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: 12/31/05
Date of reporting period: 01/01/05 - 12/31/05
Item 1 - Report to Stockholders
Merrill Lynch
Small Cap Index Fund
Of Merrill Lynch Index Funds, Inc.
Annual Report
December 31, 2005
Merrill Lynch Small Cap Index Fund
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, 2005:
================================================================================
Record Date July 21, 2005 December 15, 2005
Payable Date July 27, 2005 December 21, 2005
================================================================================
Qualified Dividend
Income for Individuals 100% 100%
- --------------------------------------------------------------------------------
Dividends Qualifying for the
Dividends Received Deduction
for Corporations 100% 100%
- --------------------------------------------------------------------------------
Interest-Related Dividends for
Non-U.S. Residents -- 9.42%*
- --------------------------------------------------------------------------------
* Represents the portion of the taxable ordinary income dividends eligible
for exemption from U.S. withholding tax for non-resident aliens and
foreign corporations.
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.
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.
2 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
A Letter From the President
Dear Shareholder
On balance, 2005 was a year of "muddling through" for the U.S. financial
markets, as oil prices reached new record highs, the Federal Reserve Board (the
Fed) increased the target federal funds rate from 2.25% to 4.25%, the housing
market and the consumer finally showed some signs of slowing, and Hurricanes
Katrina and Rita ravaged the Gulf Coast, causing yet untold economic damage.
Although they struggled, stocks managed to post their third straight year of
positive performance. The year was equally uncertain for fixed income markets,
which were bemused by a flattening yield curve and a number of significant
credit events that brought a slowdown in high yield market returns. Notably, the
one-year results for the major asset classes -- stocks, bonds and cash -- were
the closest they have been in more than 100 years. For the 12- and six-month
periods ended December 31, 2005, most of the major market indexes managed to
land in positive territory:
Total Returns as of December 31, 2005 6-month 12-month
===========================================================================================
U.S. equities (Standard & Poor's 500 Index) + 5.77% + 4.91%
- -------------------------------------------------------------------------------------------
Small-cap U.S. equities (Russell 2000 Index) + 5.88 + 4.55
- -------------------------------------------------------------------------------------------
International equities (MSCI Europe Australasia Far East Index) +14.88 +13.54
- -------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers Aggregate Bond Index) - 0.08 + 2.43
- -------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 0.60 + 3.51
- -------------------------------------------------------------------------------------------
High yield bonds (Credit Suisse First Boston High Yield Index) + 1.48 + 2.26
- -------------------------------------------------------------------------------------------
In hindsight, these numbers are reasonably good given the headwinds facing the
markets in 2005. U.S. equities found support in strong corporate earnings, low
core inflation and healthy company balance sheets. Strength in the global
economy and non-U.S. equity markets helped, as did robust dividend-distribution,
share-buyback and merger-and-acquisition activity. International stocks had an
excellent year, with many markets benefiting from strong economic statistics,
trade surpluses and solid finances. In the U.S. bond market, long-term yields
remained low and, at year-end, the Treasury curve appeared ready to invert.
As 2006 begins, the largest question marks center on the Fed's future moves, the
U.S. consumer's ability (or inability) to continue spending, the direction of
the U.S. dollar following a year of appreciation and the potential for continued
strong economic and corporate earnings growth. As you turn the calendar and
consider how these factors might impact your investments, remember that the new
year is a good time to meet with your financial advisor to review your financial
goals, and to make portfolio changes where necessary. For investing insights and
timely "food for thought" for investors, we also invite you to visit Shareholder
magazine at www.mlim.ml.com/shareholdermagazine.
As always, 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 Director/Trustee
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 3
A Discussion With Your Fund's Portfolio Managers
Returns for small cap stocks, as measured by the Russell 2000 Index,
lagged those of their mid cap and large cap counterparts for the fiscal year.
How did the Fund perform during the fiscal year in light of the existing market
conditions?
For the 12-month period ended December 31, 2005, Merrill Lynch Small Cap Index
Fund's Class A and Class I Shares had total returns of +3.88% and +4.16%,
respectively. For the same period, the benchmark Russell 2000 Index returned
+4.55%. (Complete performance information can be found on pages 6 and 7 of this
report to shareholders.)
The Russell 2000 Index is 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 past 12
months, the Fund's performance generally tracked that of the Index.
The U.S. equity markets exhibited substantial volatility over the 12-month
period, moving sideways for much of the year. The period got off to a rough
start after a very strong fourth quarter of 2004. Economically sensitive and
small-capitalization stocks fared the worst out of the gate. January 2005 was
characterized by mixed economic data, higher interest rates, disappointing
corporate earnings reports and climbing oil prices. In February, the market
reversed course and performed well, even as productivity growth slowed and oil
prices continued to climb. By March, however, stock prices resumed their
downward slide, hurt by a combination of a worse-than-expected trade deficit,
mixed economic news, continued high oil prices and rising interest rates.
In April, retail sales, payroll data, and consumer and business sentiment
weakened. For most of the month, equity markets were dogged by continuing
inflationary concerns, particularly as the price of oil climbed above $57 per
barrel. The month closed with the release of March data indicating a
particularly large jump in the Consumer Price Index, which worried investors
concerned about the prospect of higher interest rates. May brought the
announcement of slower-than-expected economic growth (with 3.1% gross domestic
product growth in the first quarter). But despite concerns over slower economic
activity, decelerating corporate profit growth and high oil prices,
first-quarter earnings reports remained strong, leading to a stock market rally.
June, however, brought a slowdown in the equity market as further worries about
a slower economy dampened markets.
July was an impressive month for equity performance. The market was able to
overcome the drag provided by a strong dollar, higher energy prices and a major
terrorist attack in London. The attack caused an immediate 4% drop in the
Standard & Poor's 500 Index. However, investors quickly rebounded, and the
market losses were recovered just one day later. August brought another
reversal, as higher oil prices continued to engender fears of economic weakness.
In the aftermath of Hurricane Katrina, the price of oil reached $70 per barrel.
The market turned slightly positive in September as improved profits in the
energy sector offset weakness in the retail, transportation, tourism and
insurance sectors.
Stock prices slid again in October amid continued signs of a slower economy and
renewed concerns about inflation. Despite economic growth of 4.1% for the third
quarter of 2005, short-term interest rates rose, oil prices remained
historically high and consumer confidence declined. In November, equities were
resilient in the face of further interest rate hikes, high energy prices and the
strength of the U.S. dollar, which cut into the profits of domestic companies
that do business internationally. Stock values rebounded as companies' strong
productivity and high profit margins led to solid earnings growth, and as oil
prices fell to the mid-$50-per-barrel range. After nearly six weeks of stock
market gains, equity performance was uninspiring in December, with thin trading
volumes causing volatile movements in stock prices. Compounding the mixed
results and leaving investors uncertain about the direction of the economy in
2006 was the fact that the yield curve inverted between the two-year and 10-year
sectors at the end of December. That is, 10-year bond yields fell below the
two-year bond yield. Such inversions are historically a harbinger of an economic
downturn.
For the full 12-month period, small cap stocks, as measured by the Russell 2000
Index, lagged the +12.56% return of the S&P MidCap 400 Index and the +4.91%
return of the large-cap S&P 500 Index.
As expected, interest rates moved considerably during the period as the yield
curve flattened. The Federal Reserve continued its "measured" pace of monetary
tightening by raising the federal funds rate in 25 basis point increments eight
times in 2005. This brought the target short-term interest rate to 4.25% by
year-end.
4 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
What changes were made to the portfolio during the period?
On June 24, 2005, the Russell 2000 Index underwent its annual reconstitution. To
maintain the Fund's tight tracking to the benchmark, we adjusted the portfolio
to be in line with the new benchmark as of the rebalancing's effective date.
How would you characterize the portfolio's position at the close of the period?
After several years of above-average growth, the economy and corporate earnings
are likely to slow in 2006. Against this backdrop, the Fund remains positioned
to match the risk characteristics of its benchmark, whatever direction the
markets take.
Vincent J. Costa, CFA
Vice President and Co-Portfolio Manager
Debra L. Jelilian
Vice President and Co-Portfolio Manager
Jeffrey L. Russo, CFA
Vice President and Co-Portfolio Manager
January 9, 2006
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 5
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 may charge a 2% redemption fee for sales or exchanges of shares
within 30 days of purchase or exchange. 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, 2005 Total Return Total Return Total Return
===========================================================================================
ML Small Cap Index Fund Class A Shares* +5.53% +3.88% +105.73%
- -------------------------------------------------------------------------------------------
ML Small Cap Index Fund Class I Shares* +5.58 +4.16 +110.17
- -------------------------------------------------------------------------------------------
Russell 2000(R) Index** +5.88 +4.55 +116.81
- -------------------------------------------------------------------------------------------
* 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, 2005
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 2005.
ML Small Cap ML Small Cap
Index Fund+-- Index Fund+-- Russell
Class A Shares* Class I Shares* 2000 Index++
4/09/97** $10,000 $10,000 $10,000
12/97 $12,687 $12,704 $12,743
12/98 $12,253 $12,304 $12,419
12/99 $14,759 $14,862 $15,059
12/00 $14,382 $14,504 $14,604
12/01 $14,608 $14,777 $14,967
12/02 $11,577 $11,731 $11,901
12/03 $16,886 $17,165 $17,525
12/04 $19,805 $20,178 $20,737
12/05 $20,573 $21,017 $21,681
* 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 12/31/05 +3.88%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/05 +7.42
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/05 +8.62
- --------------------------------------------------------------------------------
Class I Shares Return
================================================================================
One Year Ended 12/31/05 +4.16%
- --------------------------------------------------------------------------------
Five Years Ended 12/31/05 +7.70
- --------------------------------------------------------------------------------
Inception (4/09/97) through 12/31/05 +8.88
- --------------------------------------------------------------------------------
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 7
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
12b-1 fees, and other Fund expenses. The following example (which is based on a
hypothetical investment of $1,000 invested on July 1, 2005 and held through
December 31, 2005) 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, 2005 to
July 1, 2005 December 31, 2005 December 31, 2005
================================================================================================================
Actual
================================================================================================================
Class A $1,000 $1,055.30 $4.12
- ----------------------------------------------------------------------------------------------------------------
Class I $1,000 $1,055.80 $2.78
================================================================================================================
Hypothetical (5% annual return before expenses)**
================================================================================================================
Class A $1,000 $1,021.09 $4.05
- ----------------------------------------------------------------------------------------------------------------
Class I $1,000 $1,022.39 $2.74
- ----------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (0.80% for Class A and 0.54% for Class I), multiplied
by the average account value over the period, multiplied by 183/365 (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 365.
8 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Statement of Assets and Liabilities Merrill Lynch Small Cap Index Fund
As of December 31, 2005
==================================================================================================================================
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investment in Master Small Cap Index Series (the "Series"), at value
(identified cost--$86,782,109) ................................................ $ 112,602,643
Prepaid expenses and other assets .............................................. 6,159
-------------
Total assets ................................................................... 112,608,802
-------------
==================================================================================================================================
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Payables:
Administrator ............................................................... $ 24,588
Distributor ................................................................. 10,368 34,956
-------------
Accrued expenses ............................................................... 7,144
-------------
Total liabilities .............................................................. 42,100
-------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets ..................................................................... $ 112,566,702
=============
==================================================================================================================================
Net Assets Consist of
- ----------------------------------------------------------------------------------------------------------------------------------
Class A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized $ 341
Class I Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized 443
Paid-in capital in excess of par ............................................... 87,726,859
Undistributed investment income--net ........................................... $ 49,736
Accumulated realized capital losses allocated from the Series--net ............. (1,031,211)
Unrealized appreciation allocated from the Series--net ......................... 25,820,534
-------------
Total accumulated earnings--net ................................................ 24,839,059
-------------
Net Assets ..................................................................... $ 112,566,702
=============
==================================================================================================================================
Net Asset Value
- ----------------------------------------------------------------------------------------------------------------------------------
Class A--Based on net assets of $48,895,664 and 3,406,121 shares outstanding ... $ 14.36
=============
Class I--Based on net assets of $63,671,038 and 4,433,619 shares outstanding ... $ 14.36
=============
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 9
Statement of Operations Merrill Lynch Small Cap Index Fund
For the Year Ended December 31, 2005
==================================================================================================================================
Investment Income
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends ................................................................... $ 1,247,069
Interest from affiliates .................................................... 136,927
Securities lending--net ..................................................... 67,434
Expenses .................................................................... (84,443)
-------------
Total income ................................................................... 1,366,987
-------------
==================================================================================================================================
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Administration fees ............................................................ $ 343,180
Account maintenance fees--Class A .............................................. 122,940
Transfer agent fees--Class I ................................................... 64,770
Printing and shareholder reports ............................................... 52,280
Transfer agent fees--Class A ................................................... 47,345
Registration fees .............................................................. 29,289
Professional fees .............................................................. 7,680
Directors' fees and expenses ................................................... 2,033
Other .......................................................................... 10,509
-------------
Total expenses before waiver ................................................... 680,026
Waiver of expenses ............................................................. (6,113)
-------------
Total expenses after waiver .................................................... 673,913
-------------
Investment income--net ......................................................... 693,074
-------------
==================================================================================================================================
Realized & Unrealized Gain (Loss) Allocated from the Series--Net
- ----------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on:
Investments--net ............................................................ 5,060,189
Futures contracts--net ...................................................... (745,563) 4,314,626
-------------
Change in unrealized appreciation/depreciation on investments and futures
contracts--net ................................................................ (291,948)
-------------
Total realized and unrealized gain--net ........................................ 4,022,678
-------------
Net Increase in Net Assets Resulting from Operations ........................... $ 4,715,752
=============
See Notes to Financial Statements.
10 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Statements of Changes in Net Assets Merrill Lynch Small Cap Index Fund
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2005 2004
==================================================================================================================================
Operations
- ----------------------------------------------------------------------------------------------------------------------------------
Investment income--net ......................................................... $ 693,074 $ 565,844
Realized gain--net ............................................................. 4,314,626 4,933,608
Change in unrealized appreciation/depreciation--net ............................ (291,948) 12,603,818
-------------------------------
Net increase in net assets resulting from operations ........................... 4,715,752 18,103,270
-------------------------------
==================================================================================================================================
Dividends & Distributions to Shareholders
- ----------------------------------------------------------------------------------------------------------------------------------
Investment income--net:
Class A ..................................................................... (232,731) (181,632)
Class I ..................................................................... (480,662) (345,798)
Realized gain--net:
Class A ..................................................................... (761,082) --
Class I ..................................................................... (982,462) --
-------------------------------
Net decrease in net assets resulting from dividends and distributions to
shareholders .................................................................. (2,456,937) (527,430)
-------------------------------
==================================================================================================================================
Capital Share Transactions
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets derived from capital share transactions .. (14,238,277) 5,496,144
-------------------------------
==================================================================================================================================
Redemption Fees
- ----------------------------------------------------------------------------------------------------------------------------------
Redemption fees ................................................................ 498 103
-------------------------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets ........................................ (11,978,964) 23,072,087
Beginning of year .............................................................. 124,545,666 101,473,579
-------------------------------
End of year* ................................................................... $ 112,566,702 $ 124,545,666
===============================
* Undistributed investment income--net ...................................... $ 49,736 $ 68,385
===============================
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 11
Financial Highlights Merrill Lynch Small Cap Index Fund
Class A
-------------------------------------------------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -------------------------------------------------------------------
from information provided in the financial statements. 2005 2004 2003 2002 2001
================================================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ..... $ 14.10 $ 12.06 $ 8.29 $ 10.53 $ 10.45
-------------------------------------------------------------------
Investment income--net** ............... .06 .05 .04 .05 .08
Realized and unrealized gain (loss)--net .49* 2.03* 3.76 (2.23) .08
-------------------------------------------------------------------
Total from investment operations ....... .55 2.08 3.80 (2.18) .16
-------------------------------------------------------------------
Less dividends and distributions from:
Investment income--net .............. (.07) (.04) (.03) (.06) (.08)
Realized gain--net .................. (.22) -- -- -- --
-------------------------------------------------------------------
Total dividends and distributions ...... (.29) (.04) (.03) (.06) (.08)
-------------------------------------------------------------------
Net asset value, end of year ........... $ 14.36 $ 14.10 $ 12.06 $ 8.29 $ 10.53
===================================================================
================================================================================================================================
Total Investment Return
- --------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 3.88% 17.29% 45.85% (20.75%) 1.57%
===================================================================
================================================================================================================================
Ratios to Average Net Assets***
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .79% .81% .85% .75% .75%
===================================================================
Expenses ............................... .80% .81% .88% .89% .88%
===================================================================
Investment income--net ................. .43% .38% .36% .56% .78%
===================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $48,896 $56,522 $50,280 $34,308 $44,505
===================================================================
Portfolio turnover of the Series ....... 36.63% 37.74% 28.57% 39.00% 48.50%
===================================================================
* Includes redemption fees, which are less than $.01 per share.
** Based on average shares outstanding.
*** Includes the Fund's share of the Series' allocated expenses and/or
investment income--net.
See Notes to Financial Statements.
12 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Financial Highlights (concluded) Merrill Lynch Small Cap Index Fund
Class I
-------------------------------------------------------------------
For the Year Ended
December 31,
The following per share data and ratios have been derived -------------------------------------------------------------------
from information provided in the financial statements. 2005 2004 2003 2002 2001
================================================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ..... $ 14.10 $ 12.06 $ 8.28 $ 10.53 $ 10.45
-------------------------------------------------------------------
Investment income--net** ............... .10 .08 .06 .08 .10
Realized and unrealized gain (loss)--net .49* 2.04* 3.77 (2.25) .10
-------------------------------------------------------------------
Total from investment operations ....... .59 2.12 3.83 (2.17) .20
-------------------------------------------------------------------
Less dividends and distributions from:
Investment income--net .............. (.11) (.08) (.05) (.08) (.12)
Realized gain--net .................. (.22) -- -- -- --
-------------------------------------------------------------------
Total dividends and distributions ...... (.33) (.08) (.05) (.08) (.12)
-------------------------------------------------------------------
Net asset value, end of year ........... $ 14.36 $ 14.10 $ 12.06 $ 8.28 $ 10.53
===================================================================
================================================================================================================================
Total Investment Return
- --------------------------------------------------------------------------------------------------------------------------------
Based on net asset value per share ..... 4.16% 17.55% 46.32% (20.61%) 1.88%
===================================================================
================================================================================================================================
Ratios to Average Net Assets***
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver ................ .53% .56% .60% .50% .50%
===================================================================
Expenses ............................... .54% .56% .63% .64% .63%
===================================================================
Investment income--net ................. .69% .64% .61% .82% 1.02%
===================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) . $63,671 $68,024 $51,194 $30,938 $36,317
===================================================================
Portfolio turnover of the Series ....... 36.63% 37.74% 28.57% 39.00% 48.50%
===================================================================
* Includes redemption fees, which are less than $.01 per share.
** Based on average shares outstanding.
*** Includes the Fund's share of the Series' allocated expenses and/or
investment income--net.
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 13
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 strategies 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, 2005
was 30.4%. 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 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 1(a)
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.
(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) Reclassifications -- 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, $148,345 has been reclassified between accumulated net realized capital
losses and paid-in capital in excess of par $1,066 has been reclassified between
accumulated net realized capital losses and unrealized net appreciation
allocated from the Series and $1,670 has been reclassified between paid-in
capital excess of par and undistributed net investment income as a result of
permanent differences attributable to net gains realized on the distribution of
securities not recognized for tax purposes and non-deductible expenses. These
reclassifications have 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. MLIM earned fees of $343,180, of which
$6,113 were waived. The Fund may pay a monthly investment advisory fee at an
annual rate of .08% based upon the average daily value of the Fund's net assets.
However, the Investment Adviser has entered into a contractual agreement with
the Fund pursuant to which the investment advisory fee will not be charged to
the Fund so long as the Fund remains invested in the Trust. As a result, the
investment advisory fee has not been accrued and will not be payable by the Fund
for the period covered by this report.
14 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Notes to Financial Statements (concluded) Merrill Lynch Small Cap Index Fund
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.
Pursuant to a sub-agreement with the Distributor, Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("MLPF&S"), an affiliate of MLIM, 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 ML & Co.
3. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
was $(14,238,277) and $5,496,144 for the years ended December 31, 2005 and
December 31, 2004, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Class A Shares for the Year Dollar
Ended December 31, 2005 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 535,473 $ 7,390,664
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 59,618 868,264
------------------------------
Total issued ............................. 595,091 8,258,928
Shares redeemed .......................... (1,198,137) (16,429,784)
------------------------------
Net decrease ............................. (603,046) $ (8,170,856)
==============================
- -------------------------------------------------------------------------------
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 I Shares for the Year Dollar
Ended December 31, 2005 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .............................. 2,459,250 $ 34,087,931
Shares issued to shareholders in
reinvestment of dividends
and distributions ...................... 96,658 1,407,794
------------------------------
Total issued ............................. 2,555,908 35,495,725
Shares redeemed .......................... (2,945,115) (41,563,146)
------------------------------
Net decrease ............................. (389,207) $ (6,067,421)
==============================
- -------------------------------------------------------------------------------
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
==============================
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 or exchange. 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.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal year ended December
31, 2005 and December 31, 2004 was as follows:
- -------------------------------------------------------------------------------
12/31/2005 12/31/2004
- -------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ........................ $ 713,393 $ 527,430
Long-term capital gains ................ 1,743,544 --
-------------------------------
Total taxable distributions .............. $ 2,456,937 $ 527,430
===============================
As of December 31, 2005, the components of accumulated earnings on a tax basis
were as follows:
- -------------------------------------------------------------------------------
Undistributed ordinary income--net ......................... $ 92,016
Undistributed long-term capital gains--net ................. 488,160
-----------
Total undistributed earnings--net .......................... 580,176
Capital loss carryforward .................................. --
Unrealized gains--net ...................................... 24,258,883*
-----------
Total accumulated earnings--net ............................ $24,839,059
===========
* 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/losses on certain futures
contracts.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 15
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, 2005, 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. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the 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, 2005, 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, 2006
Portfolio Information Master Small Cap Index Series
As of December 31, 2005
Percent of Total
Sector Representation Investments
- --------------------------------------------------------------------------------
Financial Services ......................................... 22.5%
Consumer Discretionary ..................................... 17.5
Technology ................................................. 13.3
Health Care ................................................ 11.3
Materials & Processing ..................................... 9.2
Producer Durables .......................................... 7.6
Other Energy ............................................... 5.3
Utilities .................................................. 3.6
Auto & Transportation ...................................... 3.5
Consumer Staples ........................................... 1.8
Other ...................................................... 0.5
Integrated Oils ............................................ 0.2
Short-Term Investments ..................................... 3.7
- --------------------------------------------------------------------------------
For Series compliance purposes, the Series' sector classifications refer
to any one or more of the sector sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for the
purposes of this report, which may combine sector sub-classifications for
reporting ease.
16 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
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 Other Securities $ 2,329,661 0.6%
- -----------------------------------------------------------------------------------------------------------------------------------
Aerospace Other Securities 1,887,049 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching Other Securities 722,730 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Air Transport 29,180 Continental Airlines, Inc. Class B (a)(e) 621,534 0.2
Other Securities 2,985,813 0.8
-----------------------------
3,607,347 1.0
- -----------------------------------------------------------------------------------------------------------------------------------
Aluminum Other Securities 510,376 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market Other Securities 647,648 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment Other Securities 1,257,089 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts Other Securities 585,740 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Banks: New York City Other Securities 148,771 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City 13,900 Hudson United Bancorp 579,352 0.2
15,762 Pacific Capital Bancorp 560,812 0.1
Other Securities 27,372,288 7.4
-----------------------------
28,512,452 7.7
- -----------------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) Other Securities 120,000 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks Other Securities 583,615 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production 10,300 Neurocrine Biosciences, Inc. (a) 646,119 0.2
Other Securities 8,343,988 2.2
-----------------------------
8,990,107 2.4
- -----------------------------------------------------------------------------------------------------------------------------------
Building Materials 19,600 Hughes Supply, Inc. 702,660 0.2
Other Securities 2,073,399 0.6
-----------------------------
2,776,059 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Building: Air Conditioning Other Securities 387,327 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Building: Cement 5,078 Eagle Materials, Inc. 621,344 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing Other Securities 285,691 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous Other Securities 553,884 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard Other Securities 347,412 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Cable Television Services Other Securities 243,282 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling Other Securities 2,119,938 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Chemicals Other Securities 4,334,656 1.2
- -----------------------------------------------------------------------------------------------------------------------------------
Coal Other Securities 610,766 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Commercial Information Services Other Securities 1,178,352 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Communications & Media Other Securities 347,074 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Communications Technology 18,800 Adtran, Inc. 559,112 0.1
Other Securities 9,141,596 2.5
-----------------------------
9,700,708 2.6
- -----------------------------------------------------------------------------------------------------------------------------------
Computer Services Software & Systems 24,300 Acxiom Corp. 558,900 0.1
Other Securities 16,931,493 4.6
-----------------------------
17,490,393 4.7
- -----------------------------------------------------------------------------------------------------------------------------------
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 17
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===================================================================================================================================
Computer Technology 80,700 Maxtor Corp. (a) $ 560,058 0.1%
Other Securities 6,234,300 1.7
-----------------------------
6,794,358 1.8
- -----------------------------------------------------------------------------------------------------------------------------------
Construction Other Securities 1,421,377 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer Electronics 42,900 CNET Networks, Inc. (a) 630,201 0.2
Other Securities 2,862,967 0.7
-----------------------------
3,493,168 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Consumer Products 19,100 Jarden Corp. (a) 575,865 0.2
Other Securities 2,412,899 0.6
-----------------------------
2,988,764 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Glass Other Securities 690,408 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & Plastic Other Securities 154,202 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Copper Other Securities 295,642 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Cosmetics Other Securities 683,859 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services Other Securities 2,038,269 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing Other Securities 2,821,740 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains Other Securities 1,871,114 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals 30,000 Alkermes, Inc. (a) 573,600 0.1
32,500 Amylin Pharmaceuticals, Inc. (a) 1,297,400 0.4
30,700 Vertex Pharmaceuticals, Inc. (a) 849,469 0.2
Other Securities 8,452,721 2.3
-----------------------------
11,173,190 3.0
- -----------------------------------------------------------------------------------------------------------------------------------
Education Services Other Securities 1,793,659 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics Other Securities 1,282,106 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components Other Securities 3,177,347 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance Other Securities 536,689 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics Other Securities 1,768,819 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, Other Securities 597,760 0.2
Gauges & Meters
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems 10,281 Intuitive Surgical, Inc. (a) 1,205,653 0.3
Other Securities 2,761,486 0.8
-----------------------------
3,967,139 1.1
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics: Semi-Conductors/ 37,800 Fairchild Semiconductor International, Inc. (a) 639,198 0.2
Components 55,730 Integrated Device Technology, Inc. (a) 734,521 0.2
Other Securities 9,383,992 2.5
-----------------------------
10,757,711 2.9
- -----------------------------------------------------------------------------------------------------------------------------------
Electronics: Technology Other Securities 2,580,909 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment Other Securities 135,901 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous Other Securities 2,181,084 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting Services Other Securities 1,499,490 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Entertainment Other Securities 823,858 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Fertilizers Other Securities 193,200 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Finance Companies Other Securities 644,746 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan Other Securities 396,853 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Other Securities 3,355,909 0.9
Services & Systems
- -----------------------------------------------------------------------------------------------------------------------------------
Financial Information Services Other Securities 891,550 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous 29,200 MoneyGram International, Inc. 761,536 0.2
Other Securities 2,751,350 0.7
-----------------------------
3,512,886 0.9
18 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===================================================================================================================================
Foods Other Securities $ 3,300,993 0.9%
- -----------------------------------------------------------------------------------------------------------------------------------
Forest Products Other Securities 1,220,009 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services Other Securities 274,416 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries Other Securities 410,651 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Glass Other Securities 188,152 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Gold Other Securities 377,282 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Facilities Other Securities 3,286,010 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Management Services 7,000 Pediatrix Medical Group, Inc. (a) 619,990 0.2
Other Securities 2,014,572 0.5
-----------------------------
2,634,562 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Health Care Services Other Securities 2,119,851 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Homebuilding Other Securities 809,161 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Hotel/Motel Other Securities 210,916 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Household Furnishings Other Securities 1,693,731 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter Devices 17,900 Crane Co. 631,333 0.2
15,300 Flowserve Corp. (a) 605,268 0.1
Other Securities 2,258,853 0.6
-----------------------------
3,495,454 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Industrial Producers Other Securities 72,275 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance: Life Other Securities 1,620,874 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line Other Securities 2,074,866 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty 21,415 Ohio Casualty Corp. 606,473 0.1
Other Securities 4,691,006 1.3
-----------------------------
5,297,479 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Investment Management Companies 26,400 Waddell & Reed Financial, Inc. Class A 553,608 0.1
Other Securities 1,758,862 0.5
-----------------------------
2,312,470 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Jewelry Watches & Gemstones Other Securities 547,856 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Leisure Time Other Securities 1,482,378 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Machine Tools Other Securities 507,331 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering Other Securities 295,124 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural Other Securities 665,318 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling Other Securities 1,200,314 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery: Engines 15,100 Briggs & Stratton Corp. 585,729 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty Other Securities 2,698,579 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well 22,074 Cal Dive International, Inc. (a) 792,236 0.2
Equipment & Services Other Securities 4,948,199 1.4
-----------------------------
5,740,435 1.6
- -----------------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty 15,998 JLG Industries, Inc. 730,469 0.2
Other Securities 1,248,009 0.3
-----------------------------
1,978,478 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Manufactured Housing Other Securities 448,680 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Manufacturing Other Securities 354,674 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Medical & Dental Other Securities 10,082,586 2.7
Instruments & Supplies
- -----------------------------------------------------------------------------------------------------------------------------------
Medical Services Other Securities 864,723 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 19
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===================================================================================================================================
Metal Fabricating 19,156 Commercial Metals Co. $ 719,116 0.2%
9,947 Reliance Steel & Aluminum Co. 607,961 0.2
22,000 The Shaw Group, Inc. (a) 639,980 0.2
Other Securities 3,118,514 0.8
-----------------------------
5,085,571 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous 7,218 Cleveland-Cliffs, Inc. (e) 639,298 0.2
Other Securities 1,441,952 0.4
-----------------------------
2,081,250 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing 23,378 Corn Products International, Inc. 558,500 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples Other Securities 71,973 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Commodities Other Securities 716,958 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Processing Other Securities 882,213 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables 25,000 BE Aerospace, Inc. (a) 550,000 0.1
Other Securities 186,381 0.1
-----------------------------
736,381 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology Other Securities 96,444 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies 12,002 Walter Industries, Inc. 596,739 0.1
Other Securities 1,401,615 0.4
-----------------------------
1,998,354 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business Equipment Other Securities 224,975 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Offshore Drilling Other Securities 379,932 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers 16,111 Cabot Oil & Gas Corp. Class A 726,606 0.2
15,300 Cheniere Energy, Inc. (a) 569,466 0.1
24,693 Cimarex Energy Co. 1,062,046 0.3
15,930 Frontier Oil Corp. 597,853 0.2
17,952 St. Mary Land & Exploration Co. 660,813 0.2
Other Securities 7,393,347 2.0
-----------------------------
11,010,131 3.0
- -----------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic Other Securities 798,044 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Paints & Coatings Other Securities 523,639 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Paper Other Securities 1,698,910 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Plastics Other Securities 273,365 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Pollution Control & Other Securities 672,354 0.2
Environmental Services
- -----------------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment Other Securities 327,485 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services Other Securities 457,104 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment Other Securities 5,261,383 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous Other Securities 1,803,519 0.5
- -----------------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers Other Securities 731,941 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters Other Securities 2,653,230 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Railroad Equipment Other Securities 606,155 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Railroads 22,876 Kansas City Southern (a) 558,861 0.2
Other Securities 808,664 0.2
-----------------------------
1,367,525 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Real Estate Other Securities 1,013,237 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
20 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
===================================================================================================================================
Real Estate Investment Trusts (REIT) 7,156 Alexandria Real Estate Equities, Inc. $ 576,058 0.1%
9,978 Kilroy Realty Corp. 617,638 0.2
63,600 La Quinta Corp. (a) 708,504 0.2
17,408 Taubman Centers, Inc. 604,928 0.1
Other Securities 20,986,688 5.7
-----------------------------
23,493,816 6.3
- -----------------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats Other Securities 1,226,456 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial Other Securities 1,225,174 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer Other Securities 1,261,400 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Restaurants Other Securities 5,383,158 1.5
- -----------------------------------------------------------------------------------------------------------------------------------
Retail 11,200 Tractor Supply Co. (a) 592,928 0.2
Other Securities 15,581,894 4.2
-----------------------------
16,174,822 4.4
- -----------------------------------------------------------------------------------------------------------------------------------
Savings & Loan 39,553 First Niagara Financial Group, Inc. 572,332 0.2
39,100 NewAlliance Bancshares, Inc. 568,514 0.1
Other Securities 6,627,274 1.8
-----------------------------
7,768,120 2.1
- -----------------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers Other Securities 630,056 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services Other Securities 2,694,536 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Services: Commercial 12,394 Corrections Corp. of America (a) 557,358 0.1
15,300 Regis Corp. 590,121 0.2
Other Securities 11,202,530 3.0
-----------------------------
12,350,009 3.3
- -----------------------------------------------------------------------------------------------------------------------------------
Shipping Other Securities 662,562 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Shoes Other Securities 1,658,413 0.4
- -----------------------------------------------------------------------------------------------------------------------------------
Steel Other Securities 2,666,480 0.7
- -----------------------------------------------------------------------------------------------------------------------------------
Synthetic Fibers Other Securities 29,276 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment Other Securities 3,326,141 0.9
- -----------------------------------------------------------------------------------------------------------------------------------
Textile Products Other Securities 237,491 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers Other Securities 2,188,816 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Other Securities 449,633 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities 827,081 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Toys Other Securities 297,403 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous Other Securities 822,220 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Truckers Other Securities 2,148,656 0.6
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio Other Securities 99,369 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical 53,177 Sierra Pacific Resources (a) 693,428 0.2
Other Securities 4,335,165 1.2
-----------------------------
5,028,593 1.4
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors Other Securities 3,011,220 0.8
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Pipelines Other Securities 96,565 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous Other Securities 458,640 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications 227,400 Level 3 Communications, Inc. (a)(e) 652,638 0.2
Other Securities 3,865,062 1.0
-----------------------------
4,517,700 1.2
- -----------------------------------------------------------------------------------------------------------------------------------
Utilities: Water Other Securities 590,947 0.2
- -----------------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade Other Securities 258,903 0.1
- -----------------------------------------------------------------------------------------------------------------------------------
Wholesalers Other Securities 996,813 0.3
- -----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost--$291,937,655) 368,885,577 99.7
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 21
Summary Schedule of Investments (concluded) Master Small Cap Index Series
Percent of
Industry Mutual Funds Value Net Assets
===================================================================================================================================
Investment Management Companies Other Securities $ 100,486 0.0%
- -----------------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds (Cost--$99,942) 100,486 0.0
===================================================================================================================================
===================================================================================================================================
Rights
===================================================================================================================================
Retail Other Securities 777 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost--$0) 777 0.0
===================================================================================================================================
===================================================================================================================================
Other Interests (b)
===================================================================================================================================
Oil: Crude Producers Other Securities 0 0.0
- -----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost--$0) 0 0.0
===================================================================================================================================
===================================================================================================================================
Beneficial
Interest Short-Term Securities
===================================================================================================================================
$ 641,675 Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I (c) 641,675 0.2
13,465,055 Merrill Lynch Liquidity Series, LLC
Money Market Series (c)(d) 13,465,055 3.6
- -----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost--$14,106,730) 14,106,730 3.8
===================================================================================================================================
Total Investments (Cost--$306,144,327*) 383,093,570 103.5
Liabilities in Excess of Other Assets (12,948,221) (3.5)
------------------------------
Net Assets $370,145,349 100.0
==============================
* The cost and unrealized appreciation (depreciation) of investments, as of
December 31, 2005, as computed for federal income tax purposes, were as
follows:
Aggregate cost ........................................... $309,875,971
============
Gross unrealized appreciation ............................ $ 98,880,176
Gross unrealized depreciation ............................ (25,662,577)
------------
Net unrealized appreciation .............................. $ 73,217,599
============
(a) Non-income producing security.
(b) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
-------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
-------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I $(8,347,915) $464,626
Merrill Lynch Liquidity Series, LLC
Money Market Series $ 1,812,667 $210,148
-------------------------------------------------------------------------
(d) Security was purchased with the cash proceeds from securities loans.
(e) Security, or a portion of security, is on loan.
o "Other Securities" represent issues that are not identified as the 50
largest holdings of the Series and issues not exceeding 1% of net assets.
o For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for the
purposes of this report, which may combine industry sub-classifications
for reporting ease. Industries are shown as a percent of net assets. These
industry classifications are unaudited.
o Financial futures contracts purchased as of December 31, 2005 were as
follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
--------------------------------------------------------------------------
4 Russell March
2000 Index 2006 $1,357,448 $(848)
--------------------------------------------------------------------------
See Notes to Financial Statements.
22 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Statement of Assets and Liabilities Master Small Cap Index Series
As of December 31, 2005
==================================================================================================================================
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including securities loaned
of $12,774,919) (identified cost--$292,037,597) ............................... $ 368,986,840
Investments in affiliated securities, at value (identified cost--$14,106,730) .. 14,106,730
Cash ........................................................................... 199,136
Cash on deposit for financial futures contracts ................................ 94,500
Receivables:
Contributions ............................................................... $ 615,677
Dividends ................................................................... 477,368
Securities sold ............................................................. 122,941
Securities lending .......................................................... 21,552
Investment adviser .......................................................... 6,551 1,244,089
-------------
Prepaid expenses and other assets .............................................. 4,599
-------------
Total assets ................................................................... 384,635,894
-------------
==================================================================================================================================
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value ...................................... 13,465,055
Payables:
Withdrawals ................................................................. 535,268
Securities purchased ........................................................ 387,861
Variation margin ............................................................ 13,114
Other affiliates ............................................................ 4,415 940,658
-------------
Accrued expenses and other liabilities ......................................... 84,832
-------------
Total liabilities .............................................................. 14,490,545
-------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets ..................................................................... $ 370,145,349
=============
==================================================================================================================================
Net Assets Consist of
- ----------------------------------------------------------------------------------------------------------------------------------
Investors' capital ............................................................. $ 293,196,954
Unrealized appreciation--net ................................................... 76,948,395
-------------
Net Assets ..................................................................... $ 370,145,349
=============
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 23
Statement of Operations Master Small Cap Index Series
For the Year Ended December 31, 2005
==================================================================================================================================
Investment Income
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends (net of $2,753 foreign withholding tax) ...................... $ 3,913,033
Interest from affiliates ............................................... 464,626
Securities lending--net ................................................ 210,148
-------------
Total income ........................................................... 4,587,807
-------------
==================================================================================================================================
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Professional fees ...................................................... $ 95,082
Custodian fees ......................................................... 89,720
Accounting services .................................................... 54,323
Investment advisory fees ............................................... 37,012
Trustees' fees and expenses ............................................ 4,438
Printing and shareholder reports ....................................... 4,430
Pricing fees ........................................................... 18
Other .................................................................. 9,219
-------------
Total expenses before reimbursement .................................... 294,242
Reimbursement of expenses .............................................. (32,038)
-------------
Total expenses after reimbursement ..................................... 262,204
-------------
Investment income--net ................................................. 4,325,603
-------------
==================================================================================================================================
Realized & Unrealized Gain (Loss)--Net
- ----------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on:
Investments--net .................................................... 16,040,394
Futures contracts--net .............................................. (2,490,898) 13,549,496
-------------
Change in unrealized appreciation/depreciation on:
Investments--net .................................................... (5,044,498)
Futures contracts--net .............................................. (107,043) (5,151,541)
-------------------------------
Total realized and unrealized gain--net ................................ 8,397,955
-------------
Net Increase in Net Assets Resulting from Operations ................... $ 12,723,558
=============
See Notes to Financial Statements.
24 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Statements of Changes in Net Assets Master Small Cap Index Series
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2005 2004
==================================================================================================================================
Operations
- ----------------------------------------------------------------------------------------------------------------------------------
Investment income--net ................................................. $ 4,325,603 $ 3,882,942
Realized gain--net ..................................................... 13,549,496 14,493,934
Change in unrealized appreciation/depreciation--net .................... (5,151,541) 37,873,933
-------------------------------
Net increase in net assets resulting from operations ................... 12,723,558 56,250,809
-------------------------------
==================================================================================================================================
Capital Transactions
- ----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions ............................................ 267,164,255 309,457,896
Fair value of withdrawals .............................................. (275,403,741) (335,706,893)
-------------------------------
Net decrease in net assets derived from capital transactions ........... (8,239,486) (26,248,997)
-------------------------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ........................................... 4,484,072 30,001,812
Beginning of year ...................................................... 365,661,277 335,659,465
-------------------------------
End of year ............................................................ $ 370,145,349 $ 365,661,277
===============================
See Notes to Financial Statements.
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. 2005 2004 2003 2002 2001
================================================================================================================================
Total Investment Return
- --------------------------------------------------------------------------------------------------------------------------------
Total investment return .............. 4.63% 18.15% 47.11% (20.19%) 2.37%
=====================================================================
================================================================================================================================
Ratios to Average Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of reimbursement ....... .07% .08% .09% .08% .08%
=====================================================================
Expenses ............................. .08% .08% .10% .14% .13%
=====================================================================
Investment income--net ............... 1.17% 1.11% 1.13% 1.26% 1.45%
=====================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) $370,145 $365,661 $335,659 $181,915 $182,968
=====================================================================
Portfolio turnover ................... 36.63% 37.74% 28.57% 39.00% 48.50%
=====================================================================
See Notes to Financial Statements.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 25
Notes to Financial Statements Master Small Cap Index Series
1. Significant Accounting Policies:
Master Small Cap Index Series (the "Series"), a non-diversified investment
company, 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 asked
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 asked 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 asked
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 based upon quoted fair valuations
received daily by the Series from a pricing service or counterparty. 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 Trust under the general supervision by 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,
money market instruments and certain fixed income securities, 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.
26 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Notes to Financial Statements (continued) Master Small Cap Index Series
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 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.
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 27
Notes to Financial Statements (concluded) Master Small Cap Index Series
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 $32,038.
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"), an affiliate of FAM, or its affiliates.
As of December 31, 2005, the Series lent securities with a value of $127,122 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 funds advised by FAM or its affiliates. For the year
ended December 31, 2005, MLIM, LLC received $90,653 in securities lending agent
fees from the Series.
For the year ended December 31, 2005, the Series reimbursed FAM $8,536 for
certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or directors of
FAM, PSI, MLTC, ML & Co., and/or MLIM, LLC.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2005 were $131,186,567 and $130,499,691, 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, 2005. On November
23, 2005 the credit agreement was renewed for one year under substantially the
same terms
28 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
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, 2005, 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. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the 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, 2005, 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, 2005, 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, 2006
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 29
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 Trustee
====================================================================================================================================
Interested Director/Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. P.O. Box 9011 President 2005 to President of the MLIM/FAM-advised funds since 2005; 131 Funds None
Doll, Jr.* Princeton, NJ and present President of MLIM and FAM since 2001; Co-Head 177 Portfolios
08543-9011 Director/ (Americas Region) thereof from 2000 to 2001 and
Age: 51 Trustee Senior Vice President from 1999 to 2001; President
and Director of Princeton Services, Inc. ("Princeton
Services") since 2001; President of Princeton
Administrators, L.P. ("Princeton Administrators")
since 2001; Chief Investment Officer of Oppenheimer-
Funds, Inc. in 1999 and Executive Vice President
thereof from 1991 to 1999.
------------------------------------------------------------------------------------------------------------------------
* Mr. Doll 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. Doll is an "interested person," as defined in the Investment Company
Act, of the Fund based on his current positions with MLIM, FAM, Princeton Services and Princeton Administrators.
Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they
turn 72. As Fund President, Mr. Doll 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 Knology, Inc.
Burton Princeton, NJ Trustee present Partnership (an investment partnership) since 1979; 42 Portfolios (telecommuni-
08543-9095 Managing General Partner of the South Atlantic cations) and
Age: 61 Venture Funds since 1983; Member of the Investment Symbion, Inc.
Advisory Council of the Florida State Board of (health care)
Administration since 2001.
- ------------------------------------------------------------------------------------------------------------------------------------
Laurie P.O. Box 9095 Director/ 1999 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: 43
- ------------------------------------------------------------------------------------------------------------------------------------
John P.O. Box 9095 Director/ 2005 to President and Chief Executive Officer of Allmerica 23 Funds ABIOMED
Francis Princeton, NJ Trustee present Financial Corporation (financial services holding 42 Portfolios (medical
O'Brien 08543-9095 company) from 1995 to 2002 and Director from device manuf-
Age: 62 1995 to 2003; President of Allmerica Investment acturer),
Management Co., Inc. (investment adviser) from Cabot Corpor-
1989 to 2002, Director from 1989 to 2002 and ation (chem-
Chairman of the Board from 1989 to 1990; President, icals), LKQ
Chief Executive Officer and Director of First Corporation
Allmerica Financial Life Insurance Company from 1989 (auto parts
to 2002 and Director of various other Allmerica manufactur-
Financial companies until 2002; Director since 1989, ing) and TJX
Member of the Governance Nominating Committee Companies,
since 2004, Member of the Compensation Inc.
Committee of ABIOMED since 1989 and Member of (retailer)
the Audit Committee of ABIOMED from 1990 to 2004;
Director and Member of the Governance and
Nomination Committee of Cabot Corporation and
Member of the Audit Committee since 1990; Director
and Member of the Audit Committee and
Compensation Committee of LKQ Corporation since
2003; Lead Director of TJX Companies, Inc. since
1999; Trustee of the Woods Hole Oceanographic
Institute since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
David H. P.O. Box 9095 Director/ 2003 to Consultant with Putnam Investments from 1993 23 Funds None
Walsh Princeton, NJ Trustee present to 2003, and employed in various capacities 42 Portfolios
08543-9095 therewith from 1973 to 1992; Director, The
Age: 64 National Audubon Society since 1998; Director,
The American Museum of Fly Fishing since 1997.
30 MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005
Officers and Directors/Trustees (concluded)
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 Trustee
====================================================================================================================================
Independent Directors/Trustees* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Fred G. P.O. Box 9095 Director/ 1998 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: 64 Director of Michael J. Fox Foundation for Parkinson's Inc. (pharma-
Research since 2000; Director of BTG International ceutical
PLC (a global technology commercialization company)
company) since 2001.
------------------------------------------------------------------------------------------------------------------------
* Directors/Trustees serve until their resignation, removal or death, or until December 31 of the year in which they
turn 72.
** Chairman of the Board and the Audit Committee.
- ------------------------------------------------------------------------------------------------------------------------------------
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
Burke Princeton, NJ President present 1999; Senior Vice President and Treasurer of Princeton Services since 1999 and
08543-9011 and and Director since 2004; Vice President of FAM Distributors, Inc. ("FAMD") since
Age: 45 Treasurer 1999 to 1999 and Director since 2004; Vice President of MLIM and FAM from 1990 to 1997;
present Director of Taxation of MLIM from 1990 to 2001; Vice President, Treasurer and
Secretary of the IQ Funds since 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Vincent J. P.O. Box 9011 Vice 2005 to Managing Director of MLIM since 2005; Director of MLIM from 1999 to 2005.
Costa Princeton, NJ President present
08543-9011
Age: 43
- ------------------------------------------------------------------------------------------------------------------------------------
Debra L. P.O. Box 9011 Vice 2005 to Director of MLIM since 1999.
Jelilian Princeton, NJ President present
08543-9011
Age: 38
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey L. P.O. Box 9011 Vice 2005 to Director of MLIM since 2004; Vice President of MLIM from 1994 to 2004.
Russo Princeton, NJ President present
08543-9011
Age: 38
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey P.O. Box 9011 Chief 2004 to Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice President
Hiller Princeton, NJ Compliance present and Chief Compliance Officer of MLIM (Americas Region) since 2004; Chief
08543-9011 Officer Compliance Officer of the IQ Funds since 2004; Global Director of Compliance at
Age: 54 Morgan Stanley Investment Management from 2002 to 2004; Managing Director and
Global Director of Compliance at Citigroup Asset Management from 2000 to 2002;
Chief Compliance Officer at Soros Fund Management in 2000; Chief Compliance
Officer at Prudential Financial from 1995 to 2000; Senior Counsel in the
Commission's Division of Enforcement in Washington, .D.C. from 1990 to 1995.
- ------------------------------------------------------------------------------------------------------------------------------------
Alice A. P.O. Box 9011 Secretary 2004 to Director (Legal Advisory) of MLIM since 2002; Vice President of MLIM from 1999
Pellegrino Princeton, NJ present to 2002; Attorney associated with MLIM since 1997; Secretary of MLIM, FAM, FAMD
08543-9011 and Princeton Services since 2004.
Age: 45
------------------------------------------------------------------------------------------------------------------------
* 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 1-800-637-3863.
- ------------------------------------------------------------------------------------------------------------------------------------
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
MERRILL LYNCH SMALL CAP INDEX FUND DECEMBER 31, 2005 31
[LOGO] Merrill Lynch Investment Managers
www.mlim.ml.com
- --------------------------------------------------------------------------------
Mercury Advisors
A Division of Merrill Lynch Investment Managers
www.mercury.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 1-800-637-3863; (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 -- 12/05
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) Laurie Simon Hodrick, (3) John F. O'Brien, (4) David H.
Walsh and (5) Fred G. Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick qualifies as a financial expert 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.
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, 2005 - $6,500
Fiscal Year Ending December 31, 2004 - $6,200
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2005 - $19,000
Fiscal Year Ending December 31, 2004 - $0
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.
(c) Tax Fees - Fiscal Year Ending December 31, 2005 - $5,700
Fiscal Year Ending December 31, 2004 - $5,200
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2005 - $0
Fiscal Year Ending December 31, 2004 - $0
Master Small Cap Index Series of Quantitative Master Series Trust
(a) Audit Fees - Fiscal Year Ending December 31, 2005 - $43,000
Fiscal Year Ending December 31, 2004 - $41,000
(b) Audit-Related Fees - Fiscal Year Ending December 31, 2005 - $0
Fiscal Year Ending December 31, 2004 - $0
(c) Tax Fees - Fiscal Year Ending December 31, 2005 - $16,200
Fiscal Year Ending December 31, 2004 - $15,000
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending December 31, 2005 - $0
Fiscal Year Ending December 31, 2004 - $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, 2005 - $5,577,771
Fiscal Year Ending December 31, 2004 - $11,926,355
(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) - $1,227,000, 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, 2005, and for
the year then ended and have issued our report thereon dated February 23, 2006
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 in securities (the "Schedule") as of December 31, 2005 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
Princeton, New Jersey
February 23, 2006
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Advertising Agencies - 0.6% 10,035 Advo, Inc. $ 282,786
19,200 aQuantive, Inc. (a) 484,608
15,200 Catalina Marketing Corp. 385,320
8,100 Greenfield Online, Inc. (a) 47,466
4,500 Marchex, Inc. Class B (a)(e) 101,205
15,600 Valassis Communications, Inc. (a) 453,492
23,000 ValueClick, Inc. (a) 416,530
6,700 Ventiv Health, Inc. (a) 158,254
-------------
2,329,661
- -----------------------------------------------------------------------------------------------------------------------------
Aerospace - 0.5% 1,800 ARGON ST, Inc. (a) 55,764
7,534 Curtiss-Wright Corp. 411,356
8,626 Heico Corp. (e) 223,241
5,300 K&F Industries Holdings, Inc. (a) 81,408
4,300 MTC Technologies, Inc. (a) 117,734
11,113 Moog, Inc. Class A (a) 315,387
16,235 Orbital Sciences Corp. (a) 208,457
10,734 Teledyne Technologies, Inc. (a) 312,359
3,900 United Industrial Corp. 161,343
-------------
1,887,049
- -----------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching - 0.2% 3,200 The Andersons, Inc. 137,856
1,100 Alico, Inc. 49,709
11,628 Delta & Pine Land Co. 267,560
17,900 Gold Kist, Inc. (a) 267,605
-------------
722,730
- -----------------------------------------------------------------------------------------------------------------------------
Air Transport - 1.0% 11,868 AAR Corp. (a) 284,239
14,700 ABX Air, Inc. (a) 115,101
26,520 Airtran Holdings, Inc. (a) 425,116
8,199 Alaska Air Group, Inc. (a) 292,868
9,800 Aviall, Inc. (a) 282,240
29,180 Continental Airlines, Inc. Class B (a)(e) 621,534
10,695 EGL, Inc. (a) 401,811
10,800 ExpressJet Holdings, Inc. (a) 87,372
11,855 Frontier Airlines, Inc. (a) 109,540
100 MAIR Holdings, Inc. (a) 471
8,856 Mesa Air Group, Inc. (a) 92,634
6,985 Offshore Logistics, Inc. (a) 203,962
10,100 Pinnacle Airlines Corp. (a) 67,367
2,700 Republic Airways Holdings, Inc. (a) 41,040
19,700 Skywest, Inc. 529,142
5,500 World Air Holdings, Inc. (a) 52,910
-------------
3,607,347
- -----------------------------------------------------------------------------------------------------------------------------
Aluminum - 0.1% 9,000 Aleris International, Inc. (a) 290,160
8,402 Century Aluminum Co. (a) 220,216
-------------
510,376
- -----------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market - 0.2% 8,643 Aftermarket Technology Corp. (a) 168,020
5,750 Commercial Vehicle Group, Inc. (a) 107,985
5,800 Keystone Automotive Industries, Inc. (a) 182,584
1,000 R&B, Inc. (a) 9,480
3,300 Standard Motor Products, Inc. 30,459
6,699 Superior Industries International, Inc. (e) 149,120
-------------
647,648
- -----------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment - 0.3% 11,200 American Axle & Manufacturing Holdings, Inc. 205,296
21,900 ArvinMeritor, Inc. 315,141
17,200 Hayes Lemmerz International, Inc. (a) 60,544
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
2,200 Noble International Ltd. $ 45,848
19,500 Quantum Fuel Systems Technologies
Worldwide, Inc. (a)(e) 52,260
2,273 Sauer-Danfoss, Inc. 42,755
800 Strattec Security Corp. (a) 32,336
13,100 Tenneco, Inc. (a) 256,891
39,300 Visteon Corp. (a) 246,018
-------------
1,257,089
- -----------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts - 0.2% 1,200 Accuride Corp. (a) 15,480
12,094 Modine Manufacturing Co. 394,143
9,245 Wabash National Corp. 176,117
-------------
585,740
- -----------------------------------------------------------------------------------------------------------------------------
Banks: New York City - 0.0% 5,300 Signature Bank (a) 148,771
- -----------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City - 7.7% 3,540 1st Source Corp. 89,031
3,821 Alabama National Bancorp. 247,448
8,318 Amcore Financial, Inc. 252,950
5,150 AmericanWest Bancorp (a) 121,694
3,600 Ameris Bancorp 71,424
1,500 Ames National Corp. 39,030
2,704 Arrow Financial Corp. 70,710
900 The Banc Corp. (a) 10,269
1,200 BancTrust Financial Group, Inc. 24,120
1,845 Bancfirst Corp. 145,755
2,715 The Bancorp Inc. (a) 46,155
24,300 Bancorpsouth, Inc. 536,301
3,986 Bank of Granite Corp. 73,861
3,100 Bank of the Ozarks, Inc. 114,390
7,800 BankFinancial Corp. (a) 114,504
3,113 Banner Corp. 97,126
12,633 Boston Private Financial Holdings, Inc. 384,296
13,560 CVB Financial Corp. 275,404
1,600 Camden National Corp. 52,608
3,221 Capital City Bank Group, Inc. 110,448
2,700 Capital Corp. of the West 87,615
3,100 Capital Crossing Bank (a) 103,540
2,600 Capitol Bancorp Ltd. 97,344
11,900 Cardinal Financial Corp. 130,900
5,300 Cascade Bancorp 122,854
15,244 Cathay General Bancorp 547,869
19,300 Centennial Bank Holdings, Inc. (a) 238,741
5,100 Center Financial Corp. 128,316
3,482 Central Coast Bancorp (a) 86,145
9,348 Central Pacific Financial Corp. 335,780
7,348 Chemical Financial Corp. 233,372
13,882 Chittenden Corp. 386,058
1,616 Citizens & Northern Corp. 42,339
15,200 Citizens Banking Corp. 421,800
7,093 City Holding Co. 254,993
2,299 CityBank 80,649
1,800 Clifton Savings Bancorp, Inc. 18,108
3,926 CoBiz, Inc. 71,571
500 Colony Bankcorp, Inc. 12,490
600 Columbia Bancorp 24,750
6,441 Columbia Banking System, Inc. 183,891
500 Commercial Bankshares, Inc. 17,685
3,000 Community Bancorp (a) 94,830
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
8,100 Community Bank System, Inc. $ 182,655
5,442 Community Banks, Inc. 152,376
3,623 Community Trust Bancorp, Inc. 111,407
4,552 Corus Bankshares, Inc. 256,141
23,700 Doral Financial Corp. 251,220
700 Enterprise Financial Services Corp. 15,876
1,600 EuroBancshares, Inc. (a) 22,672
1,900 FNB Corp. 58,273
1,785 Farmers Capital Bank Corp. 55,335
1,700 Financial Institutions, Inc. 33,354
19,600 First BanCorp. 243,236
3,036 First Bancorp 61,206
4,014 First Busey Corp. 83,852
8,923 First Charter Corp. 211,118
1,847 First Citizens BancShares, Inc. Class A 322,154
20,540 First Commonwealth Financial Corp. 265,582
5,100 First Community Bancorp, Inc. 277,287
2,894 First Community Bancshares, Inc. 90,177
9,887 First Financial Bancorp 173,220
5,353 First Financial Bankshares, Inc. 187,676
4,244 First Financial Corp. 114,588
5,346 First Merchants Corp. 138,996
12,600 First Midwest Bancorp, Inc. 441,756
1,150 First Oak Brook Bancshares, Inc. 32,142
1,300 First Regional Bancorp (a) 87,815
400 First South Bancorp, Inc. 14,128
6,300 First State Bancorp 151,137
9,100 Franklin Bank Corp. (a) 163,709
6,911 Frontier Financial Corp. 221,152
2,200 GB&T Bancshares, Inc. 47,102
8,643 Glacier Bancorp, Inc. 259,722
15,922 Gold Banc Corp., Inc. 290,099
13,300 Greater Bay Bancorp 340,746
6,454 Hancock Holding Co. 244,026
15,404 Hanmi Financial Corp. 275,115
8,578 Harleysville National Corp. 163,840
3,000 Heartland Financial USA, Inc. 65,100
6,000 Heritage Commerce Corp. 129,000
13,900 Hudson United Bancorp 579,352
4,445 Independent Bank Corp./MA 126,816
8,705 Independent Bank Corp./MI 237,037
4,774 Integra Bank Corp. 101,877
4,900 Interchange Financial Services Corp. 84,525
16,400 Investors Bancorp, Inc. (a) 180,892
5,248 Irwin Financial Corp. 112,412
4,197 Lakeland Bancorp, Inc. 61,696
1,700 Lakeland Financial Corp. 68,646
6,150 MB Financial, Inc. 217,710
3,477 MBT Financial Corp. 56,327
3,078 Macatawa Bank Corp. 111,978
4,356 Main Street Banks, Inc. 118,614
6,266 MainSource Financial Group, Inc. 111,848
3,629 Mercantile Bank Corp. 139,717
1 Mercantile Bankshares Corp. 56
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
7,550 Mid-State Bancshares $ 201,962
1,580 Midwest Banc Holdings, Inc. 35,155
2,029 NBC Capital Corp. 48,270
9,513 NBT Bancorp, Inc. 205,386
7,100 Nara Bancorp, Inc. 126,238
12,377 National Penn Bancshares, Inc. 235,782
1,200 Northern Empire Bancshares (a) 28,392
21,695 Old National Bancorp 469,480
5,776 Old Second Bancorp, Inc. 176,572
2,541 Omega Financial Corp. 70,818
9,218 Oriental Financial Group 113,934
15,762 Pacific Capital Bancorp 560,812
3,715 Park National Corp. 381,308
2,198 Peapack Gladstone Financial Corp. 61,324
200 Pennsylvania Commerce Bancorp, Inc. (a) 6,370
4,210 Peoples Bancorp, Inc. 120,111
4,300 Pinnacle Financial Partners, Inc. (a) 107,414
6,000 Piper Jaffray Cos. (a) 242,400
1,250 Placer Sierra Bancshares 34,637
400 Preferred Bank 17,800
1,700 Premierwest Bancorp 23,885
6,696 PrivateBancorp, Inc. 238,177
4,600 Prosperity Bancshares, Inc. 132,204
11,924 Provident Bankshares Corp. 402,673
11,011 R-G Financial Corp. Class B 145,345
2,432 Renasant Corp. 76,924
28,059 Republic Bancorp, Inc. 333,902
2,608 Republic Bancorp, Inc. Class A 55,942
1,371 Royal Bancshares of Pennsylvania Class A 31,750
7,663 S&T Bancorp, Inc. 282,152
2,446 SCBT Financial Corp. 81,745
9,700 SVB Financial Group (a) 454,348
2,800 SY Bancorp, Inc. 70,056
4,314 Sandy Spring Bancorp, Inc. 150,472
1,603 Santander BanCorp 40,267
3,458 Seacoast Banking Corp. of Florida 79,361
1,400 Security Bank Corp. 32,606
100 Sierra Bancorp 2,279
4,300 Simmons First National Corp. Class A 119,110
2,975 Southside Bancshares, Inc. 60,095
6,300 Southwest Bancorp, Inc. 126,000
2,601 State Bancorp, Inc. 43,541
17,776 Sterling Bancshares, Inc. 274,461
8,502 Sterling Financial Corp. 168,340
3,400 Suffolk Bancorp 114,818
1,100 Summit Bancshares, Inc. 19,778
400 Summit Financial Group, Inc. 9,080
5,757 Sun Bancorp, Inc. (a) 113,701
16,716 Susquehanna Bancshares, Inc. 395,835
200 Taylor Capital Group, Inc. 8,080
9,261 Texas Capital Bancshares, Inc. (a) 207,539
14,576 Texas Regional Bancshares, Inc. Class A 412,501
2,782 Tompkins Trustco, Inc. 124,634
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
3,400 Trico Bancshares $ 79,526
22,061 TrustCo Bank Corp. NY 273,998
16,627 Trustmark Corp. 456,744
24,900 UCBH Holdings, Inc. 445,212
5,576 UMB Financial Corp. 356,362
3,496 USB Holding Co., Inc. 75,723
16,050 Umpqua Holdings Corp. 457,907
2,500 Union Bankshares Corp. 107,750
13,200 United Bankshares, Inc. 465,168
9,000 United Community Banks, Inc. 239,940
600 United Security Bancshares 16,086
2,850 Univest Corp. of Pennsylvania 69,170
7,019 Unizan Financial Corp. 186,425
4,100 Vineyard National Bancorp 126,444
2,912 Virginia Commerce Bancorp (a) 84,710
2,100 Virginia Financial Group, Inc. 75,663
4,200 Washington Trust Bancorp, Inc. 109,956
8,863 WesBanco, Inc. 269,524
4,590 West Bancorporation, Inc. 85,833
4,300 West Coast Bancorp 113,735
8,983 Westamerica Bancorp 476,728
1,920 Western Sierra Bancorp (a) 69,869
4,400 Wilshire Bancorp, Inc. 75,636
8,200 Wintrust Financial Corp. 450,180
3,600 Yardville National Bancorp 124,740
-------------
28,512,452
- -----------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) - 0.0% 4,800 Boston Beer Co., Inc. Class A (a) 120,000
- -----------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks - 0.2% 987 Coca-Cola Bottling Co. Consolidated 42,441
1,710 Farmer Bros. Co. 33,071
600 Green Mountain Coffee Roasters, Inc. (a) 24,360
4,200 Hansen Natural Corp. (a)(e) 333,900
2,290 National Beverage Corp. (a) 22,373
4,200 Peet's Coffee & Tea, Inc. (a) 127,470
-------------
583,615
- -----------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production - 2.4% 36,300 Aastrom Biosciences, Inc. (a) 76,956
24,700 Abgenix, Inc. (a) 531,297
2,300 Acadia Pharmaceuticals, Inc. (a) 22,655
8,887 Albany Molecular Research, Inc. (a) 107,977
10,180 Alexion Pharmaceuticals, Inc. (a) 206,145
8,813 Antigenics, Inc. (a)(e) 41,950
21,800 Applera Corp. - Celera Genomics Group (a) 238,928
13,900 Arena Pharmaceuticals, Inc. (a) 197,658
17,119 Ariad Pharmaceuticals, Inc. (a) 100,146
13,700 Arqule, Inc. (a) 83,844
5,600 Array Biopharma, Inc. (a) 39,256
6,120 Arthrocare Corp. (a) 257,897
7,900 Barrier Therapeutics, Inc. (a) 64,780
9,100 Bioenvision, Inc. (a) 59,423
4,000 Caliper Life Sciences, Inc. (a) 23,520
18,924 Cell Genesys, Inc. (a)(e) 112,219
9,031 Cell Therapeutics, Inc. (a)(e) 19,688
2,200 Coley Pharmaceutical Group, Inc. (a) 33,352
2,200 Cotherix, Inc. (a) 23,364
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
17,967 Cubist Pharmaceuticals, Inc. (a) $ 381,799
12,800 CuraGen Corp. (a) 39,424
9,500 Curis, Inc. (a) 33,820
8,900 Cypress Bioscience, Inc. (a) 51,798
4,624 Digene Corp. (a) 134,882
15,600 Discovery Laboratories, Inc. (a) 104,208
6,778 Diversa Corp. (a) 32,534
6,000 Dov Pharmaceutical, Inc. (a) 88,080
15,900 deCODE genetics, Inc. (a)(e) 131,334
17,296 Encysive Pharmaceuticals, Inc. (a) 136,465
16,900 Enzon Pharmaceuticals, Inc. (a) 125,060
21,718 Exelixis, Inc. (a) 204,584
10,900 Genitope Corp. (a) 86,655
15,129 Geron Corp. (a) 130,261
37,700 Human Genome Sciences, Inc. (a) 322,712
18,300 ICOS Corp. (a) 505,629
2,800 Idenix Pharmaceuticals Inc. (a) 47,908
30,324 Incyte Corp. (a) 161,930
4,900 Integra LifeSciences Holdings Corp. (a) 173,754
10,014 InterMune, Inc. (a)(e) 168,235
10,600 Introgen Therapeutics, Inc. (a)(e) 55,862
1,400 Kensey Nash Corp. (a) 30,842
10,400 Keryx Biopharmaceuticals, Inc. (a) 152,256
18,205 Lexicon Genetics, Inc. (a) 66,448
5,650 MannKind Corp. (a)(e) 63,619
300 Marshall Edwards, Inc. (a) 1,875
8,500 Martek Biosciences Corp. (a)(e) 209,185
6,701 Maxygen, Inc. (a) 50,325
3,600 Momenta Pharmaceuticals Inc. (a) 79,344
28,300 Monogram Biosciences, Inc. (a) 52,921
4,300 Myogen, Inc. (a) 129,688
9,700 Myriad Genetics, Inc. (a) 201,760
12,723 NPS Pharmaceuticals, Inc. (a) 150,640
20,854 Nabi Biopharmaceuticals (a) 70,487
19,200 Nanogen, Inc. (a)(e) 50,304
6,700 Nastech Pharmaceutical Co., Inc. (a) 98,624
10,300 Neurocrine Biosciences, Inc. (a) 646,119
5,400 Neurogen Corp. (a) 35,586
6,800 Northfield Laboratories, Inc. (a) 91,120
11,000 Nuvelo, Inc. (a) 89,210
5,300 Orchid Cellmark, Inc. (a) 40,280
4,400 PRA International Inc. (a) 123,860
4,600 Progenics Pharmaceuticals, Inc. (a) 115,046
8,770 Rigel Pharmaceuticals, Inc. (a) 73,317
26,800 Savient Pharmaceuticals, Inc. (a) 100,232
7,600 Seattle Genetics, Inc. (a) 35,872
9,472 Serologicals Corp. (a) 186,977
24,800 StemCells, Inc. (a)(e) 85,560
8,045 Tanox, Inc. (a) 131,697
16,432 Telik, Inc. (a) 279,180
900 Tercica, Inc. (a) 6,453
3,338 Trimeris, Inc. (a) 38,354
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
4,300 ViaCell, Inc. (a) $ 24,166
7,100 Zymogenetics, Inc. (a) 120,771
-------------
8,990,107
- -----------------------------------------------------------------------------------------------------------------------------
Building Materials - 0.8% 2,500 Ameron International Corp. 113,950
2,900 BlueLinx Holdings, Inc. 32,625
3,900 Building Material Holding Corp. 266,019
19,600 Hughes Supply, Inc. 702,660
1,600 Huttig Building Products, Inc. (a) 13,440
3,312 LSI Industries, Inc. 51,866
4,968 NCI Building Systems, Inc. (a) 211,041
11,732 Simpson Manufacturing Co., Inc. 426,458
6,545 Texas Industries, Inc. 326,203
4,709 Trex Co., Inc. (a) 132,087
7,665 Watsco, Inc. 458,444
4,700 Zoltek Cos., Inc. (a)(e) 41,266
-------------
2,776,059
- -----------------------------------------------------------------------------------------------------------------------------
Building: Air Conditioning - 0.1% 13,735 Lennox International, Inc. 387,327
- -----------------------------------------------------------------------------------------------------------------------------
Building: Cement - 0.2% 5,078 Eagle Materials, Inc. 621,344
- -----------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing - 0.1% 1,800 Aaon, Inc. (a) 32,256
3,700 Interline Brands Inc. (a) 84,175
20,150 Jacuzzi Brands, Inc. (a) 169,260
-------------
285,691
- -----------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous - 0.2% 4,000 Builders FirstSource, Inc. (a) 85,480
9,100 Comfort Systems USA, Inc. 83,720
4,400 Drew Industries, Inc. (a) 124,036
10,947 Griffon Corp. (a) 260,648
-------------
553,884
- -----------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard - 0.1% 4,300 Beacon Roofing Supply, Inc. (a) 123,539
6,651 ElkCorp 223,873
-------------
347,412
- -----------------------------------------------------------------------------------------------------------------------------
Cable Television Services - 0.1% 70,400 Charter Communications, Inc. Class A (a)(e) 85,888
5,498 Crown Media Holdings, Inc. Class A (a) 50,417
20,894 TiVo, Inc. (a)(e) 106,977
-------------
243,282
- -----------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling - 0.6% 14,900 Alliance Gaming Corp. (a) 193,998
8,000 Ameristar Casinos, Inc. 181,600
11,091 Aztar Corp. (a) 337,055
1,632 Churchill Downs, Inc. 59,943
2,815 Dover Downs Gaming & Entertainment, Inc. 39,832
6,375 Isle of Capri Casinos, Inc. (a) 155,295
10,500 MTR Gaming Group, Inc. (a) 109,305
11,500 Magna Entertainment Corp. Class A (a)(e) 82,110
13,100 Mikohn Gaming Corp. (a) 129,297
1,600 Monarch Casino & Resort, Inc. (a) 36,160
8,800 Multimedia Games, Inc. (a)(e) 81,400
12,164 Pinnacle Entertainment, Inc. (a) 300,572
1,600 Riviera Holdings Corp. (a) 26,224
9,200 Shuffle Master, Inc. (a)(e) 231,288
6,212 WMS Industries, Inc. (a) 155,859
-------------
2,119,938
- -----------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.2% 3,000 American Vanguard Corp. 70,500
6,256 Arch Chemicals, Inc. 187,054
1,200 Balchem Corp. 35,772
13,200 CF Industries Holdings, Inc. 201,300
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
6,900 Cabot Microelectronics Corp. (a) $ 202,377
15,801 Calgon Carbon Corp. 89,908
10,485 Cambrex Corp. 196,803
13,200 EnerSys (a) 172,128
5,164 Energy Conversion Devices, Inc. (a) 210,433
9,637 Georgia Gulf Corp. 293,158
39,500 Hercules, Inc. (a) 446,350
8,467 MacDermid, Inc. 236,229
5,641 Medis Technologies Ltd. (a)(e) 82,979
2,534 NL Industries, Inc. 35,704
4,200 NewMarket Corp. (a) 102,732
4,765 Nuco2, Inc. (a) 132,848
9,300 OM Group, Inc. (a) 174,468
3,500 Octel Corp. 56,945
2,000 Pioneer Cos., Inc. (a) 59,940
28,967 PolyOne Corp. (a) 186,258
6,500 Rockwood Holdings, Inc. (a) 128,245
11,106 Schulman A, Inc. 239,001
5,900 Senomyx, Inc. (a) 71,508
1,555 Stepan Co. 41,814
5,500 Tronox, Inc. Class A 71,885
11,800 UAP Holding Corp. 240,956
6,400 Ultralife Batteries, Inc. (a) 76,800
12,300 Valence Technology, Inc. (a)(e) 18,450
19,600 WR Grace & Co. (a) 184,240
3,050 Westlake Chemical Corp. 87,871
-------------
4,334,656
- -----------------------------------------------------------------------------------------------------------------------------
Coal - 0.2% 8,600 Alpha Natural Resources, Inc. (a) 165,206
6,900 Foundation Coal Holdings, Inc. 262,200
4,800 James River Coal Co. (a) 183,360
-------------
610,766
- -----------------------------------------------------------------------------------------------------------------------------
Commercial Information Services - 0.3% 8,958 Arbitron, Inc. 340,225
144,800 CMGI, Inc. (a) 220,096
13,161 infoUSA, Inc. 143,850
6,400 LECG Corp. (a) 111,232
7,374 ProQuest Co. (a) 205,808
6,553 Sourcecorp (a) 157,141
-------------
1,178,352
- -----------------------------------------------------------------------------------------------------------------------------
Communications & Media - 0.1% 21,400 Entravision Communications Corp. Class A (a) 152,368
74,600 Gemstar-TV Guide International, Inc. (a) 194,706
-------------
347,074
- -----------------------------------------------------------------------------------------------------------------------------
Communications Technology - 2.6% 107,300 3Com Corp. (a) 386,280
18,800 Adtran, Inc. 559,112
16,300 Airspan Networks, Inc. (a) 92,747
7,222 Anaren, Inc. (a) 112,880
8,372 Anixter International, Inc. 327,513
2,000 Arbinet-Thexchange Inc. (a) 14,020
8,900 Atheros Communications Inc. (a) 115,700
16,500 Avocent Corp. (a) 448,635
3,159 Bel Fuse, Inc. 100,456
6,188 Black Box Corp. 293,187
15,050 Broadwing Corp. (a) 91,052
82,300 Brocade Communications Systems, Inc. (a) 334,961
17,700 CSG Systems International Inc. (a) 395,064
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
1,672 Catapult Communications Corp. (a) $ 24,729
163,200 Ciena Corp. (a) 484,704
133 ClearOne Communications Inc. (a) 318
16,588 CommScope, Inc. (a) 333,916
5,725 Comtech Telecommunications Corp. (a) 174,841
8 CycleLogic, Inc. (a) 0
10,100 Digi International, Inc. (a) 105,949
11,800 Ditech Communications Corp. (a) 98,530
8,813 Echelon Corp. (a) 69,006
23,800 Entrust, Inc. (a) 115,192
35,700 Extreme Networks Inc. (a) 169,575
38,500 Finisar Corp. (a)(e) 80,080
36,500 Foundry Networks, Inc. (a) 504,065
27,100 Glenayre Technologies, Inc. (a) 88,075
23,696 Harmonic, Inc. (a) 114,926
6,900 InPhonic, Inc. (a)(e) 59,961
8,377 Inter-Tel, Inc. 163,938
11,100 InterVoice, Inc. (a) 88,356
9,229 Ixia (a) 136,405
6,600 j2 Global Communications, Inc. (a)(e) 282,084
8,300 Netgear, Inc. (a) 159,775
6,800 Novatel Wireless, Inc. (a) 82,348
4,302 Oplink Communications, Inc. (a) 62,379
4,383 Optical Communication Products, Inc. (a) 10,125
9,800 Redback Networks, Inc. (a) 137,788
10,308 Seachange International, Inc. (a) 81,433
12,388 Secure Computing Corp. (a) 151,877
78,300 Sonus Networks, Inc. (a) 291,276
7,810 Standard Microsystems Corp. (a) 224,069
51,700 Sycamore Networks, Inc. (a) 223,344
5,100 Syniverse Holdings, Inc. (a) 106,590
61,800 TIBCO Software, Inc. (a) 461,646
4,680 Talx Corp. 213,923
16,400 Tekelec (a) 227,960
14,200 Telkonet, Inc. (a)(e) 58,930
7,830 Terremark Worldwide, Inc. (a) 36,410
2,640 Ulticom, Inc. (a) 25,898
34,500 Utstarcom, Inc. (a)(e) 278,070
6,301 Viasat, Inc. (a) 168,426
9,731 WebEx Communications, Inc. (a) 210,482
15,800 Westell Technologies, Inc. Class A (a) 71,100
25,175 Zhone Technologies, Inc. (a)(e) 50,602
-------------
9,700,708
- -----------------------------------------------------------------------------------------------------------------------------
Computer Services Software & Systems - 4.7% 20,600 AMICAS, Inc. (a) 102,176
24,300 Acxiom Corp. 558,900
16,402 Agile Software Corp. (a) 98,084
8,800 Altiris, Inc. (a) 148,632
4,000 American Reprographics Co. (a) 101,640
1,000 Ansoft Corp. (a) 34,050
10,232 Ansys, Inc. (a) 436,804
8,300 Anteon International Corp. (a) 451,105
12,800 Applied Digital Solutions, Inc. (a)(e) 33,408
19,380 Ariba, Inc. (a) 142,443
14,297 AsiaInfo Holdings, Inc. (a) 56,902
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
15,808 Aspen Technology, Inc. (a) $ 124,093
8,100 Audible, Inc. (a)(e) 104,004
55,000 BearingPoint, Inc. (a) 432,300
926 Blackbaud, Inc. 15,816
7,400 Blackboard, Inc. (a) 214,452
2,700 Blue Coat Systems, Inc. (a) 123,444
26,267 Borland Software Corp. (a) 171,524
6,900 Bottomline Technologies, Inc. (a) 76,038
2,500 COMSYS IT Partners, Inc. (a) 27,625
16,002 Ciber, Inc. (a) 105,613
3,300 Click Commerce, Inc. (a)(e) 69,366
7,800 Concur Technologies, Inc. (a) 100,542
2,000 Constellation 3D, Inc. (a) 0
8,100 Covansys Corp. (a) 110,241
12,764 Dendrite International, Inc. (a) 183,929
10,900 Digital River, Inc. (a) 324,166
30,007 Digitas, Inc. (a) 375,688
1,845 EPIQ Systems, Inc. (a) 34,206
14,339 Electronics for Imaging Inc. (a) 381,561
3,000 Emageon, Inc. (a) 47,700
18,500 Epicor Software Corp. (a) 261,405
4,500 Equinix, Inc. (a) 183,420
5,100 eCollege.com, Inc. (a) 91,953
18,979 Gartner, Inc. Class A (a) 244,829
8,600 Infocrossing, Inc. (a)(e) 74,046
29,600 Informatica Corp. (a) 355,200
1,800 Integral Systems, Inc. 33,948
13,800 Internet Capital Group, Inc. (a) 113,436
13,700 Internet Security Systems Inc. (a) 287,015
5,100 Intervideo, Inc. (a) 53,805
17,425 Interwoven, Inc. (a) 147,590
4,300 iGate Corp. (a) 20,898
9,708 JDA Software Group, Inc. (a) 165,133
5,900 Jupitermedia Corp. (a) 87,202
6,400 Kanbay International, Inc. (a) 101,696
15,658 Keane, Inc. (a) 172,395
8,938 Keynote Systems, Inc. (a) 114,853
24,800 Lawson Software, Inc. (a) 182,280
17,500 Lionbridge Technologies Inc. (a) 122,850
5,774 MRO Software, Inc. (a) 81,067
14,100 Macrovision Corp. (a) 235,893
8,000 Magma Design Automation, Inc. (a) 67,280
8,939 Manhattan Associates, Inc. (a) 183,071
4,500 Mantech International Corp. Class A (a) 125,370
6,000 Mapinfo Corp. (a) 75,660
15,597 Matrixone, Inc. (a) 77,829
22,700 Mentor Graphics Corp. (a) 234,718
7,156 Mercury Computer Systems, Inc. (a) 147,628
7,100 Merge Technologies, Inc. (a) 177,642
4,100 MicroStrategy, Inc. Class A (a) 339,234
25,900 Micromuse, Inc. (a) 256,151
10,598 Micros Systems, Inc. (a) 512,095
11,500 Motive, Inc. (a) 35,535
3,200 Ness Technologies, Inc. (a) 34,464
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
16,374 NetIQ Corp. (a) $ 201,236
4,985 Netscout Systems, Inc. (a) 27,168
30,395 Nuance Communications, Inc. (a) 231,914
4,300 Open Solutions, Inc. (a) 98,556
26,533 Openwave Systems, Inc. (a) 463,532
20,100 Opsware, Inc. (a) 136,479
1,800 PAR Technology Corp. (a) 49,968
3,900 PDF Solutions, Inc. (a) 63,375
10,307 Packeteer, Inc. (a) 80,085
89,400 Parametric Technology Corp. (a) 545,340
1,400 Pegasystems, Inc. (a) 10,234
13,208 Progress Software Corp. (a) 374,843
3,500 QAD, Inc. 26,740
18,600 Quest Software, Inc. (a) 271,374
32,400 RealNetworks, Inc. (a) 251,424
4,900 RightNow Technologies, Inc. (a) 90,454
4,200 SI International, Inc. (a) 128,394
3,989 SPSS, Inc. (a) 123,380
500 SSA Global Techonologies, Inc. (a) 9,095
11,061 SYKES Enterprises, Inc. (a) 147,886
1,100 SYNNEX Corp. (a) 16,621
7,199 SafeNet, Inc. (a) 231,952
25,992 Sapient Corp. (a) 147,894
8,797 Serena Software, Inc. (a) 206,202
21,741 SonicWALL, Inc. (a) 172,189
6,500 Stellent, Inc. (a) 64,545
18,600 SupportSoft, Inc. (a) 78,492
1,583 Syntel, Inc. 32,974
12,385 Transaction Systems Architects, Inc.
Class A (a) 356,564
12,608 Trizetto Group (a) 214,210
10,400 Tyler Technologies, Inc. (a) 91,312
9,300 Ultimate Software Group, Inc. (a) 177,351
10,700 Vasco Data Security International Inc. (a) 105,395
7,200 VeriFone Holdings, Inc. (a) 182,160
5,100 Verint Systems, Inc. (a) 175,797
7,380 Vignette Corp. (a) 120,368
6,451 Websense, Inc. (a) 423,444
22,200 Wind River Systems, Inc. (a) 327,894
7,600 Witness Systems, Inc. (a) 149,492
16,820 webMethods, Inc. (a) 129,682
10,508 Zoran Corp. (a) 170,335
-------------
17,490,393
- -----------------------------------------------------------------------------------------------------------------------------
Computer Technology - 1.8% 37,400 Adaptec, Inc. (a) 217,668
3,700 Advanced Analogic Technologies, Inc. (a) 51,245
21,534 Advanced Digital Information Corp. (a) 210,818
4,300 Cyberguard Corp. (a)(e) 37,969
16,700 Dot Hill Systems Corp. (a) 115,731
25,100 Emulex Corp. (a) 496,729
9,609 FalconStor Software, Inc. (a)(e) 71,011
5,400 Fargo Electronics, Inc. (a) 103,950
13,982 Filenet Corp. (a) 361,435
80,600 Gateway, Inc. (a) 202,306
6,417 Hutchinson Technology, Inc. (a) 182,564
11,800 Imation Corp. 543,626
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
7,296 Intergraph Corp. (a) $ 363,414
7,800 Komag, Inc. (a) 270,348
24,074 Lexar Media, Inc. (a) 197,648
80,700 Maxtor Corp. (a) 560,058
46,600 McData Corp. (a) 177,080
6,200 Mobility Electronics, Inc. (a) 59,892
11,694 Palm, Inc. (a)(e) 371,869
23,900 Perot Systems Corp. Class A (a) 337,946
11,300 Phoenix Technologies Ltd. (a) 70,738
51,800 Quantum Corp. (a) 157,990
25,062 RSA Security, Inc. (a) 281,446
9,500 Radiant Systems, Inc. (a) 115,520
5,742 Radisys Corp. (a) 99,566
4,200 Rimage Corp. (a) 121,716
4,300 Stratasys, Inc. (a) 107,543
5,400 Synaptics, Inc. (a)(e) 133,488
14,200 Trident Microsystems, Inc. (a) 255,600
15,309 UNOVA, Inc. (a) 517,444
-------------
6,794,358
- -----------------------------------------------------------------------------------------------------------------------------
Construction - 0.4% 4,351 Brookfield Homes Corp. 216,375
4,618 EMCOR Group, Inc. (a) 311,854
12,071 Granite Construction, Inc. 433,470
3,900 Perini Corp. (a) 94,185
6,900 Washington Group International, Inc. 365,493
-------------
1,421,377
- -----------------------------------------------------------------------------------------------------------------------------
Consumer Electronics - 0.9% 13,467 Alloy, Inc. (a) 38,920
7,453 Atari Inc. (a) 8,049
42,900 CNET Networks, Inc. (a) 630,201
4,500 DTS, Inc. (a) 66,600
43,400 Earthlink, Inc. (a) 482,174
9,600 Infospace, Inc. (a) 247,872
12,800 Ipass, Inc. (a) 83,968
10,600 iVillage, Inc. (a) 85,012
4,300 Jamdat Mobile, Inc. (a) 114,294
2,700 Lifeline Systems, Inc. (a) 98,712
6,900 LoJack Corp. (a) 166,497
7,474 Midway Games, Inc. (a)(e) 141,782
9,300 NIC, Inc. (a) 57,288
7,500 Navarre Corp. (a)(e) 41,475
12,600 NetFlix, Inc. (a)(e) 340,956
7,200 Sohu.com, Inc. (a) 132,048
16,737 THQ, Inc. (a) 399,177
18,450 United Online, Inc. 262,359
4,086 Universal Electronics, Inc. (a) 70,402
1,400 WebSideStory, Inc. (a) 25,382
-------------
3,493,168
- -----------------------------------------------------------------------------------------------------------------------------
Consumer Products - 0.8% 5,600 Blyth, Inc. 117,320
3,000 CNS, Inc. 65,730
1,891 CSS Industries, Inc. 58,110
2,300 Citi Trends, Inc. (a) 98,187
19,100 Jarden Corp. (a) 575,865
5,700 Mannatech, Inc. 78,717
9,373 Matthews International Corp. Class A 341,271
9,763 Nautilus, Inc. 182,178
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
10,200 Oakley, Inc. $ 149,838
10,176 Playtex Products, Inc. (a) 139,106
5,200 RC2 Corp. (a) 184,704
15,891 The Topps Co., Inc. 118,070
14,674 Tupperware Corp. 328,698
2,700 USANA Health Sciences, Inc. (a) 103,572
1,900 Water Pik Technologies, Inc. (a) 40,793
15,883 Yankee Candle Co., Inc. 406,605
-------------
2,988,764
- -----------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Glass - 0.2% 4,375 Greif, Inc. 289,975
3,571 Mobile Mini, Inc. (a) 169,265
6,400 Silgan Holdings, Inc. 231,168
-------------
690,408
- -----------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & Plastic - 0.0% 18,700 Graphic Packaging Corp. (a) 42,636
7,652 Myers Industries, Inc. 111,566
-------------
154,202
- -----------------------------------------------------------------------------------------------------------------------------
Copper - 0.1% 10,782 Mueller Industries, Inc. 295,642
- -----------------------------------------------------------------------------------------------------------------------------
Cosmetics - 0.2% 7,393 Elizabeth Arden, Inc. (a) 148,304
1,700 Inter Parfums, Inc. 30,532
20,126 Nu Skin Enterprises, Inc. Class A 353,815
700 Parlux Fragrances, Inc. (a)(e) 21,371
41,883 Revlon, Inc. Class A (a) 129,837
-------------
683,859
- -----------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services - 0.6% 8,100 Euronet Worldwide, Inc. (a) 225,180
16,000 F.N.B. Corp. 277,760
4,800 Greenhill & Co., Inc. 269,568
900 Huron Consulting Group, Inc. (a) 21,591
10,708 Jones Lang LaSalle, Inc. 539,148
15,500 The Nasdaq Stock Market, Inc. (a) 545,290
11,600 USI Holdings Corp. (a) 159,732
-------------
2,038,269
- -----------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing - 0.8% 15,460 Acuity Brands, Inc. 491,628
9,316 Armor Holdings, Inc. (a) 397,327
4,257 Barnes Group, Inc. 140,481
12,594 Brady Corp. 455,651
16,310 Clarcor, Inc. 484,570
17,862 Hexcel Corp. (a) 322,409
21,514 Olin Corp. 423,396
8,245 Tredegar Corp. 106,278
-------------
2,821,740
- -----------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains - 0.5% 432 Arden Group, Inc. Class A 39,308
12,907 Casey's General Stores, Inc. 320,094
4,531 Great Atlantic & Pacific Tea Co. (a) 143,995
5,464 Ingles Markets, Inc. Class A 85,512
9,283 Longs Drug Stores Corp. 337,808
2,977 Nash Finch Co. 75,854
17,942 Pathmark Stores, Inc. (a) 179,241
10,569 Ruddick Corp. 224,908
3,929 Smart & Final, Inc. (a) 50,606
8,700 Spartan Stores, Inc. (a) 90,654
4,300 Weis Markets, Inc. 185,072
11,429 Wild Oats Markets, Inc. (a) 138,062
-------------
1,871,114
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals - 3.0% 28,600 AVANIR Pharmaceuticals Class A (a) $ 98,384
2,600 Adams Respiratory Therapeutics, Inc. (a) 105,716
10,300 Adolor Corp. (a) 150,380
30,000 Alkermes, Inc. (a) 573,600
10,825 Alpharma, Inc. Class A 308,621
32,500 Amylin Pharmaceuticals, Inc. (a) 1,297,400
19,800 Andrx Corp. (a) 326,106
12,300 Atherogenics Inc. (a)(e) 246,123
4,000 Bentley Pharmaceuticals, Inc. (a) 65,640
21,248 BioMarin Pharmaceuticals, Inc. (a) 229,053
13,300 CV Therapeutics, Inc. (a) 328,909
1,300 Caraco Pharmaceutical Laboratories Ltd. (a) 11,674
4,400 Chattem, Inc. (a) 160,116
11,602 Connetics Corp. (a) 167,649
22,800 Dendreon Corp. (a)(e) 123,576
14,900 Durect Corp. (a)(e) 75,543
7,000 Dusa Pharmaceuticals, Inc. (a) 75,390
7,495 Enzo Biochem, Inc. (a) 93,088
9,900 First Horizon Pharmaceutical Corp. (a) 170,775
300 GTx, Inc. (a) 2,268
2,500 Hi-Tech Pharmacal Co., Inc. (a) 110,725
12,827 Immunogen, Inc. (a) 65,803
12,600 Inspire Pharmaceuticals, Inc. (a) 64,008
21,489 Isis Pharmaceuticals, Inc. (a) 112,602
6,400 Ista Pharmaceuticals, Inc. (a) 40,704
10,600 KV Pharmaceutical Co. Class A (a) 218,360
23,700 MGI Pharma, Inc. (a) 406,692
34,300 Medarex, Inc. (a) 475,055
17,327 Medicines Co. (a) 302,356
17,100 Medicis Pharmaceutical Corp. Class A 548,055
24,300 Nektar Therapeutics (a)(e) 399,978
6,045 Neopharm, Inc. (a) 65,226
1,100 New River Pharmaceuticals, Inc. (a) 57,068
6,700 NitroMed, Inc. (a)(e) 93,465
8,131 Noven Pharmaceuticals, Inc. (a) 123,022
11,100 Onyx Pharmaceuticals, Inc. (a) 319,236
9,300 Pain Therapeutics, Inc. (a) 62,868
9,900 Par Pharmaceutical Cos., Inc. (a) 310,266
8,500 Penwest Pharmaceuticals Co. (a) 165,920
29,015 Perrigo Co. 432,614
8,800 Pharmion Corp. (a) 156,376
8,000 Pozen, Inc. (a) 76,720
10,219 Regeneron Pharmaceuticals, Inc. (a) 162,993
6,900 Renovis, Inc. (a) 105,570
4,650 SFBC International, Inc. (a)(e) 74,447
11,900 Salix Pharmaceuticals Ltd. (a) 209,202
20,182 SuperGen, Inc. (a) 101,919
6,546 United Therapeutics Corp. (a) 452,460
30,700 Vertex Pharmaceuticals, Inc. (a) 849,469
-------------
11,173,190
- -----------------------------------------------------------------------------------------------------------------------------
Education Services - 0.5% 7,904 Bright Horizons Family Solutions, Inc. (a) 292,843
31,100 Corinthian Colleges, Inc. (a) 366,358
17,500 DeVry, Inc. (a) 350,000
3,400 Educate, Inc. (a) 40,120
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
4,830 Learning Tree International, Inc. (a) $ 61,969
2,249 Renaissance Learning, Inc. 42,529
4,220 Strayer Education, Inc. 395,414
7,900 Universal Technical Institute, Inc. (a) 244,426
-------------
1,793,659
- -----------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics - 0.3% 12,586 Benchmark Electronics, Inc. (a) 423,267
2,200 LeCroy Corp. (a) 33,638
6,400 OSI Systems, Inc. (a) 117,696
12,798 Plexus Corp. (a) 291,027
8,632 Power Integrations, Inc. (a) 205,528
11,700 TTM Technologies, Inc. (a) 109,980
9,607 Universal Display Corp. (a)(e) 100,970
-------------
1,282,106
- -----------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components - 0.9% 6,881 AO Smith Corp. 241,523
12,800 American Superconductor Corp. (a)(e) 100,736
9,771 Baldor Electric Co. 250,626
11,008 CTS Corp. 121,748
8,518 Cohu, Inc. 194,807
2,100 Color Kinetics, Inc. (a) 30,219
6,260 Franklin Electric Co., Inc. 247,520
13,190 General Cable Corp. (a) 259,843
8,616 Genlyte Group, Inc. (a) 461,559
8,560 Littelfuse, Inc. (a) 233,260
9,900 MKS Instruments, Inc. (a) 177,111
2,031 Powell Industries, Inc. (a) 36,477
19,100 Power-One, Inc. (a) 114,982
7,100 Sonic Solutions, Inc. (a) 107,281
5,300 Spatialight, Inc. (a)(e) 18,709
22,600 Taser International, Inc. (a)(e) 157,522
11,961 Technitrol, Inc. 204,533
5,979 Triumph Group, Inc. (a) 218,891
-------------
3,177,347
- -----------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance - 0.1% 25,100 Maytag Corp. 472,382
1,450 National Presto Industries, Inc. 64,307
-------------
536,689
- -----------------------------------------------------------------------------------------------------------------------------
Electronics - 0.5% 21,812 Aeroflex, Inc. (a) 234,479
11,563 Agilysys, Inc. 210,678
4,299 Daktronics, Inc. 127,121
6,672 II-VI, Inc. (a) 119,229
22,000 Kopin Corp. (a) 117,700
34,766 MRV Communications, Inc. (a)(e) 71,270
11,180 Methode Electronics, Inc. 111,465
1,300 Multi-Fineline Electronix, Inc. (a) 62,621
6,449 Park Electrochemical Corp. 167,545
19,600 Semtech Corp. (a) 357,896
4,267 Supertex, Inc. (a) 188,815
-------------
1,768,819
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, Gauges & Meters - 0.2% 3,400 Faro Technologies, Inc. (a) 68,000
7,882 Itron, Inc. (a) 315,595
3,801 Keithley Instruments, Inc. 53,138
2,500 Measurement Specialties, Inc. (a) 60,875
5,200 Metrologic Instruments, Inc. (a) 100,152
-------------
597,760
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems - 1.1% 4,572 Analogic Corp. $ 218,770
6,000 Aspect Medical Systems, Inc. (a) 206,100
5,887 Bruker BioSciences Corp. (a) 28,611
6,200 Candela Corp. (a) 89,528
4,170 Datascope Corp. 137,818
10,700 EPIX Pharmaceuticals, Inc. (a) 43,228
14,750 eResearch Technology, Inc. (a) 222,725
6,300 Greatbatch, Inc. (a) 163,863
7,572 Haemonetics Corp. (a) 369,968
13,600 HealthTronics, Inc. (a) 104,040
11,800 Hologic, Inc. (a) 447,456
8,900 Illumina, Inc. (a) 125,490
1,200 IntraLase Corp. (a) 21,396
10,281 Intuitive Surgical, Inc. (a) 1,205,653
6,851 Luminex Corp. (a) 79,609
2,900 Neurometrix, Inc. (a) 79,112
1,800 Quality Systems, Inc. 138,168
4,400 Somanetics Corp. (a) 136,400
6,932 TriPath Imaging, Inc. (a) 41,869
4,261 Zoll Medical Corp. (a) 107,335
-------------
3,967,139
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: Semi-Conductors/ Components - 2.9% 11,600 AMIS Holdings, Inc. (a) 123,540
9,516 Actel Corp. (a) 121,139
33,200 Amkor Technology, Inc. (a)(e) 185,920
93,800 Applied Micro Circuits Corp. (a) 241,066
126,800 Atmel Corp. (a) 391,812
12,200 Bell Microproducts, Inc. (a) 93,330
30,900 Cirrus Logic, Inc. (a) 206,412
141,200 Conexant Systems, Inc. (a) 319,112
37,200 Cypress Semiconductor Corp. (a) 530,100
10,783 DSP Group, Inc. (a) 270,222
6,075 Diodes, Inc. (a) 188,629
8,627 Exar Corp. (a) 108,010
3,173 Excel Technology, Inc. (a) 75,454
37,800 Fairchild Semiconductor
International, Inc. (a) 639,198
10,000 Formfactor, Inc. (a) 244,300
9,700 Genesis Microchip, Inc. (a) 175,473
5,693 IXYS Corp. (a) 66,551
55,730 Integrated Device Technology, Inc. (a) 734,521
15,338 Integrated Silicon Solutions, Inc. (a) 98,777
11,000 International DisplayWorks, Inc. (a)(e) 65,340
33,200 Lattice Semiconductor Corp. (a) 143,424
2,700 Leadis Technology, Inc. (a) 13,905
10,300 MIPS Technologies, Inc. (a) 58,504
19,900 Micrel, Inc. (a) 230,840
19,090 Microsemi Corp. (a) 528,029
21,000 Microtune, Inc. (a) 87,570
2,900 Monolithic Power Systems, Inc. (a) 43,471
4,300 Netlogic Microsystems, Inc. (a) 117,132
43,700 ON Semiconductor Corp. (a) 241,661
16,900 Omnivision Technologies, Inc. (a) 337,324
6,800 PLX Technology, Inc. (a) 58,480
60,000 PMC-Sierra, Inc. (a) 462,600
12,793 Pericom Semiconductor Corp. (a) 101,960
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
13,564 Pixelworks, Inc. (a) $ 68,905
3,300 Portalplayer, Inc. (a) 93,456
57,600 RF Micro Devices, Inc. (a) 311,616
31,300 Rambus, Inc. (a)(e) 506,747
12,600 Sigmatel, Inc. (a) 165,060
24,276 Silicon Image, Inc. (a) 219,698
12,400 Silicon Laboratories, Inc. (a) 454,584
25,758 Silicon Storage Technology, Inc. (a) 130,078
12,100 Sirf Technology Holdings, Inc. (a) 360,580
49,333 Skyworks Solutions, Inc. (a) 251,105
2,400 Sunpower Corp. Class A (a) 81,576
13,800 Tessera Technologies, Inc. (a) 356,730
39,100 Transwitch Corp. (a)(e) 71,553
40,536 Triquint Semiconductor, Inc. (a) 180,385
2,200 Virage Logic Corp. (a) 21,736
68,800 Vitesse Semiconductor Corp. (a) 132,096
3,200 Volterra Semiconductor Corp. (a) 48,000
-------------
10,757,711
- -----------------------------------------------------------------------------------------------------------------------------
Electronics: Technology - 0.7% 2,700 3D Systems Corp. (a) 48,600
2,100 American Science & Engineering, Inc. (a) 130,977
10,123 Checkpoint Systems, Inc. (a) 249,532
10,980 Coherent, Inc. (a) 325,886
4,452 Cubic Corp. 88,862
7,174 DRS Technologies, Inc. 368,887
6,726 EDO Corp. 182,006
4,600 Essex Corp. (a) 78,430
6,150 Herley Industries, Inc. (a) 101,536
34,030 Identix, Inc. (a) 170,490
2,850 Innovative Solutions & Support, Inc. (a) 36,423
10,284 Intermagnetics General Corp. (a) 328,060
4,700 Ionatron, Inc. (a)(e) 47,517
25,300 Kemet Corp. (a) 178,871
4,200 LaBarge, Inc. (a) 60,354
3,100 Scansource, Inc. (a) 169,508
1,500 Sypris Solutions, Inc. 14,970
-------------
2,580,909
- -----------------------------------------------------------------------------------------------------------------------------
Energy Equipment - 0.0% 8,700 Global Power Equipment Group, Inc. (a) 39,324
18,826 Plug Power, Inc. (a)(e) 96,577
-------------
135,901
- -----------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 0.6% 3,500 Alon USA Energy, Inc. (a) 68,775
2,800 Crosstex Energy, Inc. 176,568
8,600 Evergreen Solar, Inc. (a) 91,590
11,826 FuelCell Energy, Inc. (a)(e) 100,166
5,900 Holly Corp. 347,333
17,600 KFX, Inc. (a)(e) 301,136
200 Markwest Hydrocarbon, Inc. 4,402
5,258 Penn Virginia Corp. 301,809
13,200 Syntroleum Corp. (a)(e) 119,196
8,936 Tetra Technologies, Inc. (a) 272,727
11,197 Veritas DGC, Inc. (a) 397,382
-------------
2,181,084
- -----------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting 3,800 Clean Harbors, Inc. (a) 109,478
Services - 0.4% 13,802 Dycom Industries, Inc. (a) 303,644
2,000 Infrasource Services, Inc. (a) 26,160
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
2,900 Layne Christensen Co. (a) $ 73,747
38,700 Quanta Services, Inc. (a) 509,679
12,677 URS Corp. (a) 476,782
-------------
1,499,490
- -----------------------------------------------------------------------------------------------------------------------------
Entertainment - 0.2% 1,100 Carmike Cinemas, Inc. 27,896
4,840 Dover Motorsports, Inc. 29,572
11,955 Gaylord Entertainment Co. (a) 521,118
3,472 Lodgenet Entertainment Corp. (a) 48,400
9,415 Movie Gallery, Inc. (e) 52,818
4,155 Speedway Motorsports, Inc. 144,054
-------------
823,858
- -----------------------------------------------------------------------------------------------------------------------------
Fertilizers - 0.1% 34,500 Terra Industries, Inc. (a)(e) 193,200
- -----------------------------------------------------------------------------------------------------------------------------
Finance Companies - 0.2% 4,400 Accredited Home Lenders Holding Co. (a) 218,152
3,900 Asta Funding, Inc. 106,626
800 Delta Financial Corp. 6,704
2,300 International Securities Exchange, Inc. (a) 63,296
1,400 United PanAm Financial Corp. (a) 36,218
7,500 World Acceptance Corp. (a) 213,750
-------------
644,746
- -----------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan - 0.1% 21,200 Advance America, Cash Advance Centers, Inc. 262,880
2,450 Collegiate Funding Services LLC (a) 48,387
4,800 Encore Capital Group, Inc. (a) 83,280
200 QC Holdings, Inc. (a) 2,306
-------------
396,853
- -----------------------------------------------------------------------------------------------------------------------------
Financial Data Processing Services & Systems - 0.9% 7,800 Advent Software, Inc. (a) 225,498
995 CCC Information Services Group (a) 26,089
6,989 CompuCredit Corp. (a) 268,937
7,800 Cybersource Corp. (a) 51,480
9,130 Digital Insight Corp. (a) 292,343
14,888 eFunds Corp. (a) 348,975
8,423 eSpeed, Inc. Class A (a) 64,941
15,500 Hypercom Corp. (a) 99,045
4,700 iPayment, Inc. (a) 195,144
21,200 Jack Henry & Associates, Inc. 404,496
8,982 John H. Harland Co. 337,723
10,849 Kronos, Inc. (a) 454,139
8,164 NDCHealth Corp. 156,994
5,500 Online Resources Corp. (a) 60,775
22,413 PRG-Schultz International, Inc. (a) 13,672
1,200 TNS, Inc. (a) 23,016
5,900 TradeStation Group, Inc. (a) 73,042
11,800 Wright Express Corp. (a) 259,600
-------------
3,355,909
- -----------------------------------------------------------------------------------------------------------------------------
Financial Information Services - 0.2% 4,100 Bankrate, Inc. (a) 121,032
9,050 Factset Research Systems, Inc. 372,498
43,100 Homestore, Inc. (a) 219,810
1,800 Morningstar, Inc. (a) 62,352
23,422 S1 Corp. (a) 101,886
400 Value Line, Inc. 13,972
-------------
891,550
- -----------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous - 0.9% 5,000 ACE Cash Express, Inc. (a) 116,750
7,500 Advanta Corp. Class B 243,300
1,400 Asset Acceptance Capital Corp. (a) 31,444
9,219 Cash America International, Inc. 213,789
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
400 Enstar Group, Inc. (a) $ 26,500
4,500 Federal Agricultural Mortgage Corp. Class B 134,685
4,167 Financial Federal Corp. 185,223
5,500 First Cash Financial Services, Inc. (a) 160,380
4,700 Global Cash Access, Inc. (a) 68,573
7,600 Harris & Harris Group, Inc. 105,640
4,599 LandAmerica Financial Group, Inc. 286,978
29,200 MoneyGram International, Inc. 761,536
3,700 Portfolio Recovery Associates, Inc. (a) 171,828
3,800 Sanders Morris Harris Group, Inc. 62,282
13,536 Sotheby's Holdings Inc. Class A (a) 248,521
4,716 Sterling Bancorp 93,047
4,922 Stewart Information Services Corp. 239,554
1,033 Stifel Financial Corp. (a) 38,830
4,176 Triad Guaranty, Inc. (a) 183,702
2,291 WSFS Financial Corp. 140,324
-------------
3,512,886
- -----------------------------------------------------------------------------------------------------------------------------
Foods - 0.9% 2,134 American Italian Pasta Co. Class A 14,511
13,300 Chiquita Brands International, Inc. 266,133
16,184 Flowers Foods, Inc. 446,031
11,857 Hain Celestial Group, Inc. (a) 250,894
2,300 J&J Snack Foods Corp. 136,643
2,300 John B. Sanfilippo & Son, Inc. (a) 29,739
9,900 Lance, Inc. 184,437
3,100 M&F Worldwide Corp. (a) 50,592
963 Maui Land & Pineapple Co., Inc. (a) 32,675
17,300 NBTY, Inc. (a) 281,125
4,900 Natures Sunshine Prods, Inc. 88,592
9,800 Performance Food Group Co. (a) 278,026
3,200 Premium Standard Farms, Inc. 47,872
1,500 Provide Commerce, Inc. (a) 49,665
9,595 Ralcorp Holdings, Inc. (a) 382,936
4,350 Sanderson Farms, Inc. 132,806
112 Seaboard Corp. 169,232
14,657 Sensient Technologies Corp. 262,360
6,800 Tootsie Roll Industries, Inc. 196,724
-------------
3,300,993
- -----------------------------------------------------------------------------------------------------------------------------
Forest Products - 0.3% 3,209 Deltic Timber Corp. 166,419
16,121 Longview Fibre Co. 335,478
8,197 Potlatch Corp. 417,883
5,434 Universal Forest Products, Inc. 300,229
-------------
1,220,009
- -----------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services - 0.1% 10,800 Ennis, Inc. 196,236
4,945 The Standard Register Co. 78,180
-------------
274,416
- -----------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries - 0.1% 15,300 Alderwoods Group, Inc. (a) 242,811
31,024 Stewart Enterprises, Inc. Class A 167,840
-------------
410,651
- -----------------------------------------------------------------------------------------------------------------------------
Glass - 0.1% 11,600 Apogee Enterprises, Inc. 188,152
- -----------------------------------------------------------------------------------------------------------------------------
Gold - 0.1% 64,800 Coeur d'Alene Mines Corp. (a) 259,200
3,400 Royal Gold, Inc. 118,082
-------------
377,282
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Health Care Facilities - 0.9% 11,000 American Healthways, Inc. (a) $ 497,750
37,026 Beverly Enterprises, Inc. (a) 432,093
3,400 Brookdale Senior Living, Inc. 101,354
4,800 Genesis HealthCare Corp. (a) 175,296
8,000 Kindred Healthcare, Inc. (a) 206,080
7,050 LCA-Vision, Inc. 334,945
2,100 Medcath Corp. (a) 38,955
1,900 National Healthcare Corp. 71,022
17,000 PainCare Holdings, Inc. (a)(e) 55,420
7,000 Psychiatric Solutions, Inc. (a) 411,180
2,500 Radiation Therapy Services, Inc. (a) 88,275
4,200 Res-Care, Inc. (a) 72,954
1,824 Specialty Laboratories, Inc. (a) 23,803
9,074 Sunrise Senior Living, Inc. (a) 305,885
14,650 United Surgical Partners
International, Inc. (a) 470,998
-------------
3,286,010
- -----------------------------------------------------------------------------------------------------------------------------
Health Care Management Services - 0.7% 8,141 Allscripts Healthcare Solutions, Inc. (a)(e) 109,089
1,650 American Dental Partners, Inc. (a) 29,832
11,100 Amsurg Corp. (a) 253,746
7,200 Bioscript, Inc. (a) 54,288
13,900 Centene Corp. (a) 365,431
1,900 Computer Programs & Systems, Inc. 78,717
1,957 Corvel Corp. (a) 37,163
14,031 Eclipsys Corp. (a) 265,607
16,697 Hooper Holmes, Inc. 42,577
4,800 Horizon Health Corp. (a) 108,624
4,400 Molina Healthcare, Inc. (a) 117,216
7,000 Pediatrix Medical Group, Inc. (a) 619,990
8,898 Per-Se Technologies, Inc. (a) 207,857
9,700 Phase Forward, Inc. (a) 94,575
1,900 Vital Images, Inc. (a) 49,685
4,900 WellCare Health Plans, Inc. (a) 200,165
-------------
2,634,562
- -----------------------------------------------------------------------------------------------------------------------------
Health Care Services - 0.6% 2,800 Adeza Biomedical Corp. (a) 58,940
2,500 Alliance Imaging, Inc. (a) 14,875
5,600 Allied Healthcare International, Inc. (a) 34,384
3,700 Amedisys, Inc. (a) 156,288
6,600 America Retirement Corp. (a) 165,858
13,200 Apria Healthcare Group, Inc. (a) 318,252
3,000 Bio-Reference Labs, Inc. (a) 56,430
4,412 Gentiva Health Services, Inc. (a) 65,033
10,525 Healthcare Services Group 217,973
7,727 IDX Systems Corp. (a) 339,370
7,400 Matria Healthcare, Inc. (a) 286,824
10,100 Odyssey HealthCare, Inc. (a) 188,264
3,900 Symbion, Inc. (a) 89,700
5,100 VistaCare, Inc. Class A (a) 63,750
2,200 WebMD Health Corp. Class A (a) 63,910
-------------
2,119,851
- -----------------------------------------------------------------------------------------------------------------------------
Homebuilding - 0.2% 2,600 Comstock Homebuilding Cos., Inc. Class A (a) 36,686
4,760 Levitt Corp. Class A 108,242
4,200 M/I Homes, Inc. 170,604
700 Orleans Homebuilders, Inc. 12,845
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
6,462 Technical Olympic USA, Inc. $ 136,284
10,200 WCI Communities, Inc. (a) 273,870
700 William Lyon Homes, Inc. (a) 70,630
-------------
809,161
- -----------------------------------------------------------------------------------------------------------------------------
Hotel/Motel - 0.1% 7,000 Lodgian, Inc. (a) 75,110
5,779 Marcus Corp. 135,806
-------------
210,916
- -----------------------------------------------------------------------------------------------------------------------------
Household Furnishings - 0.5% 4,400 American Woodmark Corp. 109,076
3,200 Bassett Furniture Industries, Inc. 59,200
11,200 The Bombay Co., Inc. (a) 33,152
9,600 Ethan Allen Interiors, Inc. 350,688
13,300 Furniture Brands International, Inc. 296,989
4,836 Haverty Furniture Cos., Inc. 62,336
1,700 Hooker Furniture Corp. 29,172
16,000 La-Z-Boy, Inc. (e) 216,960
6,288 Libbey, Inc. 64,263
2,300 Lifetime Brands, Inc. 47,541
10,600 Select Comfort Corp. (a) 289,910
5,800 Stanley Furniture Co., Inc. 134,444
-------------
1,693,731
- -----------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter Devices - 0.9% 8,912 Advanced Energy Industries, Inc. (a) 105,429
12,767 Artesyn Technologies, Inc. (a) 131,500
16,341 Asyst Technologies Inc. (a) 93,471
1,100 Badger Meter, Inc. 43,164
7,394 C&D Technologies, Inc. 56,342
17,900 Crane Co. 631,333
7,932 ESCO Technologies, Inc. (a) 352,895
6,700 Flanders Corp. (a) 81,472
15,300 Flowserve Corp. (a) 605,268
1,875 The Gorman-Rupp Co. 41,456
8,526 Mine Safety Appliances Co. 308,726
13,582 Paxar Corp. (a) 266,615
3,312 Robbins & Myers, Inc. 67,399
3,000 Sun Hydraulics, Inc. 57,990
10,427 Veeco Instruments, Inc. (a) 180,700
5,496 Vicor Corp. 86,892
3,600 Viisage Technology, Inc. (a) 63,396
7,436 Watts Water Technologies, Inc. Class A 225,236
9,617 X-Rite, Inc. 96,170
-------------
3,495,454
- -----------------------------------------------------------------------------------------------------------------------------
Industrial Producers - 0.0% 3,500 TAL International Group, Inc. (a) 72,275
- -----------------------------------------------------------------------------------------------------------------------------
Insurance: Life - 0.4% 15,400 American Equity Investment Life
Holding Co. (e) 200,970
6,500 Ceres Group, Inc. (a) 33,605
8,355 Citizens, Inc. (a) 45,532
9,770 Delphi Financial Group Class A 449,518
2,680 Great American Financial Resources, Inc. 53,171
1,142 Kansas City Life Insurance Co. 57,545
662 National Western Life Insurance Co. Class A 136,974
27,900 The Phoenix Cos., Inc. 380,556
5,893 Presidential Life Corp. 112,203
10,000 Universal American Financial Corp. (a) 150,800
-------------
1,620,874
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line - 0.6% 9,540 Alfa Corp. $ 153,594
3,186 CNA Surety Corp. (a) 46,420
6,809 Crawford & Co. Class B 39,220
300 EMC Insurance Group, Inc. 5,982
3,425 FBL Financial Group, Inc. Class A 112,374
8,400 HealthExtras, Inc. (a) 210,840
9,006 Hilb Rogal & Hobbs Co. 346,821
16,068 Horace Mann Educators Corp. 304,649
1,340 Independence Holding Co. 26,197
3,400 KMG America Corp. (a) 31,212
2,397 Pico Holdings, Inc. (a) 77,327
11,639 UICI 413,301
6,655 Zenith National Insurance Corp. 306,929
-------------
2,074,866
- -----------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty - 1.4% 8,500 21st Century Insurance Group 137,530
5,250 Affirmative Insurance Holdings, Inc. 76,597
1,071 American Physicians Capital, Inc. (a) 49,041
8,866 Argonaut Group, Inc. (a) 290,539
4,332 Baldwin & Lyons, Inc. Class B 105,268
3,400 Bristol West Holdings, Inc. 64,702
34,330 Covanta Holding Corp. (a) 517,010
3,100 Direct General Corp. 52,390
2,533 Donegal Group, Inc. Class A 58,867
4,400 FPIC Insurance Group, Inc. (a) 152,680
3,700 First Acceptance Corp. (a) 38,073
20,200 Fremont General Corp. 469,246
5,462 Harleysville Group, Inc. 144,743
8,000 Infinity Property & Casualty Corp. 297,680
2,258 The Midland Co. 81,378
2,600 Navigators Group, Inc. (a) 113,386
2,000 Odyssey Re Holdings Corp. 50,160
21,415 Ohio Casualty Corp. 606,473
9,306 PMA Capital Corp. Class A (a) 84,964
8,223 ProAssurance Corp. (a) 399,967
6,554 RLI Corp. 326,848
4,900 Safety Insurance Group, Inc. 197,813
9,954 Selective Insurance Group 528,557
3,312 State Auto Financial Corp. 120,756
7,600 Tower Group, Inc. 167,048
4,100 United Fire & Casualty Co. 165,763
-------------
5,297,479
- -----------------------------------------------------------------------------------------------------------------------------
Investment Management Companies - 0.6% 22,490 Apollo Investment Corp. 403,245
9,686 Ares Capital Corp. 155,654
5,200 Calamos Asset Management, Inc. Class A 163,540
500 Capital Southwest Corp. 45,250
1,500 Cohen & Steers, Inc. 27,945
2,996 GAMCO Investors, Inc. Class A 130,416
17,700 MCG Capital Corp. 258,243
2,923 NGP Capital Resources Co. 38,379
9,600 National Financial Partners Corp. 504,480
2,100 Technology Investment Capital Corp. 31,710
26,400 Waddell & Reed Financial, Inc. Class A 553,608
-------------
2,312,470
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones - 0.1% 4,820 Charles & Colvard Ltd. $ 97,364
17,200 Fossil, Inc. (a) 369,972
4,400 Movado Group, Inc. 80,520
-------------
547,856
- -----------------------------------------------------------------------------------------------------------------------------
Leisure Time - 0.4% 26,700 Callaway Golf Co. 369,528
1,400 Escalade, Inc. 16,478
10,000 Great Wolf Resorts, Inc. (a) 103,100
12,800 K2, Inc. (a) 129,408
6,400 Life Time Fitness, Inc. (a) 243,776
11,600 Majesco Entertainment Co. (a)(e) 13,572
23,700 Six Flags, Inc. (a) 182,727
2,100 Steinway Musical Instruments Inc. (a) 53,571
9,978 Sturm Ruger & Co., Inc. 69,946
8,456 Vail Resorts, Inc. (a) 279,302
1,500 West Marine, Inc. (a) 20,970
-------------
1,482,378
- -----------------------------------------------------------------------------------------------------------------------------
Machine Tools - 0.1% 12,792 Lincoln Electric Holdings, Inc. 507,331
- -----------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering - 0.1% 8,760 Applied Industrial Technologies, Inc. 295,124
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural - 0.2% 26,600 AGCO Corp. (a) 440,762
400 Alamo Group, Inc. 8,200
4,350 Gehl Co. (a) 114,187
5,313 Lindsay Manufacturing Co. 102,169
-------------
665,318
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling - 0.3% 7,000 ASV, Inc. (a)(e) 174,860
6,017 Astec Industries, Inc. (a) 196,515
9,011 Manitowoc Co. 452,532
1,387 NACCO Industries, Inc. Class A 162,487
10,124 Stewart & Stevenson Services Inc. 213,920
-------------
1,200,314
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Engines - 0.2% 15,100 Briggs & Stratton Corp. 585,729
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty - 0.7% 8,000 Actuant Corp. Class A 446,400
6,100 EnPro Industries, Inc. (a) 164,395
9,057 Gardner Denver, Inc. (a) 446,510
3,370 Kadant, Inc. (a) 62,345
10,503 Kennametal, Inc. 536,073
2,200 Middleby Corp. (a) 190,300
8,010 Nordson Corp. 324,485
5,828 Tecumseh Products Co. Class A 133,519
2,637 Tennant Co. 137,124
2,993 Woodward Governor Co. 257,428
-------------
2,698,579
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment & Services - 1.6% 5,602 CARBO Ceramics, Inc. 316,625
22,074 Cal Dive International, Inc. (a) 792,236
1,688 Dril-Quip, Inc. (a) 79,674
27,500 Global Industries Ltd. (a) 312,125
3,717 Gulf Island Fabrication, Inc. 90,360
28,343 Hanover Compressor Co. (a) 399,920
4,340 Hornbeck Offshore Services, Inc. (a) 141,918
6,449 Hydril Co. (a) 403,707
19,746 Input/Output, Inc. (a) 138,814
3,600 Lufkin Industries, Inc. 179,532
29,920 Newpark Resources, Inc. (a) 228,290
6,804 Oceaneering International, Inc. (a) 338,703
11,900 Oil States International, Inc. (a) 376,992
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
29,681 Parker Drilling Co. (a) $ 321,445
6,900 RPC, Inc. 181,746
4,692 SEACOR Holdings, Inc. (a) 319,525
23,905 Superior Energy Services Inc. (a) 503,200
2,100 Superior Well Services, Inc. (a) 49,896
5,426 Universal Compression Holdings, Inc. (a) 223,117
10,357 W-H Energy Services, Inc. (a) 342,610
-------------
5,740,435
- -----------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty - 0.5% 4,900 Applied Films Corp. (a) 101,773
7,200 Bucyrus International, Inc. 379,440
3,700 Cascade Corp. 173,567
11,387 Engineered Support Systems, Inc. 474,155
15,998 JLG Industries, Inc. 730,469
4,741 Semitool, Inc. (a) 51,582
4,700 TurboChef Technologies, Inc. (a)(e) 67,492
-------------
1,978,478
- -----------------------------------------------------------------------------------------------------------------------------
Manufactured Housing - 0.1% 23,127 Champion Enterprises, Inc. (a) 314,990
4,205 Palm Harbor Homes, Inc. (a)(e) 79,054
1,501 Skyline Corp. 54,636
-------------
448,680
- -----------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.1% 16,359 Federal Signal Corp. 245,549
3,931 Standex International Corp. 109,125
-------------
354,674
- -----------------------------------------------------------------------------------------------------------------------------
Medical & Dental Instruments & Supplies - 2.7% 4,500 Abaxis, Inc. (a) 74,160
3,800 Abiomed, Inc. (a) 35,112
15,800 Align Technology, Inc. (a) 102,226
21,400 American Medical Systems Holdings, Inc. (a) 381,562
1,900 Angiodynamics, Inc. (a) 48,507
2,900 Animas Corp. (a) 70,035
5,608 Arrow International, Inc. 162,576
5,000 Bio-Rad Laboratories, Inc. Class A (a) 327,200
4,349 Biosite, Inc. (a) 244,805
2,300 Cantel Medical Corp. (a) 41,262
13,000 Cepheid, Inc. (a) 114,140
11,028 Conmed Corp. (a) 260,922
2,500 Conor Medsystems, Inc. (a) 48,375
5,369 Cyberonics, Inc. (a) 173,419
5,600 DJ Orthopedics, Inc. (a) 154,448
100 DexCom, Inc. (a) 1,492
6,900 Diagnostic Products Corp. 334,995
8,200 Encore Medical Corp. (a) 40,590
3,200 ev3, Inc. (a) 47,168
3,600 FoxHollow Technologies Inc. (a)(e) 107,244
8,000 I-Flow Corp. (a) 116,960
5,550 ICU Medical, Inc. (a) 217,615
5,800 IRIS International, Inc. (a) 126,788
12,762 Immucor, Inc. (a) 298,120
10,822 Invacare Corp. 340,785
4,440 Inverness Medical Innovations, Inc. (a) 105,272
9,900 Kyphon, Inc. (a) 404,217
2,678 Landauer, Inc. 123,429
7,200 Laserscope (a) 161,712
10,500 Lifecell Corp. (a) 200,235
9,444 Mentor Corp. 435,180
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
3,100 Meridian Bioscience, Inc. $ 62,434
9,810 Merit Medical Systems, Inc. (a) 119,093
6,937 Molecular Devices Corp. (a) 200,687
6,800 NuVasive, Inc. (a) 123,080
17,059 OraSure Technologies, Inc. (a) 150,460
12,398 Owens & Minor, Inc. 341,317
23,373 PSS World Medical, Inc. (a) 346,855
6,300 Palomar Medical Technologies, Inc. (a) 220,752
8,629 PolyMedica Corp. 288,813
4,415 SonoSite, Inc. (a) 154,569
1,000 Stereotaxis, Inc. (a) 8,610
21,600 Steris Corp. 540,432
5,583 SurModics, Inc. (a) 206,515
12,300 Sybron Dental Specialties, Inc. (a) 489,663
2,500 Symmetry Medical, Inc. (a) 48,475
10,500 ThermoGenesis Corp. (a) 48,720
14,047 Thoratec Corp. (a) 290,632
10,960 Ventana Medical Systems Inc. (a) 464,156
9,100 Viasys Healthcare, Inc. (a) 233,870
1,624 Vital Signs, Inc. 69,540
8,476 West Pharmaceutical Services, Inc. 212,154
6,900 Wright Medical Group, Inc. (a) 140,760
600 Young Innovations, Inc. 20,448
-------------
10,082,586
- -----------------------------------------------------------------------------------------------------------------------------
Medical Services - 0.2% 4,900 America Service Group, Inc. (a) 77,714
9,900 Magellan Health Services, Inc. (a) 311,355
3,471 Option Care, Inc. 46,373
10,297 Parexel International Corp. (a) 208,617
5,895 RehabCare Group, Inc. (a) 119,079
5,500 US Physical Therapy, Inc. (a) 101,585
-------------
864,723
- -----------------------------------------------------------------------------------------------------------------------------
Metal Fabricating - 1.4% 3,500 CIRCOR International, Inc. 89,810
19,156 Commercial Metals Co. 719,116
200 Dynamic Materials Corp. 6,120
4,550 Encore Wire Corp. (a) 103,558
9,226 Kaydon Corp. 296,524
8,658 Lone Star Technologies Inc. (a) 447,272
12,863 Maverick Tube Corp. (a) 512,719
5,365 NN, Inc. 56,869
6,655 NS Group, Inc. (a) 278,246
8,007 Quanex Corp. 400,110
2,800 RBC Bearings, Inc. (a) 45,500
8,013 RTI International Metals, Inc. (a) 304,093
9,947 Reliance Steel & Aluminum Co. 607,961
5,400 Roanoke Electric Steel Corp. 127,440
6,493 Ryerson, Inc. 157,910
22,000 The Shaw Group, Inc. (a) 639,980
7,600 Superior Essex, Inc. (a) 153,216
4,158 Valmont Industries, Inc. 139,127
-------------
5,085,571
- -----------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous - 0.6% 1,600 AM Castle & Co. (a) 34,944
6,273 AMCOL International Corp. 128,722
5,311 Brush Engineered Materials, Inc. (a) 84,445
7,218 Cleveland-Cliffs, Inc. (e) 639,298
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
4,800 Compass Minerals International, Inc. $ 117,792
29,644 GrafTech International Ltd. (a) 184,386
40,600 Hecla Mining Co. (a) 164,836
7,153 Minerals Technologies, Inc. 399,781
11,864 Stillwater Mining Co. (a) 137,266
3,000 Titanium Metals Corp. (a)(e) 189,780
-------------
2,081,250
- -----------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing - 0.2% 23,378 Corn Products International, Inc. 558,500
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples - 0.0% 3,300 Reddy Ice Holdings, Inc. 71,973
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Commodities - 0.2% 6,750 Ceradyne, Inc. (a) 295,650
9,579 Symyx Technologies Inc. (a) 261,411
6,089 WD-40 Co. 159,897
-------------
716,958
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Processing - 0.2% 8,638 Insituform Technologies, Inc. Class A (a) 167,318
7,500 Metal Management, Inc. 174,450
5,255 Rogers Corp. (a) 205,891
26,659 USEC, Inc. 318,575
1,900 Xerium Technologies, Inc. 15,979
-------------
882,213
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables - 0.2% 25,000 BE Aerospace, Inc. (a) 550,000
11,700 Blount International, Inc. (a) 186,381
-------------
736,381
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology - 0.0% 4,700 IHS, Inc. Class A (a) 96,444
- -----------------------------------------------------------------------------------------------------------------------------
Multi - Sector Companies - 0.5% 15,671 GenCorp, Inc. (a) 278,160
7,094 Kaman Corp. Class A 139,681
6,499 Lancaster Colony Corp. 240,788
4,500 Raven Industries, Inc. 129,825
1,465 Sequa Corp. Class A (a) 101,158
11,450 Trinity Industries, Inc. 504,602
300 United Capital Corp. (a) 7,401
12,002 Walter Industries, Inc. 596,739
-------------
1,998,354
- -----------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business Equipment - 0.1% 6,974 Kimball International, Inc. Class B 74,134
3,300 Knoll, Inc. 56,463
10,440 Presstek, Inc. (a) 94,378
-------------
224,975
- -----------------------------------------------------------------------------------------------------------------------------
Offshore Drilling - 0.1% 3,427 Atwood Oceanics, Inc. (a) 267,409
1,900 Bois d'Arc Energy, Inc. (a) 30,134
2,900 Hercules Offshore, Inc. (a) 82,389
-------------
379,932
- -----------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 3.0% 6,800 ATP Oil & Gas Corp. (a) 251,668
4,200 Atlas America, Inc. (a) 252,924
4,701 Berry Petroleum Co. Class A 268,897
3,900 Bill Barrett Corp. (a) 150,579
12,200 Brigham Exploration Co. (a) 144,692
1,700 Bronco Drilling Co., Inc. (a) 39,117
16,111 Cabot Oil & Gas Corp. Class A 726,606
5,900 Callon Petroleum Co. (a) 104,135
4,500 Carrizo Oil & Gas, Inc. (a) 111,195
15,300 Cheniere Energy, Inc. (a) 569,466
24,693 Cimarex Energy Co. 1,062,046
2,800 Clayton Williams Energy, Inc. (a) 116,872
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
12,957 Comstock Resources, Inc. (a) $ 395,318
3,400 Edge Petroleum Corp. (a) 84,694
16,600 Encore Acquisition Co. (a) 531,864
10,800 Endeavour International Corp. (a) 35,640
8,700 Energy Partners Ltd. (a) 189,573
12,200 FX Energy, Inc. (a)(e) 97,356
15,930 Frontier Oil Corp. 597,853
13,200 Gasco Energy, Inc. (a) 86,196
4,300 Goodrich Petroleum Corp. (a) 108,145
64,843 Grey Wolf, Inc. (a) 501,236
13,400 Harvest Natural Resources, Inc. (a) 118,992
7,983 Houston Exploration Co. (a) 421,502
7,200 McMoRan Exploration Co. (a)(e) 142,344
25,311 Meridian Resource Corp. (a) 106,306
12,200 Parallel Petroleum Corp. (a) 207,522
16,642 PetroHawk Energy Corp. (a) 220,007
5,800 Petroleum Development Corp. (a) 193,372
8,400 Petroquest Energy, Inc. (a) 69,552
4,000 Pioneer Drilling Co. (a) 71,720
8,020 Remington Oil & Gas Corp. (a) 292,730
6,649 Resource America, Inc. Class A 113,365
17,952 St. Mary Land & Exploration Co. 660,813
6,378 Stone Energy Corp. (a) 290,390
8,717 Swift Energy Co. (a) 392,875
13,200 Todco Class A 502,392
5,300 Toreador Resources Corp. (a)(e) 111,671
4,900 Tri-Valley Corp. (a)(e) 38,122
3,800 W&T Offshore, Inc. 111,720
5,200 Warren Resources, Inc. (a) 82,264
10,910 Whiting Petroleum Corp. (a) 436,400
-------------
11,010,131
- -----------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic - 0.2% 11,600 Delta Petroleum Corp. (a)(e) 252,532
3,600 Giant Industries, Inc. (a) 187,056
14,800 KCS Energy, Inc. (a) 358,456
-------------
798,044
- -----------------------------------------------------------------------------------------------------------------------------
Paints & Coatings - 0.1% 13,276 Ferro Corp. 249,058
6,940 H.B. Fuller Co. 222,566
1,793 Kronos Worldwide, Inc. 52,015
-------------
523,639
- -----------------------------------------------------------------------------------------------------------------------------
Paper - 0.5% 8,226 Albany International Corp. Class A 297,452
15,100 Bowater, Inc. 463,872
7,198 Buckeye Technologies, Inc. (a) 57,944
10,774 Caraustar Industries, Inc. (a) 93,626
4,892 Chesapeake Corp. 83,066
13,600 Mercer International, Inc.-Sbi (a) 106,896
3,300 Neenah Paper, Inc. 92,400
16,501 P.H. Glatfelter Co. 234,149
7,380 Rock-Tenn Co. Class A 100,737
14,242 Wausau Paper Corp. 168,768
-------------
1,698,910
- -----------------------------------------------------------------------------------------------------------------------------
Plastics - 0.1% 12,454 Spartech Corp. 273,365
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Pollution Control & Environmental Services - 0.2% 5,200 American Ecology Corp. $ 75,036
15,900 Darling International, Inc. (a) 63,123
4,100 Duratek, Inc. (a) 61,213
13,346 Headwaters, Inc. (a) 472,982
-------------
672,354
- -----------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment - 0.1% 9,251 Regal-Beloit Corp. 327,485
- -----------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services - 0.1% 13,582 Bowne & Co., Inc. 201,557
13,200 Cenveo, Inc. (a) 173,712
2,400 Schawk, Inc. 49,800
4,300 TRM Corp. (a) 32,035
-------------
457,104
- -----------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment - 1.4% 4,300 ADE Corp. (a) 103,458
13,157 ATMI, Inc. (a) 368,001
7,900 August Technology Corp. (a) 86,821
30,600 Axcelis Technologies, Inc. (a) 145,962
24,678 Brooks Automation, Inc. (a) 309,215
14,156 Cognex Corp. 425,954
25,268 Credence Systems Corp. (a) 175,865
11,200 Cymer, Inc. (a) 397,712
7,331 Dionex Corp. (a) 359,805
11,061 Electro Scientific Industries, Inc. (a) 267,123
16,800 Emcore Corp. (a) 124,656
35,599 Entegris, Inc. (a) 335,343
7,290 Esterline Technologies Corp. (a) 271,115
6,955 FEI Co. (a) 133,327
4,300 Intevac, Inc. (a) 56,760
17,956 Kulicke & Soffa Industries, Inc. (a) 158,731
22,303 LTX Corp. (a) 100,363
6,600 MTS Systems Corp. 228,624
10,899 Mattson Technology, Inc. (a) 109,644
5,862 Photon Dynamics, Inc. (a) 107,157
12,479 Photronics, Inc. (a) 187,934
4,400 Rofin-Sinar Technologies, Inc. (a) 191,268
4,273 Rudolph Technologies, Inc. (a) 55,036
5,190 Ultratech, Inc. (a) 85,220
10,842 Varian Semiconductor Equipment
Associates, Inc. (a) 476,289
-------------
5,261,383
- -----------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous - 0.5% 8,794 Banta Corp. 437,941
4,400 Consolidated Graphics, Inc. (a) 208,296
1,950 Courier Corp. 66,963
5,382 Martha Stewart Living Omnimedia, Inc.
Class A (a)(e) 93,808
5,207 Playboy Enterprises, Inc. Class B (a) 72,325
43,200 Primedia, Inc. (a) 69,552
30,400 The Reader's Digest Association, Inc.
Class A 462,688
8,560 Scholastic Corp. (a) 244,046
6,000 Thomas Nelson, Inc. 147,900
-------------
1,803,519
- -----------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers - 0.2% 23,329 Hollinger International, Inc. Class A 209,028
4,600 Journal Communications, Inc. Class A 64,170
12,033 Journal Register Co. 179,893
5,500 Media General, Inc. Class A 278,850
-------------
731,941
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters - 0.7% 1,633 Beasley Broadcasting Group, Inc. Class A $ 22,062
17,500 Citadel Broadcasting Corp. 235,200
10,000 Cox Radio, Inc. Class A (a) 140,800
19,800 Cumulus Media, Inc. Class A (a) 245,718
7,700 Emmis Communications Corp. Class A (a) 153,307
10,700 Entercom Communications Corp. (a) 317,469
1,500 Fisher Communications, Inc. (a) 62,145
12,800 Gray Television, Inc. 125,696
4,854 Liberty Corp. 227,216
11,600 Lin TV Corp. Class A (a) 129,224
5,100 Outdoor Channel Holdings, Inc. (a) 68,850
29,900 Radio One, Inc. Class D (a) 309,465
9,971 Regent Communications, Inc. (a) 46,265
4,833 Saga Communications, Inc. Class A (a) 52,535
2,883 Salem Communications Corp. Class A (a) 50,424
18,264 Sinclair Broadcast Group, Inc. Class A 168,029
14,284 Spanish Broadcasting System, Inc.
Class A (a) 72,991
2,800 WPT Enterprises, Inc. (a)(e) 16,632
10,396 World Wrestling Entertainment, Inc. 152,613
3,900 WorldSpace, Inc. Class A (a) 56,589
-------------
2,653,230
- -----------------------------------------------------------------------------------------------------------------------------
Railroad Equipment - 0.2% 1,700 Freightcar America, Inc. 81,736
2,800 Greenbrier Cos., Inc. 79,520
16,539 Westinghouse Air Brake Technologies Corp. 444,899
-------------
606,155
- -----------------------------------------------------------------------------------------------------------------------------
Railroads - 0.4% 11,281 Florida East Coast Industries, Inc. 477,976
5,850 Genesee & Wyoming, Inc. Class A (a) 219,667
22,876 Kansas City Southern (a) 558,861
10,102 RailAmerica, Inc. (a) 111,021
-------------
1,367,525
- -----------------------------------------------------------------------------------------------------------------------------
Real Estate - 0.3% 1,500 Avatar Holdings, Inc. (a)(e) 82,380
5,500 Bluegreen Corp. (a) 86,900
3,700 California Coastal Communities, Inc. (a) 145,151
1,700 Consolidated-Tomoka Land Co. 120,530
4,100 Housevalues, Inc. (a)(e) 53,423
4,600 Newkirk Realty Trust, Inc. 71,300
8,000 Sunterra Corp. (a) 113,760
2,215 Tejon Ranch Co. (a) 88,423
9,800 Trammell Crow Co. (a) 251,370
-------------
1,013,237
- -----------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REIT) - 6.3% 7,540 AMLI Residential Properties Trust 286,897
12,100 Aames Investment Corp. 78,166
10,101 Acadia Realty Trust 202,525
2,300 Affordable Residential Communities 21,919
1,100 Agree Realty Corp. 31,790
567 Alexander's, Inc. (a) 139,199
7,156 Alexandria Real Estate Equities, Inc. 576,058
6,250 American Campus Communities, Inc. 155,000
13,387 American Home Mortgage Investment Corp. 436,015
15,900 Anthracite Capital, Inc. 167,427
13,900 Anworth Mortgage Asset Corp. 101,470
5,700 Arbor Realty Trust, Inc. 147,744
14,600 Ashford Hospitality Trust, Inc. 153,154
5,699 Bedford Property Investors Inc. 125,036
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
3,800 Bimini Mortgage Management, Inc. Class A $ 34,390
13,550 BioMed Realty Trust, Inc. 330,620
8,900 Boykin Lodging Co. (a) 108,758
19,147 Brandywine Realty Trust 534,393
10,200 Capital Lease Funding, Inc. 107,406
2,500 Capital Trust, Inc. 73,200
3,200 Cedar Shopping Centers, Inc. 45,024
3,300 CentraCore Properties Trust 88,671
12,484 Colonial Properties Trust 524,078
4,500 Columbia Equity Trust, Inc. 72,675
15,275 Commercial Net Lease Realty 311,152
10,600 Corporate Office Properties Trust 376,724
11,500 Cousins Properties, Inc. 325,450
3,900 CRIIMI MAE, Inc. (a) 77,220
8,000 Deerfield Triarc Capital Corp. 109,600
10,400 DiamondRock Hospitality Co. 124,384
300 Digital Realty Trust, Inc. 6,789
16,700 ECC Capital Corp. 37,742
7,227 Eastgroup Properties Inc. 326,371
5,800 Education Realty Trust, Inc. 74,762
9,180 Entertainment Properties Trust 374,085
15,740 Equity Inns, Inc. 213,277
5,994 Equity Lifestyle Properties, Inc. 266,733
10,500 Equity One, Inc. 242,760
11,350 Extra Space Storage, Inc. 174,790
15,170 FelCor Lodging Trust, Inc. 261,076
19,300 Fieldstone Investment Corp. 228,898
11,800 First Industrial Realty Trust, Inc. 454,300
3,400 First Potomac Realty Trust 90,440
11,790 GMH Communities Trust 182,863
5,000 Getty Realty Corp. 131,450
6,839 Glenborough Realty Trust, Inc. 123,786
13,156 Glimcher Realty Trust 319,954
9,900 Government Properties Trust, Inc. 92,367
2,550 Gramercy Capital Corp. 58,089
8,000 Heritage Property Investment Trust 267,200
9,600 Hersha Hospitality Trust 86,496
9,500 Highland Hospitality Corp. 104,975
15,100 Highwoods Properties, Inc. 429,595
8,220 Home Properties, Inc. 335,376
12,800 HomeBanc Corp. 95,744
21,500 IMPAC Mortgage Holdings, Inc. (e) 202,315
24,300 Inland Real Estate Corp. 359,397
12,592 Innkeepers USA Trust 201,472
13,300 Investors Real Estate Trust 122,759
4,000 JER Investors Trust, Inc. 67,800
9,978 Kilroy Realty Corp. 617,638
4,640 Kite Realty Group Trust 71,781
5,000 LTC Properties, Inc. 105,150
63,600 La Quinta Corp. (a) 708,504
8,820 LaSalle Hotel Properties 323,870
18,442 Lexington Corporate Properties Trust 392,815
17,000 Luminent Mortgage Capital, Inc. 127,670
25,500 MFA Mortgage Investments, Inc. 145,350
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
12,700 Maguire Properties, Inc. $ 392,430
4,200 Medical Properties Trust, Inc. 41,076
24,058 Meristar Hospitality Corp. (a) 226,145
7,029 Mid-America Apartment Communities, Inc. 340,907
8,450 MortgageIT Holdings, Inc. 115,427
6,729 National Health Investors, Inc. 174,685
200 National Health Realty, Inc. 3,714
20,959 Nationwide Health Properties, Inc. 448,523
15,500 Newcastle Investment Corp. 385,175
2,600 NorthStar Realty Finance Corp. 26,494
6,300 Novastar Financial, Inc. (e) 177,093
15,200 Omega Healthcare Investors, Inc. 191,368
4,700 One Liberty Properties, Inc. 86,527
5,000 Origen Financial, Inc. 35,600
4,408 PS Business Parks, Inc. 216,874
3,104 Parkway Properties, Inc. 124,595
11,332 Pennsylvania Real Estate Investment Trust 423,364
13,686 Post Properties, Inc. 546,756
12,550 Prentiss Properties Trust 510,534
8,600 RAIT Investment Trust 222,912
4,300 Ramco-Gershenson Properties Trust 114,595
5,695 Redwood Trust, Inc. 234,976
4,122 Saul Centers, Inc. 148,804
14,200 Saxon Capital Inc. 160,886
21,414 Senior Housing Properties Trust 362,111
2,800 Sizeler Property Investors, Inc. 35,980
4,404 Sovran Self Storage, Inc. 206,856
19,900 Spirit Finance Corp. 225,865
14,700 Strategic Hotel Capital, Inc. 302,526
6,643 Sun Communities, Inc. 208,590
5,700 Sunstone Hotel Investors, Inc. 151,449
9,422 Tanger Factory Outlet Centers, Inc. 270,788
1,975 Tarragon Corp. (a) 40,725
17,408 Taubman Centers, Inc. 604,928
6,363 The Town & Country Trust 215,133
19,400 Trustreet Properties, Inc. 283,628
12,270 U-Store-It Trust 258,284
4,327 Universal Health Realty Income Trust 135,608
5,800 Urstadt Biddle Properties, Inc. Class A 94,018
12,765 Washington Real Estate Investment Trust 387,418
6,855 Winston Hotels, Inc. 67,865
-------------
23,493,816
- -----------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & Boats - 0.3% 5,943 Arctic Cat, Inc. 119,217
4,207 Coachmen Industries, Inc. 49,685
14,199 Fleetwood Enterprises, Inc. (a) 175,358
2,175 Marine Products Corp. 22,816
8,624 Monaco Coach Corp. 114,699
11,284 Thor Industries, Inc. 452,150
8,790 Winnebago Industries, Inc. 292,531
-------------
1,226,456
- -----------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial - 0.3% 3,753 Electro Rent Corp. (a) 55,957
12,800 GATX Corp. 461,824
900 Interpool, Inc. 16,992
1,900 Marlin Business Services, Inc. (a) 45,391
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
4,710 McGrath RentCorp $ 130,938
18,500 United Rentals, Inc. (a) 432,715
4,700 Williams Scotsman International, Inc. (a) 81,357
-------------
1,225,174
- -----------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer - 0.3% 11,393 Aaron Rents, Inc. 240,164
4,000 Amerco, Inc. (a) 288,200
7,995 Dollar Thrifty Automotive Group (a) 288,380
7,678 Rent-Way, Inc. (a) 49,062
9,258 WESCO International, Inc. (a) 395,594
-------------
1,261,400
- -----------------------------------------------------------------------------------------------------------------------------
Restaurants - 1.5% 10,000 AFC Enterprises Inc. 151,200
3,300 BJ's Restaurants, Inc. (a) 75,438
13,180 Bob Evans Farms, Inc. 303,931
3,325 Buffalo Wild Wings, Inc. (a) 110,423
9,850 CEC Entertainment, Inc. (a) 335,294
17,300 CKE Restaurants, Inc. 233,723
7,400 California Pizza Kitchen, Inc. (a) 236,578
2,200 Dave & Buster's, Inc. (a) 38,742
26,100 Denny's Corp. (a) 103,878
8,650 Domino's Pizza, Inc. 209,330
6,148 IHOP Corp. 288,403
11,618 Jack in the Box, Inc. (a) 405,817
15,800 Krispy Kreme Doughnuts, Inc. (a)(e) 90,692
3,096 Landry's Restaurants, Inc. 82,694
7,354 Lone Star Steakhouse & Saloon, Inc. 174,584
9,000 Luby's, Inc. (a) 119,700
400 McCormick & Schmick's Seafood
Restaurants, Inc. (a) 9,044
9,684 O'Charleys, Inc. (a) 150,199
6,708 PF Chang's China Bistro, Inc. (a) 332,918
2,248 Papa John's International, Inc. (a) 133,329
12,777 Rare Hospitality International, Inc. (a) 388,293
3,600 Red Robin Gourmet Burgers, Inc. (a) 183,456
19,700 Ruby Tuesday, Inc. 510,033
4,300 Ruth's Chris Steak House, Inc. (a) 77,830
14,600 Ryan's Restaurant Group, Inc. (a) 176,076
6,828 The Steak n Shake Co. (a) 115,735
11,400 Texas Roadhouse, Inc. Class A (a) 177,270
11,350 Triarc Cos. 168,548
-------------
5,383,158
- -----------------------------------------------------------------------------------------------------------------------------
Retail - 4.4% 1,700 1-800 Contacts, Inc. (a) 19,907
11,024 1-800-FLOWERS.COM, Inc. Class A (a) 70,774
12,500 99 Cents Only Stores (a) 130,750
6,100 AC Moore Arts & Crafts, Inc. (a) 88,755
16,450 Aeropostale, Inc. (a) 432,635
4,750 America's Car Mart, Inc. (a) 78,470
2,600 Asbury Automotive Group, Inc. (a) 42,796
5,400 Big 5 Sporting Goods Corp. 118,206
39,100 Big Lots, Inc. (a) 469,591
846 Blair Corp. 32,943
51,400 Blockbuster, Inc. Class A (e) 192,750
3,900 Blue Nile, Inc. (a)(e) 157,209
3,600 The Bon-Ton Stores, Inc. 68,868
5,779 Brown Shoe Co., Inc. 245,203
1,449 The Buckle, Inc. 46,716
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
4,000 Build-A-Bear Workshop, Inc. (a)(e) $ 118,560
5,292 Burlington Coat Factory Warehouse Corp. 212,791
16,534 CSK Auto Corp. (a) 249,333
7,900 Cabela's, Inc. Class A (a)(e) 131,140
4,850 Cache, Inc. (a) 84,002
9,600 Casual Male Retail Group, Inc. (a)(e) 58,848
9,395 The Cato Corp. Class A 201,523
4,500 Central Garden and Pet Co. (a) 206,730
2,100 Charlotte Russe Holding, Inc. (a) 43,743
40,740 Charming Shoppes, Inc. (a) 537,768
5,885 The Children's Place Retail Stores, Inc. (a) 290,837
11,928 Christopher & Banks Corp. 224,008
11,345 Coldwater Creek, Inc. (a) 346,363
600 Conn's, Inc. (a)(e) 22,122
4,376 Cost Plus, Inc. (a) 75,048
500 DEB Shops, Inc. 14,865
6,200 Design Within Reach, Inc. (a) 32,860
8,445 Dress Barn, Inc. (a) 326,061
6,733 dELiA*s, Inc. (a) 55,888
15,400 drugstore.com, Inc. (a) 43,890
4,000 FTD Group, Inc. (a) 41,560
15,035 Fred's, Inc. 244,619
8,900 GSI Commerce, Inc. (a) 134,301
15,757 GameStop Corp. Class A (a)(e) 501,388
16 Gander Mountain Co. (a) 95
6,838 Genesco, Inc. (a) 265,246
7,600 Global Imaging Systems, Inc. (a) 263,188
5,332 Group 1 Automotive, Inc. (a) 167,585
7,039 Guitar Center, Inc. (a) 352,020
12,158 Gymboree Corp. (a) 284,497
11,481 HOT Topic, Inc. (a) 163,604
5,561 Handleman Co. 69,068
12,175 Hibbett Sporting Goods, Inc. (a) 346,744
17,498 Insight Enterprises, Inc. (a) 343,136
8,062 The J. Jill Group, Inc. (a) 153,420
6,705 Jo-Ann Stores, Inc. (a) 79,119
3,287 Jos. A. Bank Clothiers, Inc. (a) 142,689
1,647 Lawson Products, Inc. 62,158
12,118 Linens 'N Things, Inc. (a) 322,339
6,600 Lithia Motors, Inc. Class A 207,504
2,600 MarineMax, Inc. (a) 82,082
2,600 New York & Co. (a) 55,120
4,100 Overstock.com, Inc. (a)(e) 115,415
13,810 PEP Boys-Manny, Moe & Jack 205,631
21,100 Pacific Sunwear of California, Inc. (a) 525,812
6,200 The Pantry, Inc. (a) 291,338
19,600 Payless Shoesource, Inc. (a) 491,960
15,900 Petco Animal Supplies, Inc. (a) 349,005
24,299 Pier 1 Imports, Inc. 212,130
7,316 Priceline.com, Inc. (a) 163,293
9,700 Restoration Hardware, Inc. (a) 58,394
7,200 Retail Ventures, Inc. (a) 89,568
9,000 Rush Enterprises Inc. Class A (a) 133,920
3,547 Russ Berrie & Co., Inc. 40,507
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
6,854 School Specialty, Inc. (a) $ 249,760
700 Sharper Image Corp. (a) 6,818
8,600 Sonic Automotive, Inc. 191,608
6,426 The Sports Authority, Inc. (a) 200,041
8,200 Stage Stores, Inc. 244,196
5,003 Stamps.com, Inc. (a) 114,869
6,624 Stein Mart, Inc. 120,226
6,300 Talbots, Inc. 175,266
10,466 Too, Inc. (a) 295,246
11,200 Tractor Supply Co. (a) 592,928
7,630 Trans World Entertainment Corp. (a) 43,491
9,690 Tuesday Morning Corp. 202,715
7,531 United Auto Group, Inc. 287,684
12,780 United Natural Foods, Inc. (a) 337,392
7,956 ValueVision Media, Inc. Class A (a) 100,246
1,500 Volcom Inc. (a) 51,015
9,700 The Wet Seal, Inc. Class A (a)(e) 43,068
2,800 Wilsons The Leather Experts Inc. (a) 10,164
15,900 Zale Corp. (a) 399,885
1,800 Zumiez, Inc. (a) 77,796
-------------
16,174,822
- -----------------------------------------------------------------------------------------------------------------------------
Savings & Loan - 2.1% 6,637 Anchor Bancorp Wisconsin, Inc. 201,367
11,350 BFC Financial Corp. (a) 62,652
16,738 Bank Mutual Corp. 177,423
16,742 BankAtlantic Bancorp, Inc. Class A 234,388
5,373 BankUnited Financial Corp. Class A 142,761
2,400 Berkshire Hills Bancorp, Inc. 80,400
1,900 Beverly Hills Bancorp, Inc. 19,703
22,487 Brookline Bancorp, Inc. 318,641
500 Charter Financial Corp. 17,855
4,702 Coastal Financial Corp. 59,950
15,926 Commercial Capital Bancorp, Inc. 272,653
10,149 Dime Community Bancshares, Inc. 148,277
8,722 Fidelity Bankshares, Inc. 285,209
1,220 First Defiance Financial Corp. 33,050
4,026 First Financial Holdings, Inc. 123,679
3,240 First Indiana Corp. 111,391
39,553 First Niagara Financial Group, Inc. 572,332
3,000 First Place Financial Corp. 72,150
8,250 First Republic Bank 305,332
4,100 FirstFed Financial Corp. (a) 223,532
8,250 Flagstar Bancorp, Inc. 118,800
4,975 Flushing Financial Corp. 77,461
3,078 Great Southern Bancorp, Inc. 84,984
6,817 Harbor Florida Bancshares, Inc. 252,570
3,000 Horizon Financial Corp. 65,520
1,850 IBERIABANK Corp. 94,368
2,700 ITLA Capital Corp. (a) 131,895
7,900 KNBT Bancorp, Inc. 128,691
6,300 Kearny Financial Corp. 76,860
9,860 MAF Bancorp, Inc. 408,007
300 NASB Financial, Inc. 11,703
17,511 Netbank, Inc. 125,729
39,100 NewAlliance Bancshares, Inc. 568,514
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
4,467 Northwest Bancorp, Inc. $ 94,968
2,696 OceanFirst Financial Corp. 61,361
10,065 Ocwen Financial Corp. (a) 87,565
6,911 PFF Bancorp, Inc. 210,924
19,928 Partners Trust Financial Group, Inc. 240,132
2,700 Pennfed Financial Services, Inc. 49,734
1,450 Provident Financial Holdings, Inc. 38,135
21,358 Provident Financial Services, Inc. 395,337
10,089 Provident New York Bancorp 111,080
4,100 Rockville Financial, Inc. (a) 53,505
2,400 Sound Federal Bancorp, Inc. 45,840
8,053 Sterling Financial Corp. 201,164
6,700 TierOne Corp. 197,047
7,861 United Community Financial Corp. 92,838
32,933 W Holding Co., Inc. 271,039
400 Westfield Financial, Inc. 9,604
-------------
7,768,120
- -----------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers - 0.2% 12,635 Newport Corp. (a) 171,078
11,535 Varian, Inc. (a) 458,978
-------------
630,056
- -----------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services - 0.7% 10,250 Archipelago Holdings, Inc. (a)(e) 510,142
2,900 BKF Capital Group, Inc. 54,955
13,345 CharterMac 282,647
700 GFI Group, Inc. (a) 33,201
5,200 Gladstone Investment Corp. 70,668
5,900 IntercontinentalExchange, Inc. (a) 214,465
13,200 Investment Technology Group, Inc. (a) 467,808
38,200 Knight Capital Group, Inc. Class A (a) 377,798
16,800 LaBranche & Co., Inc. (a) 169,848
10,000 MarketAxess Holdings, Inc. (a) 114,300
9,061 NCO Group, Inc. (a) 153,312
6,000 optionsXpress Holdings, Inc. 147,300
4,604 SWS Group, Inc. 96,408
200 ZipRealty, Inc. (a) 1,684
-------------
2,694,536
- -----------------------------------------------------------------------------------------------------------------------------
Services: Commercial - 3.3% 3,963 4Kids Entertainment, Inc. (a) 62,179
11,870 ABM Industries, Inc. 232,058
5,605 AMN Healthcare Services, Inc. (a) 110,867
5,461 Administaff, Inc. 229,635
6,900 The Advisory Board Co. (a) 328,923
4,800 Ambassadors Group, Inc. 109,872
3,000 Angelica Corp. 49,620
12,300 Autobytel, Inc. (a) 60,762
17,853 CBIZ, Inc. (a) 107,475
3,801 CDI Corp. 104,147
2,500 CRA International, Inc. (a) 119,225
8,778 Casella Waste Systems, Inc. (a) 112,271
7,572 Chemed Corp. 376,177
4,600 Clark, Inc. 60,950
6,050 CoStar Group, Inc. (a) 261,178
8,800 Cogent, Inc. (a) 199,584
9,692 Coinstar, Inc. (a) 221,268
12,394 Corrections Corp. of America (a) 557,358
8,800 Cross Country Healthcare, Inc. (a) 156,464
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
12,000 DiamondCluster International, Inc.
Class A (a) $ 95,280
2,000 Escala Group, Inc. (a)(e) 40,560
2,402 Exponent, Inc. (a) 68,169
12,141 FTI Consulting, Inc. (a) 333,149
3,881 Forrester Research, Inc. (a) 72,769
6,077 G&K Services, Inc. Class A 238,522
2,900 The Geo Group, Inc. (a) 66,497
10,100 Gevity HR, Inc. 259,772
14,900 Harris Interactive, Inc. (a) 64,219
7,158 Heidrick & Struggles International, Inc. (a) 229,414
8,800 Hudson Highland Group, Inc. (a) 152,768
34,500 IKON Office Solutions, Inc. 359,145
11,100 Jackson Hewitt Tax Service, Inc. 307,581
5,568 Kelly Services, Inc. Class A 145,993
6,600 Kforce, Inc. (a) 73,656
10,668 Korn/Ferry International (a) 199,385
17,422 Labor Ready, Inc. (a) 362,726
5,204 MAXIMUS, Inc. 190,935
32,305 MPS Group, Inc. (a) 441,609
5,542 Midas, Inc. (a) 101,751
2,900 Monro Muffler, Inc. 87,928
14,723 Navigant Consulting, Inc. (a) 323,612
3,717 Netratings, Inc. (a) 45,831
8,300 Nutri/System, Inc. (a) 298,966
13,964 PHH Corp. (a) 391,271
8,539 Pegasus Solutions, Inc. (a) 76,595
3,660 Pre-Paid Legal Services, Inc. 139,849
4,400 The Providence Service Corp. (a) 126,676
15,300 Regis Corp. 590,121
15,932 Resources Connection, Inc. (a) 415,188
9,202 Rollins, Inc. 181,371
4,500 Sirva, Inc. (a) 36,000
13,300 Source Interlink Cos., Inc. (a) 147,896
20,629 Spherion Corp. (a) 206,496
4,540 Startek, Inc. 81,720
12,089 TeleTech Holdings, Inc. (a) 145,672
16,531 Tetra Tech, Inc. (a) 259,041
700 Travelzoo, Inc. (a)(e) 15,400
2,800 Unifirst Corp. 87,080
2,400 Vertrue, Inc. (a) 84,792
5,600 Viad Corp. 164,248
1,759 Volt Information Sciences, Inc. (a) 33,456
12,818 Waste Connections, Inc. (a) 441,708
13,000 Waste Services, Inc. (a) 43,290
12,515 Watson Wyatt Worldwide, Inc. 349,169
13,713 Wireless Facilities, Inc. (a) 69,936
7,200 World Fuel Services Corp. 242,784
-------------
12,350,009
- -----------------------------------------------------------------------------------------------------------------------------
Shipping - 0.2% 6,300 Gulfmark Offshore, Inc. (a) 186,606
4,500 Horizon Lines, Inc. Class A 54,585
6,830 Kirby Corp. (a) 356,321
2,500 Maritrans, Inc. 65,050
-------------
662,562
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Shoes - 0.4% 3,800 DSW, Inc. Class A (a) $ 99,636
1,900 Deckers Outdoor Corp. (a)(e) 52,478
15,166 The Finish Line, Inc. Class A 264,192
6,796 K-Swiss, Inc. Class A 220,462
3,592 Kenneth Cole Productions, Inc. Class A 91,596
3,700 Shoe Carnival, Inc. (a) 81,104
6,455 Skechers U.S.A., Inc. Class A (a) 98,891
5,412 Steven Madden Ltd. 158,193
12,735 Stride Rite Corp. 172,687
300 Weyco Group, Inc. 5,730
18,408 Wolverine World Wide, Inc. 413,444
-------------
1,658,413
- -----------------------------------------------------------------------------------------------------------------------------
Steel - 0.7% 37,427 AK Steel Holding Corp. (a) 297,545
7,526 Carpenter Technology Corp. 530,357
5,545 Chaparral Steel Co. (a) 167,736
7,034 Gibraltar Industries, Inc. 161,360
10,700 Oregon Steel Mills, Inc. (a) 314,794
5,350 Schnitzer Steel Industries, Inc. Class A 163,657
11,097 Steel Dynamics, Inc. 394,054
4,900 Steel Technologies, Inc. 137,151
4,300 Wheeling-Pittsburgh Corp. (a) 38,786
24,000 Worthington Industries, Inc. 461,040
-------------
2,666,480
- -----------------------------------------------------------------------------------------------------------------------------
Synthetic Fibers - 0.0% 4,318 Wellman, Inc. 29,276
- -----------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment - 0.9% 1,700 Applied Signal Technology, Inc. 38,590
31,000 Arris Group, Inc. (a) 293,570
6,685 Audiovox Corp. Class A (a) 92,654
15,361 Belden CDT, Inc. 375,269
14,434 C-COR, Inc. (a) 70,149
16,600 Interdigital Communications Corp. (a) 304,112
5,500 Mastec, Inc. (a) 57,585
14,799 Plantronics, Inc. 418,812
32,800 Polycom, Inc. (a) 501,840
27,977 Powerwave Technologies, Inc. (a) 351,671
200 Preformed Line Products Co. 8,558
28,150 SBA Communications Corp. Class A (a) 503,885
8,780 Spectralink Corp. 104,219
18,100 Symmetricom, Inc. (a) 153,307
22,476 Terayon Corp. (a) 51,920
-------------
3,326,141
- -----------------------------------------------------------------------------------------------------------------------------
Textile Products - 0.1% 7,200 DHB Industries, Inc. (a) 32,184
5,100 Dixie Group, Inc. (a) 70,278
21,000 Innovo Group, Inc. (a) 21,420
13,821 Interface, Inc. Class A (a) 113,609
-------------
237,491
- -----------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers - 0.6% 5,500 Carter's, Inc. (a) 323,675
2,500 Cherokee, Inc. 85,975
6,285 Guess?, Inc. (a) 223,746
4,700 Hartmarx Corp. (a) 36,707
6,182 Kellwood Co. 147,626
4,200 Maidenform Brands, Inc. (a) 53,172
4,142 Oxford Industries, Inc. 226,567
4,600 Perry Ellis International, Inc. (a) 87,400
10,554 Phillips-Van Heusen Corp. 341,950
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
13,017 Russell Corp. $ 175,209
3,500 Under Armour, Inc. Class A (a) 134,085
13,200 The Warnaco Group, Inc. (a) 352,704
-------------
2,188,816
- -----------------------------------------------------------------------------------------------------------------------------
Tires & Rubber - 0.1% 3,374 Bandag, Inc. 143,969
17,700 Cooper Tire & Rubber Co. 271,164
2,000 Titan International, Inc. 34,500
-------------
449,633
- -----------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 32,755 Alliance One International, Inc. 127,744
5,520 Schweitzer-Mauduit International, Inc. 136,786
11,600 Star Scientific, Inc. (a)(e) 27,260
7,856 Universal Corp. 340,636
10,713 Vector Group Ltd. 194,655
-------------
827,081
- -----------------------------------------------------------------------------------------------------------------------------
Toys - 0.1% 10,030 Jakks Pacific, Inc. (a) 210,028
7,500 Leapfrog Enterprises, Inc. (a)(e) 87,375
-------------
297,403
- -----------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous - 0.2% 1,600 Dynamex, Inc. (a) 30,496
6,900 HUB Group, Inc. Class A (a) 243,915
14,000 Odyssey Marine Exploration, Inc. (a) 49,560
10,700 Pacer International, Inc. 278,842
6,481 SCS Transportation, Inc. (a) 137,721
4,700 US Xpress Enterprises, Inc. Class A (a) 81,686
-------------
822,220
- -----------------------------------------------------------------------------------------------------------------------------
Truckers - 0.6% 6,041 Arkansas Best Corp. 263,871
4,700 Covenant Transport, Inc. Class A (a) 65,706
11,532 Forward Air Corp. 422,648
2,000 Frozen Food Express Industries, Inc. (a) 22,060
15,180 Heartland Express, Inc. 308,002
16,462 Knight Transportation, Inc. 341,268
1,950 Marten Transport Ltd. (a) 35,529
11,025 Old Dominion Freight Line Inc. (a) 297,454
1,200 PAM Transportation Services (a) 21,348
3,000 USA Truck, Inc. (a) 87,390
1,700 Universal Truckload Services, Inc. (a) 39,100
12,400 Werner Enterprises, Inc. 244,280
-------------
2,148,656
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio - 0.0% 18,100 Mediacom Communications Corp. Class A (a) 99,369
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical - 1.4% 9,066 Allete, Inc. 398,904
17,875 Avista Corp. 316,566
8,700 Black Hills Corp. 301,107
4,889 CH Energy Group, Inc. 224,405
3,803 Central Vermont Public Service Corp. 68,492
14,967 Cleco Corp. 312,062
20,600 Duquesne Light Holdings, Inc. 336,192
17,408 El Paso Electric Co. (a) 366,264
9,068 The Empire District Electric Co. 184,352
11,400 IDACORP, Inc. 334,020
4,200 ITC Holdings Corp. 117,978
5,445 MGE Energy, Inc. 184,640
12,900 NorthWestern Corp. 400,803
8,286 Otter Tail Corp. 240,128
4,300 Pike Electric Corp. (a) 69,746
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
53,177 Sierra Pacific Resources (a) $ 693,428
4,400 UIL Holdings Corp. 202,356
8,883 Unisource Energy Corp. 277,150
-------------
5,028,593
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors - 0.8% 5,622 Cascade Natural Gas Corp. 109,685
2,700 EnergySouth, Inc. 72,306
6,148 The Laclede Group, Inc. 179,583
8,174 New Jersey Resources Corp. 342,409
12,300 Nicor, Inc. 483,513
9,999 Northwest Natural Gas Co. 341,766
10,200 Peoples Energy Corp. 357,714
9,132 South Jersey Industries, Inc. 266,106
13,490 Southwest Gas Corp. 356,136
16,700 WGL Holdings, Inc. 502,002
-------------
3,011,220
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Pipelines - 0.0% 14,631 Transmontaigne, Inc. (a) 96,565
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous - 0.1% 127,400 Aquila, Inc. (a) 458,640
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications - 1.2% 2,000 Alaska Communications Systems Group, Inc. 20,320
5,455 CT Communications, Inc. 66,224
4,726 Centennial Communications Corp. (a) 73,348
74,400 Cincinnati Bell, Inc. (a) 261,144
4,833 Commonwealth Telephone Enterprises, Inc. 163,210
4,900 Consolidated Communications Holdings, Inc. 63,651
38,500 Dobson Communications Corp. Class A (a) 292,985
11,000 FairPoint Communications, Inc. 113,960
16,239 General Communication Inc. Class A (a) 167,749
12,300 GlobeTel Communications Corp. (a)(e) 45,387
5,592 Golden Telecom, Inc. (f) 145,168
20,000 IDT Corp. Class B (a) 234,000
5,600 Intrado, Inc. (a) 128,912
9,800 Iowa Telecommunications Services, Inc. 151,802
227,400 Level 3 Communications, Inc. (a)(e) 652,638
7,700 NeuStar, Inc. Class A (a) 234,773
4,321 North Pittsburgh Systems, Inc. 81,537
21,200 Premiere Global Services, Inc. (a) 172,356
13,989 Price Communications Corp. (a) 208,016
6,100 RCN Corp. (a) 143,045
1,600 Shenandoah Telecom Co. 63,744
4,300 SureWest Communications 113,391
11,533 Talk America Holdings, Inc. (a) 99,530
19,400 Time Warner Telecom, Inc. Class A (a) 191,090
7,820 USA Mobility, Inc. 216,770
27,000 Ubiquitel, Inc. (a) 267,030
12,800 Valor Communications Group, Inc. (e) 145,920
-------------
4,517,700
- -----------------------------------------------------------------------------------------------------------------------------
Utilities: Water - 0.2% 4,785 American States Water Co. 147,378
4,996 California Water Service Group 190,997
2,389 Connecticut Water Service, Inc. 58,554
3,382 Middlesex Water Co. 58,644
1,974 SJW Corp. 89,817
3,184 Southwest Water Co. 45,557
-------------
590,947
- -----------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade - 0.1% 6,450 Central European Distribution Corp. (a) 258,903
- -----------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
Shares
Industry Held Common Stocks Value
- -----------------------------------------------------------------------------------------------------------------------------
Wholesalers - 0.3% 6,650 Brightpoint, Inc. (a) $ 184,404
3,000 Earle M. Jorgensen Holding Company, Inc. (a) 27,690
5,600 LKQ Corp. (a) 193,872
8,200 Prestige Brands Holdings, Inc. (a) 102,500
10,069 United Stationers, Inc. (a) 488,347
-------------
996,813
- -----------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $291,937,655) - 99.7% 368,885,577
- -----------------------------------------------------------------------------------------------------------------------------
Mutual Funds
- -----------------------------------------------------------------------------------------------------------------------------
Investment Management Companies - 0.0% 4,700 Gladstone Capital Corp. (e) 100,486
- -----------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds
(Cost - $99,942) - 0.0% 100,486
- -----------------------------------------------------------------------------------------------------------------------------
Rights
- -----------------------------------------------------------------------------------------------------------------------------
Retail - 0.0% 777 dELiA*s, Inc. (g) 777
- -----------------------------------------------------------------------------------------------------------------------------
Total Rights
(Cost - $0) - 0.0% 777
- -----------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Other Interests (b)
- -----------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 0.0% $ 500 PetroCorp Inc. (Escrow Shares) 0
- -----------------------------------------------------------------------------------------------------------------------------
Total Other Interests
(Cost - $0) - 0.0% 0
- -----------------------------------------------------------------------------------------------------------------------------
Short-Term Securities
- -----------------------------------------------------------------------------------------------------------------------------
$ 641,675 Merrill Lynch Liquidity Series, LLC 641,675
Cash Sweep Series I (c)
13,465,055 Merrill Lynch Liquidity Series, LLC 13,465,055
Money Market Series (c)(d)
- -----------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $14,106,730) - 3.8% 14,106,730
- -----------------------------------------------------------------------------------------------------------------------------
Total Investments
(Cost - $306,144,327*) - 103.5% 383,093,570
Liabilities in Excess of Other
Assets - (3.5%) (12,948,221)
-------------
Net Assets - 100.0% $ 370,145,349
=============
* The cost and unrealized appreciation (depreciation) of investments, as of
December 31, 2005, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 309,875,971
=============
Gross unrealized appreciation $ 98,880,176
Gross unrealized depreciation (25,662,577)
-------------
Net unrealized appreciation $ 73,217,599
=============
(a) Non-income producing security.
(b) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(c) Investments in companies considered to be an affiliate of the Series, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
-----------------------------------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
-----------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ (8,347,915) $ 464,626
Merrill Lynch Liquidity Series, LLC Money Market Series $ 1,812,667 $ 210,148
-----------------------------------------------------------------------------------------------------
Master Small Cap Index Series
Schedule of Investments as of December 31, 2005
(d) Security was purchased with the cash proceeds from securities loans.
(e) Security, or a portion of security, is on loan.
(f) Depositary receipts.
(g) The rights may be exercised until 1/27/2006.
o Financial futures contracts purchased as of December 31, 2005 were as
follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
--------------------------------------------------------------------------
4 Russell 2000 Index March 2006 $ 1,357,448 $ (848)
--------------------------------------------------------------------------
o For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Series management. This definition may not apply for the
purposes of this report, which may combine industry sub-classifications
for reporting ease. Industries are shown as a percent of net assets. These
industry classifications are unaudited.
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 21, 2006
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 21, 2006
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 21, 2006