------------------------------------------------------------------------------------------------------------------
Realized gain on investments and futures contracts allocated
from the Series--net ............................................. 4,933,608
Change in unrealized appreciation on investments and futures
contracts allocated from the Series--net ......................... 12,603,818
-------------
Total realized and unrealized gain allocated from the Series--net . 17,537,426
-------------
Net Increase in Net Assets Resulting from Operations .............. $ 18,103,270
=============
See Notes to Financial Statements.
10 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Statements of Changes in Net Assets Merrill Lynch Small Cap Index Fund
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2004 2003
=============================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------
Investment income--net ............................................ $ 565,844 $ 370,316
Realized gain (loss) allocated from the Series--net ............... 4,933,608 (429,263)
Change in unrealized appreciation allocated from the Series--net .. 12,603,818 29,599,592
-------------------------------
Net increase in net assets resulting from operations .............. 18,103,270 29,540,645
-------------------------------
=============================================================================================================================
Dividends to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------
Investment income--net:
Class A ........................................................ (181,632) (123,152)
Class I ........................................................ (345,798) (232,260)
-------------------------------
Net decrease in net assets resulting from dividends to shareholders (527,430) (355,412)
-------------------------------
=============================================================================================================================
Capital Share Transactions
- -----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets derived from capital share transactions 5,496,144 7,042,747
-------------------------------
=============================================================================================================================
Redemption Fee
- -----------------------------------------------------------------------------------------------------------------------------
Redemption fee .................................................... 103 --
-------------------------------
=============================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ...................................... 23,072,087 36,227,980
Beginning of year ................................................. 101,473,579 65,245,599
-------------------------------
End of year* ...................................................... $ 124,545,666 $ 101,473,579
===============================
* Undistributed investment income--net ......................... $ 68,385 $ 29,692
===============================
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 11
[LOGO] Merrill Lynch Investment Managers
Financial Highlights Merrill Lynch Small Cap Index Fund
Class A
------------------------------------------------------------------
The following per share data and ratios have been derived For the Year Ended
from information provided in the financial statements. December 31,
------------------------------------------------------------------
Increase (Decrease) in Net Asset Value: 2004 2003 2002 2001 2000
==================================================================================================================================
Per Share Operating Performance
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ... $ 12.06 $ 8.29 $ 10.53 $ 10.45 $ 11.77
------------------------------------------------------------------
Investment income--net ............... .05@@ .04@@ .05@@ .08@@ .14
Realized and unrealized gain (loss)
allocated from the Series--net ...... 2.03 3.76 (2.23) .08 (.43)
------------------------------------------------------------------
Total from investment operations ..... 2.08 3.80 (2.18) .16 (.29)
------------------------------------------------------------------
Less dividends and distributions:
Investment income--net ............ (.04) (.03) (.06) (.08) (.14)
In excess of investment income--net -- -- -- -- --@
Realized gain allocated from the
Series--net ...................... -- -- -- -- (.76)
In excess of realized gain
allocated from the Series--net ... -- -- -- -- (.13)
------------------------------------------------------------------
Total dividends and distributions .... (.04) (.03) (.06) (.08) (1.03)
------------------------------------------------------------------
Net asset value, end of year ......... $ 14.10 $ 12.06 $ 8.29 $ 10.53 $ 10.45
==================================================================
==================================================================================================================================
Total Investment Return
- ----------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ... 17.29% 45.85% (20.75%) 1.57% (2.56%)
==================================================================
==================================================================================================================================
Ratios to Average Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver+ ............. .81% .85% .75% .75% .74%
==================================================================
Expenses+ ............................ .81% .88% .89% .88% .85%
==================================================================
Investment income--net ............... .38% .36% .56% .78% 1.26%
==================================================================
==================================================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $56,522 $50,280 $34,308 $44,505 $64,056
==================================================================
Portfolio turnover of the Series ..... 37.74% 28.57% 39.00% 48.50% 50.51%
==================================================================
+ Includes the Fund's share of the Series' allocated expenses.
@ Amount is less than $(.01) per share.
@@ Based on average shares outstanding.
See Notes to Financial Statements.
12 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Financial Highlights (concluded) Merrill Lynch Small Cap Index Fund
Class I
------------------------------------------------------------------
The following per share data and ratios have been derived For the Year Ended
from information provided in the financial statements. December 31,
------------------------------------------------------------------
Increase (Decrease) in Net Asset Value: 2004 2003 2002 2001 2000
==================================================================================================================================
Per Share Operating Performance
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ... $ 12.06 $ 8.28 $ 10.53 $ 10.45 $ 11.78
------------------------------------------------------------------
Investment income--net ............... .08@@ .06@@ .08@@ .10@@ .16
Realized and unrealized gain (loss)
allocated from the Series--net ...... 2.04 3.77 (2.25) .10 (.43)
------------------------------------------------------------------
Total from investment operations ..... 2.12 3.83 (2.17) .20 (.27)
------------------------------------------------------------------
Less dividends and distributions:
Investment income--net ............ (.08) (.05) (.08) (.12) (.17)
In excess of investment income--net -- -- -- -- --@
Realized gain allocated from the
Series--net ...................... -- -- -- -- (.76)
In excess of realized gain
allocated from the Series--net ... -- -- -- -- (.13)
------------------------------------------------------------------
Total dividends and distributions .... (.08) (.05) (.08) (.12) (1.06)
------------------------------------------------------------------
Net asset value, end of year ......... $ 14.10 $ 12.06 $ 8.28 $ 10.53 $ 10.45
==================================================================
==================================================================================================================================
Total Investment Return
- ----------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ... 17.55% 46.32% (20.61%) 1.88% (2.41%)
==================================================================
==================================================================================================================================
Ratios to Average Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver+ ............. .56% .60% .50% .50% .49%
==================================================================
Expenses+ ............................ .56% .63% .64% .63% .60%
==================================================================
Investment income--net ............... .64% .61% .82% 1.02% 1.51%
==================================================================
==================================================================================================================================
Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $68,024 $51,194 $30,938 $36,317 $35,544
==================================================================
Portfolio turnover of the Series ..... 37.74% 28.57% 39.00% 48.50% 50.51%
==================================================================
+ Includes the Fund's share of the Series' allocated expenses.
@ Amount is less than $(.01) per share.
@@ Based on average shares outstanding.
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 13
[LOGO] Merrill Lynch Investment Managers
Notes to Financial Statements Merrill Lynch Small Cap Index Fund
1. Significant Accounting Policies:
Merrill Lynch Small Cap Index Fund (the "Fund") is part of Merrill Lynch Index
Funds, Inc. (the "Corporation"). The Fund is registered under the Investment
Company Act of 1940, as amended, as a non-diversified mutual fund. The Fund
seeks to achieve its investment objective by investing all of its assets in
Master Small Cap Index Series (the "Series") of Quantitative Master Series
Trust, which has the same investment objective and strategy as the Fund. The
value of the Fund's investment in the Series reflects the Fund's proportionate
interest in the net assets of the Series. The performance of the Fund is
directly affected by the performance of the Series. The financial statements of
the Series, including the Schedule of Investments, are included elsewhere in
this report and should be read in conjunction with the Fund's financial
statements. The Fund's financial statements 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 these
estimates. The percentage of the Series owned by the Fund at December 31, 2004
was 34.1%. The Fund offers two classes of shares. Shares of Class A and Class I
are sold without the imposition of a front-end or deferred sales charge. Both
classes of shares have identical voting, dividend, liquidation and other rights
and the same terms and conditions, except that Class A Shares bear certain
expenses related to the account maintenance of such shares and have exclusive
voting rights with respect to matters relating to its account maintenance
expenditures. Income, expenses (other than expenses attributable to a specific
class) and realized and unrealized gains and losses on investments and foreign
currency transactions are allocated daily to each class based on its relative
net assets. The following is a summary of significant accounting policies
followed by the Fund.
(a) Valuation of investments -- The Fund records its investment in the Series at
fair value. Valuation of securities held by the Series is discussed in Note 1a
of the Series' Notes to Financial Statements, which are included elsewhere in
this report.
(b) Investment income and expenses -- The Fund records daily its proportionate
share of the Series' income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
(c) Income taxes -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to shareholders. 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.
(d) Prepaid registration fees -- Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates.
(f) Investment transactions -- Investment transactions in the Series are
accounted for on a trade date basis.
(g) Reclassification -- U.S. generally accepted accounting principles require
that certain components of net assets be adjusted to reflect permanent
differences between financial and tax reporting. Accordingly, during the current
year, $279 has been reclassified between paid-in capital in excess of par and
undistributed net investment income as a result of a permanent difference
attributable to nondeductible expenses. This reclassification has no effect on
net assets or net asset values per share.
2. Transactions with Affiliates:
The Corporation has entered into an Administration Agreement with Merrill Lynch
Investment Managers, L.P. ("MLIM"). The general partner of MLIM is Princeton
Services, Inc. ("PSI"), a wholly-owned subsidiary of Merrill Lynch & Co., Inc.
("ML & Co."), which is the limited partner. The Fund pays a monthly fee at an
annual rate of .29% of the Fund's average daily net assets for the performance
of administrative services (other than investment advice and related portfolio
activities) necessary for the operation of the Fund. MLIM has entered into a
voluntary arrangement with the Fund under which all expenses incurred by the
Fund (excluding account maintenance fees) will not exceed .60%. This arrangement
has a one year term and is renewable. For the year ended December 31, 2004, MLIM
earned fees of $319,410, of which $1,954 were waived.
The Corporation has also entered into a Distribution Agreement and Distribution
Plan with FAM Distributors, Inc. ("FAMD" or the "Distributor"), a wholly-owned
subsidiary of Merrill Lynch Group, Inc. Pursuant to the Distribution Plan
adopted by the Corporation in accordance with Rule 12b-1 under the Investment
Company Act of 1940, the Fund pays the Distributor an ongoing account
maintenance fee. The fee is accrued daily and paid monthly at the annual rate of
..25% based upon the average daily net assets of Class A Shares.
14 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Notes to Financial Statements (concluded) Merrill Lynch Small Cap Index Fund
Pursuant to a sub-agreement with the Distributor, Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., also provides account
maintenance services to the Fund. The ongoing account maintenance fee
compensates the Distributor and MLPF&S for providing account maintenance
services to Class A shareholders.
Financial Data Services, Inc. ("FDS"), an indirect, wholly-owned subsidiary of
ML & Co., is the Fund's transfer agent.
Certain officers and/or directors of the Fund are officers and/or directors of
MLIM, PSI, FAMD, FDS, and/or ML & Co.
3. Capital Share Transactions:
Net increase in net assets derived from capital share transactions were
$5,496,144 and $7,042,747 for the years ended December 31, 2004 and December 31,
2003, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2004 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 1,212,927 $ 15,315,570
Shares issued to shareholders in
reinvestment of dividends ............. 11,673 159,929
------------------------------
Total issued ............................. 1,224,600 15,475,499
Shares redeemed .......................... (1,384,093) (17,573,624)
------------------------------
Net decrease ............................. (159,493) $ (2,098,125)
==============================
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2003 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 992,110 $ 10,414,593
Shares issued to shareholders in
reinvestment of dividends ............. 8,807 103,032
------------------------------
Total issued ............................. 1,000,917 10,517,625
Shares redeemed .......................... (972,744) (9,346,209)
------------------------------
Net increase ............................. 28,173 $ 1,171,416
==============================
- -------------------------------------------------------------------------------
Class I Shares for the Year Dollar
Ended December 31, 2004 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 2,488,913 $ 31,601,194
Shares issued to shareholders in
reinvestment of dividends ............. 23,806 328,184
------------------------------
Total issued ............................. 2,512,719 31,929,378
Shares redeemed .......................... (1,933,459) (24,335,109)
------------------------------
Net increase ............................. 579,260 $ 7,594,269
==============================
- -------------------------------------------------------------------------------
Class I Shares for the Year Dollar
Ended December 31, 2003 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 2,446,233 $ 25,029,944
Shares issued to shareholders in
reinvestment of dividends ............. 18,182 213,822
------------------------------
Total issued ............................. 2,464,415 25,243,766
Shares redeemed .......................... (1,955,829) (19,372,435)
------------------------------
Net increase ............................. 508,586 $ 5,871,331
==============================
The Fund charges a 2% redemption fee on the proceeds (calculated at market
value) of a redemption (either by sale or exchange) of Fund shares made within
30 days of purchase. The redemption fee is paid to the Fund and is intended to
offset the trading costs, market impact and other costs associated with
short-term trading into and out of the Fund. For the year ended December 31,
2004, the Fund charged redemption fees of $103.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended December
31, 2004 and December 31, 2003 was as follows:
- --------------------------------------------------------------------------------
12/31/2004 12/31/2003
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ....................... $ 527,430 $ 355,412
-------------------------------
Total taxable distributions .............. $ 527,430 $ 355,412
===============================
As of December 31, 2004, the components of accumulated earnings on a tax basis
were as follows:
- -----------------------------------------------------------------------------
Undistributed ordinary income--net ...................... $ 68,385
Undistributed long-term capital gains--net .............. --
------------
Total undistributed earnings--net ....................... 68,385
Capital loss carryforward ............................... (1,951,093)*
Unrealized gains--net ................................... 24,609,627**
------------
Total accumulated earnings--net ......................... $ 22,726,919
============
* On December 31, 2004, the Fund had a net capital loss carryforward of
$1,951,093, all of which expires in 2010. This amount will be available to
offset like amounts of any future taxable gains.
** The difference between book-basis and tax-basis net unrealized gains is
attributable primarily to the tax deferral of losses on wash sales and the
realization for tax purposes of unrealized gains on certain futures
contracts.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 15
[LOGO] Merrill Lynch Investment Managers
Report of Independent Registered Public Accounting Firm
Merrill Lynch Small Cap Index Fund
To the Shareholders and Board of Directors of
Merrill Lynch Index Funds, Inc.:
We have audited the accompanying statement of assets and liabilities of Merrill
Lynch Small Cap Index Fund, one of the series constituting Merrill Lynch Index
Funds, Inc. (the "Fund"), 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 five years in the period then ended. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. 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 Fund's
internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. 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
Merrill Lynch Small Cap Index Fund of Merrill Lynch Index Funds, Inc. 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 five years in the period then
ended, in conformity with U.S. generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 23, 2005
16 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Summary Schedule of Investments Master Small Cap Index Series
This summary schedule of investments is presented to help investors focus on the
Series' principal holdings. It includes the Series' 50 largest holdings and each
investment of any issuer that exceeds 1% of the Series' net assets. "Other
Securities" represent all issues not required to be disclosed under the rules
adopted by the Securities and Exchange Commission. A complete schedule of
investments is available without charge, upon request, by calling 800-637-3863
or on the Securities and Exchange Commission's Web site at http://www.sec.gov.
Shares Percent of
Industry@ Held Common Stocks Value Net Assets
==========================================================================================================================
Advertising Agencies 16,400 +Valassis Communications, Inc. $ 574,164 0.2%
Other Securities 2,211,215 0.6
---------------------------
2,785,379 0.8
- --------------------------------------------------------------------------------------------------------------------------
Aerospace Other Securities 1,708,095 0.5
- --------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching Other Securities 435,176 0.1
- --------------------------------------------------------------------------------------------------------------------------
Air Transport Other Securities 3,142,009 0.9
- --------------------------------------------------------------------------------------------------------------------------
Aluminum Other Securities 306,914 0.1
- --------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market Other Securities 555,610 0.2
- --------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment Other Securities 1,521,467 0.4
- --------------------------------------------------------------------------------------------------------------------------
Auto Trucks & Parts Other Securities 567,594 0.2
- --------------------------------------------------------------------------------------------------------------------------
Banks: New York City Other Securities 16,180 0.0
- --------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City 24,500 Bancorpsouth, Inc. 597,065 0.2
14,444 Cathay General Bancorp 541,650 0.1
14,896 East-West Bancorp, Inc. 625,036 0.2
11,400 First Bancorp/Puerto Rico 724,014 0.2
15,600 First Midwest Bancorp, Inc. 566,124 0.1
21,900 Old National Bancorp 566,334 0.1
4,515 Park National Corp. 611,783 0.2
10,583 Westamerica Bancorporation 617,095 0.2
Other Securities 23,871,994 6.6
---------------------------
28,721,095 7.9
- --------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) Other Securities 53,175 0.0
- --------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks Other Securities 315,994 0.1
- --------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production Other Securities 8,839,974 2.4
- --------------------------------------------------------------------------------------------------------------------------
Building Materials Other Securities 1,793,959 0.5
- --------------------------------------------------------------------------------------------------------------------------
Building: Air Conditioning Other Securities 713,615 0.2
- --------------------------------------------------------------------------------------------------------------------------
Building: Cement Other Securities 497,569 0.1
- --------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing Other Securities 245,991 0.1
- --------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous Other Securities 418,854 0.1
- --------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard Other Securities 689,889 0.2
- --------------------------------------------------------------------------------------------------------------------------
Cable Television Services Other Securities 518,605 0.1
- --------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling Other Securities 3,531,498 1.0
- --------------------------------------------------------------------------------------------------------------------------
Chemicals 11,500 Cytec Industries, Inc. 591,330 0.2
11,700 +FMC Corp. 565,110 0.2
Other Securities 6,040,395 1.6
---------------------------
7,196,835 2.0
- --------------------------------------------------------------------------------------------------------------------------
Commercial Information Services Other Securities 1,416,440 0.4
- --------------------------------------------------------------------------------------------------------------------------
Communications & Media Other Securities 106,880 0.0
- --------------------------------------------------------------------------------------------------------------------------
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 17
[LOGO] Merrill Lynch Investment Managers
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry@ Held Common Stocks Value Net Assets
==========================================================================================================================
Communications Technology 83,400 +Brocade Communications Systems, Inc. $ 637,176 0.2%
Other Securities 6,513,011 1.8
---------------------------
7,150,187 2.0
- --------------------------------------------------------------------------------------------------------------------------
Computer Services, Software & Systems 8,716 +CACI International, Inc. Class A 593,821 0.2
Other Securities 17,232,453 4.7
---------------------------
17,826,274 4.9
- --------------------------------------------------------------------------------------------------------------------------
Computer Technology Other Securities 6,547,020 1.8
- --------------------------------------------------------------------------------------------------------------------------
Construction Other Securities 1,005,584 0.3
- --------------------------------------------------------------------------------------------------------------------------
Consumer Electronics Other Securities 3,719,286 1.0
- --------------------------------------------------------------------------------------------------------------------------
Consumer Products 7,698 Toro Co. 626,232 0.2
Other Securities 3,299,547 0.9
---------------------------
3,925,779 1.1
- --------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Glass 11,500 Aptargroup, Inc. 606,970 0.1
54,169 +Crown Holdings, Inc. 744,282 0.2
Other Securities 635,866 0.2
---------------------------
1,987,118 0.5
- --------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & Plastic Other Securities 240,586 0.1
- --------------------------------------------------------------------------------------------------------------------------
Copper Other Securities 350,400 0.1
- --------------------------------------------------------------------------------------------------------------------------
Cosmetics Other Securities 793,975 0.2
- --------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services 38,900 +The BISYS Group, Inc. 639,905 0.2
Other Securities 1,761,774 0.5
---------------------------
2,401,679 0.7
- --------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing Other Securities 2,658,044 0.7
- --------------------------------------------------------------------------------------------------------------------------
Diversified Production 19,652 +Thomas & Betts Corp. 604,299 0.2
- --------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains Other Securities 1,565,080 0.4
- --------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals 27,500 Valeant Pharmaceuticals International 724,625 0.2
Other Securities 8,694,338 2.4
---------------------------
9,418,963 2.6
- --------------------------------------------------------------------------------------------------------------------------
Education Services Other Securities 1,063,970 0.3
- --------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics Other Securities 1,076,977 0.3
- --------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components Other Securities 3,418,476 0.9
- --------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliances Other Securities 109,826 0.0
- --------------------------------------------------------------------------------------------------------------------------
Electronics Other Securities 1,626,662 0.4
- --------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments Gauges & Other Securities 618,556 0.2
Meters
- --------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems Other Securities 3,149,209 0.9
- --------------------------------------------------------------------------------------------------------------------------
Electronics: Semiconductors/Components Other Securities 6,824,688 1.9
- --------------------------------------------------------------------------------------------------------------------------
Electronics: Technology 16,906 +Trimble Navigation Ltd. 558,574 0.1
Other Securities 2,772,083 0.8
---------------------------
3,330,657 0.9
- --------------------------------------------------------------------------------------------------------------------------
Energy Equipment Other Securities 237,066 0.1
- --------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous 21,565 +Tesoro Corp. 687,061 0.2
Other Securities 1,833,975 0.5
---------------------------
2,521,036 0.7
- --------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting Services Other Securities 1,032,932 0.3
- --------------------------------------------------------------------------------------------------------------------------
Entertainment Other Securities 1,069,979 0.3
- --------------------------------------------------------------------------------------------------------------------------
18 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry@ Held Common Stocks Value Net Assets
==========================================================================================================================
Fertilizers 38,300 +The Mosaic Co. $ 625,056 0.2%
Other Securities 86,136 0.0
---------------------------
711,192 0.2
- --------------------------------------------------------------------------------------------------------------------------
Finance Companies Other Securities 635,429 0.2
- --------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan Other Securities 121,179 0.0
- --------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Other Securities 2,853,531 0.8
Services & Systems
- --------------------------------------------------------------------------------------------------------------------------
Financial Information Services Other Securities 975,176 0.3
- --------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous Other Securities 2,652,393 0.7
- --------------------------------------------------------------------------------------------------------------------------
Foods Other Securities 2,740,694 0.7
- --------------------------------------------------------------------------------------------------------------------------
Forest Products Other Securities 1,220,113 0.3
- --------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services Other Securities 145,152 0.0
- --------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries Other Securities 391,978 0.1
- --------------------------------------------------------------------------------------------------------------------------
Glass Other Securities 146,169 0.0
- --------------------------------------------------------------------------------------------------------------------------
Gold Other Securities 332,682 0.1
- --------------------------------------------------------------------------------------------------------------------------
Health Care Facilities Other Securities 2,559,167 0.7
- --------------------------------------------------------------------------------------------------------------------------
Health Care Management Services 7,300 +AMERIGROUP Corp. 552,318 0.2
Other Securities 4,125,231 1.1
---------------------------
4,677,549 1.3
- --------------------------------------------------------------------------------------------------------------------------
Health Care Services Other Securities 2,067,239 0.6
- --------------------------------------------------------------------------------------------------------------------------
Homebuilding 4,017 Beazer Homes USA, Inc. 587,326 0.1
Other Securities 1,004,763 0.3
---------------------------
1,592,089 0.4
- --------------------------------------------------------------------------------------------------------------------------
Hotel/Motel Other Securities 165,396 0.0
- --------------------------------------------------------------------------------------------------------------------------
Household Furnishings Other Securities 2,060,166 0.6
- --------------------------------------------------------------------------------------------------------------------------
Identification Control & 15,821 IDEX Corp. 640,751 0.2
Filter Devices Other Securities 3,115,618 0.8
---------------------------
3,756,369 1.0
- --------------------------------------------------------------------------------------------------------------------------
Insurance: Life Other Securities 1,899,177 0.5
- --------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line Other Securities 1,833,527 0.5
- --------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty Other Securities 4,287,241 1.2
- --------------------------------------------------------------------------------------------------------------------------
Investment Management Companies Other Securities 1,787,036 0.5
- --------------------------------------------------------------------------------------------------------------------------
Jewelry Watches & Gemstones Other Securities 89,520 0.0
- --------------------------------------------------------------------------------------------------------------------------
Leisure Time 10,678 +Penn National Gaming, Inc. 646,553 0.2
17,913 SCP Pool Corp. 571,425 0.2
Other Securities 1,160,812 0.3
---------------------------
2,378,790 0.7
- --------------------------------------------------------------------------------------------------------------------------
Machine Tools Other Securities 379,664 0.1
- --------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering Other Securities 185,238 0.0
- --------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural Other Securities 101,268 0.0
- --------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling 15,843 +Terex Corp. 754,919 0.2
Other Securities 932,302 0.3
---------------------------
1,687,221 0.5
- --------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty 16,400 Joy Global, Inc. 712,252 0.2
Other Securities 2,850,974 0.8
---------------------------
3,563,226 1.0
- --------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment & Other Securities 4,699,271 1.3
Services
- --------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty Other Securities 1,277,767 0.3
- --------------------------------------------------------------------------------------------------------------------------
Manufactured Housing Other Securities 407,946 0.1
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 19
[LOGO] Merrill Lynch Investment Managers
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry@ Held Common Stocks Value Net Assets
==========================================================================================================================
Manufacturing Other Securities $ 745,529 0.2%
- --------------------------------------------------------------------------------------------------------------------------
Medical & Dental 13,929 +Techne Corp. 541,838 0.1
Instruments & Supplies Other Securities 10,385,339 2.8
---------------------------
10,927,177 2.9
- --------------------------------------------------------------------------------------------------------------------------
Medical Services Other Securities 930,997 0.3
- --------------------------------------------------------------------------------------------------------------------------
Metal Fabricating Other Securities 3,482,112 1.0
- --------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous Other Securities 1,697,475 0.5
- --------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing 10,789 Corn Products International, Inc. 577,859 0.2
Other Securities 32,832 0.0
---------------------------
610,691 0.2
- --------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Health Care Other Securities 414,720 0.1
- --------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Materials & Commodities Other Securities 735,782 0.2
- --------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Materials & Processing Other Securities 839,362 0.2
- --------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Producer Durables Other Securities 135,024 0.0
- --------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies Other Securities 1,594,650 0.4
- --------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business Equipment Other Securities 476,770 0.1
- --------------------------------------------------------------------------------------------------------------------------
Offshore Drilling Other Securities 152,497 0.0
- --------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers 25,490 +Plains Exploration & Production Co. 662,740 0.2
Other Securities 9,053,259 2.5
---------------------------
9,715,999 2.7
- --------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic Other Securities 539,428 0.1
- --------------------------------------------------------------------------------------------------------------------------
Paints & Coatings Other Securities 673,280 0.2
- --------------------------------------------------------------------------------------------------------------------------
Paper Other Securities 1,256,614 0.3
- --------------------------------------------------------------------------------------------------------------------------
Plastics Other Securities 226,310 0.1
- --------------------------------------------------------------------------------------------------------------------------
Pollution Control & Other Securities 780,065 0.2
Environmental Services
- --------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment Other Securities 295,812 0.1
- --------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services Other Securities 189,679 0.0
- --------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment Other Securities 5,041,089 1.4
- --------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous Other Securities 1,825,923 0.5
- --------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers Other Securities 837,381 0.2
- --------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters Other Securities 1,887,922 0.5
- --------------------------------------------------------------------------------------------------------------------------
Railroad Equipment Other Securities 288,520 0.1
- --------------------------------------------------------------------------------------------------------------------------
Railroads Other Securities 920,831 0.3
- --------------------------------------------------------------------------------------------------------------------------
Real Estate Other Securities 1,319,570 0.4
- --------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REIT) 37,000 American Financial Realty Trust 598,660 0.2
18,200 CarrAmerica Realty Corp. 600,600 0.2
6,695 Essex Property Trust, Inc. 561,041 0.1
13,900 First Industrial Realty Trust, Inc. 566,147 0.1
14,800 Healthcare Realty Trust, Inc. 602,360 0.2
62,300 +La Quinta Corp. 566,307 0.1
13,150 New Century Financial Corp. 840,417 0.2
13,200 Realty, Income Corp. 667,656 0.2
Other Securities 20,728,320 5.7
---------------------------
25,731,508 7.0
- --------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats Other Securities 1,471,005 0.4
- --------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial Other Securities 957,987 0.3
- --------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer Other Securities 854,120 0.2
- --------------------------------------------------------------------------------------------------------------------------
20 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry@ Held Common Stocks Value Net Assets
==========================================================================================================================
Restaurants 14,700 CBRL Group, Inc. $ 615,195 0.2%
19,914 +Sonic Corp. 607,377 0.1
Other Securities 4,764,294 1.3
---------------------------
5,986,866 1.6
- --------------------------------------------------------------------------------------------------------------------------
Retail Other Securities 13,712,089 3.7
- --------------------------------------------------------------------------------------------------------------------------
Savings & Loan Other Securities 8,306,168 2.3
- --------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers Other Securities 647,915 0.2
- --------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services Other Securities 1,615,931 0.4
- --------------------------------------------------------------------------------------------------------------------------
Services: Commercial Other Securities 10,024,140 2.7
- --------------------------------------------------------------------------------------------------------------------------
Shipping Other Securities 1,459,507 0.4
- --------------------------------------------------------------------------------------------------------------------------
Shoes Other Securities 1,306,744 0.3
- --------------------------------------------------------------------------------------------------------------------------
Steel 28,900 Allegheny Technologies, Inc. 626,263 0.2
Other Securities 2,109,814 0.5
---------------------------
2,736,077 0.7
- --------------------------------------------------------------------------------------------------------------------------
Synthetic Fibers Other Securities 80,367 0.0
- --------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment Other Securities 2,101,604 0.6
- --------------------------------------------------------------------------------------------------------------------------
Textile Products Other Securities 288,571 0.1
- --------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers 18,450 +Quiksilver, Inc. 549,626 0.2
Other Securities 1,544,410 0.4
---------------------------
2,094,036 0.6
- --------------------------------------------------------------------------------------------------------------------------
Tires & Rubber 50,100 +The Goodyear Tire & Rubber Co. (c) 734,466 0.2
Other Securities 607,537 0.2
---------------------------
1,342,003 0.4
- --------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities 934,864 0.3
- --------------------------------------------------------------------------------------------------------------------------
Toys Other Securities 250,291 0.1
- --------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous 30,800 +Laidlaw International, Inc. 659,120 0.2
Other Securities 618,838 0.1
---------------------------
1,277,958 0.3
- --------------------------------------------------------------------------------------------------------------------------
Truckers 9,908 +Landstar System, Inc. 729,625 0.2
Other Securities 2,746,879 0.8
---------------------------
3,476,504 1.0
- --------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio Other Securities 116,875 0.0
- --------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical 62,400 +CMS Energy Corp. 652,080 0.2
Other Securities 4,224,533 1.1
---------------------------
4,876,613 1.3
- --------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors 11,900 Energen Corp. 701,505 0.2
24,000 Piedmont Natural Gas Co. 557,760 0.1
Other Securities 4,674,848 1.3
---------------------------
5,934,113 1.6
- --------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Pipelines Other Securities 34,518 0.0
- --------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous Other Securities 239,112 0.1
- --------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications Other Securities 3,164,793 0.9
- --------------------------------------------------------------------------------------------------------------------------
Utilities: Water Other Securities 646,361 0.2
- --------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade Other Securities 143,269 0.0
- --------------------------------------------------------------------------------------------------------------------------
Wholesalers Other Securities 713,816 0.2
- --------------------------------------------------------------------------------------------------------------------------
Total Investments in Common Stocks
(Cost--$275,838,140) 357,820,594 97.9
==========================================================================================================================
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 21
[LOGO] Merrill Lynch Investment Managers
Summary Schedule of Investments (concluded) Master Small Cap Index Series
Percent of
Industry@ Mutual Funds Value Net Assets
==========================================================================================================================
Investment Management Companies Other Securities $ 85,320 0.0%
- --------------------------------------------------------------------------------------------------------------------------
Total Investments in Mutual Funds
(Cost--$74,033) 85,320 0.0
- --------------------------------------------------------------------------------------------------------------------------
Fixed Income Securities
==========================================================================================================================
Metal Fabricating Other Securities 686 0.0
- --------------------------------------------------------------------------------------------------------------------------
Total Investments in Fixed Income
Securities (Cost--$686) 686 0.0
==========================================================================================================================
Other Interest@@
==========================================================================================================================
Computer Services: Software & Systems Other Securities 0 0.0
- --------------------------------------------------------------------------------------------------------------------------
Total Investments in Other Interest
(Cost--$0) 0 0.0
==========================================================================================================================
Beneficial Interest Short-Term Securities
==========================================================================================================================
$ 8,989,590 Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I (a) 8,989,590 2.4
11,652,388 Merrill Lynch Liquidity Series, LLC Money
Market Series (a)(b) 11,652,388 3.2
- --------------------------------------------------------------------------------------------------------------------------
Total Investments in Short-Term Securities
(Cost--$20,641,978) 20,641,978 5.6
==========================================================================================================================
Total Investments (Cost--$296,554,837*) 378,548,578 103.5
Liabilities in Excess of Other Assets (12,887,301) (3.5)
---------------------------
Net Assets $365,661,277 100.0
===========================
"Other Securities" represent issues that are not identified as the 50
largest holdings of the Series and issues not exceeding 1% of net assets.
* The cost and unrealized appreciation/depreciation on investments as of
December 31, 2004, as computed for federal income tax purposes, were as
follows:
Aggregate cost ......................................... $300,190,875
============
Gross unrealized appreciation .......................... $100,834,680
Gross unrealized depreciation .......................... (22,476,977)
------------
Net unrealized appreciation ............................ $ 78,357,703
============
+ 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 or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease. These
industry classifications are unaudited.
@@ Other interest represents beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(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:
--------------------------------------------------------------------------
Interest/
Net Dividend
Affiliate Activity Income
--------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I $(31,201,939) $182,651
Merrill Lynch Liquidity Series, LLC
Money Market Series $ 4,814,262 $107,254
Merrill Lynch Premier Institutional Fund (2,279,374) $ 9,198
--------------------------------------------------------------------------
(b) Security was purchased with the cash proceeds from securities loans.
Financial futures contracts purchased as of December 31, 2004 were as
follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
--------------------------------------------------------------------------
36 Russell March
2000 Index 2005 $11,633,855 $137,245
--------------------------------------------------------------------------
Financial futures contracts sold as of December 31, 2004 were as follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
--------------------------------------------------------------------------
3 Russell March
2000 Index 2005 $949,875 $(31,050)
--------------------------------------------------------------------------
See Notes to Financial Statements.
22 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Statement of Assets and Liabilities Master Small Cap Index Series
As of December 31, 2004
=============================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including
securities loaned of $10,888,830) (identified cost--$275,912,859) $ 357,906,600
Investments in affiliated securities, at value (identified
cost--$20,641,978) ............................................... 20,641,978
Cash .............................................................. 211,025
Cash on deposit for financial futures contracts ................... 462,000
Receivables:
Dividends ...................................................... $ 489,544
Contributions .................................................. 459,470
Securities sold ................................................ 160,758
Securities lending ............................................. 15,160
Interest from affiliates ....................................... 14,893
Variation margin ............................................... 7,425 1,147,250
-------------
Prepaid expenses .................................................. 719
-------------
Total assets ...................................................... 380,369,572
-------------
=============================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value ......................... 11,652,388
Payables:
Withdrawals .................................................... 2,207,235
Securities purchased ........................................... 555,364
Investment adviser ............................................. 3,509
Other affiliates ............................................... 1,743 2,767,851
-------------
Accrued expenses and other liabilities ............................ 288,056
-------------
Total liabilities ................................................. 14,708,295
-------------
=============================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
Net assets ........................................................ $ 365,661,277
=============
=============================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------------
Investors' capital ................................................ $ 283,561,341
Unrealized appreciation--net ...................................... 82,099,936
-------------
Net Assets ........................................................ $ 365,661,277
=============
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 23
[LOGO] Merrill Lynch Investment Managers
Statement of Operations Master Small Cap Index Series
For the Year Ended December 31, 2004
=============================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------
Dividends (net of $1,401 foreign withholding tax) ................. $ 3,856,505
Interest (including $182,651 from affiliates) ..................... 184,147
Securities lending--net ........................................... 116,452
-------------
Total income ...................................................... 4,157,104
-------------
=============================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------
Professional fees ................................................. $ 116,161
Custodian fees .................................................... 58,361
Accounting services ............................................... 52,444
Investment advisory fees .......................................... 34,958
Trustees' fees and expenses ....................................... 3,500
Printing and shareholder reports .................................. 1,107
Pricing fees ...................................................... 15
Other ............................................................. 10,526
-------------
Total expenses before reimbursement ............................... 277,072
Reimbursement of expenses ......................................... (2,910)
-------------
Total expenses after reimbursement ................................ 274,162
-------------
Investment income--net ............................................ 3,882,942
-------------
=============================================================================================================================
Realized & Unrealized Gain (Loss)--Net
- -----------------------------------------------------------------------------------------------------------------------------
Realized gain on:
Investments--net ............................................... 13,314,585
Futures contracts--net ......................................... 1,179,349 14,493,934
-------------
Change in unrealized appreciation on:
Investments--net ............................................... 39,572,294
Futures contracts--net ......................................... (1,698,361) 37,873,933
-------------------------------
Total realized and unrealized gain--net ........................... 52,367,867
-------------
Net Increase in Net Assets Resulting from Operations .............. $ 56,250,809
=============
See Notes to Financial Statements.
24 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Statements of Changes in Net Assets Master Small Cap Index Series
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2004 2003
=============================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------
Investment income--net ............................................ $ 3,882,942 $ 2,565,223
Realized gain--net ................................................ 14,493,934 459,569
Change in unrealized appreciation--net ............................ 37,873,933 85,865,588
-------------------------------
Net increase in net assets resulting from operations .............. 56,250,809 88,890,380
-------------------------------
=============================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ....................................... 309,457,896 87,919,756
Fair value of withdrawals ......................................... (335,706,893) (23,066,142)
-------------------------------
Net increase (decrease) in net assets derived from capital
transactions ..................................................... (26,248,997) 64,853,614
-------------------------------
=============================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ...................................... 30,001,812 153,743,994
Beginning of year ................................................. 335,659,465 181,915,471
-------------------------------
End of year ....................................................... $ 365,661,277 $ 335,659,465
===============================
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 25
[LOGO] Merrill Lynch Investment Managers
Financial Highlights Master Small Cap Index Series
For the Year Ended
December 31,
The following ratios have been derived -----------------------------------------------------------------
from information provided in the financial statements. 2004 2003 2002 2001 2000+
=================================================================================================================================
Total Investment Return*
- ---------------------------------------------------------------------------------------------------------------------------------
Total investment return .............. 18.15% 47.11% (20.19%) 2.37% --
=================================================================
=================================================================================================================================
Ratios to Average Net Assets
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses, net of reimbursement ....... .08% .09% .08% .08% .09%
=================================================================
Expenses ............................. .08% .10% .14% .13% .13%
=================================================================
Investment income--net ............... 1.11% 1.13% 1.26% 1.45% 1.90%
=================================================================
=================================================================================================================================
Supplemental Data
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $365,661 $335,659 $181,915 $182,968 $169,244
=================================================================
Portfolio turnover ................... 37.74% 28.57% 39.00% 48.50% 50.51%
=================================================================
* The Series' Investment Adviser has agreed to reimburse the Series for a
portion of its expenses. Without such reimbursement, the Series'
performance would have been lower.
+ Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See Notes to Financial Statements.
26 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Notes to Financial Statements Master Small Cap Index Series
1. Significant Accounting Policies:
Master Small Cap 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 Trust, subject to certain limitations. The Series' financial statements 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 these estimates. The following is a summary of significant
accounting policies followed by the Series.
(a) Valuation of investments -- Equity securities that are 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 Series
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 Series, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Series 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 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 strategies both to increase the return of the Series and to
hedge, or protect, its exposure to interest rate movements and movements in the
securities markets. Losses may arise due to changes in the value of the contract
or if the counterparty does not perform under the contract.
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 specified price or yield. Upon entering into a contract, the
Series deposits and maintains as collateral such initial
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 27
[LOGO] Merrill Lynch Investment Managers
Notes to Financial Statements (continued) Master Small Cap Index Series
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 a gain or loss to the extent that the cost
of the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
(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
accounted for on the date the securities are purchased or sold (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 collects 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
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 .08%. This arrangement
has a one-year term and is renewable. FAM reimbursed the Series for the amount
of $2,910.
28 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Notes to Financial Statements (concluded) Master Small Cap Index Series
Merrill Lynch Trust Company ("MLTC"), an indirect, wholly-owned subsidiary of ML
& Co., is the Series' custodian.
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") or its affiliates. As of December 31,
2004, the Series lent securities with a value of $246,974 to MLPF&S 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
Series advised by FAM or its affiliates. For the year ended December 31, 2004,
MLIM, LLC received $50,177 in securities lending agent fees from the Series.
For the year ended December 31, 2004, the Series reimbursed FAM $7,957 for
certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or directors of
FAM, PSI, MLTC, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2004 were $138,270,159 and $125,776,247, respectively.
4. Short-Term Borrowings:
The Trust, on behalf of 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.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 29
[LOGO] Merrill Lynch Investment Managers
Report of Independent Registered Public Accounting Firm
Master Small Cap Index Series
To the Investors and Board of Trustees of
Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of investments, of Master Small Cap Index Series, one of
the portfolios constituting 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 five years in
the period 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
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. Our procedures
included confirmation of securities owned as of December 31, 2004, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Master
Small Cap 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 five years in the period then ended, in
conformity with U.S. generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 23, 2005
30 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Officers and Directors/Trustees
Number of
Portfolios in Other Public
Fund Complex Directorships
Position(s) Length of Overseen by Held by
Held with Time Director/ Director/
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee
====================================================================================================================================
Interested Director/Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Terry K. P.O. Box 9011 President 1999 to President and Chairman of the Merrill Lynch 124 Funds None
Glenn* Princeton, NJ and present Investment Managers, L.P. ("MLIM")/Fund Asset 163 Portfolios
08543-9011 Director/ Management, L.P. ("FAM")-advised funds since
Age: 64 Trustee 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 Fund/Trust based on his present and former positions with MLIM, FAM, FAMD, Princeton Services and Princeton
Administrators, L.P. The Director's/Trustee's term is unlimited. Directors/Trustees serve until their resignation,
removal or death, or until December 31 of the year in which they turn 72. As Fund/Trust President, Mr. Glenn serves at
the pleasure of the Board of Directors/Trustees.
====================================================================================================================================
Independent Directors/Trustees*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald W. P.O. Box 9095 Director/ 2002 to General Partner of The Burton Partnership, Limited 23 Funds ITC Delta-
Burton Princeton, NJ Trustee present Partnership (an Investment Partnership) since 42 Portfolios Com, Inc.,
08543-9095 1979; Managing General Partner of The South Knology,
Age: 60 Atlantic Venture Funds since 1983; Member of Inc.,
the Investment Advisory Committee of the Symbion, Inc.
Florida State Board of Administration since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
M. Colyer P.O. Box 9095 Director/ 2000 to James R. Williston Professor of Investment Manage- 24 Funds Cambridge
Crum Princeton, NJ Trustee present ment Emeritus, Harvard Business School since 1996; 43 Portfolios Bancorp
08543-9095 James R. Williston Professor of Investment Manage-
Age: 72 ment, Harvard Business School from 1971 to 1996.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurie P.O. Box 9095 Director/ 2000 to Professor of Finance and Economics, Graduate 23 Funds None
Simon Princeton, NJ Trustee present School of Business, Columbia University since 1998. 42 Portfolios
Hodrick 08543-9095
Age: 42
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O. Box 9095 Director/ 2003 to Consultant with Putnam Investments from 1993 to 23 Funds None
Walsh Princeton, NJ Trustee present 2003 and employed in various capacities therewith 42 Portfolios
08543-9095 from 1973 to 1992; Director, The National Audubon
Age: 63 Society since 1998; Director, The American
Museum of Fly Fishing since 1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. P.O. Box 9095 Director/ 2000 to Managing Director of FGW Associates since 1997; 23 Funds Watson
Weiss Princeton, NJ Trustee present Vice President, Planning, Investment and Devel- 42 Portfolios Pharma-
08543-9095 opment of Warner Lambert Co. from 1979 to 1997; ceuticals,
Age: 63 Director of Michael J. Fox Foundation for Parkinson's Inc.
Research since 2000; Director of BTG International
Plc (a global technology commercialization
company) since 2001.
------------------------------------------------------------------------------------------------------------------------
* The Director's/Trustee's term is unlimited. Directors/Trustees serve until their resignation, removal or death, or
until December 31 of the year in which they turn 72.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 31
[LOGO] Merrill Lynch Investment Managers
Officers and Directors/Trustees (concluded)
Position(s) Length of
Held with Time
Name Address & Age Fund/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 MLIM and FAM since 1997 and Treasurer thereof since 1999;
Burke Princeton, NJ President present Senior Vice President and Treasurer of Princeton Services since 1999 and Director
08543-9011 and and since 2004; Vice President of FAMD since 1999; Vice President of MLIM and FAM from
Age: 44 Treasurer 1999 to 1990 to 1997; Director of Taxation of MLIM since 1990.
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 President
08543-9011 from 1999 to 2001; President and Director of Princeton Services, Inc. since 2001;
Age: 50 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 Merrill
Vella Princeton, NJ President present Lynch Quantitative Advisors since 1999; Managing Director and Head of the Global
08543-9011 Index and Enhanced Index business at Bankers Trust from 1984 to 1999.
Age: 48
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey P.O. Box 9011 Chief 2004 to Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice President and
Hiller Princeton, NJ Compliance present Chief Compliance Officer of MLIM since 2004; Global Director of Compliance at
08543-9011 Officer Morgan Stanley Investment Management from 2002 to 2004; Managing Director and
Age: 53 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 Fund/Trust serve at the pleasure of the Board of Directors/Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors/Trustees is available in the Fund's Statement of Additional
Information, which can be obtained without charge by calling 1-800-MER-FUND.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
Merrill Lynch Trust Company, FSB
1300 Merrill Lynch Drive
3rd Floor -- MSC 0303
Pennington, NJ 08534
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 Director/Trustee and M.
Colyer Crum, Director/Trustee of Merrill Lynch Small Cap Index Fund and Master
Series Trust retired. The Fund's/Trust's Board of Directors/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 Fund and the Trust.
- --------------------------------------------------------------------------------
32 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004 33
[LOGO] Merrill Lynch Investment Managers
Electronic Delivery
The Fund offers electronic delivery of communications to its shareholders. In
order to receive this service, you must register your account and provide us
with e-mail information. To sign up for this service, simply access this Web
site at http://www.icsdelivery.com/live and follow the instructions. When you
visit this site, you will obtain a personal identification number (PIN). You
will need this PIN should you wish to update your e-mail address, choose to
discontinue this service and/or make any other changes to the service. This
service is not available for certain retirement accounts at this time.
34 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2004
[LOGO] Merrill Lynch Investment Managers www.mlim.ml.com
This report is not authorized for use as an offer of sale or a solicitation of
an offer to buy shares of the Fund unless accompanied or preceded by the Fund's
current prospectus. Past performance results shown in this report should not be
considered a representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when redeemed, may be
worth more or less than their original cost. Statements and other information
herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-MER-FUND (1-800-637-3863); (2)
at www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's
Web site at http://www.sec.gov. Information about how the Fund voted proxies
relating to securities held in the Fund's portfolio during the most recent
12-month period ended June 30 is available (1) at www.mutualfunds.ml.com and (2)
on the Securities and Exchange Commission's Web site at http://www.sec.gov.
Merrill Lynch Index Funds, Inc.
Box 9011
Princeton, NJ
08543-9011
#Index 3 -- 12/04
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
Small Cap Index Fund of Merrill Lynch Index Funds, Inc.
(a) Audit Fees - Fiscal Year Ending December 31, 2004 - $6,200
Fiscal Year Ending December 31, 2003 - $6,000
Master Small Cap Index Series of Quantitative Master Series Trust
(a) Audit Fees - Fiscal Year Ending December 31, 2004 - $41,000
Fiscal Year Ending December 31, 2003 - $40,400
Small Cap Index Fund of Merrill Lynch Index Funds, Inc.
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $0
Master Small Cap Index Series of Quantitative Master Series Trust
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $12,000
The nature of the services include assurance and related services
reasonably related to the performance of the audit of financial
statements not included in Audit Fees.
Small Cap Index Fund of Merrill Lynch Index Funds, Inc.
(c) Tax Fees - Fiscal Year Ending December 31, 2004 - $5,200
Fiscal Year Ending December 31, 2003 - $5,400
The nature of the services include tax compliance, tax advice and tax
planning.
Master Small Cap Index Series of Quantitative Master Series Trust
(c) Tax Fees - Fiscal Year Ending December 31, 2004 - $15,000
Fiscal Year Ending December 31, 2003 - $13,500
The nature of the services include tax compliance, tax advice and tax
planning.
Small Cap Index Fund of Merrill Lynch Index Funds, Inc.
(d) All Other Fees - Fiscal Year Ending December 31, 2004 - $0
Fiscal Year Ending December 31, 2003 - $0
Master Small Cap Index Series of Quantitative Master Series Trust
(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
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of Master
Small Cap Index Series (the "Series"), one of the portfolios constituting the
Quantitative Master Series Trust (the "Trust") as of December 31, 2004, and for
the year then ended and have issued our report thereon dated February 23, 2005,
which report and financial statements are included in Item 1 of this Certified
Shareholder Report on Form N-CSR. Our audit also included the Series' schedule
of investments (the "Schedule") as of December 31, 2004 appearing in Item 6 of
this Form N-CSR. This Schedule is the responsibility of the Trust's management.
Our responsibility is to express an opinion based on our audit. In our opinion,
the Schedule referred to above, when considered in relation to the basic
financial statements taken as a whole of the Series referred to above, presents
fairly, in all material respects, the information set forth therein.
DELOITTE & TOUCHE LLP
February 23, 2005
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Advertising Agencies - 0.8% 3,400 + 24/7 Real Media, Inc. $ 14,926
14,500 + aQuantive, Inc. 129,630
10,535 Advo, Inc. 375,573
15,600 Catalina Marketing Corp. 462,228
800 + Greenfield Online, Inc. 17,592
248 Grey Global Group, Inc. 272,798
7,433 + RH Donnelley Corp. 438,919
16,400 + Valassis Communications, Inc. 574,164
26,500 + Valueclick, Inc. 353,245
7,200 + Ventiv Health, Inc. 146,304
------------
2,785,379
- ---------------------------------------------------------------------------------------------------------------------------
Aerospace - 0.5% 6,434 Curtiss-Wright Corp. 369,376
2,400 + Ducommun, Inc. 50,040
6,426 Heico Corp. 145,163
1,700 + MTC Technologies, Inc. 57,069
9,009 + Moog, Inc. Class A 408,558
16,335 + Orbital Sciences Corp. 193,243
11,334 + Teledyne Technologies, Inc. 333,560
3,900 United Industrial Corp. 151,086
-------------
1,708,095
- ---------------------------------------------------------------------------------------------------------------------------
Agriculture Fishing & Ranching - 0.1% 1,200 Alico, Inc. 70,224
13,378 Delta & Pine Land Co. 364,952
-------------
435,176
- ---------------------------------------------------------------------------------------------------------------------------
Air Transport - 0.9% 12,168 + AAR Corp. 165,728
27,620 + Airtran Holdings, Inc.(c) 295,534
8,299 + Alaska Air Group, Inc. 277,933
11,600 + America West Holdings Corp. Class B(c) 76,328
7,800 + Aviall, Inc. 179,166
18,900 + Continental Airlines, Inc. Class B(c) 255,906
36,300 + Delta Air Lines, Inc.(c) 271,524
10,495 + EGL, Inc. 313,695
9,600 + ExpressJet Holdings, Inc. 123,648
3,723 + FLYi, Inc. 6,590
12,355 + Frontier Airlines, Inc. 140,971
10,556 + Mesa Air Group, Inc. 83,815
22,400 + Northwest Airlines Corp.(c) 244,832
7,385 + Offshore Logistics, Inc. 239,791
4,400 + Pinnacle Airlines Corp. 61,336
20,200 Skywest, Inc. 405,212
-------------
3,142,009
- ---------------------------------------------------------------------------------------------------------------------------
Aluminum - 0.1% 9,600 + Aleris International, Inc. 162,432
5,502 + Century Aluminum Co. 144,482
-------------
306,914
- ---------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market - 0.2% 1,843 + Aftermarket Technology Corp. 29,672
5,000 + Keystone Automotive Industries, Inc. 116,250
3,200 + Sports Resorts International, Inc. 8,512
3,300 Standard Motor Products, Inc. 52,140
5,699 Superior Industries International 165,556
6,600 + TBC Corp. 183,480
-------------
555,610
- ---------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment - 0.4% 21,800 ArvinMeritor, Inc. 487,666
12,678 + Collins & Aikman Corp. 55,276
14,500 + Hayes Lemmerz International, Inc. 128,035
3,300 Noble International Ltd. 67,287
2,273 Sauer-Danfoss, Inc. 49,574
3,787 + Stoneridge, Inc. 57,297
800 + Strattec Security Corp. 50,096
13,900 + Tenneco Automotive, Inc. 239,636
8,871 + Tower Automotive, Inc.(c) 21,202
37,400 Visteon Corp. 365,398
-------------
1,521,467
- ---------------------------------------------------------------------------------------------------------------------------
Auto Trucks & Parts - 0.2% 1,550 + Commercial Vehicle Group, Inc. 33,836
8,194 Modine Manufacturing Co. 276,711
9,545 + Wabash National Corp. 257,047
-------------
567,594
- ---------------------------------------------------------------------------------------------------------------------------
Banks: New York City - 0.0% 500 + Signature Bank 16,180
- ---------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City - 7.9.% 3,940 1st Source Corp. 100,509
3,100 ABC Bancorp 65,100
3,621 Alabama National Bancorporation 233,554
8,318 Amcore Financial, Inc. 267,673
4,950 + AmericanWest Bancorp 100,237
2,726 Arrow Financial Corp. 84,506
1,200 BancTrust Financial Group, Inc. 29,064
1,045 Bancfirst Corp. 82,534
4,715 + The Bancorp Inc. 75,440
24,500 Bancorpsouth, Inc. 597,065
4,086 Bank of Granite Corp. 85,397
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City 3,000 Bank of the Ozarks, Inc. $ 102,090
(continued) 3,313 Banner Corp. 103,332
7,193 Boston Private Financial Holdings, Inc. 202,627
2,300 Bryn Mawr Bank Corp. 50,577
12,128 CVB Financial Corp. 322,120
1,600 Camden National Corp. 63,056
2,577 Capital City Bank Group, Inc. 107,719
1,700 Capital Corp. of the West 79,902
600 + Capital Crossing Bank 18,414
2,300 Capitol Bancorp Ltd. 81,006
5,500 Cascade Bancorp 110,550
14,444 Cathay General Bancorp 541,650
3,200 Center Financial Corp. 64,064
2,886 + Central Coast Bancorp 66,638
9,848 Central Pacific Financial Corp. 356,202
2,200 Century Bancorp, Inc. 64,900
7,951 Chemical Financial Corp. 341,257
13,982 Chittenden Corp. 401,703
12,600 Citizens Banking Corp. 432,810
2,299 City Bank 82,074
6,293 City Holding Co. 228,058
1,800 Clifton Savings Bancorp, Inc. 21,870
4,126 CoBiz, Inc. 83,758
1,900 Columbia Bancorp 64,961
6,341 Columbia Banking System, Inc. 158,462
8,300 Community Bank System, Inc. 234,475
3,177 Community Banks, Inc. 89,464
3,924 Community Trust Bancorp, Inc. 126,971
5,152 Corus Bankshares, Inc. 247,347
14,896 East-West Bancorp, Inc. 625,036
1,400 + EuroBancshares, Inc. 29,400
1,900 FNB Corp.(c) 53,884
1,885 Farmers Capital Bank Corp. 77,172
1,700 Financial Institutions, Inc. 39,525
11,400 First Bancorp/Puerto Rico 724,014
3,036 First Bancorp/Troy NC 82,488
4,014 First Busey Corp. 83,772
9,523 First Charter Corp. 249,217
2,047 First Citizens BancShares, Inc. Class A 303,468
21,440 First Commonwealth Financial Corp. 329,962
4,400 First Community Bancorp, Inc. 187,880
2,894 First Community Bancshares, Inc. 104,416
10,087 First Financial Bancorp 176,523
4,165 First Financial Bankshares, Inc. 186,634
4,444 First Financial Corp. 155,673
5,546 First Merchants Corp. 156,952
15,600 First Midwest Bancorp, Inc. 566,124
1,150 First Oak Brook Bancshares, Inc. 37,272
3,400 First State Bancorporation 124,984
600 The First of Long Island Corp. 29,868
5,400 + Franklin Bank Corp. 98,550
4,741 Frontier Financial Corp. 183,050
1,000 GB&T Bancshares, Inc. 24,120
2,035 German American Bancorp 32,764
7,075 Glacier Bancorp, Inc. 240,833
10,122 Gold Banc Corp., Inc. 147,984
14,900 Greater Bay Bancorp 415,412
9,054 Hancock Holding Co. 302,947
4,152 Hanmi Financial Corp. 149,223
8,660 Harleysville National Corp. 230,356
3,000 Heartland Financial USA, Inc. 60,330
7,081 Independent Bank Corp./MI 211,226
4,845 Independent Bank Corp./Rockland MA 163,519
5,074 Integra Bank Corp. 117,260
3,400 Interchange Financial Services Corp. 88,128
5,848 Irwin Financial Corp. 166,025
3,998 Lakeland Bancorp, Inc. 70,165
1,700 Lakeland Financial Corp. 67,490
5,950 MB Financial, Inc. 250,793
3,477 MBT Financial Corp. 80,910
2,677 Macatawa Bank Corp. 86,440
4,256 Main Street Banks, Inc. 148,662
3,167 MainSource Financial Group, Inc. 75,623
2,380 Mercantile Bank Corp. 94,010
1 Mercantile Bankshares Corp. 52
7,950 Mid-State Bancshares 227,768
3,580 Midwest Banc Holdings, Inc. 78,295
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City 2,129 NBC Capital Corp. $ 56,568
(concluded) 10,913 NBT Bancorp, Inc. 280,682
7,300 Nara Bancorp, Inc. 155,271
9,162 National Penn Bancshares, Inc. 253,787
1,831 Oak Hill Financial, Inc. 71,024
21,900 Old National Bancorp 566,334
4,376 Old Second Bancorp, Inc. 139,507
2,541 Omega Financial Corp. 87,105
6,218 Oriental Financial Group 176,040
15,062 Pacific Capital Bancorp 511,957
4,515 Park National Corp. 611,783
2,398 Peapack Gladstone Financial Corp. 75,657
1,761 Pennrock Financial Services Corp. 68,521
4,510 Peoples Bancorp, Inc. 123,709
2,432 Peoples Holding Co. 80,499
7,000 + Piper Jaffray Cos. 335,650
1,050 Placer Sierra Bancshares 29,862
6,296 PrivateBancorp, Inc. 202,920
5,200 Prosperity Bancshares, Inc. 151,892
11,224 Provident Bankshares Corp. 408,217
9,711 R-G Financial Corp. Class B 377,564
2,684 Republic Bancorp, Inc. Class A 68,979
23,309 Republic Bancorp, Inc. 356,162
5,501 + Riggs National Corp. 116,951
1,444 Royal Bancshares of Pennsylvania Class A 39,026
7,863 S&T Bancorp, Inc. 296,356
2,569 SCBT Financial Corp. 86,235
2,800 SY Bancorp, Inc. 67,480
4,814 Sandy Spring Bancorp, Inc. 184,521
1,603 Santander BanCorp 48,346
3,858 Seacoast Banking Corp. of Florida 85,841
700 Security Bank Corp. 28,000
10,200 + Silicon Valley Bancshares 457,164
4,400 Simmons First National Corp. Class A 127,380
900 Smithtown Bancorp, Inc. 28,575
2,000 Southern Community Financial Corp. 20,700
3,134 Southside Bancshares, Inc. 71,612
20,104 Southwest Bancorp of Texas, Inc. 468,222
4,800 Southwest Bancorp, Inc. 117,504
2,168 State Bancorp, Inc. 59,620
1,800 State Financial Services Corp. Class A 54,180
15,176 Sterling Bancshares, Inc. 216,562
7,162 Sterling Financial Corp. 205,335
3,600 Suffolk Bancorp 125,388
3,688 + Sun Bancorp, Inc. 92,126
13,016 Susquehanna Bancshares, Inc. 324,749
200 Taylor Capital Group, Inc. 6,700
8,261 + Texas Capital Bancshares, Inc. 178,603
13,976 Texas Regional Bancshares, Inc. Class A 456,736
2,620 Tompkins Trustco, Inc. 140,144
3,700 Trico Bancshares 86,580
24,661 Trustco Bank Corp. NY 340,075
14,527 Trustmark Corp. 451,354
4,976 UMB Financial Corp. 281,940
3,830 USB Holding Co., Inc. 95,367
15,250 Umpqua Holdings Corp. 384,453
2,400 Union Bankshares Corp. 92,232
12,800 United Bankshares, Inc. 488,320
9,000 United Community Banks, Inc. 242,370
1,900 Univest Corp. of Pennsylvania 87,438
7,219 Unizan Financial Corp. 190,221
3,450 + Virginia Commerce Bancorp(c) 97,704
2,300 Virginia Financial Group, Inc. 84,318
4,400 Washington Trust Bancorp, Inc. 128,964
6,363 WesBanco, Inc. 203,425
3,990 West Bancorporation, Inc. 70,264
4,700 West Coast Bancorp 119,427
10,583 Westamerica Bancorporation 617,095
2,120 + Western Sierra Bancorp 81,313
6,000 + Wilshire Bancorp, Inc. 99,240
6,200 Wintrust Financial Corp. 353,152
3,700 Yardville National Bancorp 126,762
-------------
28,721,095
- ---------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) - 0.0% 2,500 + Boston Beer Co., Inc. Class A 53,175
- ---------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks - 0.1% 987 Coca-Cola Bottling Co. Consolidated 56,318
1,710 Farmer Bros Co. 41,450
2,600 + Hansen Natural Corp. 95,108
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks 2,390 National Beverage Corp. $ 19,885
(concluded) 3,900 + Peet's Coffee & Tea, Inc. 103,233
-------------
315,994
- ---------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & 27,500 + Abgenix, Inc. 284,350
Production - 2.4% 8,285 + Accelrys, Inc. 64,623
5,600 + Aksys Ltd.(c) 31,136
9,687 + Albany Molecular Research, Inc. 107,913
7,280 + Alexion Pharmaceuticals, Inc. 183,456
9,913 + Antigenics, Inc.(c) 100,320
24,200 + Applera Corp. - Celera Genomics Group 332,750
18,019 + Ariad Pharmaceuticals, Inc. 133,881
5,800 + Array Biopharma, Inc. 55,216
5,920 + Arthrocare Corp. 189,795
24,600 + Avant Immunotherapeutics, Inc. 49,446
18,900 + Axonyx, Inc. 116,046
900 + Barrier Therapeutics, Inc. 14,940
4,200 + Bioenvision, Inc. 37,632
3,400 + CancerVax Corp. 36,890
11,424 + Cell Genesys, Inc. 92,534
16,731 + Cell Therapeutics, Inc. 136,190
7,700 + Ciphergen Biosystems, Inc.(c) 33,110
18,557 + Corixa Corp. 67,547
14,267 + Cubist Pharmaceuticals, Inc. 168,779
13,600 + CuraGen Corp.(c) 97,376
9,700 + Curis, Inc. 50,634
8,300 + Cypress Bioscience, Inc. 116,117
1,300 + Cytokinetics, Inc. 13,325
15,900 + deCODE genetics, Inc.(c) 124,179
4,424 + Digene Corp. 115,688
14,700 + Discovery Laboratories, Inc. 116,571
7,878 + Diversa Corp. 68,854
5,500 + Dov Pharmaceutical, Inc. 99,275
10,800 + Dyax Corp. 77,976
17,496 + Encysive Pharmaceuticals, Inc. 173,735
12,200 + Enzon Pharmaceuticals, Inc. 167,384
19,518 + Exelixis, Inc. 185,421
1,900 + Genencor International, Inc. 31,160
29,957 + Genta, Inc.(c) 52,724
16,129 + Geron Corp. 128,548
43,200 + Human Genome Sciences, Inc. 519,264
14,209 + Immunomedics, Inc. 43,195
22,924 + Incyte Corp. 229,011
11,200 + Inkine Pharmaceutical Co. 60,256
7,100 + Integra LifeSciences Holdings Corp. 262,203
9,514 + InterMune, Inc. 126,156
9,300 + Isolagen, Inc.(c) 73,191
2,100 + Kensey Nash Corp. 72,513
5,600 + Keryx Biopharmaceuticals, Inc. 64,792
5,700 + Kosan Biosciences, Inc. 39,501
18,605 + Lexicon Genetics, Inc. 144,282
1,950 + MannKind Corp. 30,713
300 + Marshall Edwards, Inc. 2,684
11,400 + Maxim Pharmaceuticals, Inc. 34,428
7,301 + Maxygen, Inc. 93,380
2,300 + Myogen, Inc. 18,561
9,400 + Myriad Genetics, Inc. 211,594
12,923 + NPS Pharmaceuticals, Inc. 236,232
19,054 + Nabi Biopharmaceuticals 279,141
13,900 + Nanogen, Inc.(c) 102,304
5,600 + Neurogen Corp. 52,416
7,100 + Northfield Laboratories, Inc.(c) 160,105
10,800 + Nuvelo, Inc. 106,380
16,200 + Oscient Pharmaceuticals Corp. 59,130
13,000 + Palatin Technologies, Inc. 34,580
40,555 + Peregrine Pharmaceuticals, Inc.(c) 47,449
24,200 + Pharmos Corp. 34,364
3,900 + Progenics Pharmaceuticals, Inc. 66,924
7,700 + Regeneration Technologies, Inc. 80,696
4,170 + Rigel Pharmaceuticals, Inc. 101,831
7,800 + Seattle Genetics, Inc. 50,934
10,572 + Serologicals Corp. 233,853
8,245 + Tanox, Inc. 125,324
15,032 + Telik, Inc. 287,712
4,800 + Third Wave Technologies, Inc. 41,280
10,240 + Transkaryotic Therapies, Inc. 259,994
5,638 + Trimeris, Inc. 79,890
17,406 + Vicuron Pharmaceuticals, Inc. 303,038
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production 21,400 + Vion Pharmaceuticals, Inc. $ 100,152
(concluded) 5,000 + Zymogenetics, Inc. 115,000
-------------
8,839,974
- ---------------------------------------------------------------------------------------------------------------------------
Building Materials - 0.5% 2,600 Ameron International Corp. 98,540
5,000 Building Material Holding Corp. 191,450
6,512 LSI Industries, Inc. 74,562
5,168 + NCI Building Systems, Inc. 193,800
10,932 Simpson Manufacturing Co., Inc. 381,527
7,345 Texas Industries, Inc. 458,181
3,409 + Trex Co., Inc. 178,768
6,165 Watsco, Inc. 217,131
-------------
1,793,959
- ---------------------------------------------------------------------------------------------------------------------------
Building: Air Conditioning - 0.2% 14,635 Lennox International, Inc. 297,822
12,038 York International Corp. 415,793
-------------
713,615
- ---------------------------------------------------------------------------------------------------------------------------
Building: Cement - 0.1% 5,478 Eagle Materials, Inc. 473,025
3,200 + US Concrete, Inc. 24,544
-------------
497,569
- ---------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing - 0.1% 1,800 + Aaon, Inc. 28,926
24,950 + Jacuzzi Brands, Inc. 217,065
-------------
245,991
- ---------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous - 0.1% 9,300 + Comfort Systems USA, Inc. 71,424
3,300 + Drew Industries, Inc. 119,361
8,447 + Griffon Corp. 228,069
-------------
418,854
- ---------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard - 0.2% 7,451 ElkCorp 254,973
10,800 + USG Corp.(c) 434,916
-------------
689,889
- ---------------------------------------------------------------------------------------------------------------------------
Cable Television Services - 0.1% 89,300 + Charter Communications, Inc. Class A(c) 200,032
5,898 + Crown Media Holdings, Inc. Class A 50,723
17,500 + Insight Communications Co., Inc. Class A 162,225
17,994 + TiVo, Inc.(c) 105,625
-------------
518,605
- ---------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling - 1.0% 17,800 + Alliance Gaming Corp. 245,818
4,500 Ameristar Casinos, Inc. 193,995
7,825 + Argosy Gaming Co. 365,427
9,791 + Aztar Corp. 341,902
10,715 Boyd Gaming Corp. 446,280
1,632 Churchill Downs, Inc. 72,950
3,115 Dover Downs Gaming & Entertainment, Inc. 40,806
1,400 + Empire Resorts, Inc.(c) 15,442
5,375 + Isle of Capri Casinos, Inc. 137,869
6,900 + Lakes Entertainment, Inc.(c) 112,401
9,000 + MTR Gaming Group, Inc. 95,040
8,100 + Magna Entertainment Corp. Class A 48,762
9,000 + Multimedia Games, Inc. 141,840
800 + Nevada Gold & Casinos, Inc. 9,760
11,764 + Pinnacle Entertainment, Inc. 232,692
18,400 + Scientific Games Corp. Class A 438,656
8,000 + Shuffle Master, Inc.(c) 376,800
6,412 + WMS Industries, Inc. 215,058
-------------
3,531,498
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals - 2.0% 6,750 Aceto Corp. 128,520
18,800 Airgas, Inc. 498,388
11,000 Albemarle Corp. 425,810
1,200 American Vanguard Corp. 44,136
6,456 Arch Chemicals, Inc. 185,804
7,100 + Cabot Microelectronics Corp. 284,355
11,201 Calgon Carbon Corp. 101,705
7,385 Cambrex Corp. 200,133
37,960 Crompton Corp. 447,928
11,500 Cytec Industries, Inc. 591,330
2,700 + EnerSys 41,175
5,464 + Energy Conversion Devices, Inc. 105,564
8,300 + Exide Technologies 114,374
11,700 + FMC Corp. 565,110
8,337 Georgia Gulf Corp. 415,183
14,700 Great Lakes Chemical Corp. 418,803
36,100 + Hercules, Inc. 536,085
8,967 MacDermid, Inc. 323,709
3,641 + Medis Technologies Ltd.(c) 66,812
2,634 + NL Industries 58,211
4,400 + NewMarket Corp. 87,560
900 + Nuco2, Inc. 19,971
9,800 + OM Group, Inc. 317,716
2,400 Octel Corp. 49,944
10,595 + Omnova Solutions, Inc. 59,544
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Chemicals 30,667 + PolyOne Corp. $ 277,843
(concluded) 2,700 Quaker Chemical Corp. 67,068
11,206 Schulman A, Inc. 239,920
1,755 Stepan Co. 42,752
3,600 + Ultralife Batteries, Inc. 70,020
15,300 + Valence Technology, Inc.(c) 47,430
22,200 + WR Grace & Co. 302,142
1,850 Westlake Chemical Corp. 61,790
-------------
7,196,835
- ---------------------------------------------------------------------------------------------------------------------------
Commercial Information Services - 0.4% 10,758 + Arbitron, Inc. 421,498
124,900 + CMGI, Inc. 318,495
8,561 + infoUSA, Inc. 95,798
5,700 + LECG Corp. 106,305
31,600 + Looksmart 69,204
1,600 + MarketWatch, Inc. 28,800
3,100 + Neoforma, Inc.(c) 23,839
7,974 + ProQuest Co. 236,828
6,053 + Sourcecorp 115,673
-------------
1,416,440
- ---------------------------------------------------------------------------------------------------------------------------
Communications & Media - 0.0% 12,800 + Entravision Communications Corp. Class A 106,880
- ---------------------------------------------------------------------------------------------------------------------------
Communications Technology - 2.0% 13,200 + Airspan Networks, Inc. 71,676
7,522 + Anaren, Inc. 97,485
8,472 Anixter International, Inc. 304,907
13,500 + Aspect Communications Corp. 150,390
1,400 + Atheros Communications Inc. 14,350
19,278 + Avanex Corp. 63,810
3,159 Bel Fuse, Inc. 106,743
4,288 Black Box Corp. 205,910
12,550 + Broadwing Corp.(c) 114,330
83,400 + Brocade Communications Systems, Inc. 637,176
17,700 + CSG Systems International 330,990
7,200 + Captaris, Inc. 37,152
8,100 + Carrier Access Corp. 86,508
1,672 + Catapult Communications Corp. 40,395
16,988 + CommScope, Inc. 321,073
5,150 + Comtech Telecommunications Corp. 193,691
8 + CycleLogic, Inc. 0
5,000 + Digi International, Inc. 85,950
8,200 + Ditech Communications Corp. 122,590
44,300 + Eagle Broadband, Inc. 29,238
9,313 + Echelon Corp. 78,602
69,600 + Enterasys Networks, Inc. 125,280
20,200 + Entrust, Inc. 76,558
35,800 + Extreme Networks 234,490
52,100 + Finisar Corp.(c) 118,788
25,096 + Harmonic, Inc. 209,301
16,700 + Infonet Services Corp. Class B 33,734
5,477 Inter-Tel, Inc. 149,960
11,100 + InterVoice, Inc. 148,185
6,629 + Ixia 111,433
5,400 + j2 Global Communications, Inc. 65,660
6,700 + KVH Industries Inc. 186,300
12,500 + NMS Communications Corp. 78,875
17,080 + Net2Phone, Inc. 58,072
5,500 + Netgear, Inc. 100,045
9,900 + Network Equipment Technologies, Inc. 97,218
4,900 + Novatel Wireless, Inc. 94,962
35,419 + Oplink Communications, Inc. 69,775
6,083 + Optical Communication Products, Inc. 15,208
9,400 + Paradyne Networks Corp. 33,746
10,300 + Redback Networks, Inc. 55,208
22,440 + Remec, Inc. 161,792
6,408 + Seachange International, Inc. 111,756
13,188 + Secure Computing Corp. 131,616
6,110 + Standard Microsystems Corp. 108,941
27,871 + Stratex Networks, Inc. 62,988
57,900 + Sycamore Networks, Inc. 235,074
5,320 Talx Corp. 137,203
14,700 + Tekelec 300,468
80,300 + Terremark Worldwide, Inc. 51,392
400 + TippingPoint Technologies, Inc. 18,680
2,640 + Ulticom, Inc. 42,319
35,500 + Verso Technologies, Inc. 25,560
6,901 + Viasat, Inc. 167,487
15,300 + WJ Communications 52,632
10,031 + WebEx Communications, Inc.(c) 238,537
16,300 + Westell Technologies, Inc. Class A 110,840
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Communications Technology 14,975 + Zhone Technologies, Inc. $ 37,138
(concluded) -------------
7,150,187
- ---------------------------------------------------------------------------------------------------------------------------
Computer Services, Software & Systems - 11,300 + @Road Inc. 78,083
4.9% 14,000 + ActivCard Corp. 124,600
11,800 + Actuate Corp. 30,090
17,302 + Agile Software Corp. 141,357
5,700 + Altiris, Inc. 201,951
600 + Ansoft Corp. 12,120
11,900 + answerthink, Inc. 55,454
10,432 + Ansys, Inc. 334,450
7,600 + Anteon International Corp. 318,136
20,080 + Ariba, Inc. 333,328
17,995 + Ascential Software Corp. 293,498
12,897 + AsiaInfo Holdings, Inc. 76,866
16,308 + Aspen Technology, Inc. 101,273
7,900 + Authentidate Holding Corp.(c) 48,901
1,600 + Blackboard, Inc. 23,696
3,600 + Blue Coat Systems, Inc. 66,996
27,667 + Borland Software Corp. 323,151
8,716 + CACI International, Inc. Class A 593,821
27,800 + Chordiant Software, Inc. 63,384
16,902 + Ciber, Inc. 162,935
6,100 + Concord Communications, Inc. 67,588
8,400 + Concur Technologies, Inc. 74,844
2,000 + Constellation 3D, Inc. 0
4,900 + Covansys Corp. 74,970
11,964 + Dendrite International, Inc. 232,102
5,137 + Digimarc Corp. 47,877
10,500 + Digital River, Inc. 436,905
15,607 + Digitas, Inc. 149,047
6,600 + eCollege.com, Inc. 74,976
16,139 + Electronics for Imaging 280,980
5,930 + Embarcadero Technologies, Inc. 55,801
12,600 + Epicor Software Corp. 177,534
25,180 + E.piphany, Inc. 121,619
4,545 + EPIQ Systems, Inc. 66,539
3,400 + Equinix, Inc. 145,316
10,419 + F5 Networks, Inc. 507,614
20,079 + Gartner, Inc. Class A 250,184
11,606 + Hyperion Solutions Corp. 541,072
3,800 + Infocrossing, Inc.(c) 64,334
25,500 + Informatica Corp. 207,060
4,300 + iGate Corp. 17,415
14,800 + Internet Capital Group, Inc. 133,200
13,000 + Internet Security Systems 302,250
1,500 + Intervideo, Inc. 19,845
14,425 + Interwoven, Inc. 156,944
9,908 + JDA Software Group, Inc. 134,947
6,300 + Jupitermedia Corp. 149,814
1,300 + Kanbay International, Inc. 40,690
16,958 + Keane, Inc. 249,283
4,438 + Keynote Systems, Inc. 61,777
300 + Kintera, Inc. 2,703
15,200 + Lawson Software, Inc. 104,424
15,000 + Lionbridge Technologies 100,800
7,400 + MAPICS, Inc. 78,070
5,974 + MRO Software, Inc. 77,781
7,600 + MSC.Software Corp. 79,572
15,800 + Macrovision Corp. 406,376
8,200 + Magma Design Automation, Inc. 102,992
9,139 + Manhattan Associates, Inc. 218,239
6,400 + Mantech International Corp. Class A 151,936
23,000 + Manugistics Group, Inc. 66,010
8,200 + Mapinfo Corp. 98,236
16,097 + Matrixone, Inc. 105,435
24,100 + Mentor Graphics Corp. 368,489
7,556 + Mercury Computer Systems, Inc. 224,262
2,400 Merge Technologies, Inc. 53,376
27,300 + Micromuse, Inc. 151,515
4,699 + Micros Systems, Inc. 366,804
3,500 MicroStrategy, Inc. Class A 210,875
18,874 + NetIQ Corp. 230,452
5,185 + Netscout Systems, Inc. 36,191
4,800 + Open Solutions, Inc. 124,608
21,333 + Openwave Systems, Inc. 329,808
3,900 + Opnet Technologies, Inc. 32,838
17,000 + Opsware, Inc. 124,780
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Computer Services, Software & Systems 6,926 + PC-Tel, Inc. $ 54,923
(concluded) 3,300 + PDF Solutions, Inc. 53,163
10,907 + Packeteer, Inc. 157,606
3,357 + PalmSource, Inc. 42,768
85,200 + Parametric Technology Corp. 501,828
2,077 + Pec Solutions, Inc. 29,431
1,400 + Pegasystems, Inc. 11,942
21,791 + Pinnacle Systems, Inc. 132,925
11,308 + Progress Software Corp. 264,042
3,500 QAD, Inc. 31,220
14,900 + Quest Software, Inc. 237,655
33,200 + RealNetworks, Inc. 219,784
19,400 + Retek, Inc. 119,310
600 + SI International, Inc. 18,456
3,789 + SPSS, Inc. 59,260
3,500 + SRA International, Inc. Class A 224,700
5,200 SS&C Technologies, Inc. 107,380
8,261 + SYKES Enterprises, Inc. 57,414
800 + SYNNEX Corp. 19,248
7,099 + SafeNet, Inc. 260,817
2,350 + Salesforce.com, Inc. 39,809
27,392 + Sapient Corp. 216,671
26,795 + ScanSoft, Inc.(c) 112,271
15,427 + Seebeyond Technology Corp. 55,229
9,097 + Serena Software, Inc. 196,859
20,641 + SonicWALL, Inc. 130,451
800 + Staktek Holdings, Inc. 3,712
5,800 + Stellent, Inc. 51,156
14,400 + SupportSoft, Inc. 95,904
1,583 Syntel, Inc. 27,766
5,500 + Tier Technologies, Inc. Class B 50,875
12,885 + Transaction Systems Architects, Inc. Class A 255,767
8,708 + Trizetto Group 82,726
11,800 + Tumbleweed Communications Corp. 39,412
12,200 + Tyler Technologies, Inc. 101,992
6,700 + Ultimate Software Group, Inc. 84,956
3,100 + Verint Systems, Inc. 112,623
9,867 + Verity, Inc. 129,455
95,700 + Vignette Corp. 133,023
12,662 + WatchGuard Technologies 56,093
17,220 + webMethods, Inc. 124,156
6,751 + Websense, Inc. 342,411
24,000 + Wind River Systems, Inc. 325,200
8,100 + Witness Systems, Inc. 141,426
46,200 + Xybernaut Corp.(c) 56,826
9,100 + Zix Corp.(c) 46,865
11,708 + Zoran Corp. 135,579
-------------
17,826,274
- ---------------------------------------------------------------------------------------------------------------------------
Computer Technology - 1.8% 38,200 + Adaptec, Inc. 289,938
22,634 + Advanced Digital Information Corp. 226,793
28,400 + Cray, Inc. 132,344
4,300 + Cyberguard Corp. 27,090
14,400 + Dot Hill Systems Corp. 112,896
25,900 + Emulex Corp. 436,156
9,809 + FalconStor Software, Inc.(c) 93,872
13,082 + Filenet Corp. 336,992
73,700 + Gateway, Inc. 442,937
7,417 + Hutchinson Technology, Inc. 256,406
10,000 Imation Corp. 318,300
15,566 + InFocus Corp. 142,585
11,796 + Intergraph Corp. 317,666
19,703 + Iomega Corp. 109,155
9,900 + Komag, Inc. 185,922
24,674 + Lexar Media, Inc.(c) 193,444
40,400 + McData Corp. 240,784
6,100 + Mobility Electronics, Inc. 52,338
4,300 + Overland Storage, Inc. 71,767
12,594 + PalmOne, Inc.(c) 397,341
25,200 + Perot Systems Corp. Class A 403,956
53,000 + Quantum Corp. 138,860
20,662 + RSA Security, Inc. 414,480
6,242 + Radisys Corp. 122,031
40,047 + Safeguard Scientifics, Inc. 84,900
78,807 + Silicon Graphics, Inc.(c) 136,336
1,200 + SimpleTech, Inc. 5,520
3,600 + Stratasys, Inc. 120,816
7,500 + Synaptics, Inc. 229,350
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Computer Technology 5,900 + Trident Microsystems, Inc. $ 98,648
(concluded) 16,109 + UNOVA, Inc. 407,397
-------------
6,547,020
- ---------------------------------------------------------------------------------------------------------------------------
Construction - 0.3% 3,900 Brookfield Homes Corp. 132,210
5,018 + EMCOR Group, Inc. 226,713
11,071 Granite Construction, Inc. 294,489
3,800 + Perini Corp. 63,422
7,000 + Washington Group International, Inc. 288,750
-------------
1,005,584
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Electronics - 1.0% 14,567 + Alloy, Inc.(c) 117,556
4,653 + Atari Inc. 13,633
42,300 + CNET Networks, Inc. 475,029
4,700 + Digital Theater Systems, Inc. 94,611
32,500 + DoubleClick, Inc. 252,850
38,700 + Earthlink, Inc. 445,824
5,500 + FindWhat.com 97,515
9,600 + Infospace, Inc. 456,480
62,700 + Internap Network Services Corp. 58,311
12,600 + Ipass, Inc. 93,240
5,800 + iVillage, Inc. 35,844
2,400 + Lifeline Systems, Inc. 61,824
12,374 + Midway Games, Inc.(c) 129,927
10,300 + NIC, Inc. 52,324
8,100 + Navarre Corp. 142,560
7,300 + PLATO Learning, Inc. 54,385
8,100 + Sohu.com, Inc.(c) 143,451
10,625 + THQ, Inc. 243,738
13,214 + Take-Two Interactive Software, Inc. 459,715
18,650 + United Online, Inc. 215,035
4,286 + Universal Electronics, Inc. 75,434
-------------
3,719,286
- ---------------------------------------------------------------------------------------------------------------------------
Consumer Products - 1.1% 18,600 American Greetings Class A 471,510
9,700 Blyth, Inc. 286,732
2,312 CSS Industries, Inc. 73,429
8,400 + Jarden Corp. 364,896
2,700 Mannatech, Inc. 51,408
9,873 Matthews International Corp. Class A 363,326
9,463 Nautilus Group, Inc. 228,721
7,800 Oakley, Inc. 99,450
9,876 + Playtex Products, Inc. 78,909
5,800 + RC2 Corp. 189,080
11,791 The Topps Co., Inc. 114,962
7,698 Toro Co. 626,232
14,474 Tupperware Corp. 299,901
4,100 + USANA Health Sciences, Inc. 140,220
1,500 + Water Pik Technologies, Inc. 26,595
15,383 + Yankee Candle Co., Inc. 510,408
-------------
3,925,779
- ---------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: 1,600 + Anchor Glass Container Corp. 10,752
Metals & Glass - 0.5% 11,500 Aptargroup, Inc. 606,970
54,169 + Crown Holdings, Inc. 744,282
4,075 Greif, Inc. 228,200
5,371 + Mobile Mini, Inc. 177,458
3,600 Silgan Holdings, Inc. 219,456
-------------
1,987,118
- ---------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: 19,100 + Graphic Packaging Corp. 137,520
Paper & Plastic - 0.1% 8,052 Myers Industries, Inc. 103,066
-------------
240,586
- ---------------------------------------------------------------------------------------------------------------------------
Copper - 0.1% 10,882 Mueller Industries, Inc. 350,400
- ---------------------------------------------------------------------------------------------------------------------------
Cosmetics - 0.2% 771 + DEL Laboratories, Inc. 26,792
8,393 + Elizabeth Arden, Inc. 199,250
1,700 Inter Parfums, Inc. 27,030
17,426 Nu Skin Enterprises, Inc. Class A 442,272
42,883 + Revlon, Inc. Class A 98,631
-------------
793,975
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.7% 38,900 + The BISYS Group, Inc. 639,905
4,550 + CB Richard Ellis Group, Inc. 152,653
8,100 + Euronet Worldwide, Inc. 210,762
13,600 FNB Corp. 276,896
18,111 First National Bankshares of Florida, Inc. 432,853
3,000 Greenhill & Co., Inc. 86,100
3,400 + Intersections, Inc. 58,650
10,608 + Jones Lang LaSalle, Inc. 396,845
5,300 + Rewards Network, Inc. 37,100
9,500 + USI Holdings Corp. 109,915
-------------
2,401,679
- ---------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Materials & 14,160 Acuity Brands, Inc. $ 450,288
Processing - 0.7% 8,316 + Armor Holdings, Inc. 391,018
4,957 Barnes Group, Inc. 131,410
5,547 Brady Corp. 347,076
8,755 Clarcor, Inc. 479,511
6,962 + Hexcel Corp. 100,949
21,914 Olin Corp. 482,546
9,145 Tredegar Corp. 184,820
5,620 Valhi, Inc. 90,426
-------------
2,658,044
- ---------------------------------------------------------------------------------------------------------------------------
Diversified Production - 0.2% 19,652 + Thomas & Betts Corp. 604,299
- ---------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains - 0.4% 432 Arden Group, Inc. Class A 43,405
17,607 Casey's General Stores, Inc. 319,567
8,231 + Great Atlantic & Pacific Tea Co. 84,368
5,664 Ingles Markets, Inc. Class A 70,177
8,583 Longs Drug Stores Corp. 236,633
4,577 Nash Finch Co. 172,828
5,642 + Pathmark Stores, Inc. 32,780
11,869 Ruddick Corp. 257,439
3,929 + Smart & Final, Inc. 56,538
3,700 Weis Markets, Inc. 142,709
6,129 + Wild Oats Markets, Inc. 53,996
20,800 + Winn-Dixie Stores, Inc.(c) 94,640
-------------
1,565,080
- ---------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals - 2.6% 4,700 + Able Laboratories, Inc. 106,925
13,100 + Adolor Corp. 129,952
800 + Advancis Pharmaceutical Corp. 3,056
28,500 + Alkermes, Inc. 401,565
11,025 Alpharma, Inc. Class A 186,874
12,500 + Atherogenics Inc. 294,500
4,000 + Bentley Pharmaceuticals, Inc. 43,000
7,700 + BioCryst Pharmaceuticals, Inc. 44,506
23,748 + BioMarin Pharmaceuticals, Inc. 151,750
5,810 + Bone Care International, Inc. 161,808
3,100 + Bradley Pharmaceuticals, Inc. 60,140
9,000 + CV Therapeutics, Inc. 207,000
1,300 + Caraco Pharmaceutical Laboratories Ltd. 12,415
6,100 + Chattem, Inc. 201,910
10,902 + Connetics Corp. 264,810
700 + Corgentech, Inc. 5,796
6,700 + Cytogen Corp.(c) 77,184
16,200 + Dendreon Corp.(c) 174,636
3,800 + Depomed, Inc.(c) 20,520
10,100 + Durect Corp.(c) 33,128
5,200 + Dusa Pharmaceuticals, Inc. 74,360
7,995 + Enzo Biochem, Inc. 155,663
7,700 + First Horizon Pharmaceutical Corp. 176,253
300 + GTx, Inc. 4,047
12,400 + Genaera Corp. 42,036
22,400 + Genelabs Technologies 26,880
15,936 + Guilford Pharmaceuticals, Inc. 78,883
6,100 + Hollis-Eden Pharmaceuticals(c) 57,462
13,527 + Immunogen, Inc. 119,579
16,800 + Impax Laboratories, Inc. 266,784
15,888 + Indevus Pharmaceuticals, Inc.(c) 94,692
11,000 + Inspire Pharmaceuticals, Inc. 184,470
17,189 + Isis Pharmaceuticals, Inc. 101,415
800 + Ista Pharmaceuticals, Inc. 8,096
11,700 + KV Pharmaceutical Co. Class A 257,985
3,966 + Kos Pharmaceuticals, Inc. 149,280
1,900 + Lannett Co., Inc. 18,715
24,516 + Ligand Pharmaceuticals, Inc. Class B 285,366
26,400 + Medarex, Inc. 284,592
14,027 + Medicines Co. 403,978
7,245 + Neopharm, Inc. 90,635
4,600 + Neose Technologies, Inc. 30,912
100 + NitroMed, Inc. 2,665
8,531 + Noven Pharmaceuticals, Inc. 145,539
9,400 + Onyx Pharmaceuticals, Inc. 304,466
11,500 + Pain Therapeutics, Inc. 82,915
10,200 + Par Pharmaceutical Cos., Inc. 422,076
6,900 + Penwest Pharmaceuticals Co. 82,524
18,115 Perrigo Co. 312,846
4,700 + Pharmacyclics, Inc. 49,209
4,600 + Pharmion Corp. 194,166
10,200 + Pozen, Inc. 74,154
17,317 + Praecis Pharmaceuticals, Inc. 32,902
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals 7,700 + Priority Healthcare Corp. $ 167,629
(concluded) 13,100 + Quidel Corp. 66,548
12,319 + Regeneron Pharmaceuticals, Inc. 113,458
400 + Renovis, Inc. 5,752
4,050 + SFBC International, Inc. 159,975
12,500 + Salix Pharmaceuticals Ltd. 219,875
1,000 + Santarus, Inc. 9,060
14,800 + Sciclone Pharmaceuticals, Inc. 54,760
14,682 + SuperGen, Inc.(c) 103,508
5,346 + United Therapeutics Corp. 241,372
27,500 Valeant Pharmaceuticals International 724,625
26,900 + Vertex Pharmaceuticals, Inc. 284,333
16,600 + Zila, Inc. 71,048
-------------
9,418,963
- ---------------------------------------------------------------------------------------------------------------------------
Education Services - 0.3% 4,402 + Bright Horizons Family Solutions, Inc. 285,073
4,730 + Learning Tree International, Inc. 63,382
2,700 + Princeton Review, Inc. 16,605
2,449 Renaissance Learning, Inc. 45,453
4,320 Strayer Education, Inc. 474,293
4,700 + Universal Technical Institute, Inc. 179,164
-------------
1,063,970
- ---------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics - 0.3% 12,086 + Benchmark Electronics, Inc. 412,133
700 + Cherokee International Corp. 6,727
1,400 + LeCroy Corp. 32,676
3,600 + OSI Systems, Inc. 81,756
14,298 + Plexus Corp. 186,017
8,432 + Power Integrations, Inc. 166,785
11,900 + TTM Technologies, Inc. 140,420
5,607 + Universal Display Corp. 50,463
-------------
1,076,977
- ---------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & 4,781 AO Smith Corp. 143,143
Components - 0.9% 6,700 + American Superconductor Corp. 99,763
10,771 Baldor Electric Co. 296,526
11,808 CTS Corp. 156,928
8,418 Cohu, Inc. 156,238
6,400 + DDi Corp. 20,352
4,360 Franklin Electric Co., Inc. 184,254
13,990 + General Cable Corp. 193,762
4,308 + Genlyte Group, Inc. 369,109
7,760 + Littelfuse, Inc. 265,082
10,700 + MKS Instruments, Inc. 198,485
2,231 + Powell Industries, Inc. 41,251
21,300 + Power-One, Inc. 189,996
6,600 + Sonic Solutions, Inc.(c) 148,104
4,600 + Spatialight, Inc.(c) 41,170
15,900 + Taser International, Inc.(c) 502,122
13,361 + Technitrol, Inc. 243,170
4,279 + Triumph Group, Inc. 169,021
-------------
3,418,476
- ---------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance - 0.0% 6,496 + Applica, Inc. 39,301
1,550 National Presto Industries, Inc. 70,525
-------------
109,826
- ---------------------------------------------------------------------------------------------------------------------------
Electronics - 0.4% 22,612 + Aeroflex, Inc. 274,057
10,563 Agilysys, Inc. 181,050
4,332 BEI Technologies, Inc. 133,772
5,300 + California Micro Devices CP 37,577
3,400 + Cyberoptics Corp. 50,558
4,799 + Daktronics, Inc. 119,447
3,700 + EMS Technologies, Inc. 61,494
3,686 + II-VI, Inc. 156,618
23,200 + Kopin Corp. 89,784
4,900 + LaserCard Corp.(c) 51,401
35,566 + MRV Communications, Inc. 130,527
11,780 Methode Electronics, Inc. 151,373
6,649 Park Electrochemical Corp. 144,150
2,067 + Supertex, Inc. 44,854
-------------
1,626,662
- ---------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments 4,200 + Faro Technologies, Inc. 130,956
Gauges & Meters - 0.2% 7,782 + Itron, Inc. 186,068
3,801 Keithley Instruments, Inc. 74,880
2,500 + Measurement Specialties, Inc. 63,650
4,400 + Metrologic Instruments, Inc. 93,500
5,895 + Zygo Corp. 69,502
-------------
618,556
- ---------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems - 0.9% 4,472 Analogic Corp. 200,301
4,800 + Aspect Medical Systems, Inc. 117,408
5,687 + Bruker BioSciences Corp. 22,919
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems 10,300 + CTI Molecular Imaging, Inc. $ 146,157
(concluded) 6,400 + Candela Corp. 72,704
11,232 + Cardiodynamics International Corp. 58,069
4,370 Datascope Corp. 173,445
1,000 E-Z-Em-Inc. 14,600
7,600 + EPIX Pharmaceuticals, Inc. 136,116
5,500 + Endocardial Solutions, Inc. 64,350
15,350 + eResearch Technology, Inc. 243,298
5,072 + Haemonetics Corp. 183,657
6,800 + Hologic, Inc. 186,796
6,900 + Illumina, Inc. 65,412
11,081 + Intuitive Surgical, Inc. 443,462
7,051 + Luminex Corp. 62,613
8,500 + Microvision, Inc.(c) 59,500
6,188 + Possis Medical, Inc. 83,414
1,200 + Quality Systems, Inc. 71,760
7,132 + TriPath Imaging, Inc. 63,974
15,386 + Visx, Inc. 398,036
8,000 + Wilson Greatbatch Technologies, Inc. 179,360
2,961 + Zoll Medical Corp. 101,858
-------------
3,149,209
- ---------------------------------------------------------------------------------------------------------------------------
Electronics: 10,800 + AMIS Holdings, Inc. 178,416
Semi-Conductors/Components - 1.9% 9,716 + Actel Corp. 170,419
9,641 + Alliance Semiconductor Corp. 35,672
25,200 + Cirrus Logic, Inc. 138,852
10,283 + DSP Group, Inc. 229,619
2,350 + Diodes, Inc. 53,181
7,529 + ESS Technology 53,531
14,827 + Exar Corp. 210,395
3,173 + Excel Technology, Inc. 82,498
8,000 + Formfactor, Inc. 217,120
11,400 + Genesis Microchip, Inc. 184,908
6,193 + IXYS Corp. 63,912
31,100 + Integrated Device Technology, Inc. 359,516
8,638 + Integrated Silicon Solutions, Inc. 70,832
37,500 + Lattice Semiconductor Corp. 213,750
10,500 + MIPS Technologies, Inc. 103,425
7,600 + Merix Corp. 87,552
23,700 + Micrel, Inc. 261,174
20,090 + Microsemi Corp. 348,762
19,100 + Microtune, Inc. 116,701
33,000 + Mindspeed Technologies, Inc. 91,740
5,800 + Monolithic System Technology, Inc. 36,134
42,800 + ON Semiconductor Corp. 194,312
16,500 + Omnivision Technologies, Inc.(c) 302,775
7,700 + PLX Technology, Inc. 80,080
7,693 + Pericom Semiconductor Corp. 72,545
12,164 + Pixelworks, Inc. 137,940
2,702 + Planar Systems, Inc. 30,343
61,300 + RF Micro Devices, Inc. 419,292
6,388 + SBS Technologies, Inc. 89,176
7,300 + Sigmatel, Inc. 259,369
24,476 + Silicon Image, Inc. 402,875
26,858 + Silicon Storage Technology, Inc. 159,805
1,900 + Siliconix, Inc. 69,331
6,561 + Sipex Corp. 30,705
2,300 + Sirf Technology Holdings, Inc. 29,256
47,333 + Skyworks Solutions, Inc. 446,350
6,800 + Tessera Technologies, Inc. 253,028
47,000 + Transmeta Corp.(c) 76,610
6,500 + Tripath Technology, Inc.(c) 8,125
45,136 + Triquint Semiconductor, Inc. 200,855
71,900 + Vitesse Semiconductor Corp. 253,807
-------------
6,824,688
- ---------------------------------------------------------------------------------------------------------------------------
Electronics: Technology - 0.9% 13,623 + Checkpoint Systems, Inc. 245,895
10,580 + Coherent, Inc. 322,055
5,152 Cubic Corp. 129,676
6,574 + DRS Technologies, Inc. 280,775
5,826 EDO Corp. 184,975
4,850 + Herley Industries, Inc. 98,649
30,430 + Identix, Inc. 224,573
2,800 + Innovative Solutions & Support, Inc. 93,408
9,584 + Intermagnetics General Corp. 243,529
24,500 + Kemet Corp. 219,275
2,400 + Maxwell Technologies, Inc. 24,336
3,700 + Scansource, Inc. 229,992
1,500 Sypris Solutions, Inc. 22,965
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Electronics: Technology 27,900 + Titan Corp. $ 451,980
(concluded) 16,906 + Trimble Navigation Ltd. 558,574
-------------
3,330,657
- ---------------------------------------------------------------------------------------------------------------------------
Energy Equipment - 0.1% 19,500 + Capstone Turbine Corp. 35,685
8,900 + Global Power Equipment Group, Inc. 87,576
18,626 + Plug Power, Inc. 113,805
-------------
237,066
- ---------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 0.7% 133,800 + Calpine Corp.(c) 527,172
11,226 + FuelCell Energy, Inc.(c) 111,137
6,400 Holly Corp. 178,368
11,900 + KFX, Inc.(c) 172,788
7,400 + Matrix Service Co. 59,644
5,058 Penn Virginia Corp. 205,203
12,100 + Syntroleum Corp. 97,163
21,565 + Tesoro Corp. 687,061
7,391 + Tetra Technologies, Inc. 209,165
12,197 + Veritas DGC, Inc. 273,335
-------------
2,521,036
- ---------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting 14,402 + Dycom Industries, Inc. 439,549
Services - 0.3% 600 + Infrasource Services, Inc. 7,800
8,897 + Integrated Electrical Services, Inc. 43,061
2,200 + Layne Christensen Co. 39,930
25,600 + Quanta Services, Inc. 204,800
9,277 + URS Corp. 297,792
-------------
1,032,932
- ---------------------------------------------------------------------------------------------------------------------------
Entertainment - 0.3% 1,700 Carmike Cinemas, Inc. 62,050
5,140 Dover Motorsports, Inc. 29,452
8,555 + Gaylord Entertainment Co. 355,289
16,607 + Hollywood Entertainment Corp. 217,386
3,372 + Lodgenet Entertainment Corp. 59,651
9,615 Movie Gallery, Inc. 183,358
4,155 Speedway Motorsports, Inc. 162,793
-------------
1,069,979
- ---------------------------------------------------------------------------------------------------------------------------
Fertilizers - 0.2% 38,300 + The Mosaic Co. 625,056
9,700 + Terra Industries, Inc. 86,136
-------------
711,192
- ---------------------------------------------------------------------------------------------------------------------------
Finance Companies - 0.2% 5,700 + Accredited Home Lenders Holding Co. 283,176
1,600 Asta Funding, Inc. 42,944
3,200 + Circle Group Holdings, Inc. 7,104
3,400 + Education Lending Group, Inc. 52,734
2,650 MortgageIT Holdings, Inc. 47,568
1,500 + United PanAm Financial Corp. 28,590
6,300 + World Acceptance Corp. 173,313
-------------
635,429
- ---------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan - 0.0% 1,750 + Collegiate Funding Services LLC 24,657
2,700 + Encore Capital Group, Inc. 64,206
1,200 + Nelnet, Inc. Class A 32,316
-------------
121,179
- ---------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Services & 8,800 + Advent Software, Inc. 180,224
Systems - 0.8% 495 + CCC Information Services Group 10,994
4,900 + Carreker Corp. 42,140
6,189 + CompuCredit Corp. 169,207
14,000 + Corillian Corp. 68,880
11,300 + Cybersource Corp. 80,795
11,630 + Digital Insight Corp. 213,992
16,288 + eFunds Corp. 391,075
9,523 + eSpeed, Inc. Class A 117,800
14,400 + Hypercom Corp. 85,248
4,000 + iPayment, Inc. 198,080
9,882 John H Harland Co. 356,740
10,449 + Kronos, Inc. 534,257
12,564 NDCHealth Corp. 233,565
15,813 + PRG-Schultz International, Inc. 79,539
15,440 + Portal Software, Inc. 40,916
300 + TNS, Inc. 6,555
6,200 + TradeStation Group, Inc. 43,524
-------------
2,853,531
- ---------------------------------------------------------------------------------------------------------------------------
Financial Information Services - 0.3% 7,100 Factset Research Systems, Inc. 414,924
31,600 + Homestore, Inc. 95,748
10,300 + Interactive Data Corp. 223,922
24,822 + S1 Corp. 224,887
400 Value Line, Inc. 15,695
-------------
975,176
- ---------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous - 0.7% 3,900 + ACE Cash Express, Inc. 115,674
7,300 Advanta Corp. Class B 177,171
900 + Asset Acceptance Capital Corp. 19,170
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous 9,419 Cash America International, Inc. $ 280,027
(concluded) 300 + Enstar Group, Inc. 18,750
2,500 Federal Agricultural Mortgage Corp. Class B 58,250
5,567 Financial Federal Corp. 218,226
4,900 + First Cash Financial Services, Inc. 130,879
5,700 + Harris & Harris Group, Inc. 93,366
4,899 LandAmerica Financial Group, Inc. 264,203
9,600 + Metris Cos., Inc. 122,400
3,000 + Portfolio Recovery Associates, Inc. 123,660
3,900 Sanders Morris Harris Group, Inc. 69,459
15,136 + Sotheby's Holdings Class A 274,870
4,692 Sterling Bancorp 132,549
5,622 Stewart Information Services Corp. 234,156
933 + Stifel Financial Corp. 19,546
2,676 + Triad Guaranty, Inc. 161,844
2,291 WSFS Financial Corp. 138,193
-------------
2,652,393
- ---------------------------------------------------------------------------------------------------------------------------
Foods - 0.7% 3,634 American Italian Pasta Co. Class A 84,491
2,800 Cal-Maine Foods, Inc.(c) 33,852
11,200 Chiquita Brands International, Inc. 247,072
11,756 Flowers Foods, Inc. 371,254
6,257 + Hain Celestial Group, Inc. 129,332
2,300 J&J Snack Foods Corp. 112,769
1,000 + John B. Sanfilippo & Son 25,780
10,100 Lance, Inc. 192,203
3,400 + M&F Worldwide Corp. 46,308
1,063 + Maui Land & Pineapple Co., Inc. 41,723
5,300 Natures Sunshine Prods, Inc. 107,908
3,700 + Nutraceutical International Corp. 57,017
13,300 + Performance Food Group Co. 357,903
500 + Provide Commerce, Inc. 18,575
10,095 Ralcorp Holdings, Inc. 423,283
2,450 Sanderson Farms, Inc. 106,036
12 Seaboard Corp. 11,976
15,557 Sensient Technologies Corp. 373,212
-------------
2,740,694
- ---------------------------------------------------------------------------------------------------------------------------
Forest Products - 0.3% 3,309 Deltic Timber Corp. 140,467
16,921 Longview Fibre Co. 306,947
5,244 Pope & Talbot, Inc. 89,725
8,497 Potlatch Corp. 429,778
5,834 Universal Forest Products, Inc. 253,196
-------------
1,220,113
- ---------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services - 0.0% 4,500 Ennis, Inc. 86,625
4,145 The Standard Register Co. 58,527
-------------
145,152
- ---------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries - 0.1% 13,300 + Alderwoods Group, Inc. 151,354
34,424 + Stewart Enterprises, Inc. Class A 240,624
-------------
391,978
- ---------------------------------------------------------------------------------------------------------------------------
Glass - 0.0% 10,900 Apogee Enterprises, Inc. 146,169
- ---------------------------------------------------------------------------------------------------------------------------
Gold - 0.1% 69,800 + Coeur d'Alene Mines Corp.(c) 274,314
3,200 Royal Gold, Inc. 58,368
-------------
332,682
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Facilities - 0.7% 10,000 + American Healthways, Inc. 330,400
36,526 + Beverly Enterprises, Inc. 334,213
5,700 + Genesis HealthCare Corp. 199,671
7,900 + Kindred Healthcare, Inc. 236,605
5,850 LCA-Vision, Inc. 136,832
11,000 + LifePoint Hospitals, Inc. 383,020
1,000 + Medcath Corp. 24,640
2,100 National Healthcare Corp. 74,130
4,200 + Psychiatric Solutions, Inc. 153,552
4,000 + Res-Care, Inc. 60,880
1,824 + Specialty Laboratories, Inc. 20,137
4,237 + Sunrise Senior Living, Inc. 196,427
9,800 + United Surgical Partners International, Inc. 408,660
-------------
2,559,167
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Management Services - 1.3% 7,300 + AMERIGROUP Corp. 552,318
9,041 + Allscripts Healthcare Solutions, Inc. 96,467
10,800 + Amsurg Corp. 319,032
14,000 + Centene Corp. 396,900
8,200 + Cerner Corp. 435,994
2,100 Computer Programs & Systems, Inc. 48,615
2,957 + Corvel Corp. 79,188
12,131 + Eclipsys Corp. 247,836
28,800 + First Health Group Corp. 538,848
17,097 Hooper Holmes, Inc. 101,214
2,800 + Molina Healthcare, Inc. 129,864
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Management Services 16,900 + OCA, Inc.(c) $ 107,315
(concluded) 5,900 + Omnicell, Inc. 64,900
6,500 + Pediatrix Medical Group, Inc. 416,325
8,998 + Per-Se Technologies, Inc. 142,438
30,700 Select Medical Corp. 540,320
7,226 + Sierra Health Services 398,225
1,900 + WellCare Health Plans, Inc. 61,750
-------------
4,677,549
- ---------------------------------------------------------------------------------------------------------------------------
Health Care Services - 0.6% 2,500 + Alliance Imaging, Inc. 28,125
3,400 + Amedisys, Inc. 110,126
15,400 + Apria Healthcare Group, Inc. 507,430
3,900 + Bio-Reference Labs, Inc. 67,860
2 + Dynacq Healthcare, Inc. 10
5,912 + Gentiva Health Services, Inc. 98,849
4,950 Healthcare Services Group 103,158
6,027 + IDX Systems Corp. 207,690
6,000 + LabOne, Inc. 192,240
4,000 + Matria Healthcare, Inc. 156,280
10,000 + Odyssey HealthCare, Inc. 136,800
16,336 + Province Healthcare Co. 365,110
1,300 + Symbion, Inc. 28,704
3,900 + VistaCare, Inc. Class A 64,857
-------------
2,067,239
- ---------------------------------------------------------------------------------------------------------------------------
Homebuilding - 0.4% 4,017 Beazer Homes USA, Inc. 587,326
1,300 + Dominion Homes, Inc. 32,790
5,060 + Levitt Corp. Class A 154,684
4,400 M/I Homes, Inc. 242,484
3,400 + Meritage Homes Corp. 383,180
800 + Orleans Homebuilders, Inc. 15,880
3,050 Technical Olympic USA, Inc. 77,409
1,400 + William Lyon Homes, Inc. 98,336
-------------
1,592,089
- ---------------------------------------------------------------------------------------------------------------------------
Hotel/Motel - 0.0% 6,579 Marcus Corp. 165,396
- ---------------------------------------------------------------------------------------------------------------------------
Household Furnishings - 0.6% 3,400 American Woodmark Corp. 148,512
3,400 Bassett Furniture Industries, Inc. 66,725
11,800 + The Bombay Co, Inc. 65,254
2,800 + Department 56 46,620
9,400 Ethan Allen Interiors, Inc. 376,188
14,000 Furniture Brands International, Inc. 350,700
5,036 Haverty Furniture Cos., Inc. 93,166
600 Hooker Furniture Corp. 13,620
5,200 + Kirkland's, Inc. 63,908
16,100 La-Z-Boy, Inc. 247,457
4,488 Libbey, Inc. 99,678
3,700 Lifetime Hoan Corp. 58,830
12,700 + Select Comfort Corp. 227,838
2,600 Stanley Furniture Co., Inc. 116,870
4,000 + Tempur-Pedic International, Inc. 84,800
-------------
2,060,166
- ---------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter 7,012 + Advanced Energy Industries, Inc. 64,020
Devices - 1.0 12,967 + Artesyn Technologies, Inc. 146,527
17,541 + Asyst Technologies Inc. 89,284
6,894 C&D Technologies, Inc. 117,474
5,931 + CUNO, Inc. 352,301
3,566 + ESCO Technologies, Inc. 273,334
6,800 + Flanders Corp. 65,280
16,800 + Flowserve Corp. 462,672
1,875 The Gorman-Rupp Co. 43,125
15,821 IDEX Corp. 640,751
7,500 + Magnetek, Inc. 51,750
6,326 Mine Safety Appliances Co. 320,728
11,482 + Paxar Corp. 254,556
8,300 + RAE Systems, Inc. 60,590
3,612 Robbins & Myers, Inc. 86,074
8,927 + Veeco Instruments, Inc.(c) 188,092
5,996 Vicor Corp. 78,608
10,500 + Viisage Technology, Inc. 94,605
7,936 Watts Water Technologies, Inc. Class A 255,857
6,917 X-Rite, Inc. 110,741
-------------
3,756,369
- ---------------------------------------------------------------------------------------------------------------------------
Insurance: Life - 0.5% 11,500 AmerUs Group Co. 520,950
3,300 American Equity Investment Life Holding Co. 35,541
6,700 + Ceres Group, Inc. 34,572
8,009 + Citizens, Inc. 51,017
8,570 Delphi Financial Group Class A 395,505
2,780 Great American Financial Resources, Inc. 48,289
1,142 Kansas City Life Ins. Co. 54,074
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Insurance: Life 662 + National Western Life Insurance Co. Class A $ 110,296
(concluded) 31,400 The Phoenix Cos., Inc. 392,500
7,093 Presidential Life Corp. 120,297
8,800 + Universal American Financial Corp. 136,136
-------------
1,899,177
- ---------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line - 0.5% 10,740 Alfa Corp. 163,087
3,186 + CNA Surety Corp. 42,533
6,509 Crawford & Co. Class B 48,817
100 EMC Insurance Group, Inc. 2,164
3,425 FBL Financial Group, Inc. Class A 97,784
6,900 + HealthExtras, Inc. 112,470
8,606 Hilb Rogal & Hobbs Co. 311,881
15,268 Horace Mann Educators Corp. 291,313
1,440 Independence Holding Co. 26,568
3,200 Penn-America Group, Inc. 48,320
2,597 + Pico Holdings, Inc. 53,940
12,639 UICI 428,462
4,137 Zenith National Insurance Corp. 206,188
-------------
1,833,527
- ---------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty - 1.2% 7,500 21st Century Insurance Group 102,000
1,550 Affirmative Insurance Holdings, Inc. 26,102
3,571 + American Physicians Capital, Inc. 128,627
9,266 + Argonaut Group, Inc. 195,791
2,532 Baldwin & Lyons, Inc. Class B 67,832
3,300 Bristol West Holdings, Inc. 66,000
8,045 Commerce Group, Inc. 491,067
12,700 + Danielson Holdings Corp. 107,315
5,500 Direct General Corp. 176,550
2,100 Donegal Group, Inc. Class A 48,153
2,800 + Fpic Insurance Group, Inc. 99,064
5,662 Harleysville Group, Inc. 135,152
6,300 Infinity Property & Casualty Corp. 221,760
1,858 The Midland Co. 58,100
1,100 NYMAGIC, Inc. 27,830
2,800 + Navigators Group, Inc. 84,308
17,615 + Ohio Casualty Corp. 408,844
6,106 + PMA Capital Corp. Class A 63,197
5,956 + Philadelphia Consolidated Holding Co. 393,930
8,723 + ProAssurance Corp. 341,157
6,454 RLI Corp. 268,293
1,500 Safety Insurance Group, Inc. 46,725
9,554 Selective Insurance Group 422,669
3,312 State Auto Financial Corp. 85,615
5,600 United Fire & Casualty Co. 188,776
8,800 Vesta Insurance Group, Inc. 32,384
-------------
4,287,241
- ---------------------------------------------------------------------------------------------------------------------------
Investment Management Companies - 0.5% 7,050 + Affiliated Managers Group 477,567
22,000 Apollo Investment Corp. 332,200
6,000 Calamos Asset Management, Inc. Class A 162,000
500 Capital Southwest Corp. 39,260
1,500 Cohen & Steers, Inc. 24,375
1,696 Gabelli Asset Management, Inc. Class A 82,290
12,800 MCG Capital Corp. 219,264
11,600 National Financial Partners Corp. 450,080
-------------
1,787,036
- ---------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones - 0.0% 4,800 Movado Group, Inc. 89,520
- ---------------------------------------------------------------------------------------------------------------------------
Leisure Time - 0.7% 5,700 Action Performance Cos., Inc. 62,643
23,300 Callaway Golf Co. 314,550
1,400 + Escalade, Inc. 18,704
11,000 + K2, Inc. 174,680
2,200 + Life Time Fitness, Inc. 56,936
10,678 + Penn National Gaming, Inc. 646,553
17,913 SCP Pool Corp. 571,425
24,800 + Six Flags, Inc.(c) 133,176
2,200 + Steinway Musical Instruments 63,668
6,978 Sturm Ruger & Co., Inc. 63,011
6,456 + Vail Resorts, Inc. 144,744
5,200 + West Marine, Inc. 128,700
-------------
2,378,790
- ---------------------------------------------------------------------------------------------------------------------------
Machine Tools - 0.1% 10,992 Lincoln Electric Holdings, Inc. 379,664
- ---------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering - 0.0% 6,761 Applied Industrial Technologies, Inc. 185,238
- ---------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural - 0.0% 3,913 Lindsay Manufacturing Co. 101,268
- ---------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & 2,600 + ASV, Inc. 124,540
Handling - 0.5% 4,517 + Astec Industries, Inc. 77,738
9,411 Manitowoc Co. 354,324
1,487 NACCO Industries, Inc. Class A 156,730
10,824 Stewart & Stevenson Services 218,970
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling 15,843 + Terex Corp. $ 754,919
(concluded) -------------
1,687,221
- ---------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty - 1.0% 8,200 + Actuant Corp. Class A 427,630
6,900 + EnPro Industries, Inc. 204,033
12,600 + FSI International, Inc. 58,842
7,057 + Gardner Denver, Inc. 256,099
16,400 Joy Global, Inc. 712,252
3,270 + Kadant, Inc. 67,035
10,803 Kennametal, Inc. 537,665
2,000 + Middleby Corp. 101,440
16,334 + Milacron, Inc. 55,372
9,310 Nordson Corp. 373,052
6,028 Tecumseh Products Co. Class A 288,138
2,737 Tennant Co. 108,522
3,799 Thomas Industries, Inc. 151,656
3,093 Woodward Governor Co. 221,490
-------------
3,563,226
- ---------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment & 4,168 CARBO Ceramics, Inc. 287,592
Services - 1.3% 12,737 + Cal Dive International, Inc. 519,033
1,688 + Dril-Quip, Inc. 40,951
29,800 + Global Industries Ltd. 247,042
4,117 Gulf Island Fabrication, Inc. 89,874
23,200 + Hanover Compressor Co. 327,816
14,700 Helmerich & Payne, Inc. 500,388
3,000 + Hornbeck Offshore Services, Inc. 57,900
4,149 + Hydril 188,821
17,746 + Input/Output, Inc. 156,875
44,100 + Key Energy Services, Inc. 520,380
2,200 Lufkin Industries, Inc. 87,798
27,820 + Newpark Resources 143,273
8,604 + Oceaneering International, Inc. 321,101
7,400 + Oil States International, Inc. 142,746
31,281 + Parker Drilling Co. 122,934
3,300 RPC, Inc. 82,896
5,108 + SEACOR Holdings, Inc. 272,767
14,705 + Superior Energy Services 226,604
4,326 + Universal Compression Holdings, Inc. 151,021
9,457 + W-H Energy Services, Inc. 211,459
-------------
4,699,271
- ---------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty - 0.3% 5,100 + Applied Films Corp. 109,956
2,100 Bucyrus International, Inc. 85,344
4,300 Cascade Corp. 171,785
6,625 Engineered Support Systems, Inc. 392,333
9,861 Helix Technology Corp. 171,483
15,098 JLG Industries, Inc. 296,374
5,441 + Semitool, Inc. 50,492
-------------
1,277,767
- ---------------------------------------------------------------------------------------------------------------------------
Manufactured Housing - 0.1% 23,327 + Champion Enterprises, Inc. 275,725
4,205 + Palm Harbor Homes, Inc. 70,980
1,501 Skyline Corp. 61,241
-------------
407,946
- ---------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.2% 17,259 Federal Signal Corp. 304,794
10,664 + Rayovac Corp. 325,892
4,031 Standex International Corp. 114,843
-------------
745,529
- ---------------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & 4,700 + Abaxis, Inc. 68,103
Supplies - 2.9% 3,600 + Abiomed, Inc. 55,584
10,300 + Advanced Medical Optics, Inc. 423,742
5,550 + Advanced Neuromodulation Systems, Inc. 219,003
14,700 + Align Technology, Inc. 158,025
8,900 + American Medical Systems Holdings, Inc. 372,109
2,900 + Animas Corp. 45,327
6,308 Arrow International, Inc. 195,485
5,200 + Bio-Rad Laboratories, Inc. Class A 298,324
8,600 Biolase Technology, Inc.(c) 93,482
3,549 + Biosite, Inc.(c) 218,405
22,600 + Cardiac Science, Inc. 48,364
13,800 + Cepheid, Inc. 137,172
2,313 + Closure Medical Corp. 45,103
7,400 + Conceptus, Inc. 60,051
8,228 + Conmed Corp. 233,840
4,469 + Cyberonics, Inc.(c) 92,598
4,900 + DJ Orthopedics, Inc. 104,958
7,300 Diagnostic Products Corp. 401,865
7,400 + Encore Medical Corp. 50,246
1,600 + Exactech, Inc. 29,264
4,700 + I-Flow Corp. 85,681
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & Supplies 2,150 + ICU Medical, Inc.(c) $ 58,781
(concluded) 15,263 + Immucor, Inc. 358,821
8,922 Invacare Corp. 412,732
3,940 + Inverness Medical Innovations, Inc. 98,894
6,900 + Kyphon, Inc. 177,744
2,678 Landauer, Inc. 122,385
6,300 + Laserscope 226,233
11,100 + Lifecell Corp. 113,442
4,200 + Medical Action Industries, Inc. 82,740
14,744 Mentor Corp. 497,463
7,810 + Merit Medical Systems, Inc. 119,337
10,600 + Microtek Medical Holdings, Inc. 43,036
3,637 + Molecular Devices Corp. 73,104
4,200 + NuVasive, Inc. 43,050
7,114 + Ocular Sciences, Inc. 348,657
15,359 + OraSure Technologies, Inc. 103,212
14,000 + Orthologic Corp. 87,500
17,600 + Orthovita, Inc. 73,744
12,998 Owens & Minor, Inc. 366,154
23,473 + PSS World Medical, Inc. 293,765
2,700 + Palomar Medical Technologies, Inc. 70,389
8,714 PolyMedica Corp. 324,945
10,600 + Sola International, Inc. 291,924
9,000 + Sonic Innovations, Inc. 37,530
4,915 + SonoSite, Inc. 166,864
20,300 + Steris Corp. 481,516
5,683 + SurModics, Inc.(c) 184,754
12,900 + Sybron Dental Specialties, Inc. 456,402
13,929 + Techne Corp. 541,838
10,700 + ThermoGenesis Corp. 67,517
11,947 + Thoratec Corp. 124,488
5,900 + Urologix, Inc. 38,173
4,580 + Ventana Medical Systems 293,074
10,200 + Viasys Healthcare, Inc. 193,800
1,824 Vital Signs, Inc. 70,990
8,676 West Pharmaceutical Services, Inc. 217,160
7,300 + Wright Medical Group, Inc. 208,050
600 Young Innovations, Inc. 20,238
-------------
10,927,177
- ---------------------------------------------------------------------------------------------------------------------------
Medical Services - 0.3% 4,300 + America Service Group, Inc. 115,111
856 + Angiodynamics, Inc. 18,960
9,300 + Hanger Orthopedic Group, Inc. 75,330
7,500 + Magellan Health Services, Inc. 256,200
4,781 Option Care, Inc. 82,185
9,997 + Parexel International Corp. 202,939
700 + Proxymed, Inc. 6,874
6,195 + RehabCare Group, Inc. 173,398
-------------
930,997
- ---------------------------------------------------------------------------------------------------------------------------
Metal Fabricating - 1.0% 3,500 CIRCOR International, Inc. 81,060
9,578 Commercial Metals Co. 484,264
5,250 + Encore Wire Corp. 69,983
9,726 Kaydon Corp. 321,153
9,558 + Lone Star Technologies 319,811
14,263 + Maverick Tube Corp. 432,169
7,100 + Metals USA, Inc. 131,705
5,565 NN, Inc. 73,514
4,655 + NS Group, Inc. 129,409
2,556 Penn Engineering & Manufacturing Corp. 46,264
5,805 Quanex Corp. 398,049
7,013 + RTI International Metals, Inc. 144,047
8,647 Reliance Steel & Aluminum Co. 336,887
5,593 Ryerson Tull, Inc. 88,090
18,000 + The Shaw Group, Inc. 321,300
4,158 Valmont Industries, Inc. 104,407
-------------
3,482,112
- ---------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous - 0.5% 7,173 AMCOL International Corp. 144,106
5,511 + Brush Engineered Materials, Inc. 101,953
3,059 Cleveland-Cliffs, Inc. 317,708
3,300 Compass Minerals International, Inc. 79,959
31,244 + GrafTech International Ltd. 295,568
34,500 + Hecla Mining Co. 201,135
5,953 Minerals Technologies, Inc. 397,065
12,064 + Stillwater Mining Co. 135,841
1,000 + Titanium Metals Corp. 24,140
-------------
1,697,475
- ---------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain 10,789 Corn Products International, Inc. 577,859
Processing - 0.2%
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing 3,800 MGP Ingredients, Inc. $ 32,832
(concluded) -------------
610,691
- ---------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Health Care - 0.1% 13,500 + NeighborCare, Inc. 414,720
- ---------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Materials & 4,500 + Ceradyne, Inc. 257,445
Commodities - 0.2% 9,679 + Symyx Technologies 291,144
6,589 WD-40 Co. 187,193
-------------
735,782
- ---------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Materials & 8,838 + Insituform Technologies, Inc. Class A 200,357
Processing - 0.2% 4,700 Metal Management, Inc. 126,289
5,655 + Rogers Corp. 243,731
27,759 USEC, Inc. 268,985
-------------
839,362
- ---------------------------------------------------------------------------------------------------------------------------
Miscellaneous: Producer Durables - 0.0% 11,600 + BE Aerospace, Inc. 135,024
- ---------------------------------------------------------------------------------------------------------------------------
Multi - Sector Companies - 0.4% 13,071 + GenCorp, Inc. 242,728
7,294 Kaman Corp. Class A 92,269
8,199 Lancaster Colony Corp. 351,491
5,200 Raven Industries, Inc. 110,812
1,465 + Sequa Corp. Class A 89,585
12,650 Trinity Industries, Inc. 431,112
8,202 Walter Industries, Inc. 276,653
-------------
1,594,650
- ---------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business 1,000 + General Binding Corp. 13,140
Equipment - 0.1% 5,224 + Imagistics International, Inc. 175,840
7,574 Kimball International, Inc. Class B 112,171
10,640 + Presstek, Inc. 102,995
3,400 + Transact Technologies, Inc. 72,624
-------------
476,770
- ---------------------------------------------------------------------------------------------------------------------------
Offshore Drilling - 0.0% 2,927 + Atwood Oceanics, Inc. 152,497
- ---------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 2.7% 1,700 + Atlas America, Inc. 60,775
4,901 Berry Petroleum Co. Class A 233,778
11,600 + Brigham Exploration Co. 104,400
10,874 Cabot Oil & Gas Corp. Class A 481,174
6,000 + Callon Petroleum Co. 86,760
8,400 + Cheniere Energy, Inc. 535,080
13,700 + Cimarex Energy Co. 519,230
2,400 + Clayton Williams Energy, Inc. 54,960
10,457 + Comstock Resources, Inc. 230,577
16,970 + Denbury Resources, Inc. 465,826
5,700 + Edge Petroleum Corp. 83,106
6,200 + Encore Acquisition Co. 216,442
8,000 + Energy Partners Ltd. 162,160
11,200 + FX Energy, Inc.(c) 130,816
14,700 + Forest Oil Corp. 466,284
9,815 Frontier Oil Corp. 261,668
61,743 + Grey Wolf, Inc. 325,386
11,900 + Harvest Natural Resources, Inc. 205,513
3,283 + Houston Exploration Co. 184,866
25,872 + Magnum Hunter Resources, Inc. 333,749
4,200 + McMoRan Exploration Co.(c) 78,540
14,111 + Meridian Resource Corp. 85,372
4,400 + Petroleum Development Corp. 169,708
25,490 + Plains Exploration & Production Co. 662,740
10,320 + Quicksilver Resources, Inc. 379,570
22,837 Range Resources Corp. 467,245
7,420 + Remington Oil & Gas Corp. 202,195
4,749 Resource America, Inc. Class A 154,343
6,887 + Spinnaker Exploration Co. 241,527
9,826 St. Mary Land & Exploration Co. 410,137
6,378 + Stone Energy Corp. 287,584
9,217 + Swift Energy Co. 266,740
4,500 + Todco Class A 82,890
12,508 + Unit Corp. 477,931
17,683 Vintage Petroleum, Inc. 401,227
6,800 + Whiting Petroleum Corp. 205,700
-------------
9,715,999
- ---------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic - 0.1% 6,900 + Delta Petroleum Corp. 107,985
4,500 + Giant Industries, Inc. 119,295
14,600 + KCS Energy, Inc. 215,788
16,500 + Mission Resources Corp. 96,360
-------------
539,428
- ---------------------------------------------------------------------------------------------------------------------------
Paints & Coatings - 0.2% 14,176 Ferro Corp. 328,741
9,540 HB Fuller Co. 271,985
1,780 Kronos Worldwide, Inc. 72,554
-------------
673,280
- ---------------------------------------------------------------------------------------------------------------------------
Paper - 0.3% 8,726 Albany International Corp. Class A 306,806
7,398 + Buckeye Technologies, Inc. 96,248
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Paper 11,074 + Caraustar Industries, Inc. $ 186,265
(concluded) 5,092 Chesapeake Corp. 138,299
9,401 Glatfelter 143,647
7,580 Rock-Tenn Co. Class A 114,913
15,142 Wausau-Mosinee Paper Corp. 270,436
-------------
1,256,614
- ---------------------------------------------------------------------------------------------------------------------------
Plastics - 0.1% 8,354 Spartech Corp. 226,310
- ---------------------------------------------------------------------------------------------------------------------------
Pollution Control & Environmental 16,300 + Darling International, Inc. 71,068
Services - 0.2% 3,400 + Duratek, Inc. 84,694
11,346 + Headwaters, Inc. 323,361
5,767 + Ionics, Inc. 249,942
3,000 + TRC Cos., Inc. 51,000
-------------
780,065
- ---------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment - 0.1% 8,151 Regal-Beloit Corp. 233,119
3,911 Woodhead Industries, Inc. 62,693
-------------
295,812
- ---------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services - 0.0% 8,982 Bowne & Co., Inc. 146,047
2,400 Schawk, Inc. 43,632
-------------
189,679
- ---------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment - 1.4% 2,200 + ADE Corp. 41,184
10,857 + ATMI, Inc. 244,608
4,200 + August Technology Corp. 44,226
33,800 + Axcelis Technologies, Inc. 274,794
15,488 + Brooks Automation, Inc. 266,703
13,656 Cognex Corp. 381,002
27,968 + Credence Systems Corp. 255,907
10,700 + Cymer, Inc. 316,078
5,231 + Dionex Corp. 296,441
5,508 + Dupont Photomasks, Inc. 145,466
10,061 + Electro Scientific Industries, Inc. 198,805
14,400 + Entegris, Inc. 143,280
7,990 + Esterline Technologies Corp. 260,874
7,855 + FEI Co. 164,955
3,200 + Intevac, Inc. 24,192
18,156 + Kulicke & Soffa Industries, Inc. 156,505
16,603 + LTX Corp. 127,677
7,700 MTS Systems Corp. 260,337
11,099 + Mattson Technology, Inc. 124,975
12,100 + Mykrolis Corp. 171,457
6,162 + Photon Dynamics, Inc. 149,613
10,079 + Photronics, Inc. 166,304
5,300 + Rofin-Sinar Technologies, Inc. 224,985
4,473 + Rudolph Technologies, Inc. 76,801
6,990 + Ultratech, Inc. 131,762
10,642 + Varian Semiconductor Equipment Associates, Inc. 392,158
-------------
5,041,089
- ---------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous - 0.5% 4,681 Advanced Marketing Services 47,091
8,694 Banta Corp. 389,143
3,400 + Consolidated Graphics, Inc. 156,060
1,300 Courier Corp. 67,496
2,782 + Martha Stewart Living Omnimedia Class A(c) 80,734
4,207 + Playboy Enterprises, Inc. Class B 51,704
44,600 + Primedia, Inc. 169,480
31,100 The Reader's Digest Association, Inc. Class A 432,601
9,660 + Scholastic Corp. 357,034
3,300 Thomas Nelson, Inc. 74,580
-------------
1,825,923
- ---------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers - 0.2% 20,029 Hollinger International, Inc. Class A 314,055
8,500 Journal Communications, Inc. Class A 153,595
12,233 + Journal Register Co. 236,464
2,055 Pulitzer, Inc. 133,267
-------------
837,381
- ---------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters - 0.5% 1,833 + Beasley Broadcasting Group, Inc. Class A 32,132
13,500 + Cumulus Media, Inc. Class A 203,580
17,400 + Emmis Communications Corp. Class A 333,906
1,500 + Fisher Communications, Inc. 73,320
13,100 Gray Television, Inc. 203,050
5,254 Liberty Corp. 230,966
8,400 + Lin TV Corp. Class A 160,440
5,900 + Nexstar Broadcasting Group, Inc. Class A 54,398
20,268 + Paxson Communications Corp. 27,970
10,171 + Regent Communications, Inc. 53,906
5,433 + Saga Communications, Inc. Class A 91,546
3,183 + Salem Communications Corp. Class A 79,416
10,864 Sinclair Broadcast Group, Inc. Class A 100,057
14,584 + Spanish Broadcasting System Class A 154,007
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters 1,168 World Wrestling Entertainment, Inc. $ 14,168
(concluded) 7,108 + Young Broadcasting, Inc. Class A 75,060
-------------
1,887,922
- ---------------------------------------------------------------------------------------------------------------------------
Railroad Equipment - 0.1% 500 Greenbrier Cos., Inc. 16,925
12,739 Westinghouse Air Brake Technologies Corp. 271,595
-------------
288,520
- ---------------------------------------------------------------------------------------------------------------------------
Railroads - 0.3% 5,281 Florida East Coast Industries 238,173
6,350 + Genesee & Wyoming, Inc. Class A 178,626
21,876 + Kansas City Southern 387,861
8,902 + RailAmerica, Inc. 116,171
-------------
920,831
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate - 0.4% 1,500 + Avatar Holdings, Inc.(c) 72,150
3,800 + Bluegreen Corp. 75,354
1,900 Consolidated-Tomoka Land Co. 81,700
3,700 + First Acceptance Corp. 33,152
6,000 LNR Property Corp. 377,460
1,300 + Reading International, Inc. Class A 10,868
8,000 + Sunterra Corp. 112,320
250 + Tarragon Corp. 4,463
1,915 + Tejon Ranch Co. 78,132
10,100 + Trammell Crow Co. 182,911
9,900 + WCI Communities, Inc. 291,060
-------------
1,319,570
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 8,340 AMLI Residential Properties Trust 266,880
(REIT) - 7.0% 12,400 Aames Investment Corp. 132,680
10,601 Acadia Realty Trust 172,796
6,100 Affordable Residential Communities 87,535
567 + Alexander's, Inc. 121,905
6,656 Alexandria Real Estate Equities, Inc. 495,340
2,150 American Campus Communities, Inc. 48,354
37,000 American Financial Realty Trust 598,660
10,197 American Home Mortgage Investment Corp. 349,247
15,700 Anthracite Capital, Inc. 194,052
14,800 Anworth Mortgage Asset Corp. 158,508
3,900 Arbor Realty Trust, Inc. 95,706
7,900 Ashford Hospitality Trust, Inc. 85,873
5,899 Bedford Property Investors 167,591
4,650 BioMed Realty Trust, Inc. 103,277
12,347 Brandywine Realty Trust 362,878
8,348 CRT Properties, Inc. 199,183
12,850 Capital Automotive REIT 456,496
10,100 Capital Lease Funding, Inc. 126,250
700 Capital Trust, Inc. 21,497
7,600 Capstead Mortgage Corp. 80,104
18,200 CarrAmerica Realty Corp. 600,600
7,900 Cedar Shopping Centers, Inc. 112,970
5,006 Colonial Properties Trust 196,586
17,075 Commercial Net Lease Realty 351,745
15,803 + Cornerstone Realty Income Trust, Inc. 157,714
9,900 Corporate Office Properties Trust SBI MD 290,565
3,500 Correctional Properties Trust 101,080
11,000 Cousins Properties, Inc. 332,970
6,927 Eastgroup Properties 265,443
8,880 Entertainment Properties Trust 395,604
15,040 Equity Inns, Inc. 176,570
6,194 Equity Lifestyle Properties, Inc. 221,436
9,300 Equity One, Inc. 220,689
6,695 Essex Property Trust, Inc. 561,041
3,850 Extra Space Storage, Inc. 51,321
16,370 + FelCor Lodging Trust, Inc. 239,821
13,900 First Industrial Realty Trust, Inc. 566,147
9,100 GMH Communities Trust 128,310
9,682 Gables Residential Trust 346,519
5,700 Getty Realty Corp. 163,761
10,439 Glenborough Realty Trust, Inc. 222,142
11,756 Glimcher Realty Trust 325,759
1,700 Global Signal, Inc. 46,818
9,500 Government Properties Trust, Inc. 93,670
1,750 Gramercy Capital Corp. 36,050
14,800 Healthcare Realty Trust, Inc. 602,360
7,800 Heritage Property Investment Trust 250,302
8,200 Highland Hospitality Corp. 92,168
15,500 Highwoods Properties, Inc. 429,350
9,420 Home Properties, Inc. 405,060
6,500 HomeBanc Corp. 62,920
23,100 IMPAC Mortgage Holdings, Inc. 523,677
12,792 Innkeepers USA Trust 181,646
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REIT) 13,600 Investors Real Estate Trust $ 142,664
(concluded) 8,878 Kilroy Realty Corp. 379,535
3,200 Kite Realty Group Trust 48,896
8,000 Kramont Realty Trust 187,200
4,500 LTC Properties, Inc. 89,595
62,300 + La Quinta Corp. 566,307
9,220 LaSalle Hotel Properties 293,473
14,642 Lexington Corporate Properties Trust 330,616
9,400 Luminent Mortgage Capital, Inc. 111,860
26,900 MFA Mortgage Investments, Inc. 237,258
9,900 Maguire Properties, Inc. 271,854
24,458 + Meristar Hospitality Corp. 204,224
5,929 Mid-America Apartment Communities, Inc. 244,393
4,500 Mission West Properties 47,880
7,529 National Health Investors, Inc. 219,696
22,059 Nationwide Health Properties, Inc. 523,901
13,150 New Century Financial Corp. 840,417
11,300 Newcastle Investment Corp. 359,114
7,700 Novastar Financial, Inc.(c) 381,150
12,000 Omega Healthcare Investors, Inc. 141,600
6,000 Origen Financial, Inc. 44,880
4,308 PS Business Parks, Inc. 194,291
3,604 Parkway Properties, Inc. 182,903
9,832 Pennsylvania Real Estate Investment Trust 420,810
13,086 Post Properties, Inc. 456,701
13,050 Prentiss Properties Trust 498,510
9,000 RAIT Investment Trust 251,730
5,400 Ramco-Gershenson Properties 174,150
13,200 Realty, Income Corp. 667,656
5,995 Redwood Trust, Inc. 372,230
4,522 Saul Centers, Inc. 172,967
14,600 Saxon Capital Inc. 350,254
17,814 Senior Housing Properties Trust 337,397
4,604 Sovran Self Storage, Inc. 194,013
3,500 Strategic Hotel Capital, Inc. 57,750
8,819 Summit Properties, Inc. 287,147
5,343 Sun Communities, Inc. 215,056
7,100 Sunstone Hotel Investors, Inc. 147,538
10,122 Tanger Factory Outlet Centrs 267,828
15,608 Taubman Centers, Inc. 467,460
6,763 The Town & Country Trust 186,862
8,400 U-Store-It Trust 145,740
9,200 US Restaurant Properties, Inc. 166,152
3,727 Universal Health Realty Income Trust 119,749
5,700 Urstadt Biddle Properties, Inc. Class A 97,185
13,865 Washington Real Estate Investment Trust 469,608
7,255 Winston Hotels, Inc. 85,682
-------------
25,731,508
- ---------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats - 0.4% 5,743 Arctic Cat, Inc. 152,304
4,407 Coachmen Industries, Inc. 76,505
17,799 + Fleetwood Enterprises, Inc. 239,575
1,450 Marine Products Corp. 37,860
9,224 Monaco Coach Corp. 189,738
12,284 Thor Industries, Inc. 455,122
8,190 Winnebago Industries 319,901
-------------
1,471,005
- ---------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 3,753 Electro Rent Corp. 53,405
Commercial - 0.3% 15,700 GATX Corp. 464,092
3,500 + Marlin Business Services, Inc. 66,500
2,205 McGrath Rentcorp 96,160
14,700 + United Rentals, Inc. 277,830
-------------
957,987
- ---------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 11,793 Aaron Rents, Inc. 294,825
Consumer - 0.2% 2,200 + Amerco, Inc. 101,156
8,395 + Dollar Thrifty Automotive Group 253,529
8,678 + Rent-Way, Inc. 69,511
4,558 + WESCO International, Inc. 135,099
-------------
854,120
- ---------------------------------------------------------------------------------------------------------------------------
Restaurants - 1.6% 3,600 + BJ's Restaurants, Inc. 50,400
12,480 Bob Evans Farms, Inc. 326,227
625 + Buffalo Wild Wings, Inc. 21,756
14,700 CBRL Group, Inc. 615,195
12,350 + CEC Entertainment, Inc. 493,629
18,200 + CKE Restaurants, Inc. 264,082
6,300 + California Pizza Kitchen, Inc. 144,900
4,100 + Cosi, Inc. 24,805
3,500 + Dave & Buster's, Inc. 70,700
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Restaurants 4,350 Domino's Pizza, Inc. $ 77,430
(concluded) 6,748 IHOP Corp. 282,674
12,118 + Jack in the Box, Inc. 446,791
15,300 + Krispy Kreme Doughnuts, Inc.(c) 192,780
5,496 Landry's Restaurants, Inc. 159,714
3,654 Lone Star Steakhouse & Saloon 102,312
8,684 + O'Charleys, Inc. 169,772
7,408 + PF Chang's China Bistro, Inc. 417,441
8,000 + Panera Bread Co. Class A(c) 322,560
4,548 + Papa John's International, Inc. 156,633
9,477 + Rare Hospitality International, Inc. 301,937
4,000 + Red Robin Gourmet Burgers, Inc. 213,880
15,400 + Ryan's Restaurant Group, Inc. 237,468
19,914 + Sonic Corp. 607,377
7,028 + The Steak N Shake Co. 141,122
11,850 Triarc Cos. 145,281
-------------
5,986,866
- ---------------------------------------------------------------------------------------------------------------------------
Retail - 3.7% 1,700 + 1-800 Contacts, Inc. 37,400
7,324 + 1-800-FLOWERS.COM, Inc. Class A 61,595
16,900 + 99 Cents Only Stores 273,104
4,600 + AC Moore Arts & Crafts, Inc. 132,526
18,250 + Aeropostale, Inc. 537,097
1,900 + America's Car Mart, Inc. 72,200
2,600 + Asbury Automotive Group, Inc. 35,828
3,915 Bebe Stores, Inc. 105,627
5,600 Big 5 Sporting Goods Corp. 163,184
1,900 Blair Corp. 67,754
1,900 + Blue Nile, Inc.(c) 52,478
3,700 The Bon-Ton Stores, Inc. 58,275
6,650 + Brookstone, Inc. 130,007
5,979 Brown Shoe Co., Inc. 178,354
1,249 The Buckle, Inc. 36,845
5,792 Burlington Coat Factory Warehouse Corp. 131,478
13,934 + CSK Auto Corp. 233,255
4,450 + Cache, Inc. 80,189
9,800 + Casual Male Retail Group, Inc.(c) 53,410
6,497 + The Cato Corp. Class A 187,243
5,400 + Central Garden and Pet Co. 225,396
4,400 + Charlotte Russe Holding, Inc. 44,440
38,140 + Charming Shoppes 357,372
4,585 + Children's Place 169,782
12,728 Christopher & Banks Corp. 234,832
7,830 + Coldwater Creek, Inc. 241,712
600 + Conn's, Inc. 10,092
5,976 + Cost Plus, Inc. 192,009
500 DEB Shops, Inc. 12,520
10,000 + Dick's Sporting Goods, Inc. 351,500
6,845 + Dress Barn, Inc. 120,472
10,300 + Drugstore.Com 35,020
3,931 + Electronics Boutique Holdings Corp. 168,797
13,535 Fred's, Inc. 235,509
5,000 + GSI Commerce, Inc. 88,900
10,300 + GameStop Corp. Class B 230,823
16 + Gander Mountain Co. 205
7,238 + Genesco, Inc. 225,391
8,100 + Global Imaging Systems, Inc. 319,950
6,200 Goody's Family Clothing, Inc. 56,668
5,532 + Group 1 Automotive, Inc. 174,258
6,939 + Guitar Center, Inc. 365,616
7,458 + Gymboree Corp. 95,612
13,881 + HOT Topic, Inc. 238,614
8,200 Hancock Fabrics, Inc. 85,034
7,961 Handleman Co. 171,002
8,450 + Hibbett Sporting Goods, Inc. 224,855
16,798 + Insight Enterprises, Inc. 344,695
6,962 + The J Jill Group, Inc. 103,664
2,387 + JOS A Bank Clothiers, Inc.(c) 67,552
6,205 + Jo-Ann Stores, Inc. 170,886
1,647 Lawson Products 83,058
12,918 + Linens 'N Things, Inc. 320,366
4,600 Lithia Motors, Inc. Class A 123,372
3,000 + MarineMax, Inc. 89,280
11,061 + Men's Wearhouse, Inc. 353,510
3,400 + Overstock.com, Inc. 234,600
1,259 + PC Connection, Inc. 11,986
3,400 + PC Mall, Inc. 76,092
16,610 PEP Boys-Manny Moe & Jack 283,533
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Retail 2,800 + The Pantry, Inc. $ 84,252
(concluded) 3,500 + Party City Corp. 45,255
19,300 + Payless Shoesource, Inc. 237,390
5,400 + PetMed Express, Inc. 41,094
7,916 + Priceline.com, Inc. 186,738
11,700 + Restoration Hardware, Inc. 67,158
2,300 + Retail Ventures, Inc. 16,330
100 + Rush Enterprises, Inc. Class B 1,731
3,047 Russ Berrie & Co., Inc. 69,593
6,254 + School Specialty, Inc. 241,154
2,600 + Sharper Image Corp. 49,010
7,698 + ShopKo Stores, Inc. 143,799
9,200 Sonic Automotive, Inc. 228,160
6,226 + The Sports Authority, Inc. 160,320
5,000 + Stage Stores, Inc. 207,600
4,003 Stamps.com, Inc. 63,408
6,824 + Stein Mart, Inc. 116,417
9,766 + Too, Inc. 238,876
10,600 + Tractor Supply Co. 394,426
9,730 + Trans World Entertainment 121,333
7,490 + Tuesday Morning Corp. 229,419
5,531 United Auto Group, Inc. 163,662
13,480 + United Natural Foods, Inc. 419,228
6,056 + Valuevision Media, Inc. Class A 84,239
17,900 + Zale Corp. 534,673
-------------
13,712,089
- ---------------------------------------------------------------------------------------------------------------------------
Savings & Loan - 2.3% 6,937 Anchor Bancorp Wisconsin, Inc. 202,214
600 + BFC Financial Corp. 7,590
21,738 Bank Mutual Corp. 264,551
15,342 BankAtlantic Bancorp, Inc. Class A 305,306
9,573 + Bankunited Financial Corp. Class A 305,857
1,800 Berkshire Hills Bancorp, Inc. 66,870
1,900 Beverly Hills Bancorp, Inc. 19,190
19,587 Brookline Bancorp, Inc. 319,660
500 Charter Financial Corp. 21,935
1,900 Citizens First Bancorp, Inc. 45,942
4,250 Coastal Financial Corp. 80,920
12,926 Commercial Capital Bancorp, Inc. 299,625
14,127 Commercial Federal Corp. 419,713
11,749 Dime Community Bancshares 210,425
5,900 Downey Financial Corp. 336,300
4,348 Fidelity Bankshares, Inc. 185,920
4,226 First Financial Holdings, Inc. 138,359
3,240 First Indiana Corp. 72,932
26,484 First Niagara Financial Group, Inc. 369,452
3,000 First Place Financial Corp. 67,170
4,300 First Republic Bank 227,900
5,600 + FirstFed Financial Corp. 290,472
8,350 Flagstar Bancorp, Inc. 188,710
5,575 Flushing Financial Corp. 111,835
3,078 Great Southern Bancorp, Inc. 107,730
7,117 Harbor Florida Bancshares, Inc. 246,319
3,400 Horizon Financial Corp. 69,972
10,000 Hudson River Bancorp 197,900
2,500 IBERIABANK Corp. 165,900
1,800 + ITLA Capital Corp. 105,822
8,100 KNBT Bancorp, Inc. 136,890
7,960 MAF Bancorp, Inc. 356,767
300 NASB Financial, Inc. 11,799
17,911 + Netbank, Inc. 186,454
4,667 Northwest Bancorp, Inc. 117,095
2,896 OceanFirst Financial Corp. 71,386
13,165 + Ocwen Financial Corp. 125,857
4,741 PFF Bancorp, Inc. 219,651
6,228 Partners Trust Financial Group, Inc. 72,556
3,000 Pennfed Financial Services, Inc. 48,240
9,989 Provident Bancorp, Inc. 131,755
1,650 Provident Financial Hldgs 47,603
21,761 Provident Financial Services, Inc. 421,508
8,069 + Sterling Financial Corp. 316,789
7,200 TierOne Corp. 178,920
8,561 United Community Financial Corp. 95,883
10,730 Waypoint Financial Corp. 304,196
400 Westfield Financial, Inc. 10,328
-------------
8,306,168
- ---------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers - 0.2% 7,176 + BioVeris Corp. 52,457
13,335 + Newport Corp. 188,024
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers 9,935 + Varian, Inc. $ 407,434
(concluded) -------------
647,915
- ---------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services - 0.4% 2,250 + Archipelago Holdings, Inc. 47,182
900 BKF Capital Group, Inc. 34,110
15,345 CharterMac 375,032
16,000 + Investment Technology Group, Inc. 320,000
35,900 + Knight Trading Group, Inc. Class A 393,105
15,200 + LaBranche & Co., Inc. 136,192
7,761 + NCO Group, Inc. 200,622
5,004 SWS Group, Inc. 109,688
-------------
1,615,931
- ---------------------------------------------------------------------------------------------------------------------------
Services: Commercial - 2.7% 3,963 + 4Kids Entertainment, Inc. 83,302
12,470 ABM Industries, Inc. 245,908
4,005 + AMN Healthcare Services, Inc. 63,720
7,161 + Administaff, Inc. 90,300
4,500 + The Advisory Board Co. 165,960
3,400 Ambassadors Group, Inc. 121,074
3,000 Angelica Corp. 81,150
13,700 + Autobytel, Inc. 82,748
2,401 CDI Corp. 51,333
6,478 + Casella Waste Systems, Inc. 94,838
5,785 Central Parking Corp. 87,643
20,953 + Century Business Services, Inc. 91,355
2,500 + Charles River Associates, Inc. 116,925
3,486 Chemed Corp. 233,945
5,300 + Clark, Inc. 82,256
5,650 + CoStar Group, Inc. 260,917
7,692 + Coinstar, Inc. 206,376
4,400 + Cornell Cos., Inc. 66,792
11,694 + Corrections Corp. of America 473,022
8,300 + Cross Country Healthcare, Inc. 150,064
6,700 + DiamondCluster International, Inc. Class A 96,011
3,302 + Exponent, Inc. 90,772
14,141 + FTI Consulting, Inc. 297,951
2,400 + First Advantage Corp. Class A 48,960
4,481 + Forrester Research, Inc. 80,389
6,377 G&K Services, Inc. Class A 276,889
2,600 + Gartner, Inc. Class B 31,954
3,200 + The Geo Group, Inc. 85,056
7,000 Gevity HR, Inc. 143,920
2,800 + Greg Manning Auctions, Inc.(c) 34,664
17,000 + Harris Interactive, Inc. 134,300
4,358 + Heidrick & Struggles International, Inc. 149,349
4,000 + Hudson Highland Group, Inc. 115,200
2,865 + Insurance Auto Auctions, Inc. 64,233
12,900 Jackson Hewitt Tax Service, Inc. 325,725
5,868 Kelly Services, Inc. Class A 177,096
5,800 + Kforce, Inc. 64,380
11,268 + Korn/Ferry International 233,811
14,622 + Labor Ready, Inc. 247,404
5,404 + MAXIMUS, Inc. 168,172
34,005 + MPS Group, Inc. 416,901
4,000 + Medical Staffing Network Holdings, Inc. 32,760
5,742 + Midas, Inc. 114,840
3,100 + Monro Muffler, Inc. 78,430
15,623 + Navigant Consulting, Inc. 415,572
4,811 + Navigant International, Inc.(c) 58,550
3,817 + Netratings, Inc. 73,172
2,821 + PDI, Inc. 62,852
8,839 + Pegasus Solutions, Inc. 111,371
3,960 Pre-Paid Legal Services, Inc. 148,698
6,716 + Resources Connection, Inc. 364,746
6,468 Rollins, Inc. 170,238
21,100 + Sitel Corp. 51,906
8,200 + Source Interlink Cos., Inc. 108,896
21,029 + Spherion Corp. 176,644
3,340 Startek, Inc. 95,023
12,689 + TeleTech Holdings, Inc. 122,956
18,531 + Tetra Tech, Inc. 310,209
700 + Travelzoo, Inc.(c) 66,801
3,000 Unifirst Corp. 84,840
2,554 + Vertrue, Inc.(c) 96,465
1,659 + Volt Information Sciences, Inc. 48,758
14,418 + Waste Connections, Inc. 493,817
10,625 Watson Wyatt & Co. Holdings 286,344
14,113 + Wireless Facilities, Inc. 133,227
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Services: Commercial 3,700 World Fuel Services Corp. $ 184,260
(concluded) -------------
10,024,140
- ---------------------------------------------------------------------------------------------------------------------------
Shipping - 0.4% 12,492 Alexander & Baldwin, Inc. 529,911
4,300 + Gulfmark Offshore, Inc. 95,761
7,230 + Kirby Corp. 320,867
8,898 Overseas Shipholding Group 491,170
1,800 + Seabulk International, Inc. 21,798
-------------
1,459,507
- ---------------------------------------------------------------------------------------------------------------------------
Shoes - 0.3% 2,200 + Deckers Outdoor Corp.(c) 103,378
9,966 Finish Line Class A 182,378
6,996 K-Swiss, Inc. Class A 203,724
1,492 Kenneth Cole Productions, Inc. Class A 46,043
2,300 + Shoe Carnival, Inc. 29,900
6,555 + Skechers U.S.A., Inc. Class A 84,953
4,012 + Steve Madden Ltd. 75,666
12,935 Stride Rite Corp. 144,484
150 Weyco Group, Inc. 6,644
13,672 Wolverine World Wide, Inc. 429,574
-------------
1,306,744
- ---------------------------------------------------------------------------------------------------------------------------
Steel - 0.7% 35,927 + AK Steel Holding Corp. 519,864
28,900 Allegheny Technologies, Inc. 626,263
7,426 Carpenter Technology 434,124
7,834 Gibraltar Industries, Inc. 185,039
10,500 + Oregon Steel Mills, Inc. 213,045
5,350 Schnitzer Steel Industries, Inc. Class A 181,526
10,897 Steel Dynamics, Inc. 412,778
4,400 Steel Technologies, Inc. 121,044
1,100 + Wheeling-Pittsburgh Corp. 42,394
-------------
2,736,077
- ---------------------------------------------------------------------------------------------------------------------------
Synthetic Fibers - 0.0% 7,518 Wellman, Inc. 80,367
- ---------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment - 0.6% 3,800 Applied Signal Technology, Inc. 133,950
25,400 + Arris Group, Inc. 178,816
7,185 + Audiovox Corp. Class A 113,379
16,061 Belden CDT, Inc. 372,615
12,334 + C-COR, Inc. 114,706
1,200 + INTAC International 15,492
17,700 + Interdigital Communications Corp. 391,170
5,700 + Mastec, Inc. 57,627
32,377 + Powerwave Technologies, Inc. 274,557
16,600 + SBA Communications Corp. Class A 154,048
6,380 Spectralink Corp. 90,468
14,900 + Symmetricom, Inc. 144,679
22,176 + Terayon Corp. 60,097
-------------
2,101,604
- ---------------------------------------------------------------------------------------------------------------------------
Textile Products - 0.1% 7,500 + DHB Industries, Inc. 142,800
14,621 + Interface, Inc. Class A 145,771
-------------
288,571
- ---------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers - 0.6% 2,300 + Carter's, Inc. 78,177
2,200 Cherokee, Inc. 77,616
3,585 + Guess?, Inc. 44,992
4,200 + Hartmarx Corp. 32,634
7,482 Kellwood Co. 258,129
3,702 Oshkosh B' Gosh, Inc. Class A 79,223
5,042 Oxford Industries, Inc. 208,235
2,900 + Perry Ellis International, Inc. 59,015
8,054 Phillips-Van Heusen 217,458
18,450 + Quiksilver, Inc. 549,626
11,017 Russell Corp. 214,611
12,700 + The Warnaco Group, Inc. 274,320
-------------
2,094,036
- ---------------------------------------------------------------------------------------------------------------------------
Tires & Rubber - 0.4% 3,674 Bandag, Inc. 183,002
19,700 Cooper Tire & Rubber Co. 424,535
50,100 + The Goodyear Tire & Rubber Co.(c) 734,466
-------------
1,342,003
- ---------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.3% 14,955 DIMON, Inc. 100,498
5,820 Schweitzer-Mauduit International, Inc. 197,589
3,100 Standard Commercial Corp. 60,326
11,800 + Star Scientific, Inc.(c) 60,003
7,356 Universal Corp. 351,911
9,894 Vector Group Ltd. 164,537
-------------
934,864
- ---------------------------------------------------------------------------------------------------------------------------
Toys - 0.0% 6,830 + Jakks Pacific, Inc. 151,011
7,300 + Leapfrog Enterprises, Inc.(c) 99,280
-------------
250,291
- ---------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous - 0.3% 2,700 + HUB Group, Inc. Class A 140,994
30,800 + Laidlaw International, Inc. 659,120
10,400 + Pacer International, Inc. 221,104
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous 2,900 Quixote Corp. $ 58,957
(concluded) 6,081 + SCS Transportation, Inc. 142,113
1,900 + US Xpress Enterprises, Inc. Class A 55,670
-------------
1,277,958
- ---------------------------------------------------------------------------------------------------------------------------
Truckers - 1.0% 6,041 Arkansas Best Corp. 271,180
6,200 + Central Freight Lines, Inc. 39,060
2,900 + Covenant Transport, Inc. Class A 60,378
6,288 + Forward Air Corp. 281,074
15,980 Heartland Express, Inc. 359,071
12,075 Knight Transportation, Inc. 299,460
9,908 + Landstar System, Inc. 729,625
1,300 + Marten Transport Ltd. 29,549
5,450 + Old Dominion Freight Line 189,660
7,800 Overnite Corp. 290,472
1,200 + PAM Transportation Services 22,500
2,200 + Quality Distribution, Inc. 18,568
12,600 + Swift Transportation Co., Inc. 270,648
7,741 USF Corp. 293,771
14,200 Werner Enterprises, Inc. 321,488
-------------
3,476,504
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio - 0.0% 18,700 + Mediacom Communications Corp. Class A 116,875
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical - 1.3% 16,675 Avista Corp. 294,647
9,000 Black Hills Corp. 276,120
5,189 CH Energy Group, Inc. 249,331
62,400 + CMS Energy Corp. 652,080
3,903 Central Vermont Public Service Corp. 90,784
15,767 Cleco Corp. 319,439
21,900 Duquesne Light Holdings, Inc. 412,815
12,908 + El Paso Electric Co. 244,478
9,668 The Empire District Electric Co. 219,270
10,800 Idacorp, Inc. 330,156
5,645 MGE Energy, Inc. 203,389
8,486 Otter Tail Corp. 216,648
20,478 PNM Resources, Inc. 517,889
33,677 + Sierra Pacific Resources 353,609
4,600 UIL Holdings Corp. 235,980
10,783 Unisource Energy Corp. 259,978
-------------
4,876,613
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors - 1.6% 19,338 Atmos Energy Corp. 528,894
5,322 Cascade Natural Gas Corp. 112,826
11,900 Energen Corp. 701,505
3,400 EnergySouth, Inc. 95,336
6,448 The Laclede Group, Inc. 200,855
9,574 New Jersey Resources Corp. 414,937
12,800 Nicor, Inc. 472,832
9,699 Northwest Natural Gas Co. 327,244
11,000 Peoples Energy Corp. 483,450
24,000 Piedmont Natural Gas Co. 557,760
4,966 South Jersey Industries, Inc. 261,013
20,582 + Southern Union Co. 493,556
10,890 Southwest Gas Corp. 276,606
10,624 + Southwestern Energy Co. 538,531
15,200 WGL Holdings, Inc. 468,768
-------------
5,934,113
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Pipelines - 0.0% 5,631 + Transmontaigne, Inc. 34,518
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous - 0.1% 64,800 + Aquila, Inc. 239,112
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications - 0.9% 3,700 + AirGate PCS, Inc. 131,720
18,700 + Alamosa Holdings, Inc. 233,189
400 Alaska Communications Systems Group, Inc. 3,452
8,621 + Boston Communications Group 79,658
5,755 CT Communications, Inc. 70,786
1,626 + Centennial Communications Corp. 12,894
77,300 + Cincinnati Bell, Inc. 320,795
6,033 + Commonwealth Telephone Enterprises, Inc. 299,599
4,300 D&E Communications, Inc. 51,815
30,700 + Dobson Communications Corp. Class A 53,725
15,039 + General Communication Class A 166,031
4,492 Golden Telecom, Inc. 118,679
900 + ITC Deltacom, Inc. 1,539
5,700 + Intrado, Inc. 68,970
6,200 Iowa Telecommunications Services, Inc. 133,734
4,421 North Pittsburgh Systems, Inc. 109,331
17,500 + PTEK Holdings, Inc. 187,425
14,389 + Price Communications Corp. 267,492
26,300 + Primus Telecommunications GP 83,634
1,300 Shenandoah Telecom Co. 38,935
4,600 SureWest Communications 130,410
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (continued)
Industry# Shares Held Common Stocks Value
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications 11,433 + Talk America Holdings, Inc. $ 75,686
(concluded) 17,500 + Time Warner Telecom, Inc. Class A 76,300
8,200 + Triton PCS Holdings, Inc. Class A 28,044
6,820 + USA Mobility, Inc. 240,814
25,300 + Ubiquitel, Inc. 180,136
-------------
3,164,793
- ---------------------------------------------------------------------------------------------------------------------------
Utilities: Water - 0.2% 4,985 American States Water Co. 129,610
5,296 California Water Service Group 199,394
2,589 Connecticut Water Service, Inc. 68,583
3,282 Middlesex Water Co. 62,161
1,974 SJW Corp. 71,854
8,532 Southwest Water Co. 114,759
-------------
646,361
- ---------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade - 0.0% 4,850 + Central European Distribution Corp.(c) 143,269
- ---------------------------------------------------------------------------------------------------------------------------
Wholesales - 0.2% 6,600 + Brightpoint, Inc. 128,964
3,200 + LKQ Corp. 64,224
11,269 + United Stationers, Inc. 520,628
-------------
713,816
- ---------------------------------------------------------------------------------------------------------------------------
Total Investments in Common Stocks
(Cost - $275,838,140) - 97.9% 357,820,594
===========================================================================================================================
Mutual Funds
- ---------------------------------------------------------------------------------------------------------------------------
Investment Management Companies - 0.0% 3,600 Gladstone Capital Corp. 85,320
-------------
Total Investments in Mutual Funds
(Cost - $74,033) - 0.0% 85,320
===========================================================================================================================
Face Amount Fixed Income Securities
===========================================================================================================================
Metal Fabricating - 0.0% $ 700 Mueller Industries, Inc., 6% due 11/01/2014 686
-------------
Total Investments in Fixed Income Securities
(Cost - $686) - 0.0% 686
===========================================================================================================================
Beneficial Interest/Shares
Held Other Interest**
===========================================================================================================================
Computer Services Software & 500 PetroCorp Incorporated (Escrow Shares) 0
Systems - 0.0% $ 1,600 StorageNetworks, Inc. (Litigation Trust Certificates) 0
-------------
Total Investments in Other Interest (Cost - $0) - 0.0% 0
===========================================================================================================================
Beneficial Interest Short-Term Securities
===========================================================================================================================
$ 8,989,590 Merrill Lynch Liquidity Series, LLC Cash Sweep
Series I(a) 8,989,590
11,652,388 Merrill Lynch Liquidity Series, LLC Money Market
Series(a) (b) 11,652,388
=============
Total Investments in Short-Term Securities
(Cost - $20,641,978) - 5.6% 20,641,978
===========================================================================================================================
Total Investments (Cost - $296,554,837*) - 103.5% 378,548,578
Liabilities in Excess of Other Assets - (3.5)% (12,887,301)
-------------
Net Assets - 100.0% $ 365,661,277
=============
* The cost and unrealized appreciation/depreciation on investments as of
December 31,2004, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 300,190,875
=============
Gross unrealized appreciation $ 100,834,680
Gross unrealized depreciation (22,476,977)
-------------
Net unrealized appreciation $ 78,357,703
=============
** Other interest represents beneficial interest in liquidation trusts and
other reoganization entities and are non-income producing.
# For Series compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine industry sub-classifications for reporting ease. These industry
classifications are unaudited.
+ Non-income producing security.
(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:
Interest/
Affiliate Net Activity Dividend Income
------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ (31,201,939) $ 182,651
Merrill Lynch Liquidity Series, LLC Money Market Series $ 4,814,262 $ 107,254
Merrill Lynch Premier Institutional Fund (2,279,374) $ 9,198
------------------------------------------------------------------------------------------------------
(b) Security was purchased with the cash proceeds from securities loans.
(c) Security, or a portion of security, is on loan.
Master Small Cap Index Series
Schedule of Investments as of December 31, 2004 (concluded)
Financial futures contracts purchased as of December 31, 2004 were as
follows:
--------------------------------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
--------------------------------------------------------------------------------------------------------------------------
March
36 Russell 2000 Index 2005 $11,633,855 $ 137,245
--------------------------------------------------------------------------------------------------------------------------
Financial futures contracts sold as of December 31, 2004 were as follows:
--------------------------------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
--------------------------------------------------------------------------------------------------------------------------
March
3 Russell 2000 Index 2005 $949,875 $ (31,050)
--------------------------------------------------------------------------------------------------------------------------
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.
Small Cap Index Fund of Merrill Lynch Index Funds, Inc. and Master Small Cap
Index Series of Quantitative Master Series Trust
By: /s/ Robert C. Doll, Jr.
-------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Small Cap Index Fund of Merrill Lynch Index Funds, Inc. and
Master Small Cap 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
Small Cap Index Fund of Merrill Lynch Index Funds, Inc. and
Master Small Cap Index Series of Quantitative Master Series Trust
Date: February 24, 2005
By: /s/ Donald C. Burke
-------------------------------
Donald C. Burke,
Chief Financial Officer of
Small Cap Index Fund of Merrill Lynch Index Funds, Inc. and
Master Small Cap Index Series of Quantitative Master Series Trust
Date: February 24, 2005
EX-99. CERT
CERTIFICATION PURSUANT TO SECTION 302
OF THE SARBANES-OXLEY ACT OF 2002
- --------------------------------------------------------------------------------
I, Robert C. Doll, Jr., Chief Executive Officer of Small Cap Index Fund of
Merrill Lynch Index Funds, Inc. and Master Small Cap Index Series of
Quantitative Master Series Trust, certify that:
1. I have reviewed this report on Form N-CSR of Small Cap Index Fund of
Merrill Lynch Index Funds, Inc. and Master Small Cap Index Series of
Quantitative Master Series Trust (together, the "Fund");
2. Based on my knowledge, this report does not contain any untrue
statement of a material fact or omit to state a material fact
necessary to make the statements made, in light of the circumstances
under which such statements were made, not misleading with respect
to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in
net assets, and cash flows (if the financial statements are required
to include a statement of cash flows) of the Fund as of, and for,
the periods presented in this report;
4. The Fund's other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940)
and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the Fund and
have:
a) designed such disclosure controls and procedures, or caused
such disclosure controls and procedures to be designed under
our supervision, to ensure that material information relating
to the Fund, including its consolidated subsidiaries, is made
known to us by others within those entities, particularly
during the period in which this report is being prepared;
b) evaluated the effectiveness of the Fund's disclosure controls
and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing
date of this report based on such evaluation; and
c) disclosed in this report any change in the Fund's internal
control over financial reporting that occurred during the
Fund's most recent fiscal half-year (the Fund's second fiscal
half-year in the case of an annual report) that has materially
affected, or is reasonably likely to materially affect, the
Fund's internal control over financial reporting; and
5. The Fund's other certifying officer(s) and I have disclosed to the
Fund's auditors and the audit committee of the Fund's board of
directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the
design or operation of internal control over financial
reporting which are reasonably likely to adversely affect the
Fund's ability to record, process, summarize, and report
financial information; and
b) any fraud, whether or not material, that involves management
or other employees who have a significant role in the Fund's
internal control over financial reporting.
Date: February 24, 2005
/s/ Robert C. Doll, Jr.
----------------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
Small Cap Index Fund of Merrill
Lynch Index Funds, Inc. and Master
Small Cap Index Series of
Quantitative Master Series Trust