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: BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc.
Master Small Cap Index Series of Quantitative Master Series LLC
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive Officer,
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master
Small Cap Index Series of Quantitative Master Series LLC, 800 Scudders
Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011,
Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (800) 441-7762
Date of fiscal year end: 12/31/2007
Date of reporting period: 01/01/2007 - 12/31/2007
Item 1 - Report to Stockholders
EQUITIES FIXED INCOME REAL ESTATE
LIQUIDITY ALTERNATIVES BLACKROCK SOLUTIONS
BlackRock Small Cap BLACKROCK
Index Fund
OF BLACKROCK INDEX FUNDS, INC.
ANNUAL REPORT | DECEMBER 31, 2007
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
Table of Contents
================================================================================
Page
- --------------------------------------------------------------------------------
A Letter to Shareholders ................................................. 3
Annual Report:
Fund Summary ............................................................. 4
About Fund Performance ................................................... 6
Disclosure of Expenses ................................................... 6
Fund Financial Statements:
Statement of Assets and Liabilities .................................. 7
Statement of Operations .............................................. 8
Statements of Changes in Net Assets .................................. 9
Fund Financial Highlights ................................................ 10
Fund Notes to Financial Statements ....................................... 11
Fund Report of Independent Registered Public Accounting Firm ............. 13
Fund Proxy Results ....................................................... 14
Important Tax Information ................................................ 14
Series Portfolio Information ............................................. 15
Series Financial Statements:
Summary Schedule of Investments ...................................... 16
Statement of Assets and Liabilities .................................. 22
Statement of Operations .............................................. 23
Statements of Changes in Net Assets .................................. 24
Series Financial Highlights .............................................. 24
Series Notes to Financial Statements ..................................... 25
Series Report of Independent Registered Public Accounting Firm ........... 28
Series Proxy Results ..................................................... 29
Officers and Directors ................................................... 30
BlackRock Fund Information ............................................... 33
Mutual Fund Family ....................................................... 35
2 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
A Letter to Shareholders
Dear Shareholder
Financial markets endured heightened volatility during 2007, culminating in
mixed results for some of the major benchmark indexes:
Total Returns as of December 31, 2007 6-month 12-month
=============================================================================================================
U.S. equities (S&P 500 Index) -1.37% + 5.49%
- -------------------------------------------------------------------------------------------------------------
Small cap U.S. equities (Russell 2000 Index) -7.53 - 1.57
- -------------------------------------------------------------------------------------------------------------
International equities (MSCI Europe, Australasia, Far East Index) +0.39 +11.17
- -------------------------------------------------------------------------------------------------------------
Fixed income (Lehman Brothers U.S. Aggregate Bond Index) +5.93 + 6.97
- -------------------------------------------------------------------------------------------------------------
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) +3.22 + 3.36
- -------------------------------------------------------------------------------------------------------------
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) -0.67 + 2.27
- -------------------------------------------------------------------------------------------------------------
Past performance is no guarantee of future results. Index performance shown for
illustrative purposes only. You cannot invest directly in an index.
Subprime mortgage woes dominated headlines for much of 2007, spawning a
widespread liquidity and credit crisis with ramifications across global markets.
The Federal Reserve Board (the "Fed") stepped in to inject liquidity into the
markets and bolster investor confidence, cutting the federal funds rate by 0.50%
in September, 0.25% in October and 0.25% in December, which brought the target
short-term interest rate to 4.25%. In taking action, the central bankers, who
had long deemed themselves inflation fighters, were seeking to stem the fallout
from the credit crunch and forestall a wider economic unraveling.
Amid the volatility, equity markets displayed surprising resilience. Market
fundamentals generally held firm, dividend payouts and share buybacks continued,
and valuations remained attractive. To some extent, the credit turmoil dampened
corporate merger-and-acquisition (M&A) activity, a key source of strength for
equity markets, but 2007 remained a record year for global M&A nonetheless. As
the returns indicate, the most recent six months were more trying, reflecting
the slowing U.S. economy, a troubled housing market and a more difficult
corporate earnings backdrop. Overall, large cap stocks outperformed small caps
as investors grew increasingly risk averse. International markets fared better
than their U.S. counterparts, benefiting from generally stronger economies.
In fixed income markets, mixed economic signals and subprime fallout resulted in
a flight to quality. Investors shunned bonds associated with the housing and
credit markets in favor of higher-quality Treasury issues. The yield on 10-year
Treasury issues, which touched 5.30% in June (its highest level in five years),
fell to 4.04% by year-end, while prices correspondingly rose. The tax-exempt
bond market waffled amid the economic uncertainty and concerns around the credit
worthiness of bond insurers, but set a new-issuance record in 2007. A drop in
municipal bond prices created buying opportunities, and the heightened supply
was generally well absorbed.
As you navigate the uncertainties inherent in the financial markets, we
encourage you to start the year by reviewing your investment goals with your
financial professional and making portfolio changes, as needed. For more
reflection on 2007 and our 10 predictions for 2008, please ask your financial
professional for a copy of "What's Ahead in 2008: An Investment Perspective," or
view it online at www.blackrock.com/funds. As always, we thank you for
entrusting BlackRock with your investment assets, and we look forward to
continuing to serve you in the new year and beyond.
Sincerely,
/s/ Rob Kapito
Rob Kapito
President, BlackRock Advisors, LLC
3
THIS PAGE NOT PART OF YOUR FUND REPORT
Fund Summary
Portfolio Management Commentary
How did the Fund perform?
o During the fiscal year ended December 31, 2007, BlackRock Small Cap Index
Fund generated returns that were comparable, before fees and expenses, to
that of the benchmark Russell 2000 Index, a market-weighted index
comprised of approximately 2,000 common stocks issued by
small-capitalization U.S. companies in various industrial sectors.
Returns, after fees and expenses, for the Fund's respective share classes
trailed the benchmark approximately by the amount of such classes'
individual share-class fees and expenses.
Describe the market environment.
o Equity markets performed quite well in 2007. It was a year of intense
market volatility, but still one that resulted in decent gains for most
asset classes. Global equity markets benefited from a strong first half,
which, generally, helped to generate positive performance for the year as
a whole. The Dow Jones Industrial Average registered a total return of
+8.88%, and the Nasdaq Composite posted an impressive +9.81% return for
the year, amid strong performance in the technology sector. Larger-cap
stocks noticeably outperformed over the period, as the S&P 500 Index
advanced 5.49%, while our small-cap benchmark returned -1.57%. Among small
caps, the growth style of investing significantly outperformed value, with
the Russell 2000 Growth Index returning +7.05% versus the -9.78% return of
the Russell 2000 Value Index.
o The annual period began much like 2006 ended, with some slowing in U.S.
economic growth, a Federal Reserve Board (the "Fed") that remained on hold
and a generally positive investment environment. In the first half of
2007, solid earnings growth and continued high levels of
merger-and-acquisition activity allowed equities to move almost inexorably
upward.
o The following six months were vastly different, however. The benign
fundamentals that dominated from 2003 to 2006 -- namely, strong global
growth, rising profitability levels and falling risk premiums -- were
replaced by credit stress, pressures on the capital position of the
financial system, question marks about the sustainability of the business
cycle and rising food and energy prices. Reflecting these woes, U.S.
government bond yields plummeted, the dollar's decline intensified,
equities became volatile and trendless, and the Fed's focus shifted from
inflation fighting to providing liquidity and reducing short-term interest
rates. Beginning in September, the Fed lowered the target federal funds
rate by 100 basis points (1.00%), from 5.25% to 4.25%.
Describe recent portfolio activity.
o Throughout the period, as changes were made to the composition of the
Russell 2000 Index, the portfolio purchased and sold securities to
maintain its objective of replicating the risks and return of the
benchmark.
Describe Fund positioning at period-end.
o In keeping with its investment objective, the Fund remains positioned to
match the risk characteristics of its benchmark, irrespective of the
market's future direction.
Expense Example
Actual Hypothetical**
---------------------------------------------------- ----------------------------------------------------
Beginning Ending Beginning Ending
Account Value Account Value Expenses Paid Account Value Account Value Expenses Paid
July 1, 2007 Dec. 31, 2007 During the Period* July 1, 2007 Dec. 31, 2007 During the Period*
- ----------------------------------------------------------------------------------------------------------------------------------
Institutional ....... $1,000 $921.30 $2.34 $1,000 $1,022.87 $2.46
Investor A .......... $1,000 $920.50 $3.60 $1,000 $1,021.55 $3.79
- ----------------------------------------------------------------------------------------------------------------------------------
* For each class of the Fund, expenses are equal to the annualized expense
ratio for the class (.48% for Institutional and .74% for Investor A),
multiplied by the average account value over the period, multiplied by
185/365 (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 portfolio 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.
See "Disclosure of Expenses" on page 6 for further information on how
expenses were calculated.
4 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Total Return Based on a $10,000 Investment
A line graph depicting the growth of an investment in the Fund's Institutional
Shares and Investor A Shares compared to growth of an investment in the Russell
2000(R) Index. Values are from December 1997 to December 2007.
Institutional Investor A Russell 2000(R)
Shares*+ Shares*+ Index++
12/97 $10,000 $10,000 $10,000
12/98 $9,686 $9,659 $9,745
12/99 $11,699 $11,634 $11,817
12/00 $11,417 $11,336 $11,460
12/01 $11,632 $11,514 $11,745
12/02 $9,234 $9,126 $9,339
12/03 $13,512 $13,310 $13,752
12/04 $15,884 $15,611 $16,273
12/05 $16,544 $16,216 $17,014
12/06 $19,438 $18,997 $20,139
12/07 $19,066 $18,594 $19,824
* Assuming transaction costs, if any, and other operating expenses,
including advisory fees.
+ The Fund invests all of its assets in Master Small Cap Index Series of
Quantitative Master Series LLC. 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.
Russell 2000 is a registered trademark of the Frank Russell Companies.
Performance Summary for the Year Ended December 31, 2007
Average Annual Total Returns*
6-Month --------------------------------------------------------------------
Total Returns 1 Year 5 Years 10 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional -7.87% -1.91% +15.60% +6.67%
Investor A -7.95 -2.12 +15.30 +6.40
Russell 2000 Index -7.53 -1.57 +16.25 +7.08
- ------------------------------------------------------------------------------------------------------------------------------------
* See "About Fund Performance" on page 6 for a detailed description of share
classes, including any related fees.
Past performance is not indicative of future results.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 5
About Fund Performance
o Institutional Shares are not subject to any sales charge. Institutional
Shares bear no ongoing distribution or service fees and are available only
to eligible investors.
o Investor A Shares are not subject to any sales charge and bear no ongoing
distribution fee. Investor A Shares are subject to an ongoing service fee
of .25% per year.
Performance information reflects past performance and does not guarantee
future results. Current performance may be lower or higher than the
performance data quoted. Refer to www.blackrock.com/funds 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. Figures shown in the
performance tables on page 5 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 service and transfer agency fees applicable to each
class, which are deducted from the income available to be paid to
shareholders.
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 expense example on page 4 (which is
based on a hypothetical investment of $1,000 invested on July 1, 2007 and held
through December 31, 2007) 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 table 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 corresponding to their share class under the
heading entitled "Expenses Paid During the Period."
The table also 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 hypothetical 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.
6 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Statement of Assets and Liabilities BlackRock Small Cap Index Fund
As of December 31, 2007
==================================================================================================================================
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investment in Master Small Cap Index Series (the "Series"), at value
(identified cost -- $91,435,273) $ 113,748,942
Prepaid expenses .............................................................................. 14,707
-------------
Total assets .................................................................................. 113,763,649
-------------
==================================================================================================================================
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Payables:
Administrator ............................................................................. $ 29,724
Distributor ............................................................................... 10,160
Other affiliates .......................................................................... 1,679 41,563
-------------
Accrued expenses and other liabilities ........................................................ 32,700
-------------
Total liabilities ............................................................................. 74,263
-------------
Net Assets
Net Assets .................................................................................... $ 113,689,386
=============
==================================================================================================================================
Net Assets Consist of
- ----------------------------------------------------------------------------------------------------------------------------------
Institutional Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ......... $ 479
Investor A Shares of Common Stock, $.0001 par value, 125,000,000 shares authorized ............ 345
Paid-in capital in excess of par .............................................................. 93,321,042
Undistributed investment income -- net ........................................................ 107,530
Accumulated distributions in excess of realized capital gains allocated from the Series -- net (2,053,679)
Unrealized appreciation allocated from the Series -- net ...................................... 22,313,669
-------------
Net assets .................................................................................... $ 113,689,386
=============
==================================================================================================================================
Net Asset Value
- ----------------------------------------------------------------------------------------------------------------------------------
Institutional -- Based on net assets of $66,084,665 and 4,790,802 shares outstanding .......... $ 13.79
=============
Investor A -- Based on net assets of $47,604,721 and 3,452,515 shares outstanding ............. $ 13.79
=============
See Notes to Financial Statements.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 7
Statement of Operations BlackRock Small Cap Index Fund
For the Year Ended December 31, 2007
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Net investment income allocated from the Series:
Dividends ...................................................................................... $ 1,451,067
Interest from affiliates ....................................................................... 660,500
Securities lending -- net ...................................................................... 166,067
Expenses ....................................................................................... (78,674)
------------
Total income ....................................................................................... 2,198,960
------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Administration fees ................................................................................ $ 385,561
Service fees -- Investor A ......................................................................... 132,063
Printing and shareholder reports ................................................................... 56,091
Transfer agent fees -- Institutional ............................................................... 47,821
Transfer agent fees -- Investor A .................................................................. 33,602
Registration fees .................................................................................. 24,992
Directors' fees and expenses ....................................................................... 2,578
Professional fees .................................................................................. 1,899
Other .............................................................................................. 6,816
-----------
Total expenses ..................................................................................... 691,423
------------
Investment income -- net ........................................................................... 1,507,537
------------
===================================================================================================================================
Realized & Unrealized Gain (Loss) Allocated from the Series -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain on investments and financial futures contracts -- net 8,019,469
Change in unrealized appreciation/depreciation on investments and financial futures contracts -- net (11,614,283)
------------
Total realized and unrealized loss -- net .......................................................... (3,594,814)
------------
Net Decrease in Net Assets Resulting from Operations ............................................... $ (2,087,277)
============
See Notes to Financial Statements.
8 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Statements of Changes in Net Assets BlackRock Small Cap Index Fund
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ....................................................................... $ 1,507,537 $ 1,249,200
Realized gain -- net ........................................................................... 8,019,469 9,872,452
Change in unrealized appreciation/depreciation -- net .......................................... (11,614,283) 8,107,418
-------------------------------
Net increase (decrease) in net assets resulting from operations ................................ (2,087,277) 19,229,070
-------------------------------
===================================================================================================================================
Dividends & Distributions to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net:
Institutional .............................................................................. (954,343) (812,899)
Investor A ................................................................................. (496,834) (434,263)
Realized gain -- net:
Institutional .............................................................................. (5,755,647) (5,755,828)
Investor A ................................................................................. (3,798,883) (3,998,610)
-------------------------------
Net decrease in net assets resulting from dividends and distributions to shareholders .......... (11,005,707) (11,001,600)
-------------------------------
===================================================================================================================================
Capital Share Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets derived from capital share transactions .................. (6,333,341) 12,320,460
-------------------------------
===================================================================================================================================
Redemption Fee
- -----------------------------------------------------------------------------------------------------------------------------------
Redemption fee ................................................................................. 971 108
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets ........................................................ (19,425,354) 20,548,038
Beginning of year .............................................................................. 133,114,740 112,566,702
-------------------------------
End of year* ................................................................................... $ 113,689,386 $ 133,114,740
===============================
* Undistributed investment income -- net ................................................... $ 107,530 $ 51,170
===============================
See Notes to Financial Statements.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 9
Financial Highlights BlackRock Small Cap Index Fund
Institutional
----------------------------------------------------------------
The following per share data For the Year Ended
and ratios have been derived December 31,
from information provided in ----------------------------------------------------------------
the financial statements. 2007 2006 2005 2004 2003
==============================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ....... $ 15.48 $ 14.36 $ 14.10 $ 12.06 $ 8.28
----------------------------------------------------------------
Investment income -- net** ............... .20 .17 .10 .08 .06
Realized and unrealized gain (loss) -- net (.50)* 2.34* .49* 2.04* 3.77
----------------------------------------------------------------
Total from investment operations ......... (.30) 2.51 .59 2.12 3.83
----------------------------------------------------------------
Less dividends and distributions from:
Investment income -- net ............. (.20) (.17) (.11) (.08) (.05)
Realized gain -- net ................. (1.19) (1.22) (.22) -- --
----------------------------------------------------------------
Total dividends and distributions ........ (1.39) (1.39) (.33) (.08) (.05)
----------------------------------------------------------------
Net asset value, end of year ............. $ 13.79 $ 15.48 $ 14.36 $ 14.10 $ 12.06
================================================================
==============================================================================================================
Total Investment Return
- --------------------------------------------------------------------------------------------------------------
Based on net asset value per share ....... (1.91%) 17.49% 4.16% 17.55% 46.32%
================================================================
==============================================================================================================
Ratios to Average Net Assets***
- --------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .................. .48% .49% .53% .56% .60%
================================================================
Expenses ................................. .48% .49% .54% .56% .63%
================================================================
Investment income -- net ................. 1.23% 1.10% .69% .64% .61%
================================================================
==============================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) ... $ 66,085 $ 79,032 $ 63,671 $ 68,024 $ 51,194
================================================================
Portfolio turnover of the Series ......... 26% 40% 37% 38% 29%
================================================================
Investor A
----------------------------------------------------------------
The following per share data For the Year Ended
and ratios have been derived December 31,
from information provided in ----------------------------------------------------------------
the financial statements. 2007 2006 2005 2004 2003
==============================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ....... $ 15.47 $ 14.36 $ 14.10 $ 12.06 $ 8.29
----------------------------------------------------------------
Investment income -- net** ............... .15 .13 .06 .05 .04
Realized and unrealized gain (loss) -- net (.48)* 2.33* .49* 2.03* 3.76
----------------------------------------------------------------
Total from investment operations ......... (.33) 2.46 .55 2.08 3.80
----------------------------------------------------------------
Less dividends and distributions from:
Investment income -- net ............. (.16) (.13) (.07) (.04) (.03)
Realized gain -- net ................. (1.19) (1.22) (.22) -- --
----------------------------------------------------------------
Total dividends and distributions ........ (1.35) (1.35) (.29) (.04) (.03)
----------------------------------------------------------------
Net asset value, end of year ............. $ 13.79 $ 15.47 $ 14.36 $ 14.10 $ 12.06
================================================================
==============================================================================================================
Total Investment Return
- --------------------------------------------------------------------------------------------------------------
Based on net asset value per share ....... (2.12%) 17.14% 3.88% 17.29% 45.85%
================================================================
==============================================================================================================
Ratios to Average Net Assets***
- --------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .................. .73% .74% .79% .81% .85%
================================================================
Expenses ................................. .73% .74% .80% .81% .88%
================================================================
Investment income -- net ................. .98% .84% .43% .38% .36%
================================================================
==============================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) ... $ 47,605 $ 54,083 $ 48,896 $ 56,522 $ 50,280
================================================================
Portfolio turnover of the Series ......... 26% 40% 37% 38% 29%
================================================================
* Includes a redemption fee, which is 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.
10 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements BlackRock Small Cap Index Fund
1. Significant Accounting Policies:
BlackRock Small Cap Index Fund (the "Fund"), a series of BlackRock Index Funds,
Inc. (the "Corporation"), is registered under the Investment Company Act of
1940, as amended, as a non-diversified open-end management investment company.
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 LLC (the "Master LLC"), which has the same investment objective and
strategies as the Fund. Effective June 15, 2007, the Master LLC was converted
from a Delaware statutory trust to a Delaware limited liability company. 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 Summary 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, 2007
was 18.0%. The Fund offers two classes of shares. Institutional and Investor A
Shares 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 Investor A Shares bear
certain expenses related to the shareholder servicing of such shares and have
exclusive voting rights with respect to matters relating to its shareholder
servicing 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) Recent accounting pronouncements -- Effective June 29, 2007, the Fund
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109" ("FIN 48"). FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for
uncertainties in income tax positions taken or expected to be taken by an
entity, including investment companies, before being measured and recognized in
the financial statements. Management has evaluated the application of FIN 48 to
the Fund, and has determined that the adoption of FIN 48 does not have a
material impact on the Fund's financial statements. The Fund files U.S. federal
and various state and local tax returns. No income tax returns are currently
under examination. The statute of limitations on the Fund's U.S. federal tax
returns remains open for the years ended December 31, 2004 through December 31,
2006. The statute of limitations on the Fund's state and local tax returns may
remain open for an additional year depending upon the jurisdiction.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. The impact on the Fund's financial statement disclosures, if any,
is currently being assessed.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. The impact on the Fund's financial
statement disclosures, if any, is currently being assessed.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 11
Notes to Financial Statements (continued) BlackRock Small Cap Index Fund
2. Transactions with Affiliates:
The Corporation has entered into an Administration Agreement with BlackRock
Advisors, LLC (the "Administrator"). 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. The Administrator has
entered into a voluntary arrangement with the Fund under which the expenses
incurred by each class of shares of the Fund (excluding shareholder servicing
fees) will not exceed .60%. This arrangement has a one-year term and is
renewable.
The Corporation has also entered into separate Distribution Agreements and
Distribution Plans with FAM Distributors, Inc. ("FAMD") and BlackRock
Distributors, Inc. and its affiliates ("BDI") (collectively, the "Distributor").
FAMD is a wholly owned subsidiary of Merrill Lynch Group, Inc. and BDI is an
affiliate of BlackRock, Inc. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The
PNC Financial Services Group, Inc. ("PNC") are the principal owners of
BlackRock, Inc.
Pursuant to the Distribution Plans adopted by the Corporation in accordance with
Rule 12b-1 under the Investment Company Act of 1940, the Fund pays the
Distributor an ongoing service fee ("service fees") with respect to Investor A
Shares. The fee is accrued daily and paid monthly at the annual rate of .25%
based upon the average daily net assets of Investor A Shares.
Pursuant to sub-agreements with each Distributor, broker-dealers, including
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a wholly owned
subsidiary of Merrill Lynch, provide shareholder servicing to the Fund. The
ongoing service fee compensates the Distributor and each broker-dealer
(including MLPF&S) for providing shareholder servicing to Investor A
shareholders.
PFPC Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the
Administrator, is the Fund's transfer agent.
Certain officers and/or directors of the Corporation are officers and/or
directors of BlackRock, Inc. or its affiliates.
3. Capital Share Transactions:
Net increase (decrease) in net assets derived from capital share transactions
was $(6,333,341) and $12,320,460 for the years ended December 31, 2007 and
December 31, 2006, respectively.
Transactions in capital shares for each class were as follows:
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .................................. 1,758,158 $ 27,610,915
Shares issued to shareholders in
reinvestment of dividends
and distributions .......................... 461,820 6,415,190
-----------------------------
Total issued ................................. 2,219,978 34,026,105
Shares redeemed .............................. (2,534,096) (39,137,703)
-----------------------------
Net decrease ................................. (314,118) $ (5,111,598)
=============================
- -------------------------------------------------------------------------------
Institutional Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .................................. 2,461,516 $ 38,738,205
Shares issued to shareholders in
reinvestment of dividends
and distributions .......................... 403,543 6,262,248
-----------------------------
Total issued ................................. 2,865,059 45,000,453
Shares redeemed .............................. (2,193,758) (34,056,513)
-----------------------------
Net increase ................................. 671,301 $ 10,943,940
=============================
- -------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2007 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .................................. 518,509 $ 8,099,326
Shares issued to shareholders in
reinvestment of dividends
and distributions .......................... 275,919 3,831,846
-----------------------------
Total issued ................................. 794,428 11,931,172
Shares redeemed .............................. (837,326) (13,152,915)
-----------------------------
Net decrease ................................. (42,898) $ (1,221,743)
=============================
- -------------------------------------------------------------------------------
Investor A Shares for the Year Dollar
Ended December 31, 2006 Shares Amount
- -------------------------------------------------------------------------------
Shares sold .................................. 437,777 $ 6,824,403
Shares issued to shareholders in
reinvestment of dividends
and distributions .......................... 252,023 3,908,408
-----------------------------
Total issued ................................. 689,800 10,732,811
Shares redeemed .............................. (600,508) (9,356,291)
-----------------------------
Net increase ................................. 89,292 $ 1,376,520
=============================
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.
12 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements (concluded) BlackRock Small Cap Index Fund
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal year ended December
31, 2007 and December 31, 2006 was as follows:
- --------------------------------------------------------------------------------
12/31/2007 12/31/2006
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income ................................ $ 3,342,328 $ 1,289,447
Net long-term capital gains .................... 7,663,379 9,712,153
--------------------------
Total taxable distributions ...................... $11,005,707 $11,001,600
==========================
As of December 31, 2007, the components of accumulated earnings on a tax basis
were as follows:
- -------------------------------------------------------------------------------
Undistributed ordinary income -- net ........................... $ 107,530
Undistributed long-term capital gains -- net ................... 208,236
-----------
Total undistributed earnings -- net ............................ 315,766
Unrealized gains -- net ........................................ 20,051,754*
-----------
Total accumulated earnings -- net .............................. $20,367,520
===========
* 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.
Report of Independent Registered Public Accounting Firm
BlackRock Small Cap Index Fund
To the Shareholders and Board of Directors of BlackRock Index Funds, Inc.:
We have audited the accompanying statement of assets and liabilities of
BlackRock Small Cap Index Fund, one of the series constituting BlackRock Index
Funds, Inc. (the "Fund"), as of December 31, 2007, 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
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. as of December 31,
2007, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended, in conformity
with U.S. accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 27, 2008
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 13
Proxy Results
During the six-month period ended December 31, 2007, the shareholders* of
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. voted on the
following proposal, which was approved at a special shareholders' meeting on
September 7, 2007. This proposal was a part of the reorganization of the
Corporation's Board of Directors that took effect on November 1, 2007. A
description of the proposal and number of shares voted are as follows:
- ---------------------------------------------------------------------------------------------------------------------------
Shares Voted Shares Withheld
For From Voting
- ---------------------------------------------------------------------------------------------------------------------------
To elect the Corporation's Board of Directors: David O. Beim 4,089,592 266,483
Richard S. Davis 4,091,044 265,031
Ronald W. Forbes 4,091,044 265,031
Henry Gabbay 4,091,044 265,031
Dr. Matina Horner 4,090,178 265,897
Rodney D. Johnson 4,089,789 266,286
Herbert I. London 4,090,115 265,960
Cynthia A. Montgomery 4,090,178 265,897
Joseph P. Platt, Jr. 4,090,178 265,897
Robert C. Robb, Jr. 4,090,178 265,897
Toby Rosenblatt 4,091,044 265,031
Kenneth L. Urish 4,091,044 265,031
Frederick W. Winter 4,089,726 266,349
- ---------------------------------------------------------------------------------------------------------------------------
* As a feeder fund of Master Small Cap Index Series of Quantitative Master
Series LLC, the shareholders of BlackRock Small Cap Index Fund of
BlackRock Index Funds, Inc. also voted to elect the above-named
individuals as Directors of Master Small Cap Index Series of Quantitative
Master Series LLC.
Important Tax Information
The following information is provided with respect to the ordinary income
distributions paid by BlackRock Small Cap Index Fund of BlackRock Index Funds,
Inc. during the fiscal year ended December 31, 2007:
================================================================================
Record Date July 18, 2007 December 17, 2007
Payable Date July 20, 2007 December 19, 2007
- --------------------------------------------------------------------------------
Qualified Dividend Income for Individuals 51.48%* 37.60%*
- --------------------------------------------------------------------------------
Dividends Qualifying for the Dividends
Received Deduction for Corporations 59.19%* 37.06%*
- --------------------------------------------------------------------------------
Short-Term Capital Gain Dividends
for Non-U.S. Residents 84.60%** 53.49%**
- --------------------------------------------------------------------------------
* The Fund hereby designates the percentage indicated above or the maximum
amount allowable by law.
** Represents the portion of the taxable ordinary income dividends eligible
for exemption from U.S. withholding tax for nonresident aliens and foreign
corporations.
Additionally, the Fund paid long-term capital gain distributions of $.127367 and
$.828768 per share to shareholders of record on July 18, 2007 and December 17,
2007, respectively.
14 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Portfolio Information Master Small Cap Index Series
As of December 31, 2007
Percent of
Ten Largest Equity Holdings Net Assets
- --------------------------------------------------------------------------------
iShares Russell 2000 Index Fund ....................................... 2.0%
Hologic, Inc. ......................................................... 0.6
CF Industries Holdings, Inc. .......................................... 0.4
Exterran Holdings, Inc. ............................................... 0.4
Terra Industries, Inc. ................................................ 0.3
Priceline.com, Inc. ................................................... 0.3
Flir Systems, Inc. .................................................... 0.3
Chipotle Mexican Grill, Inc. Class B .................................. 0.3
Inverness Medical Innovations, Inc. ................................... 0.3
Bucyrus International, Inc. ........................................... 0.3
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Sector Representation Long-Term Investments
- --------------------------------------------------------------------------------
Financial Services .................................................... 22.2%
Consumer Discretionary ................................................ 16.7
Technology ............................................................ 14.0
Health Care ........................................................... 13.6
Materials & Processing ................................................ 9.7
Producer Durables ..................................................... 7.4
Other Energy .......................................................... 5.9
Utilities ............................................................. 4.3
Auto & Transportation ................................................. 3.4
Consumer Staples ...................................................... 2.2
Other ................................................................. 0.4
Integrated Oils ....................................................... 0.2
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percent of
Five Largest Industries Net Assets
- --------------------------------------------------------------------------------
Computer Services Software & Systems .................................. 5.8%
Real Estate Investment Trusts (REITs) ................................. 5.3
Banks: Outside New York City .......................................... 5.1
Services: Commercial .................................................. 3.3
Drugs & Pharmaceuticals ............................................... 3.2
- --------------------------------------------------------------------------------
For Series compliance purposes, the Series' sector and industry
classifications refer to any one or more of the sector and industry
sub-classifications used by one or more widely recognized market indexes,
and/or as defined by Series management. This definition may not apply for
purposes of this report, which may combine sector and industry
sub-classifications for reporting ease.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 15
Summary Schedule of Investments as of December 31, 2007
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, each
investment of any issuer that exceeds 1% of the Series' net assets and
affiliated issues. "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) 441-7762 or on the Securities and Exchange Commission's website at
http://www.sec.gov.
==================================================================================================================================
Shares Percent of
Industry Held Common Stocks Value Net Assets
==================================================================================================================================
Advertising Agencies Other Securities $ 2,728,627 0.4%
- ----------------------------------------------------------------------------------------------------------------------------------
Aerospace Other Securities 4,763,033 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & Ranching Other Securities 419,000 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Air Transport Other Securities 4,495,267 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Aluminum Other Securities 1,302,854 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Auto Parts: After Market Other Securities 643,495 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original Equipment Other Securities 3,254,638 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts Other Securities 710,402 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Banks: New York City Other Securities 543,912 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Banks: Outside New York City Other Securities 32,026,967 5.1
- ----------------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers (Wineries) Other Securities 176,955 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks Other Securities 851,326 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & Production 16,980 Alexion Pharmaceuticals, Inc. (a) 1,274,009 0.2
26,800 OSI Pharmaceuticals, Inc. (a) 1,300,068 0.2
Other Securities 14,041,789 2.2
--------------------------
16,615,866 2.6
- ----------------------------------------------------------------------------------------------------------------------------------
Building Materials Other Securities 3,201,191 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Cement Other Securities 57,276 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Heating & Plumbing Other Securities 383,350 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous Other Securities 1,103,150 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Roofing & Wallboard Other Securities 189,075 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Cable Television Services Other Securities 652,385 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling 24,500 Bally Technologies, Inc. (a) 1,218,140 0.2
Other Securities 2,818,047 0.4
--------------------------
4,036,187 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Chemicals 25,500 CF Industries Holdings, Inc. 2,806,530 0.4
54,300 Hercules, Inc. 1,050,705 0.2
Other Securities 8,542,282 1.4
--------------------------
12,399,517 2.0
- ----------------------------------------------------------------------------------------------------------------------------------
Coal Other Securities 1,367,331 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Commercial Information Services Other Securities 1,011,999 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Communications & Media Other Securities 945,209 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Communications Technology 67,500 Foundry Networks, Inc. (a) 1,182,600 0.2
Other Securities 15,324,146 2.4
--------------------------
16,506,746 2.6
- ----------------------------------------------------------------------------------------------------------------------------------
Computer Services, Software & Systems 36,064 Ansys, Inc. (a) 1,495,213 0.2
16,700 Equinix, Inc. (a)(g) 1,687,869 0.3
18,798 Micros Systems, Inc. (a) 1,318,868 0.2
67,495 Nuance Communications, Inc. (a) 1,260,807 0.2
75,339 SAIC, Inc. (a) 1,515,821 0.2
42,500 Sybase, Inc. (a) 1,108,825 0.2
Other Securities 28,297,111 4.5
--------------------------
36,684,514 5.8
- ----------------------------------------------------------------------------------------------------------------------------------
16 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
==================================================================================================================================
Computer Technology Other Securities $ 5,620,994 0.9%
- ----------------------------------------------------------------------------------------------------------------------------------
Construction Other Securities 1,874,246 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Consumer Electronics Other Securities 5,445,177 0.9
- ----------------------------------------------------------------------------------------------------------------------------------
Consumer Products Other Securities 3,263,801 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Metals & Glass 32,200 AptarGroup, Inc. 1,317,302 0.2
Other Securities 1,884,525 0.3
--------------------------
3,201,827 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: Paper & Plastic Other Securities 386,317 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Copper Other Securities 466,217 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Cosmetics Other Securities 1,107,539 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Services Other Securities 4,261,213 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Materials & Processing 43,862 Hexcel Corp. (a) 1,064,969 0.2
Other Securities 4,554,140 0.7
--------------------------
5,619,109 0.9
- ----------------------------------------------------------------------------------------------------------------------------------
Drug & Grocery Store Chains Other Securities 3,628,904 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals 43,048 BioMarin Pharmaceuticals, Inc. (a) 1,523,899 0.3
37,000 MGI Pharma, Inc. (a) 1,499,610 0.2
24,820 Onyx Pharmaceuticals, Inc. (a) 1,380,488 0.2
35,715 Perrigo Co. 1,250,382 0.2
Other Securities 14,329,127 2.3
--------------------------
19,983,506 3.2
- ----------------------------------------------------------------------------------------------------------------------------------
Education Services 27,800 DeVry, Inc. 1,444,488 0.2
6,720 Strayer Education, Inc. 1,146,298 0.2
Other Securities 1,688,070 0.3
--------------------------
4,278,856 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics Other Securities 1,884,584 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & Components 12,816 Genlyte Group, Inc. (a) 1,220,083 0.2
Other Securities 5,134,991 0.8
--------------------------
6,355,074 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
Electrical: Household Appliance Other Securities 102,687 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics 61,400 Flir Systems, Inc. (a)(g) 1,921,820 0.3
Other Securities 2,874,730 0.5
--------------------------
4,796,550 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, Gauges 13,602 Itron, Inc. (a)(g) 1,305,384 0.2
& Meters Other Securities 580,382 0.1
--------------------------
1,885,766 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Medical Systems 55,720 Hologic, Inc. (a) 3,824,621 0.6
24,864 Illumina, Inc. (a) 1,473,441 0.2
Other Securities 5,069,639 0.8
--------------------------
10,367,701 1.6
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Semi-Conductors/ Other Securities 12,771,830 2.0
Components
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Technology Other Securities 3,139,301 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous Other Securities 4,747,794 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting Services Other Securities 2,159,633 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Entertainment Other Securities 1,870,208 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Fertilizers 43,000 Terra Industries, Inc. (a) 2,053,680 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Finance Companies Other Securities 680,987 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan Other Securities 708,749 0.1
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 17
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
==================================================================================================================================
Financial Data Processing Services Other Securities $ 4,767,287 0.8%
& Systems
- ----------------------------------------------------------------------------------------------------------------------------------
Financial Information Services Other Securities 2,118,294 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous 29,736 Sotheby's Holdings, Inc. Class A 1,132,942 0.2
Other Securities 2,899,541 0.4
--------------------------
4,032,483 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Foods Other Securities 6,911,198 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
Forest Products Other Securities 471,053 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing Services Other Securities 462,527 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & Cemeteries Other Securities 400,714 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Glass Other Securities 239,540 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Gold 211,900 Coeur d'Alene Mines Corp. (a)(g) 1,046,786 0.1
Other Securities 442,016 0.1
--------------------------
1,488,802 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Facilities Other Securities 3,631,051 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Management Services Other Securities 5,523,584 0.9
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Services Other Securities 4,826,867 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Homebuilding Other Securities 674,741 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Hotel/Motel Other Securities 366,094 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Household Furnishings Other Securities 2,524,333 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Identification Control & Filter Devices Other Securities 3,986,459 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Industrial Products Other Securities 143,451 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance: Life Other Securities 2,710,464 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line Other Securities 6,904,069 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance: Property-Casualty 41,000 Aspen Insurance Holdings Ltd. 1,182,440 0.2
Other Securities 9,914,033 1.6
--------------------------
11,096,473 1.8
- ----------------------------------------------------------------------------------------------------------------------------------
Investment Management Companies 39,200 Waddell & Reed Financial, Inc. Class A 1,414,728 0.2
Other Securities 4,408,431 0.7
--------------------------
5,823,159 0.9
- ----------------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & Gemstones Other Securities 1,083,344 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Leisure Time Other Securities 2,802,955 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Machine Tools Other Securities 117,855 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery & Engineering Other Securities 545,286 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural Other Securities 427,351 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & Handling Other Securities 687,744 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Engines Other Securities 718,762 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Industrial/Specialty Other Securities 5,042,725 0.8
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well Equipment & Services 27,972 Exterran Holdings, Inc. (a) 2,288,110 0.4
Other Securities 7,689,714 1.2
--------------------------
9,977,824 1.6
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty 17,400 Bucyrus International, Inc. 1,729,386 0.3
Other Securities 651,526 0.1
--------------------------
2,380,912 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Manufactured Housing Other Securities 502,108 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Manufacturing Other Securities 350,127 0.1
18 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
==================================================================================================================================
Medical & Dental Instruments & Supplies 32,043 Immucor, Inc. (a) $ 1,089,142 0.2%
31,230 Inverness Medical Innovations, Inc. (a) 1,754,501 0.3
12,060 Ventana Medical Systems, Inc. (a) 1,051,994 0.1
Other Securities 15,124,673 2.4
--------------------------
19,020,310 3.0
- ----------------------------------------------------------------------------------------------------------------------------------
Medical Services Other Securities 1,980,529 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Metal Fabricating Other Securities 6,136,545 1.0
- ----------------------------------------------------------------------------------------------------------------------------------
Metals & Minerals Miscellaneous Other Securities 4,650,783 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain Processing Other Securities 49,926 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Business & Other Securities 129,240 0.0
Consumer Discretionary
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer Staples Other Securities 240,445 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Health Care Other Securities 45,510 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Commodities Other Securities 1,028,898 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Processing Other Securities 1,590,450 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer Durables Other Securities 351,812 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Technology Other Securities 1,262,595 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies Other Securities 2,576,879 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Office Furniture & Business Equipment Other Securities 1,895,252 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Offshore Drilling 12,254 Atwood Oceanics, Inc. (a) 1,228,341 0.2
Other Securities 1,055,742 0.2
--------------------------
2,284,083 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers 76,062 PetroHawk Energy Corp. (a) 1,316,633 0.2
19,610 Whiting Petroleum Corp. (a) 1,130,713 0.2
Other Securities 14,525,155 2.3
--------------------------
16,972,501 2.7
- ----------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated Domestic Other Securities 765,919 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated International Other Securities 119,505 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Paints & Coatings Other Securities 1,054,877 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Paper Other Securities 2,526,225 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Photography Other Securities 61,230 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Plastics Other Securities 215,081 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Pollution Control & Environmental Services Other Securities 1,576,172 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Power Transmission Equipment Other Securities 649,572 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Printing & Copying Services Other Securities 1,652,220 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Production Technology Equipment Other Securities 7,204,415 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
Publishing: Miscellaneous Other Securities 1,332,752 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Publishing: Newspapers Other Securities 1,643,523 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Radio & TV Broadcasters Other Securities 1,990,850 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Railroad Equipment Other Securities 1,170,329 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Railroads Other Securities 369,197 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate Other Securities 1,497,879 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REITs) 14,876 Alexandria Real Estate Equities, Inc. 1,512,443 0.2
29,600 Anthracite Capital, Inc. (c)(e) 214,304 0.0
41,859 Nationwide Health Properties, Inc. 1,313,117 0.2
45,300 Realty Income Corp. (g) 1,224,006 0.2
Other Securities 29,429,964 4.7
--------------------------
33,693,834 5.3
- ----------------------------------------------------------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 19
Summary Schedule of Investments (continued) Master Small Cap Index Series
Shares Percent of
Industry Held Common Stocks Value Net Assets
==================================================================================================================================
Recreational Vehicles & Boats Other Securities $ 1,406,916 0.2%
- ----------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Commercial Other Securities 555,968 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: Consumer Other Securities 1,532,664 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Restaurants 14,800 Chipotle Mexican Grill, Inc. Class B (a) 1,821,140 0.3
Other Securities 6,544,740 1.0
--------------------------
8,365,880 1.3
- ----------------------------------------------------------------------------------------------------------------------------------
Retail 17,516 Priceline.com, Inc. (a) 2,011,888 0.3
Other Securities 16,232,956 2.6
--------------------------
18,244,844 2.9
- ----------------------------------------------------------------------------------------------------------------------------------
Savings & Loan Other Securities 6,668,020 1.1
- ----------------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & Suppliers Other Securities 1,155,098 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & Services Other Securities 3,262,926 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Services: Commercial 21,741 FTI Consulting, Inc. (a) 1,340,115 0.2
Other Securities 19,209,518 3.1
--------------------------
20,549,633 3.3
- ----------------------------------------------------------------------------------------------------------------------------------
Shipping Other Securities 4,288,465 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Shoes Other Securities 3,332,108 0.5
- ----------------------------------------------------------------------------------------------------------------------------------
Steel Other Securities 1,851,699 0.3
- ----------------------------------------------------------------------------------------------------------------------------------
Sugar Other Securities 90,096 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Telecommunications Equipment 40,900 Polycom, Inc. (a) 1,136,202 0.2
Other Securities 2,935,316 0.4
--------------------------
4,071,518 0.6
- ----------------------------------------------------------------------------------------------------------------------------------
Textile Products Other Securities 419,767 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Textiles Apparel Manufacturers Other Securities 4,648,888 0.7
- ----------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber Other Securities 807,392 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Tobacco Other Securities 1,334,287 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Toys Other Securities 1,062,116 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Transportation Miscellaneous Other Securities 1,226,959 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Truckers Other Securities 2,326,912 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Cable TV & Radio Other Securities 130,815 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical 19,800 ITC Holdings Corp. 1,117,116 0.2
44,600 Westar Energy, Inc. 1,156,924 0.2
Other Securities 8,104,134 1.3
--------------------------
10,378,174 1.7
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Gas Distributors Other Securities 5,327,629 0.9
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous Other Securities 612,466 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Telecommunications 67,200 Time Warner Telecom, Inc. Class A (a)(g) 1,363,488 0.2
Other Securities 6,470,911 1.0
--------------------------
7,834,399 1.2
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Water Other Securities 1,179,339 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Wholesale & International Trade Other Securities 953,964 0.2
- ----------------------------------------------------------------------------------------------------------------------------------
Wholesalers 52,400 LKQ Corp. (a) 1,101,448 0.2
Other Securities 1,324,150 0.2
--------------------------
2,425,598 0.4
- ----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost -- $525,261,156) 587,256,036 93.2
==================================================================================================================================
Exchange-Traded Funds
==================================================================================================================================
169,590 iShares Russell 2000 Index Fund (g) 12,915,974 2.0
- ----------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds
(Cost -- $12,334,264) 12,915,974 2.0
20 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Summary Schedule of Investments (concluded) Master Small Cap Index Series
Shares Percent of
Industry Held Mutual Funds Value Net Assets
==================================================================================================================================
2,900 BlackRock Kelso Capital Corp. (c) $ 44,312 0.0%
Other Securities 763,142 0.1
- ----------------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds (Cost -- $983,037) 807,454 0.1
==================================================================================================================================
Industry Rights
==================================================================================================================================
Chemicals Other Securities 0 0.0
- ----------------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost -- $0) 0 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
==================================================================================================================================
$33,226,793 BlackRock Liquidity Series,
LLC Cash Sweep Series, 5.04% (c)(f) 33,226,793 5.3
83,808,817 BlackRock Liquidity Series,
LLC Money Market Series, 4.78% (c)(d)(f) 83,808,817 13.3
- ----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost -- $117,035,610) 117,035,610 18.6
==================================================================================================================================
Total Investments (Cost -- $655,614,067*) 718,015,074 113.9
Liabilities in Excess of Other Assets (87,620,790) (13.9)
--------------------------
Net Assets $ 630,394,284 100.0%
==========================
* The cost and unrealized appreciation (depreciation) of investments, as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost ......................................... $ 661,516,435
=============
Gross unrealized appreciation .......................... $ 122,933,165
Gross unrealized depreciation .......................... (66,434,526)
-------------
Net unrealized appreciation ............................ $ 56,498,639
=============
(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:
(d) Security was purchased with the cash proceeds from securities loans.
(e) Security held as collateral in connection with open financial futures
contracts.
(f) Represents the current yield as of December 31, 2007.
(g) 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.
Some securities, or a portion of, in this category are either held as
collateral in connection with open financial futures contracts or are out
on loan.
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, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine industry sub-classifications for reporting ease. Industries are
shown as a percent of net assets. These industry classifications are
unaudited.
o Financial futures contracts purchased as of December 31, 2007, were as
follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
--------------------------------------------------------------------------
74 Russell 2000 Index March 2008 $28,101,735 $469,605
--------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------
Interest/
Purchase Sale Realized Dividend
Affiliate Cost Cost Loss Income
------------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series -- $(75,586,157)** -- $ 3,154,441
BlackRock Liquidity Series, LLC Money Market Series $ 49,642,337* -- -- $ 828,965
Anthracite Capital, Inc. $ 79,398 $ 8,674 $ (719) $ 30,528
BlackRock Kelso Capital Corp. $ 42,004 -- -- $ 946
------------------------------------------------------------------------------------------------------------------------
* Represents net purchase cost.
** Represents net sale cost.
See Notes to Financial Statements.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 21
Statement of Assets and Liabilities Master Small Cap Index Series
As of December 31, 2007
====================================================================================================================================
Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Investments in unaffiliated securities, at value (including securities loaned of $79,098,563)
(identified cost -- $538,209,313) ................................................................. $600,720,848
Investments in affiliated securities, at value (identified cost -- $117,404,754) .................... 117,294,226
Receivables:
Securities sold ................................................................................. $ 3,056,557
Contributions ................................................................................... 2,291,452
Dividends ....................................................................................... 906,596
Securities lending .............................................................................. 86,699 6,341,304
-----------
Prepaid expenses and other assets ................................................................... 22,910
------------
Total assets ........................................................................................ 724,379,288
------------
====================================================================================================================================
Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
Collateral on securities loaned, at value ........................................................... 83,808,817
Bank overdraft ...................................................................................... 70,793
Payables:
Withdrawals ..................................................................................... 7,976,744
Securities purchased ............................................................................ 1,964,209
Variation margin ................................................................................ 62,238
Other affiliates ................................................................................ 5,932
Investment adviser .............................................................................. 579 10,009,702
-----------
Accrued expenses and other liabilities .............................................................. 95,692
------------
Total liabilities ................................................................................... 93,985,004
------------
====================================================================================================================================
Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets .......................................................................................... $630,394,284
============
====================================================================================================================================
Net Assets Consist of
- ------------------------------------------------------------------------------------------------------------------------------------
Investors' capital .................................................................................. $567,523,672
Unrealized appreciation -- net ...................................................................... 62,870,612
------------
Net assets .......................................................................................... $630,394,284
============
See Notes to Financial Statements.
22 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Statement of Operations Master Small Cap Index Series
For the Year Ended December 31, 2007
===================================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends (net of $2,176 foreign withholding tax and $31,474 from affiliates) ................ $ 7,305,905
Interest from affiliates ..................................................................... 3,154,441
Securities lending -- net .................................................................... 828,965
----------------
Total income ................................................................................. 11,289,311
----------------
===================================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------------------
Accounting services .......................................................................... $ 115,617
Professional fees ............................................................................ 109,527
Custodian fees ............................................................................... 72,998
Investment advisory fees ..................................................................... 64,480
Directors' fees and expenses ................................................................. 9,617
Printing and shareholder reports ............................................................. 888
Pricing fees ................................................................................. 120
Other ........................................................................................ 11,536
------------
Total expenses before reimbursement .......................................................... 384,783
Reimbursement of expenses .................................................................... (4,886)
------------
Total expenses after reimbursement ........................................................... 379,897
----------------
Investment income -- net ..................................................................... 10,909,414
----------------
===================================================================================================================================
Realized & Unrealized Gain (Loss) -- Net
- -----------------------------------------------------------------------------------------------------------------------------------
Realized gain (loss) on:
Investments (including $(719) from affiliates) -- net .................................... 24,927,695
Financial futures contracts -- net ....................................................... (3,895,727) 21,031,968
------------
Change in unrealized appreciation/depreciation on:
Investments -- net ....................................................................... (46,314,707)
Financial futures contracts -- net ....................................................... 999,848 (45,314,859)
---------------------------------
Total realized and unrealized loss -- net .................................................... (24,282,891)
----------------
Net Decrease in Net Assets Resulting from Operations ......................................... $ (13,373,477)
================
See Notes to Financial Statements.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 23
Statements of Changes in Net Assets Master Small Cap Index Series
For the Year Ended
December 31,
-------------------------------
Increase (Decrease) in Net Assets: 2007 2006
===================================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ....................................................................... $ 10,909,414 $ 7,477,587
Realized gain -- net ........................................................................... 21,031,968 25,599,413
Change in unrealized appreciation/depreciation -- net .......................................... (45,314,859) 31,237,076
-------------------------------
Net increase (decrease) in net assets resulting from operations ................................ (13,373,477) 64,314,076
-------------------------------
===================================================================================================================================
Capital Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from contributions .................................................................... 443,692,332 555,696,889
Fair value of withdrawals ...................................................................... (361,297,148) (428,783,737)
-------------------------------
Net increase in net assets derived from capital transactions ................................... 82,395,184 126,913,152
-------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets ................................................................... 69,021,707 191,227,228
Beginning of year .............................................................................. 561,372,577 370,145,349
-------------------------------
End of year .................................................................................... $ 630,394,284 $ 561,372,577
===============================
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. 2007 2006 2005 2004 2003
===================================================================================================================================
Total Investment Return
- -----------------------------------------------------------------------------------------------------------------------------------
Total investment return .......................................... (1.46%) 18.13% 4.63% 18.15% 47.11%
=============================================================
===================================================================================================================================
Ratios to Average Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Expenses, net of reimbursement ................................... .06% .07% .07% .08% .09%
=============================================================
Expenses ......................................................... .06% .07% .08% .08% .10%
=============================================================
Investment income -- net ......................................... 1.69% 1.55% 1.17% 1.11% 1.13%
=============================================================
===================================================================================================================================
Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) ........................... $630,394 $561,373 $370,145 $365,661 $335,659
=============================================================
Portfolio turnover ............................................... 26% 40% 37% 38% 29%
=============================================================
See Notes to Financial Statements.
24 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements Master Small Cap Index Series
1. Significant Accounting Policies:
Master Small Cap Index Series (the "Series"), a non-diversified management
investment company, is part of Quantitative Master Series LLC (the "Master
LLC"). The Master LLC is registered under the Investment Company Act of 1940, as
amended, and is organized as a Delaware limited liability company. Prior to June
15, 2007, the Master LLC was organized as a Delaware statutory trust. The
Limited Liability Company Agreement permits the Directors (and prior to June 15,
2007, the Declaration of Trust permitted the Trustees) to issue non-transferable
interests in the Master LLC subject to certain limitations. Throughout this
report the Trust and the Master LLC are referred to as the Master LLC and the
Board of Trustees of the Trust and the Board of Directors of the Master LLC are
referred to as the Board of Directors. The financial statements of the Series
are prepared in conformity with U.S. generally accepted accounting principles,
which may require the use of management accruals and estimates. Actual results
may differ from 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 Global 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 Directors of the Master
LLC. Long positions traded in the over-the-counter ("OTC") market, NASDAQ
Capital Market 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 Directors of the Master LLC. 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.
Effective September 4, 2007, exchange-traded options are valued at the mean
between the last bid and ask prices at the close of the options market in which
the options trade and previously were valued at the last sales price as of close
of options trading on applicable exchanges. Options traded in the OTC market are
valued at the last asked price (options written) and the last bid price (options
purchased). Swap agreements are valued based upon quoted fair valuations 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. Valuation of short-term investment
vehicles is generally based on the net asset value of the underlying investment
vehicle or amortized cost.
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 Directors, including valuations furnished by the pricing services
retained by the Master LLC, which may use a matrix system for valuations. The
procedures of a pricing service and its valuations are reviewed by the officers
of the Master LLC under the general supervision of the Board of Directors. Such
valuations and procedures will be reviewed periodically by the Board of
Directors.
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 will generally be determined as of 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 will be valued
at their fair value as determined in good faith by the Board of Directors or by
BlackRock Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., using a pricing service and/or procedures approved by the Board
of Directors.
(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
due to an unfavorable change in the price of the underlying security or index,
or if the counterparty does not perform under the contract. The counterparty,
for certain instruments, may pledge cash or securities as collateral.
o Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such financial futures contracts.
Financial futures contracts are contracts for delayed delivery of
securities at a specific future date and at a specific price or yield.
Upon entering into a contract, the Series deposits, and maintains as
collateral, such initial margin as required by the exchange on which the
transaction is effected. Pursuant to the contract, the Series agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as variation margin and are recorded by the Series as unrealized gains or
losses. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 25
Notes to Financial Statements (continued) Master Small Cap Index Series
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 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.
(f) Bank overdraft -- The Series recorded a bank overdraft which resulted from
failed trades.
(g) Recent accounting pronouncements -- Effective June 29, 2007, the Master LLC
implemented Financial Accounting Standards Board ("FASB") Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes -- an interpretation of FASB
Statement No. 109" ("FIN 48"). FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for
uncertainties in income tax positions taken or expected to be taken by an
entity, including investment companies, before being measured and recognized in
the financial statements. Management has evaluated the application of FIN 48 to
the Series, and has determined that the adoption of FIN 48 does not have a
material impact on the Series' financial statements. The Series files U.S.
federal and various state and local tax returns. No income tax returns are
currently under examination. The statute of limitations on the Series' U.S.
federal tax returns remains open for the years ended December 31, 2004 through
December 31, 2006. The statute of limitations on the Series' state and local tax
returns may remain open for an additional year depending upon the jurisdiction.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. The impact on the Series' financial statement disclosures, if any,
is currently being assessed.
In addition, in February 2007, Statement of Financial Accounting Standards No.
159, "The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), was issued and is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also elects
to apply the provisions of FAS 157. FAS 159 permits entities to choose to
measure many financial instruments and certain other items at fair value that
are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. The impact on the Series' financial
statement disclosures, if any, is currently being assessed.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Master LLC, on behalf of the Series, has entered into an Investment Advisory
Agreement with the Manager. Merrill Lynch & Co., Inc. ("Merrill Lynch") and The
PNC Financial Services Group, Inc. are the principal owners of BlackRock, Inc.
26 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Notes to Financial Statements (concluded) Master Small Cap Index Series
The Manager is responsible for the management of the Series' investments 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. The Manager 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. For the
year ended December 31, 2007, the Manager earned $64,480, of which $4,886 was
waived.
In addition, the Manager has entered into a sub-advisory agreement with
BlackRock Investment Management, LLC ("BIM"), an affiliate of the Manager, under
which the Manager pays the sub-adviser for services it provides a fee that is a
percentage of the management fee paid by the Series to the Manager.
The Master LLC, on behalf of the Series, has received an exemptive order from
the Securities and Exchange Commission permitting it to lend portfolio
securities to Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a
wholly owned subsidiary of Merrill Lynch, or its affiliates. As of December 31,
2007, the Series loaned securities with a value of $336,134 to MLPF&S or its
affiliates. Pursuant to that order, the Master LLC has retained BIM as the
securities lending agent for a fee based on a share of the returns on investment
of cash collateral. BIM may, on behalf of the Master LLC and the Series, invest
cash collateral received by the Series for such loans, among other things, in a
private investment company managed by the Manager or in registered money market
funds advised by the Manager or its affiliates. For the year ended December 31,
2007, BIM received $251,767 in securities lending agent fees.
Merrill Lynch Trust Co., an indirect, wholly owned subsidiary of Merrill Lynch,
was the Series' custodian. Effective July 17, 2007, State Street Bank and Trust
Co. became the Series' custodian.
For the year ended December 31, 2007, the Series reimbursed the Manager $11,726
for certain accounting services.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended December 31, 2007 were $322,261,614, and $150,670,484.
4. Short-Term Borrowings:
The Master LLC, on behalf of the Series, along with certain other funds managed
by the Manager 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 .06% 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 fund's election, the federal
funds rate plus .35% 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, 2007. On November 21, 2007, the credit agreement was renewed for one year
under substantially the same terms.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 27
Report of Independent Registered Public Accounting Firm Master Small Cap Index
Series
To the Investors and Board of Directors of Quantitative Master Series LLC:
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 LLC (the "Master LLC")
(formerly Quantitative Master Series Trust) as of December 31, 2007, 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 Master LLC'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
Master LLC 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 Master LLC'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, 2007, 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 Quantitative Master Series LLC as of December 31,
2007, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
February 22, 2008
28 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Proxy Results Master Small Cap Index Series
During the six-month period ended December 31, 2007, the holders of interests of
Master Small Cap Index Series of Quantitative Master Series LLC voted on the
following proposal, which was approved at a special meeting on September 7,
2007. This proposal was a part of the reorganization of the Board of Directors
of Quantitative Master Series LLC that took effect on November 1, 2007. A
description of the proposal and number of shares voted for each Director are as
follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Units of Interest Units of Interest
Voted For Withheld From Voting
- ------------------------------------------------------------------------------------------------------------------------------------
To elect the Board of Directors of David O. Beim, Richard S. Davis,
Quantitative Master Series LLC: Ronald W. Forbes, Henry Gabbay,
Dr. Matina Horner, Rodney D.
Johnson, Herbert I. London,
Cynthia A. Montgomery, Joseph P.
Platt, Jr., Robert C. Robb, Jr.,
Toby Rosenblatt, Kenneth L.
Urish and Frederick W. Winter 125,557,799 0
- ------------------------------------------------------------------------------------------------------------------------------------
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 29
Officers and Directors
Number of
BlackRock-
Position(s) Advised
Held with Length of Funds and
Name, Address Fund/ Time Portfolios Public
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years Overseen Directorships
====================================================================================================================================
Non-Interested Directors*
- ------------------------------------------------------------------------------------------------------------------------------------
David O. Beim Director 2007 to Professor of Finance and Economics at the 35 Funds None
40 East 52nd Street present Columbia University Graduate School of 81 Portfolios
New York, NY 10022 Business since 1991; Chairman of Outward
1940 Bound USA from 1997 to 2001; Chairman of
Wave Hill, Inc. from 1990 to 2006; Trustee
of Phillips Exeter Academy from 2002 to
present.
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald W. Forbes Director 2007 to Professor Emeritus of Finance, School of 35 Funds None
40 East 52nd Street and present Business, State University of New York at 81 Portfolios
New York, NY 10022 Co-Chairman Albany since 2000 and Professor thereof from
1940 of the Board 1989 to 2000; International Consultant,
of Directors Urban Institute, Washington, D.C. from 1995
to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Dr. Matina Horner Director 2007 to Executive Vice President of Teachers 35 Funds NSTAR (electric
40 East 52nd Street present Insurance and Annuity Association and 81 Portfolios and gas utility)
New York, NY 10022 College Retirement Equities Fund from 1989
1939 to 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Rodney D. Johnson Director 2007 to President, Fairmount Capital Advisors, Inc. 35 Funds None
40 East 52nd Street and present since 1987; Director, Fox Chase Cancer 81 Portfolios
New York, NY 10022 Co-Chairman Center since 2002; Member of the
1941 of the Board Archdiocesan Investment Committee of the
of Directors Archdiocese of Philadelphia since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Herbert I. London Director 2007 to Professor Emeritus, New York University 35 Funds AIMS Worldwide, Inc.
40 East 52nd Street and present since 2005; John M. Olin Professor of 81 Portfolios (marketing)
New York, NY 10022 Member of Humanities, New York University from 1993 to
1939 the Audit 2005 and Professor thereof from 1980 to
Committee 2005; President, Hudson Institute since 1997
and Trustee thereof since 1980; Dean,
Gallatin Division of New York University
from 1976 to 1993; Distinguished Fellow,
Herman Kahn Chair, Hudson Institute from
1984 to 1985; Chairman of the Board of
Directors of Vigilant Research, Inc. since
2006; Member of the Board of Directors for
Grantham University since 2006; Director of
AIMS Worldwide, Inc. since 2006; Director of
Reflex Security since 2006; Director of
InnoCentive, Inc. since 2006; Director of
Cerego, LLC since 2005; Director, Damon
Corp. from 1991 to 1995; Overseer, Center
for Naval Analyses from 1983 to 1993.
- ------------------------------------------------------------------------------------------------------------------------------------
Cynthia A. Montgomery Director 2007 to Professor, Harvard Business School since 35 Funds Newell Rubbermaid,
40 East 52nd Street present 1989; Associate Professor, J.L. Kellogg 81 Portfolios Inc. (manufacturing)
New York, NY 10022 Graduate School of Management, Northwestern
1952 University from 1985 to 1989; Associate
Professor, Graduate School of Business
Administration, University of Michigan from
1979 to 1985; Director, Harvard Business
School Publishing since 2005; Director,
McLean Hospital since 2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Joseph P. Platt, Jr. Director 2007 to Partner, Amarna Corporation, LLC (private 35 Funds Greenlight Capital
40 East 52nd Street present investment company) since 2002; Director, 81 Portfolios Re, Ltd. (reinsurance
New York, NY 10022 Jones and Brown (Canadian insurance broker) company)
1947 since 1998; Director, Greenlight Capital Re,
Ltd. (reinsurance company) since 2004;
Partner, Amarna Financial Company (private
investment company) since 2005; Director and
Executive Vice President, Johnson and
Higgins (insurance brokerage) from 1990 to
1997.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert C. Robb, Jr. Director 2007 to Partner, Lewis, Eckert, Robb and Company 35 Funds None
40 East 52nd Street present (management and financial consulting firm) 81 Portfolios
New York, NY 10022 since 1981; Trustee, Medical College of
1945 Pennsylvania/Hahnemann University from 1998
to 2002; Trustee, EQK Realty Investors from
1994 to 2000; Director, Tamaqua Cable
Products Company from 1981 to 1998;
Director, Brynwood Partners from 1984 to
1998; Director, The PNC Bank Corp. from 1994
to 1998; Director, Provident National Bank
from 1983 to 1993; Director, Brinks, Inc.
from 1981 to 1986.
----------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in
which they turn 72.
30 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
Officers and Directors (continued)
Number of
BlackRock-
Position(s) Advised
Held with Length of Funds and
Name, Address Fund/ Time Portfolios Public
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years Overseen Directorships
====================================================================================================================================
Non-Interested Directors* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Rosenblatt Director 2007 to President since 1999 and Vice President -- 35 Funds A.P. Pharma, Inc.
40 East 52nd Street and Vice present General Partner since 1990, Founders 81 Portfolios (speciality
New York, NY 10022 Chairman Investments Ltd. (private investments); pharmaceuticals)
1938 of the Director, Forward Management, LLC since
Performance 2007; Trustee, SSR Funds from 1990 to 2005;
Oversight Trustee, Metropolitan Series Funds, Inc.
Committee from 2001 to 2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth L. Urish Director 2007 to Managing Partner, Urish Popeck & Co., LLC 35 Funds None
40 East 52nd Street and present (certified public account- ants and 81 Portfolios
New York, NY 10022 Chairman of consultants) since 1976; External Advisory
1951 the Audit Board, The Pennsylvania State University
Committee Accounting Department since 2001; Trustee,
The Holy Family Foundation since 2001;
President and Trustee, Pittsburgh Catholic
Publishing Associates since 2003; Former
Director, Inter-Tel from 2006 to 2007.
- ------------------------------------------------------------------------------------------------------------------------------------
Frederick W. Winter Director 2007 to Professor and Dean Emeritus of the Joseph M. 35 Funds None
40 East 52nd Street and present Katz School of Business -- University of 81 Portfolios
New York, NY 10022 Member of Pittsburgh since 2005 and Dean thereof from
1945 the Audit 1997 to 2005; Director, Alkon Corporation
Committee (pneumatics) since 1992; Director,
Indotronix International (IT service) since
2004; Director, Tippman Sports (recreation)
since 2005.
----------------------------------------------------------------------------------------------------------
* Directors serve until their resignation, removal or death, or until December 31 of the year in
which they turn 72.
====================================================================================================================================
Interested Directors*
- ------------------------------------------------------------------------------------------------------------------------------------
Richard S. Davis Director 2007 to Managing Director, BlackRock, Inc. since 184 Funds None
40 East 52nd Street present 2005; Chief Executive Officer, State Street 289 Portfolios
New York, NY 10022 Research & Management Company from 2000 to
1945 2005; Chairman of the Board of Trustees,
State Street Research mutual funds ("SSR
Funds") from 2000 to 2005; Senior Vice
President, Metropolitan Life Insurance
Company from 1999 to 2000; Chairman, SSR
Realty from 2000 to 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Henry Gabbay Director 2007 to Consultant, BlackRock, Inc. since 2007; 183 Funds None
40 East 52nd Street present Managing Director, BlackRock, Inc. from 1989 288 Portfolios
New York, NY 10022 to 2007; Chief Administrative Officer,
1947 BlackRock Advisors, LLC from 1998 to 2007;
President of BlackRock Funds and BlackRock
Bond Allocation Target Shares from 2005 to
2007; Treasurer of certain closed-end funds
in the BlackRock Fund complex from 1989 to
2006.
----------------------------------------------------------------------------------------------------------
* Messrs. Davis and Gabbay are both "interested persons," as defined in the Investment Company
Act of 1940, of the Fund/Master LLC based on their positions with BlackRock, Inc. and its
affiliates. Directors serve until their resignation, removal or death, or until December 31 of
the year in which they turn 72.
====================================================================================================================================
Advisory Board Member
- ------------------------------------------------------------------------------------------------------------------------------------
David R. Advisory 2007 Chairman, Wilmerding & Associates, Inc. 35 Funds Chestnut Street
Wilmerding, Jr.* Board (investment advisers) from 1989 to 2005; 81 Portfolios Exchange Fund,
40 East 52nd Street Member Chairman, Coho Partners, Ltd. (investment (open-end
New York, NY 10022 advisers) from 2003 to 2005; Director, investment company)
1935 Beaver Management Corporation.
----------------------------------------------------------------------------------------------------------
* David R. Wilmerding, Jr. resigned from the Advisory Board of the Fund/Master LLC, effective
December 31, 2007.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 31
Officers and Directors (concluded)
Position(s)
Held with Length of
Name, Address Fund/ Time
and Year of Birth Master LLC Served Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund/Master LLC Officers*
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke Fund 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Managing Director of
40 East 52nd Street President present Merrill Lynch Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P.
New York, NY 10022 and Chief ("FAM") in 2006; First Vice President thereof from 1997 to 2005; Treasurer thereof
1960 Executive from 1999 to 2006 and Vice President thereof from 1990 to 1997.
Officer
- ------------------------------------------------------------------------------------------------------------------------------------
Anne F. Ackerley Vice 2007 to Managing Director of BlackRock, Inc. since 2000 and First Vice President and Chief
40 East 52nd Street President present Operating Officer of Mergers and Acquisitions Group from 1997 to 2000; First Vice
New York, NY 10022 President and Chief Operating Officer of Public Finance Group thereof from 1995 to
1962 1997; First Vice President of Emerging Markets Fixed Income Research of Merrill
Lynch & Co., Inc. from 1994 to 1995.
- ------------------------------------------------------------------------------------------------------------------------------------
Neal J. Andrews Chief 2007 to Managing Director of BlackRock, Inc. since 2006; Formerly Senior Vice President and
40 East 52nd Street Financial present Line of Business Head of Fund Accounting and Administration at PFPC Inc. from 1992
New York, NY 10022 Officer to 2006.
1966
- ------------------------------------------------------------------------------------------------------------------------------------
Jay M. Fife Treasurer 2007 to Managing Director of BlackRock, Inc. since 2007 and Director since 2006; Formerly
40 East 52nd Street present Assistant Treasurer of the MLIM/FAM advised funds from 2005 to 2006; Director of
New York, NY 10022 MLIM Fund Services Group from 2001 to 2006.
1970
- ------------------------------------------------------------------------------------------------------------------------------------
Brian P. Kindelan Chief 2007 to Chief Compliance Officer of the Funds since 2007; Managing Director and Senior
40 East 52nd Street Compliance present Counsel thereof since 2005; Director and Senior Counsel of BlackRock
New York, NY 10022 Officer Advisors, Inc. from 2001 to 2004 and Vice President and Senior Counsel thereof from
1959 1998 to 2000; Senior Counsel of The PNC Bank Corp. from 1995 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
Howard Surloff Secretary 2007 to Managing Director of BlackRock, Inc. and General Counsel of U.S. Funds at BlackRock,
40 East 52nd Street present Inc. since 2006; Formerly General Counsel (U.S.) of Goldman Sachs Asset Management,
New York, NY 10022 L.P. from 1993 to 2006.
1965
----------------------------------------------------------------------------------------------------------
* Officers of the Fund/Master LLC serve at the pleasure of the Board of Directors.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors is available in the Fund's LLC's Statement of
Additional Information, which can be obtained without charge by calling (800) 441-7762.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
State Street Bank and
Trust Company
North Quincy, MA 02171
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and
Trust Company
Princeton, NJ 08540
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Sidley Austin LLP
New York, NY 10019
32 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
BlackRock Fund Information
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund
investors and individual clients (collectively, "Clients") and to safeguarding
their non-public personal information. The following information is provided to
help you understand what personal information BlackRock collects, how we protect
that information and why in certain cases we share such information with select
parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you
from different sources, including the following: (i) information we receive from
you or, if applicable, your financial intermediary, on applications, forms or
other documents; (ii) information about your transactions with us, our
affiliates, or others; (iii) information we receive from a consumer reporting
agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any
non-public personal information about its Clients, except as permitted by law or
as is necessary to respond to regulatory requests or to service Client accounts.
These non-affiliated third parties are required to protect the confidentiality
and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that may
be of interest to you. In addition, BlackRock restricts access to non-public
personal information about its Clients to those BlackRock employees with a
legitimate business need for the information. BlackRock maintains physical,
electronic and procedural safeguards that are designed to protect the non-public
personal information of its Clients, including procedures relating to the proper
storage and disposal of such information.
Availability of Additional Information
Electronic copies of most financial reports and prospectuses are available on
the Fund's website or shareholders can sign up for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment
advisers, banks or brokerages may offer this service.
Shareholders Who Hold Accounts Directly with BlackRock:
1) Access the BlackRock website at http://www.blackrock.com/edelivery
2) Select "eDelivery" under the "More Information" section
3) Log into your account
The Fund will mail only one copy of shareholder documents, including
prospectuses, annual and semi-annual reports and proxy statements, to
shareholders with multiple accounts at the same address. This practice is
commonly called "householding" and it is intended to reduce expenses and
eliminate duplicate mailings of shareholder documents. Mailings of your
shareholder documents may be householded indefinitely unless you instruct us
otherwise. If you do not want the mailing of these documents to be combined with
those for other members of your household, please contact the Fund at (800)
441-7762.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 33
BlackRock Fund Information (concluded)
Availability of Additional Information (concluded)
Availability of Proxy Voting Policies and Procedures
The Fund has delegated proxy voting responsibilities to BlackRock and its
affiliates, subject to the general oversight of the Fund's Board of Directors. A
description of the policies and procedures that BlackRock and its affiliates use
to determine how to vote proxies relating to portfolio securities is available
without charge, upon request, on our website at www.blackrock.com, by calling
(800) 441-7762, or on the website of the Securities and Exchange Commission (the
"Commission") at http://www.sec.gov.
Availability of Proxy Voting Record
Information on how proxies relating to the Fund's voting securities were voted
(if any) by BlackRock during the most recent 12-month period ended June 30 is
available, upon request and without charge, on our website at www.blackrock.com,
by calling (800) 441-7762 or on the website of the Commission at
http://www.sec.gov.
Availability of Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and
third quarters of its fiscal year with the Commission on Form N-Q. The Fund's
Forms N-Q are available on the Commission's website at http://www.sec.gov and
may be reviewed and copied at the Commission's Public Reference Room in
Washington, D.C. Information regarding the operation of the Public Reference
Room may be obtained by calling (800) SEC-0330. The Fund's Forms N-Q may also be
obtained upon request, without charge, by calling (800) 441-7762.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 8:00 AM - 6:00 PM EST to get information about your
account balances, recent transactions and share prices. You can also reach us on
the Web at www.blackrock.com/funds.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50
or more automatically deducted from their checking or savings account and
invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and
receive periodic payments of $50 or more from their BlackRock funds, as long as
their account is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover,
Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
34 BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007
A World-Class Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all
investment styles and managed by experts in equity, fixed income and tax-exempt
investing.
Equity Funds
BlackRock All-Cap Global Resources Portfolio
BlackRock Aurora Portfolio
BlackRock Asset Allocation Portfolio+
BlackRock Balanced Capital Fund+
BlackRock Basic Value Fund
BlackRock Capital Appreciation Portfolio
BlackRock Developing Capital Markets Fund
BlackRock Equity Dividend Fund
BlackRock EuroFund
BlackRock Focus Growth Fund
BlackRock Focus Value Fund
BlackRock Fundamental Growth Fund
BlackRock Global Allocation Fund+
BlackRock Global Dynamic Equity Fund
BlackRock Global Financial Services Fund
BlackRock Global Growth Fund
BlackRock Global Opportunities Portfolio
BlackRock Global Resources Portfolio
BlackRock Global Science & Technology Opportunities Portfolio
BlackRock Global SmallCap Fund
BlackRock Healthcare Fund
BlackRock Health Sciences Opportunities Portfolio*
BlackRock Index Equity Portfolio*
BlackRock International Fund
BlackRock International Index Fund
BlackRock International Opportunities Portfolio*
BlackRock International Value Fund
BlackRock Large Cap Core Fund
BlackRock Large Cap Growth Fund
BlackRock Large Cap Value Fund
BlackRock Latin America Fund
BlackRock Mid-Cap Growth Equity Portfolio
BlackRock Mid-Cap Value Equity Portfolio
BlackRock Mid Cap Value Opportunities Fund
BlackRock Natural Resources Trust
BlackRock Pacific Fund
BlackRock Small Cap Core Equity Portfolio
BlackRock Small Cap Growth Equity Portfolio
BlackRock Small Cap Growth Fund II
BlackRock Small Cap Index Fund
BlackRock Small Cap Value Equity Portfolio*
BlackRock Small/Mid-Cap Growth Portfolio
BlackRock S&P 500 Index Fund
BlackRock Technology Fund
BlackRock U.S. Opportunities Portfolio
BlackRock Utilities and Telecommunications Fund
BlackRock Value Opportunities Fund
Fixed Income Funds
BlackRock Commodity Strategies Fund
BlackRock Enhanced Income Portfolio
BlackRock GNMA Portfolio
BlackRock Government Income Portfolio
BlackRock High Income Fund
BlackRock High Yield Bond Portfolio
BlackRock Inflation Protected Bond Portfolio
BlackRock Intermediate Bond Portfolio II
BlackRock Intermediate Government Bond Portfolio
BlackRock International Bond Portfolio
BlackRock Low Duration Bond Portfolio
BlackRock Managed Income Portfolio
BlackRock Short-Term Bond Fund
BlackRock Total Return Fund
BlackRock Total Return Portfolio II
BlackRock World Income Fund
Municipal Bond Funds
BlackRock AMT-Free Municipal Bond Portfolio
BlackRock California Insured Municipal Bond Fund
BlackRock Delaware Municipal Bond Portfolio
BlackRock Florida Municipal Bond Fund
BlackRock High Yield Municipal Fund
BlackRock Intermediate Municipal Fund
BlackRock Kentucky Municipal Bond Portfolio
BlackRock Municipal Insured Fund
BlackRock National Municipal Fund
BlackRock New Jersey Municipal Bond Fund
BlackRock New York Municipal Bond Fund
BlackRock Ohio Municipal Bond Portfolio
BlackRock Pennsylvania Municipal Bond Fund
BlackRock Short-Term Municipal Fund
Target Risk & Target Date Funds
BlackRock Prepared Portfolios
Conservative Prepared Portfolio
Moderate Prepared Portfolio
Growth Prepared Portfolio
Aggressive Growth Prepared Portfolio
BlackRock Lifecycle Prepared Portfolios
Prepared Portfolio 2010
Prepared Portfolio 2015
Prepared Portfolio 2020
Prepared Portfolio 2025
Prepared Portfolio 2030
Prepared Portfolio 2035
Prepared Portfolio 2040
Prepared Portfolio 2045
Prepared Portfolio 2050
* See the prospectus for information on specific limitations on investments
in the fund.
+ Mixed asset fund.
BlackRock mutual funds are distributed by BlackRock Distributors, Inc. and
certain funds are also distributed by FAM Distributors, Inc. You should consider
the investment objectives, risks, charges and expenses of the funds under
consideration carefully before investing. Each fund's prospectus contains this
and other information and is available at www.blackrock.com or by calling
800-882-0052 or from your financial advisor. The prospectus should be read
carefully before investing.
BLACKROCK SMALL CAP INDEX FUND DECEMBER 31, 2007 35
This report is transmitted to shareholders only. It 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 returns 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 1-800-441-7762; (2) at
www.blackrock.com; and (3) on the Securities and Exchange Commission's website
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.blackrock.com and (2) on the Securities
and Exchange Commission's website at http://www.sec.gov.
BlackRock Index Funds, Inc.
100 Bellevue Parkway
Wilmington, DE 19809
BLACKROCK
#Index 3-12/07
Item 2 - Code of Ethics - The registrant (or the "Fund") has adopted a code
of ethics, as of the end of the period covered by this report,
applicable to the registrant's principal executive officer,
principal financial officer and principal accounting officer, or
persons performing similar functions. During the period covered by
this report, there have been no amendments to or waivers granted
under the code of ethics. A copy of the code of ethics is available
without charge at www.blackrock.com.
Item 3 - Audit Committee Financial Expert - The registrant's board of
directors or trustees, as applicable (the "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:
Donald W. Burton (term ended, effective November 1, 2007)
John F. O'Brien (term ended, effective November 1, 2007)
Kenneth L. Urish (term began, effective November 1, 2007)
David H. Walsh (term ended, effective November 1, 2007)
Fred G. Weiss (term ended, effective November 1, 2007)
Under applicable securities laws, a person determined to be an audit
committee financial expert will not be deemed an "expert" for any
purpose, including without limitation for the purposes of Section 11
of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation
or identification as an audit committee financial expert does not
impose on such person any duties, obligations, or liabilities
greater than the duties, obligations, and liabilities imposed on
such person as a member of the audit committee and board of
directors in the absence of such designation or identification.
Item 4 - Principal Accountant Fees and Services
- ----------------------------------------------------------------------------------------------------------------------------------
(a) Audit Fees (b) Audit-Related Fees(1) (c) Tax Fees(2) (d) All Other Fees(3)
- ----------------------------------------------------------------------------------------------------------------------------------
Current Previous Current Previous Current Previous Current Previous
Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal Fiscal Year Fiscal
Entity Name End Year End End Year End End Year End End Year End
- ----------------------------------------------------------------------------------------------------------------------------------
BlackRock Small
Cap Index Fund $6,500 $6,500 $0 $0 $6,100 $6,000 $1,042 $0
- ----------------------------------------------------------------------------------------------------------------------------------
Master Small Cap
Index Series $43,400 $43,400 $0 $24,000 $17,000 $17,000 $0 $0
- ----------------------------------------------------------------------------------------------------------------------------------
1 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.
2 The nature of the services include tax compliance, tax advice and tax
planning.
3 The nature of the services include a review of compliance procedures and
attestation thereto.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
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) None of the services described in each of Items 4(b) through
(d) were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) Affiliates' Aggregate Non-Audit Fees:
--------------------------------------------------------------------
Current Fiscal Previous Fiscal
Entity Name Year End Year End
--------------------------------------------------------------------
BlackRock Small Cap Index Fund $291,642 $3,077,450
--------------------------------------------------------------------
Master Small Cap Index Series $301,500 $3,112,450
--------------------------------------------------------------------
(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 (not including any non-affiliated
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by 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) - $284,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Master Small Cap Index Series
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Advertising Agencies - 0.4% 7,600 DG FastChannel, Inc. (a) $ 194,864
11,700 Greenfield Online, Inc. (a) 170,937
14,600 inVentiv Health, Inc. (a) 452,016
12,200 Marchex, Inc. Class B (i) 132,492
19,770 National CineMedia, Inc. 498,402
22,600 Valassis Communications, Inc. (a) 264,194
46,380 ValueClick, Inc. (a) 1,015,722
---------------
2,728,627
- ----------------------------------------------------------------------------------------------------------------------------------
Aerospace - 0.8% 3,000 AeroVironment, Inc. (a) 72,600
6,400 Argon ST, Inc. (a) 118,784
20,568 Curtiss-Wright Corp. 1,032,514
11,726 Heico Corp. (i) 638,832
6,900 Ladish Co., Inc. (a) 298,011
3,500 MTC Technologies, Inc. (a) 82,250
16,713 Moog, Inc. Class A (a) 765,623
27,735 Orbital Sciences Corp. (a) 680,062
16,334 Teledyne Technologies, Inc. (a) 871,092
4,500 TransDigm Group, Inc. (a) 203,265
---------------
4,763,033
- ----------------------------------------------------------------------------------------------------------------------------------
Agriculture, Fishing & 1,200 Alico, Inc. (i) 43,800
Ranching - 0.1% 6,500 The Andersons, Inc. 291,200
4,000 Cadiz, Inc. (a) 84,000
---------------
419,000
- ----------------------------------------------------------------------------------------------------------------------------------
Air Transport - 0.7% 16,368 AAR Corp. (a)(g) 622,475
23,100 ABX Holdings, Inc. (a) 96,558
39,820 AirTran Holdings, Inc. (a) 285,111
18,398 Alaska Air Group, Inc. (a) 460,134
1,600 Allegiant Travel Co. (a) 51,424
6,500 Atlas Air Worldwide Holdings, Inc. (a) 352,430
9,185 Bristow Group, Inc. (a) 520,330
17,500 ExpressJet Holdings, Inc. (a) 43,400
83,400 JetBlue Airways Corp. (a)(i) 492,060
9,800 Midwest Air Group, Inc. (a) 145,040
7,100 PHI, Inc. (a) 220,242
10,200 Pinnacle Airlines Corp. (a) 155,550
14,700 Republic Airways Holdings, Inc. (a) 287,973
28,400 SkyWest, Inc. 762,540
---------------
4,495,267
- ----------------------------------------------------------------------------------------------------------------------------------
Aluminum - 0.2% 13,692 Century Aluminum Co. (a) 738,546
7,100 Kaiser Aluminum Corp. 564,308
---------------
1,302,854
- ----------------------------------------------------------------------------------------------------------------------------------
Auto Parts: After 10,343 Aftermarket Technology Corp. (a) 281,950
Market - 0.1% 8,450 Commercial Vehicle Group, Inc. (a) 122,525
4,800 Standard Motor Products, Inc. 39,168
10,999 Superior Industries International, Inc. (i) 199,852
---------------
643,495
- ----------------------------------------------------------------------------------------------------------------------------------
Auto Parts: Original 21,100 American Axle & Manufacturing Holdings, Inc. 392,882
Equipment - 0.5% 10,800 Amerigon Inc. (a) 227,448
33,600 ArvinMeritor, Inc. 394,128
47,500 Hayes Lemmerz International, Inc. (a) 217,075
35,680 Lear Corp. (a) 986,909
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
6,900 Noble International Ltd. $ 112,539
3,873 Sauer-Danfoss, Inc. 97,019
3,900 Stoneridge, Inc. (a) 31,356
20,200 Tenneco, Inc. (a) 526,614
61,200 Visteon Corp. (a) 268,668
---------------
3,254,638
- ----------------------------------------------------------------------------------------------------------------------------------
Auto, Trucks & Parts - 0.1% 8,400 Accuride Corp. (a) 66,024
31,900 Force Protection, Inc. (a)(i) 148,973
4,000 Miller Industries, Inc. (a) 54,760
13,394 Modine Manufacturing Co. 221,135
15,400 Spartan Motors, Inc. (i) 117,656
13,245 Wabash National Corp. 101,854
---------------
710,402
- ----------------------------------------------------------------------------------------------------------------------------------
Banks: New York City - 0.1% 6,600 Northfield Bancorp, Inc. (a) 71,412
14,000 Signature Bank (a) 472,500
---------------
543,912
- ----------------------------------------------------------------------------------------------------------------------------------
Banks: Outside 4,684 1st Source Corp. 81,080
New York City - 5.1% 7,480 Abington Bancorp, Inc. 70,312
7,421 Alabama National Bancorp. 577,428
11,718 Amcore Financial, Inc. 265,998
8,350 AmericanWest Bancorp (i) 147,210
5,900 Ameris Bancorp 99,415
2,990 Bancfirst Corp. 128,121
10,600 Banco Latinoamericano de Exportaciones, SA 172,886
6,915 The Bancorp, Inc. (a) 93,076
6,700 Bank of the Ozarks, Inc. 175,540
10,100 BankFinancial Corp. 159,782
8,013 Banner Corp. 230,213
13,600 Beneficial Mutual Bancorp, Inc. (a) 132,192
17,233 Boston Private Financial Holdings, Inc. 466,669
31,365 CVB Financial Corp. 324,314
4,821 Capital City Bank Group, Inc. (i) 136,048
4,800 Capital Corp. of the West 93,264
7,000 Capitol Bancorp Ltd. 140,840
12,025 Cascade Bancorp (i) 167,388
23,944 Cathay General Bancorp 634,276
24,000 Centennial Bank Holdings, Inc. (a) 138,720
5,700 Center Financial Corp. 70,224
14,648 Central Pacific Financial Corp. 270,402
11,748 Chemical Financial Corp. 279,485
20,282 Chittenden Corp. 722,445
35,687 Citizens Banking Corp. 517,818
8,593 City Holding Co. 290,787
6,598 CityBank 147,135
2,400 Clifton Savings Bancorp, Inc. 23,520
10,426 CoBiz Financial, Inc. 155,035
8,541 Columbia Banking System, Inc. 253,924
5,200 Community Bancorp (a) 90,324
14,300 Community Bank System, Inc. 284,141
7,323 Community Trust Bancorp, Inc. 201,602
18,604 Corus Bankshares, Inc. (i) 198,505
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
3,500 Enterprise Financial Services Corp. (i) $ 83,335
39,200 First BanCorp 285,768
4,136 First Bancorp 78,129
13,214 First Busey Corp. (i) 262,430
15,123 First Charter Corp. 451,573
34,840 First Commonwealth Financial Corp. (i) 371,046
11,111 First Community Bancorp, Inc. 458,218
3,694 First Community Bancshares, Inc. 117,802
14,387 First Financial Bancorp 164,012
9,753 First Financial Bankshares, Inc. 367,200
5,744 First Financial Corp. 162,785
7,046 First Merchants Corp. 153,885
21,800 First Midwest Bancorp, Inc. 667,080
3,600 First Regional Bancorp (a) 68,004
2,600 First South Bancorp, Inc. (i) 57,694
11,500 First State Bancorp. 159,850
35,400 FirstMerit Corp. 708,354
14,300 Franklin Bank Corp. (a) 61,633
18,466 Frontier Financial Corp. (i) 342,914
24,764 Glacier Bancorp, Inc. (i) 464,077
5,500 Greene County Bancshares, Inc. 105,600
12,554 Hancock Holding Co. 479,563
19,504 Hanmi Financial Corp. 168,124
14,736 Harleysville National Corp. 214,704
4,300 Heartland Financial USA, Inc. (i) 79,851
4,700 Heritage Commerce Corp. 86,433
3,900 Home Bancshares, Inc. 81,783
7,545 Independent Bank Corp./MA 205,375
13,345 Independent Bank Corp./MI 126,778
10,774 Integra Bank Corp. 152,021
22,010 International Bancshares Corp. 460,889
21,300 Investors Bancorp, Inc. (a) 301,182
10,148 Irwin Financial Corp. 74,588
6,705 Lakeland Bancorp, Inc. 77,711
4,100 Lakeland Financial Corp. 85,690
17,083 MB Financial, Inc. 526,669
7,827 Macatawa Bank Corp. (i) 67,234
6,719 MainSource Financial Group, Inc. 104,548
10,780 Midwest Banc Holdings, Inc. 133,888
15,513 NBT Bancorp, Inc. 354,007
10,900 Nara Bancorp, Inc. 127,203
23,147 National Penn Bancshares, Inc. (i) 350,446
31,395 Old National Bancorp 469,669
5,922 Old Second Bancorp, Inc. 158,650
6,141 Omega Financial Corp. (i) 179,686
11,318 Oriental Financial Group 151,774
22,162 Pacific Capital Bancorp 446,121
5,715 Park National Corp. (i) 368,618
4,110 Peoples Bancorp, Inc. 102,298
6,800 Pinnacle Financial Partners, Inc. (a) 172,856
8,600 Piper Jaffray Cos. (a) 398,352
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
4,550 Preferred Bank $ 118,391
9,496 PrivateBancorp, Inc. (i) 310,044
16,700 Prosperity Bancshares, Inc. 490,813
15,724 Provident Bankshares Corp. 336,336
10,198 Renasant Corp. 219,971
2,954 Republic Bancorp, Inc. Class A 48,830
1,333 Royal Bancshares of Pennsylvania Class A 14,663
11,663 S&T Bancorp, Inc. 322,365
3,263 SCBT Financial Corp. 103,339
15,100 SVB Financial Group (a) 761,040
4,430 SY Bancorp, Inc. 106,054
7,514 Sandy Spring Bancorp, Inc. 209,039
1,403 Santander BanCorp 12,150
8,858 Seacoast Banking Corp. of Florida (i) 91,060
8,200 Security Bank Corp. (i) 74,948
3,800 Sierra Bancorp 94,582
5,400 Simmons First National Corp. Class A 143,100
34,700 The South Financial Group, Inc. 542,361
4,680 Southside Bancshares, Inc. 95,753
8,200 Southwest Bancorp, Inc. 150,306
35,814 Sterling Bancshares, Inc. 399,684
13,302 Sterling Financial Corp. 218,419
4,900 Suffolk Bancorp 150,479
5,270 Sun Bancorp, Inc. (a) 83,161
19,700 Superior Bancorp (a) 105,789
39,756 Susquehanna Bancshares, Inc. 733,097
3,000 Taylor Capital Group, Inc. 61,200
11,961 Texas Capital Bancshares, Inc. (a) 218,288
2,840 Tompkins Trustco, Inc. 110,192
4,978 Trico Bancshares 96,075
36,461 TrustCo Bank Corp. NY (i) 361,693
22,927 Trustmark Corp. 581,429
43,700 UCBH Holdings, Inc. 618,792
13,652 UMB Financial Corp. 523,691
28,780 Umpqua Holdings Corp. 441,485
4,700 Union Bankshares Corp. 99,358
18,000 United Bankshares, Inc. 504,360
19,600 United Community Banks, Inc. 309,680
2,200 United Security Bancshares (i) 33,616
4,550 Univest Corp. of Pennsylvania (i) 96,051
7,554 Virginia Commerce Bancorp (a)(i) 88,608
5,000 Washington Trust Bancorp, Inc. 126,150
11,963 WesBanco, Inc. 246,438
7,600 West Coast Bancorp 140,600
13,083 Westamerica Bancorp. (i) 582,848
9,100 Western Alliance Bancorp (a)(i) 170,807
7,300 Wilshire Bancorp, Inc. 57,305
11,600 Wintrust Financial Corp. 384,308
---------------
32,026,967
- ----------------------------------------------------------------------------------------------------------------------------------
Beverage: Brewers 4,700 Boston Beer Co., Inc. Class A (a) 176,955
(Wineries) - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Beverage: Soft Drinks - 0.1% 2,287 Coca-Cola Bottling Co. Consolidated $ 134,659
1,810 Farmer Bros. Co. 41,612
8,400 Green Mountain Coffee Roasters, Inc. (a) 341,880
12,900 Jones Soda Co. (a)(i) 95,976
3,108 National Beverage Corp. 24,988
7,300 Peet's Coffee & Tea, Inc. (a)(i) 212,211
---------------
851,326
- ----------------------------------------------------------------------------------------------------------------------------------
Biotechnology Research & 7,860 AMAG Pharmaceuticals, Inc. (a) 472,622
Production - 2.6% 15,600 Acadia Pharmaceuticals, Inc. (a) 172,692
10,500 Acorda Therapeutics, Inc. (a) 230,580
11,587 Albany Molecular Research, Inc. (a) 166,621
16,980 Alexion Pharmaceuticals, Inc. (a) 1,274,009
22,200 Allos Therapeutics, Inc. (a) 139,638
16,300 Alnylam Pharmaceuticals, Inc. (a)(i) 474,004
10,300 Altus Pharmaceuticals, Inc. (a) 53,354
22,700 American Oriental Bioengineering, Inc. (a)(i) 251,516
2,900 Amicus Therapeutics, Inc. (a) 31,175
35,800 Applera Corp. - Celera Genomics Group (a)(g) 568,146
34,000 Arena Pharmaceuticals, Inc. (a) 266,220
34,819 Ariad Pharmaceuticals, Inc. (a) 147,981
18,800 Arqule, Inc. (a) 109,040
22,200 Array Biopharma, Inc. (a) 186,924
12,120 ArthroCare Corp. (a)(i) 582,366
1,400 Biodel, Inc. (a) 32,522
12,700 Bionovo, Inc. (a)(i) 21,717
38,424 Cell Genesys, Inc. (a) 88,375
25,867 Cubist Pharmaceuticals, Inc. (a) 530,532
17,500 Cypress Bioscience, Inc. (a) 193,200
11,800 Cytokinetics, Inc. (a) 55,814
41,000 Discovery Laboratories, Inc. (a) 88,150
38,096 Encysive Pharmaceuticals, Inc. (a)(i) 32,382
22,100 Enzon Pharmaceuticals, Inc. (a) 210,613
48,718 Exelixis, Inc. (a) 420,436
40,500 GenVec, Inc. (a) 59,535
5,300 Genomic Health, Inc. (a)(i) 119,992
34,429 Geron Corp. (a)(i) 195,557
26,800 Halozyme Therapeutics, Inc. (a) 190,548
62,600 Human Genome Sciences, Inc. (a) 653,544
6,800 Idenix Pharmaceuticals, Inc. (a)(i) 18,360
18,200 Immunomedics, Inc. (a) 42,224
39,324 Incyte Corp. (a) 395,206
8,500 Integra LifeSciences Holdings Corp. (a) 356,405
14,214 InterMune, Inc. (a) 189,473
6,200 Kendle International, Inc. (a) 303,304
6,200 Kensey Nash Corp. (a) 185,504
20,700 Keryx Biopharmaceuticals, Inc. (a)(i) 173,880
14,700 Kosan Biosciences, Inc. (a) 52,920
21,750 MannKind Corp. (a)(i) 173,130
15,100 Martek Biosciences Corp. (a)(i) 446,658
9,901 Maxygen, Inc. (a) 79,505
10,500 Medivation, Inc. (a) 151,200
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
6,900 Metabolix, Inc. (a) $ 164,220
11,900 Momenta Pharmaceuticals, Inc. (a) 84,966
20,000 Myriad Genetics, Inc. (a) 928,400
26,354 Nabi Biopharmaceuticals (a) 95,138
1,800 Nanosphere, Inc. (a) 25,182
13,200 Nastech Pharmaceutical Co., Inc. (a)(i) 50,160
19,200 Neurocrine Biosciences, Inc. (a)(i) 87,168
8,900 Neurogen Corp. (a) 30,705
7,200 Novacea, Inc. (a) 21,456
26,800 OSI Pharmaceuticals, Inc. (a) 1,300,068
6,500 Omrix Biopharmaceuticals, Inc. (a) 225,810
3,700 Orexigen Therapeutics, Inc. (a) 52,725
4,600 Osiris Therapeutics, Inc. (a)(i) 55,292
8,950 PharmaNet Development Group, Inc. (a) 350,930
14,800 Poniard Pharmaceuticals, Inc. (a)(i) 65,268
12,100 Progenics Pharmaceuticals, Inc. (a) 218,647
5,260 Protalix BioTherapeutics, Inc. (a) 17,884
15,600 Regeneration Technologies, Inc. (a) 135,408
13,070 Rigel Pharmaceuticals, Inc. (a)(i) 331,847
23,428 Savient Pharmaceuticals, Inc. (a) 538,141
23,000 Seattle Genetics, Inc. (a) 262,200
800 Sucampo Pharmaceuticals, Inc. Class A (a) 14,672
2,900 Synta Pharmaceuticals Corp. (a) 19,430
24,932 Telik, Inc. (a)(i) 86,514
12,400 Tercica, Inc. (a)(i) 84,072
13,900 Vanda Pharmaceuticals, Inc. (a) 95,632
32,800 ViroPharma, Inc. (a) 260,432
62,300 XOMA Ltd. (a) 211,197
18,400 ZymoGenetics, Inc. (a) 214,728
---------------
16,615,866
- ----------------------------------------------------------------------------------------------------------------------------------
Building Materials - 0.5% 4,300 Ameron International Corp. 396,245
3,200 BlueLinx Holdings, Inc. (i) 12,576
14,600 Building Material Holding Corp. (i) 80,738
9,712 LSI Industries, Inc. 176,758
9,568 NCI Building Systems, Inc. (a) 275,463
1,300 PGT, Inc. (a) 6,188
15,832 Simpson Manufacturing Co., Inc. (i) 420,973
12,705 Texas Industries, Inc. 890,621
5,209 Trex Co., Inc. (a)(i) 44,329
10,765 Watsco, Inc. 395,721
11,700 Zoltek Cos., Inc. (a)(i) 501,579
---------------
3,201,191
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Cement - 0.0% 17,200 U.S. Concrete, Inc. (a) 57,276
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Heating & 6,850 Aaon, Inc. 135,767
Plumbing - 0.1% 11,300 Interline Brands, Inc. (a) 247,583
---------------
383,350
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Miscellaneous - 0.2% 7,800 Builders FirstSource, Inc. (a)(i) 56,316
17,800 Comfort Systems USA, Inc. 227,484
8,600 Drew Industries, Inc. (a) 235,640
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
16,000 Goodman Global, Inc. (a) $ 392,640
15,347 Griffon Corp. (a) 191,070
---------------
1,103,150
- ----------------------------------------------------------------------------------------------------------------------------------
Building: Roofing & 22,250 Beacon Roofing Supply, Inc. (a)(i) 187,345
Wallboard - 0.0% 200 China Architectural Engineering, Inc. (a) 1,730
---------------
189,075
- ----------------------------------------------------------------------------------------------------------------------------------
Cable Television 193,000 Charter Communications, Inc. Class A (a)(i) 225,810
Services - 0.1% 6,998 Crown Media Holdings, Inc. Class A (a)(i) 45,487
45,694 TiVo, Inc. (a)(i) 381,088
---------------
652,385
- ----------------------------------------------------------------------------------------------------------------------------------
Casinos & Gambling - 0.6% 11,900 Ameristar Casinos, Inc. 327,726
24,500 Bally Technologies, Inc. (a) 1,218,140
3,832 Churchill Downs, Inc. 206,813
7,805 Dover Downs Gaming & Entertainment, Inc. 87,806
6,875 Isle of Capri Casinos, Inc. (a) 94,669
11,200 Lakes Entertainment, Inc. (a) 77,616
11,300 MTR Gaming Group, Inc. (a) 76,727
17,474 Magna Entertainment Corp. Class A (a)(i) 16,950
5,300 Monarch Casino & Resort, Inc. (a) 127,624
13,100 Multimedia Games, Inc. (a)(i) 109,254
26,194 Pinnacle Entertainment, Inc. (a) 617,131
3,900 Riviera Holdings Corp. (a) 120,120
17,500 Shuffle Master, Inc. (a)(i) 209,825
16,500 Trump Entertainment Resorts, Inc. (a)(i) 70,950
18,418 WMS Industries, Inc. (a) 674,836
---------------
4,036,187
- ----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 2.0% 13,506 A. Schulman, Inc. 291,054
7,033 American Vanguard Corp. (i) 122,022
11,456 Arch Chemicals, Inc. 421,008
6,900 Balchem Corp. 154,422
25,500 CF Industries Holdings, Inc. 2,806,530
11,200 Cabot Microelectronics Corp. (a)(i) 402,192
19,401 Calgon Carbon Corp. (a)(i) 308,282
12,485 Cambrex Corp. 104,624
11,100 EnerSys (a) 277,056
17,364 Energy Conversion Devices, Inc. (a)(i) 584,299
31,800 Exide Technologies (a)(i) 254,400
17,537 Georgia Gulf Corp. (i) 116,095
54,300 Hercules, Inc. 1,050,705
10,000 Innophos Holdings, Inc. 148,800
10,400 Innospec, Inc. 178,464
7,700 LSB Industries, Inc. (a)(i) 217,294
10,500 Landec Corp. (a) 140,700
11,741 Medis Technologies Ltd. (a)(i) 181,164
3,134 NL Industries, Inc. 35,822
7,000 NewMarket Corp. 389,830
6,665 Nuco2, Inc. (a) 165,959
13,400 OM Group, Inc. (a) 771,036
39,267 PolyOne Corp. (a) 258,377
6,600 Polypore International, Inc. (a) 115,500
15,200 Rockwood Holdings, Inc. (a) 504,944
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
16,100 Senomyx, Inc. (a) $ 120,589
11,700 ShengdaTech, Inc. (a)(i) 169,065
3,155 Stepan Co. 102,632
9,400 Tronox, Inc. Class A (i) 83,660
6,800 Tronox, Inc. Class B 58,820
23,300 UAP Holding Corp. 899,380
31,300 W.R. Grace & Co. (a) 819,434
10,480 Zep, Inc. (a) 145,358
---------------
12,399,517
- ----------------------------------------------------------------------------------------------------------------------------------
Coal - 0.2% 30,200 Alpha Natural Resources, Inc. (a) 980,896
54,400 International Coal Group, Inc. (a)(i) 291,584
8,100 US BioEnergy Corp. (a) 94,851
---------------
1,367,331
- ----------------------------------------------------------------------------------------------------------------------------------
Commercial Information 12,258 Arbitron, Inc. 509,565
Services - 0.2% 2,600 HSW International, Inc. (a) 16,198
12,061 infoUSA, Inc. 107,705
13,100 LECG Corp. (a) 197,286
12,900 LoopNet, Inc. (a)(i) 181,245
---------------
1,011,999
- ----------------------------------------------------------------------------------------------------------------------------------
Communications & 32,900 Entravision Communications Corp. Class A (a) 257,607
Media - 0.1% 116,800 Gemstar-TV Guide International, Inc. (a) 555,968
10,300 Knology, Inc. (a) 131,634
---------------
945,209
- ----------------------------------------------------------------------------------------------------------------------------------
Communications 173,300 3Com Corp. (a) 783,316
Technology - 2.6% 10,700 Acme Packet, Inc. (a) 134,713
27,600 Adtran, Inc. 590,088
8,922 Anaren, Inc. (a) 147,124
13,672 Anixter International, Inc. (a) 851,355
4,300 Aruba Networks, Inc. (a) 64,113
25,700 Atheros Communications, Inc. (a) 784,878
93,500 Avanex Corp. (a)(i) 93,500
23,650 Avocent Corp. (a) 551,281
5,159 Bel Fuse, Inc. 151,004
6,600 BigBand Networks, Inc. (a) 33,924
8,588 Black Box Corp. 310,628
1,800 CPI International, Inc. (a) 30,780
18,100 CSG Systems International, Inc. (a) 266,432
9,100 Cbeyond Communications, Inc. (a) 354,809
23,300 Cogent Communications Group, Inc. (a) 552,443
9,400 Comtech Group, Inc. (a) 151,434
10,825 Comtech Telecommunications Corp. (a) 584,658
8 CycleLogic, Inc. 0
9,700 Digi International, Inc. (a) 137,643
13,900 Ditech Networks, Inc. (a) 48,233
7,400 EMS Technologies, Inc. (a) 223,776
14,313 Echelon Corp. (a)(i) 295,420
56,200 Extreme Networks, Inc. (a) 198,948
111,100 Finisar Corp. (a)(i) 161,095
67,500 Foundry Networks, Inc. (a) 1,182,600
8,300 GeoEye, Inc. (a) 279,295
40,896 Harmonic, Inc. (a) 428,590
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
10,050 Harris Stratex Networks, Inc. Class A (a) $ 167,835
2,400 Hughes Communications, Inc. (a) 131,064
6,100 Infinera Corp. (a) 90,524
21,900 InterDigital, Inc. (a) 510,927
18,500 InterVoice, Inc. (a) 147,815
17,029 Ixia (a) 161,435
23,100 j2 Global Communications, Inc. (a) 489,027
4,500 Loral Space & Communications Ltd. (a) 154,125
16,200 NETGEAR, Inc. (a) 577,854
10,000 Network Equipment Technologies, Inc. (a) 84,200
9,800 Nextwave Wireless, Inc. (a) 52,724
14,600 Novatel Wireless, Inc. (a) 236,520
10,702 Oplink Communications, Inc. (a) 164,276
7,900 Optium Corp. (a)(i) 62,252
10,900 SeaChange International, Inc. (a) 78,807
22,138 Secure Computing Corp. (a) 212,525
2,600 Shoretel, Inc. (a) 36,322
124,400 Sonus Networks, Inc. (a)(i) 725,252
10,910 Standard Microsystems Corp. (a) 426,254
6,300 Starent Networks Corp. (a) 114,975
6,200 Switch and Data Facilities Co., Inc. (a) 99,324
87,300 Sycamore Networks, Inc. (a) 335,232
13,100 Syniverse Holdings, Inc. (a) 204,098
88,900 TIBCO Software, Inc. (a) 717,423
28,900 Tekelec (a) 361,250
25,830 Terremark Worldwide, Inc. (a)(i) 167,895
50,900 UTStarcom, Inc. (a)(i) 139,975
11,401 Viasat, Inc. (a) 392,536
31,400 Vonage Holdings Corp. (a)(i) 72,220
---------------
16,506,746
- ----------------------------------------------------------------------------------------------------------------------------------
Computer Services 1,700 3PAR, Inc. (a) 21,760
Software & Systems - 5.8% 17,485 ACI Worldwide, Inc. (a) 332,914
28,700 Actuate Corp. (a) 222,999
14,100 American Reprographics Co. (a) 232,368
8,100 Ansoft Corp. (a) 209,385
36,064 Ansys, Inc. (a) 1,495,213
36,680 Ariba, Inc. (a) 408,982
60,400 Art Technology Group, Inc. (a) 260,928
15,000 AsiaInfo Holdings, Inc. (a) 165,000
38,988 Aspen Technology, Inc. (a) 632,385
95,100 BearingPoint, Inc. (a) 269,133
20,626 Blackbaud, Inc. 578,353
13,400 Blackboard, Inc. (a) 539,350
1,900 BladeLogic, Inc. (a) 56,183
14,400 Blue Coat Systems, Inc. (a) 473,328
35,767 Borland Software Corp. (a) 107,658
10,500 Bottomline Technologies, Inc. (a) 147,000
14,400 CACI International, Inc. Class A (a) 644,688
22,880 CMGI, Inc. (a) 299,499
8,500 COMSYS IT Partners, Inc. (a) 134,130
16,240 Chordiant Software, Inc. (a) 138,852
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
23,602 Ciber, Inc. (a) $ 144,208
2,100 ComScore, Inc. (a) 68,523
17,000 Commvault Systems, Inc. (a) 360,060
1,500 Compellent Technologies, Inc. (a) 18,045
2,900 Comverge, Inc. (a) 91,321
20,000 Concur Technologies, Inc. (a) 724,200
2,400 Constant Contact, Inc. (a) 51,600
16,700 DealerTrack Holdings, Inc. (a) 558,949
2,500 Deltek, Inc. 38,075
19,100 Digital River, Inc. (a) 631,637
11,100 DivX, Inc. (a)(i) 155,400
4,100 Double-Take Software, Inc. (a) 89,052
12,917 EPIQ Systems, Inc. (a) 224,885
26,639 Electronics for Imaging, Inc. (a) 598,845
27,400 Epicor Software Corp. (a) 322,772
16,700 Equinix, Inc. (a)(i) 1,687,869
32,279 Gartner, Inc. Class A (a) 566,819
7,500 i2 Technologies, Inc. (a)(i) 94,500
7,400 iGate Corp. (a) 62,678
3,800 Imergent, Inc. (i) 40,242
40,900 Informatica Corp. (a) 737,018
15,400 Information Services Group, Inc. (a)(i) 105,490
3,191 Integral Systems, Inc. 74,223
6,200 Interactive Intelligence, Inc. (a) 163,370
15,900 Internet Capital Group, Inc. (a) 186,666
20,625 Interwoven, Inc. (a) 293,288
12,108 JDA Software Group, Inc. (a) 247,730
11,900 Kenexa Corp. (a) 231,098
5,000 Keynote Systems, Inc. (a) 70,250
57,800 Lawson Software, Inc. (a) 591,872
5,700 Limelight Networks, Inc. (a) 39,273
29,500 Lionbridge Technologies, Inc. (a) 104,725
14,900 LivePerson, Inc. (a) 79,417
19,200 MSC.Software Corp. (a) 249,408
22,800 Macrovision Corp. (a) 417,924
19,700 Magma Design Automation, Inc. (a) 240,537
12,739 Manhattan Associates, Inc. (a) 335,800
9,200 Mantech International Corp. Class A (a) 403,144
41,900 Mentor Graphics Corp. (a) 451,682
7,100 Mercadolibre, Inc. (a) 524,548
10,856 Mercury Computer Systems, Inc. (a) 174,890
4,100 MicroStrategy, Inc. Class A (a) 389,910
18,798 Micros Systems, Inc. (a) 1,318,868
3,500 Monotype Imaging Holdings, Inc. (a) 53,095
14,900 Ness Technologies, Inc. (a) 137,527
3,200 Netezza Corp. (a) 44,160
67,495 Nuance Communications, Inc. (a) 1,260,807
16,000 Omniture, Inc. (a) 532,640
65,500 On2 Technologies, Inc. (a)(i) 66,810
28,400 OpenTV Corp. (a)(i) 37,488
42,733 Openwave Systems, Inc. (i) 111,106
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
11,100 PDF Solutions, Inc. (a) $ 100,011
2,400 PROS Holdings, Inc. (a) 47,088
18,907 Packeteer, Inc. (a) 116,467
53,460 Parametric Technology Corp. (a) 954,261
3,900 Pegasystems, Inc. 46,527
19,008 Progress Software Corp. (a) 640,189
3,600 QAD, Inc. 33,624
32,000 Quest Software, Inc. (a) 590,080
45,300 RealNetworks, Inc. (a) 275,877
8,600 RightNow Technologies, Inc. (a) 136,310
75,339 SAIC, Inc. (a) 1,515,821
12,880 SAVVIS, Inc. (a) 358,966
5,700 SI International, Inc. (a) 156,579
8,689 SPSS, Inc. (a) 312,022
19,400 SRA International, Inc. Class A (a) 571,330
14,361 SYKES Enterprises, Inc. (a) 258,498
5,900 SYNNEX Corp. (a) 115,640
40,192 Sapient Corp. (a) 354,092
13,200 Sigma Designs, Inc. (a) 728,640
12,700 Smith Micro Software, Inc. (a) 107,569
12,100 Solera Holdings, Inc. (a) 299,838
30,441 SonicWALL, Inc. (a) 326,328
700 Sourcefire, Inc. (a) 5,838
39,700 Sourceforge, Inc. (a) 97,265
2,900 Stanley, Inc. (a) 92,858
2,900 SuccessFactors, Inc. (a) 34,278
42,500 Sybase, Inc. (a) 1,108,825
8,700 Synchronoss Technologies, Inc. (a) 308,328
5,983 Syntel, Inc. 230,465
8,100 Taleo Corp. Class A (a) 241,218
2,200 TechTarget, Inc. (a) 32,516
21,408 The TriZetto Group, Inc. (a) 371,857
16,900 Tyler Technologies, Inc. (a) 217,841
11,700 Ultimate Software Group, Inc. (a) 368,199
2,400 Unica Corp. (a) 22,200
12,500 VASCO Data Security International, Inc. (a) 349,000
200 Veraz Networks, Inc. (a) 964
13,180 Vignette Corp. (a) 192,560
700 Virtusa Corp. (a) 12,131
9,800 Visual Sciences, Inc. (a) 181,104
21,202 Websense, Inc. (a) 360,010
35,200 Wind River Systems, Inc. (a) 314,336
23,208 Zoran Corp. (a) 522,412
---------------
36,684,514
- ----------------------------------------------------------------------------------------------------------------------------------
Computer Technology - 0.9% 56,600 Adaptec, Inc. (a) 191,308
16,800 Advanced Analogic Technologies, Inc. (a) 189,504
18,200 Cray, Inc. (a) 109,018
3,300 Data Domain, Inc. (a) 86,922
39,900 Emulex Corp. (a) 651,168
16,009 FalconStor Software, Inc. (a) 180,261
11,017 Hutchinson Technology, Inc. (a) 289,967
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
16,600 Imation Corp. $ 348,600
14,300 Immersion Corp. (a) 185,185
28,309 Intermec, Inc. (a)(i) 574,956
1,800 Isilon Systems, Inc. (a) 9,144
44,188 Palm, Inc. (i) 280,152
37,900 Perot Systems Corp. Class A (a) 511,650
81,700 Quantum Corp. (a) 219,773
14,500 Rackable Systems, Inc. (a)(i) 145,000
12,600 Radiant Systems, Inc. (a) 217,098
10,942 Radisys Corp. (a) 146,623
4,900 Rimage Corp. (a) 127,155
15,500 STEC, Inc. (a) 135,470
44,600 Safeguard Scientifics, Inc. (a) 80,280
1,800 Silicon Graphics, Inc. (a) 32,904
10,300 Stratasys, Inc. (a) 266,152
11,200 Synaptics, Inc. (a) 460,992
27,700 Trident Microsystems, Inc. (a) 181,712
---------------
5,620,994
- ----------------------------------------------------------------------------------------------------------------------------------
Construction - 0.3% 5,251 Brookfield Homes Corp. (i) 82,966
29,672 EMCOR Group, Inc. (a) 701,149
15,971 Granite Construction, Inc. 577,831
2,700 Great Lakes Dredge & Dock Corp. 23,544
11,800 Perini Corp. (a) 488,756
---------------
1,874,246
- ----------------------------------------------------------------------------------------------------------------------------------
Consumer Electronics - 0.9% 70,700 CNET Networks, Inc. (a) 646,198
8,600 DTS, Inc. (a) 219,902
57,800 EarthLink, Inc. (a) 408,646
200 Glu Mobile, Inc. (a) 1,044
15,600 InfoSpace, Inc. 293,280
23,090 Internap Network Services Corp. (a) 192,340
21,800 Ipass, Inc. (a)(i) 88,508
9,100 LoJack Corp. (a) 152,971
11,274 Midway Games, Inc. (a)(i) 31,116
15,300 NIC, Inc. 129,132
21,900 NetFlix, Inc. (a)(i) 582,978
1,000 Protection One, Inc. (a) 11,890
12,200 Sohu.com, Inc. (a) 665,144
29,537 THQ, Inc. (a) 832,648
31,900 Take-Two Interactive Software, Inc. (a)(i) 588,555
31,350 United Online, Inc. 370,557
6,886 Universal Electronics, Inc. (a) 230,268
---------------
5,445,177
- ----------------------------------------------------------------------------------------------------------------------------------
Consumer Products - 0.5% 23,900 American Greetings Corp. Class A 485,170
12,400 Blyth, Inc. 272,056
3,791 CSS Industries, Inc. 139,130
7,200 Citi Trends, Inc. (a)(i) 111,168
7,100 Mannatech, Inc. (i) 44,872
13,873 Matthews International Corp. Class A 650,228
15,663 Nautilus, Inc. (i) 75,966
9,013 RC2 Corp. (a) 252,995
14,200 Smith & Wesson Holding Corp. (a)(i) 86,620
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
21,100 Spectrum Brands, Inc. (a)(i) $ 112,463
27,574 Tupperware Corp. 910,769
3,300 USANA Health Sciences, Inc. (a)(i) 122,364
---------------
3,263,801
- ----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: 32,200 AptarGroup, Inc. 1,317,302
Metals & Glass - 0.5% 14,750 Greif, Inc. 964,208
17,142 Mobile Mini, Inc. (a) 317,813
11,600 Silgan Holdings, Inc. 602,504
---------------
3,201,827
- ----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging: 2,800 AEP Industries, Inc. (a) 89,628
Paper & Plastic - 0.1% 25,300 Graphic Packaging Corp. (a) 93,357
14,052 Myers Industries, Inc. 203,332
---------------
386,317
- ----------------------------------------------------------------------------------------------------------------------------------
Copper - 0.1% 16,082 Mueller Industries, Inc. 466,217
- ----------------------------------------------------------------------------------------------------------------------------------
Cosmetics - 0.2% 11,593 Elizabeth Arden, Inc. (a) 235,918
14,900 Helen of Troy Ltd. (a) 255,386
2,800 Inter Parfums, Inc. 50,316
23,726 Nu Skin Enterprises, Inc. Class A 389,818
79,475 Revlon, Inc. Class A (a) 93,781
4,800 Ulta Salon Cosmetics & Fragrance, Inc. (a) 82,320
---------------
1,107,539
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial 22,000 Aldabra 2 Acquisition Corp. (a) 214,280
Services - 0.7% 2,700 Clayton Holdings, Inc. (a) 13,959
3,400 Duff & Phelps Corp. (a) 66,912
21,450 Euronet Worldwide, Inc. (a)(i) 643,500
3,200 Evercore Partners, Inc. Class A 68,960
28,400 F.N.B. Corp. (i) 417,480
4,500 FCStone Group, Inc. (a) 207,135
8,000 Greenhill & Co., Inc. (i) 531,840
21,000 Heckmann Corp. (a) 154,350
22,500 Hicks Acquisition Co. I, Inc. (a) 206,775
8,700 Huron Consulting Group, Inc. (a) 701,481
17,400 Interactive Brokers Group, Inc. Class A (a) 562,368
13,900 Marathon Acquisition Corp. (a) 108,142
16,100 NRDC Acquisition Corp. (a) 147,637
3,400 Oritani Financial Corp. (a) 41,820
19,100 Triplecrown Acquisition Corp. (a) 174,574
---------------
4,261,213
- ----------------------------------------------------------------------------------------------------------------------------------
Diversified Materials & 19,260 Acuity Brands, Inc. 866,700
Processing - 0.9% 21,514 Barnes Group, Inc. 718,352
22,294 Brady Corp. 782,296
23,710 Clarcor, Inc. 900,269
43,862 Hexcel Corp. (a) 1,064,969
8,300 Koppers Holdings, Inc. 358,892
34,414 Olin Corp. 665,223
13,345 Tredegar Corp. 214,588
3,000 Valhi, Inc. 47,820
---------------
5,619,109
- ----------------------------------------------------------------------------------------------------------------------------------
Drug & Grocery 432 Arden Group, Inc. Class A 66,826
Store Chains - 0.6% 23,607 Casey's General Stores, Inc. 699,003
9,927 The Great Atlantic & Pacific Tea Co., Inc. (a) 311,013
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
6,364 Ingles Markets, Inc. Class A $ 161,582
15,083 Longs Drug Stores Corp. 708,901
6,577 Nash Finch Co. 232,037
19,169 Ruddick Corp. 664,589
10,800 Spartan Stores, Inc. 246,780
1,000 Village Super Market, Inc. Class A 50,890
5,400 Weis Markets, Inc. 215,676
16,100 Winn-Dixie Stores, Inc. (a) 271,607
---------------
3,628,904
- ----------------------------------------------------------------------------------------------------------------------------------
Drugs & Pharmaceuticals - 3.2% 16,600 Adams Respiratory Therapeutics, Inc. (a) 991,684
1,100 Affymax, Inc. (a) 24,596
27,500 Akorn, Inc. (a) 201,850
6,900 Alexza Pharmaceuticals, Inc. (a) 55,821
46,900 Alkermes, Inc. (a)(g) 731,171
20,325 Alpharma, Inc. Class A (a) 409,549
14,700 Auxilium Pharmaceuticals, Inc. (a) 440,853
16,000 Beijing Med-Pharm Corp. (a)(i) 175,680
7,400 Bentley Pharmaceuticals, Inc. (a) 111,666
2,200 BioForm Medical, Inc. (a) 15,026
43,048 BioMarin Pharmaceuticals, Inc. (a) 1,523,899
5,500 Bradley Pharmaceuticals, Inc. (a) 108,350
28,200 CV Therapeutics, Inc. (a) 255,210
7,900 Cadence Pharmaceuticals, Inc. (a) 117,394
3,600 Caraco Pharmaceutical Laboratories Ltd. (a) 61,740
7,500 Chattem, Inc. (a) 566,550
41,600 CytRx Corp. (a)(i) 117,728
35,200 Dendreon Corp. (a)(i) 218,944
31,000 Durect Corp. (a) 199,330
100 Emergent Biosolutions, Inc. (a) 506
12,695 Enzo Biochem, Inc. (a) 161,734
6,400 GTx, Inc. (a)(i) 91,840
29,000 Indevus Pharmaceuticals, Inc. (a) 201,550
40,489 Isis Pharmaceuticals, Inc. (a)(i) 637,702
22,600 Javelin Pharmaceuticals, Inc. (a) 84,524
4,000 Jazz Pharmaceuticals, Inc. (a) 58,800
16,600 K-V Pharmaceutical Co. Class A (a) 473,764
35,300 Ligand Pharmaceuticals, Inc. Class B 170,499
1,500 MAP Pharmaceuticals, Inc. (a) 26,265
37,000 MGI Pharma, Inc. (a) 1,499,610
58,600 Medarex, Inc. (a) 610,612
24,227 Medicines Co. (a) 464,189
24,400 Medicis Pharmaceutical Corp. Class A 633,668
100 Molecular Insight Pharmaceuticals, Inc. (a) 906
43,200 Nektar Therapeutics (a) 289,872
12,631 Noven Pharmaceuticals, Inc. (a) 175,318
2,800 Obagi Medical Products, Inc. (a) 51,212
24,820 Onyx Pharmaceuticals, Inc. (a) 1,380,488
17,600 Pain Therapeutics, Inc. (a)(i) 186,560
14,500 Par Pharmaceutical Cos., Inc. (a) 348,000
13,600 Penwest Pharmaceuticals Co. (a) 79,560
35,715 Perrigo Co. 1,250,382
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
11,700 Pharmion Corp. (a) $ 735,462
13,300 Pozen, Inc. (a)(i) 159,600
12,500 Quidel Corp. (a) 243,375
29,619 Regeneron Pharmaceuticals, Inc. (a) 715,299
22,700 Salix Pharmaceuticals Ltd. (a)(i) 178,876
31,400 Santarus, Inc. (a) 86,350
16,500 Sciele Pharma, Inc. (a)(i) 337,425
3,200 Sirtris Pharmaceuticals, Inc. (a) 43,808
8,200 Somaxon Pharmaceuticals, Inc. (a)(i) 42,722
26,882 SuperGen, Inc. (a) 98,119
2,000 Trubion Pharmaceuticals, Inc. (a)(i) 20,000
9,246 United Therapeutics Corp. (a) 902,872
44,400 Valeant Pharmaceuticals International (a) 531,468
23,000 Vivus, Inc. (a)(i) 119,140
10,100 Xenoport, Inc. (a) 564,388
---------------
19,983,506
- ----------------------------------------------------------------------------------------------------------------------------------
Education Services - 0.7% 1,900 American Public Education, Inc. (a) 79,382
12,304 Bright Horizons Family Solutions, Inc. (a) 424,980
5,100 Capella Education Co. (a) 333,846
40,400 Corinthian Colleges, Inc. (a) 622,160
27,800 DeVry, Inc. 1,444,488
300 Lincoln Educational Services Corp. (a) 4,416
2,349 Renaissance Learning, Inc. 32,886
6,720 Strayer Education, Inc. 1,146,298
11,200 Universal Technical Institute, Inc. (a) 190,400
---------------
4,278,856
- ----------------------------------------------------------------------------------------------------------------------------------
Electrical & Electronics - 0.3% 32,829 Benchmark Electronics, Inc. (a) 582,058
5,300 Coleman Cable, Inc. (a) 50,085
7,000 OSI Systems, Inc. (a) 185,290
21,598 Plexus Corp. (a) 567,163
20,000 TTM Technologies, Inc. (a) 233,200
12,907 Universal Display Corp. (a)(i) 266,788
---------------
1,884,584
- ----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment & 9,381 A.O. Smith Corp. 328,804
Components - 1.0% 4,600 AZZ Inc. (a) 130,410
18,800 American Superconductor Corp. (a)(i) 513,992
21,401 Baldor Electric Co. 720,357
16,768 CTS Corp. 166,506
11,018 Cohu, Inc. 168,575
9,160 Franklin Electric Co., Inc. (i) 350,553
12,816 Genlyte Group, Inc. (a) 1,220,083
10,760 Littelfuse, Inc. (a) 354,650
23,800 MKS Instruments, Inc. (a) 455,532
3,531 Powell Industries, Inc. (a) 155,611
30,500 Power-One, Inc. (a) 121,695
11,100 Sonic Solutions, Inc. (a) 115,329
29,000 Taser International, Inc. (a)(i) 415,860
17,661 Technitrol, Inc. 504,751
7,679 Triumph Group, Inc. 632,366
---------------
6,355,074
- ----------------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Electrical: Household 1,950 National Presto Industries, Inc. $ 102,687
Appliance - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics - 0.8% 13,063 Agilysys, Inc. 197,512
20,800 Arrowhead Research Corp. (a) 78,624
19,400 Avid Technology, Inc. (a) 549,796
14,898 Daktronics, Inc. (g) 336,248
61,400 Flir Systems, Inc. (a)(i) 1,921,820
11,172 II-VI, Inc. (a) 341,305
63,966 MRV Communications, Inc. (a) 148,401
18,380 Methode Electronics, Inc. 302,167
2,700 Multi-Fineline Electronix, Inc. (a) 46,818
9,549 Park Electrochemical Corp. 269,664
26,900 Semtech Corp. (a) 417,488
5,967 Supertex, Inc. (a) 186,707
---------------
4,796,550
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Instruments, 7,900 Faro Technologies, Inc. (a) 214,722
Gauges & Meters - 0.3% 13,602 Itron, Inc. (a)(i) 1,305,384
5,500 Measurement Specialties, Inc. (a) 121,550
1,900 OYO Geospace Corp. (a) 143,184
8,100 Zygo Corp. (a) 100,926
---------------
1,885,766
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Medical 7,900 Accuray, Inc. (a) 120,238
Systems - 1.6% 30,300 Affymetrix, Inc. (a)(i) 701,142
5,672 Analogic Corp. 384,108
8,500 Aspect Medical Systems, Inc. (a)(i) 119,000
28,387 Bruker BioSciences Corp. (a) 377,547
2,900 Cynosure, Inc. Class A (a) 76,734
5,570 Datascope Corp. 202,748
19,850 eResearch Technology, Inc. (a) 234,627
9,700 Greatbatch, Inc. (a) 193,903
12,372 Haemonetics Corp. (a) 779,683
55,720 Hologic, Inc. (a) 3,824,621
24,864 Illumina, Inc. (a) 1,473,441
17,051 Luminex Corp. (a)(i) 276,908
5,700 Masimo Corp. (a) 224,865
27,600 Minrad International, Inc. (a) 89,700
11,300 Natus Medical, Inc. (a) 218,655
10,800 NxStage Medical, Inc. (a) 163,836
8,100 Quality Systems, Inc. 246,969
7,300 Sirona Dental Systems, Inc. (a)(i) 244,404
5,700 Tomotherapy, Inc. (a) 111,492
6,800 Visicu, Inc. (a) 80,716
8,322 Zoll Medical Corp. (a) 222,364
---------------
10,367,701
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Semi- 31,800 AMIS Holdings, Inc. (a) 318,636
Conductors/Components - 2.0% 11,516 Actel Corp. (a) 157,309
46,100 Amkor Technology, Inc. (a)(g) 393,233
27,700 Anadigics, Inc. (a) 320,489
33,300 Applied Micro Circuits Corp. (a) 291,042
2,200 AuthenTec, Inc. (a) 31,966
3,400 Cavium Networks, Inc. (a) 78,268
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
41,900 Cirrus Logic, Inc. (a) $ 221,232
231,400 Conexant Systems, Inc. (a)(i) 192,062
15,583 DSP Group, Inc. (a) 190,113
14,012 Diodes, Inc. (a) 421,341
21,327 Exar Corp. (a) 169,976
6,273 Excel Technology, Inc. (a) 169,998
22,300 Formfactor, Inc. (a) 738,130
14,700 Genesis Microchip, Inc. (a) 125,979
6,900 Hittite Microwave Corp. (a) 329,544
3,300 IPG Photonics Corp. (a) 65,967
14,493 IXYS Corp. (a) 116,234
56,600 Lattice Semiconductor Corp. (a) 183,950
21,000 MIPS Technologies, Inc. (a) 104,160
26,900 Micrel, Inc. 227,305
35,590 Microsemi Corp. (a)(i) 787,963
23,800 Microtune, Inc. (a) 155,414
11,300 Monolithic Power Systems, Inc. (a) 242,611
8,000 Netlogic Microsystems, Inc. (a)(i) 257,600
112,800 ON Semiconductor Corp. (a)(i) 1,001,664
23,700 Omnivision Technologies, Inc. (a) (i) 370,905
10,400 PLX Technology, Inc. (a) 96,720
99,600 PMC-Sierra, Inc. (a) 651,384
12,393 Pericom Semiconductor Corp. (a) 231,749
123,184 RF Micro Devices, Inc. (a) 703,381
2,000 Rubicon Technology, Inc. (a) 47,500
26,700 SiRF Technology Holdings, Inc. (a)(i) 670,971
42,676 Silicon Image, Inc. (a) 192,896
39,458 Silicon Storage Technology, Inc. (a) 117,979
74,633 Skyworks Solutions, Inc. (a) 634,381
43,100 Spansion LLC Class A (a) 169,383
19,700 Syntax-Brillian Corp. (a)(i) 60,676
5,200 Techwell, Inc. (a) 57,252
22,300 Tessera Technologies, Inc. (a) 927,680
65,336 TriQuint Semiconductor, Inc. (a) 433,178
10,300 Volterra Semiconductor Corp. (a) 113,609
---------------
12,771,830
- ----------------------------------------------------------------------------------------------------------------------------------
Electronics: Technology - 0.5% 7,400 3D Systems Corp. (a)(i) 114,256
14,400 Acacia Research - Acacia Technologies (a) 129,312
3,900 American Science & Engineering, Inc. 221,325
17,123 Checkpoint Systems, Inc. (a) 444,855
20,600 Cogent, Inc. (a) 229,690
6,552 Cubic Corp. 256,838
4,500 Eagle Test Systems, Inc. (a) 57,510
11,400 Gerber Scientific, Inc. (a) 123,120
36,346 ION Geophysical Corp. (a) 573,540
6,450 Innovative Solutions & Support, Inc. (a)(i) 62,501
15,500 Ionatron, Inc. (a)(i) 44,330
39,900 Kemet Corp. (a) 264,537
12,100 ScanSource, Inc. (a) 391,435
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
21,000 Smart Modular Technologies WWH, Inc. (a) $ 213,780
1,600 Super Micro Computer, Inc. (a) 12,272
---------------
3,139,301
- ----------------------------------------------------------------------------------------------------------------------------------
Energy Miscellaneous - 0.7% 5,600 Alon USA Energy, Inc. 152,208
1,900 Approach Resources, Inc. (a) 24,434
14,440 Aventine Renewable Energy Holdings, Inc. (a)(i) 184,254
8,200 CVR Energy, Inc. (a) 204,508
5,800 Clean Energy Fuels Corp. (a) 87,812
9,100 Concho Resources, Inc. (a) 187,551
16,100 Crosstex Energy, Inc. (i) 599,564
3,100 Dawson Geophysical Co. (a) 221,526
2,000 EnerNOC, Inc. (a) 98,200
43,000 Evergreen Energy, Inc. (a)(i) 95,890
38,000 Evergreen Solar, Inc. (a)(i) 656,260
28,426 FuelCell Energy, Inc. (a)(i) 281,986
3,600 GeoMet, Inc. (a) 18,720
2,420 MarkWest Hydrocarbon, Inc. 151,613
12,500 Matrix Service Co. (a) 272,750
7,200 Nova Biosource Fuels, Inc. (a)(i) 20,880
6,500 Ormat Technologies, Inc. 357,565
14,100 Pacific Ethanol, Inc. (a)(i) 115,479
18,116 Penn Virginia Corp. 790,401
83,400 Rentech, Inc. (a)(i) 150,954
15,078 Verenium Corp. (a)(i) 75,239
---------------
4,747,794
- ----------------------------------------------------------------------------------------------------------------------------------
Engineering & Contracting 18,900 Aecom Technology Corp. (a) 539,973
Services - 0.3% 7,000 Clean Harbors, Inc. (a) 361,900
18,002 Dycom Industries, Inc. (a) 479,753
9,300 ENGlobal Corp. (a)(i) 105,648
7,000 Integrated Electrical Services, Inc. (a) 131,530
7,900 Layne Christensen Co. (a) 388,759
3,700 Michael Baker Corp. (a) 152,070
---------------
2,159,633
- ----------------------------------------------------------------------------------------------------------------------------------
Entertainment - 0.3% 7,000 Carmike Cinemas, Inc. 50,820
11,000 Cinemark Holdings, Inc. 187,000
19,155 Gaylord Entertainment Co. (a) 775,203
34,300 Live Nation, Inc. (a) 498,036
10,872 Lodgenet Entertainment Corp. (a) 189,608
5,455 Speedway Motorsports, Inc. 169,541
---------------
1,870,208
- ----------------------------------------------------------------------------------------------------------------------------------
Fertilizers - 0.3% 43,000 Terra Industries, Inc. (a) 2,053,680
- ----------------------------------------------------------------------------------------------------------------------------------
Finance Companies - 0.1% 5,800 Asta Funding, Inc. (i) 153,352
2,169 Credit Acceptance Corp. (a)(i) 44,833
12,600 MVC Capital, Inc. (i) 203,364
5,400 NewStar Financial, Inc. (a) 44,712
8,700 World Acceptance Corp. (a) 234,726
---------------
680,987
- ----------------------------------------------------------------------------------------------------------------------------------
Finance: Small Loan - 0.1% 28,400 Advance America, Cash Advance Centers, Inc. 288,544
7,600 Dollar Financial Corp. (a) 233,244
9,400 Encore Capital Group, Inc. (a) 90,992
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
6,400 Nelnet, Inc. Class A $ 81,344
1,300 QC Holdings, Inc. 14,625
---------------
708,749
- ----------------------------------------------------------------------------------------------------------------------------------
Financial Data Processing 8,200 Advent Software, Inc. (a)(i) 443,620
Services & Systems - 0.8% 2,315 Cass Information Systems, Inc. 77,344
9,889 CompuCredit Corp. (a)(i) 98,692
29,964 CyberSource Corp. (a) 532,460
24,200 Deluxe Corp. 795,938
11,623 eSpeed, Inc. Class A (a) 131,340
9,400 ExlService Holdings, Inc. (a) 216,952
6,400 Heartland Payment Systems, Inc. (i) 171,520
29,200 Hypercom Corp. (a) 145,416
36,700 Jack Henry & Associates, Inc. 893,278
14,100 Online Resources Corp. (a) 168,072
12,000 TNS, Inc. 213,000
15,200 TradeStation Group, Inc. (a) 215,992
18,700 Wright Express Corp. (a) 663,663
---------------
4,767,287
- ----------------------------------------------------------------------------------------------------------------------------------
Financial Information 4,700 Bankrate, Inc. (a)(i) 226,023
Services - 0.3% 24,540 INVESTools, Inc. (a) 435,340
15,600 Interactive Data Corp. 514,956
5,800 Morningstar, Inc. (a) 450,950
45,400 Move, Inc. (a) 111,230
26,922 S1 Corp. (a) 196,531
10,500 TheStreet.com, Inc. 167,160
400 Value Line, Inc. 16,104
---------------
2,118,294
- ----------------------------------------------------------------------------------------------------------------------------------
Financial Miscellaneous - 0.6% 17,750 Advanta Corp. Class B 143,242
7,400 Asset Acceptance Capital Corp. 77,034
12,919 Cash America International, Inc. 417,284
5,000 Federal Agricultural Mortgage Corp. Class B 131,600
13,100 Financial Federal Corp. 291,999
12,100 First Cash Financial Services, Inc. (a) 177,628
17,100 Global Cash Access, Inc. (a) 103,626
6,499 LandAmerica Financial Group, Inc. (i) 217,392
7,700 Portfolio Recovery Associates, Inc. (i) 305,459
11,700 RAM Holdings Ltd. (a) 57,798
5,900 Sanders Morris Harris Group, Inc. 60,475
29,736 Sotheby's Holdings, Inc. Class A 1,132,942
10,816 Sterling Bancorp 147,530
8,222 Stewart Information Services Corp. 214,512
6,433 Stifel Financial Corp. (a) 338,183
3,176 Triad Guaranty, Inc. (a)(i) 31,125
3,091 WSFS Financial Corp. 155,168
2,300 Wauwatosa Holdings, Inc. (a) 29,486
---------------
4,032,483
- ----------------------------------------------------------------------------------------------------------------------------------
Foods - 1.1% 1,800 American Dairy, Inc. (a) 23,310
6,500 Cal-Maine Foods, Inc. (i) 172,445
19,900 Chiquita Brands International, Inc. (a)(i) 365,961
35,776 Flowers Foods, Inc. 837,516
14,400 Fresh Del Monte Produce, Inc. (a) 483,552
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
18,557 Hain Celestial Group, Inc. (a) $ 593,824
5,400 J&J Snack Foods Corp. 168,912
14,700 Lance, Inc. 300,174
5,300 M&F Worldwide Corp. (a) 285,405
2,463 Maui Land & Pineapple Co., Inc. (a) 71,698
16,600 Performance Food Group Co. (a) 446,042
17,600 Pilgrim's Pride Corp. (i) 509,520
12,295 Ralcorp Holdings, Inc. (a) 747,413
6,950 Sanderson Farms, Inc. 234,771
142 Seaboard Corp. 208,740
21,957 Sensient Technologies Corp. 620,944
1,400 Synutra International, Inc. (a)(i) 42,280
16,803 Tootsie Roll Industries, Inc. 460,738
14,700 TreeHouse Foods, Inc. (a) 337,953
---------------
6,911,198
- ----------------------------------------------------------------------------------------------------------------------------------
Forest Products - 0.1% 4,609 Deltic Timber Corp. 237,317
7,934 Universal Forest Products, Inc. 233,736
---------------
471,053
- ----------------------------------------------------------------------------------------------------------------------------------
Forms & Bulk Printing 10,100 Ennis, Inc. 181,800
Services - 0.1% 11,100 Innerworkings, Inc. (a)(i) 191,586
7,645 The Standard Register Co. 89,141
---------------
462,527
- ----------------------------------------------------------------------------------------------------------------------------------
Funeral Parlors & 45,024 Stewart Enterprises, Inc. Class A 400,714
Cemeteries - 0.1%
- ----------------------------------------------------------------------------------------------------------------------------------
Glass - 0.0% 14,000 Apogee Enterprises, Inc. 239,540
- ----------------------------------------------------------------------------------------------------------------------------------
Gold - 0.2% 211,900 Coeur d'Alene Mines Corp. (a)(i) 1,046,786
12,000 Royal Gold, Inc. (i) 366,240
25,600 US Gold Corp. (a) 75,776
---------------
1,488,802
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Facilities - 0.6% 28,600 Assisted Living Concepts, Inc. (a) 214,500
10,800 Capital Senior Living Corp. (a) 107,244
4,600 Emeritus Corp. (a) 115,690
400 The Ensign Group, Inc. 5,760
12,190 Kindred Healthcare, Inc. (a) 304,506
9,250 LCA-Vision, Inc. (i) 184,723
5,600 MedCath Corp. (a) 137,536
2,600 National Healthcare Corp. 134,420
25,300 Psychiatric Solutions, Inc. (a) 822,250
6,500 Radiation Therapy Services, Inc. (a) 200,915
11,200 Res-Care, Inc. (a) 281,792
11,800 Skilled Healthcare Group, Inc. Class A (a) 172,634
20,300 Sun Healthcare Group, Inc. (a) 348,551
19,574 Sunrise Senior Living, Inc. (a) 600,530
---------------
3,631,051
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Management 24,600 AMERIGROUP Corp. (a) 896,670
Services - 0.9% 24,641 Allscripts Healthcare Solutions, Inc. (a)(i) 478,528
3,200 American Dental Partners, Inc. (a) 32,096
14,700 Amsurg Corp. (a) 397,782
2,700 athenahealth, Inc. (a) 97,200
20,400 Centene Corp. (a) 559,776
5,000 Computer Programs & Systems, Inc. 113,700
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
3,785 Corvel Corp. (a) $ 87,131
21,431 Eclipsys Corp. (a) 542,419
9,900 HMS Holdings Corp. (a) 328,779
13,500 HealthExtras, Inc. (a) 352,080
20,600 HealthSpring, Inc. (a) 392,430
6,500 Molina Healthcare, Inc. (a) 251,550
15,800 Omnicell, Inc. (a) 425,494
19,300 Phase Forward, Inc. (a) 419,775
8,200 Vital Images, Inc. (a) 148,174
---------------
5,523,584
- ----------------------------------------------------------------------------------------------------------------------------------
Health Care Services - 0.8% 12,300 Alliance Imaging, Inc. (a) 118,326
11,566 Amedisys, Inc. (a) 561,182
18,600 Apria Healthcare Group, Inc. (a) 401,202
5,500 Bio-Reference Labs, Inc. (a) 179,740
3,600 Emergency Medical Services Corp. (a) 105,408
14,012 Gentiva Health Services, Inc. (a) 266,788
36,600 HealthSouth Corp. (a)(i) 768,600
19,837 Healthcare Services Group, Inc. 420,148
16,300 Healthways, Inc. (a) 952,572
18,800 Hythiam, Inc. (a)(i) 55,084
7,000 LHC Group, Inc. (a) 174,860
10,500 Matria Healthcare, Inc. (a) 249,585
10,000 Nighthawk Radiology Holdings, Inc. (a)(i) 210,500
14,700 Odyssey HealthCare, Inc. (a) 162,582
12,969 PharMerica Corp. (a) 180,010
1,000 Virtual Radiologic Corp. (a) 20,280
---------------
4,826,867
- ----------------------------------------------------------------------------------------------------------------------------------
Homebuilding - 0.1% 18,700 Beazer Homes USA, Inc. (i) 138,941
17,300 Hovnanian Enterprises, Inc. Class A (a)(i) 124,041
6,100 M/I Homes, Inc. (i) 64,050
12,500 Meritage Homes Corp. (a)(i) 182,125
31,600 Standard-Pacific Corp. (i) 105,860
15,800 WCI Communities, Inc. (a)(i) 59,724
---------------
674,741
- ----------------------------------------------------------------------------------------------------------------------------------
Hotel/Motel - 0.1% 6,600 Lodgian, Inc. (a) 74,316
7,779 Marcus Corp. 120,186
8,900 Morgans Hotel Group Co. (a) 171,592
---------------
366,094
- ----------------------------------------------------------------------------------------------------------------------------------
Household Furnishings - 0.4% 6,100 American Woodmark Corp. (i) 110,898
11,100 Ethan Allen Interiors, Inc. 316,350
22,100 Furniture Brands International, Inc. (i) 222,326
9,936 Haverty Furniture Cos., Inc. 89,325
2,800 hhgregg, Inc. (a) 38,528
5,500 Hooker Furniture Corp. 110,550
21,100 La-Z-Boy, Inc. (i) 167,323
7,000 Libbey, Inc. 110,880
6,500 Lifetime Brands, Inc. (i) 84,370
18,000 Sealy Corp. (i) 201,420
22,200 Select Comfort Corp. (a) 155,622
35,300 Tempur-Pedic International, Inc. (i) 916,741
---------------
2,524,333
- ----------------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Identification Control & 16,912 Advanced Energy Industries, Inc. (a) $ 221,209
Filter Devices - 0.6% 21,441 Asyst Technologies, Inc. (a) 69,897
5,900 Badger Meter, Inc. 265,205
12,032 ESCO Technologies, Inc. (a) 480,558
5,697 The Gorman-Rupp Co. 177,746
27,028 L-1 Identity Solutions, Inc. (a)(g) 485,153
13,126 Mine Safety Appliances Co. (i) 680,846
6,612 Robbins & Myers, Inc. 500,066
5,650 Sun Hydraulics, Inc. 142,550
14,827 Veeco Instruments, Inc. (a) 247,611
7,096 Vicor Corp. 110,627
14,836 Watts Water Technologies, Inc. Class A 442,113
14,017 X-Rite, Inc. (a) 162,878
---------------
3,986,459
- ----------------------------------------------------------------------------------------------------------------------------------
Industrial Products - 0.0% 6,300 TAL International Group, Inc. 143,451
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance: Life - 0.4% 27,200 American Equity Investment Life Holding Co. 225,488
18,400 Citizens, Inc. (a)(i) 101,752
20,305 Delphi Financial Group, Inc. Class A 716,360
1,442 Kansas City Life Insurance Co. 62,338
862 National Western Life Insurance Co. Class A 178,753
52,100 The Phoenix Cos., Inc. 618,426
11,593 Presidential Life Corp. 202,993
25,300 Scottish Re Group Ltd. (a) 18,343
22,900 Universal American Financial Corp. (a) 586,011
---------------
2,710,464
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance: Multi-Line - 1.1% 13,640 Alfa Corp. 295,579
35,700 Assured Guaranty Ltd. 947,478
6,186 CNA Surety Corp. (a) 122,421
11,009 Crawford & Co. Class B (a) 45,687
6,400 eHealth, Inc. (a) 205,504
2,600 EMC Insurance Group, Inc. 61,542
5,725 FBL Financial Group, Inc. Class A 197,684
4,100 Flagstone Reinsurance Holdings Ltd. 56,990
17,206 Hilb Rogal & Hobbs Co. 698,047
20,368 Horace Mann Educators Corp. 385,770
1,240 Independence Holding Co. 15,686
28,100 Max Capital Group Ltd. 786,519
11,600 Meadowbrook Insurance Group, Inc. (a) 109,156
48,000 Montpelier Re Holdings Ltd. 816,480
7,297 Pico Holdings, Inc. (a) 245,325
27,200 Platinum Underwriters Holdings Ltd. 967,232
17,800 Primus Guaranty Ltd. (a)(i) 124,778
11,800 Security Capital Assurance Ltd. (i) 45,902
17,355 Zenith National Insurance Corp. 776,289
---------------
6,904,069
- ----------------------------------------------------------------------------------------------------------------------------------
Insurance: 13,200 AmTrust Financial Services, Inc. 181,764
Property-Casualty - 1.8% 4,856 American Physicians Capital, Inc. 201,329
10,400 Amerisafe, Inc. (a) 161,304
12,679 Argo Group International Holdings Ltd. (a) 534,166
41,000 Aspen Insurance Holdings Ltd. 1,182,440
4,032 Baldwin & Lyons, Inc. Class B 110,718
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
1,100 CastlePoint Holdings, Ltd. $ 13,200
23,100 Commerce Group, Inc. 831,138
3,400 Darwin Professional Underwriters, Inc. (a) 82,178
4,344 Donegal Group, Inc. Class A 74,586
23,280 Employers Holdings, Inc. 389,009
3,000 Enstar Group Ltd. (a) 367,260
4,800 FPIC Insurance Group, Inc. (a) 206,304
3,977 First Acceptance Corp. (a) 16,783
6,900 First Mercury Financial Corp. (a) 168,360
32,500 Fremont General Corp. (a)(i) 113,750
6,400 Greenlight Capital Re Ltd. (a) 133,056
3,600 Hallmark Financial Services, Inc. (a) 57,096
5,962 Harleysville Group, Inc. 210,936
28,200 IPC Holdings, Ltd. 814,134
6,700 Infinity Property & Casualty Corp. 242,071
4,058 The Midland Co. 262,512
3,700 NYMAGIC, Inc. 85,581
3,300 National Interstate Corp. 109,230
6,400 Navigators Group, Inc. (a) 416,000
12,200 Odyssey Re Holdings Corp. 447,862
14,206 PMA Capital Corp. Class A (a) 116,773
15,123 ProAssurance Corp. (a) 830,555
9,854 RLI Corp. 559,609
7,700 Safety Insurance Group, Inc. 281,974
11,400 SeaBright Insurance Holdings, Inc. (a) 171,912
25,708 Selective Insurance Group, Inc. 591,027
5,512 State Auto Financial Corp. 144,966
9,900 Tower Group, Inc. 330,660
9,800 United America Indemnity, Ltd. (a) 195,216
10,400 United Fire & Casualty Co. 302,536
6,100 Validus Holdings Ltd. (a) 158,478
---------------
11,096,473
- ----------------------------------------------------------------------------------------------------------------------------------
Investment Management 22,100 Alternative Asset Management Acquisition Corp. (a) 202,215
Companies - 0.9% 6,100 Ampal-American Israel Corp. Class A (a) 45,079
55,546 Apollo Investment Corp. 947,059
32,639 Ares Capital Corp. 477,509
10,600 Calamos Asset Management, Inc. Class A 315,668
1,300 Capital Southwest Corp. 153,920
7,200 Cohen & Steers, Inc. (i) 215,784
7,600 Cowen Group, Inc. (a) 72,276
5,600 Epoch Holding Corp. 81,984
11,700 FBR Capital Markets Corp. (a) 112,086
2,496 GAMCO Investors, Inc. Class A 172,723
6,200 Kohlberg Capital Corp. 74,400
27,200 MCG Capital Corp. 315,248
9,923 NGP Capital Resources Co. (i) 155,096
16,800 National Financial Partners Corp. 766,248
17,000 NexCen Brands, Inc. (a) 82,280
1,000 Pzena Investment Management, Inc. Class A 11,400
9,400 TICC Capital Corp. 86,762
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
4,300 U.S. Global Investors, Inc. (i) $ 71,638
9,600 W.P. Stewart & Co. Ltd. (i) 49,056
39,200 Waddell & Reed Financial, Inc. Class A 1,414,728
---------------
5,823,159
- ----------------------------------------------------------------------------------------------------------------------------------
Jewelry, Watches & 3,500 FGX International Holdings Ltd. (a) 41,475
Gemstones - 0.2% 20,300 Fossil, Inc. (a) 852,194
7,500 Movado Group, Inc. 189,675
---------------
1,083,344
- ----------------------------------------------------------------------------------------------------------------------------------
Leisure Time - 0.4% 32,100 Callaway Golf Co. (g) 559,503
14,900 Great Wolf Resorts, Inc. (a) 146,169
14,700 Life Time Fitness, Inc. (a)(i) 730,296
15,100 Premier Exhibitions, Inc. (a)(i) 165,194
34,900 Six Flags, Inc. (a)(i) 70,847
3,800 Steinway Musical Instruments, Inc. 104,766
11,100 Sturm Ruger & Co., Inc. (a) 91,908
9,500 Town Sports International Holdings, Inc. (a) 90,820
14,156 Vail Resorts, Inc. (a) 761,734
9,100 West Marine, Inc. (a) 81,718
---------------
2,802,955
- ----------------------------------------------------------------------------------------------------------------------------------
Machine Tools - 0.0% 2,700 Hurco Companies, Inc. (a) 117,855
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery & 18,790 Applied Industrial Technologies, Inc. 545,286
Engineering - 0.1%
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Agricultural - 0.1% 4,550 Gehl Co. (a) 72,982
5,013 Lindsay Manufacturing Co. (i) 354,369
---------------
427,351
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Construction & 8,800 A.S.V., Inc. (a)(d)(i) 121,880
Handling - 0.1% 8,817 Astec Industries, Inc. (a) 327,904
2,387 NACCO Industries, Inc. Class A 237,960
---------------
687,744
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Engines - 0.1% 23,200 Briggs & Stratton Corp. (i) 525,712
13,000 Raser Technologies, Inc. (a)(i) 193,050
---------------
718,762
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: 24,700 Actuant Corp. Class A 840,047
Industrial/Specialty - 0.8% 3,500 Altra Holdings, Inc. (a) 58,205
6,800 Chart Industries, Inc. (a) 210,120
9,000 Columbus McKinnon Corp. (a) 293,580
9,700 EnPro Industries, Inc. (a) 297,305
5,500 Hardinge, Inc. 92,290
7,270 Kadant, Inc. (a) 215,701
6,400 Middleby Corp. (a) 490,368
15,710 Nordson Corp. 910,552
7,928 Tecumseh Products Co. Class A (a) 185,594
7,274 Tennant Co. 322,165
2,500 Twin Disc, Inc. 176,925
13,979 Woodward Governor Co. 949,873
---------------
5,042,725
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Oil Well 10,200 Allis-Chalmers Energy, Inc. (a) 150,450
Equipment & Services - 1.6% 17,400 Basic Energy Services, Inc. (a)(i) 381,930
9,602 CARBO Ceramics, Inc. 357,194
17,375 Cal Dive International, Inc. (a)(i) 230,045
20,200 Complete Production Services, Inc. (a) 362,994
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
12,476 Dril-Quip, Inc. (a) $ 694,414
27,972 Exterran Holdings, Inc. (a) 2,288,110
8,600 Flotek Industries, Inc. (a)(i) 309,944
5,817 Gulf Island Fabrication, Inc. 184,457
9,940 Hornbeck Offshore Services, Inc. (a) 446,803
7,100 Lufkin Industries, Inc. 406,759
8,700 NATCO Group, Inc. Class A (a) 471,105
42,820 Newpark Resources, Inc. (a) 233,369
23,000 Oil States International, Inc. (a) 784,760
49,481 Parker Drilling Co. (a) 373,582
14,000 RPC, Inc. (i) 163,940
16,100 Sulphco, Inc. (a)(i) 84,042
5,500 Superior Offshore International, Inc. (a) 27,610
7,600 Superior Well Services, Inc. (a) 161,272
2,900 T-3 Energy Services, Inc. (a) 136,329
4,600 Trico Marine Services, Inc. (a) 170,292
6,000 Union Drilling, Inc. (a) 94,620
14,257 W-H Energy Services, Inc. (a) 801,386
17,300 Willbros Group, Inc. (a) 662,417
---------------
9,977,824
- ----------------------------------------------------------------------------------------------------------------------------------
Machinery: Specialty - 0.4% 17,400 Bucyrus International, Inc. 1,729,386
5,100 Cascade Corp. 236,946
17,800 Flow International Corp. (a) 165,896
9,641 Semitool, Inc. (a)(i) 83,684
10,000 TurboChef Technologies, Inc. (a) 165,000
---------------
2,380,912
- ----------------------------------------------------------------------------------------------------------------------------------
Manufactured Housing - 0.1% 36,127 Champion Enterprises, Inc. (a) 340,316
4,205 Palm Harbor Homes, Inc. (a)(i) 44,363
4,001 Skyline Corp. 117,429
---------------
502,108
- ----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.1% 22,759 Federal Signal Corp. 255,356
5,431 Standex International Corp. 94,771
---------------
350,127
- ----------------------------------------------------------------------------------------------------------------------------------
Medical & Dental 9,900 Abaxis, Inc. (a) 355,014
Instruments & Supplies - 3.0% 12,600 Abiomed, Inc. (a) 195,804
27,700 Align Technology, Inc. (a) 462,036
33,700 American Medical Systems Holdings, Inc. (a)(i) 487,302
9,100 AngioDynamics, Inc. (a) 173,264
8,300 Bio-Rad Laboratories, Inc. Class A (a) 860,046
6,100 BioMimetic Therapeutics, Inc. (a) 105,957
13,428 CONMED Corp. (a) 310,321
3,700 Cantel Medical Corp. (a) 53,946
25,700 Cepheid, Inc. (a) 677,195
13,900 Conceptus, Inc. (a)(i) 267,436
8,800 CryoLife, Inc. (a) 69,960
6,200 Cutera, Inc. (a) 97,340
10,669 Cyberonics, Inc. (a)(i) 140,404
21,932 ev3, Inc. (a) 278,756
4,600 Hansen Medical, Inc. (a)(i) 137,724
8,300 I-Flow Corp. (a)(i) 130,974
6,550 ICU Medical, Inc. (a) 235,866
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
32,043 Immucor, Inc. (a) $ 1,089,142
3,900 Insulet Corp. (a) 91,572
13,622 Invacare Corp. 343,274
31,230 Inverness Medical Innovations, Inc. (a) 1,754,501
4,378 Landauer, Inc. 226,999
15,800 LifeCell Corp. (a) 681,138
6,050 Medical Action Industries, Inc. (a) 126,143
14,744 Mentor Corp. (i) 576,490
18,600 Meridian Bioscience, Inc. 559,488
13,110 Merit Medical Systems, Inc. (a) 182,229
7,900 Micrus Endovascular Corp. (a) 155,472
9,600 Northstar Neuroscience, Inc. (a) 89,280
16,100 NuVasive, Inc. (a) 636,272
22,059 OraSure Technologies, Inc. (a) 196,105
7,800 Orthofix International NV (a) 452,166
18,898 Owens & Minor, Inc. 801,842
31,473 PSS World Medical, Inc. (a) 615,927
8,800 Palomar Medical Technologies, Inc. (a) 134,816
14,400 Sonic Innovations, Inc. (a) 111,168
7,915 SonoSite, Inc. (a) 266,498
15,300 Spectranetic Corp. (a) 234,549
12,500 Stereotaxis, Inc. (a) 152,750
30,400 Steris Corp. 876,736
7,283 SurModics, Inc. (a)(i) 395,248
14,500 Symmetry Medical, Inc. (a) 252,735
25,147 Thoratec Corp. (a) 457,424
1,900 Trans1, Inc (a) 31,293
12,060 Ventana Medical Systems, Inc. (a) 1,051,994
4,324 Vital Signs, Inc. 221,043
11,600 Volcano Corp. (a) 145,116
15,476 West Pharmaceutical Services, Inc. 628,171
15,200 Wright Medical Group, Inc. (a) 443,384
---------------
19,020,310
- ----------------------------------------------------------------------------------------------------------------------------------
Medical Services - 0.3% 5,100 Air Methods Corp. (a) 253,317
2,000 Genoptix, Inc. (a) 61,400
18,200 Magellan Health Services, Inc. (a) 848,666
12,997 Parexel International Corp. (a) 627,755
8,395 RehabCare Group, Inc. (a) 189,391
---------------
1,980,529
- ----------------------------------------------------------------------------------------------------------------------------------
Metal Fabricating - 1.0% 3,500 Ampco-Pittsburgh Corp. 133,455
7,700 CIRCOR International, Inc. 356,972
300 Compx International, Inc. 4,386
5,700 Dynamic Materials Corp. 336,072
11,150 Encore Wire Corp. 177,508
5,000 Haynes International, Inc. (a) 347,500
9,000 Insteel Industries, Inc. 105,570
12,426 Kaydon Corp. 677,714
4,400 L.B. Foster Co. Class A (a) 227,612
53,660 Mueller Water Products, Inc. Series A (i) 510,843
4,900 Northwest Pipe Co. (a) 191,786
16,510 Quanex Corp. 856,869
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
10,000 RBC Bearings, Inc. (a) $ 434,600
10,513 RTI International Metals, Inc. (a) 724,661
9,700 Superior Essex, Inc. (a) 232,800
4,400 Trimas Corp. (a) 46,596
8,658 Valmont Industries, Inc. 771,601
---------------
6,136,545
- ----------------------------------------------------------------------------------------------------------------------------------
Metals & Minerals 5,600 A.M. Castle & Co. 152,264
Miscellaneous - 0.7% 10,973 AMCOL International Corp. 395,357
27,500 Apex Silver Mines Ltd. (a)(i) 419,100
9,211 Brush Engineered Materials, Inc. (a) 340,991
15,100 Compass Minerals International, Inc. 619,100
23,800 General Moly, Inc. (a) 277,746
46,644 GrafTech International Ltd. (a) 827,931
56,100 Hecla Mining Co. (a) 524,535
1,400 Horsehead Holding Corp. (a) 23,758
8,953 Minerals Technologies, Inc. 599,403
17,064 Stillwater Mining Co. (a) 164,838
24,500 Uranium Resources, Inc. (a) 305,760
---------------
4,650,783
- ----------------------------------------------------------------------------------------------------------------------------------
Milling: Fruit & Grain 5,300 MGP Ingredients, Inc. (i) 49,926
Processing - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Business & 4,500 Core-Mark Holdings Co., Inc. (a) 129,240
Consumer Discretionary - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Consumer 9,500 Reddy Ice Holdings, Inc. 240,445
Staples - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Health 3,700 Animal Health International, Inc. (a) 45,510
Care - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & 12,050 Ceradyne, Inc. (a) 565,506
Commodities - 0.2% 17,379 Symyx Technologies Inc. (a) 133,471
8,689 WD-40 Co. 329,921
---------------
1,028,898
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & 14,038 Insituform Technologies, Inc. Class A (a) 207,762
Processing - 0.3% 12,000 Metal Management, Inc. 546,360
7,655 Rogers Corp. (a) 331,997
50,259 USEC, Inc. (a)(i) 452,331
10,000 Xerium Technologies, Inc. 52,000
---------------
1,590,450
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous Producer 19,200 Blount International, Inc. (a) 236,352
Durables - 0.1% 4,600 Park-Ohio Holdings Corp. (a) 115,460
---------------
351,812
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 5,300 Dice Holdings, Inc. (a) 42,347
Technology - 0.2% 14,500 IHS, Inc. Class A (a) 878,120
6,700 iRobot Corp. (a)(i) 121,136
6,400 Vocus, Inc. (a) 220,992
---------------
1,262,595
- ----------------------------------------------------------------------------------------------------------------------------------
Multi-Sector Companies - 0.4% 11,600 Compass Diversified Holdings 172,840
26,571 GenCorp, Inc. (a) 309,818
3,700 GenTek Inc. (a) 108,299
11,594 Kaman Corp. Class A 426,775
10,699 Lancaster Colony Corp. 424,750
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
6,900 Raven Industries, Inc. $ 264,891
24,200 Walter Industries, Inc. 869,506
---------------
2,576,879
- ----------------------------------------------------------------------------------------------------------------------------------
Office Furniture & 25,300 ACCO Brands Corp. (a) 405,812
Business Equipment - 0.3% 29,600 Herman Miller, Inc. 958,744
10,674 Kimball International, Inc. Class B 146,234
23,400 Knoll, Inc. 384,462
---------------
1,895,252
- ----------------------------------------------------------------------------------------------------------------------------------
Offshore Drilling - 0.4% 12,254 Atwood Oceanics, Inc. (a) 1,228,341
6,800 Bois d'Arc Energy, Inc. (a) 134,980
38,720 Hercules Offshore, Inc. (a) 920,762
---------------
2,284,083
- ----------------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 2.7% 1,365 APCO Argentina, Inc. 37,455
11,100 ATP Oil & Gas Corp. (a)(g) 560,994
14,300 Arena Resources, Inc. (a) 596,453
10,525 Atlas America, Inc. 622,869
24,700 BPZ Resources, Inc. (a)(i) 276,146
18,402 Berry Petroleum Co. Class A 817,969
14,500 Bill Barrett Corp. (a) 607,115
22,100 Brigham Exploration Co. (a) 166,192
12,500 Bronco Drilling Co., Inc. (a) 185,625
9,800 Callon Petroleum Co. (a) 161,210
11,400 Carrizo Oil & Gas, Inc. (a) 624,150
3,300 Clayton Williams Energy, Inc. (a) 102,828
20,757 Comstock Resources, Inc. (a) 705,738
6,500 Contango Oil & Gas Co. (a) 330,785
4,200 Delek US Holdings, Inc. 84,966
26,300 EXCO Resources, Inc. (a) 407,124
15,500 Edge Petroleum Corp. (a)(i) 91,915
24,800 Encore Acquisition Co. (a) 827,576
13,000 Energy Infrastructure Acquisition Corp. (a) 131,820
15,037 Energy Partners Ltd. (a) 177,587
19,600 FX Energy, Inc. (a) 111,328
19,400 GeoGlobal Resources, Inc. (a)(i) 96,030
4,200 Geokinetics, Inc. (a) 81,690
7,800 Goodrich Petroleum Corp. (a)(i) 176,436
87,043 Grey Wolf, Inc. (a) 463,939
10,100 Gulfport Energy Corp. (a) 184,426
16,700 Harvest Natural Resources, Inc. (a)(i) 208,750
38,600 Mariner Energy, Inc. (a) 883,168
17,600 McMoRan Exploration Co. (a) 230,384
38,911 Meridian Resource Corp. (a) 70,429
10,600 NTR Acquisition Co. (a) 100,700
59,400 Oilsands Quest, Inc. (a)(i) 242,352
18,200 Parallel Petroleum Corp. (a) 320,866
76,062 PetroHawk Energy Corp. (a) 1,316,633
7,100 Petroleum Development Corp. (a) 419,823
19,800 Petroquest Energy, Inc. (a) 283,140
21,700 Pioneer Drilling Co. (a) 257,796
5,249 Resource America, Inc. Class A 77,003
6,500 Rex Energy Corp. (a) 77,545
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
23,900 Rosetta Resources, Inc. (a) $ 473,937
12,378 Stone Energy Corp. (a) 580,652
14,017 Swift Energy Co. (a) 617,169
16,700 TXCO Resources, Inc. (a) 201,402
9,600 Toreador Resources Corp. (a)(i) 67,104
5,200 Venoco, Inc. (a) 103,636
18,910 VeraSun Energy Corp. (a)(i) 288,945
27,600 Warren Resources, Inc. (a) 389,988
19,610 Whiting Petroleum Corp. (a) 1,130,713
---------------
16,972,501
- ----------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated 30,700 Delta Petroleum Corp. (a)(i) 578,695
Domestic - 0.1% 5,800 GMX Resources Inc. (a)(i) 187,224
---------------
765,919
- ----------------------------------------------------------------------------------------------------------------------------------
Oil: Integrated 25,700 Vaalco Energy, Inc. (a) 119,505
International - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Paints & Coatings - 0.2% 20,676 Ferro Corp. 428,613
26,580 H.B. Fuller Co. 596,721
1,693 Kronos Worldwide, Inc. 29,543
---------------
1,054,877
- ----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.4% 25,144 AbitibiBowater, Inc. (i) 518,218
13,074 Albany International Corp. Class A 485,045
15,598 Buckeye Technologies, Inc. (a) 194,975
8,892 Chesapeake Corp. 46,149
11,700 Mercer International, Inc.-Sbi (a)(i) 91,611
2,650 Multi-Color Corp. 72,796
7,600 Neenah Paper, Inc. 221,540
21,301 P.H. Glatfelter Co. 326,118
15,580 Rock-Tenn Co. Class A 395,888
19,342 Wausau Paper Corp. 173,885
---------------
2,526,225
- ----------------------------------------------------------------------------------------------------------------------------------
Photography - 0.0% 2,600 CPI Corp. 61,230
- ----------------------------------------------------------------------------------------------------------------------------------
Plastics - 0.0% 15,254 Spartech Corp. 215,081
- ----------------------------------------------------------------------------------------------------------------------------------
Pollution Control & 7,800 American Ecology Corp. 183,144
Environmental Services - 0.2% 34,600 Darling International, Inc. (a) 399,976
12,600 EnergySolutions, Inc. (a) 340,074
7,000 Fuel Tech, Inc. (a)(i) 158,550
18,746 Headwaters, Inc. (a)(i) 220,078
7,500 Team, Inc. (a) 274,350
---------------
1,576,172
- ----------------------------------------------------------------------------------------------------------------------------------
Power Transmission 14,451 Regal-Beloit Corp. 649,572
Equipment - 0.1%
- ----------------------------------------------------------------------------------------------------------------------------------
Printing & Copying 14,282 Bowne & Co., Inc. 251,363
Services - 0.3% 25,200 Cenveo, Inc. (a) 440,244
6,400 Schawk, Inc. 99,328
20,100 VistaPrint Ltd. (a) 861,285
---------------
1,652,220
- ----------------------------------------------------------------------------------------------------------------------------------
Production Technology 16,157 ATMI, Inc. (a)(g) 521,063
Equipment - 1.1% 44,200 Axcelis Technologies, Inc. (a) 203,320
33,178 Brooks Automation, Inc. (a) 438,281
20,856 Cognex Corp. 420,248
40,468 Credence Systems Corp. (a) 97,933
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
15,000 Cymer, Inc. (a)(g) $ 583,950
8,931 Dionex Corp. (a) 740,023
12,661 Electro Scientific Industries, Inc. (a) 251,321
54,399 Entegris, Inc. (a) 469,463
13,690 Esterline Technologies Corp. (a) 708,458
17,655 FEI Co. (a) 438,374
10,900 Intevac, Inc. (a) 158,486
27,656 Kulicke & Soffa Industries, Inc. (a) 189,720
33,103 LTX Corp. (a) 105,268
8,600 MTS Systems Corp. 366,962
22,899 Mattson Technology, Inc. (a) 196,015
17,479 Photronics, Inc. (a) 217,963
14,200 Rofin-Sinar Technologies, Inc. (a) 683,162
13,973 Rudolph Technologies, Inc. (a) 158,174
9,300 Ultra Clean Holdings, Inc. (a) 113,460
12,590 Ultratech, Inc. (a) 142,771
---------------
7,204,415
- ----------------------------------------------------------------------------------------------------------------------------------
Publishing: 4,600 Consolidated Graphics, Inc. (a) 219,972
Miscellaneous - 0.2% 4,050 Courier Corp. 133,691
11,040 GateHouse Media, Inc. (i) 96,931
13,782 Martha Stewart Living Omnimedia, Inc. Class A (a)(i) 127,759
11,207 Playboy Enterprises, Inc. Class B (a) 102,208
22,300 Primedia, Inc. 189,550
13,260 Scholastic Corp. (a) 462,641
---------------
1,332,752
- ----------------------------------------------------------------------------------------------------------------------------------
Publishing: 39,600 Belo Corp. Class A 690,624
Newspapers - 0.3% 4,300 Dolan Media Co. (a) 125,431
21,100 Journal Communications, Inc. Class A 188,634
22,400 Lee Enterprises, Inc. 328,160
10,600 Media General, Inc. Class A 225,250
38,829 Sun-Times Media Group, Inc. (a) 85,424
---------------
1,643,523
- ----------------------------------------------------------------------------------------------------------------------------------
Radio & TV 18,600 CKX, Inc. (a) 223,200
Broadcasters - 0.3% 86,430 Citadel Broadcasting Corp. (i) 178,046
14,400 Cox Radio, Inc. Class A (a) 174,960
16,600 Cumulus Media, Inc. Class A (a) 133,464
19,200 Emmis Communications Corp. Class A (a) 73,920
15,600 Entercom Communications Corp. 213,564
2,200 Fisher Communications, Inc. (a) 83,512
18,200 Gray Television, Inc. 145,964
11,800 Lin TV Corp. Class A (a) 143,606
5,600 Nexstar Broadcasting Group, Inc. Class A (a) 51,184
38,000 Radio One, Inc. Class D (a) 90,060
3,383 Salem Communications Corp. Class A 22,294
23,564 Sinclair Broadcast Group, Inc. Class A (i) 193,460
17,484 Spanish Broadcasting System, Inc. Class A (a)(i) 32,345
35,400 Westwood One, Inc. 70,446
10,896 World Wrestling Entertainment, Inc. 160,825
---------------
1,990,850
- ----------------------------------------------------------------------------------------------------------------------------------
Railroad Equipment - 0.2% 3,800 American Railcar Industries, Inc. (i) 73,150
5,800 Freightcar America, Inc. 203,000
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
7,000 Greenbrier Cos., Inc. (i) $ 155,820
21,439 Westinghouse Air Brake Technologies Corp. 738,359
---------------
1,170,329
- ----------------------------------------------------------------------------------------------------------------------------------
Railroads - 0.1% 15,275 Genesee & Wyoming, Inc. Class A (a) 369,197
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate - 0.2% 800 AMREP Corp. (i) 24,440
2,800 Avatar Holdings, Inc. (a)(i) 117,096
7,000 Bluegreen Corp. (a) 50,330
2,500 Consolidated-Tomoka Land Co. 156,700
15,000 Dupont Fabros Technology, Inc. 294,000
10,300 Grubb & Ellis Co. 66,023
7,100 HFF, Inc. Class A (a) 54,954
22,672 Hilltop Holdings, Inc. (a) 247,578
4,700 Quadra Realty Trust, Inc. 37,788
8,100 Resource Capital Corp. 75,411
1,500 Stratus Properties, Inc. (a) 50,910
4,415 Tejon Ranch Co. (a) 180,353
13,200 Thomas Properties Group, Inc. 142,296
---------------
1,497,879
- ----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment 15,501 Acadia Realty Trust 396,981
Trusts (REITs) - 5.3% 3,800 Agree Realty Corp. 114,380
22,700 Alesco Financial, Inc. (i) 74,456
867 Alexander's, Inc. (a) 306,268
14,876 Alexandria Real Estate Equities, Inc. 1,512,443
12,850 American Campus Communities, Inc. 345,023
56,600 American Financial Realty Trust (g) 453,932
29,600 Anthracite Capital, Inc. (c)(g) 214,304
22,600 Anworth Mortgage Asset Corp. 186,676
7,000 Arbor Realty Trust, Inc. 112,770
49,980 Ashford Hospitality Trust, Inc. (g) 359,356
9,900 Associated Estates Realty Corp. 93,456
3,800 BRT Realty Trust (i) 58,140
28,720 BioMed Realty Trust, Inc. (i) 665,442
10,100 CBRE Realty Finance, Inc. 53,934
17,400 CapLease, Inc. 146,508
6,000 Capital Trust, Inc. (i) 183,900
21,100 Cedar Shopping Centers, Inc. 215,853
13,900 Chimera Investment Corp. 248,532
18,300 Corporate Office Properties Trust (g) 576,450
19,100 Cousins Properties, Inc. (i) 422,110
9,900 Crystal River Capital, Inc.(i) 142,956
76,010 DCT Industrial Trust, Inc. 707,653
20,900 Deerfield Capital Corp. (i) 167,200
44,150 DiamondRock Hospitality Co. 661,367
26,340 Digital Realty Trust, Inc. 1,010,666
11,127 Eastgroup Properties, Inc. 465,665
15,300 Education Realty Trust, Inc. 171,972
13,080 Entertainment Properties Trust 614,760
9,494 Equity Lifestyle Properties, Inc. 433,591
17,200 Equity One, Inc. 396,116
30,350 Extra Space Storage, Inc. 433,702
29,270 FelCor Lodging Trust, Inc. 456,319
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
21,200 First Industrial Realty Trust, Inc. (i) $ 733,520
12,500 First Potomac Realty Trust 216,125
25,300 Franklin Street Properties Corp. 374,440
63,600 Friedman Billings Ramsey Group, Inc. Class A 199,704
15,690 GMH Communities Trust 86,609
6,800 Getty Realty Corp. 181,424
17,856 Glimcher Realty Trust 255,162
10,550 Gramercy Capital Corp. (i) 256,471
23,700 Healthcare Realty Trust, Inc. 601,743
17,700 Hersha Hospitality Trust 168,150
26,500 Highwoods Properties, Inc. 778,570
15,520 Home Properties, Inc. 696,072
40,300 IMPAC Mortgage Holdings, Inc. (i) 22,568
27,400 Inland Real Estate Corp. 387,984
23,100 Investors Real Estate Trust (i) 207,207
12,700 JER Investors Trust, Inc. (i) 136,779
9,940 Kite Realty Group Trust 151,784
9,600 LTC Properties, Inc. 240,480
18,720 LaSalle Hotel Properties 597,168
30,992 Lexington Corporate Properties Trust 450,624
20,300 Luminent Mortgage Capital, Inc. (i) 15,834
57,300 MFA Mortgage Investments, Inc. 530,025
16,600 Maguire Properties, Inc. (i) 489,202
24,700 Medical Properties Trust, Inc. 251,693
16,480 Meruelo Maddux Properties, Inc. (a) 65,920
11,929 Mid-America Apartment Communities, Inc. 509,965
6,000 Mission West Properties, Inc. 57,060
9,629 National Health Investors, Inc. 268,649
32,375 National Retail Properties, Inc. 756,928
41,859 Nationwide Health Properties, Inc. 1,313,117
20,300 Newcastle Investment Corp. (i) 263,088
26,700 NorthStar Realty Finance Corp. (i) 238,164
100 Novastar Financial, Inc. (a)(i) 289
29,200 Omega Healthcare Investors, Inc. 468,660
6,708 PS Business Parks, Inc. 352,505
7,504 Parkway Properties, Inc. 277,498
15,132 Pennsylvania Real Estate Investment Trust 449,118
19,186 Post Properties, Inc. 673,812
18,247 Potlatch Corp. 810,897
29,810 RAIT Investment Trust (i) 256,962
9,400 Ramco-Gershenson Properties Trust 200,878
45,300 Realty Income Corp. (i) 1,224,006
10,795 Redwood Trust, Inc. (i) 369,621
5,422 Saul Centers, Inc. 289,697
39,414 Senior Housing Properties Trust 893,910
9,180 Sovran Self Storage, Inc. 368,118
34,800 Strategic Hotel Capital, Inc. 582,204
8,343 Sun Communities, Inc. 175,787
29,200 Sunstone Hotel Investors, Inc. 534,068
14,622 Tanger Factory Outlet Centers, Inc. 551,396
2,875 Tarragon Corp. (a)(i) 4,313
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
22,170 U-Store-It Trust $ 203,077
5,727 Universal Health Realty Income Trust 202,965
9,200 Urstadt Biddle Properties, Inc. Class A 142,600
21,065 Washington Real Estate Investment Trust 661,652
17,900 Winthrop Realty Trust, Inc. 94,691
---------------
33,693,834
- ----------------------------------------------------------------------------------------------------------------------------------
Recreational Vehicles & 6,043 Arctic Cat, Inc. 72,153
Boats - 0.2% 27,799 Fleetwood Enterprises, Inc. (a)(i) 166,238
2,075 Marine Products Corp. 14,546
13,024 Monaco Coach Corp. 115,653
15,800 Polaris Industries, Inc. (i) 754,766
13,490 Winnebago Industries, Inc. (i) 283,560
---------------
1,406,916
- ----------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 5,853 Electro Rent Corp. 86,917
Commercial - 0.1% 8,600 H&E Equipment Services, Inc. (a) 162,368
11,910 McGrath RentCorp 306,683
---------------
555,968
- ----------------------------------------------------------------------------------------------------------------------------------
Rental & Leasing Services: 19,693 Aaron Rents, Inc. (g) 378,893
Consumer - 0.2% 4,600 Amerco, Inc. (a)(i) 302,128
10,695 Dollar Thrifty Automotive Group, Inc. (a) 253,258
9,500 RSC Holdings, Inc. (a) 119,225
33,000 Rent-A-Center, Inc. (a) 479,160
---------------
1,532,664
- ----------------------------------------------------------------------------------------------------------------------------------
Restaurants - 1.3% 13,400 AFC Enterprises, Inc. (a) 151,688
7,900 BJ's Restaurants, Inc. (a) 128,454
3,400 Benihana, Inc. Class A (a) 43,350
16,280 Bob Evans Farms, Inc. 438,420
7,550 Buffalo Wild Wings, Inc. (a) 175,311
10,400 CBRL Group, Inc. 336,856
13,050 CEC Entertainment, Inc. (a) 338,778
26,200 CKE Restaurants, Inc. 345,840
14,950 California Pizza Kitchen, Inc. (a) 232,771
4,300 Carrols Restaurant Group, Inc. (a) 41,194
14,800 Chipotle Mexican Grill, Inc. Class B (a) 1,821,140
47,100 Denny's Corp. (a) 176,625
20,850 Domino's Pizza, Inc. 275,846
7,148 IHOP Corp. (i) 261,474
27,536 Jack in the Box, Inc. (a) 709,603
27,500 Jamba, Inc. (a)(i) 101,750
28,200 Krispy Kreme Doughnuts, Inc. (a)(i) 89,112
6,096 Landry's Restaurants, Inc. (i) 120,091
7,200 McCormick & Schmick's Seafood Restaurants, Inc. (a) 85,896
5,500 Morton's Restaurant Group, Inc. (a) 51,315
12,184 O'Charleys, Inc. 182,516
10,508 P.F. Chang's China Bistro, Inc. (a)(i) 240,003
10,896 Papa John's International, Inc. (a) 247,339
6,800 Red Robin Gourmet Burgers, Inc. (a) 217,532
24,700 Ruby Tuesday, Inc. 240,825
9,500 Ruth's Chris Steak House, Inc. (a) 84,930
29,220 Sonic Corp. (a) 639,918
10,728 The Steak n Shake Co. (a) 116,935
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
21,500 Texas Roadhouse, Inc. Class A (a) $ 237,790
26,550 Triarc Cos. 232,578
---------------
8,365,880
- ----------------------------------------------------------------------------------------------------------------------------------
Retail - 2.9% 13,024 1-800-FLOWERS.COM, Inc. Class A (a) 113,700
22,400 99 Cents Only Stores (a) 178,304
9,800 A.C. Moore Arts & Crafts, Inc. (a) 134,750
12,300 Asbury Automotive Group, Inc. 185,115
31,375 Aeropostale, Inc. (a) 831,438
10,900 Big 5 Sporting Goods Corp. 157,178
9,600 bebe Stores, Inc. 123,456
86,200 Blockbuster, Inc. Class A (a)(i) 336,180
5,800 Blue Nile, Inc. (a)(i) 394,748
5,200 The Bon-Ton Stores, Inc. (i) 49,348
8,800 Books-A-Million, Inc. 104,896
24,700 Borders Group, Inc. 263,055
19,127 Brown Shoe Co., Inc. 290,156
5,673 The Buckle, Inc. 187,209
6,300 Build-A-Bear Workshop, Inc. (a) 87,885
20,334 CSK Auto Corp. (a) 101,873
18,400 Cabela's, Inc. Class A (a)(i) 277,288
7,050 Cache, Inc. (a) 65,847
15,700 Casual Male Retail Group, Inc. (a) 81,326
12,995 The Cato Corp. Class A 203,501
33,234 Central Garden & Pet Co. Class A (a) 178,134
12,000 Charlotte Russe Holding, Inc. (a) 193,800
57,240 Charming Shoppes, Inc. (a) 309,668
9,585 The Children's Place Retail Stores, Inc. (a) 248,539
15,728 Christopher & Banks Corp. 180,086
30,200 Collective Brands, Inc. (a) 525,178
5,900 Conn's, Inc. (a)(i) 100,949
22,890 Dress Barn, Inc. (a) 286,354
10,900 Eddie Bauer Holdings, Inc. (a) 69,215
16,100 Ezcorp, Inc. (a) 181,769
9,400 FTD Group, Inc. 121,072
19,135 Fred's, Inc. 184,270
9,700 GSI Commerce, Inc. (a) 189,150
8,200 Gaiam, Inc. (a) 243,376
5,800 Gander Mountain Co. (a)(i) 28,594
10,738 Genesco, Inc. (a) 405,896
11,132 Group 1 Automotive, Inc. 264,385
12,258 Gymboree Corp. (a) 373,379
15,175 Hibbett Sports, Inc. (a) 303,197
23,181 Hot Topic, Inc. (a) 134,913
22,598 Insight Enterprises, Inc. (a) 412,188
12,205 Jo-Ann Stores, Inc. (a) 159,641
7,533 Jos. A. Bank Clothiers, Inc. (a)(i) 214,314
1,788 Lawson Products, Inc. 67,801
6,800 Lithia Motors, Inc. Class A 93,364
7,700 MarineMax, Inc. (a)(i) 119,350
25,300 Men's Wearhouse, Inc. 682,594
10,800 New York & Co. (a) 68,904
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
7,800 Overstock.com, Inc. (a)(i) $ 121,134
2,600 PC Connection, Inc. (a) 29,510
30,600 Pacific Sunwear of California, Inc. (a) 431,766
10,800 The Pantry, Inc. (a) 282,204
19,310 The Pep Boys - Manny, Moe & Jack 221,679
11,500 PetMed Express, Inc. (a) 139,150
42,199 Pier 1 Imports, Inc. (a) 220,701
5,400 PriceSmart, Inc. 162,324
17,516 Priceline.com, Inc. (a) 2,011,888
9,000 Retail Ventures, Inc. (a) 45,810
14,500 Rush Enterprises, Inc. Class A (a) 263,610
6,647 Russ Berrie & Co., Inc. (a) 108,745
40,000 Sally Beauty Co., Inc. (a) 362,000
10,054 School Specialty, Inc. (a) 347,366
6,900 Shutterfly, Inc. (a) 176,778
14,700 Sonic Automotive, Inc. 284,592
18,250 Stage Stores, Inc. 270,100
8,803 Stamps.com, Inc. (a) 107,221
13,724 Stein Mart, Inc. 65,052
1,500 Syms Corp. 22,650
3,800 Systemax, Inc. (i) 77,216
11,100 The Talbots, Inc. (i) 131,202
14,590 Tuesday Morning Corp. 73,971
10,766 Tween Brands, Inc. (a) 285,084
20,080 United Natural Foods, Inc. (a) 636,938
17,256 ValueVision Media, Inc. Class A (a) 108,540
7,000 Volcom, Inc. (a) 154,210
41,200 The Wet Seal, Inc. Class A (a) 95,996
18,700 Zale Corp. (a)(i) 300,322
8,200 Zumiez, Inc. (a)(i) 199,752
---------------
18,244,844
- ----------------------------------------------------------------------------------------------------------------------------------
Savings & Loan - 1.1% 9,337 Anchor Bancorp Wisconsin, Inc. 219,606
26,738 Bank Mutual Corp. 282,620
21,542 BankAtlantic Bancorp, Inc. Class A 88,322
16,973 BankUnited Financial Corp. Class A (i) 117,114
5,300 Berkshire Hills Bancorp, Inc. 137,800
31,387 Brookline Bancorp, Inc. 318,892
13,649 Dime Community Bancshares, Inc. 174,298
10,000 Downey Financial Corp. (i) 311,100
5,826 First Financial Holdings, Inc. 159,749
6,600 First Indiana Corp. 211,200
49,053 First Niagara Financial Group, Inc. 590,598
8,600 First Place Financial Corp. 120,314
5,900 FirstFed Financial Corp. (a)(i) 211,338
21,350 Flagstar Bancorp, Inc. (i) 148,810
10,275 Flushing Financial Corp. 164,914
3,378 Great Southern Bancorp, Inc. 74,181
6,150 Horizon Financial Corp. 107,256
5,850 IBERIABANK Corp. 273,488
3,700 Imperial Capital Bancorp, Inc. 67,710
11,000 KNBT Bancorp, Inc. 169,620
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
7,400 Kearny Financial Corp. $ 88,134
700 NASB Financial, Inc. 18,214
53,000 NewAlliance Bancshares, Inc. 610,560
7,267 Northwest Bancorp, Inc. 193,084
13,965 Ocwen Financial Corp. (a) 77,366
11,011 PFF Bancorp, Inc. 132,572
29,058 Provident Financial Services, Inc. 419,016
18,789 Provident New York Bancorp 242,754
3,500 Rockville Financial, Inc. 42,700
2,700 Roma Financial Corp. 42,363
24,343 Sterling Financial Corp. 408,719
9,300 TierOne Corp. 205,995
9,061 United Community Financial Corp. 50,017
5,800 ViewPoint Financial Group 95,874
39,633 W Holding Co., Inc. (i) 47,956
4,512 Westfield Financial, Inc. 43,766
---------------
6,668,020
- ----------------------------------------------------------------------------------------------------------------------------------
Scientific Equipment & 17,635 Newport Corp. (a) 225,552
Suppliers - 0.2% 14,235 Varian, Inc. (a) 929,546
---------------
1,155,098
- ----------------------------------------------------------------------------------------------------------------------------------
Securities Brokerage & 22,145 Centerline Holding Co. (i) 168,745
Services - 0.5% 7,300 GFI Group, Inc. (a) 698,756
12,400 KBW, Inc. (a) 317,316
46,500 Knight Capital Group, Inc. Class A (a)(g) 669,600
20,500 LaBranche & Co., Inc. (a) 103,320
49,900 Ladenburg Thalmann Financial Services, Inc. (a)(i) 105,788
13,500 MarketAxess Holdings, Inc. (a) 173,205
20,400 optionsXpress Holdings, Inc. 689,928
5,200 Penson Worldwide, Inc. (a) 74,620
9,706 SWS Group, Inc. 122,975
10,100 Thomas Weisel Partners Group, Inc. (a) 138,673
---------------
3,262,926
- ----------------------------------------------------------------------------------------------------------------------------------
Services: Commercial - 3.3% 20,370 ABM Industries, Inc. 415,344
16,405 AMN Healthcare Services, Inc. (a) 281,674
10,961 Administaff, Inc. 309,977
8,500 The Advisory Board Co. (a) 545,615
8,300 Ambassadors Group, Inc. 151,973
5,400 Ambassadors International, Inc. (i) 78,732
4,400 Barrett Business Services, Inc. 79,244
22,753 CBIZ, Inc. (a) 223,207
7,001 CDI Corp. 169,844
5,600 CRA International, Inc. (a) 266,616
10,978 Casella Waste Systems, Inc. (a) 143,153
11,172 Chemed Corp. 624,291
9,050 CoStar Group, Inc. (a) 427,613
13,092 Coinstar, Inc. (a) 368,540
5,200 Cornell Cos., Inc. (a) 121,264
16,000 Cross Country Healthcare, Inc. (a) 227,840
13,800 Diamond Management & Technology
Consultants, Inc. 100,326
12,200 DynCorp. International, Inc. (a) 327,936
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
7,704 Exponent, Inc. (a) $ 208,316
21,741 FTI Consulting, Inc. (a) 1,340,115
4,200 First Advantage Corp. Class A (a) 69,174
5,881 Forrester Research, Inc. (a) 164,786
10,177 G&K Services, Inc. Class A 381,841
23,500 The Geo Group, Inc. (a) 658,000
13,300 Gevity HR, Inc. 102,277
9,620 Global Sources Ltd. (a) 271,476
23,700 Harris Interactive, Inc. (a) 100,962
8,558 Heidrick & Struggles International, Inc. 317,587
21,200 Home Solutions of America, Inc. (a)(i) 21,200
12,300 Hudson Highland Group, Inc. (a) 103,443
4,400 ICT Group, Inc. (a) 52,580
47,000 IKON Office Solutions, Inc. 611,940
14,000 Jackson Hewitt Tax Service, Inc. 444,500
11,168 Kelly Services, Inc. Class A 208,395
13,100 Kforce, Inc. (a) 127,725
13,200 The Knot, Inc. (a) 210,408
20,968 Korn/Ferry International (a) 394,618
4,600 Liquidity Services, Inc. (a) 59,340
7,604 MAXIMUS, Inc. 293,590
44,605 MPS Group, Inc. (a) 487,979
7,242 Midas, Inc. (a) 106,168
8,750 Monro Muffler, Inc. 170,538
22,523 Navigant Consulting, Inc. (a) 307,889
19,100 Net 1 UEPS Technologies, Inc. (a) 560,776
17,100 On Assignment, Inc. (a) 119,871
13,400 Orbitz Worldwide, Inc. (a) 113,900
23,164 PHH Corp. (a) 408,613
11,300 People Support, Inc. (a) 154,584
13,900 Perficient, Inc. (a) 218,786
4,560 Pre-Paid Legal Services, Inc. (a) 252,396
5,600 The Providence Service Corp. (a) 157,584
20,700 Regis Corp. 578,772
23,032 Resources Connection, Inc. 418,261
18,453 Rollins, Inc. 354,298
23,000 Source Interlink Cos., Inc. (a)(i) 66,240
24,529 Spherion Corp. (a) 178,571
1,700 Standard Parking Corp. (a) 82,433
7,800 Steiner Leisure Ltd. (a) 344,448
19,589 TeleTech Holdings, Inc. (a) 416,658
27,231 Tetra Tech, Inc. (a) 585,467
3,700 Travelzoo, Inc. (a) 50,616
21,122 TrueBlue, Inc. (a) 305,847
5,800 Unifirst Corp. 220,400
9,600 Viad Corp. 303,168
6,138 Volt Information Sciences, Inc. (a) 112,080
32,027 Waste Connections, Inc. (a) 989,634
2,600 Waste Industries USA, Inc. 94,380
8,233 Waste Services, Inc. (a) 70,557
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
19,915 Watson Wyatt Worldwide, Inc. $ 924,255
13,400 World Fuel Services Corp. 389,002
---------------
20,549,633
- ----------------------------------------------------------------------------------------------------------------------------------
Shipping - 0.7% 24,200 American Commercial Lines, Inc. (a)(g) 393,008
4,700 Arlington Tankers Ltd. (i) 104,011
10,400 Double Hull Tankers, Inc. 127,296
21,900 Eagle Bulk Shipping, Inc. 581,445
9,400 Genco Shipping & Trading Ltd. 514,744
12,000 General Maritime Corp. (i) 293,400
16,400 Golar LNG Ltd. 362,768
10,800 Gulfmark Offshore, Inc. (a) 505,332
15,800 Horizon Lines, Inc. Class A 294,512
9,000 Knightsbridge Tankers Ltd. (i) 217,350
12,900 Nordic American Tanker Shipping Ltd. (i) 423,378
14,500 Ship Finance International Ltd. (i) 401,795
2,100 TBS International Ltd. (a) 69,426
---------------
4,288,465
- ----------------------------------------------------------------------------------------------------------------------------------
Shoes - 0.5% 6,500 DSW, Inc. Class A (a)(i) 121,940
5,700 Deckers Outdoor Corp. (a) 883,842
20,966 The Finish Line, Inc. Class A 50,738
2,800 Heelys, Inc. (a)(i) 19,488
23,700 Iconix Brand Group, Inc. (a) 465,942
12,296 K-Swiss, Inc. Class A 222,558
4,992 Kenneth Cole Productions, Inc. Class A 87,310
5,400 Shoe Carnival, Inc. (a) 76,194
9,355 Skechers U.S.A., Inc. Class A (a) 182,516
9,968 Steven Madden Ltd. (a) 199,360
20,600 Timberland Co. Class A (a) 372,448
2,400 Weyco Group, Inc. 66,000
23,808 Wolverine World Wide, Inc. 583,772
---------------
3,332,108
- ----------------------------------------------------------------------------------------------------------------------------------
Steel - 0.3% 5,100 Claymont Steel, Inc. (a) 119,085
4,400 Esmark, Inc. (a) 62,172
9,834 Gibraltar Industries, Inc. 151,640
3,300 Olympic Steel, Inc. 104,643
10,250 Schnitzer Steel Industries, Inc. Class A 708,583
3,600 Universal Stainless & Alloy Products, Inc. (a) 128,052
32,300 Worthington Industries, Inc. 577,524
---------------
1,851,699
- ----------------------------------------------------------------------------------------------------------------------------------
Sugar - 0.0% 4,800 Imperial Sugar Co. New Shares (i) 90,096
- ----------------------------------------------------------------------------------------------------------------------------------
Telecommunications 400 Airvana, Inc. (a) 2,172
Equipment - 0.6% 70,190 Arris Group, Inc. (a) 700,502
7,285 Audiovox Corp. Class A (a) 90,334
20,961 Belden, Inc. 932,764
17,500 Mastec, Inc. (a) 177,975
6,300 OpNext, Inc. (a) 55,755
22,499 Plantronics, Inc. 584,974
40,900 Polycom, Inc. (a) 1,136,202
61,477 Powerwave Technologies, Inc. (a)(i) 247,752
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
600 Preformed Line Products Co. $ 35,700
22,800 Symmetricom, Inc. (a) 107,388
---------------
4,071,518
- ----------------------------------------------------------------------------------------------------------------------------------
Textile Products - 0.1% 25,721 Interface, Inc. Class A 419,767
- ----------------------------------------------------------------------------------------------------------------------------------
Textiles Apparel 27,300 Carter's, Inc. (a) 528,255
Manufacturers - 0.7% 4,200 Cherokee, Inc. (i) 135,534
6,600 Columbia Sportswear Co. 290,994
7,300 G-III Apparel Group, Ltd. (a) 107,821
18,170 J. Crew Group, Inc. (a) 875,976
11,282 Kellwood Co. 187,732
6,100 Lululemon Athletica, Inc. (a) 288,957
11,200 Maidenform Brands, Inc. (a) 151,536
7,042 Oxford Industries, Inc. 181,472
6,450 Perry Ellis International, Inc. (a) 99,201
54,200 Quiksilver, Inc. (a) 465,036
5,500 True Religion Apparel, Inc. (a)(i) 117,425
10,700 Under Armour, Inc. Class A (a)(i) 467,269
21,600 The Warnaco Group, Inc. (a) 751,680
---------------
4,648,888
- ----------------------------------------------------------------------------------------------------------------------------------
Tires & Rubber - 0.1% 28,900 Cooper Tire & Rubber Co. 479,162
10,500 Titan International, Inc. 328,230
---------------
807,392
- ----------------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.2% 45,555 Alliance One International, Inc. (a) 185,409
7,520 Schweitzer-Mauduit International, Inc. 194,843
12,656 Universal Corp. 648,240
15,244 Vector Group Ltd. (i) 305,795
---------------
1,334,287
- ----------------------------------------------------------------------------------------------------------------------------------
Toys - 0.2% 13,430 Jakks Pacific, Inc. (a) 317,082
16,246 Leapfrog Enterprises, Inc. (a) 109,336
23,800 Marvel Entertainment, Inc. (a) 635,698
---------------
1,062,116
- ----------------------------------------------------------------------------------------------------------------------------------
Transportation 13,100 Celadon Group, Inc. (a) 119,996
Miscellaneous - 0.2% 4,600 Dynamex, Inc. (a) 124,476
18,200 HUB Group, Inc. Class A (a) 483,756
22,000 Odyssey Marine Exploration, Inc. (a) 136,180
16,400 Pacer International, Inc. 239,440
1,800 Textainer Group Holdings Ltd. 26,154
5,700 Ultrapetrol Bahamas Ltd. (a) 96,957
---------------
1,226,959
- ----------------------------------------------------------------------------------------------------------------------------------
Truckers - 0.4% 9,041 Arkansas Best Corp. 198,359
14,132 Forward Air Corp. 440,494
25,173 Heartland Express, Inc. (i) 356,953
26,962 Knight Transportation, Inc. (i) 399,307
5,450 Marten Transport Ltd. (a) 76,028
14,025 Old Dominion Freight Line, Inc. (a) 324,118
400 Patriot Transportation Holding, Inc. (a) 36,892
6,181 Saia, Inc. (a) 82,207
1,800 Universal Truckload Services, Inc. (a) 34,488
22,200 Werner Enterprises, Inc. 378,066
---------------
2,326,912
- ----------------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Cable 28,500 Mediacom Communications Corp. Class A (a)(i) $ 130,815
TV & Radio - 0.0%
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Electrical - 1.7% 12,066 Allete, Inc. 477,572
24,775 Avista Corp. 533,653
17,600 Black Hills Corp. 776,160
7,489 CH Energy Group, Inc. 333,560
5,000 Central Vermont Public Service Corp. 154,200
27,867 Cleco Corp. 774,702
21,408 El Paso Electric Co. (a) 547,403
14,068 The Empire District Electric Co. 320,469
20,500 IDACORP, Inc. 722,010
19,800 ITC Holdings Corp. 1,117,116
9,045 MGE Energy, Inc. 320,826
15,500 NorthWestern Corp. 457,250
12,786 Otter Tail Corp. 442,396
35,800 PNM Resources, Inc. 767,910
6,600 Pike Electric Corp. (a) 110,616
14,400 Portland General Electric Co. 400,032
11,967 UIL Holdings Corp. 442,181
16,583 Unisource Energy Corp. 523,194
44,600 Westar Energy, Inc. 1,156,924
---------------
10,378,174
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Gas 2,900 EnergySouth, Inc. 168,200
Distributors - 0.9% 9,348 The Laclede Group, Inc. 320,076
13,074 New Jersey Resources Corp. 653,961
19,900 Nicor, Inc. 842,765
12,599 Northwest Natural Gas Co. 613,067
34,800 Piedmont Natural Gas Co. (i) 910,368
13,832 South Jersey Industries, Inc. 499,197
19,690 Southwest Gas Corp. 586,171
22,400 WGL Holdings, Inc. 733,824
---------------
5,327,629
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Miscellaneous - 0.1% 164,200 Aquila, Inc. (a) 612,466
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: 21,100 Alaska Communications Systems Group, Inc. 316,500
Telecommunications - 1.2% 5,200 Atlantic Tele-Network, Inc. 175,656
11,826 Centennial Communications Corp. (a) 109,863
116,000 Cincinnati Bell, Inc. (a) 551,000
9,000 Consolidated Communications Holdings, Inc. 179,100
15,400 FairPoint Communications, Inc. 200,508
54,550 FiberTower Corp. (a)(i) 124,374
25,539 General Communication, Inc. Class A (a) 223,466
16,700 Global Crossing Ltd. (a)(i) 368,235
6,300 Globalstar, Inc. (a)(i) 50,400
7,292 Golden Telecom, Inc. (a)(f) 736,127
50,500 ICO Global Communications Holdings Ltd. (a) 160,590
22,900 IDT Corp. Class B 193,505
11,400 Ibasis, Inc. 58,482
14,400 Iowa Telecommunications Services, Inc. 234,144
8,100 iPCS, Inc. 291,519
13,100 NTELOS Holdings Corp. 388,939
2,000 Neutral Tandem, Inc. (a) 38,040
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Shares
Industry Held Common Stocks Value
- ----------------------------------------------------------------------------------------------------------------------------------
9,521 North Pittsburgh Systems, Inc. $ 235,105
8,900 ORBCOMM, Inc. (a) 55,981
31,820 PAETEC Holding Corp. (a) 310,245
29,000 Premiere Global Services, Inc. (a) 430,650
13,500 RCN Corp. (a) 210,465
5,100 Rural Cellular Corp. Class A (a) 224,859
9,600 Shenandoah Telecom Co. 230,208
7,000 SureWest Communications 119,700
67,200 Time Warner Telecom, Inc. Class A (a)(i) 1,363,488
11,120 USA Mobility, Inc. (a) 159,016
10,600 Virgin Mobile USA, Inc. (a) 94,234
---------------
7,834,399
- ----------------------------------------------------------------------------------------------------------------------------------
Utilities: Water - 0.2% 8,285 American States Water Co. 312,179
9,296 California Water Service Group 344,138
5,600 Consolidated Water Co., Inc. 141,064
6,148 SJW Corp. 213,151
13,483 Southwest Water Co. (i) 168,807
---------------
1,179,339
- ----------------------------------------------------------------------------------------------------------------------------------
Wholesale & International 16,425 Central European Distribution Corp. (a) 953,964
Trade - 0.2%
- ----------------------------------------------------------------------------------------------------------------------------------
Wholesalers - 0.4% 23,830 Brightpoint, Inc. (a) 366,029
8,000 Houston Wire & Cable Co. (i) 113,120
52,400 LKQ Corp. (a) 1,101,448
4,000 MWI Veterinary Supply, Inc. (a) 160,000
16,400 Prestige Brands Holdings, Inc. (a) 122,672
12,169 United Stationers, Inc. (a) 562,329
---------------
2,425,598
- ----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(Cost - $525,261,156) - 93.2% 587,256,036
- ----------------------------------------------------------------------------------------------------------------------------------
Exchange-Traded Funds
- ----------------------------------------------------------------------------------------------------------------------------------
169,590 iShares Russell 2000 Index Fund (i) 12,915,974
- ----------------------------------------------------------------------------------------------------------------------------------
Total Exchange-Traded Funds (Cost - $12,334,264) - 2.0% 12,915,974
- ----------------------------------------------------------------------------------------------------------------------------------
Mutual Funds
- ----------------------------------------------------------------------------------------------------------------------------------
2,900 BlackRock Kelso Capital Corp. (c) 44,312
7,000 Gladstone Capital Corp. (i) 119,000
15,200 Hercules Technology Growth Capital, Inc. 188,784
3,200 Kayne Anderson Energy Development Co. 73,312
11,600 Patriot Capital Funding, Inc. 117,044
11,600 Pennantpark Investment Corp. 116,232
11,400 Prospect Capital Corp. 148,770
- ----------------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds
(Cost - $983,037) - 0.1% 807,454
- ----------------------------------------------------------------------------------------------------------------------------------
Rights
- ----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% 1,174 Medis Technologies Ltd. (a)(e) 0
- ----------------------------------------------------------------------------------------------------------------------------------
Total Rights
(Cost - $0) - 0.0% 0
- ----------------------------------------------------------------------------------------------------------------------------------
Other Interests
- ----------------------------------------------------------------------------------------------------------------------------------
Oil: Crude Producers - 0.0% 500 PetroCorp Inc. (Escrow Shares) (b) 0
- ----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests
(Cost - $0) - 0.0% 0
- ----------------------------------------------------------------------------------------------------------------------------------
Master Small Cap Index Series of Quantitative Master Series LLC
Schedule of Investments as of December 31, 2007
Beneficial
Interest Short-Term Securities Value
- ----------------------------------------------------------------------------------------------------------------------------------
$ 33,226,793 BlackRock Liquidity Series, LLC Cash Sweep Series, 5.04% (c)(h) $ 33,226,793
83,808,817 BlackRock Liquidity Series, LLC Money Market Series, 4.78% (c)(d)(h) 83,808,817
- ----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $117,035,610) - 18.6% 117,035,610
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $655,614,067*) - 113.9% 718,015,074
Liabilities in Excess of Other Assets - (13.9%) (87,620,790)
---------------
Net Assets - 100.0% $ 630,394,284
---------------
* The cost and unrealized appreciation (depreciation) of investments, as of
December 31, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 661,516,435
=============
Gross unrealized appreciation $ 122,933,165
Gross unrealized depreciation (66,434,526)
-------------
Net unrealized appreciation $ 56,498,639
=============
(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:
--------------------------------------------------------------------------------------------------------------------
Interest/
Purchase Sale Realized Dividend
Affiliate Cost Cost Loss Income
--------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series - $(75,586,157)** - $ 3,154,441
BlackRock Liquidity Series, LLC
Money Market Series $ 49,642,337* - - $ 828,965
Anthracite Capital, Inc. $ 79,398 $ 8,674 $ (719) $ 30,528
BlackRock Kelso Capital Corp. $ 42,004 - - $ 946
--------------------------------------------------------------------------------------------------------------------
* Represents net purchase cost.
** Represents net sale cost.
(d) Security was purchased with the cash proceeds from securities loans.
(e) The rights may be exercised until January 7, 2008.
(f) Depositary receipts.
(g) Security held as collateral in connection with open financial futures
contracts.
(h) Represents the current yield as of December 31, 2007.
(i) Security, or a portion of security, is on loan.
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 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, 2007, were as
follows:
--------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Appreciation
--------------------------------------------------------------------------
74 Russell 2000 Index March 2008 $ 28,101,735 $ 469,605
--------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ON DETAILED SCHEDULE OF
INVESTMENTS
To the Investors and Board of Directors of
Quantitative Master Series LLC:
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
Quantitative Master Series LLC (formerly Quantitative Master Series Trust) (the
"Master LLC") as of December 31, 2007, and for the year then ended and have
issued our report thereon dated February 22, 2008 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, 2007 appearing in Item 6 of this Form N-CSR.
This Schedule is the responsibility of the Master LLC's management. Our
responsibility is to express an opinion based on our audit. In our opinion, the
Schedule referred to above, when considered in relation to the basic financial
statements taken as a whole of the Series referred to above, presents fairly, in
all material respects, the information set forth therein.
DELOITTE & TOUCHE LLP
February 22, 2008
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - The
registrant's Nominating and Governance Committee will consider
nominees to the Board recommended by shareholders when a vacancy
becomes available. Shareholders who wish to recommend a nominee
should send nominations which include biographical information and
set forth the qualifications of the proposed nominee to the
registrant's Secretary. There have been no material changes to these
procedures.
Item 11 - Controls and Procedures
11(a) - The registrant's principal executive and principal financial
officers or persons performing similar functions have concluded that
the registrant's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended
(the "1940 Act")) are effective as of a date within 90 days of the
filing of this report based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act and Rule
15d-15(b) under the Securities Exchange Act of 1934, as amended.
11(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the second fiscal quarter of the period covered
by this report that have materially affected, or are 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.
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and Master Small
Cap Index Series of Quantitative Master Series LLC
By: /s/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and
Master Small Cap Index Series of Quantitative Master Series LLC
Date: February 21, 2008
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/ Donald C. Burke
-------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and
Master Small Cap Index Series of Quantitative Master Series LLC
Date: February 21, 2008
By: /s/ Neal J. Andrews
-------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Small Cap Index Fund of BlackRock Index Funds, Inc. and
Master Small Cap Index Series of Quantitative Master Series LLC
Date: February 21, 2008