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 811-10027

STATE FARM MUTUAL FUND TRUST

(Exact name of registrant as specified in charter)

One State Farm Plaza Bloomington, IL	61710-0001
(Address of principal executive offices)	(Zip code)

	Alan Goldberg
	Bell, Boyd & Lloyd LLC
Michael L. Tipsord	Three First National Plaza
One State Farm Plaza	70 West Madison St., Suite 3100
Bloomington, Illinois 61710-0001	Chicago, Illinois 60602

(Names and addresses of agents for service)

Registrant’s telephone number, including area code: 1-800-447-4930

Date of fiscal year end: 12/31/2006

Date of reporting period: 06/30/2006

ITEM 1. REPORTS TO STOCKHOLDERS.

June 30, 2006 STATE FARM Auto Life Fire INSURANCE® Mutual Funds®

State Farm Mutual Fund Trust SEMI-ANNUAL REPORT

Class A Shares / Legacy Class A Shares / Class B Shares / Legacy Class B Shares / Institutional Shares / Class R-1, R-2 and R-3 Shares

State Farm Equity Fund State Farm Small Cap Equity Fund State Farm International Equity Fund State Farm S&P 500 Index Fund State Farm Small Cap Index Fund State Farm International Index Fund State Farm Equity and Bond Fund State Farm Bond Fund State Farm Tax Advantaged Bond Fund State Farm Money Market Fund State Farm LifePath® Income Fund State Farm LifePath 2010® Fund State Farm LifePath 2020® Fund State Farm LifePath 2030® Fund State Farm LifePath 2040® Fund

Table of Contents
Message to Shareholders	1	Master Investment Portfolio
Portfolio Summary	2	Schedule of Investments
Expense Example	7	S&P 500 Index Master Portfolio	140
Board Approval of Investment Advisory Agreements Schedule of Investments	17	LifePath Retirement Master Portfolio	151
		LifePath 2010 Master Portfolio	155
State Farm Equity Fund	20	LifePath 2020 Master Portfolio	159
State Farm Small Cap Equity Fund	22	LifePath 2030 Master Portfolio	163
State Farm International Equity Fund	24	LifePath 2040 Master Portfolio	167
State Farm Small Cap Index Fund	28	Active Stock Master Portfolio	171
State Farm International Index Fund	48	CoreAlpha Bond Master Portfolio	179
State Farm Equity and Bond Fund	61	Portfolio Allocations	192
State Farm Bond Fund	62	Financial Statements
State Farm Tax Advantaged Bond Fund	69	Statements of Assets and Liabilities	193
State Farm Money Market Fund	74	Statements of Operations	196
Financial Statements		Statements of Changes in Net Assets	199
Statements of Assets and Liabilities	76	Notes to the Financial Statements	204
Statements of Operations	80	Board Review and Approval of the Investment Advisory Contracts	215
Statements of Changes in Net Assets	82
Notes to Financial Statements	88
Financial Highlights	110

Service is only a phone call away

Contact your local Registered State Farm Agent or call our Securities Products Department toll free, at 1-800-447-4930.

Fund prices are available to you 24 hours a day, 7 days a week.

Securities Products Response Center Representatives are available 8 a.m.–6 p.m. Central Time Monday through Friday (except holidays)

1-800-447-4930

Visit our website www.statefarm.com^®

This report and material must be accompanied or preceded by a prospectus for the State Farm Mutual Fund Trust (the “Trust”).

The Trust offers Class A, Class B, Legacy Class A, Legacy Class B, Class R-1, Class R-2, Class R-3, and/or Institutional shares for fifteen separate funds through three prospectuses, one for Class A, Class B, Legacy Class A and Legacy Class B shares, one for Class R shares, and another for Institutional shares.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, and information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12 month period ended June 30, are available without charge upon request at 1-800-447-4930 and at http://www.sec.gov.

The Funds file complete schedules of portfolio holdings for each Fund with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds make the information on Form N-Q available to shareholders upon request without charge at 1-800-447-4930.

Distributor: State Farm VP Management Corp.

Message to Shareholders of State Farm Mutual Fund Trust

Dear Shareholders,

Thank you for investing with State Farm Mutual Funds^®. Enclosed is the Semi-Annual Report for the 6-month period ended June 30, 2006 for the State Farm Mutual Fund Trust. Included are financial statements and a complete list of portfolio holdings to help you further understand the Funds you own. We encourage your review and consideration of this entire report.

After a relatively strong start in the 1st quarter, equity and bond markets declined during the 2nd quarter with concerns over rising interest rates, inflation, and prospects of an economic slowdown. In the domestic equity market, small cap stocks as measured by the Russell 2000^® Index outperformed large cap stocks as measured by the S&P 500^® Index with a gain of 8.21% versus 2.71% year-to-date through June 30, 2006. During the same timeframe, international equity markets overall gained ground in the 2nd quarter and provided a return of 10.16% as measured by the MSCI EAFE^® Free Index. Among fixed income markets, the Lehman Brothers U.S. Aggregate Bond Index declined -0.72% year-to-date through June 30, 2006 while the Lehman Brothers Municipal Bond Index posted a small gain of 0.28% for the same time period.¹

Look for a detailed discussion of factors that impacted the performance of the Funds during 2006 in the next State Farm Mutual Fund Trust Annual Report.

Electronic Delivery

Mutual Fund shareholders can now elect to have future Annual Reports, Semi-Annual Reports, and Prospectuses delivered electronically to their statefarm.com^® Secure Mailbox rather than receiving large, bulky paper reports in the mail. This is a great way to help control internal fund costs related to printing and mailing these materials and possibly help preserve the environment by consuming fewer natural resources.

Online Access

Shareholders can also conveniently access and review their Mutual Fund account information online alongside their other State Farm products and accounts. Online access offers the flexibility to manage your account transaction activity like purchases, redemptions, exchanges, etc. on a 24-hour basis, seven days a week.

For electronic delivery and online account sign-up information, go to statefarm.com, contact the State Farm Securities Response Center at 1-800-447-4930, or visit your Registered State Farm Agent for assistance.

Sincerely,

Phillip G. Hawkins

Vice President

State Farm Investment Management Corp.

¹ Source: All index performance information as of 6/30/2006 was obtained from Lipper Analytics. The Russell 2000^® Index tracks the common stock performance of the 2,000 smallest companies in the Russell 3000^® Index. The S&P 500^® Index is a capitalization-weighted measure of common stocks of 500 large U.S. companies. The Morgan Stanley Capital International Europe, Australasia and Far East Free (EAFE^® Free) Index measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East. The Lehman Brothers U.S. Aggregate Bond Index represents debt securities in the U.S. investment grade fixed rate taxable bond market, including government and corporate debt securities, mortgage pass-through debt securities and asset backed debt securities with maturities greater than one year. The Lehman Brothers Municipal Bond Index is an unmanaged index representative of the tax-exempt bond market and is made up of investment grade municipal bonds issued after 12/31/90 having a maturity of at least one year. It is not possible to invest directly in an index. The stocks of small companies are more volatile than the stocks of larger, more established companies. Foreign securities involve risks not normally associated with investing in the U.S. including higher trading and custody costs, less stringent accounting, legal and reporting practices, potential for political and economic instability, and the fluctuation and potential regulation of currency exchange and exchange rates. Bonds have historically been less volatile than stocks, but are sensitive to changes in interest rates. Past performance does not guarantee future results.

1

Portfolio Summary

State Farm Equity Fund

Fund Composition*

(unaudited)

* Illustrated by Sector and based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm Small Cap Equity Fund

Fund Composition*

(unaudited)

* Illustrated by Industry and based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

** Represents 3 other industries, each of which represents less than 4% of net assets.

State Farm International Equity Fund

Fund Composition*

(unaudited)

* Based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

** Represents 13 other countries, each of which represents less than 2% of net assets.

2

Portfolio Summary (continued)

State Farm S&P 500 Index Fund

S&P 500 Index Master Portfolio Composition*

(unaudited)

* Illustrated by Sector and based on total net assets in the Master Portfolio as of June 30, 2006. Please refer to the Schedule of Investments for the Master Portfolio later in this report for details concerning Fund holdings.

State Farm Small Cap Index Fund

Fund Composition*

(unaudited)

* Illustrated by Sector and based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm International Index Fund

Fund Composition*

(unaudited)

* Based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

** Represents 11 other countries, each of which represents less than 2% of net assets.

3

Portfolio Summary (continued)

State Farm Equity and Bond Fund

Fund Composition*

(unaudited)

* Based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm Bond Fund

Fund Composition*

(unaudited)

* Based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm Tax Advantaged Bond Fund

Fund Composition*

(unaudited)

* Illustrated by Credit Quality. Ratings by Moody’s Investor Services. Percentages are based on total investments as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

** Includes Advanced Refund Bonds

*** One security was not rated by Moody’s. This security, representing 2.62% of total investments, was rated AAA by S&P.

4

Portfolio Summary (continued)

State Farm Money Market Fund

Fund Composition*

(unaudited)

* Based on total net assets as of June 30, 2006. Please refer to the Schedule of Investments later in this report for details concerning Fund holdings.

State Farm LifePath Income Fund

LifePath Retirement Master Portfolio Composition*

(unaudited)

* Illustrated by Security Type and based on total net assets in the Master Portfolio as of June 30, 2006. Please refer to the Schedule of Investments for the Master Portfolio for details concerning Fund holdings and the Portfolio Allocation for the Master Portfolio, both found later in this report.

State Farm LifePath 2010 Fund

LifePath 2010 Master Portfolio Composition*

(unaudited)

* Illustrated by Security Type and based on total net assets in the Master Portfolio as of June 30, 2006. Please refer to the Schedule of Investments for the Master Portfolio for details concerning Fund holdings and the Portfolio Allocation for the Master Portfolio, both found later in this report.

5

Portfolio Summary (continued)

State Farm LifePath 2020 Fund

LifePath 2020 Master Portfolio Composition*

(unaudited)

* Illustrated by Security Type and based on total net assets in the Master Portfolio as of June 30, 2006. Please refer to the Schedule of Investments for the Master Portfolio for details concerning Fund holdings and the Portfolio Allocation for the Master Portfolio, both found later in this report.

State Farm LifePath 2030 Fund

LifePath 2030 Master Portfolio Composition*

(unaudited)

* Illustrated by Security Type and based on total net assets in the Master Portfolio as of June 30, 2006. Please refer to the Schedule of Investments for the Master Portfolio for details concerning Fund holdings and the Portfolio Allocation for the Master Portfolio, both found later in this report.

State Farm LifePath 2040 Fund

LifePath 2040 Master Portfolio Composition*

(unaudited)

* Illustrated by Security Type and based on total net assets in the Master Portfolio as of June 30, 2006. Please refer to the Schedule of Investments for the Master Portfolio for details concerning Fund holdings and the Portfolio Allocation for the Master Portfolio, both found later in this report.

6

Expense Example (unaudited)

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and certain redemptions; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; shareholder servicing fees; and other Fund expenses. The Example in the following table for each Fund below is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as stated in the table for each Fund.

Actual Expenses

The Actual information in the table under each Fund name below provides information about actual account values and actual expenses for each Class of shares. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value for a Fund Class by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the Actual information line under the heading entitled “Expenses Paid During Period” for the applicable Fund Class to estimate the expenses you paid on your account for that Fund Class during the period. If your account has multiple Fund positions, add up the results calculated for each Fund position by Class within your account to estimate the expenses you paid on your total account value. A potential $25 low balance fee is not included in the expenses shown in the table. This fee may be charged to an account holding Class A, Class B, Legacy Class A, Legacy Class B or Institutional shares (other than a SEP IRA, SIMPLE IRA, Archer Medical Savings Account, Tax Sheltered Account under §403(b)(7) of the Internal Revenue Code or an account held under other employer-sponsored qualified retirement plans) if the balance of the account falls below $1,000 at the close of business on the first business day in November, unless the account was opened on or after January 1 within the same year. You should consider any low balance fee you incurred when estimating the total ongoing expenses paid over the period and the impact of this fee on your ending account value. This additional fee has the effect of reducing investment returns.

Hypothetical Example for Comparison Purposes

The Hypothetical information in the table under each Fund name below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio by Class and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Class indicated. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A potential $25 low balance fee is not included in the expenses shown in the table. This fee may be charged to an account holding Class A, Class B, Legacy Class A, Legacy Class B or Institutional shares (other than a SEP IRA, SIMPLE IRA, Archer Medical Savings Account, Tax Sheltered Account under §403(b)(7) of the Internal Revenue Code or an account held under other employer-sponsored qualified retirement plans) if the balance of the account falls below $1,000 at the close of business on the first business day in November, unless the account was opened on or after January 1 within the same year. You should consider any low balance fee that you incurred when estimating the total ongoing expenses paid over the period and the impact of this fee on your ending account value. This additional fee has the effect of reducing investment returns.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) applicable to Class A, Class B, Legacy Class A, and Legacy Class B shares. Therefore, the Hypothetical information in the table under each Fund name is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

State Farm Equity Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,041.41	1.18%	$5.97
Legacy Class B Shares	$1,000.00	$1,037.99	1.58%	$7.98
Institutional Shares	$1,000.00	$1,042.50	0.93%	$4.71
Class R-1 Shares	$1,000.00	$1,040.10	1.50%	$7.59
Class R-2 Shares	$1,000.00	$1,040.05	1.30%	$6.58
Class R-3 Shares	$1,000.00	$1,041.25	1.00%	$5.06

7

State Farm Equity Fund (Continued)
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.99	1.17%	$5.86
Class B Shares	$1,000.00	$1,015.52	1.87%	$9.35
Legacy Class A Shares	$1,000.00	$1,018.94	1.18%	$5.91
Legacy Class B Shares	$1,000.00	$1,016.96	1.58%	$7.90
Institutional Shares	$1,000.00	$1,020.18	0.93%	$4.66
Class R-1 Shares	$1,000.00	$1,017.36	1.50%	$7.50
Class R-2 Shares	$1,000.00	$1,018.35	1.30%	$6.51
Class R-3 Shares	$1,000.00	$1,019.84	1.00%	$5.01
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$981.15	1.17%	$1.94
Class B Shares	$1,000.00	$979.98	1.87%	$3.09
State Farm Small Cap Equity Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,020.75	1.40%	$7.01
Legacy Class B Shares	$1,000.00	$1,019.17	1.80%	$9.01
Institutional Shares	$1,000.00	$1,023.41	1.15%	$5.77
Class R-1 Shares	$1,000.00	$1,019.70	1.72%	$8.61
Class R-2 Shares	$1,000.00	$1,020.63	1.52%	$7.62
Class R-3 Shares	$1,000.00	$1,021.51	1.22%	$6.11
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,017.85	1.40%	$7.00
Class B Shares	$1,000.00	$1,014.38	2.10%	$10.49
Legacy Class A Shares	$1,000.00	$1,017.85	1.40%	$7.00
Legacy Class B Shares	$1,000.00	$1,015.87	1.80%	$9.00
Institutional Shares	$1,000.00	$1,019.09	1.15%	$5.76
Class R-1 Shares	$1,000.00	$1,016.27	1.72%	$8.60
Class R-2 Shares	$1,000.00	$1,017.26	1.52%	$7.60
Class R-3 Shares	$1,000.00	$1,018.74	1.22%	$6.11
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$931.56	1.40%	$2.26
Class B Shares	$1,000.00	$929.78	2.10%	$3.39

8

State Farm International Equity Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,059.59	1.50%	$7.66
Legacy Class B Shares	$1,000.00	$1,057.12	1.90%	$9.69
Institutional Shares	$1,000.00	$1,061.80	1.25%	$6.39
Class R-1 Shares	$1,000.00	$1,058.05	1.82%	$9.29
Class R-2 Shares	$1,000.00	$1,058.82	1.62%	$8.27
Class R-3 Shares	$1,000.00	$1,059.81	1.32%	$6.74
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,017.36	1.50%	$7.50
Class B Shares	$1,000.00	$1,013.88	2.20%	$10.99
Legacy Class A Shares	$1,000.00	$1,017.36	1.50%	$7.50
Legacy Class B Shares	$1,000.00	$1,015.37	1.90%	$9.49
Institutional Shares	$1,000.00	$1,018.60	1.25%	$6.26
Class R-1 Shares	$1,000.00	$1,015.77	1.82%	$9.10
Class R-2 Shares	$1,000.00	$1,016.76	1.62%	$8.10
Class R-3 Shares	$1,000.00	$1,018.25	1.32%	$6.61

	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$952.14	1.50%	$2.45
Class B Shares	$1,000.00	$950.46	2.20%	$3.59

State Farm S&P 500 Index Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20063	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,023.26	0.78%	$3.91
Legacy Class B Shares	$1,000.00	$1,021.14	1.18%	$5.91
Institutional Shares	$1,000.00	$1,024.24	0.53%	$2.66
Class R-1 Shares	$1,000.00	$1,022.18	1.10%	$5.52
Class R-2 Shares	$1,000.00	$1,022.20	0.90%	$4.51
Class R-3 Shares	$1,000.00	$1,024.24	0.60%	$3.01
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,020.93	0.78%	$3.91
Class B Shares	$1,000.00	$1,017.46	1.48%	$7.40
Legacy Class A Shares	$1,000.00	$1,020.93	0.78%	$3.91
Legacy Class B Shares	$1,000.00	$1,018.94	1.18%	$5.91
Institutional Shares	$1,000.00	$1,022.17	0.53%	$2.66
Class R-1 Shares	$1,000.00	$1,019.34	1.10%	$5.51
Class R-2 Shares	$1,000.00	$1,020.33	0.90%	$4.51
Class R-3 Shares	$1,000.00	$1,021.82	0.60%	$3.01

9

State Farm S&P 500 Index Fund (Continued)
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 20063	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$974.90	0.78%	$1.29
Class B Shares	$1,000.00	$973.90	1.48%	$2.44
State Farm Small Cap Index Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,075.52*	0.95%	$4.89
Legacy Class B Shares	$1,000.00	$1,073.13*	1.35%	$6.94
Institutional Shares	$1,000.00	$1,076.23*	0.70%	$3.60
Class R-1 Shares	$1,000.00	$1,074.19	1.27%	$6.53
Class R-2 Shares	$1,000.00	$1,074.77*	1.07%	$5.50
Class R-3 Shares	$1,000.00	$1,076.98	0.77%	$3.97
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,020.08	0.95%	$4.76
Class B Shares	$1,000.00	$1,016.61	1.65%	$8.25
Legacy Class A Shares	$1,000.00	$1,020.08	0.95%	$4.76
Legacy Class B Shares	$1,000.00	$1,018.10	1.35%	$6.76
Institutional Shares	$1,000.00	$1,021.32	0.70%	$3.51
Class R-1 Shares	$1,000.00	$1,018.50	1.27%	$6.36
Class R-2 Shares	$1,000.00	$1,019.49	1.07%	$5.36
Class R-3 Shares	$1,000.00	$1,020.98	0.77%	$3.86
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$951.94*	0.95%	$1.55
Class B Shares	$1,000.00	$950.60*	1.65%	$2.69

* See footnote (n) on page 119 in the Financial Highlights.

State Farm International Index Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,093.73	1.15%	$5.97
Legacy Class B Shares	$1,000.00	$1,091.94	1.55%	$8.04
Institutional Shares	$1,000.00	$1,095.11*	0.90%	$4.68
Class R-1 Shares	$1,000.00	$1,092.58	1.47%	$7.63
Class R-2 Shares	$1,000.00	$1,093.45	1.27%	$6.59
Class R-3 Shares	$1,000.00	$1,096.07	0.97%	$5.04

10

State Farm International Index Fund (Continued)
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.09	1.15%	$5.76
Class B Shares	$1,000.00	$1,015.62	1.85%	$9.25
Legacy Class A Shares	$1,000.00	$1,019.09	1.15%	$5.76
Legacy Class B Shares	$1,000.00	$1,017.11	1.55%	$7.75
Institutional Shares	$1,000.00	$1,020.33	0.90%	$4.51
Class R-1 Shares	$1,000.00	$1,017.50	1.47%	$7.35
Class R-2 Shares	$1,000.00	$1,018.50	1.27%	$6.36
Class R-3 Shares	$1,000.00	$1,019.98	0.97%	$4.86
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$958.75	1.15%	$1.88
Class B Shares	$1,000.00	$957.22	1.85%	$3.03

* See footnote (l) on page 121 in the Financial Highlights.

State Farm Equity and Bond Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20064	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,022.36	0.98%	$4.91
Legacy Class B Shares	$1,000.00	$1,019.97	1.38%	$6.91
Institutional Shares	$1,000.00	$1,023.71	0.73%	$3.66
Class R-1 Shares	$1,000.00	$1,020.39	1.30%	$6.51
Class R-2 Shares	$1,000.00	$1,021.20	1.10%	$5.51
Class R-3 Shares	$1,000.00	$1,022.53	0.80%	$4.01
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.93	0.98%	$4.91
Class B Shares	$1,000.00	$1,016.46	1.68%	$8.40
Legacy Class A Shares	$1,000.00	$1,019.93	0.98%	$4.91
Legacy Class B Shares	$1,000.00	$1,017.95	1.38%	$6.90
Institutional Shares	$1,000.00	$1,021.17	0.73%	$3.66
Class R-1 Shares	$1,000.00	$1,018.35	1.30%	$6.51
Class R-2 Shares	$1,000.00	$1,019.34	1.10%	$5.51
Class R-3 Shares	$1,000.00	$1,020.83	0.80%	$4.01
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 20064	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$989.75	0.98%	$1.63
Class B Shares	$1,000.00	$988.55	1.68%	$2.79

11

State Farm Bond Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$991.42	0.69%	$3.41
Legacy Class B Shares	$1,000.00	$989.47	1.09%	$5.38
Institutional Shares	$1,000.00	$992.62	0.44%	$2.17
Class R-1 Shares	$1,000.00	$989.84	1.01%	$4.98
Class R-2 Shares	$1,000.00	$990.78	0.81%	$4.00
Class R-3 Shares	$1,000.00	$992.28	0.51%	$2.52
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.37	0.69%	$3.46
Class B Shares	$1,000.00	$1,019.39	1.09%	$5.46
Legacy Class A Shares	$1,000.00	$1,021.37	0.69%	$3.46
Legacy Class B Shares	$1,000.00	$1,019.39	1.09%	$5.46
Institutional Shares	$1,000.00	$1,022.61	0.44%	$2.21
Class R-1 Shares	$1,000.00	$1,019.79	1.01%	$5.06
Class R-2 Shares	$1,000.00	$1,020.78	0.81%	$4.06
Class R-3 Shares	$1,000.00	$1,022.27	0.51%	$2.56
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$1,004.36	0.69%	$1.16
Class B Shares	$1,000.00	$1,003.67	1.09%	$1.82
State Farm Tax Advantaged Bond Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$997.68	0.70%	$3.47
Legacy Class B Shares	$1,000.00	$995.76	1.10%	$5.44
Institutional Shares	$1,000.00	$998.96	0.45%	$2.23
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.32	0.70%	$3.51
Class B Shares	$1,000.00	$1,019.34	1.10%	$5.51
Legacy Class A Shares	$1,000.00	$1,021.32	0.70%	$3.51
Legacy Class B Shares	$1,000.00	$1,019.34	1.10%	$5.51
Institutional Shares	$1,000.00	$1,022.56	0.45%	$2.26
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$1,001.27	0.70%	$1.17
Class B Shares	$1,000.00	$1,000.55	1.10%	$1.84

12

State Farm Money Market Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 2006	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,020.50	0.60%	$3.01
Legacy Class B Shares	$1,000.00	$1,018.47	1.00%	$5.00
Institutional Shares	$1,000.00	$1,021.31	0.45%	$2.26
Class R-1 Shares	$1,000.00	$1,018.89	0.92%	$4.61
Class R-2 Shares	$1,000.00	$1,019.89	0.72%	$3.61
Class R-3 Shares	$1,000.00	$1,020.88	0.52%	$2.61
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,021.82	0.60%	$3.01
Class B Shares	$1,000.00	$1,019.84	1.00%	$5.01
Legacy Class A Shares	$1,000.00	$1,021.82	0.60%	$3.01
Legacy Class B Shares	$1,000.00	$1,019.84	1.00%	$5.01
Institutional Shares	$1,000.00	$1,022.56	0.45%	$2.26
Class R-1 Shares	$1,000.00	$1,020.23	0.92%	$4.61
Class R-2 Shares	$1,000.00	$1,021.22	0.72%	$3.61
Class R-3 Shares	$1,000.00	$1,022.22	0.52%	$2.61
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 2006	Expenses Paid During Period May 1, 2006 to June 30,20062
Actual
Class A Shares	$1,000.00	$1,007.65	0.60%	$1.01
Class B Shares	$1,000.00	$1,006.91	1.00%	$1.68
State Farm LifePath Income Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20063	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,013.41	1.23%	$6.14
Legacy Class B Shares	$1,000.00	$1,011.45	1.63%	$8.13
Institutional Shares	$1,000.00	$1,014.35	0.98%	$4.89
Class R-1 Shares	$1,000.00	$1,010.94	1.55%	$7.73
Class R-2 Shares	$1,000.00	$1,012.34	1.35%	$6.74
Class R-3 Shares	$1,000.00	$1,014.11	1.05%	$5.24
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.74	1.22%	$6.11
Class B Shares	$1,000.00	$1,015.27	1.92%	$9.59
Legacy Class A Shares	$1,000.00	$1,018.70	1.23%	$6.16
Legacy Class B Shares	$1,000.00	$1,016.71	1.63%	$8.15
Institutional Shares	$1,000.00	$1,019.93	0.98%	$4.91
Class R-1 Shares	$1,000.00	$1,017.11	1.55%	$7.75
Class R-2 Shares	$1,000.00	$1,018.10	1.35%	$6.76
Class R-3 Shares	$1,000.00	$1,019.59	1.05%	$5.26

13

State Farm LifePath Income Fund (Continued)
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 20063	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$992.23	1.22%	$2.03
Class B Shares	$1,000.00	$990.75	1.92%	$3.19
State Farm LifePath 2010 Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20063	Expenses Paid During Period January 1, 2006 to June 30, 2006 1
Actual
Legacy Class A Shares	$1,000.00	$1,019.43	1.18%	$5.91
Legacy Class B Shares	$1,000.00	$1,017.78	1.58%	$7.90
Institutional Shares	$1,000.00	$1,020.13	0.93%	$4.66
Class R-1 Shares	$1,000.00	$1,018.57	1.50%	$7.51
Class R-2 Shares	$1,000.00	$1,019.33	1.30%	$6.51
Class R-3 Shares	$1,000.00	$1,020.17	1.00%	$5.01
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.89	1.19%	$5.96
Class B Shares	$1,000.00	$1,015.47	1.88%	$9.39
Legacy Class A Shares	$1,000.00	$1,018.94	1.18%	$5.91
Legacy Class B Shares	$1,000.00	$1,016.96	1.58%	$7.90
Institutional Shares	$1,000.00	$1,020.18	0.93%	$4.66
Class R-1 Shares	$1,000.00	$1,017.36	1.50%	$7.50
Class R-2 Shares	$1,000.00	$1,018.35	1.30%	$6.51
Class R-3 Shares	$1,000.00	$1,019.84	1.00%	$5.01
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 20063	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$991.87	1.19%	$1.98
Class B Shares	$1,000.00	$986.99	1.88%	$3.12
State Farm LifePath 2020 Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20063	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,031.50	1.16%	$5.84
Legacy Class B Shares	$1,000.00	$1,029.18	1.56%	$7.85
Institutional Shares	$1,000.00	$1,031.25*	0.91%	$4.58
Class R-1 Shares	$1,000.00	$1,032.21	1.48%	$7.46
Class R-2 Shares	$1,000.00	$1,030.54	1.27%	$6.39
Class R-3 Shares	$1,000.00	$1,028.15	0.98%	$4.93

14

State Farm LifePath 2020 Fund (Continued)
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20063	Expenses Paid During Period January 1, 2006 to June 30, 20061
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.04	1.16%	$5.81
Class B Shares	$1,000.00	$1,015.57	1.86%	$9.30
Legacy Class A Shares	$1,000.00	$1,019.04	1.16%	$5.81
Legacy Class B Shares	$1,000.00	$1,017.06	1.56%	$7.80
Institutional Shares	$1,000.00	$1,020.28	0.91%	$4.56
Class R-1 Shares	$1,000.00	$1,017.46	1.48%	$7.40
Class R-2 Shares	$1,000.00	$1,018.50	1.27%	$6.36
Class R-3 Shares	$1,000.00	$1,019.93	0.98%	$4.91
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 20063	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$985.12	1.16%	$1.92
Class B Shares	$1,000.00	$982.89	1.86%	$3.08
*   See footnote (m) on page 135 in the Financial Highlights. State Farm LifePath 2030 Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20063	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,039.04	1.16%	$5.86
Legacy Class B Shares	$1,000.00	$1,037.71	1.56%	$7.88
Institutional Shares	$1,000.00	$1,040.33	0.91%	$4.60
Class R-1 Shares	$1,000.00	$1,037.51	1.48%	$7.48
Class R-2 Shares	$1,000.00	$1,038.15	1.28%	$6.47
Class R-3 Shares	$1,000.00	$1,039.64	0.98%	$4.96
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,018.99	1.17%	$5.86
Class B Shares	$1,000.00	$1,015.52	1.87%	$9.35
Legacy Class A Shares	$1,000.00	$1,019.04	1.16%	$5.81
Legacy Class B Shares	$1,000.00	$1,017.06	1.56%	$7.80
Institutional Shares	$1,000.00	$1,020.28	0.91%	$4.56
Class R-1 Shares	$1,000.00	$1,017.46	1.48%	$7.40
Class R-2 Shares	$1,000.00	$1,018.45	1.28%	$6.41
Class R-3 Shares	$1,000.00	$1,019.93	0.98%	$4.91
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 20063	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$978.93	1.17%	$1.93
Class B Shares	$1,000.00	$977.53	1.87%	$3.09

15

State Farm LifePath 2040 Fund
	Beginning Account Value January 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period January 1, 2006 to June 30, 20063	Expenses Paid During Period January 1, 2006 to June 30, 20061
Actual
Legacy Class A Shares	$1,000.00	$1,046.14	1.18%	$5.99
Legacy Class B Shares	$1,000.00	$1,044.08	1.58%	$8.01
Institutional Shares	$1,000.00	$1,046.63	0.93%	$4.72
Class R-1 Shares	$1,000.00	$1,043.98	1.50%	$7.60
Class R-2 Shares	$1,000.00	$1,045.26	1.30%	$6.59
Class R-3 Shares	$1,000.00	$1,045.94	1.00%	$5.07
Hypothetical (5% return before expenses)
Class A Shares	$1,000.00	$1,019.09	1.15%	$5.76
Class B Shares	$1,000.00	$1,015.57	1.86%	$9.30
Legacy Class A Shares	$1,000.00	$1,018.94	1.18%	$5.91
Legacy Class B Shares	$1,000.00	$1,016.96	1.58%	$7.90
Institutional Shares	$1,000.00	$1,020.18	0.93%	$4.66
Class R-1 Shares	$1,000.00	$1,017.36	1.50%	$7.50
Class R-2 Shares	$1,000.00	$1,018.35	1.30%	$6.51
Class R-3 Shares	$1,000.00	$1,019.84	1.00%	$5.01
	Beginning Account Value May 1, 2006	Ending Account Value June 30, 2006	Annualized Expense Ratio Based on the Period May 1, 2006 to June 30, 20063	Expenses Paid During Period May 1, 2006 to June 30, 20062
Actual
Class A Shares	$1,000.00	$973.30	1.15%	$1.90
Class B Shares	$1,000.00	$973.30	1.86%	$3.07

¹ Expenses are equal to the Fund’s annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Hypothetical information for Class A and Class B Shares assumes an investment over the six month period beginning January 1, 2006. An actual investment in Class A and Class B Shares could not have been made until May 1, 2006.

² Expenses are equal to the Fund’s annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 61/365 (to reflect the number of days since the Class A and Class B shares registration statement was declared effective by the SEC on May 1, 2006).

³ Ratio reflects the expenses of both the Fund and its corresponding Master Portfolio.

⁴ Ratio also reflects 60% of the State Farm Equity Fund Institutional Shares expenses plus 40% of the State Farm Bond Fund Institutional Shares expenses. The State Farm Equity and Bond Fund targets a 60%/40% investment ratio between the State Farm Equity Fund and the State Farm Bond Fund. The ratio may vary slightly from 60%/40% throughout the year. Refer to the State Farm Equity and Bond Fund’s Schedule of Investments for the ratio as of June 30, 2006.

16

Board Approval of Investment Advisory Agreements

Board Review of the Continuation of the Investment Advisory Agreement and Continuation of the Investment Sub-Advisory Agreements

At a meeting of the Board of Trustees (the “Board”) of State Farm Mutual Fund Trust (“Mutual Fund Trust”) held on June 16, 2006, all of the Trustees present, including those Trustees present who were not interested persons of Mutual Fund Trust as defined by Section 2(a)(19) of the Investment Company Act of 1940 (the “Independent Trustees”), considered whether (i) to approve continuation of the Investment Advisory and Management Services Agreement between State Farm Investment Management Corp. (“SFIMC”) and Mutual Fund Trust (the “Advisory Agreement”), (ii) to approve continuation of the Investment Sub-Advisory Agreement between SFIMC, Mutual Fund Trust and Capital Guardian Trust Company (“Capital Guardian”), which agreement will be referred to as the “Capital Guardian Sub-Advisory Agreement,” and (iii) to approve continuation of the Investment Sub-Advisory Agreement between SFIMC, Mutual Fund Trust and Northern Trust Investments, N.A. (“Northern Trust”), which agreement will be referred to as the “Northern Trust Sub-Advisory Agreement.” Together the Capital Guardian Sub-Advisory Agreement and the Northern Trust Sub-Advisory Agreement will be referred to as the “Sub-Advisory Agreements.”

Capital Guardian serves as the investment sub-adviser to Mutual Fund Trust’s State Farm Equity Fund, State Farm Small Cap Equity Fund and State Farm International Equity Fund (collectively, the “Sub-Advised Equity Funds”). In this role, Capital Guardian is primarily responsible for the day-to-day management of the investments of the Sub-Advised Equity Funds. Northern Trust serves as investment sub-adviser to Mutual Fund Trust’s State Farm Small Cap Index Fund and State Farm International Index Fund (collectively the “Sub-Advised Index Funds”). In this role, Northern Trust is primarily responsible for the day-to-day management of the investments of the Sub-Advised Index Funds.

Prior to the June 16, 2006 meeting, independent legal counsel to the Independent Trustees had sent to SFIMC, Capital Guardian and Northern Trust a request for information to be provided to the Board in connection with the Board’s consideration of continuing the Advisory Agreement and the Sub-Advisory Agreements. SFIMC, Capital Guardian and Northern Trust provided materials to the Board responding to those requests prior to the meeting. SFIMC also provided the Board with additional information that SFIMC believed would be useful to the Board in evaluating whether to approve continuation of the Advisory Agreement and the Sub-Advisory Agreements. The Board also received a report prepared by Lipper Inc., an independent fund tracking organization, (the “Lipper Report”) relating to the performance and expenses of the fifteen series of Mutual Fund Trust (each a “Fund” and collectively the “Funds”) prior to the June 16th meeting. In addition, the Board received and reviewed a memorandum from the legal counsel to Mutual Fund Trust and its Independent Trustees regarding their responsibilities (particularly the Independent Trustees’ responsibilities) in considering whether to approve continuation of the agreements.

The Independent Trustees of Mutual Fund Trust also had conducted a preliminary review of all this material on May 31, 2006 at a separate meeting, during which management of the Mutual Fund Trust expanded on those materials, responded to specific questions from the Independent Trustees and produced enhanced materials in response to specific requests at the June 16th Board meeting.

As part of the Board’s consideration of whether to approve the continuation of the Advisory Agreement and the Sub-Advisory Agreements, the Independent Trustees met in executive session and were advised by independent legal counsel. The Board considered the investment performance of SFIMC in managing each Fund, the investment performance of Capital Guardian in sub-advising the Sub-Advised Equity Funds and the investment performance of Northern Trust in sub-advising the Sub-Advised Index Funds, including, as applicable, the year-to-date, one, three, and five year performance of each Fund as compared to the performance of one or more benchmark indexes and a peer group of funds with comparable investment objectives, investment strategies, asset size and load structures (“Peer Funds”).

The Board further considered that the performance of the State Farm S&P 500 Index Fund, the State Farm Small Cap Index Fund and the State Farm International Index Fund closely matched the performance of each of those Fund’s benchmark index, net of fees. The Board concluded that the net performance of those three Funds over the periods reviewed was acceptable and closely tracked their respective benchmarks.

The Board then considered the year-to-date, one, three and five year performance of the Sub-Advised Equity Funds, each of which is sub-advised by Capital Guardian. The Board extensively reviewed each Fund’s performance compared to benchmarks, an index and to the performance of Peer Funds.

With respect to Capital Guardian’s services provided to the State Farm Small Cap Equity Fund (“Small Cap Equity Fund”), the Board determined that, despite Capital Guardian’s efforts to improve the Fund’s performance compared to its benchmarks, index

17

and Peer Funds, the Small Cap Equity Fund’s performance over the periods examined was less robust than expected. In response to management’s statements that it currently was examining alternatives to Capital Guardian’s continuing as investment sub-adviser to the Small Cap Equity Fund, including possibly seeking a new investment sub-adviser(s), merging the Fund or changing its investment strategy, the Board unanimously agreed that Capital Guardian should be terminated as a sub-adviser to the Small Cap Equity Fund as soon as practicable.

With respect to Capital Guardian’s services provided to the State Farm Equity Fund and the State Farm International Equity Fund, the Board concluded that the performance of those Funds was acceptable.

The Board next reviewed the performance of the State Farm Bond Fund, State Farm Money Market Fund and State Farm Tax Advantaged Bond Fund. The Lipper Report indicated that the performance of those Funds was competitive with each Fund’s benchmark and/or index and with the performance of each Fund’s Peer Funds. The Board examined the performance of the State Farm Equity and Bond Fund compared to its benchmarks, indexes and Peer Funds. After extensive discussion of this and other information, the Board concluded that the investment performance of the State Farm Bond Fund, the State Farm Money Market Fund, State Farm Tax Advantaged Bond Fund and the State Farm Equity and Bond Fund over the periods reviewed was acceptable.

The Board next reviewed the performance of the State Farm LifePath Income, State Farm LifePath 2010, State Farm LifePath 2020, State Farm LifePath 2030 and State Farm LifePath 2040 Funds (collectively the “LifePath Funds”) for the one and two year periods ended December 31, 2005. The Board considered each LifePath’s performance compared to benchmark indexes for each LifePath Fund and relative to Peer Funds. The Board noted that, due to the nature of each LifePath Fund, the benchmark indexes for each LifePath Fund was not as well defined as the benchmark indexes for the other Funds, but that the performance of the LifePath Funds was in line with those benchmarks. After extensively reviewing all the performance information provided to the Board, the Board concluded that the LifePath Funds’ performance was competitive.

The Board next examined the fee structure and expense ratio of each Fund, including in comparison to Peer Funds. The Board noted that each Fund’s expense structure and overall fees were competitive as compared to the expense structure and overall fees of the Peer Funds. In connection with examining the fee structure and expense ratio of each Fund, the Board also considered the amount of profits earned (or losses incurred) by SFIMC, Capital Guardian and Northern Trust in providing advisory or sub-advisory services to each Fund. The Board concluded that the advisory and sub-advisory fees, which directly or indirectly are part of each Fund’s fee structure and expense ratio, were reasonable and appropriate for the shareholders and that the amount of net income earned by each entity (if any) with respect to each Fund was within industry standards.

The Board considered the nature, extent and quality of the advisory and sub-advisory services provided by SFIMC, Capital Guardian and Northern Trust to the Funds. The Board considered the make-up, education and experience of the teams responsible for managing the Funds at SFIMC, Capital Guardian and Northern Trust , and concluded that, except with respect to Capital Guardian’s sub-advisory services provided to the Small Cap Equity Fund, each organization’s investment management team has a satisfactory, long-term track record. The Board considered that SFIMC has been engaged in the business of managing mutual funds since 1968, and that as of December 31, 2005, SFIMC managed more than $9.6 billion in assets. The Board noted that Capital Guardian had approximately $157 billion of assets under management as of December 31, 2005, and that it was part of one of the largest investment managers in the world. The Board considered that Northern Trust and its affiliates were responsible for managing $618 billion of assets as of December 31, 2005. After considering all of this information, the Board concluded that SFIMC, Capital Guardian and Northern Trust each had more than sufficient resources and expertise to continue to manage or sub-advise the Funds, and that given the past experience of each, SFIMC, Capital Guardian (except with respect to Capital Guardian’s sub-advisory services provided to the Small Cap Equity Fund) and Northern Trust would be able to continue to provide satisfactory services to Mutual Fund Trust.

The Board next discussed the extent to which economies of scale will be realized as each Fund grows and whether each Fund’s fee levels reflect economies of scale for the benefit of the Fund. SFIMC explained to the Board that economies of scale occur when a mutual fund’s expenses per unit, such as per dollar invested in the fund, decrease as the fund increases in size. One way a mutual fund company achieves economies of scale is to lower the average cost per unit by spreading fixed costs over a larger asset base. As the Funds within Mutual Fund Trust grow, each Fund’s fixed costs will be spread over a larger asset base, so a Fund’s fee levels will reflect economies of scale for the benefit of the Fund as the Fund grows. The Board discussed the fact that the advisory fees payable by Mutual Fund Trust to SFIMC are a flat percentage of each Fund’s average daily net assets, and that the percentage does not decrease as a Fund increases in size. In tandem with monitoring SFIMC’s profitability, the Board determined to continue to monitor whether it is appropriate for SFIMC to continue to charge a level percentage advisory fee to the Funds within Mutual Fund Trust.

18

The Board next discussed whether SFIMC, Capital Guardian or Northern Trust derive any other direct or indirect benefits from serving as investment adviser or investment sub-adviser to the Funds. SFIMC indicated to the Board that it was not aware of any ancillary or other benefits (other than fees) that SFIMC, Capital Guardian and Northern Trust (and each company’s respective affiliates) receive for providing various services to Mutual Fund Trust, particularly because SFIMC, Capital Guardian and Northern Trust do not execute securities trades on behalf of the Funds through an affiliated broker-dealer. The Board concluded that the lack of any ancillary or so-called “fallout” benefits enables SFIMC, Capital Guardian and Northern Trust to manage assets of the Funds in a manner that appears to be free of conflicts of interest.

Based on the Board’s deliberations and their evaluation of the information provided by SFIMC, Capital Guardian and Northern Trust, the Board, including all of the Independent Trustees present at the Board meeting, unanimously approved the continuation of the Advisory Agreement and the Sub-Advisory Agreements for all Funds (other than with respect to Capital Guardian and the Small Cap Equity Fund) through June 30, 2007. With respect to the Small Cap Equity Fund, the Board, including all of the Independent Trustees present at the Board meeting, unanimously approved continuing the Capital Guardian Sub-Advisory Agreement through December 31, 2006, to provide time to SFIMC to finalize its recommendations to the Board. The Board anticipates taking preliminary action with respect to the Small Cap Equity Fund at its September meeting, although there is no guarantee that any action will be taken by that time.

19

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (98.85%)
Consumer Discretionary (4.73%)
AutoNation Inc. (a)	48,546	$	1,040,826
Carnival Corp.	25,500		1,064,370
Clear Channel Communications Inc.	126,300		3,908,985
Dollar Tree Stores Inc. (a)	36,900		977,850
General Motors Corp.	68,900		2,052,531
Jarden Corp. (a)	50,200		1,528,590
Leggett & Platt Inc.	89,500		2,235,710
McDonald’s Corp.	29,700		997,920
			13,806,782
Consumer Staples (12.01%)
Altria Group Inc.	120,900		8,877,687
Anheuser-Busch Companies Inc.	33,600		1,531,824
Avon Products Inc.	89,100		2,762,100
Campbell Soup Co.	80,600		2,991,066
General Mills Inc.	41,000		2,118,060
Kraft Foods Inc. Class A	273,700		8,457,330
Sara Lee Corp.	311,100		4,983,822
Unilever NV New York Shares	147,900		3,335,145
			35,057,034
Energy (8.12%)
Anadarko Petroleum Corp.	55,600		2,651,564
Chevron Corp.	61,200		3,798,072
Exxon Mobil Corp.	45,800		2,809,830
Royal Dutch Shell PLC ADR Class A	83,100		5,566,038
Royal Dutch Shell PLC ADR Class B	55,300		3,863,811
Transocean Inc. (a)	62,600		5,028,032
			23,717,347
Financials (30.33%)
American International Group Inc.	61,000		3,602,050
AmeriCredit Corp. (a)	106,400		2,970,688
Berkshire Hathaway Inc. Class A (a)	30		2,749,770
Capital One Financial Corp.	48,300		4,127,235
Chubb Corp.	55,400		2,764,460
Everest Re Group Ltd.	8,800		761,816
Fifth Third Bancorp	108,400		4,005,380
General Growth Properties Inc.	138,900		6,258,834
Golden West Financial Corp.	6,400		474,880
Goldman Sachs Group Inc.	9,000		1,353,870
Hartford Financial Services Group Inc.	36,600		3,096,360
Host Hotels & Resorts Inc.	35,800		782,946
Hudson City Bancorp Inc.	461,200		6,147,796
IndyMac Bancorp Inc.	68,500		3,140,725
JPMorgan Chase & Co.	279,300		11,730,600
Marsh & McLennan Companies Inc.	249,000		6,695,610
RenaissanceRe Holdings Ltd.	40,900		1,982,014
St. Paul Travelers Co. Inc.	21,500		958,470
Wachovia Corp.	71,100		3,845,088
Washington Mutual Inc.	223,100		10,168,898
Wells Fargo & Co.	117,800		7,902,024

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
XL Capital Ltd. Class A	49,500	$	3,034,350
			88,553,864
Health Care (11.34%)
AstraZeneca PLC ADR	85,800		5,132,556
Eli Lilly & Co.	19,400		1,072,238
Medco Health Solutions Inc. (a)	91,300		5,229,664
Merck & Co. Inc.	184,100		6,706,763
Pfizer Inc.	193,580		4,543,323
Triad Hospitals Inc. (a)	88,000		3,483,040
WellPoint Inc. (a)	95,400		6,942,258
			33,109,842
Industrials (7.23%)
American Standard Cos. Inc.	29,900		1,293,773
Emerson Electric Co.	26,700		2,237,727
General Electric Co.	276,800		9,123,328
Hubbell Inc. Class B	25,600		1,219,840
Raytheon Co.	41,500		1,849,655
Siemens AG ADR	29,700		2,578,554
Tyco International Ltd.	69,500		1,911,250
Union Pacific Corp.	9,700		901,712
			21,115,839
Materials & Processes (5.32%)
Air Products & Chemicals Inc.	30,800		1,968,736
Alcoa Inc.	99,200		3,210,112
E.I. du Pont de Nemours and Co.	19,400		807,040
International Paper Co.	110,800		3,578,840
Lyondell Chemical Co.	80,000		1,812,800
Methanex Corp.	53,300		1,128,894
The Dow Chemical Co.	77,200		3,013,116
			15,519,538
Technology (10.78%)
Affiliated Computer Services Inc. Class A (a)	41,500		2,141,815
Fairchild Semiconductor International Inc. (a)	229,400		4,168,198
Flextronics International Ltd. (a)	416,900		4,427,478
Hewlett-Packard Co.	113,800		3,605,184
Intel Corp.	478,900		9,075,155
International Rectifier Corp. (a)	70,500		2,755,140
Jabil Circuit Inc.	56,000		1,433,600
Sun Microsystems Inc. (a)	930,000		3,859,500
			31,466,070
Telecommunication Services (4.76%)
AT&T Inc.	175,100		4,883,539
Embarq Corp. (a)	2,230		91,408
Sprint Nextel Corp.	238,600		4,769,614

See accompanying notes to financial statements.

20

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Telecommunication Services (Cont.)
Verizon Communications Inc.	124,200	$	4,159,458
			13,904,019
Utilities (4.23%)
CMS Energy Corp. (a)	194,700		2,519,418
Duke Energy Corp.	61,000		1,791,570
Equitable Resources Inc.	28,700		961,450
Exelon Corp.	50,300		2,858,549
MDU Resources Group Inc.	25,100		918,911
NiSource Inc.	92,700		2,024,568
Pinnacle West Capital Corp.	31,800		1,269,138
			12,343,604
Total Common Stocks
(cost $ 274,872,340)			288,593,939
Short-term Investments (0.78%)
JPMorgan 100% US Treasury Securities
Money Market Fund	1,607,655		1,607,655
JPMorgan Treasury Plus Money Market Fund	677,165		677,164
Total Short-term Investments
(cost $ 2,284,819)			2,284,819
TOTAL INVESTMENTS (99.63%)
(cost $ 277,157,159)			290,878,758
OTHER ASSETS, NET OF LIABILITIES (0.37%)			1,071,364
NET ASSETS (100.00%)		$	291,950,122

(a)  Non-income producing security.

ADR - American Depository Receipt

See accompanying notes to financial statements.

21

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (97.34%)
Consumer Discretionary (18.75%)
Advo Inc.	41,000	$	1,009,010
American Axle & Manufacturing Holdings Inc.	81,400		1,392,754
Arbitron Inc.	41,200		1,579,196
Blue Nile Inc. (a)	6,500		209,040
California Pizza Kitchen Inc. (a)	20,700		568,836
Citadel Broadcasting Corp.	11,800		105,020
Citi Trends Inc. (a)	12,700		542,163
Fossil Inc. (a)	9,200		165,692
Four Seasons Hotels Inc.	29,600		1,818,624
Franklin Covey Co. (a)	49,300		364,820
Furniture Brands International Inc.	92,500		1,927,700
Harte-Hanks, Inc.	15,300		392,292
J Crew Group Inc. (a)	25,700		705,465
Jarden Corp. (a)	54,750		1,667,138
Libbey Inc.	19,500		143,325
Lithia Motors Inc. Class A	15,200		460,864
MDU Communications Inc. (a)	1,310,900		1,206,028
Morton’s Restaurant Group Inc. (a)	19,900		304,868
Nautilus Inc.	52,800		829,488
Orient Express Hotels Ltd. Class A	54,600		2,120,664
Princeton Review Inc. (a)	1,700		9,044
Progressive Gaming International Corp. (a)	57,500		448,500
Radio One Inc. Class A (a)	4,000		30,000
Radio One Inc. Class D (a)	50,800		375,920
Restoration Hardware Inc. (a)	127,100		912,578
Ruth’s Chris Steak House (a)	25,300		516,626
Scientific Games Corp. Class A (a)	34,000		1,211,080
Six Flags Inc. (a)	31,900		179,278
Smith & Wesson Holding Corp. (a)	50,700		416,754
Stage Stores Inc.	34,200		1,128,600
Steiner Leisure Ltd. (a)	9,300		367,629
Tarragon Corp.	19,000		263,150
Texas Roadhouse Inc. Class A (a)	47,400		640,848
			24,012,994
Consumer Staples (1.69%)
Fresh Del Monte Produce Inc.	11,900		205,513
Interstate Bakeries Corp. (a)	45,800		320,600
Prestige Brands Holdings Inc. (a)	53,100		529,407
Tootsie Roll Industries Inc.	24,182		704,422
WD-40 Co.	11,900		399,483
			2,159,425
Energy (7.10%)
Alpha Natural Resources Inc. (a)	87,400		1,714,788
Core Laboratories NV (a)	9,600		585,984
Delta Petroleum Corp. (a)	252,600		4,327,038
Energy Partners Ltd. (a)	17,800		337,310
Helmerich & Payne Inc.	5,100		307,326
Hydril (a)	8,000		628,160

	Shares	Value
Common Stocks (Cont.)
Energy (Cont.)
Newpark Resources Inc. (a)	126,600	$	778,590
St. Mary Land & Exploration Co.	10,300		414,575
			9,093,771
Financial Services (17.87%)
American Financial Realty Trust	10,500		101,640
AmeriCredit Corp. (a)	55,500		1,549,560
Annaly Mortgage Management Inc.	34,100		436,821
Anthracite Capital Inc.	81,200		987,392
Bancshares of Florida Inc. (a)	31,100		684,200
Banner Corp.	58,700		2,262,298
Cardinal Financial Corp.	60,000		697,200
Columbia Banking Systems Inc.	59,658		2,230,016
Equity Inns Inc.	24,200		400,752
Federal Agricultural Mortgage Corp. Class C	35,900		994,430
Franklin Bank Corp. (a)	27,800		561,282
Gramercy Capital Corp.	44,300		1,147,370
Harbor Florida Bancshares Inc.	18,000		668,520
Heritage Financial Corp.	16,335		430,264
International Securities Exchange Inc.	35,700		1,359,099
LaSalle Hotel Properties	3,700		171,310
Medallion Financial Corp.	24,000		311,040
MFA Mortgage Investments Inc.	52,000		357,760
Montpelier Re Holdings Ltd.	21,000		363,090
optionsXpress Holdings Inc.	6,000		139,860
Pan Pacific Retail Properties Inc.	5,900		409,283
ProAssurance Corp. (a)	8,900		428,802
Provident Bankshares Corp.	25,118		914,044
Seacoast Banking Corp. of Florida	63,800		1,698,994
Southcoast Financial Corp. (a)	35,310		753,868
Tanger Factory Outlet Centers Inc.	23,900		773,643
Trammell Crow Co. (a)	58,400		2,053,928
			22,886,466
Health Care (8.25%)
Atherogenics Inc. (a)	43,100		562,455
DexCom Inc. (a)	11,900		161,602
Exelixis Inc. (a)	59,400		596,970
Human Genome Sciences Inc. (a)	171,600		1,836,120
Incyte Corp. (a)	181,329		834,113
Matria Healthcare Inc. (a)	18,400		394,128
National Medical Health Card Systems Inc. (a)	7,800		107,640
Option Care Inc.	142,700		1,709,546
Pharmacyclics Inc. (a)	107,600		415,336
Pharmion Corp. (a)	51,400		875,342
Renovis Inc. (a)	14,300		218,933
Rigel Pharmaceuticals Inc. (a)	36,000		350,280
SonoSite Inc. (a)	5,500		214,720
VistaCare Inc. Class A (a)	52,100		630,410
Wright Medical Group Inc. (a)	55,500		1,161,615

See accompanying notes to financial statements.

22

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
ZymoGenetics Inc. (a)	26,100	$	495,117
			10,564,327
Industrials (13.31%)
Actuant Corp. Class A	45,000		2,247,750
Albany International Corp. Class A	12,800		542,592
Ambassadors International Inc.	8,300		192,975
Ducommun Inc. (a)	38,300		709,316
ESCO Technologies Inc. (a)	17,500		935,375
Exponent Inc. (a)	57,800		976,820
G&K Services Inc. Class A	22,700		778,610
Griffon Corp. (a)	19,400		506,340
Jacuzzi Brands Inc. (a)	45,500		400,400
Jetblue Airways Corp. (a)	95,500		1,159,370
K&F Industries Holdings Inc. (a)	49,200		872,316
Ladish Co. Inc. (a)	50,381		1,887,776
Pinnacle Airlines Corp. (a)	59,600		419,584
RailAmerica Inc. (a)	213,800		2,236,348
Resources Connection Inc. (a)	57,700		1,443,654
Tennant Co.	22,600		1,136,328
Tetra Tech Inc. (a)	13,500		239,490
United Stationers Inc. (a)	7,200		355,104
			17,040,148
Materials & Processes (7.79%)
Apex Silver Mines Ltd. (a)	66,800		1,005,340
AptarGroup Inc.	26,200		1,299,782
Georgia Gulf Corp.	74,800		1,871,496
Methanex Corp.	123,200		2,609,376
Packaging Corp. of America	53,000		1,167,060
Texas Industries Inc.	38,100		2,023,110
			9,976,164
Technology (20.64%)
Advanced Energy Industries Inc. (a)	128,900		1,706,636
Atheros Communications (a)	33,300		631,368
Benchmark Electronics Inc. (a)	52,350		1,262,682
CallWave Inc. (a)	13,300		48,545
Credence Systems Corp. (a)	106,500		372,750
CyberSource Corp. (a)	36,400		425,880
Cymer Inc. (a)	24,200		1,124,332
Dot Hill Systems Corp. (a)	49,600		169,632
Electro Scientific Industries Inc. (a)	58,300		1,048,817
Embarcadero Technologies Inc. (a)	13,300		81,130
EMS Technologies Inc. (a)	96,000		1,725,120
Fairchild Semiconductor International Inc. (a)	49,600		901,232
FEI Co. (a)	29,700		673,596
Gateway Inc. (a)	506,700		962,730
Intergraph Corp. (a)	6,400		201,536
Kanbay International Inc. (a)	49,700		722,638
Kulicke & Soffa Industries Inc. (a)	129,100		956,631

	Shares	Value
Common Stocks (Cont.)
Technology (Cont.)
LTX Corp. (a)	79,600	$	557,996
Measurement Specialties Inc. (a)	39,700		884,119
MIPS Technologies Inc. (a)	49,900		302,893
MKS Instruments Inc. (a)	51,300		1,032,156
Moldflow Corp. (a)	18,200		213,122
National Instruments Corp.	27,900		764,460
Novatel Wireless Inc. (a)	64,000		664,320
ON Semiconductor Corp. (a)	82,700		486,276
Pixelworks Inc. (a)	39,900		108,927
Rudolph Technologies Inc. (a)	19,500		282,750
Sapient Corp. (a)	395,300		2,095,090
SCO Group Inc. (a)	66,800		273,880
Semtech Corp. (a)	36,500		527,425
Silicon Laboratories Inc. (a)	1,900		66,785
Spansion Inc. Class A (a)	20,700		329,958
SupportSoft Inc. (a)	49,500		195,030
SYNNEX Corp. (a)	28,600		542,256
Traffic.com Inc. (a)	100,900		564,031
Veeco Instruments Inc. (a)	73,800		1,759,392
WidePoint Corp. (a)	557,300		1,593,878
X-Rite Inc.	15,000		164,850
			26,424,849
Telecommunication Services (0.37%)
General Communication Inc. Class A (a)	38,800		478,016
Utilities (1.57%)
CMS Energy Corp. (a)	18,800		243,272
Duquesne Light Holdings Inc.	30,600		503,064
Pure Cycle Corp. (a)	28,600		306,306
SEMCO Energy Inc. (a)	171,400		952,985
			2,005,627
Total Common Stocks
(cost $ 118,625,465)			124,641,787
Short-term Investments (2.81%)
JPMorgan 100% US Treasury Securities Money Market Fund	1,486,687		1,486,687
JPMorgan Treasury Plus Money Market Fund	2,113,029		2,113,028
Total Short-term Investments
(cost $ 3,599,715)			3,599,715
TOTAL INVESTMENTS (100.15%)
(cost $ 122,225,180)			128,241,502
LIABILITIES, NET OF OTHER ASSETS (-0.15%)			(188,421	)
NET ASSETS (100.00%)		$	128,053,081

(a)  Non-income producing security.

See accompanying notes to financial statements.

23

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (96.25%)
Australia (1.91%)
Amcor Ltd.	36,900	$	183,168
BHP Billiton Ltd.	3,812		82,148
Brambles Industries Ltd.	3,787		30,955
Foster’s Group Ltd.	45,100		183,321
Insurance Australia Group Ltd.	61,834		245,826
Macquarie Bank Ltd.	6,346		325,384
Promina Group Ltd.	23,200		96,889
Rinker Group Ltd.	47,645		580,288
Telstra Corp. Ltd.	16,021		43,811
Woolworths Ltd.	14,470		216,666
			1,988,456
Austria (0.45%)
Erste Bank Der Oester Spark	3,400		191,346
Raiffeisen International Bank Holding	700		60,793
Telekom Austria AG	3,039		67,673
Wienerberger AG	3,100		147,302
			467,114
Belgium (0.64%)
Fortis	6,400		218,318
SES Global FDR Class A	13,000		184,567
UCB SA	4,900		265,109
			667,994
Canada (5.97%)
Abitibi Consolidated Inc.	18,500		49,884
Alcan Inc.	25,500		1,194,477
Barrick Gold Corp.	24,000		710,400
CAMECO Corp.	24,100		960,071
Canadian Natural Resources	16,100		890,166
Inco Ltd.	7,000		461,300
Magna International Inc. Class A	1,500		107,014
Manulife Financial Corp.	4,800		152,088
Methanex Corp.	8,000		168,628
Potash Corp. of Saskatchewan Inc.	7,500		642,300
Rogers Communications Inc. Class B	2,600		104,601
Suncor Energy Inc.	4,800		388,455
Telus Corp.	2,500		103,086
Telus Corp. Non Voting	2,800		112,998
The Toronto Dominion Bank	3,600		182,790
			6,228,258
Denmark (0.23%)
Novo Nordisk A/S	3,700		235,697
Finland (1.61%)
Neste Oil OYJ	5,400		190,215
Nokia Corp. ADR	12,600		255,276
Nokia OYJ	39,600		808,380

	Shares	Value
Common Stocks (Cont.)
Finland (Cont.)
UPM-Kymmene OYJ	19,700	$	424,575
			1,678,446
France (11.17%)
Accor SA	6,100		371,307
Air Liquide	1,620		315,575
BNP Paribas	14,190		1,358,507
Bouygues	22,785		1,171,555
Carrefour SA	3,700		216,937
Dassault Systemes SA	3,200		171,495
Essilor International	3,300		332,182
Groupe Danone	3,600		457,465
L’Oreal	7,300		689,542
Lafarge SA	5,100		640,248
PagesJuanes SA	6,179		194,025
Renault SA	4,900		526,457
Safran SA	2,600		56,600
Sanofi-Aventis	23,600		2,303,160
Schneider Electric SA	10,000		1,042,426
Societe Generale Class A	2,900		426,563
Thales SA	4,300		167,967
Total SA	7,600		500,134
Veolia Environnement	7,000		361,805
Vivendi SA	10,100		353,964
			11,657,914
Germany (5.64%)
Allianz AG	3,700		584,557
Altana AG	3,600		200,575
Bayer AG	7,900		363,156
Bayerische Motoren Werke AG	3,800		189,847
Commerzbank AG	6,700		243,720
Continental AG	1,900		194,221
DaimlerChrysler AG	8,900		439,746
Depfa Bank PLC	13,900		230,413
Deutsche Bank AG	2,800		315,158
Deutsche Post AG	10,100		270,770
E.On AG	2,900		333,906
Infineon Technologies AG (a)	17,800		198,301
SAP AG	3,000		633,130
SAP AG Sponsored ADR	2,400		126,048
Siemens AG	10,150		883,190
Volkswagen AG	9,700		680,264
			5,887,002
Greece (0.13%)
Greek Org of Football Prognostics SA	3,800		137,549
Hong Kong (1.70%)
Bank of East Asia Ltd.	64,200		264,114
Hang Lung Group Ltd.	58,000		125,465
Hang Lung Properties Ltd.	75,000		134,234

See accompanying notes to financial statements.

24

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Hong Kong (Cont.)
Hong Kong & China Gas Co. Ltd.	72,000	$	158,067
Li & Fung Ltd.	147,800		298,786
PCCW Ltd.	108,000		77,180
Sun Hung Kai Properties Ltd.	19,000		193,760
Sun Hung Kai Properties Ltd. (b)	5,000		50,990
Swire Pacific Ltd. Class A	46,000		474,730
			1,777,326
Ireland (0.58%)
CRH PLC	10,925		356,188
CRH PLC (special placement)	7,600		247,102
			603,290
Italy (0.35%)
Banca Intesa SpA	27,500		161,096
ENI SpA	6,800		200,305
			361,401
Japan (29.46%)
Advantest Corp.	5,300		540,004
Aeon Co. Ltd.	30,000		657,987
Astellas Pharma Inc.	4,000		146,802
Bridgestone Corp.	8,500		163,776
Canon Inc.	5,400		264,715
Daiichi Sanyko Co. Ltd.	9,400		258,738
Fanuc Ltd.	9,900		889,304
Hirose Electric Co. Ltd.	2,800		340,091
Hoya Corp.	6,800		241,839
Japan Tobacco Inc.	75		273,287
Kansai Electric Power	19,000		425,026
Kao Corp.	16,000		418,735
Keyence Corp.	660		168,518
Millea Holdings Inc.	34		632,821
Mitsubishi Corp.	29,500		589,020
Mitsubishi Estate Co. Ltd.	40,000		849,353
Mitsubishi Heavy Industries Ltd.	37,000		159,717
Mitsubishi UFJ Financial Group Inc.	58		810,905
Mitsui & Co. Ltd.	16,000		225,935
Mitsui Fudosan Co. Ltd.	10,000		217,144
Mitsui Sumitomo Insurance Co.	27,830		349,456
Mizuho Financial Group Inc.	181		1,532,585
Murata Manufacturing Co. Ltd.	2,700		175,297
NGK Spark Plug Co. Ltd.	12,000		241,174
Nidec Corp.	2,400		171,968
Nikon Corp.	11,000		192,048
Nintendo Co. Ltd.	5,600		939,532
Nippon Electric Glass Co. Ltd.	26,000		521,409
Nippon Telegraph & Telephone Corp.	48		235,302
Nissan Motor Co. Ltd.	75,300		822,483
Nitto Denko Corp.	14,600		1,039,759
Odakyu Electric Railway Co.	32,000		206,361
Orix Corp.	5,530		1,350,607

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Ricoh Co. Ltd.	15,000	$	294,259
Rohm Co. Ltd.	3,300		294,993
Shimamura Co. Ltd.	2,000		219,154
Shin-Etsu Chemical Co. Ltd.	5,900		320,675
SMC Corp.	5,800		820,535
Softbank Corp.	68,600		1,537,566
Sompo Japan Insurance Inc.	33,000		461,377
Sony Corp.	5,100		225,052
Sumitomo Corp.	55,000		725,227
Sumitomo Metal Industries	79,000		325,830
Sumitomo Mitsui Financial Group Inc.	258		2,727,892
Sumitomo Realty & Development Co. Ltd.	8,000		197,134
Suzuki Motor Corp.	37,500		811,015
T&D Holdings Inc.	3,050		246,527
Takeda Pharmaceutical Co. Ltd.	7,700		479,063
TDK Corp.	1,800		136,840
Tokyo Electric Power Co.	7,600		209,857
Tokyo Electron Ltd.	17,000		1,188,396
Tokyo Gas Co. Ltd.	48,000		226,075
Tokyu Corp.	58,000		338,553
Toshiba Corp.	67,000		437,338
Toyota Motor Corp.	2,900		151,791
Trend Micro Inc.	11,500		387,889
Ushio Inc.	8,200		173,043
Yahoo! Japan Corp.	975		516,297
Yamada Denki Co. Ltd.	5,400		550,664
Yamato Holdings Co. Ltd.	38,000		674,065
			30,728,805
Netherlands (5.60%)
ABN AMRO Holdings NV	30,392		831,491
Aegon NV	43,857		749,994
ASML Holding NV (a)	9,100		184,367
Heineken NV	23,362		990,561
ING Groep NV	35,926		1,412,079
Koninklijke KPN NV	71,800		807,236
Koninklijke Numico NV	5,620		252,236
Reed Elsevier NV	21,400		321,891
TNT NV	8,300		297,039
			5,846,894
Norway (0.29%)
DNB NOR ASA	17,200		213,449
Norske Skogindustrier ASA	6,284		92,117
			305,566
Singapore (0.84%)
DBS Group Holdings Ltd.	17,000		194,396
Singapore Telecommunications (b)	428,000		686,812
			881,208

See accompanying notes to financial statements.

25

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Spain (3.90%)
Altadis SA	6,600	$	312,006
Banco Bilbao Vizcaya Argentaria SA	53,100		1,092,114
Banco Santander Central Hispano SA	68,700		1,003,484
Iberdrola SA	9,500		327,226
Inditex	6,800		286,845
Repsol YPF SA	25,800		738,859
Telefonica SA	18,257		304,038
			4,064,572
Sweden (0.99%)
Atlas Copco AB Class A	12,600		350,158
Ericsson LM Class B	96,500		319,130
Scania AB Class B	8,000		363,498
			1,032,786
Switzerland (8.13%)
Adecco SA	2,880		170,319
Compagnie Financiere Richemont AG Class A	25,087		1,149,133
Credit Suisse Group	9,891		553,388
Givaudan	230		181,076
Holcim Ltd.	14,180		1,086,799
Nestle SA	3,418		1,073,586
Novartis AG	34,563		1,871,556
Roche Holding AG	3,988		659,257
Swiss Reinsurance	14,083		984,330
Swisscom AG	1,264		416,147
Synthes Inc. (a)	1,340		161,670
UBS AG	1,638		179,536
			8,486,797
United Kingdom (16.52%)
ARM Holdings PLC	35,400		74,135
AstraZeneca PLC	30,400		1,835,384
BAE Systems PLC	91,100		622,889
BHP Billiton PLC	12,810		248,490
Brambles Industries PLC	33,900		269,558
British Land Co. PLC	9,000		210,199
Cadbury Schweppes PLC	15,000		144,654
Carnival PLC	7,800		317,755
Diageo PLC	12,600		211,913
HBOS PLC	68,200		1,185,485
HSBC Holdings PLC	27,200		478,588
Kingfisher PLC	46,400		204,640
Lloyds TSB Group PLC	30,800		302,718
Pearson PLC	17,100		232,891
Reed Elsevier PLC	71,100		717,871
Rio Tinto PLC	7,100		375,367
Royal Bank of Scotland Group	59,400		1,952,999
Royal Bank of Scotland Group (b)	6,700		220,288
Royal Dutch Shell PLC ADR Class A	600		40,188
Royal Dutch Shell PLC Class A	55,223		1,857,647

	Shares	Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Royal Dutch Shell PLC Class B	8,846	$	309,330
Scottish & Southern Energy PLC	17,700		376,732
Smith & Nephew PLC	25,000		192,548
Standard Chartered PLC	25,100		612,677
Tesco PLC	26,000		160,584
Unilever PLC	15,005		337,406
Vodafone Group PLC	1,248,400		2,660,594
Wolseley PLC	8,800		194,136
Xstrata PLC	16,250		616,015
Yell Group PLC	28,300		267,680
			17,231,361
United States (0.14%)
News Corp. Inc. CDI	7,329		140,838
Total Common Stocks
(cost $76,649,969)			100,409,274

See accompanying notes to financial statements.

26

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Principal amount		Value
Repurchase Agreement (3.79%)
Investors Bank & Trust Co. Repurchase Agreement, 3.750%, to be repurchased at $3,959,014 on 07/03/2006 (c)	$	3,957,777	$	3,957,777
Total Repurchase Agreement
(cost $3,957,777)				3,957,777
TOTAL INVESTMENTS (100.04%)
(cost $80,607,746)				104,367,051
LIABILITIES, NET OF CASH AND OTHER ASSETS (-0.04%)				(43,319	)
NET ASSETS (100.00%)			$	104,323,732

(a) Non-income producing security.

(b) These shares may only be resold to qualified institutional buyers in transactions exempt from registration.

(c) Repurchase agreement is fully collateralized by Government Agency Securities with a coupon rate of 8.20%, a maturity date of March 25, 2017, and a market value of $4,155,666 as of June 30, 2006.

Approximately 31.48% of the investment securities are denominated in the Euro, followed by 29.44% in the Japanese Yen, 12.93% in the British Pound, 8.13% in the Swiss Franc, 5.32% in the United States Dollar, 4.85% in the Canadian Dollar and 2.75% in the Swedish Krone. The remaining investment securities representing 5.10% of total investments are denominated in five currencies, each of which represents less than 2.04% of total investments.

ADR - American Depository Receipt

FDR - Fiduciary Depository Receipts

INTERNATIONAL EQUITY FUND SECTOR CLASSIFICATIONS

Sector	Value			%
Financials	$	27,589,758		26.45	%
Information Technology		10,927,212		10.48
Materials		10,705,563		10.26
Consumer Discretionary		10,694,449		10.25
Industrials		9,668,568		9.27
Health Care		8,941,742		8.57
Telecommunication Services		6,791,033		6.51
Consumer Staples		6,596,886		6.32
Energy		6,075,369		5.82
Utilities		2,418,694		2.32
Total Stocks		100,409,274		96.25
Repurchase Agreement		3,957,777		3.79
Liabilities, Net of Cash and Other Assets		(43,319	)	(0.04	)
Net Assets	$	104,323,732		100.00	%

See accompanying notes to financial statements.

27

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (96.02%)
Consumer Discretionary (14.89%)
1-800-FLOWERS.COM Inc. (a)	5,115	$	29,514
99 Cents Only Stores (a)	10,278		107,508
Aaron Rents Inc.	10,358		278,423
AC Moore Arts & Crafts Inc. (a)	3,955		64,506
Advo Inc.	7,551		185,830
Aeropostale Inc. (a)	12,290		355,058
AFC Enterprises (a)	6,341		80,848
Aftermarket Technology Corp. (a)	5,468		135,880
Alderwoods Group Inc. (a)	9,900		192,654
Ambassadors Group Inc.	4,372		126,263
America’s Car-Mart Inc. (a)	2,584		52,481
American Axle & Manufacturing Holdings Inc.	11,287		193,121
American Greetings Corp.	11,700		245,817
Ameristar Casinos Inc.	6,657		129,479
Applebee’s International Inc.	17,300		332,506
Arbitron Inc.	6,818		261,334
Arctic Cat Inc.	3,552		69,300
ArvinMeritor Inc.	15,315		263,265
Asbury Automotive Group Inc. (a)	2,952		61,815
Audible Inc. (a)	5,251		47,732
Audiovox Corp. (a)	3,404		46,499
Avatar Holdings Inc. (a)	1,448		82,493
Aztar Corp. (a)	8,100		420,876
Bally Technologies Inc. (a)	11,462		188,779
Bally Total Fitness Holding Corp. (a)	8,500		57,630
Bandag Inc.	2,616		95,719
bebe stores inc.	5,800		89,436
Belo Corp.	21,500		335,400
Big 5 Sporting Goods Corp.	5,519		107,621
Big Lots Inc. (a)	26,345		449,973
BJ’s Restaurant Inc. (a)	2,939		65,657
Blockbuster Inc. (a)	40,409		201,237
Blount International Inc. (a)	9,194		110,512
Blue Nile Inc. (a)	3,556		114,361
Bluegreen Corp. (a)	4,223		48,396
Blyth Inc.	6,145		113,437
Bob Evans Farms Inc.	8,945		268,439
Bon-Ton Stores Inc.	1,900		41,572
Books-A-Million Inc.	3,700		61,716
Borders Group Inc.	14,300		263,978
Bright Horizons Family Solutions Inc. (a)	6,706		252,749
Brookfield Homes Corp.	3,037		100,069
Brown Shoe Co. Inc.	6,070		206,866
Buckle Inc.	1,822		76,287
Buffalo Wild Wings Inc. (a)	1,898		72,712
Build-A-Bear Workshop Inc. (a)	3,029		65,154
Building Materials Holding Corp.	6,292		175,358
Cabela’s Inc. (a)	6,930		133,472
Cache Inc. (a)	3,857		66,880
California Coastal Communities Inc. (a)	2,054		65,728
California Pizza Kitchen Inc. (a)	4,880		134,102

	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Callaway Golf Co.	16,114	$	209,321
Carmike Cinemas Inc.	3,599		75,867
Carter’s Inc. (a)	10,608		280,369
Casual Male Retail Group Inc. (a)	7,443		74,802
Catalina Marketing Corp.	10,770		306,514
Cato Corp. Class A	7,344		189,842
Cavco Industries Inc. (a)	1,200		53,328
CBRL Group Inc.	6,700		227,264
CEC Entertainment Inc. (a)	7,606		244,305
Century Casinos Inc. (a)	3,900		41,769
Champion Enterprises Inc. (a)	16,080		177,523
Charlotte Russe Holding Inc. (a)	3,567		85,394
Charming Shoppes Inc. (a)	29,081		326,870
Charter Communications Inc. (a)	89,272		100,877
Cherokee Inc.	1,482		61,296
Children’s Place Retail Stores Inc. (a)	5,056		303,613
Chipolte Mexican Grill Inc. (a)	1,900		115,805
Christopher & Banks Corp.	8,142		236,118
Churchill Downs Inc.	1,561		58,459
Citadel Broadcasting Corp.	8,869		78,934
Citi Trends Inc. (a)	1,400		59,766
CKE Restaurants Inc.	13,072		217,126
CKX Inc. (a)	11,100		150,627
Coinmach Service Corp.	5,100		52,275
Columbia Sportswear Co. (a)	3,300		149,358
Conn’s Inc. (a)	1,486		39,453
Cooper Tire & Rubber Co.	14,901		165,997
Core-Mark Holding Co. Inc. (a)	2,000		71,600
Corinthian Colleges Inc. (a)	20,478		294,064
Cosi Inc. (a)	8,900		55,447
Cost Plus Inc. (a)	5,566		81,598
Courier Corp.	2,001		80,080
Cox Radio Inc. (a)	9,463		136,456
Crocs Inc. (a)	2,800		70,420
Crown Media Holdings Inc. (a)	2,762		11,379
CSK Auto Corp. (a)	9,627		115,235
CSS Industries Inc.	1,218		35,018
Cumulus Media Inc. (a)	9,806		104,630
Deb Shops Inc.	893		21,530
Deckers Outdoor Corp. (a)	2,353		90,732
dELiA*s Inc. (a)	5,700		46,056
Denny’s Corp. (a)	23,153		85,435
Directed Electronics Inc. (a)	2,600		34,112
Domino’s Pizza Inc.	8,417		208,237
Dover Downs Gaming & Entertainment Inc.	3,702		72,707
Dover Motorsports Inc.	3,791		22,253
Dress Barn Inc. (a)	10,536		267,088
Drew Industries Inc. (a)	4,064		131,674
drugstore.com inc. (a)	13,990		40,571
DSW Inc. (a)	3,900		142,038
Educate Inc. (a)	3,631		27,813

See accompanying notes to financial statements.

28

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Emmis Communications Corp. (a)	8,521	$	133,268
Entercom Communications Corp.	7,885		206,272
Entravision Communications Corp. (a)	15,640		134,035
Ethan Allen Interiors Inc.	7,622		278,584
Fisher Communications Inc. (a)	1,296		54,600
Fleetwood Enterprises Inc. (a)	13,958		105,243
Fossil Inc. (a)	10,547		189,951
Fred’s Inc.	9,740		130,029
FTD Group Inc. (a)	3,509		47,372
Furniture Brands International Inc.	10,264		213,902
Gaiam Inc. (a)	4,200		58,884
Gaylord Entertainment Co. (a)	9,263		404,237
Gemstar-TV Guide International Inc. (a)	54,609		192,224
Genesco Inc. (a)	5,059		171,348
GenTek Inc. (a)	2,600		69,810
Gray Television Inc.	11,047		63,962
Great Wolf Resorts Inc. (a)	5,228		62,788
Group 1 Automotive Inc.	5,521		311,053
GSI Commerce Inc. (a)	8,427		114,017
Guess ? Inc. (a)	4,551		190,004
Guitar Center Inc. (a)	6,133		272,735
Gymboree Corp. (a)	7,765		269,911
Harris Interactive Inc. (a)	10,463		59,639
Hartmarx Corp. (a)	5,317		31,902
Haverty Furniture Companies Inc.	5,635		88,413
Hibbett Sporting Goods Inc. (a)	8,512		203,437
Hollinger International Inc.	17,413		139,826
Home Solutions of America Inc. (a)	9,200		56,764
Hooker Furniture Corp.	3,016		50,578
Hot Topic Inc. (a)	10,592		121,914
Hovnanian Enterprises Inc. (a)	11,200		336,896
Iconix Brand Group Inc. (a)	8,300		135,622
IHOP Corp.	4,575		219,966
IMPCO Technologies Inc. (a)	5,600		59,752
Insight Enterprises Inc. (a)	11,548		219,989
Interactive Data Corp. (a)	7,700		154,693
Interface Inc. (a)	11,505		131,732
INVESTools Inc. (a)	9,700		77,018
iRobot Corp. (a)	2,900		72,152
Isle of Capri Casinos Inc. (a)	4,209		107,961
Jack in the Box Inc. (a)	7,755		303,996
Jakks Pacific Inc. (a)	6,627		133,136
Jo-Ann Stores Inc. (a)	5,169		75,726
Jos. A. Bank Clothiers Inc. (a)	4,437		106,311
Journal Communications Inc. Class A	9,042		101,632
Journal Register Co.	9,209		82,513
K-Swiss Inc. Class A	6,471		172,776
K2 Inc. (a)	11,435		125,099
Kellwood Co.	5,843		171,025
Kenneth Cole Productions Inc.	2,620		58,505
Keystone Automotive Industries Inc. (a)	3,909		165,038
Kimball International Inc. Class B	4,483		88,360
Krispy Kreme Doughnuts Inc. (a)	13,306		108,311

	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
La-Z-Boy Inc.	12,622	$	176,708
Lakes Entertainment Inc. (a)	4,800		58,032
Landry’s Restaurants Inc.	4,195		136,128
Leapfrog Enterprises Inc. (a)	7,420		74,942
Lear Corp.	15,100		335,371
Lee Enterprises Inc. Class A	10,000		269,500
Levitt Corp Class A	3,795		60,720
Life Time Fitness Inc. (a)	6,893		318,939
Lifetime Brands Inc.	2,773		60,091
Lin TV Corp. (a)	6,365		48,056
Lincoln Educational Services (a)	400		6,836
Lithia Motors Inc. Class A	3,466		105,089
Live Nation Inc. (a)	18,524		377,149
LKQ Corp. (a)	10,704		203,376
LodgeNet Entertainment Corp. (a)	4,168		77,733
Lodgian Inc. (a)	5,551		79,102
Lone Star Steakhouse & Saloon Inc.	3,880		101,772
Luby’s Inc. (a)	4,606		48,041
M/I Homes Inc.	2,500		87,700
Magna Entertainment Corp. (a)	7,377		38,803
Maidenform Brands Inc. (a)	4,200		51,786
Marcus Corp.	4,237		88,469
Marine Products Corp.	2,692		26,193
MarineMax Inc. (a)	3,515		92,198
Martha Stewart Living Omnimedia Inc. (a)	5,978		99,892
Marvel Entertainment Inc. (a)	10,300		206,000
Matthews International Corp.	7,768		267,763
McCormick & Schmick’s Seafood Restaurants Inc. (a)	2,326		55,359
Media General Inc.	4,801		201,114
Mediacom Communications Corp. Class A (a)	12,628		78,672
Meritage Homes Corp. (a)	5,000		236,250
Midas Inc. (a)	3,884		71,466
Modine Manufacturing Co.	8,143		190,220
Monaco Coach Corp.	5,722		72,669
Monarch Casino & Resort Inc. (a)	1,966		55,284
Monro Muffler Brake Inc.	3,090		100,610
Morgans Hotel Group (a)	4,800		74,688
Morningstar Inc. (a)	3,305		137,091
Morton’s Restaurant Group Inc. (a)	2,200		33,704
Movado Group Inc.	4,516		103,642
MTR Gaming Group Inc. (a)	4,861		45,596
Multimedia Games Inc. (a)	7,136		72,288
National Presto Industries Inc.	1,318		68,905
Nautilus Inc.	8,502		133,566
Navigant International Inc. (a)	4,000		64,120
Netflix Inc. (a)	8,850		240,809
New York & Co. Inc. (a)	5,356		52,328
Noble International Ltd.	2,197		31,461
O’Charley’s Inc. (a)	6,009		102,153

See accompanying notes to financial statements.

29

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Oakley Inc.	5,174	$	87,182
Orleans Homebuilders Inc.	900		14,625
Outdoor Channel Holdings Inc. (a)	2,300		23,736
Overstock.com Inc. (a)	2,399		51,003
Oxford Industries Inc.	3,047		120,082
Pacific Sunwear of California Inc. (a)	16,202		290,502
Palm Harbor Homes Inc. (a)	2,805		49,340
Pantry Inc. (a)	5,239		301,452
Papa John’s International Inc. (a)	5,280		175,296
Payless Shoesource Inc. (a)	14,778		401,518
PEP Boys-Manny Moe & Jack	11,627		136,385
Perry Ellis International Inc. (a)	1,951		49,380
Petco Animal Supplies Inc. (a)	13,611		278,073
PetMed Express Inc. (a)	4,700		51,559
PF Chang’s China Bistro Inc. (a)	5,991		227,778
Phillips-Van Heusen Corp.	12,342		470,971
Pier 1 Imports Inc.	19,111		133,395
Pinnacle Entertainment Inc. (a)	10,648		326,361
Playboy Enterprises Inc. (a)	4,694		46,846
Polaris Industries Inc.	9,200		398,360
Pre-Paid Legal Services Inc.	2,567		88,562
Prestige Brands Holdings Inc. (a)	6,248		62,293
Priceline.com Inc. (a)	6,262		186,983
Primedia Inc. (a)	42,621		77,996
Private Media Group Inc. (a)	4,500		21,150
Progressive Gaming International Corp. (a)	8,608		67,142
ProQuest Co. (a)	6,978		85,760
Quantum Fuel Systems Technologies Worldwide Inc. (a)	10,060		34,204
Quiksilver Inc. (a)	27,200		331,296
Radio One Inc. Class D (a)	18,683		138,254
Rare Hospitality International Inc. (a)	8,113		233,330
Raser Technologies Inc. (a)	4,100		39,524
RC2 Corp. (a)	4,554		176,058
RCN Corp. (a)	6,171		153,843
Reader’s Digest Association Inc.	22,939		320,228
Red Robin Gourmet Burgers Inc. (a)	3,574		152,109
Regis Corp.	10,978		390,927
Rent-A-Center Inc. (a)	16,200		402,732
Restoration Hardware Inc. (a)	7,748		55,631
Retail Ventures Inc. (a)	4,921		87,692
Riviera Holdings Corp. (a)	2,665		55,166
Ruby Tuesday Inc.	12,811		312,717
Russ Berrie & Co. Inc. (a)	3,376		41,390
Russell Corp.	7,233		131,351
Ruth’s Chris Steak House (a)	4,100		83,722
Ryan’s Restaurant Group Inc. (a)	8,540		101,711
Salem Communications Corp. (a)	2,459		31,992
Sauer-Danfoss Inc.	2,239		56,915
Scholastic Corp. (a)	8,473		220,044
Sealy Corp. (a)	4,100		54,407

	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Select Comfort Corp. (a)	11,820	$	271,505
Shiloh Industries Inc. (a)	800		12,032
Shoe Carnival Inc. (a)	2,217		52,898
Shuffle Master Inc. (a)	8,178		268,075
Sinclair Broadcast Group Inc.	12,604		107,890
Six Flags Inc. (a)	17,656		99,227
Skechers U.S.A. Inc. (a)	2,449		59,045
Skyline Corp.	1,843		78,844
Smith & Wesson Holding Corp. (a)	7,400		60,828
Sonic Automotive Inc.	6,697		148,539
Sonic Corp. (a)	25,873		537,900
Sotheby’s Holdings Inc. (a)	13,487		354,034
Source Interlink Co. Inc. (a)	8,666		103,125
Spanish Broadcasting System Inc. (a)	7,892		40,328
Speedway Motorsports Inc.	3,554		134,128
Stage Stores Inc.	5,938		195,954
Stamps.com Inc. (a)	4,228		117,623
Stanley Furniture Co. Inc.	3,116		74,691
Star Maritime Acquisition Corp. (a)	4,900		49,784
Stein Mart Inc.	5,523		81,740
Steinway Musical Instruments Inc. (a)	1,899		46,563
Steven Madden Ltd. (a)	5,012		148,455
Stewart Enterprises Inc.	21,654		124,511
Strayer Education Inc.	3,450		335,064
Stride Rite Corp.	7,363		97,118
Superior Industries International Inc.	4,641		84,884
Syms Corp. (a)	1,000		18,400
Talbots Inc.	5,199		95,922
Tarragon Corp.	2,517		34,860
Technical Olympic USA Inc.	3,983		57,196
Tempur-Pedic International Inc. (a)	11,000		148,610
Tenneco Inc. (a)	9,913		257,738
Texas Roadhouse Inc. Class A (a)	11,204		151,478
The Andersons Inc.	2,792		116,175
The Finish Line Inc. Class A	10,851		128,367
The Men’s Wearhouse Inc.	10,600		321,180
The Sportsman’s Guide Inc. (a)	1,900		57,950
The Steak n Shake Co. (a)	5,636		85,329
The Yankee Candle Co. Inc.	9,617		240,521
Timberland Co. (a)	11,100		289,710
TiVo Inc. (a)	16,740		119,691
Too Inc. (a)	7,518		288,616
Triarc Companies Inc. Class B	13,235		206,863
True Religion Apparel Inc. (a)	3,300		58,410
Trump Entertainment Resorts Inc. (a)	6,000		120,900
Tuesday Morning Corp.	7,389		97,165
Tupperware Brands Corp.	13,196		259,829
Under Armour Inc. Class A (a)	5,000		213,100
Unifirst Corp.	2,475		85,388
Universal Electronics Inc. (a)	2,675		47,374
Universal Technical Institute Inc. (a)	4,981		109,682
Vail Resorts Inc. (a)	6,882		255,322
Valassis Communications Inc. (a)	11,490		271,049

See accompanying notes to financial statements.

30

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Value Line Inc.	162	$	6,917
ValueVision Media Inc. Class A (a)	6,023		66,434
Vertrue Inc. (a)	1,936		83,306
Visteon Corp. (a)	27,978		201,721
Volcom Inc. (a)	2,700		86,373
Warnaco Group Inc. (a)	11,166		208,581
WCI Communities Inc. (a)	7,481		150,667
West Marine Inc. (a)	2,895		39,025
Westwood One Inc.	15,200		114,000
Wet Seal Inc. (a)	14,705		71,760
Weyco Group Inc.	1,100		25,542
Winnebago Industries Inc.	7,219		224,078
WMS Industries Inc. (a)	5,892		161,382
Wolverine World Wide Inc.	12,221		285,116
World Wrestling Entertainment Inc.	5,469		92,371
Xerium Technologies Inc.	3,492		32,895
Zale Corp. (a)	10,867		261,786
Zumiez Inc. (a)	3,466		130,218
			45,301,537
Consumer Staples (2.68%)
Alico Inc.	785		43,261
Alliance One International Inc.	19,444		86,331
American Oriental Bioengineering Inc. (a)	9,300		51,429
Arden Group Inc. Class A	200		22,634
Boston Beer Co. Inc. (a)	2,580		75,568
Casey’s General Stores Inc.	11,966		299,270
Central European Distribution Corp. (a)	7,046		177,277
Central Garden & Pet Co. (a)	5,104		219,727
Chattem Inc. (a)	4,343		131,897
Chiquita Brands International Inc.	9,205		126,845
Coca-Cola Bottling Co. Consolidated	947		48,079
Darling International Inc. (a)	13,725		62,174
Delta & Pine Land Co.	7,743		227,644
Diamond Foods Inc.	3,500		56,245
Elizabeth Arden Inc. (a)	5,403		96,606
Farmer Brothers Co.	1,393		30,200
Flowers Foods Inc.	11,390		326,210
Gold Kist Inc. (a)	12,269		164,037
Green Mountain Coffee Roasters Inc. (a)	959		38,523
Hain Celestial Group Inc. (a)	6,723		173,184
Imperial Sugar Co.	2,800		66,416
Ingles Markets Inc.	2,105		35,785
Inter Parfums Inc.	867		14,930
J&J Snack Foods Corp.	2,642		87,371
Jones Soda Co. (a)	5,700		51,300
Lancaster Colony Corp.	5,319		209,941
Lance Inc.	6,205		142,839
Longs Drug Stores Corp.	7,112		324,449
Mannatech Inc.	3,479		43,870
Maui Land & Pineapple Co. Inc. (a)	866		32,735

	Shares	Value
Common Stocks (Cont.)
Consumer Staples (Cont.)
Medifast Inc. (a)	2,900	$	51,823
MGP Ingredients Inc.	2,400		55,728
Nash Finch Co.	3,712		79,028
National Beverage Corp.	1,900		27,265
NBTY Inc. (a)	12,336		294,954
Nu Skin Enterprises Inc.	13,162		195,456
Parlux Fragrances Inc. (a)	3,948		38,256
Pathmark Stores Inc. (a)	12,688		119,394
Peet’s Coffee & Tea Inc. (a)	3,541		106,903
Performance Food Group Co. (a)	8,549		259,719
Perrigo Co.	18,438		296,852
Pilgrim’s Pride Corp.	8,900		229,620
Playtex Products Inc. (a)	11,910		124,221
Premium Standard Farms Inc.	3,500		56,805
PriceSmart Inc. (a)	1,300		13,026
Ralcorp Holdings Inc. (a)	6,562		279,082
Reddy Ice Holdings Inc.	3,600		73,260
Revlon Inc. (a)	29,111		36,680
Ruddick Corp.	8,590		210,541
Sanderson Farms Inc.	4,151		116,186
Seaboard Corp.	74		94,720
Smart & Final Inc. (a)	2,799		47,135
Spartan Stores Inc.	4,352		63,670
Spectrum Brands Inc. (a)	8,000		103,360
The Great Atlantic & Pacific Tea Co. Inc.	4,223		95,947
Tootsie Roll Industries Inc.	7,633		222,349
Topps Co. Inc.	9,376		77,071
TreeHouse Foods Inc. (a)	6,800		162,452
United Natural Foods Inc. (a)	10,042		331,587
Universal Corp.	6,005		223,506
USANA Health Sciences Inc. (a)	2,174		82,395
Vector Group Ltd.	7,641		124,166
Village Super Market Inc.	300		19,611
WD-40 Co.	4,244		142,471
Weis Markets Inc.	2,596		106,955
Wild Oats Markets Inc. (a)	7,081		138,788
			8,167,759
Energy (5.53%)
Allis-Chalmers Energy Inc. (a)	3,400		46,206
Alon USA Energy Inc.	2,700		84,969
Alpha Natural Resources Inc. (a)	11,421		224,080
Arena Resources Inc. (a)	2,200		75,438
Atlas America Inc. (a)	4,231		189,591
ATP Oil & Gas Corp. (a)	4,619		193,675
Atwood Oceanics Inc. (a)	5,904		292,838
Aurora Oil & Gas Corp. (a)	14,000		56,000
Aventine Renewable Energy Holdings Inc. (a)	379		14,743
Basic Energy Services Inc. (a)	2,300		70,311
Berry Petroleum Co.	8,466		280,648
Bill Barrett Corp. (a)	6,138		181,746

See accompanying notes to financial statements.

31

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Energy (Cont.)
Bois d’Arc Energy Inc. (a)	2,942	$	48,455
Brigham Exploration Co. (a)	11,249		88,980
Bristow Group Inc. (a)	5,091		183,276
Bronco Drilling Co. Inc. (a)	3,400		71,026
Callon Petroleum Co. (a)	4,180		80,841
CARBO Ceramics Inc.	4,931		242,260
Carrizo Oil & Gas Inc. (a)	5,168		161,810
Clayton Williams Energy Inc. (a)	1,449		50,048
Complete Production Services Inc. (a)	5,700		134,748
Comstock Resources Inc. (a)	9,440		281,878
Crosstex Energy Inc.	2,119		201,474
Dawson Geophysical Co. (a)	2,000		61,540
Delek US Holdings Inc. (a)	1,700		25,840
Delta Petroleum Corp. (a)	12,627		216,300
Dril-Quip Inc. (a)	2,394		197,361
Edge Petroleum Corp. (a)	4,571		91,329
Encore Acquisition Co. (a)	12,091		324,402
Energy Partners Ltd. (a)	8,303		157,342
EXCO Resources Inc. (a)	11,000		125,400
Exploration Co. of Delaware (a)	7,200		76,752
Gasco Energy Inc. (a)	19,984		88,929
GeoGlobal Resources Inc. (a)	7,600		37,164
Giant Industries Inc. (a)	3,097		206,105
GMX Resources Inc. (a)	2,000		61,840
Goodrich Petroleum Corp. (a)	3,144		89,258
Grey Wolf Inc. (a)	42,957		330,769
Gulf Island Fabrication Inc.	3,113		62,385
Gulfmark Offshore Inc. (a)	4,380		113,135
Gulfport Energy Corp. (a)	2,200		24,288
Hanover Compressor Co. (a)	22,922		430,475
Harvest Natural Resources Inc. (a)	7,632		103,337
Hercules Offshore Inc. (a)	4,300		150,500
Hornbeck Offshore Services Inc. (a)	5,234		185,912
Houston Exploration Co. (a)	6,734		412,053
Hydril (a)	4,259		334,417
Input/Output Inc. (a)	15,332		144,887
International Coal Group Inc. (a)	25,000		179,750
James River Coal Co. (a)	3,838		101,669
KCS Energy Inc. (a)	11,254		334,244
KFX Inc. (a)	15,351		234,563
Lone Star Technologies Inc. (a)	7,094		383,218
Lufkin Industries Inc.	3,582		212,878
Mariner Energy Inc. (a)	16,272		298,917
Maritrans Inc.	3,192		79,481
Markwest Hydrocarbon Inc.	1,425		35,269
Matrix Service Co. (a)	5,300		60,632
Maverick Tube Corp. (a)	8,352		527,763
McMoRan Exploration Co. (a)	6,048		106,445
Meridian Resource Corp. (a)	19,127		66,944
Metretek Technologies Inc. (a)	3,900		67,002
NATCO Group Inc. (a)	3,600		144,720
Newpark Resources Inc. (a)	18,357		112,896
NGP Capital Resources Co.	4,826		70,604

	Shares	Value
Common Stocks (Cont.)
Energy (Cont.)
NS Group Inc. (a)	4,926	$	271,324
Oil States International Inc. (a)	11,052		378,863
Pacific Ethanol Inc. (a)	4,600		106,352
Parallel Petroleum Corp. (a)	8,696		214,878
Parker Drilling Co. (a)	25,821		185,395
Penn Virginia Corp.	4,417		308,660
PetroHawk Energy Corp. (a)	14,160		178,416
Petroleum Development Corp. (a)	4,012		151,252
Petroquest Energy Inc. (a)	9,163		112,522
PHI Inc. (a)	2,900		96,280
Pioneer Drilling Co. (a)	8,982		138,682
Quest Resource Corp. (a)	5,000		67,750
RAM Energy Resources Inc. (a)	2,200		12,584
Remington Oil & Gas Corp. (a)	743		32,670
Rentech Inc. (a)	30,500		141,825
Resource America Inc.	3,210		61,150
Rosetta Resources Inc. (a)	12,117		201,385
RPC Inc.	5,233		127,057
Stone Energy Corp. (a)	5,987		278,695
SulphCo Inc. (a)	7,400		52,984
Superior Well Services Inc. (a)	2,200		54,780
Swift Energy Co. (a)	6,489		278,573
Syntroleum Corp. (a)	9,926		60,251
Toreador Resources Corp. (a)	3,090		86,922
Transmeridian Exploration Inc. (a)	15,000		85,500
TransMontaigne Inc. (a)	10,834		121,449
Trico Marine Services Inc. (a)	3,100		105,400
Union Drilling Inc. (a)	3,700		54,982
Universal Compression Holdings Inc. (a)	6,711		422,592
USEC Inc.	19,191		227,413
VAALCO Energy Inc. (a)	13,900		135,664
Verasun Energy Inc. (a)	237		6,219
Veritas DGC Inc. (a)	7,760		400,261
W-H Energy Services Inc. (a)	6,557		333,292
Warren Resources Inc. (a)	12,746		183,033
Warrior Energy Service Corp. (a)	2,400		58,392
Western Refining Inc.	5,700		123,006
Westmoreland Coal Co. (a)	1,300		30,836
Whiting Petroleum Corp. (a)	8,183		342,622
World Fuel Services Corp.	6,228		284,557
			16,838,224
Financials (20.80%)
1st Source Corp.	2,298		77,741
21st Century Insurance Group	6,086		87,638
Aames Investment Corp.	12,130		60,529
Abington Community Bancorp Inc.	700		10,486
Acadia Realty Trust	6,553		154,978
Accredited Home Lenders Holding Co. (a)	3,905		186,698
ACE Cash Express Inc. (a)	2,970		86,932

See accompanying notes to financial statements.

32

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Advance America Cash Advance Centers Inc.	16,401	$	287,674
Advanta Corp.	4,426		159,115
Affirmative Insurance Holding Inc.	1,958		30,643
Affordable Residential Communities (a)	6,915		74,336
Agree Realty Corp.	2,160		73,375
Alabama National Bancorporation	3,626		247,112
Alexander’s Inc. (a)	440		119,574
Alexandria Real Estate Equities Inc.	5,478		485,789
Alfa Corp.	6,219		102,987
Amcore Financial Inc.	5,421		158,890
American Campus Communities Inc.	4,076		101,289
American Equity Investment Life Holdings Co.	12,169		129,722
American Financial Realty Trust	28,500		275,880
American Home Mortgage Investment Corp.	9,809		361,560
American Physicians Capital Inc. (a)	1,809		95,135
AmericanWest Bancorp	3,263		73,907
Ameris Bancorp	2,230		51,602
Anchor Bancorp Wisconsin Inc.	4,887		147,441
Anthracite Capital Inc.	14,155		172,125
Anworth Mortgage Asset Corp.	11,957		99,243
Apollo Investment Corp.	19,422		358,919
Arbor Realty Trust Inc.	3,456		86,573
Ares Capital Corp.	8,924		151,083
Argonaut Group Inc. (a)	7,243		217,580
Arrow Financial Corp.	2,007		55,052
Ashford Hospitality Trust Inc.	10,602		133,797
Asta Funding Inc.	2,847		106,620
Baldwin & Lyons Inc.	1,211		30,881
BancFirst Corp.	1,448		64,798
BancTrust Financial Group Inc.	2,882		67,641
Bank Mutual Corp.	15,132		184,913
Bank of Granite Corp.	2,476		51,575
Bank of the Ozarks Inc.	2,518		83,849
BankAtlantic Bancorp Inc.	11,603		172,189
BankFinancial Corp.	6,800		117,640
BankUnited Financial Corp.	7,685		234,546
Banner Corp.	2,323		89,528
Berkshire Hills Bancorp Inc.	2,196		77,914
BFC Financial Corp. (a)	3,591		24,850
BioMed Realty Trust Inc.	12,651		378,771
Boston Private Financial Holdings Inc.	8,851		246,943
Bristol West Holdings Inc.	3,563		57,008
Brookline Bancorp Inc.	12,781		175,994
Cadence Financial Corp.	2,109		46,967
Calamos Asset Management Inc. Class A	5,551		160,923
Camden National Corp.	2,200		87,780
Capital City Bank Group Inc.	2,498		75,440
Capital Corp. of the West	1,829		58,528

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Capital Lease Funding Inc.	8,456	$	96,483
Capital Southwest Corp.	532		55,567
Capital Title Group Inc.	6,800		50,116
Capital Trust Inc.	2,914		103,797
Capitol Bancorp Ltd.	2,622		102,127
Cardinal Financial Corp.	6,546		76,065
Cascade Bancorp	5,589		159,342
Cash America International Inc.	6,380		204,160
Cathay General Bancorp	12,199		443,800
Cedar Shopping Centers Inc.	7,575		111,504
Centennial Bank Holdings Inc. (a)	14,500		149,930
Center Financial Corp.	2,181		51,559
Centerstate Banks of Florida Inc.	1,500		30,750
CentraCore Properties Trust	2,836		70,191
Central Pacific Financial Corp.	7,500		290,250
Charter Financial Corp.	504		19,888
CharterMac	11,093		207,550
Chemical Financial Corp.	5,407		165,454
Chittenden Corp.	10,902		281,817
Citizens Banking Corp.	10,373		253,205
Citizens First Bancorp Inc.	1,600		42,736
City Bank	2,336		108,998
City Holding Co.	3,671		132,670
Clark Inc.	3,990		52,668
Clayton Holdings Inc. (a)	2,300		30,015
Clifton Savings Bancorp Inc.	3,100		33,573
CNA Surety Corp. (a)	2,949		50,959
Coastal Financial Corp.	4,512		58,836
CoBiz Inc.	2,804		63,146
Cohen & Steers Inc.	2,534		59,802
Columbia Bancorp	1,800		45,126
Columbia Banking Systems Inc.	3,691		137,970
Commerce Group Inc.	12,900		381,066
Commercial Capital Bancorp Inc.	12,333		194,245
Community Bancorp Inc.	1,400		59,234
Community Bancorp NV (a)	952		29,588
Community Bank System Inc.	7,487		151,013
Community Banks Inc.	5,079		132,054
Community Trust Bancorp Inc.	2,889		100,913
Compass Diversified Trust (a)	2,300		32,821
CompuCredit Corp. (a)	4,981		191,470
Consolidated-Tomoka Land Co.	1,442		79,512
Corporate Office Properties Trust	7,975		335,588
Corus Bankshares Inc.	9,458		247,610
Cousins Properties Inc.	9,538		295,010
Crawford & Co.	4,776		34,292
Credit Acceptance Corp. (a)	2,000		54,280
Crescent Real Estate Equities Co.	18,200		337,792
CVB Financial Corp.	12,785		200,213
Darwin Professional Underwriters Inc. (a)	700		12,362
Deerfield Triarc Capital Corp.	10,700		138,886

See accompanying notes to financial statements.

33

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Delphi Financial Group Inc.	9,918	$	360,618
DiamondRock Hospitality Co.	13,655		202,231
Digital Realty Trust Inc.	3,700		91,353
Dime Community Bancshares	5,969		80,999
Direct General Corp.	4,424		74,854
Dollar Financial Corp. (a)	3,100		55,800
Donegal Group Inc.	2,369		45,982
Doral Financial Corp.	19,440		124,610
Downey Financial Corp.	4,700		318,895
EastGroup Properties Inc.	5,467		255,200
Education Realty Trust Inc.	6,825		113,636
EMC Insurance Group Inc.	946		27,207
Enstar Group Inc. (a)	621		57,250
Enterprise Financial Services Corp.	1,476		37,564
Entertainment Properties Trust	5,900		253,995
Equity Inns Inc.	11,497		190,390
Equity Lifestyle Properties Inc.	4,391		192,458
Equity One Inc.	7,846		163,981
eSpeed Inc. (a)	4,901		40,825
Extra Space Storage Inc.	11,508		186,890
EZCORP Inc. (a)	2,800		105,532
Farmers Capital Bank Corp.	2,117		69,332
FBL Financial Group Inc.	2,898		93,895
Federal Agricultural Mortgage Corp. Class C	2,471		68,447
FelCor Lodging Trust Inc.	13,293		288,990
Fidelity Bankshares Inc.	5,972		190,029
Fieldstone Investment Corp.	11,992		109,847
Financial Federal Corp.	6,355		176,733
First Acceptance Corp. (a)	3,120		36,754
First Bancorp (North Carolina)	2,182		45,822
First BanCorp (Puerto Rico)	15,219		141,537
First Busey Corp.	2,579		52,792
First Cash Financial Services Inc. (a)	6,714		132,602
First Charter Corp.	6,428		157,679
First Commonwealth Financial Corp.	15,721		199,657
First Community Bancorp (CA)	4,746		280,394
First Community Bancshares Inc.	1,951		64,363
First Financial Bancorp	7,623		113,659
First Financial Bankshares Inc.	4,270		156,026
First Financial Corp. Indiana	2,599		77,996
First Financial Holdings Inc.	2,795		89,440
First Indiana Corp.	3,430		89,283
First Industrial Realty Trust Inc.	10,876		412,635
First Merchants Corp.	3,806		92,524
First Midwest Bancorp Inc.	11,941		442,772
First Niagara Financial Group Inc.	26,841		376,311
First Oak Brook Bancshares Inc.	1,171		43,327
First Place Financial Corp. Ohio	2,615		60,171
First Potomac Realty Trust	4,689		139,685
First Regional Bancorp (a)	471		41,448
First Republic Bank	5,283		241,961
First South Bancorp Inc.	1,363		46,656

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
First State Bancorporation	4,527	$	107,652
FirstFed Financial Corp. (a)	3,782		218,108
FirstMerit Corp.	24,703		517,281
FLAG Financial Corp.	2,600		50,570
Flagstar Bancorp Inc.	8,394		133,968
Flushing Financial Corp.	3,367		60,471
FNB Corp. (PA)	11,479		181,024
FNB Corp. (VA)	1,295		47,915
FPIC Insurance Group Inc. (a)	2,596		100,595
Franklin Bank Corp. (a)	5,985		120,837
Franklin Street Properties Corp.	10,500		206,640
Fremont General Corp.	15,756		292,431
Friedman Billings Ramsey Group Inc.	32,800		359,816
Frontier Financial Corp.	6,522		221,683
GAMCO Investors Inc.	1,825		67,087
GB&T Bancshares Inc.	2,432		52,920
Getty Realty Corp.	3,794		107,901
GFI Group Inc. (a)	2,839		153,164
Glacier Bancorp Inc.	8,108		237,321
Gladstone Capital Corp.	2,211		47,293
Gladstone Investment Corp.	3,000		45,000
Glenborough Realty Trust Inc.	7,475		161,011
Glimcher Realty Trust	8,270		205,179
GMH Communities Trust	8,283		109,170
Gramercy Capital Corp.	3,235		83,787
Great American Financial Resources Inc.	1,933		40,458
Great Southern Bancorp Inc.	1,882		57,457
Greater Bay Bancorp	12,201		350,779
Greene County Bancshares Inc.	2,596		80,372
Greenhill & Co. Inc.	3,849		233,865
Hancock Holding Co.	6,526		365,456
Hanmi Financial Corp.	9,930		193,039
Harbor Florida Bancshares Inc.	4,468		165,942
Harleysville Group Inc.	3,632		115,207
Harleysville National Corp.	5,993		127,112
Harris & Harris Group Inc. (a)	5,695		62,873
Healthcare Realty Trust Inc.	11,653		371,148
Heartland Financial USA Inc.	2,743		73,101
Heritage Commerce Corp.	2,304		57,116
Heritage Property Investment Trust	6,372		222,510
Hersha Hospitality Trust	7,225		67,120
Highland Hospitality Corp.	14,784		208,159
Highwoods Properties Inc.	12,969		469,218
Hilb Rogal & Hobbs Co.	7,908		294,731
Home Federal Bancorp Inc.	600		8,196
Home Properties Inc.	7,783		432,034
HomeBanc Corp.	10,562		83,862
Horace Mann Educators Corp.	8,902		150,889
Horizon Financial Corp.	1,734		47,564
HouseValues Inc. (a)	2,600		18,018
IBERIABANK Corp.	2,035		117,094
IMPAC Mortgage Holdings Inc.	16,685		186,538

See accompanying notes to financial statements.

34

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Independence Holding Co.	600	$	13,446
Independent Bank Corp. (MA)	3,624		117,671
Independent Bank Corp. (MI)	5,688		149,594
Infinity Property & Casualty Corp.	4,658		190,978
Inland Real Estate Corp.	16,417		244,285
Innkeepers USA Trust	9,115		157,507
Integra Bank Corp.	3,355		72,971
Interchange Financial Services Corp.	3,269		73,553
International Bancshares Corp.	10,000		274,800
International Securities Exchange Inc.	8,484		322,986
Intervest Bancshares Corp. (a)	1,300		52,650
Investors Bancorp Inc. (a)	11,600		157,180
Investors Real Estate Trust	8,304		74,985
Irwin Financial Corp.	4,549		88,205
ITLA Capital Corp.	1,110		58,364
James River Group Inc. (a)	2,000		49,800
Jer Investors Trust Inc.	5,100		79,305
Kansas City Life Insurance Co.	1,495		63,044
Kearny Financial Corp.	3,806		56,329
Kite Realty Group Trust	5,494		85,651
KKR Financial Corp.	17,700		368,337
KNBT Bancorp Inc.	7,197		118,894
Knight Capital Group Inc. (a)	24,408		371,734
LaBranche & Co. Inc. (a)	11,499		139,253
Lakeland Bancorp Inc.	3,463		54,265
Lakeland Financial Corp.	2,132		51,786
LandAmerica Financial Group Inc.	3,903		252,134
LaSalle Hotel Properties	8,866		410,496
Lexington Corporate Properties Trust	12,982		280,411
LTC Properties Inc.	4,327		96,708
Luminent Mortgage Capital Inc.	10,064		93,193
Macatawa Bank Corp.	3,972		92,905
MAF Bancorp Inc.	8,350		357,714
Maguire Properties Inc.	9,037		317,831
MainSource Financial Group Inc.	2,249		39,200
MarketAxess Holdings Inc. (a)	6,196		68,218
Marlin Business Services Inc. (a)	2,329		52,542
MB Financial Inc.	5,727		202,507
MBT Financial Corp.	2,782		44,512
MCG Capital Corp.	13,058		207,622
Meadowbrook Insurance Group Inc. (a)	6,700		55,744
Medallion Financial Corp.	2,800		36,288
Medical Properties Trust Inc.	8,200		90,528
Mercantile Bank Corp.	2,236		89,105
MetroCorp Bancshares Inc.	800		23,424
MFA Mortgage Investments Inc.	19,969		137,387
Mid-America Apartment Communities Inc.	5,204		290,123
Mid-State Bancshares	4,597		128,716
Midland Co.	2,393		90,886
Midwest Banc Holdings Inc.	3,145		69,976
MortgageIT Holdings Inc.	7,069		85,252

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
MVC Capital Inc.	3,400	$	45,696
Nara Bancorp Inc.	5,984		112,200
NASB Financial Inc.	1,546		52,208
National Financial Partners Corp.	8,763		388,289
National Health Investors Inc.	4,801		129,099
National Interstate Corp.	3,400		92,208
National Penn Bancshares Inc.	9,933		197,269
National Retail Properties Inc.	12,401		247,400
National Western Life Insurance Co. (a)	422		101,132
Nationwide Health Properties Inc.	18,029		405,833
Navigators Group Inc. (a)	2,646		115,948
NBT Bancorp Inc.	7,175		166,675
Netbank Inc.	11,893		78,851
NewAlliance Bancshares Inc.	26,306		376,439
Newcastle Investment Corp.	9,414		238,362
Newkirk Realty Trust Inc.	3,800		65,968
Northern Empire Bancshares (a)	1,632		39,168
NorthStar Realty Finance Corp.	7,811		93,810
Northwest Bancorp Inc.	3,737		99,031
Novastar Financial Inc.	7,214		228,035
NYMAGIC Inc.	1,000		29,050
OceanFirst Financial Corp.	2,205		48,995
Ocwen Financial Corp. (a)	8,712		110,730
Odyssey Re Holdings Corp.	2,446		64,452
Ohio Casualty Corp.	15,159		450,677
Old National Bancorp	16,187		323,254
Old Second Bancorp Inc.	2,604		80,724
Omega Financial Corp.	2,412		75,520
Omega Healthcare Investors Inc.	12,257		162,038
optionsXpress Holdings Inc.	5,170		120,513
Oriental Financial Group Inc.	4,868		62,116
Pacific Capital Bancorp	11,363		353,617
Park National Corp.	2,654		262,242
Partners Trust Financial Group Inc.	9,712		110,814
Pennfed Financial Services Inc.	2,346		43,753
Pennsylvania Real Estate Investment Trust	7,731		312,100
Penson Worldwide Inc. (a)	1,300		22,373
Peoples Bancorp Inc.	2,010		59,978
PFF Bancorp Inc.	5,049		167,425
Phoenix Co. Inc.	26,803		377,386
Pinnacle Financial Partners Inc. (a)	3,114		94,759
Piper Jaffray Co. (a)	4,699		287,626
Placer Sierra Bancshares	3,152		73,095
PMA Capital Corp. (a)	6,163		63,479
Post Properties Inc.	10,290		466,549
Preferred Bank	1,300		69,693
Premierwest Bancorp	4,600		66,378
Presidential Life Corp.	4,357		107,095
PrivateBancorp Inc.	4,608		190,817
ProAssurance Corp. (a)	7,393		356,195
Prosperity Bancshares Inc.	6,196		203,786

See accompanying notes to financial statements.

35

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Provident Bankshares Corp.	7,989	$	290,720
Provident Financial Services Inc.	16,666		299,155
Provident New York Bancorp	8,070		106,685
PS Business Parks Inc.	3,991		235,469
QC Holdings, Inc. (a)	800		10,808
R&G Financial Corp. Class B	6,599		56,685
RAIT Investment Trust	6,925		202,210
Ramco-Gershenson Properties Trust	4,218		113,591
Realty Income Corp.	20,032		438,701
Redwood Trust Inc.	4,134		201,863
Renasant Corp.	2,411		97,284
Republic Bancorp Inc.	18,383		227,765
Republic Bancorp Inc. (Kentucky)	1,380		28,428
Republic Property Trust	6,900		68,172
Rewards Network Inc. (a)	5,300		43,301
RLI Corp.	4,938		237,913
Rockville Financial Inc. (a)	1,257		18,503
Royal Bancshares of Pennsylvania Inc.	400		9,712
S&T Bancorp Inc.	5,617		186,653
Safety Insurance Group Inc.	3,428		163,001
Sanders Morris Harris Group Inc.	2,475		37,397
Sandy Spring Bancorp Inc.	2,794		100,752
Santander BanCorp	1,715		42,223
Saul Centers Inc.	2,948		120,219
Saxon Capital Inc.	11,245		128,643
SCBT Financial Corp.	1,814		64,669
SCPIE Holdings Inc. (a)	2,000		46,500
Seabright Insurance Holdings (a)	4,200		67,662
Seacoast Banking Corp. of Florida	2,511		66,868
Security Bank Corp. (Georgia)	2,735		60,908
Selective Insurance Group Inc.	6,601		368,798
Senior Housing Properties Trust	13,646		244,400
Shore Bancshares Inc.	1,500		40,695
Sierra Bancorp	900		23,598
Signature Bank (a)	7,141		231,226
Simmons First National Corp.	2,790		80,938
Sizeler Property Investors Inc.	3,189		51,215
Smithtown Bancorp Inc.	1,400		33,824
Sound Federal Bancorp Inc.	1,771		36,819
Southside Bancshares Inc.	1,894		42,274
Southwest Bancorp Inc.	4,155		105,953
Sovran Self Storage Inc.	3,973		201,789
Spirit Finance Corp.	17,344		195,293
State Auto Financial Corp.	2,746		89,355
State National Bancshares Inc.	2,800		106,708
Sterling Bancorp NY	4,708		91,806
Sterling Bancshares Inc. TX	11,462		214,912
Sterling Financial Corp. PA	5,009		109,697
Sterling Financial Corp. WA	8,523		260,037
Stewart Information Services Corp.	3,891		141,282
Stifel Financial Corp. (a)	2,488		87,851
Strategic Hotels & Resorts Inc.	16,493		342,065
Suffolk Bancorp	2,093		68,546

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Summit Bancshares Inc.	1,885	$	39,981
Sun Bancorp Inc. (New Jersey) (a)	2,497		40,551
Sun Communities Inc.	4,568		148,597
Sunstone Hotel Investors Inc.	12,812		372,317
Superior Bancorp (a)	2,518		27,698
Susquehanna Bancshares Inc.	11,483		274,444
SVB Financial Group (a)	8,502		386,501
SWS Group Inc.	3,665		88,400
SY Bancorp Inc.	3,084		84,748
Tanger Factory Outlet Centers Inc.	6,525		211,214
Taylor Capital Group Inc.	1,789		73,009
Technology Investment Capital Corp.	3,682		53,941
Tejon Ranch Co. (a)	2,283		93,968
Texas Capital Bancshares Inc. (a)	4,480		104,384
Texas Regional Bancshares Inc.	11,006		417,348
Texas United Bancshares Inc.	1,800		50,670
The Bancorp Inc. (a)	1,678		41,967
The Mills Corp.	12,700		339,725
Thomas Weisel Partners Group Inc. (a)	2,000		38,020
TierOne Corp.	4,419		149,230
Tompkins Trustco Inc.	1,833		78,819
Tower Group Inc.	4,091		123,753
TradeStation Group Inc. (a)	6,302		79,846
Trammell Crow Co. (a)	7,993		281,114
Triad Guaranty Inc. (a)	2,394		117,019
Trico Bancshares	2,292		62,755
Trustco Bank Corp. NY	15,010		165,410
Trustmark Corp.	11,159		345,594
Trustreet Properties Inc.	15,817		208,626
U-Store-It Trust	11,581		218,418
UCBH Holdings Inc.	22,679		375,111
UMB Financial Corp.	7,790		259,719
Umpqua Holdings Corp.	13,786		353,611
Union Bankshares Corp.	1,709		73,726
United Bankshares Inc.	9,059		331,831
United Community Banks Inc.	7,155		217,798
United Community Financial Corp.	5,193		62,316
United Fire & Casualty Co.	5,092		153,422
United PanAm Financial Corp. (a)	2,060		62,624
United Security Bancshares	1,300		27,807
Universal American Financial Corp. (a)	7,956		104,621
Universal Health Realty Income Trust	3,155		98,909
Univest Corp. of Pennsylvania	2,236		61,758
Urstadt Biddle Properties Inc.	4,604		74,999
USB Holding Co. Inc.	2,998		67,455
USI Holdings Corp. (a)	9,860		132,223
Vineyard National Bancorp	2,756		74,136
Virginia Commerce Bancorp (a)	4,038		96,508
Virginia Financial Group Inc.	1,345		56,786
W Holding Co. Inc.	27,243		181,166
Waddell & Reed Financial Inc.	20,018		411,570
Washington Real Estate Investment Trust	10,202		374,413

See accompanying notes to financial statements.

36

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Washington Trust Bancorp Inc.	2,456	$	68,080
Wauwatosa Holdings Inc. (a)	1,388		23,679
WesBanco Inc.	4,714		146,087
West Bancorporation Inc.	3,253		60,734
West Coast Bancorp (Oregon)	3,260		96,072
Westamerica Bancorporation	7,583		371,340
Western Alliance Bancorp (a)	2,600		90,428
Westfield Financial Inc.	1,603		44,772
Willow Grove Bancorp Inc.	2,700		42,957
Wilshire Bancorp Inc.	4,118		74,206
Windrose Medical Properties Trust	3,700		54,020
Winston Hotels Inc.	7,307		89,511
Winthrop Realty Trust	4,200		24,948
Wintrust Financial Corp.	5,886		299,303
World Acceptance Corp. (a)	4,481		159,165
WSFS Financial Corp.	1,335		82,036
Yardville National Bancorp	1,841		65,779
Zenith National Insurance Corp.	8,698		345,050
			63,302,554
Health Care (11.62%)
Abaxis Inc. (a)	5,121		114,557
Abiomed Inc. (a)	4,801		62,269
Acacia Research - Acacia Technologies (a)	6,800		95,608
Acadia Pharmaceuticals Inc. (a)	4,634		39,111
Adams Respiratory Therapeutics Inc. (a)	7,100		316,802
Adeza Biomedical Corp. (a)	3,700		51,874
Adolor Corp. (a)	9,963		249,175
Advanced Magnetics Inc.	1,900		57,418
ADVENTRX Pharmaceuticals Inc. (a)	10,900		34,553
Affymetrix Inc. (a)	15,100		386,560
Air Methods Corp. (a)	2,500		65,450
Akorn Inc. (a)	9,000		35,820
Albany Molecular Research Inc. (a)	5,323		56,850
Alexion Pharmaceuticals Inc. (a)	7,568		273,356
Align Technology Inc. (a)	12,639		93,402
Alkermes Inc. (a)	20,049		379,327
Alliance Imaging Inc. (a)	4,642		29,709
Allscripts Healthcare Solution Inc. (a)	10,132		177,817
Alnylam Pharmaceuticals Inc. (a)	6,900		104,052
Alpharma Inc.	9,181		220,711
Altus Pharmaceuticals Inc. (a)	1,700		31,365
Amedisys Inc. (a)	3,424		129,770
American Medical Systems Holdings Inc. (a)	17,107		284,832
American Retirement Corp. (a)	7,789		255,246
AMERIGROUP Corp. (a)	11,500		356,960
AMN Healthcare Services Inc. (a)	6,995		141,998
Amsurg Corp. (a)	7,204		163,891
Anadys Pharmaceuticals Inc. (a)	5,200		15,184
Analogic Corp.	3,406		158,754

	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Andrx Corp. (a)	16,467	$	381,870
Angiodynamics Inc. (a)	2,600		70,330
Applera Corp. - Celera Genomics Group (a)	18,097		234,356
Apria Healthcare Group Inc. (a)	10,276		194,216
Arena Pharmaceuticals Inc. (a)	10,058		116,472
Ariad Pharmaceuticals Inc. (a)	16,544		74,613
Array Biopharma Inc. (a)	9,678		83,231
Arrow International Inc.	5,673		186,471
Arthrocare Corp. (a)	5,573		234,122
Aspect Medical Systems Inc. (a)	3,962		69,097
Atherogenics Inc. (a)	9,595		125,215
Auxilium Pharmaceuticals Inc. (a)	4,200		32,676
AVANIR Pharmaceuticals (a)	7,984		54,611
AVI BioPharma Inc. (a)	12,500		46,875
Bentley Pharmaceuticals Inc. (a)	3,815		41,812
Bio-Rad Laboratories Inc. (a)	4,096		265,994
Bio-Reference Labs Inc. (a)	2,746		59,753
BioCryst Pharmaceuticals Inc. (a)	4,800		68,784
Bioenvision Inc. (a)	8,333		44,415
BioMarin Pharmaceutical Inc. (a)	20,143		289,455
Biosite Inc. (a)	4,064		185,562
Bradley Pharmaceuticals Inc. (a)	3,800		38,760
Bruker BioSciences Corp. (a)	7,813		41,878
Candela Corp. (a)	5,784		91,734
Capital Senior Living Corp. (a)	4,100		42,148
Caraco Pharmaceutical Laboratories Inc. (a)	2,074		18,977
Cell Genesys Inc. (a)	12,614		63,322
Centene Corp. (a)	9,509		223,747
Cepheid Inc. (a)	11,830		114,869
Cerus Corp. (a)	5,800		41,354
Chemed Corp.	5,712		311,475
CNS Inc.	2,918		71,491
Coley Pharmaceutical Group Inc. (a)	3,500		40,425
Combinatorx Inc. (a)	5,000		43,950
Computer Programs & Systems Inc.	2,284		91,269
Conceptus Inc. (a)	5,600		76,384
Conmed Corp. (a)	6,829		141,360
Connetics Corp. (a)	8,933		105,052
Conor Medsystems Inc. (a)	6,363		175,555
Corvel Corp. (a)	1,270		31,750
Cotherix Inc. (a)	4,861		41,853
Cross Country Healthcare Inc. (a)	7,789		141,682
Cubist Pharmaceuticals Inc. (a)	12,366		311,376
CV Therapeutics Inc. (a)	9,502		132,743
Cyberonics Inc. (a)	4,576		97,560
Cypress Bioscience Inc. (a)	8,201		50,354
Cytokinetics Inc. (a)	4,900		30,821
Datascope Inc.	2,437		75,157
deCODE genetics Inc. (a)	13,603		84,203
Dendreon Corp. (a)	18,855		91,258

See accompanying notes to financial statements.

37

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Dendrite International Inc. (a)	9,003	$	83,188
DepoMed Inc. (a)	9,400		55,178
Dexcom Inc. (a)	3,400		46,172
Diagnostic Products Corp.	5,470		318,190
Digene Corp. (a)	4,224		163,638
Dionex Corp. (a)	4,498		245,861
Diversa Corp. (a)	6,403		61,853
DJO Inc. (a)	5,002		184,224
Durect Corp. (a)	11,448		44,304
Eclipsys Corp. (a)	9,921		180,165
Emageon Inc. (a)	4,637		67,654
Emeritus Corp. (a)	700		13,125
Emisphere Technologies Inc. (a)	6,000		51,180
Encore Medical Corp. (a)	15,588		74,978
Encysive Pharmaceuticals Inc. (a)	15,458		107,124
Enzo Biochem Inc. (a)	6,661		100,448
Enzon Pharmaceuticals Inc. (a)	12,015		90,593
eResearch Technology Inc. (a)	10,937		99,527
ev3 Inc. (a)	2,800		41,468
Exelixis Inc. (a)	20,415		205,171
Five Star Quality Care Inc. (a)	6,700		74,169
Foxhollow Technologies Inc. (a)	4,021		109,854
Genesis HealthCare Corp. (a)	4,697		222,497
Genitope Corp. (a)	6,411		40,518
Genomic Health Inc. (a)	2,300		27,071
Genta Inc. (a)	33,000		54,120
Gentiva Health Services Inc. (a)	6,726		107,818
Geron Corp. (a)	15,473		106,764
Greatbatch Inc. (a)	4,656		109,882
GTx Inc. (a)	1,572		14,305
Haemonetics Corp. (a)	5,797		269,618
Hana Biosciences Inc. (a)	6,000		54,420
HealthExtras Inc. (a)	5,891		178,026
Healthspring Inc. (a)	3,600		67,500
HealthTronics Inc. (a)	6,972		53,336
Healthways Inc. (a)	8,070		424,805
Hi-Tech Pharmacal Co. Inc. (a)	1,608		26,645
Hologic Inc. (a)	10,236		505,249
Horizon Health Corp. (a)	3,832		80,012
Human Genome Sciences Inc. (a)	29,990		320,893
Hythiam Inc. (a)	6,600		46,002
I-Flow Corp. (a)	5,802		62,778
ICOS Corp. (a)	15,351		337,568
ICU Medical Inc. (a)	3,732		157,640
Idenix Pharmaceuticals Inc. (a)	6,069		57,049
Illumina Inc. (a)	9,336		276,906
Immucor Inc. (a)	16,135		310,276
Incyte Corp. (a)	22,154		101,908
Indevus Pharmaceuticals Inc. (a)	11,700		63,999
Integra LifeSciences Holdings Corp. (a)	4,527		175,693
Intermagnetics General Corp. (a)	9,942		268,235
InterMune Inc. (a)	6,089		100,164
IntraLase Corp. (a)	4,458		74,627

	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Invacare Corp.	6,904	$	171,771
Inverness Medical Innovations Inc. (a)	6,097		172,118
inVentiv Health Inc. (a)	6,456		185,804
IRIS International Inc. (a)	5,016		66,011
Isis Pharmaceuticals Inc. (a)	17,802		107,702
Kendle International Inc. (a)	3,000		110,190
Kensey Nash Corp. (a)	2,900		85,550
Keryx Biopharmaceuticals Inc. (a)	9,423		133,807
Kindred Healthcare Inc. (a)	7,885		205,010
KV Pharmaceutical Co. (a)	8,480		158,237
Kyphon Inc. (a)	9,897		379,649
Laserscope (a)	4,721		145,454
LCA-Vision Inc.	4,605		243,651
Lexicon Genetics Inc. (a)	13,560		59,528
LHC Group Inc. (a)	2,200		43,824
Lifecell Corp. (a)	7,430		229,736
Luminex Corp. (a)	6,938		120,652
Magellan Health Services Inc. (a)	8,253		373,943
MannKind Corp. (a)	5,055		107,722
Martek Biosciences Corp. (a)	7,037		203,721
Matria Healthcare Inc. (a)	5,178		110,913
Maxygen Inc. (a)	5,179		38,739
Medarex Inc. (a)	29,600		284,456
Medcath Corp. (a)	2,156		40,619
Medical Action Industries Inc. (a)	1,800		39,762
Medicines Co. (a)	12,110		236,750
Medicis Pharmaceutical Corp.	12,135		291,240
Mentor Corp.	8,113		352,915
Merge Technologies Inc. (a)	5,577		68,653
Meridian Bioscience Inc.	4,872		121,556
Merit Medical Systems Inc. (a)	6,797		93,527
Metabasis Therapeutics Inc. (a)	4,100		31,283
MGI Pharma Inc. (a)	17,797		382,635
Molecular Devices Corp. (a)	3,464		105,860
Molina Healthcare Inc. (a)	2,529		96,228
Momenta Pharmaceuticals Inc. (a)	4,511		57,335
Monogram Biosciences Inc. (a)	28,243		55,921
MWI Veterinary Supply Inc. (a)	1,400		51,002
Myogen Inc. (a)	9,552		277,008
Myriad Genetics Inc. (a)	8,570		216,392
Nabi Biopharmaceuticals (a)	15,411		88,459
Nastech Pharmaceutical Co. Inc. (a)	5,743		90,739
National Healthcare Corp.	1,573		70,077
Natus Medical Inc. (a)	4,700		46,483
Nektar Therapeutics (a)	20,699		379,620
Neurocrine Biosciences Inc. (a)	8,738		92,623
Neurometrix Inc. (a)	3,074		93,634
New River Pharmaceuticals Inc. (a)	3,416		97,356
Nighthawk Radiology Holdings Inc. (a)	1,100		19,734
Northfield Laboratories Inc. (a)	6,752		66,777
Northstar Neuroscience Inc. (a)	1,800		18,684
Novavax Inc. (a)	14,900		75,096
Noven Pharmaceuticals Inc. (a)	4,841		86,654

See accompanying notes to financial statements.

38

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
NPS Pharmaceuticals Inc. (a)	11,621	$	56,710
NuVasive Inc. (a)	8,022		146,241
Nuvelo Inc. (a)	11,021		183,500
NxStage Medical Inc. (a)	2,100		18,333
Odyssey HealthCare Inc. (a)	7,813		137,274
Omnicell Inc. (a)	6,300		87,066
Onyx Pharmaceuticals Inc. (a)	8,827		148,558
Option Care Inc.	6,670		79,907
OraSure Technologies Inc. (a)	11,075		105,434
OSI Pharmaceuticals Inc. (a)	12,800		421,888
Owens & Minor Inc.	8,665		247,819
Pain Therapeutics Inc. (a)	8,759		73,138
Palomar Medical Technologies Inc. (a)	4,279		195,251
Panacos Pharmaceuticals Inc. (a)	10,600		58,512
Par Pharmaceutical Cos Inc. (a)	7,521		138,838
Parexel International Corp. (a)	5,967		172,148
Parkway Properties Inc.	3,645		165,847
Penwest Pharmaceutical Co. (a)	5,749		125,501
Per-Se Technologies Inc. (a)	7,815		196,782
Peregrine Pharmaceuticals Inc. (a)	42,900		68,211
Pharmion Corp. (a)	6,471		110,201
Phase Forward Inc. (a)	7,307		84,177
PolyMedica Corp.	5,588		200,944
Pozen Inc. (a)	7,299		51,385
PRA International (a)	3,733		83,134
Progenics Pharmaceuticals Inc. (a)	5,339		128,456
PSS World Medical Inc. (a)	15,833		279,452
Psychiatric Solutions Inc. (a)	12,474		357,505
Quidel Corp. (a)	6,400		60,800
Radiation Therapy Services Inc. (a)	2,642		71,096
Regeneron Pharmaceutical Inc. (a)	9,982		127,969
RehabCare Group Inc. (a)	3,594		62,464
Renovis Inc. (a)	5,370		82,215
Res-Care Inc. (a)	4,588		91,760
Rigel Pharmaceuticals Inc. (a)	5,499		53,505
Salix Pharmaceuticals Ltd. (a)	11,375		139,912
Sangamo BioSciences Inc. (a)	7,400		43,660
Santarus Inc. (a)	11,400		75,810
Savient Pharmaceuticals Inc. (a)	12,578		66,034
Sciele Pharma Inc. (a)	6,379		147,929
Serologicals Corp. (a)	7,899		248,345
SFBC International Inc. (a)	4,895		74,208
Sirna Therapeutics Inc. (a)	8,500		48,450
Sirona Dental Systems Inc.	4,000		158,480
Solexa Inc. (a)	4,800		40,800
Somaxon Pharmaceuticals Inc. (a)	1,500		23,415
SonoSite Inc. (a)	3,969		154,950
Spectranetics Corp. (a)	7,600		81,472
Stereotaxis Inc. (a)	5,835		62,960
STERIS Corp.	14,904		340,705
Sun Healthcare Group Inc. (a)	5,900		51,271
Sunrise Senior Living Inc. (a)	9,864		272,740
SuperGen Inc. (a)	11,834		42,957

	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
SurModics Inc. (a)	4,000	$	144,440
Symbion Inc. (a)	4,805		99,752
Symmetry Medical Inc. (a)	7,508		115,623
Tanox Inc. (a)	5,339		73,838
Telik Inc. (a)	11,423		188,479
ThermoGenesis Corp. (a)	14,348		59,114
Thoratec Corp. (a)	11,630		161,308
Trimeris Inc. (a)	3,664		42,099
TriPath Imaging Inc. (a)	6,116		40,488
TriZetto Group Inc. (a)	10,772		159,318
United Surgical Partners International Inc. (a)	10,539		316,908
United Therapeutics Corp. (a)	5,305		306,470
Valeant Pharmaceuticals International	20,800		351,936
Varian Inc. (a)	7,435		308,627
Ventana Medical Systems Inc. (a)	6,796		320,635
Viasys Healthcare Inc. (a)	6,734		172,390
ViroPharma Inc. (a)	15,200		131,024
Visicu Inc. (a)	1,300		22,945
VistaCare Inc. Class A (a)	2,671		32,319
Vital Images Inc. (a)	3,490		86,203
Vital Signs Inc.	1,424		70,531
West Pharmaceutical Services Inc.	7,149		259,366
Wright Medical Group Inc. (a)	7,445		155,824
Xenoport Inc. (a)	3,500		63,385
Young Innovations Inc.	989		34,842
Zoll Medical Corp. (a)	2,533		82,981
ZymoGenetics Inc. (a)	8,195		155,459
			35,364,479
Industrials (14.16%)
3D Systems Corp. (a)	2,472		49,662
Aaon Inc.	1,688		43,314
AAR Corp. (a)	8,103		180,130
ABM Industries Inc.	9,335		159,629
ABX Air Inc. (a)	12,011		72,546
ACCO Brands Corp. (a)	9,900		216,810
Accuride Corp. (a)	4,967		61,939
Actuant Corp. Class A	6,150		307,193
Acuity Brands Inc.	10,662		414,858
Administaff Inc.	4,999		179,014
Advisory Board Co. (a)	4,178		200,920
Airtran Holdings Inc. (a)	20,267		301,168
Alaska Air Group Inc. (a)	9,017		355,450
Albany International Corp. Class A	6,551		277,697
Ambassadors International Inc.	1,300		30,225
Amerco Inc. (a)	2,388		240,376
American Commercial Lines Inc. (a)	6,900		415,725
American Ecology Corp.	3,846		101,919
American Railcar Industries Inc.	2,300		76,153
American Reprographics Co. (a)	5,721		207,386
American Science & Engineering Inc. (a)	1,981		114,740

See accompanying notes to financial statements.

39

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Industrials (Cont.)
American Superconductor Corp. (a)	8,150	$	71,965
American Woodmark Corp.	3,270		114,581
Ameron International Corp.	2,152		144,227
Ampco-Pittsburgh Corp.	1,900		54,435
AMREP Corp.	500		27,160
AO Smith Corp.	4,429		205,328
Apogee Enterprises Inc.	7,136		104,899
Applied Industrial Technologies Inc.	9,749		236,998
ARGON ST Inc. (a)	2,563		68,253
Arkansas Best Corp.	5,590		280,674
Asset Acceptance Capital Corp. (a)	4,199		83,140
Astec Industries Inc. (a)	4,214		143,782
ASV Inc. (a)	4,774		109,993
Atlas Air Worldwide Holdings Inc. (a)	4,343		212,981
Aviall Inc. (a)	7,789		370,133
Badger Meter Inc.	2,830		76,410
Baldor Electric Co.	6,997		218,936
Banta Corp.	5,410		250,645
Barnes Group Inc.	7,744		154,493
Barrett Business Services Inc. (a)	1,200		22,020
Basin Water Inc. (a)	2,100		21,042
BE Aerospace Inc. (a)	17,494		399,913
Beacon Roofing Supply Inc. (a)	10,385		228,574
BlueLinx Holdings Inc.	2,335		30,425
Bowne & Co. Inc.	7,365		105,320
Brady Corp.	9,879		363,942
Briggs & Stratton Corp.	11,180		347,810
Bucyrus International Inc. Class A	7,221		364,661
Builders Firstsource Inc. (a)	3,000		61,080
Capstone Turbine Corp. (a)	25,200		57,456
Cascade Corp.	2,662		105,282
Casella Waste Systems Inc. (a)	3,945		51,640
CBIZ Inc. (a)	12,236		90,669
CDI Corp.	3,305		95,845
Celadon Group Inc. (a)	5,600		123,424
Central Parking Corp.	2,961		47,376
Cenveo Inc. (a)	12,571		225,649
Ceradyne Inc. (a)	6,020		297,930
China BAK Battery Inc. (a)	5,500		46,805
CIRCOR International Inc.	3,721		113,453
Clarcor Inc.	11,767		350,539
Clean Harbors Inc. (a)	3,735		150,558
Coinstar Inc. (a)	5,668		135,692
Color Kinetics Inc. (a)	2,947		55,728
Columbus McKinnon Corp. (a)	3,800		82,612
Comfort Systems USA Inc.	8,973		128,224
Commercial Vehicle Group Inc. (a)	4,159		86,008
CompX International Inc.	818		14,642
COMSYS IT Partners Inc. (a)	4,145		62,672
Consolidated Graphics Inc. (a)	2,701		140,614
Cornell Co. Inc. (a)	2,100		32,256
CoStar Group Inc. (a)	3,988		238,602
CRA International Inc. (a)	2,415		109,013

	Shares	Value
Common Stocks (Cont.)
Industrials (Cont.)
Cubic Corp.	3,065	$	60,105
Curtiss-Wright Corp.	10,528		325,105
Deluxe Corp.	11,200		195,776
DeVry Inc. (a)	13,859		304,482
DHB Industries Inc. (a) (b)	5,546		2,163
DiamondCluster International Inc. (a)	6,359		50,363
Dollar Thrifty Automotive Group Inc. (a)	5,712		257,440
DXP Enterprises Inc. (a)	600		18,642
Dycom Industries Inc. (a)	8,933		190,184
Dynamex Inc. (a)	3,104		67,698
Dynamic Materials Corp.	2,854		96,265
DynCorp International Inc. (a)	5,000		51,900
EDO Corp.	4,564		111,088
EGL Inc. (a)	7,081		355,466
Electro Rent Corp. (a)	3,606		57,768
ElkCorp	4,211		116,939
EMCOR Group Inc. (a)	7,306		355,583
Encore Wire Corp. (a)	5,095		183,114
Energy Conversion Devices Inc. (a)	8,714		317,451
EnerSys (a)	10,023		209,481
ENGlobal Corp. (a)	3,100		24,149
Ennis Inc.	6,632		130,518
EnPro Industries Inc. (a)	4,648		156,173
ESCO Technologies Inc. (a)	5,610		299,855
Essex Corp. (a)	4,732		87,163
Esterline Technologies Corp. (a)	5,548		230,741
Evergreen Solar Inc. (a)	14,770		191,715
Exponent Inc. (a)	3,126		52,829
ExpressJet Holdings Inc. (a)	11,911		82,305
Federal Signal Corp.	10,434		157,971
First Advantage Corp. Class A (a)	2,001		46,543
First Consulting Group Inc. (a)	5,600		49,504
Flanders Corp. (a)	3,643		36,539
Florida East Coast Industries Inc.	8,266		432,560
Flow International Corp. (a)	8,400		118,188
Forward Air Corp.	7,508		305,801
Franklin Electric Co. Inc.	5,398		278,753
Freightcar America Inc.	2,960		164,310
Frontier Airlines Holdings Inc. (a)	10,126		73,008
FTI Consulting Inc. (a)	8,962		239,913
FuelCell Energy Inc. (a)	11,510		110,266
G&K Services Inc. Class A	4,280		146,804
Gehl Co. (a)	2,679		68,395
GenCorp Inc. (a)	11,826		189,571
General Cable Corp. (a)	11,422		399,770
Genesee & Wyoming Inc. (a)	7,988		283,334
Genlyte Group Inc. (a)	5,944		430,524
Geo Group Inc. (a)	3,160		110,758
Global Cash Access Inc. (a)	7,100		110,973
Goodman Global Inc. (a)	4,800		72,864
GrafTech International Ltd. (a)	20,027		116,157
Granite Construction Inc.	8,205		371,440
Greenbrier Companies Inc.	2,807		91,901

See accompanying notes to financial statements.

40

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Industrials (Cont.)
Griffon Corp. (a)	6,097	$	159,132
H&E Equipment Services Inc. (a)	2,900		85,405
Healthcare Services Group Inc.	6,994		146,524
Heartland Express Inc.	13,126		234,824
Heico Corp.	4,678		132,621
Heidrick & Struggles International Inc. (a)	4,512		152,686
Herley Industries Inc. (a)	5,180		58,068
Herman Miller Inc.	26,002		670,072
Hexcel Corp. (a)	20,774		326,360
Horizon Lines Inc.	2,400		38,448
Hub Group Inc. (a)	8,374		205,414
Hudson Highland Group Inc. (a)	6,446		69,552
Huron Consulting Group Inc. (a)	3,736		131,096
ICT Group Inc. (a)	1,300		31,889
IHS Inc. (a)	5,000		148,150
II-VI Inc. (a)	4,798		87,803
IKON Office Solutions Inc.	26,089		328,721
Infrasource Services Inc. (a)	5,704		103,870
Innovative Solutions & Support Inc. (a)	2,716		38,187
Insituform Technologies Inc. (a)	6,256		143,200
Insteel Industries Inc.	3,300		79,860
Integrated Electrical Services Inc. (a)	2,800		48,916
Interline Brands Inc. (a)	5,839		136,516
Interpool Inc.	2,254		50,084
Ionatron Inc. (a)	5,295		33,623
Jackson Hewitt Tax Service Inc.	7,692		241,144
Jacuzzi Brands Inc. (a)	16,790		147,752
Jetblue Airways Corp. (a)	39,100		474,674
John H Harland Co.	6,490		282,315
K&F Industries Holdings Inc. (a)	3,800		67,374
Kadant Inc. (a)	3,558		81,834
Kaman Corp.	5,646		102,757
Kaydon Corp.	6,832		254,902
Kelly Services Inc. Class A	4,016		109,115
Kenexa Corp. (a)	3,400		108,290
Kforce Inc. (a)	7,126		110,382
Knight Transportation Inc.	12,496		252,419
Knoll Inc.	7,044		129,328
Korn/Ferry International (a)	9,233		180,874
L.B. Foster Co. (a)	2,600		63,102
Labor Ready Inc. (a)	12,110		274,292
Ladish Co. Inc. (a)	3,400		127,398
Lamson & Sessions Co. (a)	3,400		96,424
Lawson Products Inc.	881		34,729
Layne Christensen Co. (a)	3,026		85,787
LECG Corp. (a)	5,128		94,714
Lindsay Manufacturing Co.	2,998		81,306
LSI Industries Inc.	5,590		94,974
M & F Worldwide Corp. (a)	2,264		36,450
Marten Transport Ltd. (a)	4,159		90,417
MasTec Inc. (a)	8,681		114,676

	Shares	Value
Common Stocks (Cont.)
Industrials (Cont.)
McGrath Rentcorp	4,740	$	131,819
Medis Technologies Ltd. (a)	4,594		93,166
Mercury Computer Systems Inc. (a)	5,670		87,261
Mesa Air Group Inc. (a)	8,385		82,592
Middleby Corp. (a)	1,617		139,968
Miller Industries Inc. (a)	2,500		51,750
Mine Safety Appliances Co.	6,718		270,064
Mobile Mini Inc. (a)	8,694		254,386
Moog Inc. (a)	8,043		275,232
MTC Technologies Inc. (a)	2,214		52,317
Mueller Industries Inc.	8,711		287,724
Mueller Water Products Inc. (a)	6,400		111,424
NACCO Industries Inc.	1,236		169,839
Navigant Consulting Inc. (a)	10,148		229,852
Navistar International Corp. (a)	13,800		339,618
NCI Building Systems Inc. (a)	4,732		251,600
NCO Group Inc. (a)	8,013		211,864
Nordson Corp.	6,972		342,883
Nuco2 Inc. (a)	3,961		95,222
Old Dominion Freight Line Inc. (a)	6,575		247,154
On Assignment Inc. (a)	5,300		48,707
Orbital Sciences Corp. (a)	11,766		189,903
P.A.M. Transportation Services Inc. (a)	1,300		37,557
Pacer International Inc.	8,905		290,125
Patriot Transportation Holding Inc. (a)	200		17,356
PeopleSupport Inc. (a)	4,700		63,262
Perini Corp. (a)	5,418		121,905
PGT Inc. (a)	4,100		64,780
PHH Corp. (a)	11,802		325,027
PICO Holdings Inc. (a)	1,747		56,341
Pike Electric Corp. (a)	3,800		73,188
Plug Power Inc. (a)	15,883		74,174
Portfolio Recovery Associates Inc. (a)	3,983		182,023
Powell Industries Inc. (a)	1,335		31,947
Power-One Inc. (a)	16,208		106,973
PW Eagle Inc.	2,600		78,624
Quality Distribution Inc. (a)	1,600		21,248
RailAmerica Inc. (a)	7,536		78,827
Raven Industries Inc.	4,192		132,048
RBC Bearings Inc. (a)	5,100		115,770
Regal-Beloit Corp.	6,722		296,776
Republic Airways Holdings Inc. (a)	7,032		119,685
Resources Connection Inc. (a)	11,583		289,807
Robbins & Myers Inc.	3,329		87,020
Rollins Inc.	5,995		117,742
Rush Enterprises Inc. Class A (a)	5,712		103,787
Schawk Inc.	3,882		67,935
School Specialty Inc. (a)	5,564		177,213
SCS Transportation Inc. (a)	3,635		100,072
Sequa Corp. (a)	1,571		128,037
Simpson Manufacturing Co. Inc.	8,757		315,690
SIRVA Inc. (a)	10,503		67,954
Sitel Corp. (a)	11,900		46,648

See accompanying notes to financial statements.

41

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Industrials (Cont.)
Skywest Inc.	14,921	$	370,041
Sourcecorp (a)	4,344		107,688
Spherion Corp. (a)	13,893		126,704
Standard Parking Corp. (a)	900		24,372
Standard Register Co.	3,596		42,613
Standex International Corp.	2,827		85,799
Sterling Construction Co. Inc. (a)	2,200		60,720
Superior Essex Inc. (a)	5,149		154,110
Synagro Technologies Inc.	11,900		46,767
TAL International Group Inc. (a)	3,400		81,940
Taleo Corp. (a)	2,600		30,654
Taser International Inc. (a)	14,892		117,796
Team Inc. (a)	1,800		45,090
Tecumseh Products Co. (a)	4,237		81,350
Teledyne Technologies Inc. (a)	8,059		264,013
TeleTech Holdings Inc. (a)	7,505		95,013
Tennant Co.	1,888		94,929
Tetra Tech Inc. (a)	12,551		222,655
The Gormann-Rupp Co.	1,784		47,454
The Providence Service Corp. (a)	3,099		84,386
Titan International Inc.	4,478		83,783
TransDigm Group Inc. (a)	2,154		51,588
Tredegar Corp.	8,099		128,126
Trex Co. Inc. (a)	2,934		75,961
Triumph Group Inc. (a)	3,882		186,336
TurboChef Technologies Inc. (a)	2,930		32,582
UAP Holding Corp.	12,121		264,359
United Industrial Corp.	2,265		102,491
United Stationers Inc. (a)	7,554		372,563
Universal Forest Products Inc.	4,010		251,547
Universal Truckload Services Inc. (a)	1,100		37,543
US Xpress Enterprises Inc. Class A (a)	2,374		64,145
USA Truck Inc. (a)	2,206		39,311
Valmont Industries Inc.	3,832		178,150
Viad Corp.	5,162		161,571
Vicor Corp.	3,808		63,099
Volt Information Sciences Inc. (a)	2,069		96,415
Wabash National Corp.	6,751		103,695
Wabtec Corp.	11,441		427,893
Washington Group International Inc. (a)	6,872		366,553
Waste Connections Inc. (a)	10,160		369,824
Waste Industries USA Inc.	1,400		31,752
Waste Services Inc. (a)	5,657		50,856
Watsco Inc.	6,199		370,824
Watson Wyatt Worldwide Inc.	10,033		352,560
Watts Water Technologies Inc.	5,524		185,330
Werner Enterprises Inc.	12,426		251,875
Williams Scotsman International Inc. (a)	7,200		157,248
Woodward Governor Co.	6,455		196,942
			43,083,022

	Shares	Value
Common Stocks (Cont.)
Information Technology (17.93%)
24/7 Real Media Inc. (a)	11,100	$	97,458
3Com Corp. (a)	91,971		470,892
Access Integrated Technologies Inc. (a)	2,500		24,525
Actel Corp. (a)	6,637		95,241
Actuate Corp. (a)	11,600		46,864
Adaptec Inc. (a)	27,524		119,454
ADE Corp. (a)	2,796		90,842
Adtran Inc.	16,052		360,046
Advanced Analogic Technologies Inc. (a)	7,700		80,696
Advanced Digital Information Corp. (a)	14,786		174,031
Advanced Energy Industries Inc. (a)	7,533		99,737
Advent Software Inc. (a)	5,205		187,744
Aeroflex Inc. (a)	18,709		218,334
Agile Software Corp. (a)	14,523		92,076
Agilysys Inc.	7,360		132,480
Altiris Inc. (a)	5,210		93,988
AMIS Holdings Inc. (a)	8,950		89,500
Amkor Technology Inc. (a)	22,764		215,347
ANADIGICS Inc. (a)	11,500		77,280
Anaren Inc. (a)	4,446		91,099
Andrew Corp. (a)	35,600		315,416
Anixter International Inc. (a)	7,196		341,522
Ansoft Corp. (a)	4,084		83,640
Ansys Inc. (a)	7,772		371,657
Applied Films Corp. (a)	3,845		109,544
Applied Micro Circuits Corp. (a)	67,450		184,139
aQuantive Inc. (a)	17,039		431,598
Ariba Inc. (a)	16,294		134,100
Arris Group Inc. (a)	24,893		326,596
Art Technology Group Inc. (a)	26,800		79,864
Aspen Technology Inc. (a)	10,820		141,958
Asyst Technologies Inc. (a)	12,175		91,678
Atheros Communications (a)	11,523		218,476
ATMI Inc. (a)	9,288		228,671
Avanex Corp. (a)	39,600		69,696
Avid Technology Inc. (a)	9,400		313,302
Avocent Corp. (a)	11,474		301,193
Axcelis Technologies Inc. (a)	25,786		152,137
Bankrate Inc. (a)	2,583		97,534
BearingPoint Inc. (a)	41,522		347,539
Bel Fuse Inc.	2,770		90,884
Belden CDT Inc.	10,131		334,830
Benchmark Electronics Inc. (a)	13,977		337,125
Black Box Corp.	4,455		170,760
Blackbaud Inc.	9,511		215,900
Blackboard Inc. (a)	6,591		190,875
Blue Coat Systems Inc. (a)	3,339		56,296
Bookham Inc. (a)	14,500		48,720
Borland Software Corp. (a)	20,801		109,829
Bottomline Technologies Inc. (a)	4,431		36,068
Brightpoint Inc. (a)	11,161		151,008
Brocade Communications Systems Inc. (a)	63,755		391,456

See accompanying notes to financial statements.

42

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Information Technology (Cont.)
Brooks Automation Inc. (a)	17,749	$	209,438
C-COR Inc. (a)	9,769		75,417
Cabot Microelectronics Corp. (a)	5,861		177,647
CACI International Inc. (a)	6,800		396,644
CalAmp Corp. (a)	4,700		41,783
Carrier Access Corp.	4,100		33,907
Cass Information Systems Inc.	700		34,083
Checkpoint Systems Inc. (a)	8,609		191,206
Chordiant Software Inc. (a)	16,400		49,692
Ciber Inc. (a)	10,743		70,796
Cirrus Logic Inc. (a)	19,097		155,450
Click Commerce Inc. (a)	2,703		53,330
CMGI Inc. (a)	114,956		139,097
CNET Networks Inc. (a)	33,483		267,194
Cogent Inc. (a)	9,471		142,728
Cognex Corp.	10,461		272,300
Coherent Inc. (a)	7,450		251,289
Cohu Inc.	6,008		105,440
CommScope Inc. (a)	12,929		406,229
Comtech Group Inc. (a)	3,800		42,294
Comtech Telecommunications Corp. (a)	5,497		160,897
Concur Technologies Inc. (a)	7,797		120,620
Conexant Systems Inc. (a)	111,660		279,150
Convera Corp. (a)	5,800		38,976
Covansys Corp. (a)	6,236		78,387
CPI International Inc. (a)	1,100		15,950
Credence Systems Corp. (a)	23,441		82,044
CSG Systems International Inc. (a)	11,365		281,170
CTS Corp.	7,641		113,775
CyberSource Corp. (a)	6,329		74,049
Cymer Inc. (a)	8,576		398,441
Daktronics Inc.	9,152		264,218
DealerTrack Holdings Inc. (a)	2,100		46,431
Digi International Inc. (a)	4,548		56,986
Digital Insight Corp. (a)	8,190		280,835
Digital River Inc. (a)	8,711		351,837
Digitas Inc. (a)	21,974		255,338
Diodes Inc. (a)	4,593		190,334
Ditech Networks Inc. (a)	8,077		70,431
DSP Group Inc. (a)	6,224		154,666
DTS Inc. (a)	3,884		75,660
Eagle Test Systems Inc. (a)	2,100		29,442
Earthlink Inc. (a)	29,232		253,149
Echelon Corp. (a)	5,844		43,772
eCollege.com Inc. (a)	4,427		93,587
eFunds Corp. (a)	9,897		218,229
Electro Scientific Industries Inc. (a)	6,738		121,217
Electronics for Imaging Inc. (a)	13,908		290,399
Emcore Corp. (a)	10,381		99,658
EMS Technologies Inc. (a)	3,000		53,910
Emulex Corp. (a)	18,788		305,681
Entegris Inc. (a)	31,793		302,987
Epicor Software Corp. (a)	11,314		119,136

	Shares	Value
Common Stocks (Cont.)
Information Technology (Cont.)
EPIQ Systems Inc. (a)	3,860	$	64,230
Equinix Inc. (a)	6,357		348,745
Euronet Worldwide Inc. (a)	8,181		313,905
Exar Corp. (a)	8,467		112,357
Excel Technology Inc. (a)	2,546		76,176
Extreme Networks Inc. (a)	24,764		103,018
FalconStor Software Inc. (a)	6,416		44,720
Fargo Electronics Inc. (a)	3,467		88,027
FEI Co. (a)	5,786		131,227
FileNet Corp. (a)	9,673		260,494
Finisar Corp. (a)	50,575		165,380
Flir Systems Inc. (a)	15,400		352,660
Formfactor Inc. (a)	10,269		458,306
Forrester Research Inc. (a)	3,052		85,395
Foundry Networks Inc. (a)	32,654		348,092
Gartner Inc. (a)	12,451		176,804
Gateway Inc. (a)	61,895		117,601
Genesis Microchip Inc. (a)	8,307		96,029
Gerber Scientific Inc. (a)	4,500		58,545
Gevity HR Inc.	6,578		174,646
Global Imaging Systems Inc. (a)	5,626		232,241
Harmonic Inc. (a)	14,854		66,546
Heartland Payment Systems Inc. (a)	2,800		78,064
Hittite Microwave Corp. (a)	2,700		97,632
Hutchinson Technology Inc. (a)	6,528		141,201
Hypercom Corp. (a)	10,941		102,298
Hyperion Solutions Corp. (a)	13,200		364,320
I.D. Systems Inc. (a)	2,900		51,417
i2 Technologies Inc. (a)	3,600		45,612
Identix Inc.	21,225		148,363
iGate Corp. (a)	6,126		39,145
Ikanos Communications (a)	4,200		63,798
Imation Corp.	7,759		318,507
Infocrossing Inc. (a)	4,111		47,482
Informatica Corp. (a)	18,808		247,513
Infospace Inc. (a)	7,635		173,085
InfoUSA Inc.	6,625		68,304
Integral Systems Inc.	1,983		53,204
Inter-Tel Inc.	4,985		104,984
InterDigital Communications Corp. (a)	12,730		444,404
Intergraph Corp. (a)	7,136		224,713
Intermec Inc. (a)	11,247		258,006
Internap Network Services Corp. (a)	65,900		69,195
International DisplayWorks Inc. (a)	12,450		64,740
Internet Capital Group Inc. (a)	10,321		92,889
Internet Security Systems Inc. (a)	8,756		165,051
InterVoice Inc. (a)	9,677		68,900
Interwoven Inc. (a)	8,361		71,737
Intevac Inc. (a)	5,032		109,094
iPass Inc. (a)	15,928		89,197
Itron Inc. (a)	5,709		338,315
Ixia (a)	9,203		82,827
IXYS Corp. (a)	5,114		49,094

See accompanying notes to financial statements.

43

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Information Technology (Cont.)
j2 Global Communications Inc. (a)	11,016	$	343,920
Jack Henry & Associates Inc.	18,296		359,699
JDA Software Group Inc. (a)	5,832		81,823
Jupitermedia Corp. (a)	5,362		69,706
Kanbay International Inc. (a)	7,080		102,943
Keane Inc. (a)	10,500		131,250
Kemet Corp. (a)	20,796		191,739
Komag Inc. (a)	6,761		312,223
Kopin Corp. (a)	18,601		67,150
Kronos Inc. (a)	7,573		274,218
Kulicke & Soffa Industries Inc. (a)	13,528		100,243
Landauer Inc.	1,980		94,842
Lattice Semiconductor Corp. (a)	28,293		174,851
Lawson Software Inc. (a)	28,984		194,193
Lightbridge Inc. (a)	6,750		87,413
Lionbridge Technologies Inc. (a)	14,692		81,247
Liquidity Services Inc. (a)	2,200		34,254
Littelfuse Inc. (a)	5,437		186,924
LoJack Corp. (a)	4,914		92,678
Loral Space & Communications Inc. (a)	2,300		65,228
LTX Corp. (a)	15,869		111,242
Macrovision Corp. (a)	11,354		244,338
Magma Design Automation Inc. (a)	7,069		51,957
Manhattan Associates Inc. (a)	6,305		127,928
ManTech International Corp. (a)	3,737		115,324
Mapinfo Corp. (a)	4,141		54,040
Marchex Inc. Class B (a)	4,972		81,690
Mattson Technology Inc. (a)	12,652		123,610
MAXIMUS Inc.	4,313		99,846
Maxwell Technologies Inc. (a)	3,700		72,631
McDATA Corp. (a)	38,833		158,439
Measurement Specialties Inc. (a)	2,800		62,356
Mentor Graphics Corp. (a)	17,826		231,382
Methode Electronics Inc.	7,267		76,376
Metrologic Instruments Inc. (a)	3,408		51,154
Micrel Inc. (a)	15,495		155,105
Micros Systems Inc. (a)	9,308		406,573
Microsemi Corp. (a)	16,516		402,660
MicroStrategy Inc. (a)	2,325		226,734
Microtune Inc. (a)	12,977		81,236
Midway Games Inc. (a)	7,523		60,861
Mindspeed Technologies Inc. (a)	23,200		55,912
MIPS Technologies Inc. (a)	10,820		65,677
MKS Instruments Inc. (a)	7,878		158,505
Mobility Electronics Inc. (a)	7,104		51,575
Monolithic Power Systems Inc. (a)	4,425		52,348
MoSys Inc. (a)	4,500		35,190
Move Inc. (a)	24,008		131,564
MPS Group Inc. (a)	24,525		369,347
MRO Software Inc. (a)	4,898		98,303
MRV Communications Inc. (a)	32,288		100,416
MTS Systems Corp.	4,457		176,096
Multi-Fineline Electronix Inc. (a)	1,634		54,232

	Shares	Value
Common Stocks (Cont.)
Information Technology (Cont.)
Neoware Inc. (a)	4,200	$	51,618
Ness Technologies Inc. (a)	5,605		60,254
Net 1 UEPS Technologies Inc. (a)	10,800		295,380
Netgear Inc. (a)	7,348		159,084
Netlogic Microsystems Inc. (a)	3,444		111,069
Netratings Inc. (a)	2,796		38,836
NetScout Systems Inc. (a)	4,807		42,878
Newport Corp. (a)	8,918		143,758
Nextest Systems Corp. (a)	1,100		17,831
NIC Inc. (a)	6,806		49,207
Novatel Wireless Inc. (a)	7,780		80,756
Nuance Communications Inc. (a)	28,640		288,118
Omnivision Technologies Inc. (a)	11,680		246,682
ON Semiconductor Corp. (a)	36,037		211,898
Online Resources Corp. (a)	5,918		61,192
Open Solutions Inc. (a)	5,328		141,778
Openwave Systems Inc. (a)	20,852		240,632
Oplink Communications Inc. (a)	4,211		77,103
OPNET Technologies Inc. (a)	2,500		32,400
Opsware Inc. (a)	17,960		147,990
OSI Systems Inc. (a)	3,165		56,242
OYO Geospace Corp. (a)	1,000		57,110
Packeteer Inc. (a)	8,494		96,322
Palm Inc. (a)	20,676		332,884
Parametric Technology Corp. (a)	26,094		331,655
Park Electrochemical Corp.	4,388		112,991
ParkerVision Inc. (a)	3,800		34,580
Paxar Corp. (a)	8,754		180,070
PDF Solutions Inc. (a)	3,699		45,905
Pegasus Wireless Corp. (a)	11,900		106,386
Pegasystems Inc.	2,200		14,124
Perficient Inc. (a)	4,500		55,620
Pericom Semiconductor Corp. (a)	5,309		44,065
Perot Systems Corp. (a)	19,915		288,369
Photon Dynamics Inc. (a)	3,999		50,068
Photronics Inc. (a)	8,772		129,826
Plantronics Inc.	10,738		238,491
Plexus Corp. (a)	10,533		360,334
PLX Technology Inc. (a)	6,211		75,898
Polycom Inc. (a)	20,423		447,672
PortalPlayer Inc. (a)	6,102		59,861
Power Integrations Inc. (a)	7,753		135,522
Powerwave Technologies Inc. (a)	24,936		227,416
Presstek Inc. (a)	5,962		55,506
Progress Software Corp. (a)	9,835		230,237
QAD Inc.	2,454		19,019
Quality Systems Inc. (a)	3,568		131,374
Quantum Corp. (a)	40,640		106,477
Quest Software Inc. (a)	15,798		221,804
Rackable Systems Inc. (a)	6,200		244,838
Radiant Systems Inc. (a)	6,614		69,910
Radisys Corp. (a)	5,229		114,829
Radyne Corp. (a)	4,600		52,348

See accompanying notes to financial statements.

44

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Information Technology (Cont.)
RAE Systems Inc. (a)	10,100	$	40,400
RealNetworks Inc. (a)	25,179		269,415
Redback Networks Inc. (a)	12,380		227,049
Renaissance Learning Inc.	1,792		24,282
RF Micro Devices Inc. (a)	44,020		262,799
RightNow Technologies Inc. (a)	3,094		51,608
Rofin-Sinar Technologies Inc. (a)	3,667		210,743
Rogers Corp. (a)	3,765		212,120
RSA Security Inc. (a)	16,783		456,330
Rudolph Technologies Inc. (a)	5,617		81,447
S1 Corp. (a)	14,144		67,891
Safeguard Scientifics Inc. (a)	25,000		54,000
SafeNet Inc. (a)	6,298		111,601
Sapient Corp. (a)	19,608		103,922
SAVVIS Inc. (a)	2,100		62,181
Scansource Inc. (a)	5,852		171,581
Secure Computing Corp. (a)	10,808		92,949
Semitool Inc. (a)	5,645		50,918
Semtech Corp. (a)	17,322		250,303
SI International Inc. (a)	2,681		82,199
Sigma Designs Inc. (a)	5,800		54,694
Silicon Image Inc. (a)	17,873		192,671
Silicon Storage Technology Inc. (a)	19,284		78,293
Sirenza Microdevices Inc. (a)	6,100		74,054
SiRF Technology Holdings Inc. (a)	11,538		371,754
Skyworks Solutions Inc. (a)	35,467		195,423
Smith Micro Software Inc. (a)	4,900		78,498
Sohu.com Inc. (a)	5,404		139,369
Sonic Solutions (a)	6,309		104,099
SonicWALL Inc. (a)	15,466		139,039
Sonus Networks Inc. (a)	57,306		283,665
SPSS Inc. (a)	4,658		149,708
SRA International Inc. (a)	8,400		223,692
SSA Global Technologies Inc. (a)	1,865		36,144
Standard Microsystems Corp. (a)	5,432		118,581
Startek Inc.	3,107		46,450
Stellent Inc.	5,895		56,297
Stratasys Inc. (a)	2,607		76,802
Stratex Networks Inc. (a)	23,000		77,970
SunPower Corp. Class A (a)	2,500		70,050
Supertex Inc. (a)	2,980		119,021
Sybase Inc. (a)	24,412		473,593
Sycamore Networks Inc. (a)	44,474		180,564
Sykes Enterprises Inc. (a)	6,269		101,307
Symmetricom Inc. (a)	11,346		80,216
Synaptics Inc. (a)	5,516		118,042
SYNNEX Corp. (a)	2,405		45,599
Syntel Inc.	1,605		32,838
Take-Two Interactive Software Inc. (a)	15,800		170,956
Talx Corp.	7,033		153,812
Technitrol Inc.	9,280		214,832
Tekelec (a)	12,137		149,892
Terremark Worldwide Inc. (a)	7,158		25,769

	Shares	Value
Common Stocks (Cont.)
Information Technology (Cont.)
Tessera Technologies Inc. (a)	9,872	$	271,480
The BISYS Group Inc. (a)	33,019		452,360
The Knot Inc. (a)	3,600		75,348
TheStreet.com Inc.	4,700		60,254
THQ Inc. (a)	14,109		304,754
TIBCO Software Inc. (a)	49,720		350,526
TNS Inc. (a)	5,205		107,691
Transaction Systems Architects Inc. (a)	8,716		363,370
Transmeta Corp. (a)	47,100		77,244
TranSwitch Corp. (a)	34,406		72,597
Travelzoo Inc. (a)	834		25,304
Trident Microsystems Inc. (a)	12,684		240,742
Triquint Semiconductor Inc. (a)	35,109		156,586
TTM Technologies Inc. (a)	9,960		144,121
Tyler Technologies Inc. (a)	7,590		85,008
Ulticom Inc. (a)	2,478		25,945
Ultimate Software Group Inc. (a)	5,833		111,760
Ultratech Inc. (a)	5,479		86,240
United Online Inc.	15,237		182,844
Universal Display Corp. (a)	5,433		72,313
UTStarcom Inc. (a)	26,743		208,328
VA Software Corp. (a)	15,400		59,752
ValueClick Inc. (a)	22,840		350,594
Varian Semiconductor Equipment Associates Inc. (a)	12,776		416,625
VASCO Data Security International Inc. (a)	7,102		59,302
Veeco Instruments Inc. (a)	6,602		157,392
Verint Systems Inc. (a)	3,095		90,343
ViaSat Inc. (a)	4,764		122,340
Vignette Corp. (a)	6,730		98,123
Viisage Technology Inc. (a)	4,708		71,373
Virage Logic Corp. (a)	2,798		26,273
Volterra Semiconductor Corp. (a)	4,721		72,042
WebEx Communications Inc. (a)	9,386		333,578
webMethods Inc. (a)	13,945		137,637
Websense Inc. (a)	10,502		215,711
WebSideStory Inc. (a)	4,433		54,083
Wind River Systems Inc. (a)	16,954		150,891
Witness Systems Inc. (a)	6,984		140,867
Wright Express Corp. (a)	8,583		246,675
X-Rite Inc.	4,166		45,784
Zhone Technologies Inc. (a)	29,188		59,544
Zoran Corp. (a)	10,694		260,292
Zygo Corp. (a)	4,500		73,755
			54,569,837
Materials (4.40%)
A. Schulman Inc.	7,060		161,603
AEP Industries Inc. (a)	1,400		46,788
AK Steel Holding Corp. (a)	24,059		332,736
Aleris International Inc. (a)	6,882		315,540

See accompanying notes to financial statements.

45

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Materials (Cont.)
AM Castle & Co.	2,189	$	70,595
AMCOL International Corp.	5,444		143,449
American Vanguard Corp.	3,613		55,929
AptarGroup Inc.	8,400		416,724
Arch Chemicals Inc.	5,382		194,021
Balchem Corp.	2,395		53,888
Bowater Inc.	12,275		279,256
Brush Engineered Materials Inc. (a)	5,152		107,419
Buckeye Technologies Inc. (a)	6,374		48,697
Calgon Carbon Corp.	6,752		41,120
Cambrex Corp.	6,081		126,667
Caraustar Industries Inc. (a)	6,104		54,936
Century Aluminum Co. (a)	5,383		192,119
CF Industries Holdings Inc.	11,800		168,268
Chaparral Steel Co. (a)	5,230		376,665
Chesapeake Corp.	4,594		75,388
Cleveland-Cliffs Inc.	5,093		403,824
Coeur d’Alene Mines Corp. (a)	61,075		293,771
Compass Minerals International Inc.	7,250		180,887
Deltic Timber Corp.	2,230		125,705
Ferro Corp.	9,740		155,450
Georgia Gulf Corp.	7,311		182,921
Gibraltar Industries Inc.	5,382		156,078
Glatfelter	10,596		168,159
Graphic Packaging Corp. (a)	14,160		53,666
Greif Inc.	3,896		292,044
HB Fuller Co.	6,507		283,510
Headwaters Inc. (a)	9,401		240,290
Hecla Mining Co. (a)	25,991		136,453
Hercules Inc. (a)	26,691		407,305
Innospec Inc.	3,106		78,955
Koppers Holdings Inc.	2,700		53,973
Kronos Worldwide Inc.	710		20,768
Longview Fibre Co.	10,778		205,752
MacDermid Inc.	6,598		190,022
Mercer International Inc.-SBI (a)	5,644		48,990
Metal Management Inc.	5,894		180,474
Minerals Technologies Inc.	4,309		224,068
Myers Industries Inc.	5,345		91,881
Neenah Paper Inc.	4,084		124,358
NewMarket Corp.	3,793		186,085
NL Industries Inc.	1,843		19,812
NN Inc.	3,390		41,867
Olin Corp.	17,308		310,332
Olympic Steel Inc.	2,100		74,319
OM Group Inc. (a)	6,469		199,569
Omnova Solutions Inc. (a)	8,300		47,144
Oregon Steel Mills Inc. (a)	8,183		414,551
Pioneer Companies Inc. (a)	2,914		79,494
PolyOne Corp. (a)	20,248		177,777
Potlatch Corp.	9,234		348,584
Quanex Corp.	8,441		363,554
Rock-Tenn Co.	6,618		105,557

	Shares	Value
Common Stocks (Cont.)
Materials (Cont.)
Rockwood Holdings Inc. (a)	8,574	$	197,288
Royal Gold Inc.	4,431		123,270
RTI International Metals Inc. (a)	5,079		283,611
Ryerson Inc.	5,736		154,872
Schnitzer Steel Industries Inc.	5,184		183,928
Schweitzer-Mauduit International Inc.	3,630		78,590
Senomyx Inc. (a)	6,360		91,775
Sensient Technology Corp.	10,544		220,475
Silgan Holdings Inc.	5,086		188,233
Spartech Corp.	7,304		165,070
Steel Technologies Inc.	3,207		62,344
Stepan Co.	1,151		36,349
Stillwater Mining Co. (a)	8,499		107,767
Symyx Technologies Inc. (a)	7,369		177,961
Terra Industries Inc. (a)	20,679		131,725
Texas Industries Inc.	5,150		273,465
Tronox Inc. Class B	8,900		117,213
US Concrete Inc. (a)	8,300		91,715
Wausau Paper Corp.	9,226		114,864
Wheeling-Pittsburgh Corp. (a)	2,527		50,262
Worthington Industries Inc.	17,167		359,649
WR Grace & Co. (a)	14,376		168,199
Zoltek Companies Inc. (a)	3,205		95,797
			13,404,179
Telecommunication Services (1.33%)
@Road Inc. (a)	12,940		71,429
Alaska Communications Systems Group Inc.	8,779		111,054
Atlantic Tele-Network Inc.	900		18,747
Broadwing Corp. (a)	16,912		175,039
Cbeyond Communications Inc. (a)	3,500		76,335
Centennial Communications Corp. (a)	4,528		23,546
Cincinnati Bell Inc. (a)	59,285		243,068
Cogent Communications Group Inc. (a)	5,200		48,724
Commonwealth Telephone Enterprises Inc.	5,344		177,207
Consolidated Communications Holdings Inc.	4,800		79,824
Covad Communications Group Inc. (a)	65,000		130,650
CT Communications Inc.	4,775		109,204
Dobson Communications Corp. (a)	33,592		259,666
Eschelon Telecom Inc. (a)	1,700		26,299
FairPoint Communications Inc.	6,340		91,296
First Avenue Networks Inc. (a)	12,800		139,264
General Communication Inc. Class A (a)	11,382		140,226
Golden Telecom Inc.	4,624		117,218
IDT Corp. Class B (a)	12,063		166,349
InPhonic Inc. (a)	5,205		32,792
Iowa Telecommunications Service Inc.	6,997		132,383
iPCS Inc. (a)	4,000		193,200
North Pittsburgh Systems Inc.	3,085		85,023

See accompanying notes to financial statements.

46

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Telecommunication Services (Cont.)
NTELOS Holdings Corp. (a)	3,900	$	56,355
Premiere Global Services Inc. (a)	14,540		109,777
Price Communications Corp. (a)	9,620		163,059
Shenandoah Telecommunications Co.	1,546		72,662
SureWest Communications	3,362		64,954
Syniverse Holdings Inc. (a)	4,990		73,353
Talk America Holdings Inc. (a)	5,605		34,695
Time Warner Telecom Inc. (a)	17,316		257,143
Ubiquitel Inc. (a)	18,908		195,509
USA Mobility Inc. (a)	6,549		108,713
Valor Communications Group Inc.	14,508		166,117
Vonage Holdings Corp. (a)	6,200		53,258
Wireless Facilities Inc. (a)	15,596		42,889
			4,047,027
Utilities (2.68%)
Allete Inc.	6,186		292,907
American States Water Co.	4,178		148,946
Aquila Inc. (a)	82,644		347,931
Avista Corp.	11,006		251,267
Black Hills Corp.	7,032		241,409
California Water Service Group	3,904		139,529
Cascade Natural Gas Corp.	2,369		49,962
CH Energy Group Inc.	3,926		188,448
Cleco Corp.	11,384		264,678
Duquesne Light Holdings Inc.	17,019		279,792
El Paso Electric Co. (a)	10,232		206,277
Empire District Electric Co.	7,130		146,521
EnergySouth Inc.	1,212		37,851
Idacorp Inc.	10,555		361,931
ITC Holdings Corp.	2,800		74,424
Laclede Group Inc.	4,688		161,080
MGE Energy Inc.	4,159		129,553
New Jersey Resources Corp.	6,540		305,941
Nicor Inc.	10,324		428,446
Northwest Natural Gas Co.	5,773		213,774
NorthWestern Corp.	8,623		296,200
Ormat Technologies Inc.	1,600		61,040
Otter Tail Corp.	5,966		163,051
Peoples Energy Corp.	8,649		310,586
Piedmont Natural Gas Co. Inc.	16,800		408,240
PNM Resources Inc.	19,898		496,654
Portland General Electric Co.	6,700		167,299
SJW Corp.	3,348		85,207
South Jersey Industries Inc.	6,450		176,665
Southwest Gas Corp.	9,424		295,348
Southwest Water Co.	6,615		79,181
UIL Holdings Corp.	3,755		211,369
Unisource Energy Corp.	7,811		243,313
Westar Energy Inc.	25,586		538,585

	Shares or principal amount		Value
Common Stocks (Cont.)
Utilities (Cont.)
WGL Holdings Inc.		11,900	$	344,505
				8,147,911
Total Common Stocks
(cost $246,648,224)				292,226,529
Short-term Investments (2.75%)
JPMorgan Treasury Plus Money Market Fund	$	7,813,024		7,813,024
U.S. Treasury Bills, (c)
4.658%, 09/21/2006		550,000		544,154
Total Short-term Investments
(cost $8,357,106)				8,357,178
TOTAL INVESTMENTS (98.77%)
(cost $255,005,330)				300,583,707
OTHER ASSETS, NET OF LIABILITIES (1.23%)				3,747,680
NET ASSETS (100.00%)			$	304,331,387

(a) Non-income producing security.

(b) Security valued at fair value.

(c) At June 30, 2006, this security has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

See accompanying notes to financial statements.

47

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (96.71%)
Australia (5.10%)
Alinta Ltd.	3,561	$	27,600
Alumina Ltd.	24,149		121,130
Amcor Ltd.	17,066		84,714
AMP Ltd.	36,537		247,885
Ansell Ltd.	1,967		14,134
APN News & Media Ltd.	4,395		16,591
Aristocrat Leisure Ltd.	4,438		42,477
Australia & New Zealand Banking Group Ltd.	31,645		625,275
Australian Gas & Light Co.	8,277		107,698
Australian Stock Exchange	1,448		35,056
Axa Asia Pacific Holdings	13,077		60,929
Babcock & Brown Ltd.	2,375		38,280
BHP Billiton Ltd.	60,560		1,305,062
Billabong International Ltd.	2,124		24,228
Bluescope Steel	10,153		59,980
Boral Ltd.	14,449		87,400
Brambles Industries Ltd.	19,293		157,703
Caltex Australian Ltd.	1,845		32,356
Centro Properties Group	13,550		67,362
CFS Gandel Retail Trust	23,553		32,554
Challenger Financial Service	5,317		12,485
Coca-Cola Amatil Ltd.	10,592		55,805
Cochlear Ltd.	842		34,181
Coles Myer Ltd.	19,291		162,847
Commonwealth Bank of Australia	23,028		759,949
Commonwealth Property Office	21,676		22,389
Computershare Ltd.	6,294		36,715
CSL Ltd.	3,509		140,155
CSR Ltd.	12,165		30,283
DB Reef Trust	48,947		53,286
DCA Group Ltd.	4,790		9,931
Downer Edi Ltd.	3,691		20,406
Foster’s Group Ltd.	36,357		147,782
Futuris Corp. Ltd.	7,091		11,066
GPT Group	32,591		105,108
Harvey Norman Holdings Ltd.	8,815		25,809
Iluka Resources Ltd.	3,350		16,306
ING Industrial Fund	12,312		20,402
Insurance Australia Group Ltd.	32,762		130,248
Investa Property Group	25,561		41,598
James Hardie Industries Ltd.	6,878		39,355
John Fairfax Holdings Ltd.	13,922		38,795
Leighton Holdings Ltd.	1,701		21,931
Lend Lease Corp. Ltd.	5,420		56,346
Lion Nathan Ltd.	4,316		25,016
Macquarie Airports	9,263		21,132
Macquarie Bank Ltd.	4,394		225,298
Macquarie Communications Infrastructure Group	4,641		20,382
Macquarie Goodman Group	18,515		82,551
Macquarie Infrastructure Grp.	52,390		130,808

	Shares	Value
Common Stocks (Cont.)
Australia (Cont.)
Mayne Pharma Ltd. (a)	10,071	$	19,458
Mirvac Group	12,358		39,947
Multiplex Group	7,811		18,980
National Australia Bank Ltd.	26,496		692,271
Newcrest Mining Ltd.	5,236		82,020
Onesteel Ltd.	7,379		22,317
Orica Ltd.	4,925		87,432
Origin Energy Ltd.	15,575		85,183
Pacific Brands Ltd.	11,294		18,044
Paperlinx Ltd.	6,208		14,393
Perpetual Trustees Australia	548		29,788
Publishing & Broadcasting	2,191		29,648
Qantas Airways Ltd.	13,179		28,988
QBE Insurance Group Ltd.	12,318		187,647
Rinker Group Ltd.	15,882		193,433
Rio Tinto Ltd.	5,169		298,836
Santos Ltd.	12,339		110,946
SFE Corp. Ltd.	1,798		22,046
Sonic Healthcare Ltd.	3,542		37,375
Stockland	28,713		149,783
Suncorp-Metway Ltd.	10,083		144,983
Symbion Health Ltd.	10,071		22,900
Tabcorp Holding Ltd.	11,631		131,374
Telstra Corp. Ltd.	38,636		105,654
Toll Holdings Ltd.	7,062		73,731
Transurban Group	15,368		79,369
Unitab Ltd.	1,707		18,723
Wesfarmers Ltd.	7,266		190,760
Westfield Group	26,811		345,270
Westpac Banking Corp.	31,895		551,763
Woodside Petroleum Ltd.	8,590		280,862
Woolworths Ltd.	22,048		330,135
Ziniffex Ltd.	4,558		33,938
			10,164,776
Austria (0.52%)
Andritz AG	159		26,283
BETandWIN.com Interactive Entertainment AG (a)	300		23,790
Boehler-Uddeholm	804		43,962
Erste Bank Der Oester Spark	3,165		178,121
Flughafen Wien AG	163		12,451
IMMOEAST Immobilien Anlagen AG (a)	3,025		32,462
Immofinaz Immobilien Anlagen AG (a)	8,406		93,325
Mayr-Melnhof Karton AG	48		7,730
Meinl European Land Ltd. (a)	2,055		41,871
Oest Elektrizatswirts AG Class A	1,400		67,329
OMV AG	2,830		168,498
Raiffeisen International Bank Holding	480		41,687
RHI AG (a)	493		15,953
Telekom Austria AG	6,105		135,948
VoestAlpine AG	352		53,487

See accompanying notes to financial statements.

48

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Austria (Cont.)
Wiener Staedtische Allgemeine Versicherung AG	390	$	22,946
Wienerberger AG	1,315		62,484
			1,028,327
Belgium (1.12%)
Agfa Gevaert NV	1,361		32,971
Barco NV	165		15,248
Bekaert NV	182		17,482
Belgacom SA	2,788		92,466
Cofinimmo	103		17,812
Colruyt SA	226		35,295
Compagnie Maritime Belge SA	295		8,569
D’Ieteren NV	69		22,284
Delhaize Group	1,273		88,250
Dexia	9,731		233,993
Euronav SA	354		10,894
Fortis	20,459		696,594
Groupe Bruxelles Lambert SA	1,253		131,257
InBev NV	3,235		158,682
KBC Groupe	3,174		340,609
Mobistar SA	402		31,905
Omega Pharma SA	317		22,138
Solvay SA	1,193		137,255
Suez-Lyonnaise Strips	1,640		21
UCB SA	1,581		85,538
Umicore	339		45,268
			2,224,531
Denmark (0.69%)
A P Moller-Maersk A/S	21		163,482
Bang & Olufsen Class B	178		19,687
Carlsberg A/S Class B	509		37,225
Coloplast Class B	352		26,135
Dampskibsselskabet Torm A/S	200		9,534
Danisco A/S	772		56,260
Danske Bank	7,406		281,923
DSV De Sammenslut Vogn Class B	320		53,499
East Asiatic Co. Ltd. A/S	263		9,933
FLSmidth & Co. A/S	835		31,499
GN Store Nord	3,993		45,874
H. Lundbeck A/S	1,015		23,148
Jyske Bank A/S (a)	918		53,205
NKT Holding A/S	343		21,438
Novo Nordisk A/S	4,229		269,395
Novozymes A/S Class B	950		64,182
Sydbank A/S	882		29,265
Topdanmark A/S (a)	375		52,277
Trygvesta A/S	320		19,973
Vestas Wind Systems A/S (a)	3,134		85,714

	Shares	Value
Common Stocks (Cont.)
Denmark (Cont.)
William DeMant Holding (a)	358	$	26,765
			1,380,413
Finland (1.44%)
Amer Group	1,120		23,393
Cargotec Corp.	526		23,043
Elisa Corp. Class A	2,746		52,298
Fortum OYJ	8,134		208,076
KCI Konecranes OYJ	832		14,983
Kesko OYJ	882		33,821
Kone Corp. OYJ Class B	1,052		43,731
Metso OYJ	2,458		89,193
Neste Oil OYJ	2,575		90,704
Nokia OYJ	72,993		1,490,053
Nokian Renkaat OYJ	1,599		21,025
OKO Bank	800		11,767
Orion-Yhtyma Class B	1,088		21,612
Outokumpo OYJ	1,366		31,973
Rautaruukki OYJ	1,201		36,284
Sampo Insurance Co.	8,156		155,644
SanomaWSOY OYJ	500		12,036
Stora Enso OYJ R Shares	10,991		153,514
Tietoenator Corp. OYJ	1,272		36,736
UPM-Kymmene OYJ	9,524		205,261
Uponor OYJ	962		26,024
Wartsila OYJ Class B	1,041		43,939
YIT OYJ	2,166		53,109
			2,878,219
France (9.55%)
Accor SA	3,561		216,758
Air France	1,977		46,477
Air Liquide	2,146		418,039
Alcatel SA (a)	24,731		313,791
Alstom (a)	1,693		154,720
Arcelor	9,232		445,641
Atos Origin (a)	1,217		79,620
AXA Co.	29,148		956,650
BIC SA	441		28,541
BNP Paribas	14,346		1,373,442
Bouygues	3,477		178,780
Business Objects SA (a)	1,061		28,946
Cap Gemini	2,206		125,927
Carrefour SA	10,635		623,548
Casino Guichard Perrachon	552		41,974
CNP Assurances	510		48,500
Compagnie De Saint-Gobain	5,386		385,093
Credit Agricole SA	10,050		382,420
Dassault Systemes SA	806		43,195
Essilor International	1,813		182,499
Euronext	1,648		154,507
European Aeronautic Defense	6,174		177,363

See accompanying notes to financial statements.

49

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
France (Cont.)
France Telecom SA	28,186	$	606,022
Gaz de France	2,595		87,127
Gecina SA	133		17,420
Groupe Danone	3,927		499,018
Hermes International SCA	936		82,786
Imerys SA	434		34,694
Klepierre	320		37,062
L’Oreal	5,099		481,641
Lafarge SA	2,729		342,595
Lagardere SCA	2,141		158,008
LVMH Moet Hennessy Louis Vuitton SA	4,228		419,647
Michelin Class B	2,564		154,136
Neopost SA	459		52,309
PagesJuanes SA	2,005		62,958
Pernod-Ricard	1,368		271,210
Peugeot SA	2,822		175,601
PPR SA	1,243		158,509
Publicis Groupe SA	2,617		101,088
Renault SA	3,227		346,710
Safran SA	2,411		52,486
Sanofi-Aventis	17,666		1,724,052
Schneider Electric SA	3,901		406,650
SCOR SA	11,826		25,866
Societe des Autoroutes Paris	326		22,350
Societe Generale Class A	6,086		895,194
Societe Television Francaise 1	1,669		54,436
Sodexho Alliance	1,368		65,738
STMicroelectronics NV	11,985		192,997
Suez SA	17,660		734,111
Technip-Coflexip SA	1,294		71,665
Thales SA	1,211		47,304
Thomson SA (a)	3,949		65,309
Total SA	38,220		2,515,148
Unibail	743		129,531
Valeo	1,039		36,998
Vallourec SA	110		132,254
Veolia Environnement	5,236		270,630
Vinci SA	3,629		373,887
Vivendi SA	20,365		713,711
Zodiac SA	551		30,988
			19,056,277
Germany (6.51%)
Adidas-Salomon AG	3,672		175,562
Allianz AG	7,071		1,117,135
Altana AG	1,078		60,061
BASF AG	8,998		722,528
Bayer AG	12,244		562,845
Beiersdorf AG	263		39,630
Bilfinger Berger AG	389		21,151
Celesio AG	543		49,360
Commerzbank AG	11,103		403,885

	Shares	Value
Common Stocks (Cont.)
Germany (Cont.)
Continental AG	2,276	$	232,657
DaimlerChrysler AG	15,911		786,158
Depfa Bank PLC	5,167		85,651
Deutsche Bank AG	8,968		1,009,406
Deutsche Boerse AG	1,836		250,098
Deutsche Lufthansa	3,554		65,459
Deutsche Post AG	12,821		343,717
Deutsche Postbank AG	718		51,667
Deutsche Telekom AG	47,664		766,935
Douglas Holding AG	411		18,988
E.On AG	10,711		1,233,265
Fresenius Medical Care	1,003		115,306
Heidelberger Druckmaschinen	791		35,967
Hochtief AG	857		47,671
Hypo Real Estate Holding	2,158		131,081
Infineon Technologies AG (a)	14,205		158,251
IVG Immobilien AG	924		27,915
Karstadtquelle AG (a)	1,067		28,318
Linde AG	1,311		101,029
Linde AG Rights (a)	1,311		5,064
MAN AG	2,469		178,805
Merck KGaA	710		64,568
Metro AG	2,597		147,217
MLP AG	946		19,493
Muenchener Rueckvers AG	3,350		457,661
Premiere AG (a)	644		6,244
Puma AG	216		83,968
Rheinmetall AG	424		29,562
RWE AG	7,818		650,475
Salzgitter AG	520		44,143
SAP AG	3,865		815,682
Siemens AG	14,717		1,280,582
Solarworld AG	408		25,607
Suedzucker AG	1,266		28,078
ThyssenKrupp AG	5,783		198,011
TUI AG (a)	3,277		64,926
Volkswagen AG	3,079		215,931
Wincor Nixdorf AG	262		33,494
			12,991,207
Greece (0.63%)
Alpha Bank AE	6,650		165,691
Bank of Piraeus	3,812		90,689
Coca-Cola Hellenic Bottling	1,920		57,220
Cosmote Mobile Telecommunication	2,730		61,456
EFG Eurobank Ergasias	4,572		126,781
Emporiki Bank of Greece (a)	810		28,056
Germanos SA (a)	1,160		27,745
Greek Org of Football Prognostics SA	3,890		140,807
Hellenic Petroleum SA	2,020		26,870
Hellenic Technodomiki Tev SA	3,380		32,510
Hellenic Telecommunications Org. (a)	5,160		113,650

See accompanying notes to financial statements.

50

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Greece (Cont.)
National Bank of Greece	6,972	$	275,373
Public Power Corp.	1,930		45,718
Titan Cement Co. SA	1,320		61,928
Viohalco, Hellenic Copper and Aluminum Industry SA	1,240		11,356
			1,265,850
Hong Kong (1.59%)
ASM Pacific Technology	2,000		9,747
Bank of East Asia Ltd.	27,600		113,545
BOC Hong Kong Holdings Ltd.	61,500		120,366
Cathay Pacific Airways Ltd.	15,000		26,267
Cheung Kong Holdings Ltd.	26,000		281,717
Cheung Kong Infrastructure	7,000		20,235
CLP Holdings Ltd.	32,700		191,367
Espirit Holdings Ltd.	16,500		134,697
Foxconn International Holdings Ltd. (a)	37,000		79,085
Giordano International Ltd.	22,000		10,410
Hang Lung Properties Ltd.	40,000		71,591
Hang Seng Bank Ltd.	13,800		175,026
Henderson Land Development Co. Ltd.	15,000		77,933
Hong Kong & China Gas Co. Ltd.	68,672		150,761
Hong Kong Electric	21,500		97,308
Hong Kong Exchange & Clearing	20,000		128,633
Hopewell Holdings	9,000		25,379
Hutchison Telecommunications International Ltd. (a)	21,000		33,800
Hutchison Whampoa Ltd.	36,700		335,041
Hysan Development Co.	12,062		34,013
Johnson Electric Holdings	20,000		14,550
Kerry Properties Ltd.	7,000		23,840
Kingboard Chemicals Holdings Co. Ltd.	7,000		19,739
Li & Fung Ltd.	40,800		82,480
Link REIT (a)	34,000		68,076
Melco International Development Ltd.	6,000		15,065
MTR Corp.	18,791		45,367
New World Development	31,600		52,082
Orient Overseas International Ltd.	4,400		15,948
PCCW Ltd.	57,118		40,818
Shangri-La Asia Ltd.	18,108		34,858
Sino Land Co.	24,498		39,115
Solomon Systech International Ltd.	22,000		5,552
Sun Hung Kai Properties Ltd.	24,000		244,750
Swire Pacific Ltd. Class A	16,500		170,284
Techtronic Industries	14,500		19,604
Television Broadcasts Ltd.	4,000		24,722
Texwinca Holdings Ltd.	10,000		6,696
Wharf Holdings Ltd.	24,000		85,292
Wing Hang Bank Ltd.	3,000		26,267
Yue Yuen Industrial Holdings	7,000		19,243
			3,171,269

	Shares	Value
Common Stocks (Cont.)
Ireland (0.78%)
Allied Irish Bank PLC	15,176	$	364,148
Bank of Ireland	17,332		309,251
C&C Group PLC	3,945		34,261
CRH PLC	9,504		309,008
DCC PLC	1,234		29,673
Eircom Group PLC (b)	4,016		11,147
Eircom Group PLC	9,639		26,753
Elan Corp. PLC (a)	8,155		135,599
Fyffes PLC	3,720		6,566
Grafton Group PLC (a)	2,970		37,418
Greencore Group PLC	1,824		8,585
IAWS Group PLC	1,628		28,736
Independent News & Media PLC	7,490		21,938
Irish Life & Permanent PLC	4,539		107,984
Kerry Group PLC Class A	2,394		51,442
Kingspan Group PLC	1,726		30,134
Paddy Power PLC	834		14,454
Ryanair Holdings PLC (a)	3,664		33,274
			1,560,371
Italy (3.67%)
Alleanza Assicurazioni	8,033		91,033
Arnoldo Mondadori Editore	1,769		17,060
Assicurazione Generali Itl	16,828		612,999
Autogrill SpA	1,491		22,942
Autostrade SpA	5,161		145,028
Banca Fideuram SpA	4,878		28,388
Banca Intesa	14,188		77,035
Banca Intesa SpA	69,277		405,828
Banca Monte Dei Paschi Siena SpA	16,470		99,010
Banca Popolare Di Verona SpA	6,906		185,054
Banche Popolari Unite SCRL	5,329		137,889
Banco Popolare di Milano SCRL	5,998		76,449
Benetton Group	1,018		15,208
Bulgari SpA	2,324		26,366
Capitalia SpA	30,737		252,200
Enel SpA	75,692		652,525
ENI SpA	44,940		1,323,776
Fiat SpA (a)	9,562		127,317
Finmeccanica SpA	5,522		122,612
Fondiaria Sai SpA	850		34,747
Gruppo Editoriale L’Espresso	2,305		12,309
Italcementi SpA	1,048		26,514
Lottomatica SpA	905		34,333
Luxottica Group SpA	1,976		53,682
Mediaset SpA	13,600		160,383
Mediobanca SpA	8,961		175,476
Mediolanum SpA	3,393		23,825
Pirelli & Co. SpA	43,197		37,598
SanPaolo IMI SpA	19,113		338,095
Seat Pagine Gaille	55,520		25,849
Snam Rete Gas	14,606		64,219

See accompanying notes to financial statements.

51

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Italy (Cont.)
Telecom Italia RNC SpA	101,216	$	261,510
Telecom Italia SpA	188,898		526,106
Terna SpA	18,917		50,448
Tiscali SpA (a)	3,509		10,424
UniCredito Italiano SpA	93,432		731,366
UniCredito Italiano SpA	42,040		328,005
			7,313,608
Japan (23.82%)
77 Bank Ltd.	5,000		34,822
Acom Co. Ltd.	1,050		56,977
Aderans Co. Ltd.	600		16,201
Advantest Corp.	1,600		163,020
Aeon Co. Ltd.	11,000		241,262
Aeon Credit Service Co. Ltd.	1,200		29,151
Aiful Corp.	1,075		57,395
Aisin Seiki Co. Ltd.	2,800		83,188
Ajinomoto Co. Inc.	11,000		121,784
Alfresa Holdings Corp.	300		18,639
All Nippon Airways Co. Ltd.	9,000		34,603
Alps Electric Co. Ltd.	3,000		37,487
Amada Co. Ltd.	9,000		94,373
Amano Corp.	1,000		14,855
Aoyama Trading Co. Ltd.	900		28,154
Asahi Breweries Ltd.	6,300		88,466
Asahi Glass Co. Ltd.	18,000		228,224
Asahi Kasei Corp.	24,000		156,659
Asatsu DK Inc.	400		12,933
Astellas Pharma Inc.	9,998		366,931
Autobacs Seven Co. Ltd.	400		17,407
Bank of Fukuoka Ltd.	8,000		60,818
Bank of Kyoto	4,000		43,167
Bank of Yokohama Ltd.	19,000		146,933
Benesse Corp.	1,700		58,677
Bridgestone Corp.	11,600		223,506
Canon Inc.	18,900		926,503
Canon Sales Co. Inc.	1,000		20,622
Casio Computer Co. Ltd.	3,000		57,279
Central Glass Co. Ltd.	3,000		17,852
Central Japan Railway Co.	29		288,885
Chiba Bank Ltd.	13,000		121,548
Chiyoda Corp.	2,000		40,895
Chubu Electric Power Co. Inc.	10,700		288,911
Chugai Pharmaceutical Co. Ltd.	4,100		83,655
Circle K Sunkus Co. Ltd.	600		12,976
Citizen Watch Co. Ltd.	5,100		46,214
Coca-Cola West Japan Co. Ltd.	500		10,595
Comsys Holdings Corp.	2,000		24,677
Credit Saison Co. Ltd.	3,100		146,819
CSK Corp.	900		41,052
Dai Nippon Printing Co. Ltd.	12,000		185,599
Daicel Chemical Industries	4,000		32,681

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Daido Steel Co. Ltd.	5,000	$	39,235
Daiichi Sanyko Co. Ltd.	13,340		367,188
Daikin Industries Ltd.	4,400		152,639
Dainippon Ink & Chemical Inc.	9,000		33,738
Dainippon Screen Manufacturing Co. Ltd.	3,000		27,473
Daito Trust Construction Co. Ltd.	1,900		105,260
Daiwa House Industry Co. Ltd.	9,000		143,918
Daiwa Securities Group Inc.	23,000		274,135
Denki Kagaku Kogyo KK	7,000		29,116
Denso Corp.	9,400		307,200
Dentsu Inc.	36		99,406
Dowa Mining Co. Ltd.	4,000		35,372
E*Trade Securities Co. Ltd.	21		28,076
eAccess Ltd.	18		11,812
East Japan Railway Co.	59		438,221
Ebara Corp.	4,000		17,057
Eisai Co. Ltd.	4,000		180,007
Electric Power Development	3,520		134,107
Elpida Memory Inc. (a)	1,600		60,119
Familymart Co. Ltd.	1,000		28,836
Fanuc Ltd.	3,200		287,452
Fast Retailing	1,200		98,043
Fuji Electric Holdings Co. Ltd.	7,000		36,639
Fuji Photo Film Co. Ltd.	9,200		308,703
Fuji Soft ABC Inc.	400		13,177
Fuji Television Network Inc.	8		17,756
Fujikura Ltd.	5,000		55,182
Fujitsu Ltd.	35,000		271,278
Furukawa Electric Co. Ltd.	9,000		58,196
Glory Ltd.	800		15,379
Goodwill Group Inc.	18		13,291
Gunma Bank Ltd.	5,000		37,137
Gunze Ltd.	3,000		17,878
Hakuhodo DY Holdings Inc.	400		29,430
Hankyu Department Stores	2,000		15,519
Hikari Tsushin Inc.	400		21,601
Hino Motors Ltd.	4,000		23,279
Hirose Electric Co. Ltd.	500		60,730
Hitachi Cable Ltd.	2,000		9,263
Hitachi Capital Corp.	700		12,233
Hitachi Chemical Co. Ltd.	1,600		41,943
Hitachi Construction Machine	1,300		31,296
Hitachi Ltd.	62,000		409,577
Hokkaido Electric Power	2,400		56,938
Hokuhoku Financial Group Inc.	17,000		71,007
Honda Motor Co. Ltd.	27,600		875,463
House Foods Corp.	800		12,094
Hoya Corp.	7,600		270,290
Ibiden Co. Ltd.	1,900		91,314
Index Corp.	12		11,849
INPEX Holdings Inc. (a)	16		141,209
Isetan Co. Ltd.	3,500		59,638

See accompanying notes to financial statements.

52

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Ishikawajima-Harima Heavy Industries Co. Ltd.	17,000	$	53,775
Ito En Ltd.	800		29,290
Itochu Corp.	29,000		254,675
Itochu Techno-Science Corp.	400		18,420
JAFCO Co. Ltd.	500		29,972
Japan Airlines Corp. (a)	9,000		22,571
Japan Prime Investment Corp.	6		18,036
Japan Real Estate Investment	5		44,565
Japan Retail Fund Investment	3		23,593
Japan Tobacco Inc.	84		306,082
JFE Holdings Inc.	10,200		432,279
JGC Corp.	3,000		51,617
Joyo Bank Ltd.	10,000		60,643
JS Group Corp.	5,700		119,788
JSR Corp.	2,500		63,134
JTEKT Corp.	4,500		86,901
Kajima Corp.	19,000		87,164
Kaken Pharmaceutical Co. Ltd.	1,000		7,506
Kamigumi Co. Ltd.	4,000		30,374
Kaneka Corp.	4,000		36,351
Kansai Electric Power	13,800		308,703
Kansai Paint Co. Ltd.	3,000		23,934
Kao Corp.	9,000		235,538
Katokichi Co. Ltd.	1,800		18,088
Kawasaki Heavy Industries Ltd.	18,000		60,556
Kawasaki Kisen Kaisha Ltd.	7,000		40,493
KDDI Corp.	40		245,718
Keihin Electric Express Railway	6,000		42,468
Keio Corp.	9,000		58,275
Keisei Electric Co.	4,000		22,580
Keyence Corp.	595		151,922
Kikkoman Corp.	2,000		24,921
Kinden Corp.	2,000		17,144
Kintetsu Corp.	29,000		96,802
Kirin Brewery Co. Ltd.	15,000		235,800
Kobe Steel Ltd.	51,000		159,542
Kokuyo Co. Ltd.	1,300		21,742
Komatsu Ltd.	16,000		318,071
Komori Corp.	1,000		21,278
Konami Corp.	1,500		33,096
Konica Minolta Holdings Inc. (a)	7,000		88,387
Kose Corp.	440		13,841
Kubota Corp.	20,000		189,619
Kuraray Co. Ltd.	8,000		89,479
Kurita Water Industries Ltd.	1,800		36,963
Kyocera Corp.	3,100		240,004
Kyowa Hakko Kogyo Co. Ltd.	5,000		33,686
Kyushu Electric Power	6,600		153,408
Lawson Inc.	800		29,151
Leopalace21 Corp.	2,700		93,193
Mabuchi Motor Co. Ltd.	400		23,908

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Makita Corp.	2,000	$	63,265
Marubeni Corp.	27,000		143,918
Marui Co. Ltd.	5,700		88,757
Matsui Securities Co. Ltd.	1,500		14,195
Matsumotokiyoshi Co. Ltd.	500		12,714
Matsushita Electric Industries	35,000		738,597
Matsushita Electric Works	8,400		93,293
Mediceo Paltac Holdings Co. Ltd.	2,900		51,822
Meiji Dairies Corp.	4,000		27,927
Meiji Seika Kaisha Ltd.	4,000		20,378
Meitec Corp.	400		13,037
Millea Holdings Inc.	26		483,922
Minebea Co. Ltd.	5,000		27,219
Mitsubishi Chemical Holdings Corp.	24,000		149,948
Mitsubishi Corp.	23,400		467,223
Mitsubishi Electric Corp.	35,000		280,453
Mitsubishi Estate Co. Ltd.	21,000		445,910
Mitsubishi Gas Chem Co.	7,000		80,252
Mitsubishi Heavy Industries Ltd.	61,000		263,317
Mitsubishi Logistics Corp.	2,000		31,318
Mitsubishi Materials Corp.	19,000		81,021
Mitsubishi Rayon Co. Ltd.	12,000		97,728
Mitsubishi UFJ Financial Group Inc.	152		2,125,131
Mitsubishi UFJ Securities Co. Ltd.	4,000		51,590
Mitsui & Co. Ltd.	27,000		381,265
Mitsui Chemicals Inc.	14,000		91,384
Mitsui Engineering & Shipbuilding	9,000		27,525
Mitsui Fudosan Co. Ltd.	15,000		325,717
Mitsui Mining & Smelting Co.	8,000		47,186
Mitsui OSK Lines Ltd.	22,000		149,563
Mitsui Sumitomo Insurance Co.	20,000		251,136
Mitsui Trust Holding Inc.	8,000		96,120
Mitsukoshi Ltd.	6,000		27,420
Mitsumi Electric Co. Ltd.	900		10,648
Mizuho Financial Group Inc.	168		1,422,510
Murata Manufacturing Co. Ltd.	3,700		240,222
Namco Bandai Holdings Inc.	2,800		42,548
NEC Corp.	37,000		197,221
NEC Electronics Corp. (a)	500		16,035
Net One Systems Co. Ltd.	9		16,751
NGK Insulators Ltd.	4,000		46,767
NGK Spark Plug Co. Ltd.	3,000		60,294
NHK Spring Co. Ltd.	2,000		23,016
Nichirei Corp.	3,000		16,043
Nidec Corp.	1,800		128,976
Nikko Cordial Corp.	16,000		204,684
Nikon Corp.	5,000		87,295
Nintendo Co. Ltd.	1,800		301,992
Nippon Building Fund Inc.	7		67,896
Nippon Electric Glass Co. Ltd.	3,000		60,163
Nippon Express Co. Ltd.	11,000		59,402
Nippon Kayaku Co. Ltd.	2,000		16,655
Nippon Light Metal Co. Ltd.	6,000		16,410

See accompanying notes to financial statements.

53

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Nippon Meat Packers Inc.	3,000	$	34,761
Nippon Mining Holdings Inc.	12,000		100,979
Nippon Oil Corp.	24,000		175,323
Nippon Paper Group Inc.	14		57,253
Nippon Sheet Glass Co. Ltd.	6,000		33,345
Nippon Shokubai Co. Ltd.	2,000		24,449
Nippon Steel Corp.	108,000		408,633
Nippon Telegraph & Telephone Corp.	91		446,094
Nippon Yusen Kabushiki Kaish	18,000		117,022
Nishi-Nippon City Bank Ltd.	7,000		33,520
Nishimatsu Construction Co.	4,000		14,925
Nissan Chemical Industries	3,000		37,382
Nissan Motor Co. Ltd.	39,800		434,726
Nisshin Seifun Group Inc.	3,300		36,766
Nisshin Steel Co. Ltd.	12,000		38,588
Nisshinbo Industries Inc.	2,000		21,880
Nissin Food Products Co. Ltd.	1,400		49,423
Nitori Co. Ltd.	500		24,336
Nitto Denko Corp.	3,000		213,649
NOK Corp.	1,600		46,417
Nomura Holdings Inc.	31,500		590,419
Nomura Real Estate Office Fund Inc.	3		23,750
Nomura Research Institute	300		37,120
NSK Ltd.	6,000		49,755
NTN Corp.	6,000		47,448
NTT Data Corp.	27		116,786
NTT DoCoMo Inc.	335		491,786
NTT Urban Development Corp.	4		31,178
Obayashi Corp.	15,000		103,154
OBIC Co. Ltd.	100		20,220
Odakyu Electric Railway Co.	9,000		58,039
Oji Paper Co. Ltd.	12,000		68,263
Oki Electric Industries Co. Ltd.	7,000		16,515
Okumura Corp.	3,000		16,673
Olympus Corp.	4,000		106,956
Omron Corp.	3,200		81,510
Onward Kashiyama Co. Ltd.	2,000		30,776
Oracle Corp.	500		23,375
Oriental Land Co. Ltd.	700		39,392
Orix Corp.	1,500		366,349
Osaka Gas Co. Ltd.	31,000		99,685
Pioneer Corp.	2,100		33,874
Promise Co. Ltd.	1,350		78,211
QP Corp.	1,200		11,398
Rakuten Inc.	125		74,275
Resona Holdings Inc.	86		271,286
Ricoh Co. Ltd.	12,000		235,407
Rinnai Corp.	400		10,591
Rohm Co. Ltd.	2,100		187,723
Ryohin Keikaku Co. Ltd.	300		24,589
Sanken Electric Co. Ltd.	2,000		25,446
Sankyo Co. Ltd.	700		44,469
Santen Pharmaceutical Co. Ltd.	1,000		23,768

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Sanwa Shutter Corp.	2,000	$	11,779
Sanyo Electric Co. Ltd. (a)	24,000		51,800
Sapporo Breweries	5,000		25,297
Sapporo Hokuyo Holdings Inc.	4		41,943
SBI Holdings Inc.	95		41,922
Secom Co. Ltd.	4,000		189,095
Sega Sammy Holdings Inc.	3,826		141,753
Seiko Epson Corp.	1,900		51,800
Seino Holdings Co. Ltd.	2,000		21,112
Sekisui Chemical	7,000		60,433
Sekisui House Ltd.	11,000		151,005
Seven & I Holdings Co. Ltd.	14,080		463,838
SFCG Co. Ltd.	80		18,175
Sharp Corp.	18,000		284,376
Shimachu Co. Ltd.	600		15,676
Shimamura Co. Ltd.	300		32,873
Shimano Inc.	1,200		36,700
Shimizu Corp.	9,000		50,411
Shin-Etsu Chemical Co. Ltd.	6,800		369,591
Shinko Securities Co. Ltd.	7,000		29,605
Shinsei Bank Ltd.	24,000		152,045
Shionogi & Co. Ltd.	5,000		89,130
Shiseido Co. Ltd.	7,000		137,321
Shizuoka Bank Ltd.	9,000		97,204
Showa Denko K.K.	14,000		62,268
Showa Shell Sekiyu K.K.	2,500		29,339
Skylark Co. Ltd.	1,200		26,162
SMC Corp.	1,100		155,619
Softbank Corp.	13,000		291,375
Sojitz Holdings Corp. (a)	2,900		11,454
Sompo Japan Insurance Inc.	16,000		223,698
Sony Corp.	17,700		781,064
Stanley Electric Co. Ltd.	2,200		45,369
SUMCO Corp.	200		11,395
Sumitomo Bakelite Co. Ltd.	3,000		28,154
Sumitomo Chemical Co. Ltd.	28,000		233,415
Sumitomo Corp.	19,000		250,533
Sumitomo Electric Industries	14,000		205,033
Sumitomo Heavy Industries	12,000		110,940
Sumitomo Metal Industries	73,000		301,084
Sumitomo Metal Mining Co. Ltd.	10,000		130,374
Sumitomo Mitsui Financial Group Inc.	104		1,099,616
Sumitomo Osaka Cement Co. Ltd.	5,000		15,379
Sumitomo Realty & Development Co. Ltd.	7,000		172,492
Sumitomo Rubber Industries	2,000		22,003
Sumitomo Trust & Banking	23,000		251,223
Surgua Bank Ltd.	3,000		40,423
Suzuken Co. Ltd.	880		34,911
T&D Holdings Inc.	3,900		315,231
Taiheiyo Cement Corp.	12,000		44,250
Taisei Corp.	14,000		51,136
Taisho Pharmaceutical Co. Ltd.	3,000		58,852

See accompanying notes to financial statements.

54

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Taiyo Nippon Sanso Corp.	4,000	$	31,737
Taiyo Yuden Co. Ltd.	2,000		25,393
Takara Holdings Inc.	3,000		17,538
Takashimaya Co. Ltd.	6,000		75,288
Takeda Pharmaceutical Co. Ltd.	15,700		976,791
Takefuji Corp.	1,660		98,927
Tanabe Seiyaku Co. Ltd.	3,000		36,910
TDK Corp.	2,000		152,045
Teijin Ltd.	15,000		95,159
Terumo Corp.	3,000		100,140
The Daimaru Inc.	3,000		39,741
THK Co. Ltd.	2,200		65,554
TIS Inc.	500		13,981
Tobu Railway Co. Ltd.	18,000		85,879
Toda Corp.	3,000		14,497
Toho Co. Ltd.	2,200		43,927
Tohoku Electric Power	6,500		142,564
Tokuyama Corp.	3,000		44,565
Tokyo Broadcasting System	700		16,852
Tokyo Electric Power Co.	19,900		549,493
Tokyo Electron Ltd.	3,000		209,717
Tokyo Gas Co. Ltd.	36,000		169,556
Tokyo Steel Mfg. Co. Ltd.	1,500		32,834
Tokyo Style Co. Ltd.	1,000		11,893
Tokyo Tatemono Co. Ltd.	4,000		42,852
Tokyu Corp.	16,000		93,394
Tokyu Land Corp.	5,000		38,929
TonenGeneral Sekiyu KK	5,000		51,381
Toppan Printing Co. Ltd.	10,000		113,072
Toray Industries Inc.	25,000		216,926
Toshiba Corp.	53,000		345,954
Tosoh Corp.	7,000		27,892
Toto Ltd.	4,000		38,238
Toyo Seikan Kaisha Ltd.	2,600		47,143
Toyo Suisan Kaisha Ltd.	2,000		31,318
Toyobo Co. Ltd.	10,000		28,312
Toyoda Gosei Co. Ltd.	900		18,049
Toyota Industries Corp.	3,900		154,037
Toyota Motor Corp.	50,000		2,617,092
Toyota Tsusho Corp.	4,000		95,945
Trend Micro Inc.	2,500		84,324
UBE Industries Ltd.	14,000		40,493
Uni-Charm Corp.	600		33,135
Uniden Corp.	1,000		11,045
UNY Co. Ltd.	3,000		44,224
Ushio Inc.	2,000		42,206
USS Co. Ltd.	350		23,121
Wacoal Corp.	2,000		28,032
West Japan Railway Co.	34		141,122
Yahoo! Japan Corp.	290		153,565
Yakult Honsha Co. Ltd.	2,000		54,352
Yamada Denki Co. Ltd.	1,500		152,962
Yamaha Corp.	2,700		50,725

	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Yamaha Motor Co. Ltd.	2,600	$	67,931
Yamato Holdings Co. Ltd.	7,000		124,170
Yamazaki Baking Co. Ltd.	2,000		17,913
Yaskawa Electric Corp.	3,000		34,865
Yokogawa Electric Corp.	3,000		42,756
Zeon Corp.	3,000		35,704
			47,512,412
Netherlands (3.19%)
ABN Amro Holdings NV	31,428		859,835
Aegon NV	25,081		428,908
Akzo Nobel NV	4,725		254,794
ASML Holding NV (a)	8,322		168,605
Buhrmann NV	1,538		22,308
Corio NV	662		41,177
DSM NV	2,675		111,403
Fugro NV	678		29,242
Getronics NV	1,757		18,900
Hagemeyer NV (a)	7,243		33,444
Heineken NV	4,021		170,492
ING Groep NV	32,337		1,271,012
Koninklijke Ahold NV (a)	26,493		230,085
Koninklijke KPN NV	32,498		365,370
Koninklijke Numico NV (a)	2,531		113,596
OCE NV	1,230		18,061
Philips Electronics NV	21,701		678,095
Qiagen NV (a)	2,043		27,568
Randstad Holding NV	699		40,983
Reed Elsevier NV	12,516		188,261
Rodamco Europe NV	974		95,490
SBM Offshore NV	2,616		69,731
TNT NV	7,276		260,392
Unilever NV-CVA	30,021		680,803
Vedior NV-CVA	3,023		63,489
Wereldhave NV	263		25,582
Wolters Kluwer - CVA	4,301		101,607
			6,369,233
New Zealand (0.13%)
Auckland International Airport	12,792		16,913
Contact Energy Ltd.	4,623		20,056
Fisher & Paykel Appliances Class H	2,401		6,744
Fisher & Paykel Healthcare Class C	6,712		17,626
Fletcher Building Ltd.	8,242		45,950
Kiwi Income Property Trust	6,353		5,303
Sky City Entertainment Group	5,805		19,100
Sky Network Television Ltd.	3,715		13,016
Telecom Corp. of New Zealand	33,160		81,626
The Warehouse Group Ltd.	2,278		6,884
Tower Ltd. (a)	4,553		9,543
Vector Ltd.	3,861		5,740

See accompanying notes to financial statements.

55

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
New Zealand (Cont.)
Waste Management Ltd. (c)	2,027	$	10,646
			259,147
Norway (0.84%)
Acergy SA (a)	4,481		68,206
Aker ASA	300		28,145
Det Norsk Oljeselskap (DNO) ASA (a)	5,800		11,647
DNB NOR ASA	12,228		151,747
Frontline Ltd.	839		31,337
Norske Hydro ASA	12,250		324,704
Norske Skogindustrier ASA	2,662		39,022
Orkla AS Class A	3,426		158,782
Petrojarl ASA (a)	1,077		7,094
Petroleum Geo-Services (a)	1,077		60,728
Prosafe ASA	533		32,537
Schibsted ASA	662		17,654
SeaDrill Ltd. (a)	4,650		61,254
Statoil ASA	11,791		334,320
Stolt-Nielsen SA	507		11,891
Storebrand ASA	5,608		57,883
Tandberg ASA	1,880		15,554
Tandberg Television ASA (a)	819		13,584
Telenor ASA	14,015		169,421
TGS Nopec Geophysical Co. ASA (a)	800		14,137
Tomra Systems ASA	3,082		25,003
Yara International ASA	3,074		40,987
			1,675,637
Portugal (0.31%)
Banco BPI SA	4,836		36,742
Banco Comercial Portugues-R	38,353		108,903
Banco Espirito Santo	3,400		45,836
Brisa-Auto Estradas de Portugal SA	4,821		50,317
Cimpor-Cimentos De Portugal	2,953		19,678
Energias De Portugal SA	36,279		142,456
Jeronimo Martins	651		11,116
Portugal Telecom SGPS SA	13,518		163,220
PT Multimedia Servicos	1,318		15,256
Sonae Industria SGPS SA New (a)	809		6,964
Sonae SGPS SA	11,939		17,867
			618,355
Singapore (0.81%)
Allgreen Properties Ltd.	6,000		4,776
Ascendas Real Estate Investment Trust	18,900		22,926
Capitaland Ltd.	20,000		56,859
Capitamall Trust	7,000		9,375
Chartered Semiconductor Mfg. Ltd. (a)	18,000		15,352
City Developments Ltd.	10,000		59,071
Comfortdelgro Corp. Ltd.	30,000		28,998
Cosco Corp. Singapore Ltd.	8,000		6,368
Creative Technology Ltd.	650		3,614

	Shares	Value
Common Stocks (Cont.)
Singapore (Cont.)
DBS Group Holdings Ltd.	19,652	$	224,722
Fraser and Neave Ltd.	13,800		34,874
Haw Par Corp. Ltd.	2,792		10,054
Jardine Cycle & Carriage Ltd.	2,004		12,661
Keppel Corp. Ltd.	11,000		102,157
Keppel Land Ltd.	6,000		15,314
Neptune Orient Lines Ltd.	8,000		9,148
Noble Group Ltd.	12,000		8,264
Olam International Ltd.	9,000		8,188
Oversea-Chinese Banking Corp.	44,840		186,969
Parkway Holdings Ltd.	10,000		15,605
Sembcorp Industries Ltd.	12,220		25,014
Sembcorp Marine Ltd.	12,000		22,744
Singapore Airlines Ltd.	10,000		80,235
Singapore Exchange Ltd.	13,000		28,910
Singapore Land Ltd.	2,000		7,960
Singapore Petroleum Co. Ltd.	2,000		6,381
Singapore Post Ltd.	15,000		10,235
Singapore Press Holdings Ltd.	26,000		67,675
Singapore Technologies Engineering	17,000		31,039
Singapore Telecommunications	131,000		210,216
SMRT Corp. Ltd.	17,000		12,029
Stats Chippac Ltd. (a)	16,000		10,058
Suntec REIT	10,000		7,834
United Overseas Bank	20,392		200,976
United Overseas Land Ltd.	5,639		10,189
Venture Corp. Ltd.	4,000		26,787
Want Want Holdings Ltd.	4,000		5,400
Wing Tai Holdings Ltd.	8,000		7,177
			1,606,154
Spain (3.71%)
Abertis Infraestructuras SA	3,528		82,624
AC. Acerinox	2,997		51,980
Acciona SA	598		92,894
ACS Actividades de Cons Y Serv	4,347		181,313
Aguas De Barcelona	8		215
Aguas De Barcelona Class A	818		22,735
Altadis SA	4,910		232,114
Antena 3 de Television SA	1,176		26,864
Banco Bilbao Vizcaya Argentaria SA	59,251		1,218,623
Banco Popular Espanol	13,485		200,939
Banco Santander Central Hispano SA	103,486		1,511,594
Cintra Concesiones De Infrae	2,827		36,954
Corporacion Mapfre SA	1,686		31,118
Ebro Puleva SA	1,129		23,177
Endesa SA	16,369		569,271
Fomento De Construct Y Contra	661		50,262
Gamesa Corp Technologica	1,873		40,151
Gas Natural SDG SA	2,708		82,678
Grupo Ferrovial	945		72,159
Iberdrola SA	14,045		483,777

See accompanying notes to financial statements.

56

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Spain (Cont.)
Iberia (Lineas Aer De Espana)	5,885	$	15,205
Inditex	4,052		170,926
Indra Sistemas SA	1,873		36,773
Inmobiliaria Colonial SA	419		33,281
Metrovacesa SA	1,020		92,107
NH Hoteles SA	1,022		18,327
Promotora De Infom SA	1,117		17,930
Repsol YPF SA	16,497		472,440
Sacyr Vallehermoso SA New (a) (c)	89		2,974
Sacyr Vallehermoso SA	2,428		81,148
Sogecable (a)	549		15,792
Telefonica Publicidad e Information SA	2,123		23,000
Telefonica SA	77,977		1,298,569
Union Fenosa SA	1,990		77,021
Zeltia SA	3,095		22,760
			7,389,695
Sweden (2.28%)
Alfa Laval AB	1,527		45,725
ASSA Abloy AB Class B	4,542		76,365
Atlas Copco AB Class A	6,506		180,804
Atlas Copco AB Class B	3,221		83,694
Axfood AB	402		11,563
Billerud Aktiebolag	843		11,186
Boliden AB	3,600		66,280
Capio AB (a)	1,242		22,262
Castellum AB	3,164		32,424
D. Carnegie & Co. AB	700		12,839
Electrolux AB Class B	5,534		79,972
Elekta AB Class B	1,455		24,665
Eniro AB	2,294		24,146
Ericsson LM Class B	261,388		864,423
Fabege AB	1,086		20,221
Getinge AB Class B	3,217		54,758
Hennes & Mauritz AB Class B	8,448		327,508
Hoganas AB Class B	301		7,486
Holmen AB Class B	780		31,539
Husqvarna AB Class B (a)	5,534		66,707
Lundin Petroleum AB (a)	2,310		28,005
Modern Times Group Red Shr (a) (c)	727		2,489
Modern Times Group MTG AB Class B (a)	727		38,235
Nordea Bank AB	37,542		448,621
OMX AB (a)	974		17,459
Oriflame Cosmetics SA	400		13,311
Oriflame Cosmetics SA Rights	400		431
Sandvik AB (a)	18,290		212,844
SAS AB (a)	1,227		12,915
Scania AB Class B	1,444		65,611
Securitas AB Class B	6,632		127,171
Skandinaviska Enskilda Bank Class A	8,653		206,203
Skanska AB Class B	5,698		87,884

	Shares	Value
Common Stocks (Cont.)
Sweden (Cont.)
SKF AB Class B	6,879	$	108,489
SSAB Svenskt Stal AB Series A	2,550		50,846
SSAB Svenskt Stal AB Series B	1,641		31,011
Svenska Cellulosa AB Class B	3,433		141,914
Svenska Handelsbanken	9,115		234,944
Swedish Match AB	7,242		116,729
Tele2 AB Class B	4,780		48,320
Telelogic AB (a)	3,317		7,374
TeliaSonera AB	34,577		196,505
Trelleborg AB Class B	1,248		21,330
Volvo AB Class A	1,460		70,396
Volvo AB Class B	4,070		200,199
Wihlborgs Fastigheter AB	434		7,478
WM Data AB	5,077		15,661
			4,556,942
Switzerland (6.61%)
ABB Ltd.	36,566		474,418
Adecco SA	2,755		162,535
Ciba Specialty Chemicals AG	1,006		55,944
Clariant AG (a)	3,593		50,868
Compagnie Financiere Richemont AG Class A	8,920		407,605
Credit Suisse Group	20,621		1,150,940
Geberit AG Reg	56		64,614
Givaudan	100		78,539
Holcim Ltd.	3,184		243,444
Kudelski SA Bearer	497		11,984
Kuehne & Nagel International AG	442		32,100
Kuoni Reisen Holding (a)	38		21,271
Logitech International SA (a)	1,154		44,446
Lonza Group AG	532		36,400
Micronas Semiconductor (a)	502		13,518
Nestle SA	7,017		2,198,717
Nobel Biocare Holding AG (a)	353		83,605
Novartis AG	40,700		2,198,564
Phonak Holding AG	687		42,857
PSP Swiss Property AG (a)	541		27,900
Rieter Holding AG	62		23,778
Roche Holding AG	11,971		1,974,165
Schindler Holding AG	750		38,831
Serono SA Class B	93		64,087
SGS SA	62		58,686
SIG Holding AG (a)	93		20,414
Straumann Holding AG	119		30,272
Sulzer AG	51		38,120
Swiss Reinsurance	6,011		419,127
Swisscom AG	349		114,625
Syngenta AG (a)	2,036		269,971
Synthes Inc. (a)	675		81,242
The Swatch Group AG	1,009		35,156
The Swatch Group AG Class B	503		84,757

See accompanying notes to financial statements.

57

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
Switzerland (Cont.)
UBS AG	17,898	$	1,957,023
Unaxis Holding AG (a)	97		26,911
Zurich Financial Services	2,538		555,026
			13,192,460
United Kingdom (23.41%)
3I Group PLC	10,312		171,907
Aegis Group PLC	15,694		37,800
Aggreko PLC	4,131		21,943
Alliance Unichem PLC	3,864		73,025
AMEC PLC	4,853		28,560
Amvescap PLC	12,875		117,911
Anglo American PLC	24,682		1,012,339
ARM Holdings PLC	20,557		43,051
Arriva PLC	2,835		31,271
Associated British Ports Holdings PLC	5,496		91,774
AstraZeneca PLC	27,204		1,641,976
Aviva PLC	41,553		588,209
BAE Systems PLC	57,042		390,020
Balfour Beatty PLC	9,541		60,604
Barclays PLC	110,792		1,258,966
Barratt Developments PLC	4,701		82,410
BBA Group PLC	6,899		33,712
Bellway PLC	1,627		34,900
BG Group PLC	61,922		827,307
BHP Billiton PLC	43,032		834,739
BOC Group PLC	8,782		256,749
Boots Group PLC	8,293		118,006
Bovis Homes Group PLC	1,750		25,986
BP PLC	356,053		4,151,295
Brambles Industries PLC	13,242		105,295
British Airways PLC (a)	11,408		72,305
British American Tobacco PLC	27,639		696,119
British Land Co. PLC	9,173		214,239
British Sky Broadcasting PLC	21,080		223,557
Brixton PLC	3,680		32,613
BT Group PLC	148,167		655,522
Bunzl PLC	5,997		68,479
Burberry Group PLC	6,378		50,715
Cadbury Schweppes PLC	33,912		327,033
Capita Group PLC	11,833		100,984
Carnival PLC	3,216		131,013
Cattles PLC	4,859		29,584
Centrica PLC	59,665		314,724
Close Brothers Group PLC	1,821		30,677
Cobham PLC	16,230		50,121
Collins Stewart Tullett	3,554		49,882
Compass Group PLC	38,857		188,438
Cookson Group PLC	2,731		26,526
Corus Group PLC	13,688		115,549
CSR PLC (a)	1,871		43,594
Daily Mail & General NV	4,634		52,615

	Shares	Value
Common Stocks (Cont.)
United Kingdom (Cont.)
De La Rue PLC	2,213	$	22,364
Diageo PLC	49,895		839,158
DSG International PLC	33,300		117,615
Electrocomponents PLC	6,845		29,334
EMAP PLC	3,934		61,945
EMI Group PLC	11,954		67,145
Enterprise Inns	5,892		103,289
First Choice Holidays PLC	7,204		30,473
FirstGroup PLC	5,780		50,129
FKI PLC	9,705		19,203
Friends Provident PLC	27,585		91,181
Gallaher Group PLC	11,573		180,837
GKN PLC	11,565		58,384
GlaxoSmithKline PLC	100,535		2,809,090
Great Portland Estates	2,365		21,867
Group 4 Securicor PLC	22,225		68,943
GUS PLC	15,159		270,789
Hammerson PLC	5,537		121,230
Hanson PLC	11,913		144,624
Hays PLC	30,718		76,685
HBOS PLC	65,069		1,131,061
HMV Group PLC	6,211		19,755
HSBC Holdings PLC	195,676		3,442,946
ICAP PLC	8,629		79,465
IMI PLC	5,051		46,632
Imperial Chemical Industries PLC	21,416		143,757
Imperial Tobacco Group PLC	12,687		391,561
Inchcape PLC	7,447		65,068
InterContinental Hotels Group PLC	7,224		126,306
International Power PLC	26,909		141,568
Intertek Group PLC	2,410		31,196
Invensys PLC (a)	76,382		27,190
Invensys PLC Rights (a) (c)	30,552		2,288
Investec PLC	885		42,223
ITV PLC	77,395		154,568
Johnson Matthey PLC	3,433		84,242
Kelda Group PLC	5,624		79,611
Kesa Electricals PLC	7,775		41,551
Kingfisher PLC	43,662		192,564
Ladbrokes PLC	10,011		75,438
Land Securities Group PLC	8,136		269,909
Legal and General Group PLC	112,660		267,184
Liberty International PLC	3,781		74,463
Lloyds TSB Group PLC	97,619		959,448
LogicaCMG PLC	17,725		57,196
London Stock Exchange Group	3,342		70,329
Man Group PLC	5,152		242,750
Marks & Spencer Group PLC	28,749		312,065
Meggitt PLC	7,332		43,285
MFI Furniture Group PLC	9,514		19,001
Misys PLC	7,550		30,017
Mitchells & Butler	9,973		95,069

See accompanying notes to financial statements.

58

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares	Value
Common Stocks (Cont.)
United Kingdom (Cont.)
National Express Group PLC	1,974	$	32,415
National Grid PLC	47,945		518,660
Next PLC	4,666		140,815
Old Mutual PLC	93,851		283,319
Pearson PLC	14,798		201,539
Persimmon PLC	5,386		122,904
Premier Farnell PLC	5,332		17,477
Provident Financial PLC	3,617		41,135
Prudential PLC	42,817		483,773
Punch Taverns PLC	3,930		63,589
Rank Group PLC	9,223		34,025
Reckitt Benckiser PLC	10,935		408,464
Reed Elsevier PLC	22,444		226,609
Rentokil Intial PLC	36,225		104,500
Resolution PLC	2,834		35,112
Reuters Group PLC	25,011		178,064
Rexam PLC	8,359		81,615
Rio Tinto PLC	18,608		983,779
Rolls Royce Group (a)	32,284		247,156
Royal & Sun Alliance Insurance Group PLC	46,666		116,066
Royal Bank of Scotland Group	55,069		1,810,601
Royal Dutch Shell PLC Class A	67,802		2,281,906
Royal Dutch Shell PLC Class B	46,966		1,642,325
Sabmiller PLC	16,095		290,039
Sage Group PLC	21,039		89,774
Sainsbury	25,232		156,074
Schroders PLC	1,750		32,685
Scottish & Newcastle PLC	11,690		110,193
Scottish & Southern Energy PLC	15,422		328,246
Scottish Power PLC	25,539		275,332
Serco Group PLC	6,684		39,552
Severn Trent PLC	5,692		123,150
Signet Group PLC	37,383		66,364
Slough Estates PLC	5,900		66,716
Smith & Nephew PLC	16,972		130,717
Smiths Group PLC	9,805		161,551
Sportingbet PLC	4,611		33,552
SSL International PLC	2,302		12,654
Stagecoach Group	11,851		25,257
Tate & Lyle PLC	6,937		77,673
Taylor Woodrow PLC	10,174		62,838
Tesco PLC	137,222		847,528
The Berkeley Group Holdings PLC (a)	1,551		34,790
The Davis Service Group PLC	2,333		20,352
TI Automotive Ltd. (a) (c)	7,024		—
Tomkins PLC	15,729		83,695
Travis Perkins PLC	1,646		46,052
Trinity Mirror PLC	4,523		40,816
Unilever PLC	20,961		471,335
United Business Media PLC	4,343		52,001

	Shares	Value
Common Stocks (Cont.)
United Kingdom (Cont.)
United Utilities PLC	15,487	$	183,716
Vodafone Group PLC	1,044,573		2,226,197
Whitbread PLC	4,356		93,928
William Hill PLC	5,644		65,387
Wimpey (George) PLC	5,627		47,319
Wolseley PLC	10,311		227,471
WPP Group PLC	20,752		251,162
Xstrata PLC	8,124		307,969
Yell Group PLC	11,405		107,876
			46,703,844
Total Common Stocks
(cost $151,016,176)			192,918,727
Preferred Stocks (0.21%)
Germany (0.19%)
Henkel KGaA	879		100,466
Porsche AG PFD	117		113,100
ProSiebenSat.1 Media AG	1,119		27,952
RWE AG-Non Voting PFD	640		48,207
Volkswagen AG PFD	1,793		90,587
			380,312
Italy (0.02%)
Compagnia Assicuratrice Unipol SpA	10,202		29,686
Total Preferred Stocks
(cost $253,517)			409,998

See accompanying notes to financial statements.

59

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Shares or principal amount		Value
Exchange-Traded Funds (0.80%)
IShares MSCI EAFE Index Fund		24,551	$	1,600,970
Total Exchange-Traded Funds
(cost $1,577,449)				1,600,970
Repurchase Agreement (0.89%)
Investors Bank & Trust Repurchase Agreement, (d) 3.750%, to be repurchased at $1,771,663 on 07/03/2006	$	1,771,110		1,771,110
Total Repurchase Agreement
(cost $1,771,110)				1,771,110
TOTAL INVESTMENTS (98.61%)
(cost $154,618,252)				196,700,805
CASH (e) AND OTHER ASSETS, NET OF LIABILITIES (1.39%)				2,774,729
NET ASSETS (100.0%)			$	199,475,534

(a)   Non-income producing security.

(b)   These shares may only be resold to qualified institutional buyers in transactions exempt from registration.

(c)   Security valued at fair value.

(d)   Repurchase agreement is fully collateralized by Government Agency Securities with a coupon rate of 4.75%, a maturity date of August 20, 2023, and a market value of $1,859,665 as of June 30, 2006.

(e)   At June 30, 2006, cash has been pledged to cover, in whole or in part, initial margin requirements for open future contracts.

Approximately 32.08% of the investment securities are denominated in the Euro, followed by 24.16% in the Japanese Yen, 23.74% in the British Pound, 6.71% in the Swiss Franc, 5.17% in the Australian Dollar, 2.32% in the Swedish Krone and 1.72% in the United States Dollar. The remaining investment securities representing 4.10% of total investments, are denominated in five currencies, each of which represents less than 1.61% of total investments.

INTERNATIONAL INDEX FUND SECTOR CLASSIFICATIONS

Sector	Value		%
Financials	$	56,870,502	28.51	%
Consumer Discretionary		22,761,216	11.41
Industrials		20,696,614	10.38
Materials		16,495,384	8.27
Energy		15,700,314	7.87
Health Care		14,994,574	7.52
Consumer Staples		14,760,724	7.40
Information Technology		11,020,144	5.52
Telecommunication Services		10,049,811	5.04
Utilities		9,979,442	5.00
Total Stocks		193,328,725	96.92
Exchange-Traded Fund		1,600,970	0.80
Repurchase Agreement		1,771,110	0.89
Cash and Other Assets, Net of Liabilities		2,774,729	1.39
Net Assets	$	199,475,534	100.00	%

See accompanying notes to financial statements.

60

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Shares	Value
Registered Investment Companies (99.67%)
State Farm Mutual Fund Trust Bond Fund Institutional Shares (38.07%) (a)	7,080,886	$	71,375,333
State Farm Mutual Fund Trust Equity Fund Institutional Shares (61.60%) (a)	13,849,443		115,504,354
Total Registered Investment Companies
(cost $182,280,540)			186,879,687
TOTAL INVESTMENTS (99.67%)
(cost $182,280,540)			186,879,687
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.33%)			623,784
NET ASSETS (100.00%)		$	187,503,471

(a)   The Equity and Bond Fund’s investment adviser is an affiliate of the issuer.

See accompanying notes to financial statements.

61

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Principal amount		Value
Corporate Bonds (47.12%)
Aerospace/Defense (0.33%)
General Dynamics Corp.
4.250%, 05/15/2013	$	1,000,000	$	913,914
Agriculture, Foods, & Beverage (3.11%)
Coca-Cola Enterprises Inc.
2.500%, 09/15/2006		1,000,000		993,694
Bottling Group LLC
2.450%, 10/16/2006		500,000		495,784
General Mills Inc.
2.625%, 10/24/2006		500,000		495,550
Kellogg Co.
2.875%, 06/01/2008		500,000		475,043
Sara Lee Corp.
2.750%, 06/15/2008		1,000,000		942,736
Kraft Foods Inc.
4.125%, 11/12/2009		1,000,000		950,485
WM Wrigley Jr. Co.
4.300%, 07/15/2010		1,000,000		951,640
ConAgra Inc.
7.875%, 09/15/2010		333,000		356,302
Kellogg Co.
6.600%, 04/01/2011		500,000		516,509
PepsiAmericas Inc.
5.625%, 05/31/2011		500,000		493,400
General Mills Inc.
6.000%, 02/15/2012		500,000		502,943
Bottling Group LLC
4.625%, 11/15/2012		500,000		472,204
Coca-Cola Bottling Co.
5.300%, 04/01/2015		500,000		468,662
PepsiAmericas Inc.
5.000%, 05/15/2017		500,000		457,497
				8,572,449
Automotive (1.92%)
General Motors Acceptance Corp.
6.125%, 02/01/2007		1,000,000		995,880
6.150%, 04/05/2007		500,000		497,076
Ford Motor Credit Co.
4.950%, 01/15/2008		1,000,000		941,359
Toyota Motor Credit Corp.
2.875%, 08/01/2008		1,000,000		947,992
Ford Motor Credit Co.
5.625%, 10/01/2008		500,000		462,532
Goodyear Tire & Rubber Co.
7.857%, 08/15/2011		500,000		463,750
General Motors Acceptance Corp.
6.875%, 09/15/2011		500,000		477,080
Daimler Chrysler North America
6.500%, 11/15/2013		500,000		499,728
				5,285,397

	Principal amount		Value
Corporate Bonds (Cont.)
Banks (3.83%)
JPMorgan Chase & Co.
3.625%, 05/01/2008	$	500,000	$	481,974
Bank One Corp.
2.625%, 06/30/2008		1,000,000		943,985
Bank of America Corp.
3.250%, 08/15/2008		1,000,000		953,693
Bank of New York
5.050%, 03/03/2009		500,000		491,003
Wells Fargo & Co.
4.200%, 01/15/2010		1,000,000		955,620
Bank of America Corp.
4.250%, 10/01/2010		1,000,000		948,330
Wells Fargo & Co.
4.875%, 01/12/2011		500,000		484,433
Bank of New York
4.950%, 01/14/2011		1,000,000		972,465
Wachovia Corp.
5.350%, 03/15/2011		500,000		492,894
Charter One Bank FSB
5.500%, 04/26/2011		1,000,000		990,203
US Bank NA
4.950%, 10/30/2014		500,000		468,361
Fifth Third Bank
4.750%, 02/01/2015		500,000		457,733
Suntrust Banks Inc.
5.000%, 09/01/2015		500,000		469,617
Wachovia Bank NA
5.600%, 03/15/2016		500,000		484,798
Wells Fargo Bank NA
5.750%, 05/16/2016		500,000		491,794
JP Morgan Chase
5.875%, 06/13/2016		500,000		493,162
				10,580,065
Building Materials & Construction (1.19%)
Cooper Industries Ltd.
5.250%, 11/15/2012		1,000,000		967,024
Hanson Australia Funding
5.250%, 03/15/2013		500,000		472,712
Leggett & Platt Inc.
4.700%, 04/01/2013		500,000		463,834
CRH America Inc.
5.300%, 10/15/2013		1,000,000		946,947
Masco Corp.
4.800%, 06/15/2015		500,000		445,780
				3,296,297
Chemicals (1.07%)
Air Products & Chemicals Inc.
4.125%, 12/01/2010		1,000,000		939,013
E.I. du Pont de Nemours and Co.
4.125%, 03/06/2013		500,000		451,792

See accompanying notes to financial statements.

62

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Chemicals (Cont.)
E.I. du Pont de Nemours and Co.
4.875%, 04/30/2014	$	500,000	$	467,736
PPG Industries Inc.
7.400%, 08/15/2019		500,000		544,504
The Dow Chemical Co.
7.375%, 11/01/2029		500,000		555,321
				2,958,366
Commercial Service/Supply (1.19%)
RR Donnelley & Sons Co.
4.950%, 05/15/2010		500,000		480,249
First Data Corp.
4.500%, 06/15/2010		500,000		477,696
Dun & Bradstreet Corp.
5.500%, 03/15/2011		500,000		491,658
Pitney Bowes Inc.
4.625%, 10/01/2012		500,000		469,203
RR Donnelley & Sons Co.
4.950%, 04/01/2014		1,000,000		900,331
Pitney Bowes Inc.
4.875%, 08/15/2014		500,000		466,094
				3,285,231
Computers (0.17%)
International Business Machines Corp.
4.250%, 09/15/2009		500,000		481,517
Consumer & Marketing (2.45%)
The Gillette Co.
2.500%, 06/01/2008		500,000		472,480
The Procter & Gamble Co.
3.500%, 12/15/2008		500,000		476,863
Clorox Co.
4.200%, 01/15/2010		500,000		475,746
Newell Rubbermaid Inc.
4.000%, 05/01/2010		500,000		467,946
Avon Products Inc.
5.125%, 01/15/2011		500,000		485,760
Whirlpool Corp.
6.125%, 06/15/2011		1,000,000		994,307
Reed Elsevier Capital
4.625%, 06/15/2012		500,000		463,191
Avery Dennison Corp.
4.875%, 01/15/2013		500,000		470,477
The Procter & Gamble Co.
4.950%, 08/15/2014		1,000,000		951,081
Clorox Co.
5.000%, 01/15/2015		500,000		468,270
Kimberly-Clark Corp.
6.250%, 07/15/2018		1,000,000		1,026,351
				6,752,472

	Principal amount		Value
Corporate Bonds (Cont.)
Electronic/Electrical Mfg. (0.98%)
Raytheon Co.
6.550%, 03/15/2010	$	500,000	$	511,695
Emerson Electric Co.
7.125%, 08/15/2010		315,000		332,270
General Electric Co.
5.000%, 02/01/2013		500,000		478,919
Emerson Electric Co.
4.500%, 05/01/2013		500,000		466,003
4.750%, 10/15/2015		1,000,000		922,703
				2,711,590
Financial Services (3.65%)
Caterpillar Financial Services Corp.
2.700%, 07/15/2008		500,000		471,666
Caterpillar Financial Services Corp.
4.500%, 06/15/2009		500,000		484,936
Household Finance Corp.
4.125%, 11/16/2009		1,000,000		951,766
Citigroup Inc.
4.125%, 02/22/2010		1,000,000		950,737
SLM Corp.
4.500%, 07/26/2010		1,000,000		953,384
John Deere Capital Corp.
4.875%, 10/15/2010		1,000,000		968,723
General Electric Capital Corp.
4.875%, 10/21/2010		1,000,000		971,328
American Express Credit
5.000%, 12/02/2010		1,000,000		974,997
Household Finance Corp.
5.250%, 01/14/2011		500,000		488,340
SLM Corp.
5.450%, 04/25/2011		500,000		491,349
Citigroup Inc.
5.125%, 05/05/2014		500,000		476,007
Goldman Sachs Group Inc.
5.500%, 11/15/2014		500,000		479,867
General Electric Capital Corp.
4.875%, 03/04/2015		500,000		468,458
Verizon Global Funding Corp.
4.900%, 09/15/2015		500,000		452,050
Citigroup Inc.
5.300%, 01/07/2016		500,000		476,240
				10,059,848
Forest Products & Paper (0.75%)
International Paper Co.
6.750%, 09/01/2011		500,000		516,621
MeadWestvaco Corp.
6.850%, 04/01/2012		500,000		508,859

See accompanying notes to financial statements.

63

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Forest Products & Paper (Cont.)
International Paper Co.
5.250%, 04/01/2016	$	500,000	$	454,031
Willamette Industries Inc.
9.000%, 10/01/2021		500,000		582,908
				2,062,419
Health Care (5.66%)
Abbott Laboratories
6.400%, 12/01/2006		500,000		501,364
Bristol-Myers Squibb Co.
4.000%, 08/15/2008		1,000,000		967,540
Abbott Laboratories
3.500%, 02/17/2009		500,000		475,228
Hillenbrand Industries
4.500%, 06/15/2009		1,000,000		966,429
Amgen Inc.
4.000%, 11/18/2009		500,000		475,278
Genentech Inc.
4.400%, 07/15/2010		1,000,000		955,194
Medtronic Inc.
4.375%, 09/15/2010		500,000		476,284
Abbott Laboratories
5.600%, 05/15/2011		750,000		745,849
Merck & Co. Inc.
4.375%, 02/15/2013		500,000		458,325
Wyeth
5.500%, 03/15/2013		500,000		486,763
Becton Dickinson & Co.
4.550%, 04/15/2013		500,000		465,994
Johnson & Johnson
3.800%, 05/15/2013		1,000,000		906,172
Schering-Plough Corp.
5.550%, 12/01/2013		1,000,000		969,352
Pfizer Inc.
4.500%, 02/15/2014		1,000,000		936,526
GlaxoSmithKline
4.375%, 04/15/2014		1,000,000		914,342
AstraZeneca PLC SP
5.400%, 06/01/2014		1,000,000		978,642
Boston Scientific Corp.
5.450%, 06/15/2014		1,000,000		930,968
Amgen Inc.
4.850%, 11/18/2014		500,000		465,062
Merck & Co. Inc.
4.750%, 03/01/2015		500,000		457,828
Baxter International Inc.
4.625%, 03/15/2015		1,000,000		899,668
Medtronic Inc.
4.750%, 09/15/2015		500,000		456,951
Abbott Laboratories
5.875%, 05/15/2016		750,000		743,575
				15,633,334

	Principal amount		Value
Corporate Bonds (Cont.)
Machinery & Manufacturing (3.22%)
United Technologies Corp.
4.375%, 05/01/2010	$	500,000	$	478,719
Deere & Co.
7.850%, 05/15/2010		500,000		535,773
Johnson Controls Inc.
5.250%, 01/15/2011		1,000,000		974,495
Bemis Co. Inc.
4.875%, 04/01/2012		500,000		474,098
Goodrich Corp.
7.625%, 12/15/2012		500,000		546,502
Parker Hannifin Corp.
4.875%, 02/15/2013		500,000		474,660
ConocoPhillips Australia Funding Co.
5.500%, 04/15/2013		500,000		492,853
Johnson Controls Inc.
4.875%, 09/15/2013		750,000		701,057
United Technologies Corp.
4.875%, 05/01/2015		1,000,000		933,374
Ingersoll-Rand Co. Ltd.
4.750%, 05/15/2015		1,000,000		921,467
Thermo Electron Corp.
5.000%, 06/01/2015		500,000		462,940
Dover Corp.
4.875%, 10/15/2015		1,000,000		924,798
Honeywell International Inc.
5.400%, 03/15/2016		1,000,000		964,825
				8,885,561
Media & Broadcasting (1.39%)
The Walt Disney Co.
5.500%, 12/29/2006		500,000		500,036
Knight-Ridder Inc.
9.875%, 04/15/2009		500,000		542,272
New York Times Co.
4.500%, 03/15/2010		500,000		477,146
Gannett Co.
5.750%, 06/01/2011		1,000,000		984,443
Knight-Ridder Inc.
4.625%, 11/01/2014		1,000,000		864,010
New York Times Co.
5.000%, 03/15/2015		500,000		455,706
				3,823,613
Mining & Metals (1.64%)
Rio Tinto Finance USA Ltd.
2.625%, 09/30/2008		1,000,000		936,873
Alcoa Inc.
7.375%, 08/01/2010		500,000		528,523
BHP Billiton Finance
5.000%, 12/15/2010		500,000		486,303
Alcoa Inc.
6.500%, 06/01/2011		250,000		257,465

See accompanying notes to financial statements.

64

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Mining & Metals (Cont.)
BHP Billiton Finance
4.800%, 04/15/2013	$	500,000	$	469,688
Barrick Gold Finance Inc.
4.875%, 11/15/2014		1,000,000		923,558
Alcan Inc.
5.000%, 06/01/2015		1,000,000		923,936
				4,526,346
Oil & Gas (1.63%)
BP Capital Markets PLC
2.625%, 03/15/2007		1,000,000		980,149
ChevronTexaco Capital Co.
3.500%, 09/17/2007		500,000		487,786
Phillips Petroleum Co.
8.750%, 05/25/2010		500,000		552,586
Shell International Finance
5.625%, 06/27/2011		1,500,000		1,500,294
Marathon Oil Corp.
6.125%, 03/15/2012		500,000		504,529
National Fuel Gas Co.
5.250%, 03/01/2013		500,000		478,846
				4,504,190
Retailers (3.44%)
Safeway Inc.
4.125%, 11/01/2008		1,000,000		960,343
May Department Stores Co.
4.800%, 07/15/2009		1,000,000		972,510
CVS Corp.
4.000%, 09/15/2009		1,000,000		946,304
Home Depot Inc.
3.750%, 09/15/2009		1,000,000		948,312
Wal-Mart Stores Inc.
4.125%, 07/01/2010		1,000,000		946,937
Home Depot Inc.
4.625%, 08/15/2010		500,000		481,591
Safeway Inc.
4.950%, 08/16/2010		500,000		477,348
Albertson’s Inc.
7.500%, 02/15/2011		500,000		494,035
Home Depot Inc.
5.200%, 03/01/2011		500,000		490,881
Wal-Mart Stores Inc.
4.550%, 05/01/2013		1,000,000		934,258
McDonald’s Corp.
4.125%, 06/01/2013		1,000,000		902,812
Lowe’s Companies Inc.
5.000%, 10/15/2015		1,000,000		940,209
				9,495,540

	Principal amount		Value
Corporate Bonds (Cont.)
Telecom & Telecom Equipment (2.69%)
Cingular Wireless
5.625%, 12/15/2006	$	500,000	$	500,008
GTE North Inc.
5.650%, 11/15/2008		500,000		494,965
Vodafone Group PLC
7.750%, 02/15/2010		500,000		528,463
Deutsche Telekom International Finance
8.000%, 06/15/2010		500,000		536,785
Verizon Communications
5.350%, 02/15/2011		1,000,000		974,098
Cisco Systems Inc.
5.250%, 02/22/2011		1,000,000		981,452
Vodafone Group PLC
5.500%, 06/15/2011		500,000		488,383
Telstra Corp. Ltd.
6.375%, 04/01/2012		500,000		506,777
Alltel Corp.
7.000%, 07/01/2012		500,000		527,678
BellSouth Corp.
5.200%, 09/15/2014		1,000,000		930,408
SBC Communications Inc.
5.625%, 06/15/2016		1,000,000		947,885
				7,416,902
Utilities & Energy (6.81%)
Alabama Power Co.
7.125%, 10/01/2007		300,000		304,985
3.125%, 05/01/2008		500,000		477,994
Pacificorp
4.300%, 09/15/2008		1,000,000		972,843
Duke Energy Corp.
4.500%, 04/01/2010		500,000		479,214
Progress Energy Florida
4.500%, 06/01/2010		500,000		478,233
Commonwealth Edison
4.740%, 08/15/2010		500,000		480,313
Puget Sound Energy Inc.
7.690%, 02/01/2011		500,000		534,201
Reliant Energy
7.750%, 02/15/2011		500,000		534,522
Appalachian Power Co.
5.550%, 04/01/2011		500,000		491,597
Oncor Electric Delivery
6.375%, 05/01/2012		500,000		504,674
Tampa Electric Co.
6.875%, 06/15/2012		500,000		523,373
Northern States Power Co.
8.000%, 08/28/2012		500,000		555,101
Southern California Gas
4.800%, 10/01/2012		500,000		474,379
Georgia Power
5.125%, 11/15/2012		200,000		193,313

See accompanying notes to financial statements.

65

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
MidAmerican Energy Co.
5.125%, 01/15/2013	$	1,000,000	$	960,651
Florida Power Corp.
4.800%, 03/01/2013		500,000		469,822
Peoples Gas Lt.
4.625%, 05/01/2013		500,000		464,321
Wisconsin Electric Power
4.500%, 05/15/2013		1,000,000		930,499
Vectren Utility Holdings
5.250%, 08/01/2013		500,000		472,053
PSI Energy
5.000%, 09/15/2013		1,000,000		939,465
Boston Edison
4.875%, 04/15/2014		1,000,000		943,336
Union Electric Co.
5.500%, 05/15/2014		500,000		484,810
Atmos Energy Corp.
4.950%, 10/15/2014		1,000,000		911,524
Union Elec Co.
4.750%, 04/01/2015		500,000		455,745
Commonwealth Edison
4.700%, 04/15/2015		500,000		454,868
Southwestern Electric Power
5.375%, 04/15/2015		500,000		472,062
San Diego Gas & Electric
5.300%, 11/15/2015		500,000		478,311
Consolidated Edison Co. NY
5.375%, 12/15/2015		1,000,000		958,250
Virginia Electric & Power
5.400%, 01/15/2016		500,000		470,888
Ohio Power Co.
6.000%, 06/01/2016		500,000		493,045
Equitable Resources Inc.
5.150%, 03/01/2018		500,000		460,398
Southern California Gas
5.450%, 04/15/2018		500,000		478,633
San Diego Gas & Electric
6.000%, 06/01/2026		500,000		491,478
				18,794,901
Total Corporate Bonds
(cost $134,994,854)				130,039,952

	Principal amount		Value
Taxable Municipal Bonds (0.67%)
Illinois State
3.850%, 06/01/2013	$	1,000,000	$	898,240
New Jersey State Turnpike Authority Transportation
2.840%, 01/01/2008		1,000,000		961,980
Total Taxable Municipal Bonds
(cost $1,998,540)				1,860,220
Foreign Government Bonds (0.18%)
Province of Ontario
5.500%, 10/01/2008		500,000		499,933
Total Foreign Government Bonds
(cost $487,056)				499,933
Government Agency Securities (29.74%) (a)
Agency Notes & Bonds (5.43%)
Federal Home Loan Mortgage Corp.
6.625%, 09/15/2009		1,000,000		1,034,190
4.500%, 07/15/2013		1,500,000		1,411,922
5.200%, 03/05/2019		2,000,000		1,876,190
5.300%, 05/12/2020		3,000,000		2,754,987
Federal National Mortgage Association
6.625%, 10/15/2007		500,000		506,747
3.250%, 01/15/2008		3,000,000		2,902,527
3.250%, 08/15/2008		1,500,000		1,434,373
6.625%, 11/15/2010		1,000,000		1,043,945
4.375%, 09/15/2012		1,500,000		1,413,592
7.125%, 01/15/2030		500,000		597,213
				14,975,686
Mortgage-Backed Securities (24.31%)
Federal Home Loan Mortgage Corp.
5.000%, 07/01/2018		663,978		640,579
5.000%, 09/01/2018		635,772		613,360
5.000%, 09/01/2018		589,635		568,855
5.500%, 11/01/2018		587,490		577,162
4.500%, 11/01/2018		1,353,852		1,280,533
5.000%, 01/01/2019		649,690		626,286
5.000%, 04/01/2019		665,562		641,586
4.500%, 05/01/2019		730,906		690,911
4.000%, 05/01/2019		793,433		732,340
5.500%, 06/01/2019		1,000,339		982,122
5.000%, 01/01/2020		787,939		759,555
5.500%, 04/01/2020		844,839		828,920
5.500%, 07/01/2020		1,694,829		1,663,965
6.000%, 11/01/2028		87,870		86,929
6.500%, 06/01/2029		146,001		147,598
7.500%, 12/01/2030		11,235		11,631
7.000%, 07/01/2031		15,771		16,165

See accompanying notes to financial statements.

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June 30, 2006

(Unaudited)

	Principal amount		Value
Government Agency Securities (Cont.)
Mortgage-Backed Securities (Cont.)
6.500%, 09/01/2031	$	27,088	$	27,352
6.000%, 11/01/2032		376,668		372,253
6.000%, 12/01/2032		190,026		187,799
5.500%, 05/01/2033		2,253,994		2,174,491
5.500%, 07/01/2033		1,479,467		1,427,284
5.000%, 08/01/2033		1,478,553		1,387,477
5.500%, 03/01/2034		788,699		759,538
5.000%, 04/01/2034		1,267,850		1,187,853
6.000%, 07/01/2034		1,858,208		1,833,273
5.000%, 05/01/2035		1,834,969		1,715,012
5.500%, 05/01/2035		1,856,680		1,784,485
4.500%, 08/01/2035		964,849		875,332
Federal National Mortgage Association
6.000%, 09/01/2013		298,510		299,569
5.500%, 12/01/2016		140,380		138,033
5.500%, 01/01/2017		76,855		75,570
5.500%, 01/01/2017		607,049		596,899
6.500%, 01/01/2017		76,052		77,148
5.500%, 02/01/2017		537,842		528,849
5.000%, 03/01/2017		599,848		579,035
6.000%, 04/01/2017		94,433		94,794
5.500%, 01/01/2018		390,435		383,973
5.000%, 02/01/2018		710,754		686,092
5.000%, 05/01/2018		543,587		524,430
5.000%, 05/01/2018		1,071,757		1,034,520
5.000%, 05/01/2018		1,051,737		1,015,196
4.500%, 05/01/2018		1,303,428		1,234,856
4.500%, 05/01/2018		1,305,139		1,236,477
4.500%, 03/01/2019		749,383		708,725
5.500%, 10/01/2019		1,490,041		1,463,806
5.000%, 11/01/2019		1,517,009		1,463,293
4.500%, 12/01/2019		823,235		779,120
5.000%, 06/01/2020		1,343,598		1,294,421
4.500%, 09/01/2020		1,398,864		1,320,684
7.500%, 09/01/2029		84,371		87,472
8.000%, 03/01/2030		17,442		18,408
6.500%, 05/01/2030		122,854		124,104
6.500%, 08/01/2031		35,432		35,756
7.000%, 08/01/2031		24,162		24,756
6.500%, 10/01/2031		83,927		84,692
6.000%, 11/01/2031		82,436		81,492
7.000%, 01/01/2032		98,034		100,447
6.000%, 03/01/2032		107,033		105,807
6.500%, 03/01/2032		48,710		49,154
6.500%, 04/01/2032		325,543		328,416
7.000%, 04/01/2032		103,397		105,925
6.500%, 05/01/2032		759,300		768,834
6.000%, 05/01/2032		87,963		86,903
6.500%, 06/01/2032		110,188		111,161
7.000%, 06/01/2032		170,600		174,771

	Principal amount		Value
Government Agency Securities (Cont.)
Mortgage-Backed Securities (Cont.)
7.000%, 06/01/2032	$	180,212	$	184,618
6.500%, 07/01/2032		240,765		242,890
6.000%, 08/01/2032		406,595		401,695
6.500%, 10/01/2032		557,659		562,581
5.500%, 10/01/2032		1,379,602		1,331,096
6.000%, 11/01/2032		474,538		468,820
6.000%, 01/01/2033		279,705		276,334
5.500%, 03/01/2033		467,246		450,752
5.500%, 03/01/2033		1,072,542		1,034,682
6.000%, 04/01/2033		685,581		676,883
5.000%, 05/01/2033		693,536		651,439
5.000%, 05/01/2033		923,015		866,989
5.000%, 08/01/2033		1,336,100		1,255,000
5.500%, 10/01/2033		1,007,669		972,098
5.000%, 03/01/2034		2,175,303		2,043,264
5.500%, 05/01/2034		1,466,689		1,412,498
6.000%, 07/01/2034		869,251		857,278
5.500%, 12/01/2034		2,026,168		1,951,305
5.500%, 04/01/2035		1,797,049		1,727,273
5.500%, 07/01/2035		2,241,824		2,154,779
5.000%, 10/01/2035		1,437,902		1,344,977
Government National Mortgage Association
6.000%, 05/15/2017		262,335		264,365
6.500%, 06/15/2028		146,569		148,824
6.000%, 11/15/2028		167,072		166,235
6.500%, 03/15/2029		170,383		172,983
7.000%, 06/15/2029		137,137		141,520
7.500%, 08/20/2030		38,132		39,602
6.500%, 11/15/2031		13,221		13,404
6.000%, 01/15/2032		103,047		102,373
5.500%, 10/15/2033		1,048,469		1,017,537
5.000%, 11/20/2033		1,335,816		1,257,585
6.000%, 12/20/2033		481,574		477,162
				67,093,075
Total Government Agency Securities
(cost $85,747,427)				82,068,761
U.S. Treasury Obligations (20.02%)
U.S. Treasury Bonds
7.250%, 05/15/2016		3,000,000		3,473,673
7.500%, 11/15/2016		1,500,000		1,774,218
8.125%, 08/15/2019		750,000		949,512
6.250%, 08/15/2023		3,000,000		3,308,673
6.875%, 08/15/2025		1,000,000		1,185,781
U.S. Treasury Notes
6.500%, 10/15/2006		3,000,000		3,009,843
4.375%, 05/15/2007		3,000,000		2,977,032
6.125%, 08/15/2007		1,750,000		1,765,790
3.000%, 11/15/2007		2,000,000		1,941,796

See accompanying notes to financial statements.

67

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June 30, 2006

(Unaudited)

	Shares or principal amount		Value
U.S. Treasury Obligations (Cont.)
5.500%, 02/15/2008	$	2,000,000	$	2,010,468
5.625%, 05/15/2008		3,000,000		3,023,673
4.750%, 11/15/2008		3,000,000		2,973,165
6.000%, 08/15/2009		4,600,000		4,714,821
6.500%, 02/15/2010		2,000,000		2,089,610
5.750%, 08/15/2010		4,000,000		4,098,280
5.000%, 08/15/2011		4,000,000		3,987,968
4.375%, 08/15/2012		4,000,000		3,847,812
4.000%, 11/15/2012		1,500,000		1,409,883
4.250%, 08/15/2013		4,000,000		3,795,000
4.750%, 05/15/2014		3,000,000		2,926,524
Total U.S. Treasury Obligations
(cost $57,230,327)				55,263,522
Short-term Investments (1.52%)
JPMorgan Treasury Plus Money Market Fund		4,195,445		4,195,445
Total Short-term Investments
(cost $4,195,445)				4,195,445
TOTAL INVESTMENTS (99.25%)
(cost $284,653,649)				273,927,833
OTHER ASSETS, NET OF LIABILITIES (0.75%)				2,059,630
NET ASSETS (100.00%)			$	275,987,463

(a)  The obligations of certain U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

See accompanying notes to financial statements.

68

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (97.56%) (b)
California (9.12%)
Department of Water and Power of the City of Los Angeles, California, Power System Revenue Bonds, 2001 Series A, Subseries A-1	5.250	%	07/01/2015	Aa3	$	1,500,000	$	1,573,620
State of California, Economic Recovery Bonds, Series A	5.000	%	07/01/2017	Aa3		900,000		928,809
Moulton-Niguel California, Water District Consolidated Refunding Bonds	5.000	%	09/01/2017	Aaa		1,395,000		1,463,439
Moulton-Niguel California, Water District Consolidated Refunding Bonds	5.000	%	09/01/2018	Aaa		1,500,000		1,568,340
State of California, General Obligation Bonds	5.250	%	02/01/2019	A1		2,200,000		2,301,772
State of California, Various Purpose General Obligation Bonds	5.000	%	02/01/2019	A1		650,000		664,865
Metropolitan Water District of Southern California, Water Revenue Refunding Bonds, 1996 Series B	4.750	%	07/01/2021	Aaa		230,000		230,000
State of California, Various Purpose General Obligation Bonds	5.000	%	11/01/2022	A1		600,000		613,608
								9,344,453
Colorado (2.51%)
Adams County, School District, Number 12, Colorado, General Obligation Bonds, Series 2001A (Prerefunded to 12-15-2007 @ 101) (c)	5.400	%	12/15/2014	Aaa		440,000		454,507
Arapahoe County Water & Wastewater Public Improvement District (In Arapahoe County, Colorado) General Obligation Project Bonds, Series 2002A	5.750	%	12/01/2018	Aaa		1,320,000		1,432,121
City of Colorado Springs, Colorado, Utilities System Subordinate Lien Improvement Revenue Bonds, Series 2005B	4.750	%	11/15/2022	Aaa		675,000		685,672
								2,572,300
Connecticut (1.49%)
Town of New Canaan, Connecticut	4.500	%	04/01/2020	Aaa		900,000		898,119
Town of Clinton, Connecticut, General Obligation Bonds (Prerefunded to 01-15-2012 @100) (c)	5.000	%	01/15/2021	Aaa		600,000		630,078
								1,528,197
Delaware (1.64%)
The Delaware River and Bay Authority, Revenue Bonds, Refunding Series 2005	5.000	%	01/01/2021	Aaa		1,625,000		1,684,101
Georgia (3.10%)
Dekalb County, Georgia, Water & Sewage Revenue Bonds, Series 2000 (Prerefunded to 10-01-2010 @ 101)	5.500	%	10/01/2014	Aa2		2,000,000		2,135,840
Upper Oconee Basin Water Authority, Georgia, Revenue Refunding Bonds, Series 2005	5.000	%	07/01/2023	Aaa		1,000,000		1,038,110
								3,173,950
Idaho (1.52%)
Joint School District Number 2 (Meridian) Ada and Canyon Counties, Idaho General Obligation School Bonds, Series 2002	5.125	%	07/30/2019	AA-		500,000		525,895
Nampa School District Number 131, Canyon County, Idaho, General Obligation School Bonds, Series 2003	4.875	%	08/15/2020	A		1,000,000		1,031,140
								1,557,035
Illinois (1.04%)
State of Illinois, General Obligation Bonds, First Series of December 2000	5.750	%	12/01/2017	Aaa		1,000,000		1,066,640
Indiana (1.42%)
Highland School Building Corporation, Lake County, Indiana, First Mortgage Refunding Bonds, Series 2003	5.000	%	01/10/2020	Aaa		1,410,000		1,452,836

See accompanying notes to financial statements.

69

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Iowa (0.50%)
Des Moines, Iowa Urban Renewal Series D	5.000	%	06/01/2022	Aa2	$	500,000	$	511,890
Kansas (7.70%)
State of Kansas, Department of Transportation, Highway Revenue Bonds, Series 2000A (Prerefunded to 09-01-2010 @ 100) (c)	5.750	%	09/01/2013	Aa2		2,300,000		2,460,632
Johnson County, Kansas, Unified School District Number 229, Series A (Prerefunded to 10-01-2008 @ 100) (c)	5.500	%	10/01/2016	AA		2,000,000		2,072,980
City of Wichita, Kansas, Water and Sewer Utility Revenue Bonds, Series 1999	4.000	%	10/01/2017	Aaa		850,000		825,206
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2019	Aaa		730,000		756,455
Kansas Development Finance Authority, Kansas Water Pollution Control Revolving Fund Revenue Bonds, Series 2001	4.800	%	11/01/2020	Aaa		1,000,000		1,018,730
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2020	Aaa		235,000		243,065
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2021	Aaa		245,000		252,940
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A	5.000	%	12/01/2022	Aaa		250,000		257,628
								7,887,636
Louisiana (0.61%)
State of Louisiana, General Obligation Bonds, Series 2000-A (Prerefunded to 11-15-2010 @100) (c)	5.000	%	11/15/2019	Aaa		600,000		625,944
Maryland (3.17%)
Baltimore County Maryland, General Obligation Bonds, Consolidated Public Improvement, Series 2002	5.000	%	09/01/2014	Aaa		1,250,000		1,314,725
State of Maryland, General Obligation Bonds, State and Local Facilities Loan of 2005, Second Series	4.250	%	08/01/2020	Aaa		900,000		887,787
Washington Suburban Sanitary District, Maryland	5.000	%	06/01/2023	Aaa		1,000,000		1,042,260
								3,244,772
Massachusetts (2.09%)
The Commonwealth of Massachusetts, General Obligation Bonds, Consolidated Loan of 2002, Series E (Prerefunded to 01-01-2013 @ 100) (c)	5.500	%	01/01/2015	Aa2		1,000,000		1,075,490
The Commonwealth of Massachusetts, General Obligation Bonds, Consolidated Loan of 2003, Series C (Prerefunded to 08-01-2013 @ 100) (c)	5.250	%	08/01/2020	Aa2		1,000,000		1,063,620
								2,139,110
Michigan (4.67%)
Forest Hills Public Schools, County of Kent, State of Michigan, 2000 School Building and Site Bonds (General Obligation - Unlimited Tax) (Prerefunded to 05-01-2010 @ 100) (c)	5.250	%	05/01/2019	Aa2		2,575,000		2,691,519
State of Michigan, General Obligation Bonds, Environmental Protection Program, Series 2000 (Prerefunded to 11-01-2010 @ 100) (c)	5.250	%	11/01/2020	Aa2		1,985,000		2,089,669
								4,781,188
Minnesota (2.60%)
Independent School District Number 181 (Brainerd), Minnesota, General Obligation School Building Bonds, Series 2002A	5.375	%	02/01/2019	Aaa		2,500,000		2,658,625

See accompanying notes to financial statements.

70

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Mississippi (2.48%)
State of Mississippi, General Obligation Bonds, Capital Improvements Issue, Series 2000 (Prerefunded to 11-01-2010 @ 100) (c)	5.500	%	11/01/2015	AA	$	2,400,000	$	2,540,400
Missouri (6.32%)
The School District of North Kansas City, Missouri, General Obligation School Building Bonds (Missouri Direct Deposit Program) Series 2002 (Prerefunded to 03-01-2012 @ 100) (c)	5.000	%	03/01/2016	AA+		1,250,000		1,313,913
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B	5.625	%	07/01/2016	Aaa		1,155,000		1,227,395
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B (Prerefunded to 10-01-2010 @ 100) (c)	5.625	%	07/01/2016	Aaa		1,260,000		1,343,525
Missouri Highways and Transportation Commission, State Road Bonds, Series A 2000	5.000	%	02/01/2017	Aaa		2,500,000		2,585,450
								6,470,283
Montana (0.32%)
State of Montana, General Obligation Bonds, (Drinking Water State Revolving Fund Program), Series 2005F	4.750	%	07/15/2018	Aa3		315,000		322,900
Nebraska (1.62%)
City of Lincoln, Nebraska, Lincoln Electric System Revenue and Refunding Bonds, Series 2002	5.000	%	09/01/2015	Aa2		1,595,000		1,663,473
New Hampshire (3.10%)
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003	5.000	%	12/01/2021	Aaa		1,510,000		1,557,021
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003	5.000	%	12/01/2023	Aaa		1,580,000		1,622,202
								3,179,223
New Jersey (1.52%)
Passaic Valley Sewer Commissioners, State of New Jersey, Sewer System Bonds, Series F	5.000	%	12/01/2018	Aaa		1,500,000		1,561,080
New York (2.33%)
New York City, Municipal Water Finance Authority, Water and Sewer System Revenue Bonds, Fiscal 2003, Series D	5.000	%	06/15/2016	Aa2		1,300,000		1,349,309
New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2005B	5.000	%	04/01/2021	Aaa		1,000,000		1,040,450
								2,389,759
North Carolina (2.04%)
City of Winston-Salem, North Carolina, Water and Sewer System Revenue and Revenue Refunding Bonds, Series 2001 (Prerefunded to 6-01-2011 @ 101) (c)	5.000	%	06/01/2018	Aa2		1,000,000		1,054,600
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2002B	5.000	%	07/01/2021	Aaa		1,000,000		1,038,730
								2,093,330
Ohio (7.31%)
City of Columbus, Ohio, General Obligation Bonds, Various Purpose Unlimited Tax Bonds, Series 2000-1 (Prerefunded to 11-15-2010 @ 101) (c)	5.500	%	11/15/2014	Aaa		2,400,000		2,571,696
City of Cleveland, Ohio, Waterworks Refunding Revenue Bonds, Series J, 2001	5.375	%	01/01/2016	Aaa		1,000,000		1,060,050

See accompanying notes to financial statements.

71

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Ohio (Cont.)
State of Ohio, Full Faith and Credit General Obligation Infrastructure Improvement Bonds, Series 2000 (Prerefunded to 2-01-2010 @ 100) (c)	5.750	%	02/01/2016	Aa1	$	2,400,000	$	2,541,624
City of Cincinnati, Ohio, Water System Revenue Bonds, Series 2003	5.000	%	12/01/2020	Aa2		1,270,000		1,310,577
								7,483,947
Oregon (5.39%)
Newberg School District Number 29J, Yamhill, Clackamas and Washington Counties, Oregon, General Obligation Bonds, Series 2002 (Prerefunded to 06-15-2012 @ 100) (c)	5.250	%	06/15/2015	Aaa		1,000,000		1,066,590
Eagle Point School District Number 9, Jackson County, Oregon, General Obligation Bonds, Series 2000 (Prerefunded 6-15-2011 @ 100) (c)	5.625	%	06/15/2017	Aa3		1,500,000		1,611,750
Reynolds School District Number 7, Multnomah County, Oregon, General Obligation Bonds, Series 2000 (Prerefunded to 6-15-2011 @ 100) (c)	5.000	%	06/15/2018	Aa3		2,000,000		2,093,400
Emerald People’s Utility District, Lane County, Oregon	5.250	%	11/01/2021	Aaa		705,000		744,367
								5,516,107
Rhode Island (0.99%)
Rhode Island Clean Water Finance Agency, Water Pollution Control Revolving Fund Revenue Bonds, Series 2004 A (Pooled Loan Issue)	4.750	%	10/01/2022	Aaa		1,000,000		1,017,670
Tennessee (5.07%)
Tennessee State School Bonds Authority, Higher Educational Facilities Second Program Bonds, Series A (Prerefunded 5-01-2010 @ 100) (c)	5.400	%	05/01/2013	Aa3		2,440,000		2,567,685
Williamson County, Tennessee, General Obligation Public Improvement Bonds, Series 2000 (ULT) (Prerefunded to 3-01-2010 @ 100) (c)	5.400	%	03/01/2020	Aa1		2,500,000		2,621,175
								5,188,860
Texas (10.12%)
City of Dallas, Texas, (Dallas, Denton, Collin and Rockwall Counties), Waterworks and Sewer System Revenue Refunding Bonds, Series 2000 (Prerefunded 10-01-2010 @100) (c)	5.500	%	10/01/2013	Aa2		2,400,000		2,547,480
City of San Antonio, Texas, Electric and Gas Systems Revenue Bonds, New Series 2000A (Prerefunded to 2-01-2010 @ 100) (c)	5.750	%	02/01/2015	Aa1		2,400,000		2,541,624
Plano Independent School District, (Collin County, Texas), School Building Unlimited Tax Bonds, Series 2000 (Prerefunded to 8-15-2010 @ 100) (c)	5.125	%	02/15/2016	Aaa		2,500,000		2,614,150
Fort Bend Independent School District, (Fort Bend County, Texas), Unlimited Tax School Building Bonds, Series 2000	5.250	%	08/15/2017	AAA		2,550,000		2,660,721
								10,363,975
Utah (1.14%)
West Jordan Utah, General Obligation Bonds Series 2004	5.250	%	04/01/2022	Aaa		680,000		713,864
Payson City, Utah, Water Revenue and Refunding Bonds, Series 2005	5.000	%	10/15/2022	Aaa		440,000		455,955
								1,169,819
Virginia (2.06%)
Virginia Public School Authority, School Financing Bonds (1997 Resolution), Series 1999A (Prerefunded 08-01-2009 @ 101) (c)	5.000	%	08/01/2016	Aaa		1,000,000		1,040,680
Fairfax County Water Authority, Water Refunding Revenue Bonds, Series 1997	5.000	%	04/01/2021	Aaa		1,000,000		1,063,370
								2,104,050

See accompanying notes to financial statements.

72

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

	Coupon rate		Maturity date	Rating (Moody’s or S&P) (a)	Shares or principal amount		Value
Long-term Municipal Bonds (Cont.)
Wisconsin (2.57%)
State of Wisconsin, General Obligation Bonds of 2000, Series D (Prerefunded to 05-01-2011 @ 100) (c)	5.300	%	05/01/2018	Aa3	$	2,500,000	$	2,635,425
Total Long-term Municipal Bonds
(cost $97,235,080)								99,928,978
Short-term Investments (1.48%)
JPMorgan Tax Free Money Market Fund						1,520,386		1,520,386
Total Short-term Investments
(cost $1,520,386)								1,520,386
TOTAL INVESTMENTS (99.04%)
(cost $98,755,466)								101,449,364
OTHER ASSETS, NET OF LIABILITIES (0.96%)								981,181
NET ASSETS (100.00%)							$	102,430,545

(a) Ratings represent the lower of Moody’s or S&P’s ratings.

(b) Long-term Municipal Bonds consisted of 48.04% Advanced Refund Bonds, 27.43% General Obligation Bonds, and 24.53% Municipal Revenue Bonds.

(c) Advanced Refund Bonds are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to ensure the timely payment of principal and interest.

See accompanying notes to financial statements.

73

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

	Principal amount		Value
Short-term Investments (100.05%)
Automotive (19.13%)
Toyota Motor Credit Corp.
4.970% to 4.980%, 07/06/2006	$	5,479,000	$	5,475,217
American Honda Finance Corp.
4.980%, 07/13/2006		5,400,000		5,391,036
FCAR Owner Trust Series I
5.040%, 07/14/2006		5,544,000		5,508,241
New Center Asset Trust
5.070%, 07/24/2006		5,500,000		5,459,094
				21,833,588
Commercial Service/Supply (1.00%)
Pitney Bowes Inc. (a)
5.170%, 07/06/2006		1,146,000		1,145,177
Financial Services (24.00%)
Caterpillar Financial Services Corp.
4.850%, 07/03/2006		443,000		442,881
Citigroup Funding
4.950%, 07/07/2006		5,500,000		5,452,227
HSBC Finance Corp.
4.980%, 07/10/2006		5,420,000		5,399,634
Caterpillar Financial Services Corp.
5.280%, 07/11/2006		5,200,000		5,192,373
General Electric Capital Corp.
5.030%, 07/18/2006		5,500,000		5,462,233
Chevron Funding Corp.
4.980%, 07/20/2006		5,450,000		5,435,676
				27,385,024
Government Agency Securities (48.39%) (b)
Federal Home Loan Mortgage Corp.
4.850%, 07/11/2006		2,500,000		2,496,632
4.920%, 07/18/2006		5,000,000		4,988,379
5.060%, 09/01/2006		3,000,000		2,973,857
5.230%, 09/12/2006		5,363,000		5,306,341
5.260%, 09/22/2006		6,000,000		5,927,237
5.280%, 09/26/2006		5,000,000		4,936,200
Federal National Mortgage Association
4.780%, 07/24/2006		5,000,000		4,984,731
5.160%, 07/26/2006		5,000,000		4,982,083
4.960%, 08/01/2006		5,500,000		5,476,509
5.180%, 08/03/2006		2,000,000		1,990,503
4.970%, 08/09/2006		2,500,000		2,486,540
4.960%, 08/11/2006		4,750,000		4,723,168
5.240%, 09/06/2006		3,000,000		2,970,743
5.290%, 09/20/2006		1,000,000		988,142
				55,231,065

	Shares or principal amount		Value
Short-term Investments (Cont.)
Registered Investment Companies (2.75%)
JPMorgan Treasury Plus Money Market Fund		3,140,053	$	3,140,053
Telecom & Telecom Equipment (4.78%)
BellSouth Corp.
5.190%, 08/22/2006	$	5,500,000		5,456,138
Total Short-term Investments
(cost $ 114,191,045)				114,191,045
TOTAL INVESTMENTS (100.05%)
(cost $ 114,191,045)				114,191,045
LIABILITIES, NET OF OTHER ASSETS (-0.05%)				(57,121	)
NET ASSETS (100.00%)			$	114,133,924

(a)  Security exempt from registration under Section 4(2) of the Securities Act of 1933. This security is purchased as part of the normal course of business, valued at amortized cost and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2006, the value of this security amounted to $1,145,177 or 1.00% of net assets.

(b)  The obligations of certain U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

See accompanying notes to financial statements.

74

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75

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2006

(Unaudited)

	Equity Fund		Small Cap Equity Fund		International Equity Fund
Assets
Investments in securities at identified cost	$	277,157,159	122,225,180		80,607,746
Investments in securities at market value	$	290,878,758	128,241,502		104,367,051
Investments in securities in Master Portfolios		—	—		—
Cash		—	—		—
Foreign currencies at value (cost $63,774 and $2,374,332, respectively)		—	—		63,768
Receivable for:
Dividends and interest		519,626	108,240		219,945
Shares of the Fund sold		128,889	72,948		50,077
Securities sold		1,318,604	712,103		381,953
SFIMC		—	15,849		26,936
Variation margin		—	—		—
Unrealized gain on forward foreign currency contracts		—	—		5,658
Prepaid expenses		16,953	18,955		22,315
Total assets		292,862,830	129,169,597		105,137,703
Liabilities and Net Assets
Dividends to shareholders		—	—		—
Payable for:
Shares of the Fund redeemed		45,550	26,542		11,788
Securities purchased		—	544,648		299,020
Unrealized loss on forward foreign currency contracts		—	—		20,789
Due to affiliates		811,792	495,715		438,922
Accrued liabilities		55,366	49,611		43,452
Total Liabilities		912,708	1,116,516		813,971
Net assets applicable to shares outstanding of common stock	$	291,950,122	128,053,081		104,323,732
Analysis of Net Assets
Paid-in-capital	$	268,192,390	113,085,138		85,299,452
Accumulated net realized gain (loss)		8,126,847	9,395,383		(4,493,797	)
Net unrealized appreciation (depreciation)		13,721,787	6,016,325		23,746,855
Undistributed (accumulated) net investment income (loss)		1,909,098	(443,765	)	(228,778	)
Net assets applicable to shares outstanding	$	291,950,122	128,053,081		104,323,732
Fund shares outstanding: Class A Shares		530,832	899,178		865,901
Class B Shares		477,841	882,411		845,727
Legacy Class A Shares		12,122,339	6,488,439		4,482,341
Legacy Class B Shares		4,701,388	2,338,029		1,587,536
Institutional Shares		16,130,674	1,357,004		956,400
Class R-1 Shares		227,950	174,133		170,432
Class R-2 Shares		305,245	139,200		154,880
Class R-3 Shares		148,514	124,535		130,280
Net assets applicable to shares outstanding: Class A Shares	$	4,422,512	9,420,454		9,815,285
Class B Shares		3,975,996	9,233,252		9,574,997
Legacy Class A Shares		103,594,694	67,006,292		51,002,646
Legacy Class B Shares		39,832,189	23,614,908		17,926,384
Institutional Shares		134,461,472	14,228,635		10,843,996
Class R-1 Shares		1,890,961	1,802,401		1,926,728
Class R-2 Shares		2,535,799	1,445,727		1,756,268
Class R-3 Shares		1,236,499	1,301,412		1,477,428
Net asset value: Class A Shares	$	8.33	10.48		11.34
Class B Shares		8.32	10.46		11.32
Legacy Class A Shares		8.55	10.33		11.38
Legacy Class B Shares		8.47	10.10		11.29
Institutional Shares		8.34	10.49		11.34
Class R-1 Shares		8.30	10.35		11.30
Class R-2 Shares		8.31	10.39		11.34
Class R-3 Shares		8.33	10.45		11.34
Maximum offering price: Class A Shares	$	8.77	11.03		11.94
Legacy A Shares		8.81	10.65		11.73

See accompanying notes to financial statements.

76

S&P 500 Index Fund	Small Cap Index Fund	International Index Fund	Equity and Bond Fund	Bond Fund		Tax Advantaged Bond Fund		Money Market Fund
—	255,005,330	154,618,252	182,280,540	284,653,649		98,755,466		114,191,045
—	300,583,707	196,700,805	186,879,687	273,927,833		101,449,364		114,191,045
567,851,395	—	—	—	—		—		—
—	—	—	542,243	—		—		—
—	—	2,375,707	—	—		—		—
—	394,358	493,601	267,538	3,016,123		1,388,873		7,238
356,580	177,724	146,652	42,248	82,660		28,934		624,972
—	53,498,260	634,430	—	—		—		—
—	13,314	46,340	59,288	—		2,631		13,326
—	160,226	165,079	—	—		—		—
—	—	—	—	—		—		—
34,946	23,625	19,127	4,162	19,030		16,749		18,840
568,242,921	354,851,214	200,581,741	187,795,166	277,045,646		102,886,551		114,855,421
—	—	—	—	152		4		—
138,328	70,594	22,949	50,490	518,220		229,005		515,811
—	49,567,586	292,101	—	—		—		—
—	—	37,611	—	—		—		—
1,153,318	792,503	682,674	198,207	479,750		205,242		170,566
129,295	89,144	70,872	42,998	60,061		21,755		35,120
1,420,941	50,519,827	1,106,207	291,695	1,058,183		456,006		721,497
566,821,980	304,331,387	199,475,534	187,503,471	275,987,463		102,430,545		114,133,924
507,752,137	235,160,929	154,107,215	172,610,820	287,290,248		99,838,669		114,133,924
(13,573,158)	22,540,112	1,070,468	10,237,460	(576,969	)	(102,022	)	—
69,495,298	46,075,842	42,236,787	4,599,147	(10,725,816	)	2,693,898		—
3,147,703	554,504	2,061,064	56,044	—		—		—
566,821,980	304,331,387	199,475,534	187,503,471	275,987,463		102,430,545		114,133,924
1,176,932	742,130	838,134	1,049,083	544,813		325,294		5,962,047
1,021,804	671,478	774,629	1,003,500	499,017		306,832		2,502,184
35,733,668	12,441,146	8,833,913	10,395,714	12,198,787		6,430,539		80,904,037
13,472,365	4,550,308	2,842,712	5,071,671	5,320,647		2,476,723		3,718,403
6,063,950	2,706,320	2,142,308	986,486	8,297,514		18,438		12,984,806
448,843	177,858	193,081	187,485	189,514				3,621,637
483,056	191,224	211,981	133,355	203,151				3,142,622
154,949	90,215	120,122	115,422	111,258				1,298,188
11,432,231	10,590,535	10,515,863	10,338,517	5,489,980		3,491,157		5,962,047
9,914,165	9,568,448	9,704,223	9,888,677	5,027,882		3,292,635		2,502,184
345,922,285	175,540,876	110,360,289	102,989,530	123,079,002		68,908,373		80,904,037
130,100,159	63,473,777	35,443,196	50,301,186	53,695,818		26,540,578		3,718,403
58,932,641	38,623,012	26,874,775	9,724,337	83,615,747		197,802		12,984,806
4,342,765	2,524,371	2,415,416	1,829,577	1,910,605				3,621,637
4,672,345	2,722,794	2,654,464	1,303,070	2,046,479				3,142,622
1,505,389	1,287,524	1,507,308	1,128,577	1,121,950				1,298,188
9.71	14.27	12.55	9.85	10.08		10.73		1.00
9.70	14.25	12.53	9.85	10.08		10.73		1.00
9.68	14.11	12.49	9.91	10.09		10.72		1.00
9.66	13.95	12.47	9.92	10.09		10.72		1.00
9.72	14.27	12.54	9.86	10.08		10.73		1.00
9.68	14.19	12.51	9.76	10.08				1.00
9.67	14.24	12.52	9.77	10.07				1.00
9.72	14.27	12.55	9.78	10.08				1.00
10.22	15.02	13.21	10.37	10.39		11.06
9.98	14.55	12.88	10.22	10.40		11.05

See accompanying notes to financial statements.

77

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2006

(Unaudited)

	LifePath Income Fund			LifePath 2010 Fund	LifePath 2020 Fund	LifePath 2030 Fund	LifePath 2040 Fund
Assets
Investments in securities at identified cost	$	—		—	—	—	—
Investments in securities at market value	$	—		—	—	—	—
Investments in securities in Master Portfolios		136,973,042		341,993,149	544,188,069	388,161,251	270,790,074
Cash		—		—	—	—	—
Foreign currencies at value		—		—	—	—	—
Receivable for:
Dividends and interest		—		—	—	—	—
Shares of the Fund sold		113,579		648,893	1,263,494	935,448	640,957
Securities sold		—		—	—	—	—
SFIMC		99		—	—	23	103
Variation margin		—		—	—	—	—
Unrealized gain on forward foreign currency contracts		—		—	—	—	—
Prepaid expenses		20,010		24,921	29,074	26,850	25,086
Total assets		137,106,730		342,666,963	545,480,637	389,123,572	271,456,220
Liabilities and Net Assets
Dividends to shareholders		18,174		—	—	—	—
Payable for:
Shares of the Fund redeemed		93,049		347,993	125,256	60,244	65,835
Securities purchased		—		—	—	—	—
Unrealized loss on forward foreign currency contracts		—		—	—	—	—
Due to affiliates		335,592		797,803	1,265,214	901,680	634,511
Accrued liabilities		21,304		32,068	57,987	51,846	51,690
Total Liabilities		468,119		1,177,864	1,448,457	1,013,770	752,036
Net assets applicable to shares outstanding of common stock	$	136,638,611		341,489,099	544,032,180	388,109,802	270,704,184
Analysis of Net Assets
Paid-in-capital		132,358,241		323,313,263	501,892,250	354,690,690	247,091,674
Accumulated net realized gain (loss)		1,588,163		4,572,077	10,787,048	8,756,268	7,092,128
Net unrealized appreciation (depreciation)		2,802,752		10,590,658	27,865,927	22,980,810	15,791,611
Undistributed (accumulated) net investment income (loss)		(110,545	)	3,013,101	3,486,955	1,682,034	728,771
Net assets applicable to shares outstanding	$	136,638,611		341,489,099	544,032,180	388,109,802	270,704,184
Fund shares outstanding: Class A Shares		184,839		680,343	590,484	466,922	376,123
Class B Shares		19,982		36,668	76,232	75,389	62,085
Legacy Class A Shares		9,841,287		21,050,014	29,833,550	18,568,051	11,688,434
Legacy Class B Shares		1,046,779		3,800,967	6,435,960	4,707,106	3,102,624
Institutional Shares		860,364		2,289,968	3,962,192	3,698,149	2,952,614
Class R-1 Shares		91,455		207,637	261,178	261,565	232,117
Class R-2 Shares		83,871		184,028	275,968	210,080	215,770
Class R-3 Shares		9,249		28,396	83,311	54,454	23,359
Net assets applicable to shares outstanding: Class A Shares	$	2,073,628		8,297,703	7,817,574	6,509,464	5,485,480
Class B Shares		224,196		445,234	1,007,159	1,049,259	904,926
Legacy Class A Shares		110,778,911		254,125,480	390,716,232	256,989,077	169,556,705
Legacy Class B Shares		11,786,404		45,681,052	84,016,086	64,772,534	44,828,859
Institutional Shares		9,709,616		27,857,296	52,316,351	51,498,252	43,087,426
Class R-1 Shares		1,018,064		2,505,930	3,431,084	3,617,733	3,360,911
Class R-2 Shares		943,574		2,231,626	3,632,411	2,916,612	3,139,502
Class R-3 Shares		104,218		344,778	1,095,283	756,871	340,375
Net asset value: Class A Shares		11.22		12.20	13.24	13.94	14.58
Class B Shares		11.22		12.14	13.21	13.92	14.58
Legacy Class A Shares		11.26		12.07	13.10	13.84	14.51
Legacy Class B Shares		11.26		12.02	13.05	13.76	14.45
Institutional Shares		11.29		12.16	13.20	13.93	14.59
Class R-1 Shares		11.13		12.07	13.14	13.83	14.48
Class R-2 Shares		11.25		12.13	13.16	13.88	14.55
Class R-3 Shares		11.27		12.14	13.15	13.90	14.57
Maximum offering price: Class A Shares		11.81		12.84	13.94	14.67	15.35
Legacy A Shares		11.61		12.44	13.51	14.27	14.96

See accompanying notes to financial statements.

78

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79

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF OPERATIONS

Six months ended June 30, 2006

(Unaudited)

	Equity Fund			Small Cap Equity Fund		International Equity Fund		S&P 500 Index Fund		Small Cap Index Fund		International Index Fund
Investment Income: (a)
Dividends	$	3,387,696		482,473		1,513,459		5,256,073		1,684,739		3,732,020
Interest		130,186		88,034		59,419		120,553		140,462		126,427
Securities lending - net		—		—		—		55,784		—		—
Tax-exempt interest		—		—		—		—		—		—
		3,517,882		570,507		1,572,878		5,432,410		1,825,201		3,858,447
Less: foreign withholding taxes		(36,435	)	(4,658	)	(150,051	)	—		(866	)	(320,499	)
Portfolio expenses of Master Portfolios (b)		—		—		—		(139,793	)	—		—
Total investment income		3,481,447		565,849		1,422,827		5,292,617		1,824,335		3,537,948
Expenses:
Investment advisory and management fees		859,439		523,204		400,540		418,790		516,616		460,115
Shareholder services fees		359,909		165,087		126,893		701,407		371,117		232,159
Distribution fees Class A		1,916		4,213		4,321		4,587		4,396		4,471
Distribution fees Class B		6,693		15,906		16,304		16,654		16,052		16,387
Distribution fees Legacy Class A		127,486		85,824		60,755		433,948		214,958		128,043
Distribution fees Legacy Class B		143,754		118,692		95,855		448,179		242,710		147,109
Distribution fees Class R-1		4,436		4,414		4,597		9,825		5,910		5,557
Distribution fees Class R-2		3,303		2,163		2,484		6,676		3,592		3,525
Reports to shareholders		39,176		27,125		16,469		97,496		43,355		33,065
Regulatory fees		32,038		32,468		27,250		35,005		33,401		35,029
Professional fees		16,693		21,877		20,588		23,192		26,251		17,381
Errors & omissions insurance		7,994		2,513		1,271		12,087		5,631		3,283
Trustees’ fees and expenses		4,570		1,943		1,376		8,942		4,516		2,746
Custodian fees		2,974		5,102		66,284		80		29,284		83,079
ICI dues		1,683		782		513		3,623		1,820		969
Chief Compliance Officer Expense		1,464		1,254		412		2,845		852		867
Securities valuation fees		864		1,769		16,471		—		8,038		43,250
Fidelity bond expense		700		340		208		1,406		742		343
Index license fees		—		—		—		28,109		9,926		45,053
Total expenses		1,615,092		1,014,676		862,591		2,252,851		1,539,167		1,262,431
Less: expense reimbursement from SFIMC		—		(29,772	)	(50,708	)	—		(16,211	)	(127,031	)
		1,615,092		984,904		811,883		2,252,851		1,522,956		1,135,400
Net expenses
Net investment income (loss)		1,866,355		(419,055	)	610,944		3,039,766		301,379		2,402,548
Realized and unrealized gain (loss):
Net realized gain (loss) on sales of investments		6,905,177		6,401,175		3,379,389		(6,315,552	)	22,054,348		336,890
Net realized gain (loss) on forward foreign currency contracts		—		—		(2,201	)	—		—		460,253
Net realized gain (loss) on foreign currency transactions		143		—		2,534		—		—		(207,191	)
Net realized gain (loss) on future contracts		—		—		—		(177,121	)	(781,788	)	303,724
Change in net unrealized gain (loss) on open futures contracts		—		—		—		152,959		522,407		136,897
Change in net unrealized appreciation (depreciation) on investments and foreign currency transactions		2,589,791		(3,540,863	)	1,436,150		15,451,396		(2,229,945	)	11,847,906
Net realized and unrealized gain (loss) on investments		9,495,111		2,860,312		4,815,872		9,111,682		19,565,022		12,878,479
Net change in net assets resulting from operations	$	11,361,466		2,441,257		5,426,816		12,151,448		19,866,401		15,281,027

(a) Components of investment income for the S&P 500 Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds reflect each Funds’ proportionate income from its Master Portfolio.

(b) Portfolio expenses of Master Portfolios for the S&P 500 Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds include the effect of expense reductions by Barclays at the Master Portfolio level. See Note 2 under Expense Reduction Agreements.

See accompanying notes to financial statements.

80

Equity and Bond Fund	Bond Fund		Tax Advantaged Bond Fund		Money Market Fund		LifePath Income Fund		LifePath 2010 Fund		LifePath 2020 Fund		LifePath 2030 Fund		LifePath 2040 Fund
1,548,727	—		—		—		574,696		1,519,874		2,827,543		2,200,316		1,592,717
1,118	6,687,484		626		2,500,411		1,845,076		3,687,759		3,774,447		1,553,492		478,548
—	—		—		—		21,368		55,205		95,861		56,699		41,826
—	—		2,446,912		—		—		—		—		—		—
1,549,845	6,687,484		2,447,538		2,500,411		2,441,140		5,262,838		6,697,851		3,810,507		2,113,091
—	—		—		—		—		(28	)	—		(17	)	—
—	—		—		—		(181,716	)	(420,022	)	(619,917	)	(406,932	)	(262,506	)
1,549,845	6,687,484		2,447,538		2,500,411		2,259,424		4,842,788		6,077,934		3,403,558		1,850,585
—	137,722		52,108		53,284		227,679		543,671		854,644		590,623		396,179
1,405	346,003		130,270		135,778		163,295		389,802		612,962		424,041		284,901
4,462	2,296		1,518		968		295		1,373		1,103		904		808
16,792	5,804		3,832		2,449		351		464		754		779		685
133,995	163,631		88,264		59,982		133,695		295,119		445,059		283,175		181,450
185,075	176,416		100,748		14,758		37,859		142,230		254,395		194,240		131,045
4,112	4,500		—		6,577		2,366		5,454		8,262		7,819		7,182
1,879	2,930		—		2,767		1,285		2,538		4,231		3,661		3,498
29,088	42,020		5,271		22,960		8,082		17,942		42,123		43,165		40,583
43,922	32,225		20,961		34,999		31,782		36,975		39,106		36,695		39,223
13,703	17,783		16,586		14,392		18,637		19,902		23,891		18,243		18,456
3,847	5,775		2,308		2,292		2,414		7,470		8,452		5,238		3,089
2,979	4,511		1,729		1,840		2,076		4,114		7,160		4,912		2,635
7	3,593		374		1,110		95		90		85		80		80
—	1,778		685		656		849		1,670		2,743		1,654		1,073
955	1,455		556		546		647		1,514		2,309		1,549		969
—	12,100		9,741		—		—		—		—		—		—
449	694		271		265		326		1,015		1,220		618		358
—	—		—		—		—		—		—		—		—
442,670	961,236		435,222		355,623		631,733		1,471,343		2,308,499		1,617,396		1,112,214
(94,950)	—		(6,373	)	(25,776	)	(99	)	—		—		(23	)	(103	)
347,720	961,236		428,849		329,847		631,634		1,471,343		2,308,499		1,617,373		1,112,111
1,202,125	5,726,248		2,018,689		2,170,564		1,627,790		3,371,445		3,769,435		1,786,185		738,474
(90,943)	13,942		3,253		—		419,230		2,039,551		4,033,151		4,005,750		3,271,968
—	—		—		—		—		—		—		—		—
—	—		—		—		—		—		—		1		2
—	—		—		—		—		—		—		—		—
—	—		—		—		18,773		—		—		—		(3	)
2,763,849	(8,130,675	)	(2,349,266	)	—		(487,799	)	100,357		5,330,327		5,289,063		4,121,164
2,672,906	(8,116,733	)	(2,346,013	)	—		(49,796	)	2,139,908		9,363,478		9,294,814		7,393,131
3,875,031	(2,390,485	)	(327,324	)	2,170,564		1,577,994		5,511,353		13,132,913		11,080,999		8,131,605

See accompanying notes to financial statements.

81

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	Equity Fund
Six months ended June 30, 2006 (unaudited) and the year ended December 31, 2005	2006			2005
From operations:
Net investment income (loss)	$	1,866,355		3,014,282
Net realized gain (loss)		6,905,320		32,327,900
Change in net unrealized appreciation or depreciation		2,589,791		(17,133,965	)
Net change in net assets resulting from operations		11,361,466		18,208,217
Distributions to shareholders from and in excess of:
Net investment income:
Class A Shares		—		—
Class B Shares		—		—
Legacy Class A Shares		77		(957,005	)
Legacy Class B Shares		136		(289,456	)
Institutional Shares		(1,401	)	(1,694,531	)
Class R-1 Shares		29		(14,273	)
Class R-2 Shares		2		(20,709	)
Class R-3 Shares		(39	)	(15,125	)
		(1,196	)	(2,991,099	)
Net realized gain:
Legacy Class A Shares		(1,029	)	(9,016,718	)
Legacy Class B Shares		1,160		(4,292,686	)
Institutional Shares		(1,644	)	(11,916,336	)
Class R-1 Shares		326		(164,529	)
Class R-2 Shares		17		(197,565	)
Class R-3 Shares		(302	)	(117,327	)
		(1,472	)	(25,705,161	)
Total distributions to shareholders		(2,668	)	(28,696,260	)
From Fund share transactions:
Proceeds from shares sold		25,257,070		35,306,109
Reinvestment of distributions		5,214		27,408,615
		25,262,284		62,714,724
Less payments for shares redeemed		(22,756,885	)	(30,485,100	)
		2,505,399		32,229,624
Net increase in net assets from Fund share transactions		13,864,197		21,741,581
Total increase in net assets
Net assets:
Beginning of period		278,085,925		256,344,344
End of period*	$	291,950,122		278,085,925
*  Including undistributed (accumulated) net investment income (loss)	$	1,909,098		46,216

See accompanying notes to financial statements.

82

Small Cap Equity Fund				International Equity Fund				S&P 500 Index Fund				Small Cap Index Fund
2006		2005		2006		2005		2006		2005		2006		2005
(419,055	)	(602,523	)	610,944		516,811		3,039,766		5,112,289		301,379		798,971
6,401,175		11,881,675		3,379,722		1,735,803		(6,492,673	)	3,278,856		21,272,560		6,244,031
(3,540,863	)	(9,307,605	)	1,436,150		10,530,090		15,604,355		13,037,100		(1,707,538	)	3,197,667
2,441,257		1,971,547		5,426,816		12,782,704		12,151,448		21,428,245		19,866,401		10,240,669
—		—		—		—		—		—		—		—
—		—		—		—		—		—		—		—
—		—		(376	)	(590,457	)	975		(3,407,799	)	431		(146,242	)
—		—		(150	)	(335,981	)	21		(875,612	)	(21	)	(124	)
—		—		(369	)	(148,998	)	(2,439	)	(687,246	)	(593	)	(120,534	)
—		—		43		(18,068	)	—		(25,032	)	—		—
—		—		—		(18,167	)	—		(38,355	)	—		(584	)
—		—		(58	)	(19,950	)	(7	)	(14,711	)	(5	)	(2,948	)
—		—		(910	)	(1,131,621	)	(1,450	)	(5,048,755	)	(188	)	(270,432	)
(330	)	(3,108,670	)	—		—		—		—		1,076		(7,654,066	)
197		(2,037,190	)	—		—		—		—		756		(3,748,744	)
(481	)	(633,593	)	—		—		—		—		(6,637	)	(1,493,839	)
23		(76,284	)	—		—		—		—		98		(97,567	)
—		(66,380	)	—		—		—		—		(3	)	(77,680	)
(24	)	(60,935	)	—		—		—		—		(102	)	(57,499	)
(615	)	(5,983,052	)	—		—		—		—		(4,812	)	(13,129,395	)
(615	)	(5,983,052	)	(910	)	(1,131,621	)	(1,450	)	(5,048,755	)	(5,000	)	(13,399,827	)
28,934,368		15,511,661		29,993,018		11,375,384		78,334,707		116,046,041		55,753,445		51,461,029
425		3,465,463		459		490,440		1,282		8,929,368		4,341		14,980,662
28,934,793		18,977,124		29,993,477		11,865,824		78,335,989		124,975,409		55,757,786		66,441,691
(27,230,283	)	(12,081,441	)	(23,763,795	)	(3,843,316	)	(63,542,911	)	(61,089,163	)	(39,715,387	)	(25,840,664	)
1,704,510		6,895,683		6,229,682		8,022,508		14,793,078		63,886,246		16,042,399		40,601,027
4,145,152		2,884,178		11,655,588		19,673,591		26,943,076		80,265,736		35,903,800		37,441,869
123,907,929		121,023,751		92,668,144		72,994,553		539,878,904		459,613,168		268,427,587		230,985,718
128,053,081		123,907,929		104,323,732		92,668,144		566,821,980		539,878,904		304,331,387		268,427,587
(443,765	)	—		(228,778	)	(838,812	)	3,147,703		109,387		554,504		276,339

See accompanying notes to financial statements.

83

STATE FARM MUTUAL FUND TRUST FUND

STATEMENTS OF CHANGES IN NET ASSETS

	International Index Fund
Six months ended June 30, 2006 (unaudited) and the year ended December 31, 2005	2006			2005
From operations:
Net investment income	$	2,402,548		1,983,515
Net realized gain (loss)		893,676		1,642,238
Change in net unrealized appreciation or depreciation		11,984,803		14,335,020
Net change in net assets resulting from operations		15,281,027		17,960,773
Distributions to shareholders from and in excess of:
Net investment income:
Class A Shares		—		—
Class B Shares		—		—
Legacy Class A Shares		(560	)	(1,454,078	)
Legacy Class B Shares		322		(588,539	)
Institutional Shares		(1,828	)	(353,363	)
Class R-1 Shares		63		(24,942	)
Class R-2 Shares		—		(26,945	)
Class R-3 Shares		(73	)	(22,696	)
		(2,076	)	(2,470,563	)
Net realized gain:
Legacy Class A Shares		—		—
Legacy Class B Shares		—		—
Institutional Shares		—		—
Class R-1 Shares		—		—
Class R-2 Shares		—		—
Class R-3 Shares		—		—
		—		—
Total distributions to shareholders		(2,076	)	(2,470,563	)
From Fund share transactions:
Proceeds from shares sold		51,404,304		42,603,951
Reinvestment of distributions		1,488		2,301,957
		51,405,792		44,905,908
Less payments for shares redeemed		(29,698,547	)	(11,798,752	)
Net increase in net assets from Fund share transactions		21,707,245		33,107,156
Total increase in net assets		36,986,196		48,597,366
Net assets:
Beginning of period		162,489,338		113,891,972
End of period*	$	199,475,534		162,489,338
*  Including undistributed (accumulated) net investment income (loss)	$	2,061,064		(339,408	)

See accompanying notes to financial statements.

84

Equity and Bond Fund			Bond Fund				Tax Advantaged Bond Fund				Money Market Fund
2006	2005		2006		2005		2006		2005		2006		2005
1,202,125	3,571,832		5,726,248		10,459,571		2,018,689		3,955,470		2,170,564		2,595,959
(90,943)	10,341,851		13,942		(92,631	)	3,253		—		—		—
2,763,849	(6,043,422	)	(8,130,675	)	(6,719,779	)	(2,349,266	)	(1,687,937	)	—		—
3,875,031	7,870,261		(2,390,485	)	3,647,161		(327,324	)	2,267,533		2,170,564		2,595,959
(80,729)	—		(39,025	)	—		(24,028	)	—		(28,208	)	—
(65,176)	—		(34,321	)	—		(20,949	)	—		(17,768	)	—
(702,606)	(2,257,233	)	(2,725,152	)	(5,068,378	)	(1,410,940	)	(2,755,602	)	(1,632,937	)	(2,017,807	)
(227,439)	(1,019,568	)	(1,022,087	)	(1,938,667	)	(558,277	)	(1,190,926	)	(97,860	)	(136,917	)
(78,647)	(215,169	)	(1,807,491	)	(3,301,264	)	(4,495	)	(8,942	)	(249,292	)	(308,014	)
(10,471)	(28,179	)	(34,694	)	(57,460	)	—		—		(62,261	)	(57,236	)
(8,517)	(23,134	)	(39,624	)	(51,029	)	—		—		(55,386	)	(45,154	)
(8,883)	(25,249	)	(23,854	)	(42,773	)	—		—		(26,852	)	(30,831	)
(1,182,468)	(3,568,532	)	(5,726,248	)	(10,459,571	)	(2,018,689	)	(3,955,470	)	(2,170,564	)	(2,595,959	)
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
(1,182,468)	(3,568,532	)	(5,726,248	)	(10,459,571	)	(2,018,689	)	(3,955,470	)	(2,170,564	)	(2,595,959	)
33,939,185	26,394,629		32,918,120		57,102,427		10,067,903		18,070,937		81,476,851		124,585,855
852,149	2,578,758		3,425,238		6,134,434		675,801		1,317,397		1,928,501		2,299,920
34,791,334	28,973,387		36,343,358		63,236,861		10,743,704		19,388,334		83,405,352		126,885,775
(32,044,751)	(17,095,137	)	(31,937,743	)	(28,484,398	)	(13,430,164	)	(11,365,304	)	(73,697,984	)	(113,848,519	)
2,746,583	11,878,250		4,405,615		34,752,463		(2,686,460	)	8,023,030		9,707,368		13,037,256
5,439,146	16,179,979		(3,711,118	)	27,940,053		(5,032,473	)	6,335,093		9,707,368		13,037,256
182,064,325	165,884,346		279,698,581		251,758,528		107,463,018		101,127,925		104,426,556		91,389,300
187,503,471	182,064,325		275,987,463		279,698,581		102,430,545		107,463,018		114,133,924		104,426,556
56,044	36,387		—		—		—		—		—		—

See accompanying notes to financial statements.

85

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	LifePath Income Fund
Six months ended June 30, 2006 (unaudited) and the year ended December 31, 2005	2006			2005
From operations:
Net investment income	$	1,627,790			2,344,524
Net realized gain (loss)		419,230			924,237
Change in net unrealized appreciation or depreciation		(469,026	)		925,845
Net change in net assets resulting from operations		1,577,994			4,194,606
Distributions to shareholders from and in excess of:
Net investment income:
Class A Shares		(27,560	)		—
Class B Shares		(2,674	)		—
Legacy Class A Shares		(1,266,283	)		(2,192,188	)
Legacy Class B Shares		(113,747	)		(199,355	)
Institutional Shares		(121,300	)		(210,355	)
Class R-1 Shares		(10,521	)		(18,721	)
Class R-2 Shares		(10,444	)		(14,338	)
Class R-3 Shares		(1,280	)		(2,396	)
		(1,553,809	)		(2,637,353	)
Net realized gain:
Legacy Class A Shares		—			(237,167	)
Legacy Class B Shares		—			(26,621	)
Institutional Shares		—			(20,206	)
Class R-1 Shares		—			(1,973	)
Class R-2 Shares		—			(1,671	)
Class R-3 Shares		—			(253	)
		—			(287,891	)
Total distributions to shareholders		(1,553,809	)		(2,925,244	)
From Fund share transactions:
Proceeds from shares sold		26,570,425			52,793,502
Reinvestment of distributions		1,526,119			4,699,236
		28,096,544			57,492,738
Less payments for shares redeemed		(14,027,638	)		(17,985,482	)
Net increase (decrease) in net assets from Fund share transactions		14,068,906			39,507,256
Total increase in net assets		14,093,091			40,776,618
Net assets:
Beginning of period		122,545,520			81,768,902
End of period*	$	136,638,611		$	122,545,520
*  Including undistributed (accumulated) net investment income (loss)	$	(110,545	)		(184,526	)

See accompanying notes to financial statements.

86

LifePath 2010 Fund			LifePath 2020 Fund				LifePath 2030 Fund				LifePath 2040 Fund
2006	2005		2006		2005		2006		2005		2006		2005
3,371,445	4,621,531		3,769,435		5,327,035		1,786,185		2,718,482		738,474		1,326,171
2,039,551	2,736,454		4,033,151		6,391,884		4,005,751		4,887,456		3,271,970		3,794,473
100,357	4,532,824		5,330,327		11,109,623		5,289,063		9,679,343		4,121,161		6,833,985
5,511,353	11,890,809		13,132,913		22,828,542		11,080,999		17,285,281		8,131,605		11,954,629
—	—		—		—		—		—		—		—
—	—		—		—		—		—		—		—
(3,769)	(4,023,165	)	(5,053	)	(4,305,474	)	(4,416	)	(2,051,699	)	18		(876,302	)
2,288	(613,945	)	5,282		(735,475	)	4,254		(393,239	)	578		(152,371	)
(4,396)	(482,765	)	(2,296	)	(627,256	)	(5,513	)	(462,216	)	(285	)	(248,947	)
44	(32,429	)	4,167		(43,082	)	357		(25,142	)	21		(14,828	)
—	(18,884	)	—		(21,493	)	—		(13,054	)	—		(10,607	)
—	(6,119	)	(4,466	)	(14,833	)	(384	)	(4,720	)	(23	)	(1,475	)
(5,833)	(5,177,307	)	(2,366	)	(5,747,613	)	(5,702	)	(2,950,070	)	309		(1,304,530	)
—	(1,111,713	)	—		(2,373,398	)	—		(1,949,377	)	—		(1,268,641	)
—	(212,702	)	—		(541,040	)	—		(538,786	)	—		(373,866	)
—	(117,905	)	—		(292,247	)	—		(358,814	)	—		(277,714	)
—	(8,812	)	—		(22,815	)	—		(24,901	)	—		(22,330	)
—	(5,439	)	—		(11,549	)	—		(12,747	)	—		(17,690	)
—	(1,506	)	—		(7,085	)	—		(3,943	)	—		(1,860	)
—	(1,458,077	)	—		(3,248,134	)	—		(2,888,568	)	—		(1,962,101	)
(5,833)	(6,635,384	)	(2,366	)	(8,995,747	)	(5,702	)	(5,838,638	)	309		(3,266,631	)
74,661,545	124,167,648		134,375,409		190,932,844		109,432,182		139,718,791		95,995,197		96,577,583
6,037	11,879,281		2,387		15,249,549		5,895		9,343,184		(253	)	5,153,429
74,667,582	136,046,929		134,377,796		206,182,393		109,438,077		149,061,975		95,994,944		101,731,012
(22,677,033)	(31,189,730	)	(32,218,831	)	(35,020,141	)	(17,804,336	)	(19,816,488	)	(13,830,958	)	(14,404,007	)
51,990,549	104,857,199		102,158,965		171,162,252		91,633,741		129,245,487		82,163,986		87,327,005
57,496,069	110,112,624		115,289,512		184,995,047		102,709,038		140,692,130		90,295,900		96,015,003
283,993,030	173,880,406		428,742,668		243,747,621		285,400,764		144,708,634		180,408,284		84,393,281
341,489,099	283,993,030		544,032,180		428,742,668		388,109,802		285,400,764		270,704,184		180,408,284
3,013,101	(352,511	)	3,486,955		(280,114	)	1,682,034		(98,449	)	728,771		(10,012	)

See accompanying notes to financial statements.

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1. Investment Objective

State Farm Mutual Fund Trust (the “Trust”) has 15 separate investment portfolios (the “Funds”). Each Fund is a separate investment portfolio with its own investment objective, investment policies, restrictions, and attendant risks.

The State Farm Equity Fund (the “Equity Fund”) seeks long-term growth of capital. The Equity Fund seeks to achieve this objective by investing, under normal circumstances, at least 80% of its assets plus any borrowings in common stocks and other equity securities of U.S. companies with market capitalizations of at least $1.5 billion.

The State Farm Small Cap Equity Fund (the “Small Cap Equity Fund”) seeks long-term growth of capital. The Small Cap Equity Fund invests most of its assets plus any borrowings in equity securities of companies with relatively small market capitalizations located in the U.S. The companies in which the Small Cap Equity Fund invests typically have market capitalizations in the same range as found in the Russell 2000^® Index.

The State Farm International Equity Fund (the “International Equity Fund”) seeks long-term growth of capital. The International Equity Fund invests its assets primarily in common stocks of companies located in Europe, Canada, Australia and the Far East. The International Equity Fund may also invest in companies located in other countries and in emerging markets.

The State Farm S&P 500 Index Fund (the “S&P 500 Index Fund”) seeks to provide investment results that correspond to the total return of publicly traded common stocks as represented by the Standard & Poor’s 500 Stock Index (the “S&P 500^® Index”)¹. The S&P 500 Index Fund invests all of its assets in a separate series of an unaffiliated mutual fund called Master Investment Portfolio. That series, called the S&P 500 Index Master Portfolio, holds each of the stocks that make up the S&P 500 Index. The S&P 500 Index Master Portfolio and the S&P 500 Index Fund have substantially similar investment objectives.

The State Farm Small Cap Index Fund (the “Small Cap Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of the Russell 2000^® Index (the “Russell 2000”)². The Small Cap Index Fund pursues its investment objective by investing in a representative sample of the securities contained in the Russell 2000. The Russell 2000 tracks the common stock performance of about 2,000 small U.S. companies.

The State Farm International Index Fund (the “International Index Fund”) seeks to match as closely as practicable, before fees and expenses, the performance of an international portfolio of common stocks represented by the Morgan Stanley Capital International Europe, Australasia and Far East Free Index (the “EAFE^® Free”)³. The International Index Fund selects a representative sample of the securities contained in the EAFE Free. The EAFE Free is a capitalization-weighted index that currently includes stocks of companies in 16 European countries, Australia, New Zealand, Hong Kong, Japan and Singapore.

The State Farm Equity and Bond Fund (the “Equity and Bond Fund”) seeks long-term growth of principal while providing some current income. The Equity and Bond Fund invests substantially all of its assets in Institutional shares of the State Farm Equity Fund and State Farm Bond Fund of the Trust.

The State Farm Bond Fund (the “Bond Fund”) seeks to realize over a period of years the highest yield consistent with investing in investment grade bonds. The Bond Fund invests primarily in investment grade bonds issued by U.S. companies, U.S. Government and agency obligations, and mortgage-backed securities.

(1) “S&P 500^®” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by the State Farm Mutual Fund Trust. The State Farm S&P 500 Index Fund (the “Fund”) is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Fund.

(2) The Russell 2000^® Index is a trademark/service mark, and Russell™ is a trademark of the Frank Russell Company. The State Farm Small Cap Index Fund (the “Fund”) is not sponsored, endorsed, sold or promoted by, nor in any way affiliated with the Frank Russell Company. Frank Russell Company is not responsible for and has not reviewed the Fund nor any associated literature or publications and Frank Russell Company makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise.

(3) The EAFE^® Free Index is a trademark, service mark and the exclusive property of Morgan Stanley Capital International, Inc. (“MSCI”) and its affiliates and has been licensed for use by the State Farm Mutual Fund Trust (the “Trust”). The State Farm International Index Fund (the “Fund”), based on the EAFE^® Free Index, has not been passed on by MSCI as to its legality or suitability, and is not issued, sponsored, endorsed, sold or promoted by MSCI. MSCI makes no warranties and bears no liability with respect to the Fund. MSCI has no responsibility for and does not participate in the management of the Fund assets or sale of the Fund shares. The Trust’s Prospectus contains a more detailed description of the limited relationship MSCI has with the Trust and the Fund.

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The State Farm Tax Advantaged Bond Fund (the “Tax Advantaged Bond Fund”) seeks as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. The Tax Advantaged Bond Fund normally invests so that either (1) at least 80% of the Tax Advantaged Bond Fund’s net investment income is exempt from regular federal income tax or (2) at least 80% or more of the Tax Advantaged Bond Fund’s net assets are invested in securities that produce income exempt from regular federal income tax.

The State Farm Money Market Fund (the “Money Market Fund”) seeks to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity. The Money Market Fund invests exclusively in short-term, U.S. dollar-denominated money market securities, including those issued by U.S. and foreign financial institutions, corporate issuers, the U.S. Government and its agencies and instrumentalities, municipalities, foreign governments, and multi-national organizations, such as The World Bank.

The State Farm LifePath^® Income Fund (the “LifePath Income Fund”)⁴ is managed for investors seeking income and moderate long-term growth of capital. The LifePath Income Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath Retirement Master Portfolio. The LifePath Retirement Master Portfolio and the LifePath Income Fund have substantially similar investment objectives.

The State Farm LifePath 2010^® Fund (the “LifePath 2010 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2010. The LifePath 2010 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2010 Master Portfolio. The LifePath 2010 Master Portfolio and the LifePath 2010 Fund have substantially similar investment objectives.

The State Farm LifePath 2020^® Fund (the “LifePath 2020 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2020. The LifePath 2020 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2020 Master Portfolio. The LifePath 2020 Master Portfolio and the LifePath 2020 Fund have substantially similar investment objectives.

The State Farm LifePath 2030^® Fund (the “LifePath 2030 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2030. The LifePath 2030 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2030 Master Portfolio. The LifePath 2030 Master Portfolio and the LifePath 2030 Fund have substantially similar investment objectives.

The State Farm LifePath 2040^® Fund (the “LifePath 2040 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2040. The LifePath 2040 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2040 Master Portfolio. The LifePath 2040 Master Portfolio and the LifePath 2040 Fund have substantially similar investment objectives.

Each LifePath Master Portfolio invests in a combination of stock, bond and short-term money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive asset allocation investment strategy that gradually becomes more conservative as the year in the LifePath Fund’s name approaches, except for the LifePath Retirement Master Portfolio that already is in its most conservative phase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”).

Securities valuation

For a description of securities valuation for investments of the Master Portfolios, see the Notes to Financial Statements for Master Investment Portfolio (“MIP”) found later in this report. The following securities valuation description applies to the Equity Fund, Small Cap Equity Fund, International Equity Fund, Small Cap Index Fund, International Index Fund, Equity and Bond Fund, Bond Fund, Tax Advantaged Bond Fund and Money Market Fund (collectively, “Non-feeder Funds”).

Investments are stated at market value. Stocks and exchange-traded funds (“ETFs”) traded on securities exchanges, or in an over-the-counter market in which transaction prices are reported, are valued at the last sales prices on the day of valuation or, if there are no reported sales on that day, at the last reported bid price for the day. Stocks traded on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Portfolio securities that are primarily traded on foreign securities exchanges are generally valued at the closing values of such securities on the respective exchanges where the security is primarily traded. Long-term debt securities and U.S. Treasury bills are generally valued using quotations provided

(4) LifePath and LifePath followed by 2010, 2020, 2030 and 2040 are registered trademarks of Barclays Global Investors, N.A.

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by an independent pricing service. All of the securities and assets of the Money Market Fund and short-term debt securities with remaining maturities of 60 days or less (other than U.S. Treasury bills) held by any of the other Non-feeder Funds are generally valued on an amortized cost basis, which approximates market value. Investments in open-end investment companies are valued each day based on the closing net asset value of the respective fund. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Forward foreign currency contracts are valued daily using quoted forward exchange rates. Short sales are valued at market value.

Securities not valued as described above, and securities for which market prices are not readily available or are considered unreliable, are fair valued pursuant to procedures established by the Trust’s Board of Trustees. Fair value, as a general principle, means the value a Fund might reasonably expect to receive upon sale of that security. These fair value procedures require State Farm Investment Management Corp. (“SFIMC”), the Trust’s investment adviser, to obtain bid price quotations from brokers or dealers in the securities or quotations from an independent pricing service for non-U.S. equity securities in certain circumstances. If SFIMC cannot obtain a quotation for the security or if SFIMC believes the quotation does not represent the security’s fair value, then SFIMC will determine the security’s fair value in its reasonable judgment.

In making a fair value judgement, SFIMC may use different methodologies, including multiple of earnings, multiple of book value, discount from market of a similar freely traded security or, for debt securities, yield to maturity. Other factors SFIMC may consider in determining fair value for a security include, but are not limited to, fundamental analytical data relating to the security, the nature and duration of any restrictions on disposition of the security, significant global or regional events such as political unrest, natural disasters, and war, and significant movements in major market indices, exchange traded funds, index futures or other financial instruments in the U.S. or other markets.

Repurchase Agreements

The Funds, including the S&P 500 Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Funds (“Feeder Funds”) through their investment in the Master Portfolios, may enter into repurchase agreements with banks, brokers, dealers or other financial institutions, in accordance with a Fund’s investment restrictions. Repurchase agreements involve the purchase of securities with a simultaneous commitment to resell the securities to the seller at an agreed-upon price and date. A Fund will invest only in repurchase agreements collateralized in an amount at least equal to the repurchase price plus accrued interest. To the extent that the proceeds from any sale of such collateral upon a default in the obligation to repurchase were less than the repurchase price, the Fund would suffer a loss. If the financial institution which is the party to the repurchase agreement petitions for bankruptcy or otherwise becomes subject to bankruptcy or other liquidation proceedings, there may be restrictions on the ability to sell the collateral and the Fund could suffer a loss. For those Funds that are not Feeder Funds, a Fund’s Schedule of Investments reflects repurchase agreements, if any, entered into as of June 30, 2006. For the Feeder Funds, see the Notes to Financial Statements for the Master Portfolios included elsewhere in this report for more information on repurchase agreements entered into by the Master Portfolios.

Securities transactions and investment income

For financial reporting purposes, security transactions are accounted for on trade date (date the order to buy or sell is executed). Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information is available to the Funds. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts on money market instruments and long-term debt instruments. Realized gains and losses from security transactions are reported on an identified cost basis.

Securities purchased on a “when-issued” basis

The Tax Advantaged Bond Fund may purchase municipal bonds on a “when-issued” basis. Delivery and payment for these securities may be a month or more after the purchase date, during which time such securities are subject to market fluctuations. The Tax Advantaged Bond Fund identifies and holds specific liquid assets with a market value at least equal to the amount of the when-issued purchase commitments. It is possible that the securities will never be issued and the commitment cancelled. At June 30, 2006, there were no commitments for such securities in the Tax Advantaged Bond Fund’s portfolio.

Multi-class fund structure

The Funds offer multiple classes of shares. As of May 1, 2006, the previously existing “Class A” and “Class B” shares were renamed “Legacy Class A” and “Legacy Class B” shares, and on that same day new Class A and new Class B shares were offered to the public. Any shareholder who owned former Class A or former Class B shares as of April 30, 2006, became the owner of the same number of Legacy Class A or Legacy Class B shares as of May 1, 2006.

Class A and Legacy Class A shares are offered to investors subject to an initial sales charge. Class B and Legacy Class B shares are offered without an initial sales charge, but are subject to higher ongoing expenses than Class A and Legacy Class A shares and a contingent deferred sales charge payable upon certain redemptions. Class B and Legacy Class B shares automatically convert to the corresponding Class A and Legacy Class A shares eight years after issuance. Institutional shares are offered to institutional investors, including certain insurance companies, defined contribution plans, defined benefit plans, and may be used as a funding vehicle for certain IRAs. Institutional shares are not subject to an initial

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sales charge or a contingent deferred sales charge. Class R-1, R-2 and R-3 shares are available for purchase or exchange for all Funds except the Tax Advantaged Bond Fund only by individuals or entities who enter into a Retirement Plan Record Keeping Service Agreement with Bisys Retirement Services, Inc. (“Bisys”), and who intend that the plan for which Bisys is providing administrative services will purchase Fund shares.

Investment income and certain Fund level expenses and expense reductions, if any, are borne pro rata on the basis of fair value of settled shares outstanding for the Bond, Tax Advantaged Bond and Money Market Funds and, indirectly, the Equity and Bond Fund, and relative net assets for all other Funds. Realized and unrealized gains and losses are borne pro rata on the basis of relative net assets for all Funds. However, each class bears certain expenses unique to that class such as distribution services and certain other class specific expenses. Differences in class expenses may result in the payment of different per share dividends by class. All shares of the Funds have equal rights with respect to voting subject to class specific arrangements.

Expenses

Expenses arising in connection with a specific Fund are allocated to that Fund. Common Trust expenses are generally allocated between the Funds in proportion to each Fund’s relative net assets.

Fund share valuation

The offering price of the shares of each Fund, other than Money Market Fund, is its Net Asset Value (“NAV”), plus an initial sales charge on the Class A and Legacy Class A shares. The offering price of the Money Market Fund and all Funds’ Class B, Legacy Class B, Institutional, Class R-1, Class R-2 and Class R-3 shares is the NAV. A separate NAV is calculated for each class of each Fund.

The NAV for each class of each Fund is determined as of the time of the close of regular session trading on the New York Stock Exchange (“NYSE”) (currently at 3:00 p.m., Central Time), on each day when the NYSE is open for business. Shares of the Funds will not be priced on days when the NYSE is closed.

Investments in Master Portfolios

Through September 9, 2005, all assets of the Small Cap Index Fund and International Index Fund were invested in separate portfolios (each a “Master Portfolio”) of the Master Investment Portfolio (“MIP”). Pursuant to shareholder approval at the June 17, 2005 Special Shareholder Meeting, the Small Cap Index Fund and International Index Fund elected to withdraw all assets from their respective Master Portfolio and invest directly in individual securities. At the close of business on September 9, 2005, the Small Cap Index Fund and International Index Fund received non-taxable distributions of cash and securities from their Master Portfolios with a market value of $268,224,740 and $148,792,190, respectively.

As a result of the withdrawal from the Master Portfolios, realized gains decreased and unrealized gains increased in the Small Cap Index Fund by $6,982,255 and realized gains increased and unrealized gains decreased in the International Index Fund by $172,859 reflecting adjustments made to the cost basis of distributed securities. The differences between capital gains distributed as shown on the Statements of Changes in Net Assets for the year ended December 31, 2005 and current year realized gains as shown on the Statements of Operations for the year ended December 31, 2005 reflect that these changes in realized gains were not recognized for federal income tax purposes.

The Feeder Funds, through their investments in the Master Portfolios, are diversified, open-end management investment companies. The Feeder Funds invest all of their assets in the Master Portfolios. The percentage ownership in the Master Portfolios held by the Feeder Funds is detailed below:

Feeder Fund	Invests in Master Portfolio	% ownership interest held by the Feeder Funds at 06/30/2006
S&P 500 Index Fund	S&P 500 Index Master Portfolio	23.68	%
LifePath Income Fund	LifePath Retirement Master Portfolio	54.47	%
LifePath 2010 Fund	LifePath 2010 Master Portfolio	45.85	%
LifePath 2020 Fund	LifePath 2020 Master Portfolio	43.39	%
LifePath 2030 Fund	LifePath 2030 Master Portfolio	46.07	%
LifePath 2040 Fund	LifePath 2040 Master Portfolio	47.89	%

The Master Portfolios are diversified, open-end management investment companies, which have similar investment objectives as the respective Feeder Funds. The Master Portfolios operate as partnerships for federal income tax purposes. The financial statements of each Master Portfolio, including the Schedules of Investments, are included elsewhere in this report.

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Each Feeder Fund records its investment in its Master Portfolio at fair value based upon each Feeder Fund’s proportionate interest in the net assets of the respective Master Portfolio. Valuation policies relating to securities held by each Master Portfolio are disclosed in the notes of the respective Master Portfolio’s financial statements included elsewhere in this report.

Each Feeder Fund records daily its proportionate share of the Master Portfolio’s income, expenses, and realized and unrealized gains and losses. In addition, the Feeder Funds accrue their own expenses.

Federal income taxes, dividends and distributions to shareholders

It is the Funds’ policy to comply with the special provisions of Subchapter M of the Internal Revenue Code applicable to investment companies and, in the manner provided therein, to distribute substantially all of their taxable income, including any net realized gain on sales of investments reportable for federal income tax purposes. The Funds intend to comply with this policy and, accordingly, no provision for federal income taxes has been made.

As of June 30, 2006, aggregate securities holdings’ unrealized gains and losses based on cost for federal income tax purposes for certain Funds were as follows:

Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Equity Fund	$	277,157,159	$	23,588,358	$	(9,866,759	)	$	13,721,599
Small Cap Equity Fund		122,227,054		18,792,465		(12,778,017	)		6,014,448
International Equity Fund		81,792,192		24,686,866		(2,112,007	)		22,574,859
Small Cap Index Fund		255,005,330		58,991,061		(13,412,684	)		45,578,377
International Index Fund		156,099,902		43,888,715		(3,287,812	)		40,600,903
Equity and Bond Fund		182,280,540		6,981,195		(2,382,048	)		4,599,147
Bond Fund		284,653,649		1,117,993		(11,843,809	)		(10,725,816	)
Tax Advantaged Bond Fund		98,755,466		3,016,415		(322,517	)		2,693,898
Money Market Fund		114,191,045		—		—			—

The Master Portfolios are organized as partnerships for federal income tax purposes. Information relating to the cost of investments, gross and net unrealized appreciation (depreciation) and other tax matters for the Master Portfolios may be found in the MIP Notes to Financial Statements which are included in this semi annual report. The tax cost information for the LifePath Master Portfolios in the MIP Notes to Financial Statements does not include the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios, each of which is an Underlying Fund. See the MIP Notes to Financial Statements for the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios.

The Equity Fund, Small Cap Equity Fund, International Equity Fund, S&P 500 Index Fund, Small Cap Index Fund, International Index Fund, Equity and Bond Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040 Fund declare and pay dividend and capital gain distributions, if any, at least annually.

The Bond Fund, Tax Advantaged Bond Fund and Money Market Fund declare dividends daily and distribute dividends monthly on the last business day of the month. Capital gain distributions on these Funds, if any, are paid at least annually.

The LifePath Income Fund declares and distributes dividends quarterly and capital gain distributions, if any, at least annually.

The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal income tax regulations which may differ from GAAP. These differences are primarily due to differing treatment for futures contracts, the recognition of net realized losses, and foreign currency transactions. As a result, net investment income and net realized gain or loss on investment transactions for

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(Unaudited)

a reporting period may differ from distributions during such period. In addition, certain reclassifications were made among the components of net assets. These reclassifications had no affect on net investment income, net realized gain or loss, or net assets.

The International Equity Fund and the International Index Fund have elected to mark-to-market their investments in Passive Foreign Investment Companies (“PFICs”) for federal income tax purposes. In accordance with this election, the International Equity Fund recognized unrealized appreciation of $504,108 as ordinary income for federal income tax purposes during 2005. The International Index Fund recognized unrealized appreciation of $790,294 as ordinary income for federal income tax purposes during 2005. The cumulative amount of mark-to-market adjustments recognized on PFICs at December 31, 2005 was $1,143,225 for the International Equity Fund and $790,294 for the International Index Fund.

The tax character of distributions made during the six months ended June 30, 2006, were the same as the composition of distributions reflected in the Statement of Changes in Net Assets as of June 30, 2006.

The tax character of distributions for all classes was as follows for the year ended December 31, 2005:

2005	Ordinary Income
	Legacy Class A	Legacy Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$756,283	298,827	239,592	7,776	6,775	7,531	1,316,784
LifePath 2010 Fund	4,085,581	625,890	489,387	32,924	19,189	6,204	5,259,175
LifePath 2020 Fund	5,037,439	902,378	717,410	50,120	25,056	17,019	6,749,422
LifePath 2030 Fund	2,710,453	575,321	583,477	33,557	17,362	6,052	3,926,222
LifePath 2040 Fund	1,417,434	311,838	367,402	24,353	18,153	2,268	2,141,448
2005	Long Term Capital Gain
	Legacy Class A	Legacy Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$7,044,169	3,449,898	1,374,786	89,788	71,487	52,915	12,083,043
LifePath 2010 Fund	1,049,297	200,757	111,283	8,317	5,134	1,421	1,376,209
LifePath 2020 Fund	1,641,433	374,137	202,093	15,777	7,986	4,899	2,246,325
LifePath 2030 Fund	1,290,623	356,704	237,553	16,486	8,439	2,611	1,912,416
LifePath 2040 Fund	727,509	214,399	159,259	12,805	10,144	1,067	1,125,183
2005	Total Distributions
	Legacy Class A	Legacy Class B	Institutional	Class R-1	Class R-2	Class R-3	Total
Small Cap Index Fund	$7,800,452	3,748,725	1,614,378	97,564	78,262	60,446	13,399,827
LifePath 2010 Fund	5,134,878	826,647	600,670	41,241	24,323	7,625	6,635,384
LifePath 2020 Fund	6,678,872	1,276,515	919,503	65,897	33,042	21,918	8,995,747
LifePath 2030 Fund	4,001,076	932,025	821,030	50,043	25,801	8,663	5,838,638
LifePath 2040 Fund	2,144,943	526,237	526,661	37,158	28,297	3,335	3,266,631

For the remaining funds, the tax distributions of ordinary income were the same as the distributions from net investment income reflected in the Statements of Changes in Net Assets for the year ended December 31, 2005.

From November 1, 2005 through December 31, 2005, the S&P 500 Index Fund incurred approximately $282,029 of net realized losses. As permitted by tax regulations, the S&P 500 Index Fund elected to defer these losses and treat them as arising on January 1, 2006.

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(Unaudited)

From November 1, 2005 through December 31, 2005, the International Equity Fund and International Index Fund, incurred approximately $24,542 and $45,957, in foreign exchange losses, respectively. As permitted by tax regulations, the Funds elected to defer the losses and treat them as arising on January 1, 2006.

At December 31, 2005, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:

	Year of Expiration
	2009		2010		2011		2012		2013		Total
International Equity Fund	$	—	$	3,022,365	$	4,740,479	$	—	$	—	$	7,762,844
S&P 500 Index Fund		—		3,047,920		903,770		—		—		3,951,690
Bond Fund		—		—		498,280		—		92,631		590,911
Tax Advantaged Bond Fund		328		2,457		102,062		428		—		105,275

As of December 31, 2005, in accordance with federal tax regulations, the components of distributable earnings on a tax basis were as follows:

Fund	Undistributed ordinary income		Undistributed long-term gain		Unrealized appreciation/depreciation			Accumulated capital and other losses			Total
Equity Fund	$	279,501	$	975,194	$	11,144,239		$	—		$	12,398,934
Small Cap Equity Fund		228,117		2,879,270		9,419,914			—			12,527,301
International Equity Fund		309,687		—		21,076,073			(7,787,386	)		13,598,374
Small Cap Index Fund		136,213		1,123,866		48,048,978			—			49,309,057
S&P 500 Index Fund		92,013		—		51,061,551			(4,233,719	)		46,919,845
International Index Fund		492,753		196,909		29,445,663			(45,957	)		30,089,368
Bond Fund		49,169		—		(2,595,141	)		(590,911	)		(3,136,883	)
Money Market Fund		7,441		—		—			—			7,441
LifePath Income Fund		59,181		265,460		3,931,544			—			4,256,185
LifePath 2010 Fund		201,667		433,876		12,034,773			—			12,670,316
LifePath 2020 Fund		502,749		746,320		27,760,314			—			29,009,383
LifePath 2030 Fund		419,956		513,455		21,410,404			—			22,343,815
LifePath 2040 Fund		371,907		404,858		14,703,831			—			15,480,596

For the remaining Funds, the undistributed net investment income in accordance with federal tax regulations at December 31, 2005 was the same as the undistributed net investment income reflected in the Statements of Assets and Liabilities as of December 31, 2005.

The difference between these amounts and the undistributed net investment income reported on the Statements of Assets and Liabilities as of December 31, 2005 relates to one or more of the following: forward foreign currency contracts, mark-to-market of PFICs, post-October loss deferrals, return of capital transactions, amortization for GAAP but not for federal income tax purposes and non deductible start-up expenses.

Foreign currency translation

Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing foreign exchange rates at June 30, 2006. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollars at the prevailing foreign exchange rates on the respective dates of transactions. That portion of realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with realized and unrealized gains and losses on investment securities.

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(Unaudited)

Use of estimates

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

Commitments and contingencies

In the normal course of business, the Trust enters into contracts on behalf of the Funds that may contain provisions for general indemnifications. Each Fund’s maximum exposure under these indemnification provisions is unknown, as this would involve future claims that may be made against each Fund that are not known at this time. However, based on past experience, the Funds believe the risk of loss from these indemnification provisions is improbable.

Financial instruments

The Small Cap Index Fund, International Index Fund, and Feeder Funds (through their investment in the Master Portfolios) may enter into stock index futures contracts to gain exposure to market changes as this may be more efficient or cost effective than actually buying the securities. These contracts obligate such Funds to make or take delivery of a financial instrument or the cash value of a securities index at a specified future date at a specified price. Realized and unrealized gains and losses are reflected in the Statements of Operations. Unrealized gains and losses on open futures contracts are reflected as a component of net unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. Daily fluctuations in the margin requirements for futures contracts are recorded as variation margin receivable or payable on the Statements of Assets and Liabilities. Additionally, the International Equity and International Index Funds may enter into forward foreign currency contracts to purchase or sell foreign currencies. These Funds bear the market risk that arises from changes in foreign currency rates and the credit risk should a counterparty fail to perform under such contracts.

Investment Advisory and Management Services Agreement

The Trust has entered into an investment advisory and management services agreement with SFIMC, which serves as the Trust’s investment adviser and conducts the business and affairs of the Trust. Each Fund pays SFIMC an investment advisory and management services fee based upon that Fund’s average daily net assets. The fee is accrued daily and paid to SFIMC quarterly. The rates for the Feeder Funds include the fee for Barclays Global Fund Advisors’ (“Barclays”) investment advisory services to the Master Portfolios.

Equity Fund	0.60	%	Tax Advantaged Bond Fund	0.10	%
Small Cap Equity Fund	0.80	%	Money Market Fund	0.10	%
International Equity Fund	0.80	%	LifePath Income Fund	0.70	%
S&P 500 Index Fund	0.20	%	LifePath 2010 Fund	0.70	%
Small Cap Index Fund	0.35	%	LifePath 2020 Fund	0.70	%
International Index Fund	0.50	%	LifePath 2030 Fund	0.70	%
Equity and Bond Fund	None		LifePath 2040 Fund	0.70	%
Bond Fund	0.10	%

SFIMC does not receive an investment advisory and management services fee for performing its services for the Equity and Bond Fund. However, SFIMC receives investment advisory and management services fees from managing the underlying Funds into which the Equity and Bond Fund invests. The Equity and Bond Fund pays no sales loads or similar compensation to SFIMC to acquire shares of each Fund in which it invests. Because the underlying Funds have varied expenses and fee levels and the Equity and Bond Fund may own different proportions of the underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Equity and Bond Fund will vary.

SFIMC has engaged Capital Guardian Trust Company (“Capital Guardian”) as the investment sub-adviser to provide day-to-day portfolio management for the Equity Fund, Small Cap Equity Fund and International Equity Fund, and Northern Trust Investments, N.A. (“Northern Trust”) as the investment sub-adviser to provide day-to-day portfolio management for the Small Cap Index Fund and International Index Fund. In accordance with the overall investment objectives of each respective Fund, Capital Guardian and Northern Trust determine which securities to buy and sell for each of those Funds, select the brokers and dealers to effect the transactions, and negotiate commissions. Capital Guardian’s and Northern Trust’s

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(Unaudited)

sub-advisory fees for managing the respective portfolios are paid by SFIMC. No additional advisory fees are charged to the Funds. For the six months ended June 30, 2006, the following fees were earned by Capital Guardian and Northern Trust for providing sub-advisory services (although not all amounts indicated were paid during that period):

Capital Guardian	Advisory Fees
Equity Fund	$	367,587
Small Cap Equity Fund		229,126
International Equity Fund		175,159
Total	$	771,872
Northern Trust
Small Cap Index Fund	$	170,230
International Index Fund		114,444
Total	$	284,674

Distribution and Shareholder Services Agreements

The Trust has entered into distribution plan agreements pursuant to Rule 12b-1 of the Investment Company Act of 1940 with State Farm VP Management Corp. (“VP Management Corp.”). Under terms of these agreements, each Fund pays VP Management Corp. an annual fee based on a specified percentage of average daily net assets, up to the following amounts:

	Class A		Class B		Legacy Class A		Legacy Class B		Class R-1		Class R-2
Money Market Fund	0.15	%	0.55	%	0.15	%	0.55	%	0.40	%	0.20	%
Bond Fund and Tax Advantaged Bond Fund	0.25	%	0.65	%	0.25	%	0.65	%	0.50	%	0.30	%
All Other Funds	0.25	%	0.95	%	0.25	%	0.65	%	0.50	%	0.30	%

The annual fee amount is payable to VP Management Corp. by each Fund only to the extent VP Management Corp. has incurred distribution expenses to be reimbursed. Any distribution expenses incurred by VP Management Corp. and not otherwise reimbursed by the Funds under the applicable distribution plan can be carried forward and reimbursed in a later time period. At June 30, 2006, VP Management Corp. had not been reimbursed for the following amounts:

Equity Fund	$	3,834,405	Tax Advantaged Bond Fund		5,000,623
Small Cap Equity Fund		4,553,110	Money Market Fund		3,018,514
International Equity Fund		3,348,884	LifePath Income Fund		1,381,756
S&P 500 Index Fund		10,897,876	LifePath 2010 Fund		3,138,309
Small Cap Index Fund		6,676,745	LifePath 2020 Fund		4,734,729
International Index Fund		4,108,043	LifePath 2030 Fund		3,124,448
Equity and Bond Fund		6,181,102	LifePath 2040 Fund		2,021,034
Bond Fund		5,590,281	TOTAL	$	67,609,859

The Trust has a separate shareholder services agreement with SFIMC. Each Fund, except the Equity and Bond Fund, pays SFIMC a fee of 0.25% of average daily net assets of Class A, Class B, Legacy Class A, Legacy Class B and Institutional shares and, for the current year, 0.32% of Class R-1, Class R-2 and Class R-3 shares. The Equity and Bond Fund does not directly pay SFIMC any shareholder services fee for Class A, Class B, Legacy Class A, Legacy Class B or Institutional shares and, for the current year, directly pays 0.07% of average daily net assets of Class R-1, Class R-2

96

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

and Class R-3 shares. However, SFIMC receives a shareholder services fee from managing the Equity Fund and Bond Fund into which the Equity and Bond Fund invests.

Officers and Trustees

Certain officers and/or trustees of the Trust are also officers and/or directors of SFIMC. The Trust made no payments to its officers or trustees except for trustees’ fees paid to or accrued for the Trust’s independent trustees and the Trust’s portion of the compensation paid to or accrued for the Trust’s Chief Compliance Officer.

Expense Reduction Agreements

For the Class A, Class B, Legacy Class A, Legacy Class B and Institutional shares of all Funds other than the LifePath Funds, SFIMC has agreed to reimburse each Class if, and to the extent, the Class’s total annual operating expenses exceed the percentage of each Class’s average net assets indicated in the table below. SFIMC has agreed to reimburse each LifePath Fund Class if, and to the extent, the LifePath Fund Class’s total annual operating expenses, including net expenses incurred at the Master Portfolio and Underlying Fund levels, exceed the percentages of each LifePath Fund Class’s average net assets shown in the table below:

	Class A		Class B		Legacy Class A		Legacy Class B		Institutional
Equity Fund	1.20	%	1.90	%	1.20	%	1.60	%	0.95	%
Small Cap Equity Fund	1.40	%	2.10	%	1.40	%	1.80	%	1.15	%
International Equity Fund	1.50	%	2.20	%	1.50	%	1.90	%	1.25	%
S&P 500 Index Fund	0.80	%	1.50	%	0.80	%	1.20	%	0.55	%
Small Cap Index Fund	0.95	%	1.65	%	0.95	%	1.35	%	0.70	%
International Index Fund	1.15	%	1.85	%	1.15	%	1.55	%	0.90	%
Equity and Bond Fund	0.25	%	0.95	%	0.25	%	0.65	%	—
Bond Fund	0.70	%	1.10	%	0.70	%	1.10	%	0.45	%
Tax Advantaged Bond Fund	0.70	%	1.10	%	0.70	%	1.10	%	0.45	%
Money Market Fund	0.60	%	1.00	%	0.60	%	1.00	%	0.45	%
LifePath Income Fund	1.30	%	2.00	%	1.30	%	1.70	%	1.05	%
LifePath 2010 Fund	1.30	%	2.00	%	1.30	%	1.70	%	1.05	%
LifePath 2020 Fund	1.30	%	2.00	%	1.30	%	1.70	%	1.05	%
LifePath 2030 Fund	1.30	%	2.00	%	1.30	%	1.70	%	1.05	%
LifePath 2040 Fund	1.30	%	2.00	%	1.30	%	1.70	%	1.05	%

97

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

For all Class R shares, SFIMC has agreed to reimburse each Class for any expenses incurred by the Class, other than management fees, administrative fees charged by the Master Portfolios, distribution (12b-1) fees, and shareholder services fees, that exceed the following percentage of the Class’s average daily assets:

Fund	Expense Reimbursement Threshold		Fund	Expense Reimbursement Threshold
Equity Fund	0.10	%	Money Market Fund	0.10	%
Small Cap Equity Fund	0.10	%	LifePath Income Fund	0.10	%
International Equity Fund	0.20	%	LifePath 2010 Fund	0.10	%
S&P 500 Index Fund	0.10	%	LifePath 2020 Fund	0.10	%
Small Cap Index Fund	0.10	%	LifePath 2030 Fund	0.10	%
International Index Fund	0.15	%	LifePath 2040 Fund	0.10	%
Bond Fund	0.10	%

SFIMC has agreed to reimburse all expenses directly incurred by all Class R shares of the Equity and Bond Fund excluding distribution and shareholder services fees directly incurred by the Equity and Bond Fund.

Effective May 1, 2006, Barclays has voluntarily agreed to provide an offsetting credit against the investment advisory fees Barclays receives from the LifePath Master Portfolios and the S&P 500 Index Master Portfolio in an amount equal to the fees and expenses of the MIP independent trustees, counsel to such trustees, and independent auditors that are paid by these Master Portfolios.

The above arrangements are voluntary and may be eliminated by SFIMC or Barclays at any time.

Effective May 1, 2006, with respect to all classes of the LifePath Funds, Barclays has also contractually agreed to waive management fees at the Master Portfolio level in an amount equal to the advisory and administration fees, if any, charged to the Underlying Funds through April 30, 2007. Barclays may not discontinue or modify this contractual waiver without the approval of the Board of Trustees of the Master Portfolios. Prior to May 1, 2006, such waiver was voluntary.

3. Investment transactions

Investment transactions (exclusive of short-term instruments) were as follows:

	Six months ended June 30, 2006
	Purchases		Sales
Equity Fund	$	69,043,832	$	60,702,681
Small Cap Equity Fund		36,973,761		35,334,005
International Equity Fund		19,753,039		13,985,092
Small Cap Index Fund		69,566,657		65,256,149
International Index Fund		33,644,019		10,118,328
Equity and Bond Fund		3,221,522		600,000
Bond Fund		18,418,221		10,930,371
Tax Advantaged Bond Fund		—		2,351,331

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

Futures and foreign currency contracts

International Equity Fund and International Index Fund had the following open forward foreign currency contracts at June 30, 2006:

International Equity Fund

Foreign amount	Currency	Contracts	Settlement date	U.S. Dollar	Unrealized gain (loss)
534,116	Australian Dollar	1	07/21/2006	396,781	$	(2,025	)
428,388	Euro	3	07/03/2006-07/21/2006	548,310		(11,845	)
246,685	British Pound	1	09/26/2006	457,121		5,244
7,785,580	Japanese Yen	4	07/03/2006	68,032		414
556,028	Swiss Franc	1	09/26/2006	458,035		(6,158	)
276,275	Swedish Krone	2	07/03/2006-07/05/2006	38,389		(761	)
				Total	$	(15,131	)

International Index Fund

Foreign amount	Currency	Contracts	Settlement date	U.S. Dollar	Unrealized gain (loss)
531,880	Australian Dollar	1	08/24/2006	394,908	$	(5,092	)
423,316	British Pound	1	08/24/2006	783,803		(16,197	)
618,042	Euro	1	08/24/2006	792,923		(7,077	)
33,003,150	Japanese Yen	1	08/24/2006	290,755		(9,245	)
				Total	$	(37,611	)

The Small Cap Index and International Index Funds had the following open futures contracts at June 30, 2006:

Fund	Type	Number of contracts	Notional Value		Market Value		Position	Expiration month	Unrealized gain (loss)
Small Cap Index Fund	Russell 2000 Mini	180	$	12,669,534	$	13,167,000	Long	September ‘06	$	497,466
Total										497,466
International Index Fund	Hang Seng Index	2		206,367		210,081	Long	July ‘06		3,714
International Index Fund	DJ Euro Stoxx 50	37		1,637,836		1,732,494	Long	September ‘06		94,658
International Index Fund	FTSE 100 Index	14		1,464,529		1,508,308	Long	September ‘06		43,779
International Index Fund	Nikkei 225	7		527,050		542,500	Long	September ‘06		15,450
International Index Fund	Share Price Index	3		270,712		283,064	Long	September ‘06		12,352
International Index Fund	TOPIX Index	4		546,035		556,183	Long	September ‘06		10,148
Total									$	180,101

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

4. Fund share transactions

Proceeds and payments on Fund shares as shown in the Statements of Changes in Net Assets are in respect of the following number of shares and dollars by class:

Six months ended June 30, 2006 (Since May 1, 2006, for all Class A and B shares)

	Class A Dollar Amounts								Class A Share Amounts
2006	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	4,770,510	$	—	$	285,229	$	4,485,281	566,002	—	35,170	530,832
Small Cap Equity Fund		10,189,442		—		—		10,189,442	899,178	—	—	899,178
International Equity Fund		10,252,733		—		97		10,252,636	865,910	—	9	865,901
S&P 500 Index Fund		11,773,080		—		109,113		11,663,967	1,188,329	—	11,397	1,176,932
Small Cap Index Fund		11,109,363		—		5,611		11,103,752	742,536	—	406	742,130
International Index Fund		10,903,733		—		5,852		10,897,881	838,616	—	482	838,134
Equity and Bond Fund		10,470,920		3,651		2,396		10,472,175	1,048,955	371	243	1,049,083
Bond Fund		5,568,310		1,267		60,977		5,508,600	550,734	126	6,047	544,813
Tax Advantaged Bond Fund		3,509,666		684		—		3,510,350	325,230	64	—	325,294
Money Market Fund		8,730,928		7,373		2,776,254		5,962,047	8,730,928	7,373	2,776,254	5,962,047
LifePath Income Fund		2,077,075		24,922		17,386		2,084,611	184,166	2,221	1,548	184,839
LifePath 2010 Fund		8,260,583		—		32,224		8,228,359	683,034	—	2,691	680,343
LifePath 2020 Fund		7,800,601		—		53,427		7,747,174	594,538	—	4,054	590,484
LifePath 2030 Fund		6,507,601		—		82,625		6,424,976	472,898	—	5,976	466,922
LifePath 2040 Fund		5,465,172		—		54,763		5,410,409	379,954	—	3,831	376,123

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

	Class B Dollar Amounts									Class B Share Amounts
2006	Sales		Reinvestments			Redemptions		Net		Sales	Reinvestments		Redemptions	Net
Equity Fund	$	4,034,938	$	—		$	2,621	$	4,032,317	478,162	—		321	477,841
Small Cap Equity Fund		10,014,172		—			—		10,014,172	882,411	—		—	882,411
International Equity Fund		10,028,724		—			—		10,028,724	845,727	—		—	845,727
S&P 500 Index Fund		10,172,394		—			474		10,171,920	1,021,853	—		49	1,021,804
Small Cap Index Fund		10,107,486		(250	)		1,122		10,106,114	671,577	(17	)	82	671,478
International Index Fund		10,100,334		—			1,118		10,099,216	774,721	—		92	774,629
Equity and Bond Fund		10,027,726		111			3,158		10,024,679	1,003,813	11		324	1,003,500
Bond Fund		5,045,825		110			860		5,045,075	499,092	11		86	499,017
Tax Advantaged Bond Fund		3,310,677		48			—		3,310,725	306,828	4		—	306,832
Money Market Fund		2,504,496		5			2,317		2,502,184	2,504,496	5		2,317	2,502,184
LifePath Income Fund		227,899		333			—		228,232	19,953	29		—	19,982
LifePath 2010 Fund		445,419		—			288		445,131	36,692	—		24	36,668
LifePath 2020 Fund		1,018,157		—			16,381		1,001,776	77,481	—		1,249	76,232
LifePath 2030 Fund		1,042,943		—			51		1,042,892	75,393	—		4	75,389
LifePath 2040 Fund		909,096		—			8,472		900,624	62,664	—		579	62,085

	Legacy Class A Dollar Amounts										Legacy Class A Share Amounts
2006	Sales		Reinvestments			Redemptions		Net			Sales	Reinvestments		Redemptions	Net
Equity Fund	$	9,654,510	$	1,958		$	9,147,028	$	509,440		1,133,583	236		1,076,055	57,764
Small Cap Equity Fund		5,149,319		94			4,518,361		631,052		477,470	9		419,796	57,683
International Equity Fund		5,628,272		207			1,961,343		3,667,136		493,171	19		173,505	319,685
S&P 500 Index Fund		34,416,565		(1,110	)		36,285,574		(1,870,119	)	3,527,438	(117	)	3,716,992	(189,671	)
Small Cap Index Fund		19,179,095		(1,870	)		12,556,172		6,621,053		1,337,082	(140	)	889,458	447,484
International Index Fund		17,567,570		(150	)		6,611,708		10,955,712		1,419,716	(13	)	540,484	879,219
Equity and Bond Fund		9,225,265		605,752			17,494,564		(7,663,547	)	926,494	61,309		1,750,896	(763,093	)
Bond Fund		12,769,138		2,436,919			26,225,745		(11,019,688	)	1,247,498	238,818		2,574,575	(1,088,259	)
Tax Advantaged Bond Fund		3,054,901		609,805			6,426,649		(2,761,943	)	280,985	56,238		591,171	(253,948	)
Money Market Fund		56,099,791		1,570,130			57,271,062		398,859		56,099,791	1,570,130		57,271,062	398,859
LifePath Income Fund		20,014,121		1,254,620			11,714,011		9,554,730		1,757,170	110,884		1,029,603	838,451
LifePath 2010 Fund		51,691,125		3,763			18,234,974		33,459,914		4,272,074	337		1,509,204	2,763,207
LifePath 2020 Fund		91,444,113		5,010			23,792,814		67,656,309		6,971,280	399		1,814,249	5,157,430
LifePath 2030 Fund		69,100,991		4,605			11,866,009		57,239,587		4,985,365	343		858,273	4,127,435
LifePath 2040 Fund		56,526,758		(10	)		9,046,960		47,479,788		3,887,915	(1	)	624,060	3,263,854

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

	Legacy Class B Dollar Amounts										Legacy Class B Share Amounts
2006	Sales		Reinvestments			Redemptions		Net			Sales	Reinvestments		Redemptions	Net
Equity Fund	$	2,775,802	$	(872	)	$	10,694,699	$	(7,919,769	)	329,187	(105	)	1,250,462	(921,380	)
Small Cap Equity Fund		1,473,046		(151	)		21,347,942		(19,875,047	)	139,617	(15	)	1,954,076	(1,814,474	)
International Equity Fund		1,335,679		(26	)		20,531,892		(19,196,239	)	118,841	(3	)	1,739,116	(1,620,278	)
S&P 500 Index Fund		10,368,164		(44	)		22,581,573		(12,213,453	)	1,062,295	(4	)	2,293,823	(1,231,532	)
Small Cap Index Fund		4,771,760		(827	)		23,123,687		(18,352,754	)	336,515	(70	)	1,579,580	(1,243,135	)
International Index Fund		3,956,446		(122	)		21,227,264		(17,270,940	)	320,634	(10	)	1,642,202	(1,321,578	)
Equity and Bond Fund		2,577,061		158,705			13,839,108		(11,103,342	)	259,217	16,047		1,382,072	(1,106,808	)
Bond Fund		2,919,022		691,453			4,136,728		(526,253	)	284,955	67,740		404,084	(51,389	)
Tax Advantaged Bond Fund		182,642		63,094			6,967,277		(6,721,541	)	16,846	5,821		646,027	(623,360	)
Money Market Fund		797,825		23,093			3,459,870		(2,638,952	)	797,825	23,093		3,459,870	(2,638,952	)
LifePath Income Fund		1,843,666		110,934			1,289,986		664,614		161,858	9,805		113,320	58,343
LifePath 2010 Fund		6,603,428		(2,078	)		2,943,296		3,658,054		547,705	(177	)	243,962	303,566
LifePath 2020 Fund		15,295,911		(5,234	)		4,196,013		11,094,664		1,167,975	(418	)	320,504	847,053
LifePath 2030 Fund		13,137,349		(4,251	)		3,053,736		10,079,362		952,071	(319	)	220,688	731,064
LifePath 2040 Fund		11,625,443		(578	)		2,432,213		9,192,652		803,411	(42	)	167,765	635,604

	Institutional Class Dollar Amounts									Institutional Class Share Amounts
2006	Sales		Reinvestments		Redemptions		Net			Sales	Reinvestments	Redemptions	Net
Equity Fund	$	3,085,000	$	4,117	$	2,376,807	$	712,310		371,832	508	284,678	87,662
Small Cap Equity Fund		1,717,136		482		1,259,244		458,374		156,430	46	116,201	40,275
International Equity Fund		2,174,336		263		1,140,120		1,034,479		193,339	25	103,179	90,185
S&P 500 Index Fund		8,449,187		2,436		3,741,201		4,710,422		862,752	255	381,567	481,440
Small Cap Index Fund		8,352,220		7,284		3,305,079		5,054,425		577,735	547	229,783	348,499
International Index Fund		7,483,777		1,751		1,600,339		5,885,189		602,783	153	129,816	473,120
Equity and Bond Fund		1,132,892		77,635		660,465		550,062		114,530	7,898	66,780	55,648
Bond Fund		5,549,574		255,960		1,212,491		4,593,043		543,106	25,120	118,613	449,613
Tax Advantaged Bond Fund		10,017		2,170		36,238		(24,051	)	923	200	3,341	(2,218	)
Money Market Fund		7,949,428		243,060		6,409,152		1,783,336		7,949,428	243,060	6,409,152	1,783,336
LifePath Income Fund		1,819,358		116,626		811,527		1,124,457		159,042	10,285	71,199	98,128
LifePath 2010 Fund		5,504,023		4,396		1,253,045		4,255,374		452,814	368	102,814	350,368
LifePath 2020 Fund		15,299,124		2,312		3,012,079		12,289,357		1,157,138	181	226,563	930,756
LifePath 2030 Fund		15,242,717		5,513		1,243,018		14,005,212		1,093,427	412	89,227	1,004,612
LifePath 2040 Fund		18,160,086		334		1,792,270		16,368,150		1,243,218	24	123,288	1,119,954

102

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

	Class R-1 Dollar Amounts									Class R-1 Share Amounts
2006	Sales		Reinvestments			Redemptions		Net		Sales	Reinvestments		Redemptions	Net
Equity Fund	$	258,857	$	(340	)	$	81,618	$	176,899	31,303	(42	)	9,934	21,327
Small Cap Equity Fund		248,212		(24	)		45,826		202,362	22,930	(2	)	4,308	18,620
International Equity Fund		267,554		(43	)		78,879		188,632	23,823	(4	)	6,897	16,922
S&P 500 Index Fund		1,325,993		—			338,222		987,771	135,608	—		34,711	100,897
Small Cap Index Fund		554,202		(101	)		158,884		395,217	38,620	(8	)	11,119	27,493
International Index Fund		419,441		(63	)		75,411		343,967	34,185	(5	)	6,178	28,002
Equity and Bond Fund		327,785		4,338			19,445		312,678	33,462	446		1,981	31,927
Bond Fund		409,250		16,162			160,622		264,790	39,992	1,586		15,692	25,886
Money Market Fund		2,247,604		42,979			1,339,659		950,924	2,247,604	42,979		1,339,659	950,924
LifePath Income Fund		323,205		9,407			178,502		154,110	28,689	842		15,868	13,663
LifePath 2010 Fund		933,679		(44	)		182,504		751,131	77,352	(3	)	15,160	62,189
LifePath 2020 Fund		1,240,577		(4,167	)		932,016		304,394	94,264	(327	)	71,393	22,544
LifePath 2030 Fund		1,837,500		(356	)		789,507		1,047,637	133,040	(26	)	57,127	75,887
LifePath 2040 Fund		1,618,890		(21	)		424,630		1,194,239	111,764	(2	)	29,670	82,092

	Class R-2 Dollar Amounts								Class R-2 Share Amounts
2006	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	621,380	$	—	$	160,392	$	460,988	74,401	—	19,595	54,806
Small Cap Equity Fund		114,594		—		55,201		59,393	10,587	—	5,095	5,492
International Equity Fund		249,514		—		48,785		200,729	22,202	—	4,121	18,081
S&P 500 Index Fund		1,593,937		—		481,237		1,112,700	163,756	—	49,638	114,118
Small Cap Index Fund		1,626,426		—		563,251		1,063,175	111,969	—	39,282	72,687
International Index Fund		894,894		—		174,658		720,236	72,704	—	14,493	58,211
Equity and Bond Fund		158,560		1,507		21,876		138,191	16,270	155	2,237	14,188
Bond Fund		597,303		20,294		137,491		480,106	57,911	1,993	13,330	46,574
Money Market Fund		2,980,167		35,661		2,329,872		685,956	2,980,167	35,661	2,329,872	685,956
LifePath Income Fund		264,053		9,266		16,226		257,093	23,315	820	1,429	22,706
LifePath 2010 Fund		1,176,102		—		30,248		1,145,854	97,057	—	2,486	94,571
LifePath 2020 Fund		1,956,453		—		23,219		1,933,234	149,661	—	1,758	147,903
LifePath 2030 Fund		2,247,703		—		748,761		1,498,942	163,087	—	53,332	109,755
LifePath 2040 Fund		1,495,141		—		42,884		1,452,257	102,630	—	2,968	99,662

103

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

	Class R-3 Dollar Amounts								Class R-3 Share Amounts
2006	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	56,073	$	351	$	8,491	$	47,933	6,680	43	994	5,729
Small Cap Equity Fund		28,447		24		3,709		24,762	2,609	2	338	2,273
International Equity Fund		56,206		58		2,679		53,585	4,946	5	224	4,727
S&P 500 Index Fund		235,387		—		5,517		229,870	23,767	—	562	23,205
Small Cap Index Fund		52,893		106		1,582		51,417	3,643	8	111	3,540
International Index Fund		78,109		72		2,197		75,984	6,169	6	170	6,005
Equity and Bond Fund		18,976		450		3,739		15,687	1,925	46	371	1,600
Bond Fund		59,698		3,073		2,829		59,942	5,849	302	275	5,876
Money Market Fund		166,612		6,200		109,798		63,014	166,612	6,200	109,798	63,014
LifePath Income Fund		1,048		11		—		1,059	92	1	—	93
LifePath 2010 Fund		47,186		—		454		46,732	3,888	—	37	3,851
LifePath 2020 Fund		320,473		4,466		192,882		132,057	24,269	348	14,589	10,028
LifePath 2030 Fund		315,378		384		20,629		295,133	22,459	28	1,507	20,980
LifePath 2040 Fund		194,611		22		28,766		165,867	13,305	2	2,014	11,293

104

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

Year ended December 31, 2005

	Legacy Class A Dollar Amounts								Legacy Class A Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	19,980,293	$	9,933,751	$	22,981,959	$	6,932,085	2,312,254	1,195,395	2,647,717	859,932
Small Cap Equity Fund		9,409,565		2,152,130		8,644,972		2,916,723	928,019	209,964	849,761	288,222
International Equity Fund		7,020,978		325,096		2,611,697		4,734,377	737,342	30,274	274,994	492,622
S&P 500 Index Fund		76,438,492		6,322,948		44,556,461		38,204,979	8,367,349	675,512	4,854,927	4,187,934
Small Cap Index Fund		33,226,692		9,667,018		18,120,101		24,773,609	2,564,977	734,641	1,389,691	1,909,927
International Index Fund		28,114,905		1,552,927		7,408,453		22,259,379	2,694,053	140,471	706,232	2,128,292
Equity and Bond Fund		17,339,553		1,776,164		12,126,141		6,989,576	1,804,978	182,628	1,262,167	725,439
Bond Fund		35,349,452		4,379,021		19,507,368		20,221,105	3,354,620	416,455	1,852,987	1,918,088
Tax Advantaged Bond Fund		17,323,957		1,185,688		10,278,343		8,231,302	1,566,019	107,211	932,296	740,934
Money Market Fund		102,028,865		1,922,749		96,537,195		7,414,419	102,028,865	1,922,749	96,537,195	7,414,419
LifePath Income Fund		45,718,297		3,897,868		15,464,203		34,151,962	4,099,270	349,317	1,388,387	3,060,200
LifePath 2010 Fund		97,647,213		9,135,010		24,558,124		82,224,099	8,352,747	779,578	2,097,547	7,034,778
LifePath 2020 Fund		141,570,492		11,311,029		27,126,406		125,755,115	11,439,911	905,383	2,188,834	10,156,460
LifePath 2030 Fund		96,754,002		6,385,632		14,955,383		88,184,251	7,510,436	488,695	1,158,867	6,840,264
LifePath 2040 Fund		64,270,418		3,382,058		10,014,719		57,637,757	4,833,702	249,215	748,594	4,334,323

105

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

	Legacy Class B Dollar Amounts									Legacy Class B Share Amounts
2005	Sales		Reinvestments		Redemptions		Net			Sales	Reinvestments	Redemptions	Net
Equity Fund	$	5,793,572	$	3,690,120	$	4,854,290	$	4,629,402		674,905	446,744	565,603	556,046
Small Cap Equity Fund		2,707,334		784,534		2,232,474		1,259,394		272,050	78,141	224,100	126,091
International Equity Fund		1,519,864		70,379		632,239		958,004		160,646	6,587	67,077	100,156
S&P 500 Index Fund		21,655,850		1,437,694		12,297,597		10,795,947		2,375,163	153,836	1,343,684	1,185,315
Small Cap Index Fund		8,195,344		3,090,101		4,408,195		6,877,250		638,859	236,738	341,488	534,109
International Index Fund		5,885,833		323,530		1,838,828		4,370,535		563,506	29,261	175,183	417,584
Equity and Bond Fund		5,911,569		580,499		4,161,005		2,331,063		616,297	59,565	433,255	242,607
Bond Fund		7,072,130		1,300,573		5,631,991		2,740,712		671,522	123,626	535,322	259,826
Tax Advantaged Bond Fund		696,632		127,403		1,076,102		(252,067	)	62,777	11,513	97,104	(22,814	)
Money Market Fund		1,221,143		21,295		774,843		467,595		1,221,143	21,295	774,843	467,595
LifePath Income Fund		3,593,201		387,205		1,661,112		2,319,294		323,240	34,737	149,115	208,862
LifePath 2010 Fund		13,845,931		1,610,478		3,760,493		11,695,916		1,190,270	138,045	322,784	1,005,531
LifePath 2020 Fund		26,331,257		2,308,622		4,819,622		23,820,257		2,138,788	185,391	390,595	1,933,584
LifePath 2030 Fund		22,442,790		1,574,161		3,155,165		20,861,786		1,756,447	121,172	246,490	1,631,129
LifePath 2040 Fund		16,226,520		877,523		2,434,789		14,669,254		1,225,064	64,966	183,286	1,106,744

	Institutional Class Dollar Amounts								Institutional Class Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	7,831,717	$	13,610,832	$	2,502,664	$	18,939,885	937,877	1,680,350	294,384	2,323,843
Small Cap Equity Fund		2,638,739		495,850		1,098,575		2,036,014	259,870	47,724	108,338	199,256
International Equity Fund		2,269,990		88,059		505,040		1,853,009	233,994	8,263	52,799	189,458
S&P 500 Index Fund		13,101,599		1,117,024		3,331,433		10,887,190	1,436,050	118,893	362,669	1,192,274
Small Cap Index Fund		8,593,407		2,148,083		2,983,976		7,757,514	661,140	161,593	226,493	596,240
International Index Fund		7,465,052		407,395		2,313,036		5,559,411	713,924	36,808	221,072	529,660
Equity and Bond Fund		2,607,630		212,346		752,458		2,067,518	272,842	21,954	78,433	216,363
Bond Fund		12,922,117		417,335		2,866,241		10,473,211	1,227,477	39,741	272,250	994,968
Tax Advantaged Bond Fund		50,348		4,306		10,859		43,795	4,551	389	975	3,965
Money Market Fund		10,438,220		297,807		8,760,862		1,975,165	10,438,220	297,807	8,760,862	1,975,165
LifePath Income Fund		2,115,898		382,633		784,401		1,714,130	188,982	34,244	70,037	153,189
LifePath 2010 Fund		9,892,346		1,067,157		2,717,532		8,241,971	841,360	90,538	232,556	699,342
LifePath 2020 Fund		17,805,666		1,513,860		2,806,209		16,513,317	1,427,821	120,311	224,465	1,323,667
LifePath 2030 Fund		16,653,890		1,304,242		1,488,992		16,469,140	1,286,301	99,381	114,810	1,270,872
LifePath 2040 Fund		12,686,956		829,535		1,762,883		11,753,608	952,863	60,912	131,355	882,420

106

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

	Class R-1 Dollar Amounts								Class R-1 Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	661,169	$	62,414	$	127,026	$	596,557	78,493	7,724	14,766	71,451
Small Cap Equity Fund		452,048		19,400		78,481		392,967	44,300	1,885	7,513	38,672
International Equity Fund		330,106		3,885		72,885		261,106	34,603	364	7,169	27,798
S&P 500 Index Fund		2,207,692		23,773		692,810		1,538,655	241,874	2,515	73,710	170,679
Small Cap Index Fund		892,801		49,560		270,547		671,814	68,490	3,731	19,867	52,354
International Index Fund		556,501		9,800		139,309		426,992	52,639	874	12,642	40,871
Equity and Bond Fund		398,300		7,477		46,416		359,361	41,977	777	4,875	37,879
Bond Fund		849,464		21,533		314,495		556,502	80,589	2,052	30,225	52,416
Money Market Fund		5,121,354		34,001		3,606,437		1,548,918	5,121,354	34,001	3,606,437	1,548,918
LifePath Income Fund		772,253		17,970		46,228		743,995	69,577	1,614	4,148	67,043
LifePath 2010 Fund		1,642,374		39,812		104,107		1,578,079	139,019	3,351	8,831	133,539
LifePath 2020 Fund		2,923,287		65,993		193,917		2,795,363	232,942	5,177	15,394	222,725
LifePath 2030 Fund		2,373,384		49,501		197,215		2,225,670	183,377	3,710	15,173	171,914
LifePath 2040 Fund		1,945,271		36,946		183,840		1,798,377	144,877	2,665	13,610	133,932

	Class R-2 Dollar Amounts								Class R-2 Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	935,900	$	99,950	$	17,184	$	1,018,666	111,104	12,355	2,053	121,406
Small Cap Equity Fund		211,509		9,497		17,017		203,989	20,688	921	1,667	19,942
International Equity Fund		183,029		2,181		21,437		163,773	18,742	204	2,340	16,606
S&P 500 Index Fund		2,462,254		26,174		172,341		2,316,087	268,689	2,727	18,488	252,928
Small Cap Index Fund		486,089		23,026		43,125		465,990	37,574	1,727	3,205	36,096
International Index Fund		540,332		7,540		96,261		451,611	51,919	658	9,062	43,515
Equity and Bond Fund		89,732		1,557		—		91,289	9,475	162	—	9,637
Bond Fund		799,918		13,185		162,807		650,296	76,564	1,257	15,497	62,324
Money Market Fund		4,703,751		19,470		3,266,822		1,456,399	4,703,751	19,470	3,266,822	1,456,399
LifePath Income Fund		593,593		13,556		29,538		577,611	53,466	1,210	2,643	52,033
LifePath 2010 Fund		957,433		21,984		49,219		930,198	82,170	1,843	4,135	79,878
LifePath 2020 Fund		1,475,260		30,688		36,377		1,469,571	119,265	2,396	2,865	118,796
LifePath 2030 Fund		1,170,154		23,503		15,415		1,178,242	91,303	1,753	1,195	91,861
LifePath 2040 Fund		1,397,915		26,282		7,684		1,416,513	106,660	1,881	573	107,968

107

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NOTES TO FINANCIAL STATEMENTS (continued)

(Unaudited)

	Class R-3 Dollar Amounts								Class R-3 Share Amounts
2005	Sales		Reinvestments		Redemptions		Net		Sales	Reinvestments	Redemptions	Net
Equity Fund	$	103,458	$	11,547	$	1,977	$	113,028	12,304	1,428	234	13,498
Small Cap Equity Fund		92,466		4,052		9,921		86,597	8,994	391	990	8,395
International Equity Fund		51,417		840		18		52,239	5,241	78	2	5,317
S&P 500 Index Fund		180,154		1,755		38,521		143,388	19,609	182	4,348	15,443
Small Cap Index Fund		66,696		2,874		14,719		54,851	5,076	215	1,194	4,097
International Index Fund		41,328		765		2,865		39,228	4,007	67	276	3,798
Equity and Bond Fund		47,845		715		9,117		39,443	5,040	74	965	4,149
Bond Fund		109,346		2,787		1,496		110,637	10,360	266	141	10,485
Money Market Fund		1,072,522		4,598		902,360		174,760	1,072,522	4,598	902,360	174,760
LifePath Income Fund		260		4		—		264	23	1	—	24
LifePath 2010 Fund		182,351		4,840		255		186,936	15,365	406	22	15,749
LifePath 2020 Fund		826,882		19,358		37,611		808,629	66,253	1,510	3,060	64,703
LifePath 2030 Fund		324,571		6,145		4,318		326,398	24,997	458	325	25,130
LifePath 2040 Fund		50,503		1,085		92		51,496	3,826	78	6	3,898

108

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109

STATE FARM MUTUAL FUND TRUST EQUITY FUND

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the financial performance of each Fund. Certain information reflects financial results for a single Fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the Fund (assuming reinvestment of all dividends and distributions).

(For a share outstanding throughout each period)

			Income from investment operations									Less distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain			Total distributions
Class A Shares
Period ended 06/30/2006 (d) (e)	$	8.44	$	0.02		$	(0.13	)	$	(0.11	)	$	—		$	—		$	—
Class B Shares
Period ended 06/30/2006 (d) (e)		8.44		0.01			(0.13	)		(0.12	)		—			—			—
Legacy Class A Shares
Six months ended 06/30/2006 (d)		8.21		0.05			0.29			0.34			—			—			—
Year ended 12/31/2005		8.54		0.09			0.50			0.59			(0.09	)		(0.83	)		(0.92	)
Year ended 12/31/2004		8.00		0.09			0.53			0.62			(0.08	)		—			(0.08	)
Year ended 12/31/2003		6.55		0.05			1.44			1.49			(0.04	)		—			(0.04	)
Year ended 12/31/2002		8.10		0.04			(1.56	)		(1.52	)		(0.03	)		—			(0.03	)
Year ended 12/31/2001		9.47		0.02			(1.39	)		(1.37	)		—			—			—
Legacy Class B Shares
Six months ended 06/30/2006 (d)		8.16		0.04			0.27			0.31			—			—			—
Year ended 12/31/2005		8.49		0.06			0.50			0.56			(0.06	)		(0.83	)		(0.89	)
Year ended 12/31/2004		7.96		0.06			0.52			0.58			(0.05	)		—			(0.05	)
Year ended 12/31/2003		6.51		0.02			1.45			1.47			(0.02	)		—			(0.02	)
Year ended 12/31/2002		8.06		0.01			(1.55	)		(1.54	)		(0.01	)		—			(0.01	)
Year ended 12/31/2001		9.47		(0.02	)		(1.39	)		(1.41	)		—			—			—
Institutional Shares
Six months ended 06/30/2006 (d)		8.00		0.06			0.28			0.34			—			—			—
Year ended 12/31/2005		8.34		0.12			0.49			0.61			(0.12	)		(0.83	)		(0.95	)
Year ended 12/31/2004		7.81		0.13			0.52			0.65			(0.12	)		—			(0.12	)
Year ended 12/31/2003		6.38		0.09			1.41			1.50			(0.07	)		—			(0.07	)
Year ended 12/31/2002		7.88		0.07			(1.52	)		(1.45	)		(0.05	)		—			(0.05	)
Period ended 12/31/2001 (g)		7.54		0.02			0.34			0.36			(0.02	)		—			(0.02	)
Class R-1 Shares
Six months ended 06/30/2006 (d)		7.98		0.04			0.28			0.32			—			—			—
Year ended 12/31/2005		8.33		0.06			0.49			0.55			(0.07	)		(0.83	)		(0.90	)
Period ended 12/31/2004 (h)		7.75		0.04			0.64			0.68			(0.10	)		—			(0.10	)
Class R-2 Shares
Six months ended 06/30/2006 (d)		7.99		0.05			0.27			0.32			—			—			—
Year ended 12/31/2005		8.33		0.08			0.50			0.58			(0.09	)		(0.83	)		(0.92	)
Period ended 12/31/2004 (h)		7.75		0.04			0.64			0.68			(0.10	)		—			(0.10	)
Class R-3 Shares
Six months ended 06/30/2006 (d)		8.00		0.06			0.27			0.33			—			—			—
Year ended 12/31/2005		8.33		0.10			0.51			0.61			(0.11	)		(0.83	)		(0.94	)
Period ended 12/31/2004 (h)		7.75		0.05			0.64			0.69			(0.11	)		—			(0.11	)

(a) Average shares outstanding for the period were used to calculate net investment income per share.

(b) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(c) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(d) Unaudited.

(e) From commencement of investment operations April 27, 2006.

See accompanying notes to financial statements.

110

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (b)		Net assets, end of period (millions)		Expenses (c)		Net investment income (loss)		Expenses (c)		Net investment income (loss)		Portfolio turnover rate
$	8.33	(1.30	)%	$	4.4	1.17	%(f)	1.24	%(f)	1.17	%(f)	1.24	%(f)	43	%(f)
	8.32	(1.42	)		4.0	1.87	(f)	0.57	(f)	1.87	(f)	0.57	(f)	43	(f)
	8.55	4.14			103.6	1.18	(f)	1.26	(f)	1.18	(f)	1.26	(f)	43	(f)
	8.21	6.76			99.1	1.20		1.05		1.21		1.04		90
	8.54	7.80			95.7	1.18		1.11		1.18		1.11		2
	8.00	22.81			74.4	1.20		0.72		1.23		0.69		1
	6.55	(18.75	)		29.2	1.20		0.58		1.24		0.54		3
	8.10	(14.47	)		13.6	1.20		0.22		1.27		0.15		1
	8.47	3.80			39.8	1.58	(f)	0.85	(f)	1.58	(f)	0.85	(f)	43	(f)
	8.16	6.42			45.9	1.60		0.65		1.61		0.64		90
	8.49	7.32			43.0	1.58		0.71		1.58		0.71		2
	7.96	22.57			34.6	1.60		0.32		1.62		0.30		1
	6.51	(19.15	)		16.2	1.60		0.16		1.64		0.12		3
	8.06	(14.89	)		10.9	1.60		(0.18	)	1.67		(0.25	)	1
	8.34	4.25			134.5	0.93	(f)	1.50	(f)	0.93	(f)	1.50	(f)	43	(f)
	8.00	7.15			128.4	0.88		1.38		0.89		1.37		90
	8.34	8.34			114.4	0.68		1.62		0.68		1.62		2
	7.81	23.52			91.2	0.68		1.24		0.68		1.24		1
	6.38	(18.35	)		51.5	0.70		1.07		0.72		1.05		3
	7.88	4.82			33.0	0.70	(f)	0.85	(f)	0.70	(f)	0.85	(f)	1	(i)
	8.30	4.01			1.9	1.50	(f)	0.94	(f)	1.50	(f)	0.94	(f)	43	(f)
	7.98	6.49			1.6	1.52		0.74		1.54		0.72		90
	8.33	8.76			1.1	1.51	(f)	1.33	(f)	1.51	(f)	1.33	(f)	2	(i)
	8.31	4.01			2.5	1.30	(f)	1.15	(f)	1.30	(f)	1.15	(f)	43	(f)
	7.99	6.79			2.0	1.32		0.95		1.34		0.93		90
	8.33	8.82			1.1	1.31	(f)	1.53	(f)	1.31	(f)	1.53	(f)	2	(i)
	8.33	4.13			1.2	1.00	(f)	1.43	(f)	1.00	(f)	1.43	(f)	43	(f)
	8.00	7.16			1.1	1.02		1.23		1.03		1.22		90
	8.33	8.94			1.1	1.01	(f)	1.84	(f)	1.01	(f)	1.84	(f)	2	(i)

(f) Determined on an annualized basis.

(g) From commencement of investment operations November 1, 2001.

(h) From commencement of investment operations August 23, 2004.

(i) Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

111

STATE FARM MUTUAL FUND TRUST SMALL CAP EQUITY FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations									Less distributions
	Net asset value, beginning of period		Net investment income (loss) (a) (b)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (c)		Net realized gain			Total distributions
Class A Shares
Period ended 06/30/2006 (f) (g)	$	11.35	$	(0.01	)	$	(0.86	)	$	(0.87	)	$	—	$	—		$	—
Class B Shares
Period ended 06/30/2006 (f) (g)		11.35		(0.02	)		(0.87	)		(0.89	)		—		—			—
Legacy Class A Shares
Six months ended 06/30/2006 (f)		10.12		(0.03	)		0.24			0.21			—		—			—
Year ended 12/31/2005		10.45		(0.04	)		0.21			0.17			—		(0.50	)		(0.50	)
Year ended 12/31/2004		9.84		(0.04	)		0.65			0.61			—		—			—
Year ended 12/31/2003		7.06		(0.03	)		2.81			2.78			—		—			—
Year ended 12/31/2002		9.56		(0.02	)		(2.48	)		(2.50	)		—		—			—
Year ended 12/31/2001		9.78		(0.04	)		(0.17	)		(0.21	)		—		(0.01	)		(0.01	)
Legacy Class B Shares
Six months ended 06/30/2006 (f)		9.91		(0.05	)		0.24			0.19			—		—			—
Year ended 12/31/2005		10.29		(0.08	)		0.20			0.12			—		(0.50	)		(0.50	)
Year ended 12/31/2004		9.73		(0.08	)		0.64			0.56			—		—			—
Year ended 12/31/2003		7.00		(0.06	)		2.79			2.73			—		—			—
Year ended 12/31/2002		9.53		(0.06	)		(2.47	)		(2.53	)		—		—			—
Year ended 12/31/2001		9.78		(0.08	)		(0.16	)		(0.24	)		—		(0.01	)		(0.01	)
Institutional Shares
Six months ended 06/30/2006 (f)		10.25		(0.02	)		0.26			0.24			—		—			—
Year ended 12/31/2005		10.55		(0.01	)		0.21			0.20			—		(0.50	)		(0.50	)
Year ended 12/31/2004		9.90		0.01			0.64			0.65			—		—			—
Year ended 12/31/2003		7.06		0.02			2.82			2.84			—		—			—
Period ended 12/31/2002 (i)		9.00		0.03			(1.97	)		(1.94	)		—		—			—
Class R-1 Shares
Six months ended 06/30/2006 (f)		10.15		(0.05	)		0.25			0.20			—		—			—
Year ended 12/31/2005		10.52		(0.07	)		0.20			0.13			—		(0.50	)		(0.50	)
Period ended 12/31/2004 (j)		8.79		(0.02	)		1.75			1.73			—		—			—
Class R-2 Shares
Six months ended 06/30/2006 (f)		10.18		(0.03	)		0.24			0.21			—		—			—
Year ended 12/31/2005		10.53		(0.05	)		0.20			0.15			—		(0.50	)		(0.50	)
Period ended 12/31/2004 (j)		8.79		(0.01	)		1.75			1.74			—		—			—
Class R-3 Shares
Six months ended 06/30/2006 (f)		10.23		(0.02	)		0.24			0.22			—		—			—
Year ended 12/31/2005		10.54		(0.02	)		0.21			0.19			—		(0.50	)		(0.50	)
Period ended 12/31/2004 (j)		8.79		—			1.75			1.75			—		—			—

(a) Average shares outstanding for the period were used to calculate net investment income per share.

(b) Net investment income for Class R-3 shares represent less than $0.01 per share in 2004.

(c) Distributions represent less than $0.01 per share in 2001.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f) Unaudited.

(g) From commencement of investment operations April 27, 2006.

See accompanying notes to financial statements.

112

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (e)		Net investment income (loss)		Expenses (e)		Net investment income (loss)		Portfolio turnover rate
$	10.48	(7.67	)%	$	9.4	1.40	%(h)	(0.32	)%(h)	1.45	%(h)	(0.37	)%(h)	55	%(h)
	10.46	(7.84	)		9.2	2.10	(h)	(1.02	)(h)	2.15	(h)	(1.07	)(h)	55	(h)
	10.33	2.08			67.0	1.40	(h)	(0.53	)(h)	1.45	(h)	(0.58	)(h)	55	(h)
	10.12	1.57			65.1	1.40		(0.39	)	1.51		(0.50	)	61
	10.45	6.20			64.2	1.40		(0.40	)	1.44		(0.44	)	37
	9.84	39.38			55.8	1.40		(0.31	)	1.48		(0.39	)	33
	7.06	(26.15	)		25.8	1.40		(0.29	)	1.48		(0.37	)	29
	9.56	(2.14	)		26.6	1.40		(0.42	)	1.48		(0.50	)	44
	10.10	1.92			23.6	1.80	(h)	(0.97	)(h)	1.85	(h)	(1.02	)(h)	55	(h)
	9.91	1.10			41.2	1.80		(0.80	)	1.91		(0.91	)	61
	10.29	5.76			41.4	1.80		(0.80	)	1.84		(0.84	)	37
	9.73	39.00			36.7	1.80		(0.71	)	1.87		(0.78	)	33
	7.00	(26.55	)		21.2	1.80		(0.70	)	1.88		(0.78	)	29
	9.53	(2.45	)		24.8	1.80		(0.82	)	1.88		(0.90	)	44
	10.49	2.34			14.2	1.15	(h)	(0.28	)(h)	1.20	(h)	(0.33	)(h)	55	(h)
	10.25	1.83			13.5	1.07		(0.07	)	1.18		(0.18	)	61
	10.55	6.57			11.8	0.90		0.11		0.95		0.06		37
	9.90	40.23			8.8	0.90		0.19		0.98		0.11		33
	7.06	(22.00	)		3.3	0.90	(h)	0.40	(h)	0.98	(h)	0.32	(h)	29	(k)
	10.35	1.97			1.8	1.72	(h)	(0.85	)(h)	1.77	(h)	(0.90	)(h)	55	(h)
	10.15	1.17			1.6	1.72		(0.71	)	1.83		(0.82	)	61
	10.52	19.68			1.2	1.72	(h)	(0.47	)(h)	1.80	(h)	(0.55	)(h)	37	(k)
	10.39	2.06			1.4	1.52	(h)	(0.65	)(h)	1.57	(h)	(0.70	)(h)	55	(h)
	10.18	1.36			1.4	1.52		(0.51	)	1.63		(0.62	)	61
	10.53	19.80			1.2	1.52	(h)	(0.28	)(h)	1.60	(h)	(0.36	)(h)	37	(k)
	10.45	2.15			1.3	1.22	(h)	(0.35	)(h)	1.27	(h)	(0.40	)(h)	55	(h)
	10.23	1.74			1.3	1.22		(0.22	)	1.33		(0.33	)	61
	10.54	19.91			1.2	1.22	(h)	0.02	(h)	1.30	(h)	(0.06	)(h)	37	(k)

(h) Determined on an annualized basis.

(i) From commencement of investment operations February 28, 2002.

(j) From commencement of investment operations August 31, 2004.

(k) Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

113

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations									Less distributions
	Net asset value, beginning of period		Net investment income (loss) (a) (b) (c)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income (d)			Net realized gain (d)		Total distributions
Class A Shares
Period ended 06/30/2006 (g) (h)	$	11.86	$	0.05		$	(0.57	)	$	(0.52	)	$	—		$	—	$	—
Class B Shares
Period ended 06/30/2006 (g) (h)		11.86		0.04			(0.58	)		(0.54	)		—			—		—
Legacy Class A Shares
Six months ended 06/30/2006 (g)		10.74		0.08			0.56			0.64			—			—		—
Year ended 12/31/2005		9.36		0.07			1.45			1.52			(0.14	)		—		(0.14	)
Year ended 12/31/2004		8.39		0.04			1.00			1.04			(0.07	)		—		(0.07	)
Year ended 12/31/2003		6.34		0.03			2.10			2.13			(0.08	)		—		(0.08	)
Year ended 12/31/2002		7.77		0.02			(1.35	)		(1.33	)		(0.10	)		—		(0.10	)
Year ended 12/31/2001		9.64		—			(1.87	)		(1.87	)		—			—		—
Legacy Class B Shares
Six months ended 06/30/2006 (g)		10.68		0.04			0.57			0.61			—			—		—
Year ended 12/31/2005		9.31		0.04			1.44			1.48			(0.11	)		—		(0.11	)
Year ended 12/31/2004		8.35		0.01			0.98			0.99			(0.03	)		—		(0.03	)
Year ended 12/31/2003		6.31		—			2.09			2.09			(0.05	)		—		(0.05	)
Year ended 12/31/2002		7.74		(0.01	)		(1.35	)		(1.36	)		(0.07	)		—		(0.07	)
Year ended 12/31/2001		9.64		(0.03	)		(1.87	)		(1.90	)		—			—		—
Institutional Shares
Six months ended 06/30/2006 (g)		10.68		0.09			0.57			0.66			—			—		—
Year ended 12/31/2005		9.31		0.10			1.44			1.54			(0.17	)		—		(0.17	)
Year ended 12/31/2004		8.35		0.08			0.99			1.07			(0.11	)		—		(0.11	)
Year ended 12/31/2003		6.29		0.07			2.10			2.17			(0.11	)		—		(0.11	)
Period ended 12/31/2002 (j)		7.34		0.03			(0.95	)		(0.92	)		(0.13	)		—		(0.13	)
Class R-1 Shares
Six months ended 06/30/2006 (g)		10.68		0.06			0.56			0.62			—			—		—
Year ended 12/31/2005		9.32		0.04			1.44			1.48			(0.12	)		—		(0.12	)
Period ended 12/31/2004 (k)		8.32		(0.02	)		1.11			1.09			(0.09	)		—		(0.09	)
Class R-2 Shares
Six months ended 06/30/2006 (g)		10.71		0.07			0.56			0.63			—			—		—
Year ended 12/31/2005		9.32		0.06			1.46			1.52			(0.13	)		—		(0.13	)
Period ended 12/31/2004 (k)		8.32		(0.01	)		1.10			1.09			(0.09	)		—		(0.09	)
Class R-3 Shares
Six months ended 06/30/2006 (g)		10.70		0.09			0.55			0.64			—			—		—
Year ended 12/31/2005		9.32		0.09			1.45			1.54			(0.16	)		—		(0.16	)
Period ended 12/31/2004 (k)		8.32		—			1.10			1.10			(0.10	)		—		(0.10	)

(a) Average shares outstanding for the period were used to calculate net investment income per share.

(b) Net investment income for Legacy Class B shares represent less than $0.01 per share in 2003.

(c) Net investment income for Class R-3 shares represent less than $0.01 per share in 2004.

(d) Distributions represent less than $0.01 per share in 2001.

(e) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(f) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(g) Unaudited.

See accompanying notes to financial statements.

114

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (e)		Net assets, end of period (millions)		Expenses (f)		Net investment income (loss)		Expenses (f)		Net investment income (loss)		Portfolio turnover rate
$	11.34	(4.38	)%	$	9.8	1.50	%(i)	2.41	%(i)	1.62	%(i)	2.29	%(i)	29	%(i)
	11.32	(4.55	)		9.6	2.20	(i)	1.72	(i)	2.32	(i)	1.60	(i)	29	(i)
	11.38	5.96			51.0	1.50	(i)	1.35	(i)	1.60	(i)	1.25	(i)	29	(i)
	10.74	16.27			44.7	1.50		0.78		1.73		0.55		27
	9.36	12.34			34.4	1.50		0.48		1.68		0.30		22
	8.39	33.61			29.1	1.50		0.45		1.91		0.04		16
	6.34	(17.17	)		18.4	1.50		0.23		2.00		(0.27	)	24
	7.77	(19.35	)		20.8	1.50		0.05		1.75		(0.20	)	26
	11.29	5.71			17.9	1.90	(i)	0.68	(i)	2.00	(i)	0.58	(i)	29	(i)
	10.68	15.84			34.3	1.90		0.40		2.13		0.17		27
	9.31	11.89			28.9	1.90		0.06		2.08		(0.12	)	22
	8.35	33.18			24.8	1.90		0.07		2.32		(0.35	)	16
	6.31	(17.59	)		17.4	1.90		(0.17	)	2.40		(0.67	)	24
	7.74	(19.66	)		19.8	1.90		(0.35	)	2.15		(0.60	)	26
	11.34	6.18			10.8	1.25	(i)	1.61	(i)	1.35	(i)	1.51	(i)	29	(i)
	10.68	16.57			9.3	1.17		1.09		1.41		0.85		27
	9.31	12.78			6.3	1.00		0.96		1.18		0.78		22
	8.35	34.56			4.7	1.00		0.94		1.41		0.53		16
	6.29	(12.55	)		2.7	1.00	(i)	0.56	(i)	1.51	(i)	0.05	(i)	24	(l)
	11.30	5.81			1.9	1.82	(i)	1.04	(i)	1.92	(i)	0.94	(i)	29	(i)
	10.68	15.86			1.6	1.82		0.42		2.05		0.19		27
	9.32	13.06			1.2	1.82	(i)	(0.70	)(i)	2.04	(i)	(0.92	)(i)	22	(l)
	11.34	5.88			1.8	1.62	(i)	1.25	(i)	1.72	(i)	1.15	(i)	29	(i)
	10.71	16.34			1.5	1.62		0.67		1.85		0.44		27
	9.32	13.12			1.1	1.62	(i)	(0.49	)(i)	1.84	(i)	(0.71	)(i)	22	(l)
	11.34	5.98			1.5	1.32	(i)	1.52	(i)	1.42	(i)	1.42	(i)	29	(i)
	10.70	16.51			1.3	1.32		0.97		1.55		0.74		27
	9.32	13.22			1.1	1.32	(i)	(0.19	)(i)	1.54	(i)	(0.41	)(i)	22	(l)

(h) From commencement of investment operations April 27, 2006.

(i) Determined on an annualized basis.

(j) From commencement of investment operations February 28, 2002.

(k) From commencement of investment operations September 13, 2004.

(l) Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

115

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (c)		Total distributions
Class A Shares
Period ended 06/30/2006 (h) (i)	$	9.96	$	0.02	$	(0.27	)	$	(0.25	)	$	—		$	—	$	—
Class B Shares
Period ended 06/30/2006 (h) (i)		9.96		0.01		(0.27	)		(0.26	)		—			—		—
Legacy Class A Shares
Six months ended 06/30/2006 (h)		9.46		0.06		0.16			0.22			—			—		—
Year ended 12/31/2005		9.18		0.10		0.28			0.38			(0.10	)		—		(0.10	)
Year ended 12/31/2004		8.43		0.11		0.74			0.85			(0.10	)		—		(0.10	)
Year ended 12/31/2003		6.66		0.07		1.75			1.82			(0.05	)		—		(0.05	)
Year ended 12/31/2002		8.66		0.06		(2.02	)		(1.96	)		(0.04	)		—		(0.04	)
Year ended 12/31/2001		9.98		0.05		(1.33	)		(1.28	)		(0.04	)		—		(0.04	)
Legacy Class B Shares
Six months ended 06/30/2006 (h)		9.46		0.04		0.16			0.20			—			—		—
Year ended 12/31/2005		9.18		0.06		0.28			0.34			(0.06	)		—		(0.06	)
Year ended 12/31/2004		8.43		0.08		0.74			0.82			(0.07	)		—		(0.07	)
Year ended 12/31/2003		6.65		0.04		1.77			1.81			(0.03	)		—		(0.03	)
Year ended 12/31/2002		8.66		0.03		(2.02	)		(1.99	)		(0.02	)		—		(0.02	)
Year ended 12/31/2001		9.98		0.01		(1.31	)		(1.30	)		(0.02	)		—		(0.02	)
Institutional Shares
Six months ended 06/30/2006 (h)		9.49		0.07		0.16			0.23			—			—		—
Year ended 12/31/2005		9.21		0.13		0.28			0.41			(0.13	)		—		(0.13	)
Year ended 12/31/2004		8.45		0.16		0.74			0.90			(0.14	)		—		(0.14	)
Year ended 12/31/2003		6.65		0.11		1.77			1.88			(0.08	)		—		(0.08	)
Period ended 12/31/2002 (k)		8.35		0.09		(1.72	)		(1.63	)		(0.07	)		—		(0.07	)
Class R-1 Shares
Six months ended 06/30/2006 (h)		9.47		0.04		0.17			0.21			—			—		—
Year ended 12/31/2005		9.20		0.07		0.27			0.34			(0.07	)		—		(0.07	)
Period ended 12/31/2004 (l)		8.62		0.04		0.66			0.70			(0.12	)		—		(0.12	)
Class R-2 Shares
Six months ended 06/30/2006 (h)		9.46		0.05		0.16			0.21			—			—		—
Year ended 12/31/2005		9.20		0.09		0.28			0.37			(0.11	)		—		(0.11	)
Period ended 12/31/2004 (l)		8.62		0.05		0.65			0.70			(0.12	)		—		(0.12	)
Class R-3 Shares
Six months ended 06/30/2006 (h)		9.49		0.07		0.16			0.23			—			—		—
Year ended 12/31/2005		9.20		0.12		0.28			0.40			(0.11	)		—		(0.11	)
Period ended 12/31/2004 (l)		8.62		0.06		0.65			0.71			(0.13	)		—		(0.13	)

(a) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio. For the six months ended June 30, 2006, the net amounts and ratios reflect Barclays’ expense credit for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense credit, were 0.05% and 1.89%, respectively, for the six months ended June 30, 2006.

(b) Average shares outstanding for the period were used to calculate net investment income per share.

(c) Distributions represent less than $0.01 per share in 2001.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005

See accompanying notes to financial statements.

116

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (loss) (f)		Portfolio turnover rate (g)
$	9.71	(2.51	)%	$	11.4	0.78	%(j)	1.41	%(j)	0.78	%(j)	1.41	%(j)	3	%
	9.70	(2.61	)		9.9	1.48	(j)	0.72	(j)	1.48	(j)	0.72	(j)	3
	9.68	2.33			345.9	0.78	(j)	1.17	(j)	0.78	(j)	1.17	(j)	3
	9.46	4.08			339.8	0.80		1.10		0.82		1.08		14
	9.18	10.06			291.4	0.80		1.29		0.80		1.29		14
	8.43	27.39			184.3	0.80		0.99		0.89		0.90		8
	6.66	(22.60	)		62.9	0.80		0.88		0.86		0.82		12
	8.66	(12.75	)		32.4	0.80		0.57		0.90		0.47		9
	9.66	2.11			130.1	1.18	(j)	0.76	(j)	1.18	(j)	0.76	(j)	3
	9.46	3.69			139.0	1.20		0.70		1.22		0.68		14
	9.18	9.67			124.1	1.20		0.87		1.20		0.87		14
	8.43	27.19			89.7	1.20		0.59		1.29		0.50		8
	6.65	(23.00	)		38.4	1.20		0.46		1.27		0.39		12
	8.66	(13.03	)		26.1	1.20		0.17		1.30		0.07		9
	9.72	2.42			58.9	0.53	(j)	1.42	(j)	0.53	(j)	1.42	(j)	3
	9.49	4.38			53.0	0.48		1.42		0.50		1.40		14
	9.21	10.59			40.4	0.30		1.79		0.30		1.79		14
	8.45	28.27			25.1	0.30		1.49		0.39		1.40		8
	6.65	(19.57	)		8.3	0.30	(j)	1.48	(j)	0.35	(j)	1.43	(j)	12
	9.68	2.22			4.3	1.10	(j)	0.86	(j)	1.10	(j)	0.86	(j)	3
	9.47	3.73			3.3	1.12		0.79		1.15		0.76		14
	9.20	8.12			1.6	1.12	(j)	1.65	(j)	1.12	(j)	1.65	(j)	14
	9.67	2.22			4.7	0.90	(j)	1.06	(j)	0.90	(j)	1.06	(j)	3
	9.46	3.95			3.5	0.92		1.02		0.95		0.99		14
	9.20	8.11			1.1	0.92	(j)	1.93	(j)	0.92	(j)	1.93	(j)	14
	9.72	2.42			1.5	0.60	(j)	1.34	(j)	0.60	(j)	1.34	(j)	3
	9.49	4.35			1.3	0.62		1.28		0.65		1.25		14
	9.20	8.20			1.1	0.62	(j)	2.24	(j)	0.62	(j)	2.24	(j)	14

(f) The ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio. For the six months ended June 30, 2006, the net amounts and ratios do not reflect Barclays’ expense credit for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, excluding Barclays’ expense credit, were 0.05% and 1.89%, respectively, for the six months ended June 30, 2006.

(g) Amount represents the portfolio turnover rate of the Master Portfolio.

(h) Unaudited.

(i) For all the data, except for the portfolio turnover rate which is for the six months ended June 30, 2006, the period is from commencement of investment operations April 27, 2006.

(j) Determined on an annualized basis.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations February 28, 2002.

(l) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

117

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations									Less distributions
	Net asset value, beginning of period		Net investment income (a) (b) (c) (d)			Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain			Total distributions
Class A Shares
Period ended 06/30/2006 (i) (j)	$	15.06	$	0.01		$	(0.80	)	$	(0.79	)	$	—		$	—		$	—
Class B Shares
Period ended 06/30/2006 (i) (j)		15.06		(0.01	)		(0.80	)		(0.81	)		—			—			—
Legacy Class A Shares
Six months ended 06/30/2006 (i)		13.11		0.02			0.98			1.00			—			—			—
Year ended 12/31/2005		13.31		0.05			0.43			0.48			(0.01	)		(0.67	)		(0.68	)
Year ended 12/31/2004		11.69		0.05			1.99			2.04			(0.03	)		(0.39	)		(0.42	)
Year ended 12/31/2003		8.14		0.04			3.60			3.64			(0.04	)		(0.05	)		(0.09	)
Year ended 12/31/2002		10.37		0.05			(2.23	)		(2.18	)		—	(e)		(0.05	)		(0.05	)
Year ended 12/31/2001		10.43		0.06			0.10			0.16			(0.07	)		(0.15	)		(0.22	)
Legacy Class B Shares
Six months ended 06/30/2006 (i)		12.99		(0.01	)		0.97			0.96			—			—			—
Year ended 12/31/2005		13.23		—			0.43			0.43			—			(0.67	)		(0.67	)
Year ended 12/31/2004		11.65		—			1.97			1.97			—			(0.39	)		(0.39	)
Year ended 12/31/2003		8.10		—			3.60			3.60			—	(e)		(0.05	)		(0.05	)
Year ended 12/31/2002		10.36		0.01			(2.22	)		(2.21	)		—	(e)		(0.05	)		(0.05	)
Year ended 12/31/2001		10.43		0.02			0.09			0.11			(0.03	)		(0.15	)		(0.18	)
Institutional Shares
Six months ended 06/30/2006 (i)		13.25		0.04			0.98			1.02			—			—			—
Year ended 12/31/2005		13.44		0.10			0.43			0.53			(0.05	)		(0.67	)		(0.72	)
Year ended 12/31/2004		11.80		0.11			2.00			2.11			(0.08	)		(0.39	)		(0.47	)
Year ended 12/31/2003		8.17		0.09			3.67			3.76			(0.08	)		(0.05	)		(0.13	)
Period ended 12/31/2002 (k)		9.95		0.10			(1.83	)		(1.73	)		—	(e)		(0.05	)		(0.05	)
Class R-1 Shares
Six months ended 06/30/2006 (i)		13.21		—			0.98			0.98			—			—			—
Year ended 12/31/2005		13.44		0.01			0.43			0.44			—			(0.67	)		(0.67	)
Period ended 12/31/2004 (m)		12.13		0.02			1.73			1.75			(0.05	)		(0.39	)		(0.44	)
Class R-2 Shares
Six months ended 06/30/2006 (i)		13.24		0.01			0.99			1.00			—			—			—
Year ended 12/31/2005		13.44		0.04			0.44			0.48			(0.01	)		(0.67	)		(0.68	)
Period ended 12/31/2004 (m)		12.13		0.03			1.73			1.76			(0.06	)		(0.39	)		(0.45	)
Class R-3 Shares
Six months ended 06/30/2006 (i)		13.25		0.03			0.99			1.02			—			—			—
Year ended 12/31/2005		13.44		0.08			0.43			0.51			(0.03	)		(0.67	)		(0.70	)
Period ended 12/31/2004 (m)		12.13		0.04			1.73			1.77			(0.07	)		(0.39	)		(0.46	)

(a) Average shares outstanding for the period were used to calculate net investment income per share.

(b) Net investment income for Legacy Class B shares represent less than $0.01 per share in 2003, 2004 and 2005.

(c) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master Portfolio through September 9, 2005.

(d) Net investment income for Class R-1 represents less than $0.01 per share in 2006. (e) Distributions represent less than $0.01 per share.

(f) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(g) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(h) The 2005 portfolio turnover rate reflects the period from September 9, 2005 to December 31, 2005. Prior to September 9, 2005, the Small Cap Index Fund invested all of its assets in its corresponding Master Portfolio. The portfolio turnover rate of the Master Portfolio for the period January 1, 2005 through September 9, 2005 was 19%. The portfolio turnover rate for all other years prior to 2005 represents that of the Master Portfolio.

See accompanying notes to financial statements.

118

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (f)		Net assets, end of period (millions)		Expenses (c) (g)		Net investment income (loss) (c)		Expenses (c) (g)		Net investment income (loss) (c)		Portfolio turnover rate (h)
$	14.27	(4.74	)%(n)	$	10.6	0.95	%(l)	0.45	%(l)	0.97	%(l)	0.43	%(l)	45	%(l)
	14.25	(4.87	)(n)		9.6	1.65	(l)	(0.26	)(l)	1.67	(l)	(0.28	)(l)	45	(l)
	14.11	7.63	(n)		175.5	0.95	(l)	0.28	(l)	0.96	(l)	0.27	(l)	45	(l)
	13.11	3.55			157.2	0.95		0.41		1.01		0.35		3
	13.31	17.40			134.2	0.95		0.41		0.97		0.39		20
	11.69	44.70			87.6	0.95		0.42		1.11		0.26		48
	8.14	(21.06	)		34.0	0.95		0.53		1.05		0.43		28
	10.37	1.42			29.4	0.95		0.61		1.08		0.48		46
	13.95	7.39	(n)		63.5	1.35	(l)	(0.13	)(l)	1.36	(l)	(0.14	)(l)	45	(l)
	12.99	3.18			75.2	1.35		0.00		1.41		(0.06	)	3
	13.23	16.90			69.6	1.35		0.00		1.37		(0.02	)	20
	11.65	44.46			52.4	1.35		0.02		1.51		(0.14	)	48
	8.10	(21.37	)		26.8	1.35		0.12		1.45		0.02		28
	10.36	1.03			27.5	1.35		0.21		1.48		0.08		46
	14.27	7.70	(n)		38.6	0.70	(l)	0.54	(l)	0.71	(l)	0.53	(l)	45	(l)
	13.25	3.89			31.2	0.63		0.73		0.69		0.67		3
	13.44	17.84			23.7	0.45		0.92		0.47		0.90		20
	11.80	45.97			13.6	0.45		0.91		0.61		0.75		48
	8.17	(17.43	)		3.9	0.45	(l)	1.16	(l)	0.53	(l)	1.08	(l)	28
	14.19	7.42			2.5	1.27	(l)	(0.03	)(l)	1.28	(l)	(0.04	)(l)	45	(l)
	13.21	3.20			2.0	1.27		0.09		1.33		0.03		3
	13.44	14.42			1.3	1.27	(l)	0.57	(l)	1.31	(l)	0.53	(l)	20
	14.24	7.55	(n)		2.7	1.07	(l)	0.19	(l)	1.08	(l)	0.18	(l)	45	(l)
	13.24	3.46			1.6	1.07		0.29		1.13		0.23		3
	13.44	14.46			1.1	1.07	(l)	0.74	(l)	1.11	(l)	0.70	(l)	20
	14.27	7.70			1.3	0.77	(l)	0.47	(l)	0.78	(l)	0.46	(l)	45	(l)
	13.25	3.75			1.1	0.77		0.58		0.83		0.52		3
	13.44	14.55			1.1	0.77	(l)	1.04	(l)	0.81	(l)	1.00	(l)	20

(i) Unaudited.

(j) From commencement of investment operations April 27, 2006.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations February 28, 2002.

(l) Determined on an annualized basis.

(m) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

(n) Based upon net asset value of $14.27, $14.25, $14.11, $13.95, $14.27 and $14.24 for the Small Cap Index Fund Class A, Class B, Legacy Class A, Legacy Class B, Institutional and Class R-2 shares, respectively, as of June 30, 2006 (as calculated for financial reporting purposes, taking into account transactions that occurred on June 30, 2006). For shareholder purchases and redemptions on June 30, 2006, the net asset value was $14.26, $14.24, $14.10, $13.94, $14.26, and $14.23, respectively, which caused the total return for the period ended June 30, 2006 to be equivalent to (4.81)%, (4.94)%, 7.55%, 7.31%, 7.62%, and 7.48%, respectively.

See accompanying notes to financial statements.

119

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

FINANCIAL HIGHLIGHTS

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (c)		Total distributions
Class A Shares
Period ended 06/30/2006 (f) (g)	$	13.04	$	0.09	$	(0.58	)	$	(0.49	)	$	—		$	—	$	—
Class B Shares
Period ended 06/30/2006 (f) (g)		13.04		0.07		(0.58	)		(0.51	)		—			—		—
Legacy Class A Shares
Six months ended 06/30/2006 (f)		11.42		0.16		0.91			1.07			—			—		—
Year ended 12/31/2005		10.30		0.16		1.15			1.31			(0.19	)		—		(0.19	)
Year ended 12/31/2004		8.74		0.12		1.55			1.67			(0.11	)		—		(0.11	)
Year ended 12/31/2003		6.45		0.09		2.29			2.38			(0.09	)		—		(0.09	)
Year ended 12/31/2002		7.87		0.08		(1.43	)		(1.35	)		(0.07	)		—		(0.07	)
Year ended 12/31/2001		10.15		0.05		(2.31	)		(2.26	)		(0.02	)		—		(0.02	)
Legacy Class B Shares
Six months ended 06/30/2006 (f)		11.42		0.13		0.92			1.05			—			—		—
Year ended 12/31/2005		10.29		0.12		1.15			1.27			(0.14	)		—		(0.14	)
Year ended 12/31/2004		8.74		0.09		1.54			1.63			(0.08	)		—		(0.08	)
Year ended 12/31/2003		6.44		0.07		2.29			2.36			(0.06	)		—		(0.06	)
Year ended 12/31/2002		7.87		0.05		(1.43	)		(1.38	)		(0.05	)		—		(0.05	)
Year ended 12/31/2001		10.15		0.02		(2.30	)		(2.28	)		—			—		—
Institutional Shares
Six months ended 06/30/2006 (f)		11.46		0.18		0.90			1.08			—			—		—
Year ended 12/31/2005		10.33		0.20		1.15			1.35			(0.22	)		—		(0.22	)
Year ended 12/31/2004		8.75		0.17		1.56			1.73			(0.15	)		—		(0.15	)
Year ended 12/31/2003		6.44		0.13		2.30			2.43			(0.12	)		—		(0.12	)
Period ended 12/31/2002 (j)		7.48		0.08		(1.01	)		(0.93	)		(0.11	)		—		(0.11	)
Class R-1 Shares
Six months ended 06/30/2006 (f)		11.45		0.15		0.91			1.06			—			—		—
Year ended 12/31/2005		10.32		0.13		1.15			1.28			(0.15	)		—		(0.15	)
Period ended 12/31/2004 (k)		9.07		0.01		1.37			1.38			(0.13	)		—		(0.13	)
Class R-2 Shares
Six months ended 06/30/2006 (f)		11.45		0.16		0.91			1.07			—			—		—
Year ended 12/31/2005		10.32		0.15		1.16			1.31			(0.18	)		—		(0.18	)
Period ended 12/31/2004 (k)		9.07		0.01		1.38			1.39			(0.14	)		—		(0.14	)
Class R-3 Shares
Six months ended 06/30/2006 (f)		11.45		0.17		0.93			1.10			—			—		—
Year ended 12/31/2005		10.32		0.19		1.14			1.33			(0.20	)		—		(0.20	)
Period ended 12/31/2004 (k)		9.07		0.02		1.37			1.39			(0.14	)		—		(0.14	)

(a) The per share amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of the income and expenses of the Master Portfolio through September 9, 2005.

(b) Average shares outstanding for the period were used to calculate net investment income per share.

(c) Distributions represent less than $0.01 per share in 2001.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(f) Unaudited.

(g) From commencement of investment operations April 27, 2006.

See accompanying notes to financial statements.

120

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (a) (e)		Net investment income (loss) (a)		Portfolio turnover rate (h)
$	12.55	(3.76	)%	$	10.5	1.15	%(i)	3.96	%(i)	1.23	%(i)	3.88	%(i)	11	%(i)
	12.53	(3.91	)		9.7	1.85	(i)	3.30	(i)	1.93	(i)	3.22	(i)	11	(i)
	12.49	9.37			110.4	1.15	(i)	2.69	(i)	1.29	(i)	2.55	(i)	11	(i)
	11.42	12.67			90.9	1.15		1.54		1.28		1.41		1
	10.30	19.15			60.0	1.15		1.36		1.21		1.30		39
	8.74	36.95			36.0	1.15		1.29		1.35		1.09		18
	6.45	(17.08	)		19.5	1.15		1.06		1.27		0.94		20
	7.87	(22.19	)		21.0	1.15		0.59		1.29		0.45		7
	12.47	9.19			35.4	1.55	(i)	2.06	(i)	1.70	(i)	1.91	(i)	11	(i)
	11.42	12.36			47.5	1.55		1.17		1.68		1.04		1
	10.29	18.60			38.6	1.55		0.98		1.61		0.92		39
	8.74	36.71			28.9	1.55		0.93		1.75		0.73		18
	6.44	(17.56	)		18.7	1.55		0.66		1.67		0.54		20
	7.87	(22.43	)		20.2	1.55		0.19		1.69		0.05		7
	12.54	9.42	(l)		26.9	0.90	(i)	3.01	(i)	1.04	(i)	2.87	(i)	11	(i)
	11.46	13.02			19.1	0.83		1.86		0.96		1.73		1
	10.33	19.81			11.8	0.65		1.86		0.71		1.80		39
	8.75	37.79			6.1	0.65		1.75		0.85		1.55		18
	6.44	(12.45	)		2.8	0.65	(i)	1.33	(i)	0.74	(i)	1.24	(i)	20
	12.51	9.26			2.4	1.47	(i)	2.39	(i)	1.61	(i)	2.25	(i)	11	(i)
	11.45	12.44			1.9	1.47		1.23		1.60		1.10		1
	10.32	15.24			1.3	1.47	(i)	0.28	(i)	1.56	(i)	0.19	(i)	39
	12.52	9.35			2.7	1.27	(i)	2.66	(i)	1.41	(i)	2.52	(i)	11	(i)
	11.45	12.66			1.8	1.27		1.41		1.40		1.28		1
	10.32	15.27			1.1	1.27	(i)	0.47	(i)	1.36	(i)	0.38	(i)	39
	12.55	9.61			1.5	0.97	(i)	2.85	(i)	1.11	(i)	2.71	(i)	11	(i)
	11.45	12.88			1.3	0.97		1.75		1.10		1.62		1
	10.32	15.37			1.1	0.97	(i)	0.77	(i)	1.05	(i)	0.69	(i)	39

(h) The 2005 portfolio turnover rate reflects the period from September 9, 2005 to December 31, 2005. Prior to September 9, 2005, the International Index Fund invested all of its assets in its corresponding Master Portfolio. The portfolio turnover rate of the Master Portfolio for the period January 1, 2005 through September 9, 2005 was 4%. The portfolio turnover rate for all other years prior to 2005 represents that of the Master Portfolio.

(i) Determined on an annualized basis.

(j) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations February 28, 2002.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

(l) Based upon net asset value of $12.54 as of June 30, 2006 (as calculated for financial reporting purposes, taking into account transactions that occurred on June 30, 2006). For shareholder purchases and redemptions on June 30, 2006, the net asset value was $12.55, which caused the total return for the six months ended June 30, 2006 to be equivalent to 9.51%.

See accompanying notes to financial statements.

121

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (b)			Total distributions
Class A Shares
Period ended 06/30/2006 (e) (f)	$	9.99	$	0.03	$	(0.09	)	$	(0.06	)	$	(0.08	)	$	—		$	(0.08	)
Class B Shares
Period ended 06/30/2006 (e) (f)		9.99		0.01		(0.08	)		(0.07	)		(0.07	)		—			(0.07	)
Legacy Class A Shares
Six months ended 06/30/2006 (e)		9.76		0.07		0.15			0.22			(0.07	)		—			(0.07	)
Year ended 12/31/2005		9.52		0.21		0.17			0.38			(0.14	)		—			(0.14	)
Year ended 12/31/2004		9.14		0.20		0.37			0.57			(0.19	)		—			(0.19	)
Year ended 12/31/2003		8.10		0.16		1.03			1.19			(0.15	)		—			(0.15	)
Year ended 12/31/2002		8.98		0.19		(0.97	)		(0.78	)		(0.10	)		—			(0.10	)
Year ended 12/31/2001		9.78		0.24		(0.79	)		(0.55	)		(0.23	)		(0.02	)		(0.25	)
Legacy Class B Shares
Six months ended 06/30/2006 (e)		9.77		0.05		0.15			0.20			(0.05	)		—			(0.05	)
Year ended 12/31/2005		9.53		0.17		0.19			0.36			(0.12	)		—			(0.12	)
Year ended 12/31/2004		9.15		0.16		0.38			0.54			(0.16	)		—			(0.16	)
Year ended 12/31/2003		8.10		0.12		1.04			1.16			(0.11	)		—			(0.11	)
Year ended 12/31/2002		8.97		0.16		(0.95	)		(0.79	)		(0.08	)		—			(0.08	)
Year ended 12/31/2001		9.78		0.23		(0.80	)		(0.57	)		(0.22	)		(0.02	)		(0.24	)
Institutional Shares
Six months ended 06/30/2006 (e)		9.71		0.08		0.15			0.23			(0.08	)		—			(0.08	)
Year ended 12/31/2005		9.47		0.25		0.15			0.40			(0.16	)		—			(0.16	)
Year ended 12/31/2004		9.10		0.25		0.36			0.61			(0.24	)		—			(0.24	)
Year ended 12/31/2003		8.06		0.21		1.01			1.22			(0.18	)		—			(0.18	)
Period ended 12/31/2002 (i)		8.94		0.22		(0.94	)		(0.72	)		(0.16	)		—			(0.16	)
Class R-1 Shares
Six months ended 06/30/2006 (e)		9.62		0.05		0.15			0.20			(0.06	)		—			(0.06	)
Year ended 12/31/2005		9.40		0.19		0.17			0.36			(0.14	)		—			(0.14	)
Period ended 12/31/2004 (j)		9.13		0.13		0.35			0.48			(0.21	)		—			(0.21	)
Class R-2 Shares
Six months ended 06/30/2006 (e)		9.63		0.06		0.14			0.20			(0.06	)		—			(0.06	)
Year ended 12/31/2005		9.40		0.20		0.17			0.37			(0.14	)		—			(0.14	)
Period ended 12/31/2004 (j)		9.13		0.14		0.35			0.49			(0.22	)		—			(0.22	)
Class R-3 Shares
Six months ended 06/30/2006 (e)		9.64		0.08		0.14			0.22			(0.08	)		—			(0.08	)
Year ended 12/31/2005		9.40		0.22		0.17			0.39			(0.15	)		—			(0.15	)
Period ended 12/31/2004 (j)		9.13		0.15		0.35			0.50			(0.23	)		—			(0.23	)

(a) Average shares outstanding for the period were used to calculate net investment income per share.

(b) Distributions represent less than $0.01 per share in 2003 and 2002.

(c) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(d) The expense ratios for the Institutional shares include the effect of the decreased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(e) Unaudited.

(f) From commencement of investment operations April 27, 2006.

(g) Determined on an annualized basis.

See accompanying notes to financial statements.

122

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (c)		Net assets, end of period (millions)		Expenses (d)		Net investment income		Expenses (d)		Net investment income		Portfolio turnover rate
$	9.85	(0.63	)%	$	10.3	0.25	%(g)	1.49	%(g)	0.31	%(g)	1.43	%(g)	1	%(g)
	9.85	(0.75	)		9.9	0.95	(g)	0.79	(g)	1.01	(g)	0.73	(g)	1	(g)
	9.91	2.24			103.0	0.25	(g)	1.43	(g)	0.35	(g)	1.33	(g)	1	(g)
	9.76	4.70			108.9	0.33		2.18		0.47		2.04		1
	9.52	6.28			99.4	0.50		2.16		0.59		2.07		1
	9.14	14.70			83.0	0.50		1.89		0.61		1.78		0	(h)
	8.10	(7.93	)		48.6	0.50		2.30		0.61		2.19		3
	8.98	(5.67	)		29.3	0.09		2.62		0.21		2.50		6
	9.92	2.00			50.3	0.65	(g)	1.02	(g)	0.76	(g)	0.91	(g)	1	(g)
	9.77	4.28			60.4	0.73		1.77		0.87		1.63		1
	9.53	5.89			56.6	0.90		1.76		0.99		1.67		1
	9.15	14.36			49.0	0.90		1.45		1.00		1.35		0	(h)
	8.10	(8.25	)		33.3	0.90		1.85		1.01		1.74		3
	8.97	(5.90	)		25.9	0.15		2.46		0.27		2.34		6
	9.86	2.37			9.7	0.00	(g)	1.68	(g)	0.10	(g)	1.58	(g)	1	(g)
	9.71	5.14			9.0	0.00		2.59		0.14		2.45		1
	9.47	6.77			6.8	0.00		2.75		0.09		2.66		1
	9.10	15.26			4.7	0.00		2.44		0.13		2.31		0	(h)
	8.06	(7.12	)		1.5	0.00	(g)	3.33	(g)	0.09	(g)	3.24	(g)	3	(k)
	9.76	2.04			1.8	0.57	(g)	1.11	(g)	0.67	(g)	1.01	(g)	1	(g)
	9.62	4.36			1.5	0.64		1.97		0.78		1.83		1
	9.40	5.28			1.1	0.82	(g)	3.77	(g)	0.92	(g)	3.67	(g)	1	(k)
	9.77	2.12			1.3	0.37	(g)	1.31	(g)	0.47	(g)	1.21	(g)	1	(g)
	9.63	4.56			1.1	0.45		2.07		0.59		1.93		1
	9.40	5.33			1.0	0.62	(g)	3.82	(g)	0.72	(g)	3.72	(g)	1	(k)
	9.78	2.25			1.1	0.07	(g)	1.61	(g)	0.17	(g)	1.51	(g)	1	(g)
	9.64	4.96			1.1	0.15		2.36		0.29		2.22		1
	9.40	5.43			1.0	0.32	(g)	4.13	(g)	0.42	(g)	4.03	(g)	1	(k)

(h) Represents less than 0.5% in 2003.

(i) From commencement of investment operations February 28, 2002.

(j) From commencement of investment operations August 31, 2004.

(k) Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

123

STATE FARM MUTUAL FUND TRUST BOND FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (loss)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain			Total distributions
Class A Shares
Period ended 06/30/2006 (c) (d)	$	10.11	$	0.08	$	(0.03	)	$	0.05		$	(0.08	)	$	—		$	(0.08	)
Class B Shares
Period ended 06/30/2006 (c) (d)		10.11		0.07		(0.03	)		0.04			(0.07	)		—			(0.07	)
Legacy Class A Shares
Six months ended 06/30/2006 (c)		10.39		0.21		(0.30	)		(0.09	)		(0.21	)		—			(0.21	)
Year ended 12/31/2005		10.66		0.41		(0.27	)		0.14			(0.41	)		—			(0.41	)
Year ended 12/31/2004		10.66		0.40		—			0.40			(0.40	)		—			(0.40	)
Year ended 12/31/2003		10.73		0.40		(0.07	)		0.33			(0.40	)		—			(0.40	)
Year ended 12/31/2002		10.35		0.51		0.40			0.91			(0.51	)		(0.02	)		(0.53	)
Year ended 12/31/2001		10.25		0.60		0.14			0.74			(0.60	)		(0.04	)		(0.64	)
Legacy Class B Shares
Six months ended 06/30/2006 (c)		10.39		0.19		(0.30	)		(0.11	)		(0.19	)		—			(0.19	)
Year ended 12/31/2005		10.66		0.37		(0.27	)		0.10			(0.37	)		—			(0.37	)
Year ended 12/31/2004		10.66		0.36		—			0.36			(0.36	)		—			(0.36	)
Year ended 12/31/2003		10.73		0.36		(0.07	)		0.29			(0.36	)		—			(0.36	)
Year ended 12/31/2002		10.35		0.47		0.40			0.87			(0.47	)		(0.02	)		(0.49	)
Year ended 12/31/2001		10.25		0.56		0.14			0.70			(0.56	)		(0.04	)		(0.60	)
Institutional Shares
Six months ended 06/30/2006 (c)		10.38		0.22		(0.30	)		(0.08	)		(0.22	)		—			(0.22	)
Year ended 12/31/2005		10.64		0.44		(0.26	)		0.18			(0.44	)		—			(0.44	)
Year ended 12/31/2004		10.65		0.46		(0.01	)		0.45			(0.46	)		—			(0.46	)
Year ended 12/31/2003		10.72		0.46		(0.07	)		0.39			(0.46	)		—			(0.46	)
Year ended 12/31/2002		10.33		0.56		0.41			0.97			(0.56	)		(0.02	)		(0.58	)
Period ended 12/31/2001 (f)		10.73		0.10		(0.36	)		(0.26	)		(0.10	)		(0.04	)		(0.14	)
Class R-1 Shares
Six months ended 06/30/2006 (c)		10.38		0.20		(0.30	)		(0.10	)		(0.20	)		—			(0.20	)
Year ended 12/31/2005		10.64		0.38		(0.26	)		0.12			(0.38	)		—			(0.38	)
Period ended 12/31/2004 (h)		10.61		0.13		0.03			0.16			(0.13	)		—			(0.13	)
Class R-2 Shares
Six months ended 06/30/2006 (c)		10.37		0.21		(0.30	)		(0.09	)		(0.21	)		—			(0.21	)
Year ended 12/31/2005		10.65		0.40		(0.28	)		0.12			(0.40	)		—			(0.40	)
Period ended 12/31/2004 (h)		10.61		0.14		0.04			0.18			(0.14	)		—			(0.14	)
Class R-3 Shares
Six months ended 06/30/2006 (c)		10.38		0.22		(0.30	)		(0.08	)		(0.22	)		—			(0.22	)
Year ended 12/31/2005		10.65		0.43		(0.27	)		0.16			(0.43	)		—			(0.43	)
Period ended 12/31/2004 (h)		10.61		0.15		0.04			0.19			(0.15	)		—			(0.15	)

(a) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(b) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(c) Unaudited.

(d) From commencement of investment operations April 27, 2006.

(e) Determined on an annualized basis.

(f) From commencement of investment operations November 1, 2001.

See accompanying notes to financial statements.

124

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (a)		Net assets, end of period (millions)		Expenses (b)		Net investment income (loss)		Expenses (b)		Net investment income (loss)		Portfolio turnover rate
$	10.08	0.46	%	$	5.5	0.69	%(e)	4.25	%(e)	0.69	%(e)	4.25	%(e)	8	%(e)
	10.08	0.39			5.0	1.09	(e)	3.84	(e)	1.09	(e)	3.84	(e)	8	(e)
	10.09	(0.86	)		123.1	0.69	(e)	4.16	(e)	0.69	(e)	4.16	(e)	8	(e)
	10.39	1.32			138.0	0.70		3.89		0.73		3.86		11
	10.66	3.86			121.1	0.68		3.79		0.68		3.79		12
	10.66	3.16			101.2	0.70		3.76		0.70		3.75		18
	10.73	9.02			55.8	0.70		4.80		0.71		4.79		15
	10.35	7.42			21.0	0.70		5.74		0.73		5.71		26
	10.09	(1.05	)		53.7	1.09	(e)	3.77	(e)	1.09	(e)	3.77	(e)	8	(e)
	10.39	0.93			55.8	1.10		3.49		1.13		3.46		11
	10.66	3.45			54.5	1.08		3.39		1.08		3.39		12
	10.66	2.78			49.7	1.10		3.36		1.10		3.36		18
	10.73	8.59			31.4	1.10		4.44		1.11		4.43		15
	10.35	7.00			18.0	1.10		5.34		1.13		5.31		26
	10.08	(0.74	)		83.6	0.44	(e)	4.42	(e)	0.44	(e)	4.42	(e)	8	(e)
	10.38	1.76			81.4	0.37		4.22		0.40		4.19		11
	10.64	4.29			72.9	0.18		4.29		0.18		4.29		12
	10.65	3.69			61.5	0.20		4.28		0.20		4.28		18
	10.72	9.69			35.8	0.20		5.36		0.20		5.36		15
	10.33	(2.33	)		22.2	0.20	(e)	6.16	(e)	0.22	(e)	6.14	(e)	26	(g)
	10.08	(1.02	)		1.9	1.01	(e)	3.86	(e)	1.01	(e)	3.86	(e)	8	(e)
	10.38	1.12			1.7	1.02		3.58		1.05		3.55		11
	10.64	1.53			1.2	1.00	(e)	3.48	(e)	1.00	(e)	3.48	(e)	12	(g)
	10.07	(0.92	)		2.0	0.81	(e)	4.06	(e)	0.81	(e)	4.06	(e)	8	(e)
	10.37	1.12			1.6	0.82		3.78		0.85		3.75		11
	10.65	1.70			1.0	0.80	(e)	3.68	(e)	0.80	(e)	3.68	(e)	12	(g)
	10.08	(0.77	)		1.1	0.51	(e)	4.35	(e)	0.51	(e)	4.35	(e)	8	(e)
	10.38	1.51			1.1	0.52		4.08		0.55		4.05		11
	10.65	1.81			1.0	0.50	(e)	3.98	(e)	0.50	(e)	3.98	(e)	12	(g)

(g) Amount represents the portfolio turnover rate of the Fund for the full year.

(h) From commencement of investment operations August 23, 2004.

See accompanying notes to financial statements.

125

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain		Total distributions
Class A Shares
Period ended 06/30/2006 (c) (d)	$	10.79	$	0.08	$	(0.06	)	$	0.02		$	(0.08	)	$	—	$	(0.08	)
Class B Shares
Period ended 06/30/2006 (c) (d)		10.79		0.07		(0.06	)		0.01			(0.07	)		—		(0.07	)
Legacy Class A Shares
Six months ended 06/30/2006 (c)		10.96		0.22		(0.24	)		(0.02	)		(0.22	)		—		(0.22	)
Year ended 12/31/2005		11.13		0.43		(0.17	)		0.26			(0.43	)		—		(0.43	)
Year ended 12/31/2004		11.15		0.43		(0.02	)		0.41			(0.43	)		—		(0.43	)
Year ended 12/31/2003		10.97		0.42		0.18			0.60			(0.42	)		—		(0.42	)
Year ended 12/31/2002		10.23		0.43		0.74			1.17			(0.43	)		—		(0.43	)
Year ended 12/31/2001		10.29		0.44		(0.06	)		0.38			(0.44	)		—		(0.44	)
Legacy Class B Shares
Six months ended 06/30/2006 (c)		10.96		0.19		(0.24	)		(0.05	)		(0.19	)		—		(0.19	)
Year ended 12/31/2005		11.13		0.38		(0.17	)		0.21			(0.38	)		—		(0.38	)
Year ended 12/31/2004		11.15		0.38		(0.02	)		0.36			(0.38	)		—		(0.38	)
Year ended 12/31/2003		10.97		0.38		0.18			0.56			(0.38	)		—		(0.38	)
Year ended 12/31/2002		10.23		0.39		0.74			1.13			(0.39	)		—		(0.39	)
Year ended 12/31/2001		10.29		0.40		(0.06	)		0.34			(0.40	)		—		(0.40	)
Institutional Shares
Six months ended 06/30/2006 (c)		10.97		0.23		(0.24	)		(0.01	)		(0.23	)		—		(0.23	)
Year ended 12/31/2005		11.14		0.47		(0.17	)		0.30			(0.47	)		—		(0.47	)
Year ended 12/31/2004		11.16		0.48		(0.02	)		0.46			(0.48	)		—		(0.48	)
Year ended 12/31/2003		10.98		0.48		0.18			0.66			(0.48	)		—		(0.48	)
Period ended 12/31/2002 (e)		10.52		0.40		0.46			0.86			(0.40	)		—		(0.40	)

(a) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(b) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(c) Unaudited.

(d) From commencement of investment operations April 27, 2006.

(e) From commencement of investment operations February 28, 2002.

(f) Determined on an annualized basis.

(g) Amount represents the portfolio turnover rate of the Fund for the full year.

See accompanying notes to financial statements.

126

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (a)		Net assets, end of period (millions)		Expenses (b)		Net investment income		Expenses (b)		Net investment income		Portfolio turnover rate
$	10.73	0.15	%	$	3.5	0.70	%(f)	3.96	%(f)	0.72	%(f)	3.94	%(f)	0	%(f)
	10.73	0.08			3.3	1.10	(f)	3.55	(f)	1.12	(f)	3.53	(f)	0	(f)
	10.72	(0.23	)		68.9	0.70	(f)	4.00	(f)	0.71	(f)	3.99	(f)	0	(f)
	10.96	2.35			73.3	0.70		3.86		0.72		3.84		0
	11.13	3.74			66.2	0.70		3.86		0.70		3.86		2
	11.15	5.60			59.6	0.70		3.83		0.70		3.83		8
	10.97	11.64			43.7	0.70		4.03		0.71		4.02		7
	10.23	3.77			29.0	0.70		4.26		0.71		4.25		0
	10.72	(0.42	)		26.5	1.10	(f)	3.60	(f)	1.11	(f)	3.59	(f)	0	(f)
	10.96	1.94			34.0	1.10		3.47		1.12		3.45		0
	11.13	3.33			34.8	1.10		3.46		1.10		3.46		2
	11.15	5.18			35.2	1.10		3.43		1.10		3.43		8
	10.97	11.20			32.0	1.10		3.64		1.12		3.62		7
	10.23	3.35			27.0	1.10		3.86		1.11		3.85		0
	10.73	(0.10	)		0.2	0.45	(f)	4.24	(f)	0.46	(f)	4.23	(f)	0	(f)
	10.97	2.69			0.2	0.38		4.19		0.40		4.17		0
	11.14	4.26			0.2	0.20		4.36		0.20		4.36		2
	11.16	6.18			0.2	0.20		4.33		0.21		4.32		8
	10.98	8.35			0.1	0.20	(f)	4.49	(f)	0.21	(f)	4.48	(f)	7	(g)

See accompanying notes to financial statements.

127

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations				Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Total from investment operations		Net investment income (a) (b)			Total distributions
Class A Shares
Period ended 06/30/2006 (e) (f)	$	1.00	$	0.01	$	0.01	$	(0.01	)	$	(0.01	)
Class B Shares
Period ended 06/30/2006 (e) (f)		1.00		0.01		0.01		(0.01	)		(0.01	)
Legacy Class A Shares
Six months ended 06/30/2006 (e)		1.00		0.02		0.02		(0.02	)		(0.02	)
Year ended 12/31/2005		1.00		0.03		0.03		(0.03	)		(0.03	)
Year ended 12/31/2004		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2003		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2002		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2001		1.00		0.04		0.04		(0.04	)		(0.04	)
Legacy Class B Shares
Six months ended 06/30/2006 (e)		1.00		0.02		0.02		(0.02	)		(0.02	)
Year ended 12/31/2005		1.00		0.02		0.02		(0.02	)		(0.02	)
Year ended 12/31/2004		1.00		—		—		—			—
Year ended 12/31/2003		1.00		—		—		—			—
Year ended 12/31/2002		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2001		1.00		0.03		0.03		(0.03	)		(0.03	)
Institutional Shares
Six months ended 06/30/2006 (e)		1.00		0.02		0.02		(0.02	)		(0.02	)
Year ended 12/31/2005		1.00		0.03		0.03		(0.03	)		(0.03	)
Year ended 12/31/2004		1.00		0.01		0.01		(0.01	)		(0.01	)
Year ended 12/31/2003		1.00		0.01		0.01		(0.01	)		(0.01	)
Period ended 12/31/2002 (h)		1.00		0.01		0.01		(0.01	)		(0.01	)
Class R-1 Shares
Six months ended 06/30/2006 (e)		1.00		0.02		0.02		(0.02	)		(0.02	)
Year ended 12/31/2005		1.00		0.02		0.02		(0.02	)		(0.02	)
Period ended 12/31/2004 (i)		1.00		—		—		—			—
Class R-2 Shares
Six months ended 06/30/2006 (e)		1.00		0.02		0.02		(0.02	)		(0.02	)
Year ended 12/31/2005		1.00		0.02		0.02		(0.02	)		(0.02	)
Period ended 12/31/2004 (i)		1.00		—		—		—			—
Class R-3 Shares
Six months ended 06/30/2006 (e)		1.00		0.02		0.02		(0.02	)		(0.02	)
Year ended 12/31/2005		1.00		0.03		0.03		(0.03	)		(0.03	)
Period ended 12/31/2004 (i)		1.00		—		—		—			—

(a) Net investment income and distributions for Legacy Class B shares represent less than $0.01 per share in 2004 and 2003.

(b) Net investment income and distributions for Class R-1 shares, Class R-2 shares and Class R-3 shares represent less than $0.01 per share in 2004.

(c) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class B and Legacy Class B shares. All other classes do not have a sales charge.

(d) The expense ratios for the Institutional shares includes the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

(e) Unaudited.

(f) From commencement of investment operations April 27, 2006.

(g) Determined on an annualized basis.

See accompanying notes to financial statements.

128

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations				Average Net Asset ratios absent expense limitations
Net asset value, end of period		Total return (c)		Net assets, end of period (millions)		Expenses (d)		Net investment income		Expenses (d)		Net investment income
$	1.00	0.79	%	$	6.0	0.60	%(g)	4.37	%(g)	0.64	%(g)	4.33	%(g)
	1.00	0.71			2.5	1.00	(g)	3.99	(g)	1.05	(g)	3.94	(g)
	1.00	2.05			80.9	0.60	(g)	4.08	(g)	0.65	(g)	4.03	(g)
	1.00	2.64			80.5	0.60		2.62		0.71		2.51
	1.00	0.76			73.1	0.60		0.78		0.63		0.75
	1.00	0.54			65.1	0.60		0.52		0.65		0.47
	1.00	1.14			36.2	0.60		1.10		0.71		0.99
	1.00	3.62			11.0	0.60		3.22		0.84		2.98
	1.00	1.85			3.7	1.00	(g)	3.65	(g)	1.05	(g)	3.60	(g)
	1.00	2.22			6.4	1.00		2.22		1.11		2.11
	1.00	0.36			5.9	1.00		0.36		1.03		0.33
	1.00	0.14			5.7	1.00		0.14		1.03		0.11
	1.00	0.74			5.4	1.00		0.73		1.13		0.60
	1.00	3.21			5.2	1.00		3.15		1.26		2.89
	1.00	2.13			13.0	0.45	(g)	4.26	(g)	0.50	(g)	4.21	(g)
	1.00	2.89			11.2	0.37		2.85		0.48		2.74
	1.00	1.17			9.2	0.20		1.20		0.23		1.17
	1.00	0.94			6.9	0.20		0.92		0.24		0.88
	1.00	1.28			2.6	0.20	(g)	1.47	(g)	0.27	(g)	1.40	(g)
	1.00	1.89			3.6	0.92	(g)	3.79	(g)	0.97	(g)	3.74	(g)
	1.00	2.32			2.7	0.92		2.42		1.04		2.30
	1.00	0.31			1.1	0.92	(g)	0.94	(g)	0.98	(g)	0.88	(g)
	1.00	1.99			3.1	0.72	(g)	4.00	(g)	0.77	(g)	3.95	(g)
	1.00	2.51			2.5	0.72		2.51		0.83		2.40
	1.00	0.38			1.0	0.72	(g)	1.14	(g)	0.78	(g)	1.08	(g)
	1.00	2.09			1.3	0.52	(g)	4.19	(g)	0.57	(g)	4.14	(g)
	1.00	2.72			1.2	0.52		2.72		0.63		2.61
	1.00	0.45			1.1	0.52	(g)	1.34	(g)	0.58	(g)	1.28	(g)

(h) From commencement of investment operations February 28, 2002.

(i) From commencement of investment operations August 31, 2004.

See accompanying notes to financial statements.

129

STATE FARM MUTUAL FUND TRUST LIFEPATH INCOME FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Period ended 06/30/2006 (h) (i)	$	11.45	$	0.04	$	(0.12	)	$	(0.08	)	$	(0.15	)	$	—		$	(0.15	)
Class B Shares
Period ended 06/30/2006 (h) (i)		11.45		0.04		(0.14	)		(0.10	)		(0.13	)		—			(0.13	)
Legacy Class A Shares
Six months ended 06/30/2006 (h)		11.24		0.14		0.01			0.15			(0.13	)		—			(0.13	)
Year ended 12/31/2005		11.11		0.26		0.17			0.43			(0.27	)		(0.03	)		(0.30	)
Year ended 12/31/2004		10.82		0.17		0.46			0.63			(0.17	)		(0.17	)		(0.34	)
Period ended 12/31/2003 (k)		10.00		0.07		0.80			0.87			(0.05	)		—			(0.05	)
Legacy Class B Shares
Six months ended 06/30/2006 (h)		11.24		0.12		0.01			0.13			(0.11	)		—			(0.11	)
Year ended 12/31/2005		11.10		0.21		0.17			0.38			(0.21	)		(0.03	)		(0.24	)
Year ended 12/31/2004		10.81		0.13		0.46			0.59			(0.13	)		(0.17	)		(0.30	)
Period ended 12/31/2003 (k)		10.00		0.05		0.79			0.84			(0.03	)		—			(0.03	)
Institutional Shares
Six months ended 06/30/2006 (h)		11.27		0.16		—			0.16			(0.14	)		—			(0.14	)
Year ended 12/31/2005		11.13		0.29		0.17			0.46			(0.29	)		(0.03	)		(0.32	)
Year ended 12/31/2004		10.84		0.23		0.46			0.69			(0.23	)		(0.17	)		(0.40	)
Period ended 12/31/2003 (k)		10.00		0.10		0.80			0.90			(0.06	)		—			(0.06	)
Class R-1 Shares
Six months ended 06/30/2006 (h)		11.13		0.12		—			0.12			(0.12	)		—			(0.12	)
Year ended 12/31/2005		11.08		0.22		0.17			0.39			(0.31	)		(0.03	)		(0.34	)
Period ended 12/31/2004 (l)		10.95		0.04		0.44			0.48			(0.18	)		(0.17	)		(0.35	)
Class R-2 Shares
Six months ended 06/30/2006 (h)		11.24		0.14		—			0.14			(0.13	)		—			(0.13	)
Year ended 12/31/2005		11.09		0.25		0.17			0.42			(0.24	)		(0.03	)		(0.27	)
Period ended 12/31/2004 (l)		10.95		0.05		0.43			0.48			(0.17	)		(0.17	)		(0.34	)
Class R-3 Shares
Six months ended 06/30/2006 (h)		11.25		0.15		0.01			0.16			(0.14	)		—			(0.14	)
Year ended 12/31/2005		11.09		0.28		0.17			0.45			(0.26	)		(0.03	)		(0.29	)
Period ended 12/31/2004 (l)		10.95		0.06		0.43			0.49			(0.18	)		(0.17	)		(0.35	)

(a) The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense credit and waiver, were 0.28% and 3.46%, respectively, for the six months ended June 30, 2006.

(b) Average shares outstanding for the period were used to calculate net investment income.

(c) Distributions represent less than $0.01 per share in 2003.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

See accompanying notes to financial statements.

130

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	11.22	(0.69	)%	$	2.1	1.22	%(j)	3.00	%(j)	1.61	%(j)	2.61	%(j)	20	%
	11.22	(0.84	)		0.2	1.92	(j)	2.08	(j)	2.26	(j)	1.74	(j)	20
	11.26	1.34			110.8	1.23	(j)	2.52	(j)	1.56	(j)	2.19	(j)	20
	11.24	3.86			101.2	1.26		2.30		1.63		1.93		11
	11.11	5.87			66.0	1.26		1.58		1.61		1.23		138
	10.82	8.74			31.0	1.30	(j)	1.13	(j)	1.73	(j)	0.70	(j)	29
	11.26	1.15			11.8	1.63	(j)	2.12	(j)	1.96	(j)	1.79	(j)	20
	11.24	3.44			11.1	1.66		1.91		2.03		1.54		11
	11.10	5.46			8.7	1.66		1.18		2.01		0.83		138
	10.81	8.47			4.1	1.70	(j)	0.75	(j)	2.31	(j)	0.14	(j)	29
	11.29	1.44			9.7	0.98	(j)	2.77	(j)	1.31	(j)	2.44	(j)	20
	11.27	4.19			8.6	0.93		2.64		1.30		2.27		11
	11.13	6.37			6.8	0.76		2.10		1.11		1.75		138
	10.84	9.09			2.9	0.80	(j)	1.66	(j)	1.56	(j)	0.90	(j)	29
	11.13	1.09			1.0	1.55	(j)	2.21	(j)	1.88	(j)	1.88	(j)	20
	11.13	3.55			0.9	1.58		1.96		1.95		1.59		11
	11.08	4.44			0.1	1.56	(j)	1.30	(j)	1.86	(j)	1.00	(j)	138
	11.25	1.23			0.9	1.35	(j)	2.41	(j)	1.68	(j)	2.08	(j)	20
	11.24	3.80			0.7	1.38		2.16		1.75		1.79		11
	11.09	4.43			0.1	1.36	(j)	1.46	(j)	1.65	(j)	1.17	(j)	138
	11.27	1.41			0.1	1.05	(j)	2.69	(j)	1.38	(j)	2.36	(j)	20
	11.25	4.09			0.1	1.08		2.49		1.45		2.12		11
	11.09	4.52			0.1	1.06	(j)	1.76	(j)	1.35	(j)	1.47	(j)	138

(f) Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, excluding any Barclays’ expense credit and waiver, were 0.61% and 3.13%, respectively, for the six months ended June 30, 2006.

(g) Amount represents the portfolio turnover rate of the Master Portfolio.

(h) Unaudited.

(i) For all the data, except for the portfolio turnover rate which is for the six months ended June 30, 2006, the period is from commencement of investment operations April 27, 2006.

(j) Determined on an annualized basis.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(l) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

131

STATE FARM MUTUAL FUND TRUST LIFEPATH 2010 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Period ended 06/30/2006 (h) (i)	$	12.29	$	0.04	$	(0.13	)	$	(0.09	)	$	—		$	—		$	—
Class B Shares
Period ended 06/30/2006 (h) (i)		12.29		0.03		(0.18	)		(0.15	)		—			—			—
Legacy Class A Shares
Six months ended 06/30/2006 (h)		11.84		0.13		0.10			0.23			—			—			—
Year ended 12/31/2005		11.58		0.24		0.31			0.55			(0.23	)		(0.06	)		(0.29	)
Year ended 12/31/2004		11.16		0.17		0.61			0.78			(0.13	)		(0.23	)		(0.36	)
Period ended 12/31/2003 (k)		10.00		0.06		1.13			1.19			(0.03	)		—			(0.03	)
Legacy Class B Shares
Six months ended 06/30/2006 (h)		11.81		0.11		0.10			0.21			—			—			—
Year ended 12/31/2005		11.54		0.19		0.32			0.51			(0.18	)		(0.06	)		(0.24	)
Year ended 12/31/2004		11.14		0.12		0.61			0.73			(0.10	)		(0.23	)		(0.33	)
Period ended 12/31/2003 (k)		10.00		0.04		1.12			1.16			(0.02	)		—			(0.02	)
Institutional Shares
Six months ended 06/30/2006 (h)		11.92		0.15		0.09			0.24			—			—			—
Year ended 12/31/2005		11.64		0.28		0.32			0.60			(0.26	)		(0.06	)		(0.32	)
Year ended 12/31/2004		11.21		0.23		0.60			0.83			(0.17	)		(0.23	)		(0.40	)
Period ended 12/31/2003 (k)		10.00		0.09		1.16			1.25			(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2006 (h)		11.85		0.11		0.11			0.22			—			—			—
Year ended 12/31/2005		11.64		0.21		0.29			0.50			(0.23	)		(0.06	)		(0.29	)
Period ended 12/31/2004 (l)		11.37		0.04		0.61			0.65			(0.15	)		(0.23	)		(0.38	)
Class R-2 Shares
Six months ended 06/30/2006 (h)		11.90		0.13		0.10			0.23			—			—			—
Year ended 12/31/2005		11.64		0.23		0.31			0.54			(0.22	)		(0.06	)		(0.28	)
Period ended 12/31/2004 (l)		11.37		0.05		0.60			0.65			(0.15	)		(0.23	)		(0.38	)
Class R-3 Shares
Six months ended 06/30/2006 (h)		11.90		0.14		0.10			0.24			—			—			—
Year ended 12/31/2005		11.64		0.27		0.30			0.57			(0.25	)		(0.06	)		(0.31	)
Period ended 12/31/2004 (l)		11.37		0.06		0.60			0.66			(0.16	)		(0.23	)		(0.39	)

(a) The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense credit and waiver, were 0.28% and 3.46%, respectively, for the six months ended June 30, 2006.

(b) Average shares outstanding for the period were used to calculate net investment income.

(c) Distributions represent less than $0.01 per share in 2003.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

See accompanying notes to financial statements.

132

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	12.20	(0.73	)%	$	8.3	1.19	%(j)	2.59	%(j)	1.52	%(j)	2.26	%(j)	18	%
	12.14	(1.22	)		0.4	1.88	(j)	1.74	(j)	2.20	(j)	1.42	(j)	18
	12.07	1.94			254.1	1.18	(j)	2.21	(j)	1.51	(j)	1.88	(j)	18
	11.84	4.73			216.5	1.24		2.04		1.58		1.70		12
	11.58	6.98			130.3	1.25		1.49		1.57		1.17		130
	11.16	11.91			40.8	1.30	(j)	0.98	(j)	1.59	(j)	0.69	(j)	23
	12.02	1.78			45.7	1.58	(j)	1.80	(j)	1.91	(j)	1.47	(j)	18
	11.81	4.45			41.3	1.64		1.64		1.98		1.30		12
	11.54	6.49			28.8	1.65		1.09		1.97		0.77		130
	11.14	11.60			11.4	1.70	(j)	0.58	(j)	2.07	(j)	0.21	(j)	23
	12.16	2.01			27.9	0.93	(j)	2.46	(j)	1.26	(j)	2.13	(j)	18
	11.92	5.14			23.1	0.92		2.37		1.26		2.03		12
	11.64	7.37			14.4	0.75		2.00		1.07		1.68		130
	11.21	12.55			4.2	0.80	(j)	1.47	(j)	1.31	(j)	0.96	(j)	23
	12.07	1.86			2.5	1.50	(j)	1.90	(j)	1.83	(j)	1.57	(j)	18
	11.85	4.31			1.7	1.56		1.81		1.90		1.47		12
	11.64	5.66			0.1	1.55	(j)	1.27	(j)	1.85	(j)	0.97	(j)	130
	12.13	1.93			2.2	1.30	(j)	2.14	(j)	1.63	(j)	1.81	(j)	18
	11.90	4.63			1.1	1.36		1.91		1.70		1.57		12
	11.64	5.67			0.1	1.35	(j)	1.38	(j)	1.65	(j)	1.08	(j)	130
	12.14	2.02			0.3	1.00	(j)	2.39	(j)	1.33	(j)	2.06	(j)	18
	11.90	4.95			0.3	1.06		2.28		1.40		1.94		12
	11.64	5.76			0.1	1.05	(j)	1.66	(j)	1.35	(j)	1.36	(j)	130

(f) Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, excluding any Barclays’ expense credit and waiver, were 0.61% and 3.13%, respectively, for the six months ended June 30, 2006.

(g) Amount represents the portfolio turnover rate of the Master Portfolio.

(h) Unaudited.

(i) For all the data, except for the portfolio turnover rate which is for the six months ended June 30, 2006, the period is from commencement of investment operations April 27, 2006.

(j) Determined on an annualized basis.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(l) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

133

STATE FARM MUTUAL FUND TRUST LIFEPATH 2020 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

			Income from investment operations								Less distributions
	Net asset value, beginning of period		Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Period ended 06/30/2006 (h) (i)	$	13.43	$	0.03	$	(0.22	)	$	(0.19	)	$	—		$	—		$	—
Class B Shares
Period ended 06/30/2006 (h) (i)		13.43		0.02		(0.24	)		(0.22	)		—			—			—
Legacy Class A Shares
Six months ended 06/30/2006 (h)		12.70		0.10		0.30			0.40			—			—			—
Year ended 12/31/2005		12.24		0.20		0.54			0.74			(0.18	)		(0.10	)		(0.28	)
Year ended 12/31/2004		11.55		0.16		0.85			1.01			(0.12	)		(0.20	)		(0.32	)
Period ended 12/31/2003 (k)		10.00		0.06		1.52			1.58			(0.03	)		—			(0.03	)
Legacy Class B Shares
Six months ended 06/30/2006 (h)		12.68		0.08		0.29			0.37			—			—			—
Year ended 12/31/2005		12.22		0.15		0.55			0.70			(0.14	)		(0.10	)		(0.24	)
Year ended 12/31/2004		11.54		0.11		0.85			0.96			(0.08	)		(0.20	)		(0.28	)
Period ended 12/31/2003 (k)		10.00		0.04		1.52			1.56			(0.02	)		—			(0.02	)
Institutional Shares
Six months ended 06/30/2006 (h)		12.79		0.12		0.29			0.41			—			—			—
Year ended 12/31/2005		12.31		0.24		0.55			0.79			(0.21	)		(0.10	)		(0.31	)
Year ended 12/31/2004		11.59		0.22		0.86			1.08			(0.16	)		(0.20	)		(0.36	)
Period ended 12/31/2003 (k)		10.00		0.10		1.53			1.63			(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2006 (h)		12.73		0.08		0.33			0.41			—			—			—
Year ended 12/31/2005		12.31		0.18		0.53			0.71			(0.19	)		(0.10	)		(0.29	)
Period ended 12/31/2004 (l)		11.79		0.05		0.81			0.86			(0.14	)		(0.20	)		(0.34	)
Class R-2 Shares
Six months ended 06/30/2006 (h)		12.77		0.10		0.29			0.39			—			—			—
Year ended 12/31/2005		12.32		0.19		0.54			0.73			(0.18	)		(0.10	)		(0.28	)
Period ended 12/31/2004 (l)		11.79		0.05		0.82			0.87			(0.14	)		(0.20	)		(0.34	)
Class R-3 Shares
Six months ended 06/30/2006 (h)		12.79		0.11		0.25			0.36			—			—			—
Year ended 12/31/2005		12.32		0.23		0.55			0.78			(0.21	)		(0.10	)		(0.31	)
Period ended 12/31/2004 (l)		11.79		0.06		0.82			0.88			(0.15	)		(0.20	)		(0.35	)

(a) The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense credit and waiver, were 0.28% and 3.46%, respectively, for the six months ended June 30, 2006.

(b) Average shares outstanding for the period were used to calculate net investment income.

(c) Distributions represent less than $0.01 per share in 2003.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

See accompanying notes to financial statements.

134

				Ratios/supplemental data
						Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers
Net asset value, end of period		Total return (d)		Net assets, end of period (millions)		Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)		Portfolio turnover rate (g)
$	13.24	(1.41	)%	$	7.8	1.16	%(j)	2.02	%(j)	1.50	%(j)	1.68	%(j)	16	%
	13.21	(1.64	)		1.0	1.86	(j)	1.21	(j)	2.19	(j)	0.88	(j)	16
	13.10	3.15			390.7	1.16	(j)	1.58	(j)	1.49	(j)	1.25	(j)	16
	12.70	6.02			313.5	1.22		1.63		1.56		1.29		17
	12.24	8.78			177.7	1.24		1.32		1.55		1.01		140
	11.55	15.81			51.7	1.30	(j)	1.03	(j)	1.53	(j)	0.80	(j)	23
	13.05	2.92			84.0	1.56	(j)	1.18	(j)	1.89	(j)	0.85	(j)	16
	12.68	5.67			70.9	1.62		1.22		1.96		0.88		17
	12.22	8.39			44.7	1.64		0.91		1.95		0.60		140
	11.54	15.61			15.5	1.70	(j)	0.63	(j)	1.98	(j)	0.35	(j)	23
	13.20	3.21	(m)		52.3	0.91	(j)	1.84	(j)	1.24	(j)	1.51	(j)	16
	12.79	6.41	(m)		38.8	0.91		1.94		1.24		1.61		17
	12.31	9.34			21.0	0.74		1.82		1.05		1.51		140
	11.59	16.35			5.7	0.80	(j)	1.50	(j)	1.23	(j)	1.07	(j)	23
	13.14	3.22			3.4	1.48	(j)	1.26	(j)	1.81	(j)	0.93	(j)	16
	12.73	5.71			3.0	1.54		1.51		1.88		1.17		17
	12.31	7.32			0.2	1.55	(j)	1.46	(j)	1.86	(j)	1.15	(j)	140
	13.16	3.05			3.6	1.27	(j)	1.50	(j)	1.60	(j)	1.17	(j)	16
	12.77	5.94			1.6	1.35		1.52		1.67		1.20		17
	12.32	7.38			0.1	1.35	(j)	1.35	(j)	1.65	(j)	1.05	(j)	140
	13.15	2.81			1.1	0.98	(j)	1.75	(j)	1.31	(j)	1.42	(j)	16
	12.79	6.29			0.9	1.05		1.82		1.37		1.50		17
	12.32	7.46			0.1	1.05	(j)	1.64	(j)	1.35	(j)	1.34	(j)	140

(f) Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, excluding any Barclays’ expense credit and waiver, were 0.61% and 3.13%, respectively, for the six months ended June 30, 2006.

(g) Amount represents the portfolio turnover rate of the Master Portfolio.

(h) Unaudited.

(i) For all the data, except for the portfolio turnover rate which is for the six months ended June 30, 2006, the period is from commencement of investment operations April 27, 2006.

(j) Determined on an annualized basis.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(l) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

(m) Based upon net asset value of $12.79 as of December 31, 2005 (as calculated for financial reporting purposes, taking into account transactions that occurred on December 30, 2005). For shareholder purchases and redemptions on December 30, 2005, the net asset value was $12.80, which caused the total return for the six months ended June 30, 2006 and the year ended December 31, 2005 to be equivalent to 3.13% and 6.49%, respectively.

See accompanying notes to financial statements.

135

STATE FARM MUTUAL FUND TRUST LIFEPATH 2030 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Net asset value, beginning of period		Income from investment operations								Less distributions
			Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Period ended 06/30/2006 (h) (i)	$	14.23	$	0.03	$	(0.32	)	$	(0.29	)	$	—		$	—		$	—
Class B Shares
Period ended 06/30/2006 (h) (i)		14.23		0.01		(0.32	)		(0.31	)		—			—			—
Legacy Class A Shares
Six months ended 06/30/2006 (h)		13.32		0.08		0.44			0.52			—			—			—
Year ended 12/31/2005		12.70		0.17		0.74			0.91			(0.15	)		(0.14	)		(0.29	)
Year ended 12/31/2004		11.80		0.14		1.08			1.22			(0.10	)		(0.22	)		(0.32	)
Period ended 12/31/2003 (k)		10.00		0.07		1.76			1.83			(0.03	)		—			(0.03	)
Legacy Class B Shares
Six months ended 06/30/2006 (h)		13.26		0.05		0.45			0.50			—			—			—
Year ended 12/31/2005		12.65		0.12		0.73			0.85			(0.10	)		(0.14	)		(0.24	)
Year ended 12/31/2004		11.77		0.09		1.07			1.16			(0.06	)		(0.22	)		(0.28	)
Period ended 12/31/2003 (k)		10.00		0.04		1.75			1.79			(0.02	)		—			(0.02	)
Institutional Shares
Six months ended 06/30/2006 (h)		13.39		0.09		0.45			0.54			—			—			—
Year ended 12/31/2005		12.74		0.21		0.76			0.97			(0.18	)		(0.14	)		(0.32	)
Year ended 12/31/2004		11.83		0.20		1.06			1.26			(0.13	)		(0.22	)		(0.35	)
Period ended 12/31/2003 (k)		10.00		0.10		1.77			1.87			(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2006 (h)		13.33		0.05		0.45			0.50			—			—			—
Year ended 12/31/2005		12.74		0.15		0.72			0.87			(0.14	)		(0.14	)		(0.28	)
Period ended 12/31/2004 (l)		12.04		0.05		0.98			1.03			(0.11	)		(0.22	)		(0.33	)
Class R-2 Shares
Six months ended 06/30/2006 (h)		13.37		0.07		0.44			0.51			—			—			—
Year ended 12/31/2005		12.75		0.16		0.74			0.90			(0.14	)		(0.14	)		(0.28	)
Period ended 12/31/2004 (l)		12.04		0.05		0.99			1.04			(0.11	)		(0.22	)		(0.33	)
Class R-3 Shares
Six months ended 06/30/2006 (h)		13.37		0.09		0.44			0.53			—			—			—
Year ended 12/31/2005		12.75		0.19		0.74			0.93			(0.17	)		(0.14	)		(0.31	)
Period ended 12/31/2004 (l)		12.04		0.06		0.99			1.05			(0.12	)		(0.22	)		(0.34	)

(a) The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense credit and waiver, were 0.28% and 3.46%, respectively, for the six months ended June 30, 2006.

(b) Average shares outstanding for the period were used to calculate net investment income.

(c) Distributions represent less than $0.01 per share in 2003.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

See accompanying notes to financial statements.

136

Net asset value, end of period		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers				Portfolio turnover rate (g)
						Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (f)
$	13.94	(2.04	)%	$	6.5	1.17	%(j)	1.64	%(j)	1.52	%(j)	1.29	%(j)	17	%
	13.92	(2.18	)		1.0	1.87	(j)	0.73	(j)	2.20	(j)	0.40	(j)	17
	13.84	3.90			257.0	1.16	(j)	1.10	(j)	1.49	(j)	0.77	(j)	17
	13.32	7.11			192.3	1.21		1.32		1.57		0.96		24
	12.70	10.32			96.5	1.23		1.18		1.58		0.83		138
	11.80	18.31			25.9	1.30	(j)	1.05	(j)	1.80	(j)	0.55	(j)	32
	13.76	3.77			64.8	1.56	(j)	0.70	(j)	1.89	(j)	0.37	(j)	17
	13.26	6.72			52.7	1.61		0.91		1.97		0.55		24
	12.65	9.88			29.7	1.63		0.77		1.98		0.42		138
	11.77	17.89			9.5	1.70	(j)	0.64	(j)	2.29	(j)	0.05	(j)	32
	13.93	4.03			51.5	0.91	(j)	1.35	(j)	1.24	(j)	1.02	(j)	17
	13.39	7.57			36.1	0.90		1.63		1.26		1.27		24
	12.74	10.70			18.1	0.73		1.67		1.08		1.32		138
	11.83	18.74			5.9	0.80	(j)	1.53	(j)	1.49	(j)	0.84	(j)	32
	13.83	3.75			3.6	1.48	(j)	0.78	(j)	1.81	(j)	0.45	(j)	17
	13.33	6.81			2.5	1.53		1.12		1.88		0.77		24
	12.74	8.60			0.2	1.53	(j)	1.46	(j)	1.87	(j)	1.12	(j)	138
	13.88	3.81			2.9	1.28	(j)	1.00	(j)	1.61	(j)	0.67	(j)	17
	13.37	7.06			1.3	1.33		1.21		1.68		0.86		24
	12.75	8.66			0.1	1.34	(j)	1.32	(j)	1.67	(j)	0.99	(j)	138
	13.90	3.96			0.8	0.98	(j)	1.30	(j)	1.31	(j)	0.97	(j)	17
	13.37	7.25			0.4	1.03		1.51		1.39		1.15		24
	12.75	8.76			0.1	1.04	(j)	1.61	(j)	1.37	(j)	1.28	(j)	138

(f) Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, excluding any Barclays’ expense credit and waiver, were 0.61% and 3.13%, respectively, for the six months ended June 30, 2006.

(g) Amount represents the portfolio turnover rate of the Master Portfolio.

(h) Unaudited.

(i) For all the data, except for the portfolio turnover rate which is for the six months ended June 30, 2006, the period is from commencement of investment operations April 27, 2006.

(j) Determined on an annualized basis.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003.

(l) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

137

STATE FARM MUTUAL FUND TRUST LIFEPATH 2040 FUND

FINANCIAL HIGHLIGHTS

(For a share outstanding throughout each period)

	Net asset value, beginning of period		Income from investment operations								Less distributions
			Net investment income (a) (b)		Net gain (loss) on investments (both realized and unrealized)			Total from investment operations			Net investment income			Net realized gain (c)			Total distributions
Class A Shares
Period ended 06/30/2006 (h) (i)	$	14.97	$	0.03	$	(0.42	)	$	(0.39	)	$	—		$	—		$	—
Class B Shares
Period ended 06/30/2006 (h) (i)		14.97		0.01		(0.40	)		(0.39	)		—			—			—
Legacy Class A Shares
Six months ended 06/30/2006 (h)		13.87		0.05		0.59			0.64			—			—			—
Year ended 12/31/2005		13.12		0.14		0.88			1.02			(0.11	)		(0.16	)		(0.27	)
Year ended 12/31/2004		12.11		0.13		1.19			1.32			(0.10	)		(0.21	)		(0.31	)
Period ended 12/31/2003 (k)		10.00		0.06		2.08			2.14			(0.03	)		—			(0.03	)
Legacy Class B Shares
Six months ended 06/30/2006 (h)		13.84		0.02		0.59			0.61			—			—			—
Year ended 12/31/2005		13.09		0.08		0.90			0.98			(0.07	)		(0.16	)		(0.23	)
Year ended 12/31/2004		12.09		0.08		1.19			1.27			(0.06	)		(0.21	)		(0.27	)
Period ended 12/31/2003 (k)		10.00		0.03		2.07			2.10			(0.01	)		—			(0.01	)
Institutional Shares
Six months ended 06/30/2006 (h)		13.94		0.07		0.58			0.65			—			—			—
Year ended 12/31/2005		13.16		0.18		0.90			1.08			(0.14	)		(0.16	)		(0.30	)
Year ended 12/31/2004		12.13		0.19		1.19			1.38			(0.14	)		(0.21	)		(0.35	)
Period ended 12/31/2003 (k)		10.00		0.09		2.08			2.17			(0.04	)		—			(0.04	)
Class R-1 Shares
Six months ended 06/30/2006 (h)		13.87		0.03		0.58			0.61			—			—			—
Year ended 12/31/2005		13.15		0.12		0.86			0.98			(0.10	)		(0.16	)		(0.26	)
Period ended 12/31/2004 (l)		12.30		0.05		1.13			1.18			(0.12	)		(0.21	)		(0.33	)
Class R-2 Shares
Six months ended 06/30/2006 (h)		13.92		0.04		0.59			0.63			—			—			—
Year ended 12/31/2005		13.16		0.12		0.89			1.01			(0.09	)		(0.16	)		(0.25	)
Period ended 12/31/2004 (l)		12.30		0.05		1.13			1.18			(0.11	)		(0.21	)		(0.32	)
Class R-3 Shares
Six months ended 06/30/2006 (h)		13.93		0.06		0.58			0.64			—			—			—
Year ended 12/31/2005		13.16		0.16		0.89			1.05			(0.12	)		(0.16	)		(0.28	)
Period ended 12/31/2004 (l)		12.30		0.06		1.13			1.19			(0.12	)		(0.21	)		(0.33	)

(a) The per share net amounts and ratios reflect income and expenses assuming inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio and reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the net amounts and ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, and reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, assuming Barclays’ expense credit and waiver, were 0.28% and 3.46%, respectively, for the six months ended June 30, 2006.

(b) Average shares outstanding for the period were used to calculate net investment income. (c) Distributions represent less than $0.01 per share in 2003.

(d) Total return is not annualized for periods that are less than a full year and does not reflect the effect of sales charge for Class A, Class B, Legacy Class A and Legacy Class B shares. All other classes do not have a sales charge.

(e) The expense ratios for the Institutional shares include the effect of the increased voluntary expense limitation threshold (where applicable) and increased shareholder services fees effective May 1, 2005.

See accompanying notes to financial statements.

138

Net asset value, end of period		Total return (d)		Ratios/supplemental data
				Net assets, end of period (millions)		Average Net Asset ratios assuming expense limitations and expense waivers				Average Net Asset ratios absent expense limitations and expense waivers				Portfolio turnover rate (g)
						Expenses (a) (e)		Net investment income (a)		Expenses (e) (f)		Net investment income (loss) (f)
$	14.58	(2.61	)%	$	5.5	1.15	%(j)	1.31	%(j)	1.53	%(j)	0.93	%(j)	21	%
	14.58	(2.61	)		0.9	1.86	(j)	0.38	(j)	2.21	(j)	0.03	(j)	21
	14.51	4.61			169.6	1.18	(j)	0.68	(j)	1.51	(j)	0.35	(j)	21
	13.87	7.71			116.9	1.21		1.04		1.62		0.63		38
	13.12	10.86			53.7	1.22		1.06		1.67		0.61		147
	12.11	21.37			12.3	1.30	(j)	0.86	(j)	2.38	(j)	(0.22	)(j)	29
	14.45	4.41			44.8	1.58	(j)	0.28	(j)	1.91	(j)	(0.05	)(j)	21
	13.84	7.41			34.1	1.61		0.63		2.02		0.22		38
	13.09	10.51			17.8	1.62		0.63		2.08		0.17		147
	12.09	21.05			5.1	1.70	(j)	0.47	(j)	2.85	(j)	(0.68	)(j)	29
	14.59	4.66			43.1	0.93	(j)	0.94	(j)	1.26	(j)	0.61	(j)	21
	13.94	8.15			25.5	0.90		1.34		1.31		0.93		38
	13.16	11.32			12.5	0.72		1.56		1.17		1.11		147
	12.13	21.70			2.8	0.80	(j)	1.36	(j)	2.22	(j)	(0.06	)(j)	29
	14.48	4.40			3.4	1.50	(j)	0.36	(j)	1.83	(j)	0.03	(j)	21
	13.87	7.43			2.1	1.52		0.90		1.94		0.48		38
	13.15	9.54			0.2	1.52	(j)	1.38	(j)	1.92	(j)	0.98	(j)	147
	14.55	4.53			3.1	1.30	(j)	0.58	(j)	1.63	(j)	0.25	(j)	21
	13.92	7.65			1.6	1.33		0.88		1.74		0.47		38
	13.16	9.59			0.1	1.33	(j)	1.23	(j)	1.72	(j)	1.84	(j)	147
	14.57	4.59			0.3	1.00	(j)	0.88	(j)	1.33	(j)	0.55	(j)	21
	13.93	7.96			0.2	1.03		1.20		1.44		0.79		38
	13.16	9.69			0.1	1.03	(j)	1.54	(j)	1.42	(j)	1.15	(j)	147

(f) Ratios reflect inclusion of the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect SFIMC’s voluntary expense limitation threshold. For the six months ended June 30, 2006, the ratios also include the Fund’s indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios, but do not reflect Barclays’ expense credit and waiver for the Master Portfolio described in Note 2 under Expense Reduction Agreements. The expense and net investment income ratios for the Master Portfolio, excluding any Barclays’ expense credit and waiver, were 0.61% and 3.13%, respectively, for the six months ended June 30, 2006.

(g) Amount represents the portfolio turnover rate of the Master Portfolio.

(h) Unaudited.

(i) For all the data, except for the portfolio turnover rate which is for the six months ended June 30, 2006, the period is from commencement of investment operations April 27, 2006.

(j) Determined on an annualized basis.

(k) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations May 9, 2003. (l) For all the data, except for the portfolio turnover rate which is for the entire year, the period is from commencement of investment operations September 13, 2004.

See accompanying notes to financial statements.

139

S&P 500 INDEX MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Shares	Value
COMMON STOCKS  (98.96%)
ADVERTISING  (0.16%)
Interpublic Group of Companies Inc. (a) (b)	89,559	$	747,817
Omnicom Group Inc.	35,220		3,137,750
			3,885,567
AEROSPACE & DEFENSE (2.13%)
Boeing Co. (The)	165,045		13,518,836
General Dynamics Corp.	83,330		5,454,782
Goodrich (B.F.) Co. (b)	25,866		1,042,141
L-3 Communications Holdings Inc.	25,123		1,894,777
Lockheed Martin Corp.	73,105		5,244,553
Northrop Grumman Corp.	70,963		4,545,890
Raytheon Co.	92,106		4,105,164
Rockwell Collins Inc. (b)	35,239		1,968,803
United Technologies Corp.	208,658		13,233,090
			51,008,036
AGRICULTURE (1.90%)
Altria Group Inc.	431,011		31,649,138
Archer-Daniels-Midland Co.	135,094		5,576,680
Monsanto Co.	55,855		4,702,432
Reynolds American Inc. (b)	17,679		2,038,389
UST Inc. (b)	33,325		1,505,957
			45,472,596
AIRLINES (0.10%)
Southwest Airlines Co.	145,449		2,381,000
			2,381,000
APPAREL (0.35%)
Coach Inc. (a)	79,475		2,376,302
Jones Apparel Group Inc.	23,493		746,842
Liz Claiborne Inc. (b)	21,780		807,167
Nike Inc. Class B	38,974		3,156,894
VF Corp. (b)	18,209		1,236,755
			8,323,960
AUTO MANUFACTURERS (0.39%)
Ford Motor Co. (b)	387,290		2,683,920
General Motors Corp. (b)	116,755		3,478,131
Navistar International Corp. (a)	12,553		308,929
PACCAR Inc. (b)	34,474		2,839,968
			9,310,948
AUTO PARTS & EQUIPMENT (0.16%)
Cooper Tire & Rubber Co. (b)	13,285		147,995
Goodyear Tire & Rubber Co. (The) (a)	36,965		410,311
Johnson Controls Inc. (b)	40,248		3,309,191
			3,867,497

Security	Shares	Value
COMMON STOCKS  (Cont.)
BANKS  (6.68%)
AmSouth Bancorp	71,855	$	1,900,565
Bank of America Corp.	941,947		45,307,651
Bank of New York Co. Inc. (The)	159,313		5,129,879
BB&T Corp.	113,539		4,722,087
Comerica Inc.	33,536		1,743,537
Commerce Bancorp Inc. (b)	38,261		1,364,770
Compass Bancshares Inc. (b)	26,443		1,470,231
Fifth Third Bancorp (b)	114,880		4,244,816
First Horizon National Corp. (b)	25,250		1,015,050
Huntington Bancshares Inc.	50,649		1,194,303
KeyCorp	83,443		2,977,246
M&T Bank Corp. (b)	16,271		1,918,676
Marshall & Ilsley Corp.	46,399		2,122,290
Mellon Financial Corp.	85,370		2,939,289
National City Corp. (b)	111,983		4,052,665
North Fork Bancorp Inc.	96,034		2,897,346
Northern Trust Corp.	38,396		2,123,299
PNC Financial Services Group	61,103		4,287,598
Regions Financial Corp.	94,130		3,117,586
State Street Corp. (b)	68,608		3,985,439
SunTrust Banks Inc.	75,063		5,724,304
Synovus Financial Corp. (b)	66,294		1,775,353
U.S. Bancorp	367,397		11,345,219
Wachovia Corp. (b)	332,013		17,955,263
Wells Fargo & Co.	346,774		23,261,600
Zions Bancorporation	21,792		1,698,468
			160,274,530
BEVERAGES (2.13%)
Anheuser-Busch Companies Inc. (b)	159,522		7,272,608
Brown-Forman Corp. Class B (b)	17,051		1,218,294
Coca-Cola Co. (The)	423,047		18,199,482
Coca-Cola Enterprises Inc.	62,187		1,266,749
Constellation Brands Inc. (a) (b)	41,404		1,035,100
Molson Coors Brewing Co. Class B (b)	11,740		796,911
Pepsi Bottling Group Inc.	27,765		892,645
PepsiCo Inc.	341,093		20,479,224
			51,161,013
BIOTECHNOLOGY (1.02%)
Amgen Inc. (a)	243,406		15,877,373
Biogen Idec Inc. (a)	70,985		3,288,735
Genzyme Corp. (a) (b)	53,745		3,281,132
MedImmune Inc. (a) (b)	51,104		1,384,918
Millipore Corp. (a)	10,926		688,229
			24,520,387
BUILDING MATERIALS (0.23%)
American Standard Companies Inc. (b)	36,466		1,577,884

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Shares	Value
COMMON STOCKS  (Cont.)
BUILDING MATERIALS  (Cont.)
Masco Corp.	82,003	$	2,430,569
Vulcan Materials Co. (b)	20,839		1,625,442
			5,633,895
CHEMICALS (1.35%)
Air Products & Chemicals Inc. (b)	46,279		2,958,154
Ashland Inc. (b)	14,617		974,954
Dow Chemical Co. (The) (b)	198,517		7,748,119
Du Pont (E.I.) de Nemours and Co. (b)	190,169		7,911,030
Eastman Chemical Co.	16,647		898,938
Ecolab Inc. (b)	37,914		1,538,550
Hercules Inc. (a) (b)	23,272		355,131
International Flavors & Fragrances Inc. (b)	16,021		564,580
PPG Industries Inc. (b)	34,186		2,256,276
Praxair Inc.	66,704		3,602,016
Rohm & Haas Co.	30,156		1,511,419
Sherwin-Williams Co. (The)	22,974		1,090,806
Sigma-Aldrich Corp.	13,896		1,009,405
			32,419,378
COAL (0.07%)
CONSOL Energy Inc.	37,790		1,765,549
			1,765,549
COMMERCIAL SERVICES (0.80%)
Apollo Group Inc. Class A (a)	28,759		1,485,978
Block (H & R) Inc. (b)	68,135		1,625,701
Cendant Corp.	206,489		3,363,706
Convergys Corp. (a)	29,374		572,793
Donnelley (R.R.) & Sons Co.	44,211		1,412,541
Equifax Inc.	26,630		914,474
McKesson Corp.	62,784		2,968,428
Moody’s Corp.	50,429		2,746,363
Paychex Inc.	68,817		2,682,487
Robert Half International Inc.	35,286		1,482,012
			19,254,483
COMPUTERS (3.60%)
Affiliated Computer Services Inc. Class A (a)	24,722		1,275,902
Apple Computer Inc. (a)	175,559		10,027,930
Computer Sciences Corp. (a)	38,687		1,873,998
Dell Inc. (a)	468,898		11,445,800
Electronic Data Systems Corp.	107,021		2,574,925
EMC Corp. (a)	488,111		5,354,578
Gateway Inc. (a)	51,610		98,059
Hewlett-Packard Co.	575,799		18,241,312
International Business Machines Corp. (b)	320,019		24,583,860

Security	Shares	Value
COMMON STOCKS  (Cont.)
COMPUTERS  (Cont.)
Lexmark International Inc. (a)	21,532	$	1,202,132
NCR Corp. (a)	37,708		1,381,621
Network Appliance Inc. (a) (b)	77,062		2,720,289
SanDisk Corp. (a)	40,117		2,045,165
Sun Microsystems Inc. (a)	722,076		2,996,615
Unisys Corp. (a)	71,074		446,345
			86,268,531
COSMETICS & PERSONAL CARE (2.03%)
Alberto-Culver Co. (b)	15,689		764,368
Avon Products Inc.	92,682		2,873,142
Colgate-Palmolive Co.	106,239		6,363,716
Estee Lauder Companies Inc. (The) Class A (b)	24,729		956,270
Procter & Gamble Co.	677,326		37,659,326
			48,616,822
DISTRIBUTION & WHOLESALE (0.11%)
Genuine Parts Co. (b)	35,958		1,498,010
Grainger (W.W.) Inc.	15,920		1,197,662
			2,695,672
DIVERSIFIED FINANCIAL SERVICES (8.16%)
American Express Co. (b)	254,681		13,554,123
Ameriprise Financial Inc.	50,432		2,252,797
Bear Stearns Companies Inc. (The)	24,898		3,487,712
Capital One Financial Corp.	62,557		5,345,496
CIT Group Inc.	41,350		2,162,191
Citigroup Inc.	1,026,107		49,499,402
Countrywide Financial Corp.	125,430		4,776,374
E*TRADE Financial Corp. (a) (b)	87,702		2,001,360
Federal Home Loan Mortgage Corp.	142,636		8,131,678
Federal National Mortgage Association	199,793		9,610,043
Federated Investors Inc. Class B	17,624		555,156
Franklin Resources Inc.	31,665		2,748,839
Goldman Sachs Group Inc. (The)	89,181		13,415,498
Janus Capital Group Inc. (b)	43,702		782,266
JP Morgan Chase & Co.	717,183		30,121,686
Legg Mason Inc.	27,262		2,713,114
Lehman Brothers Holdings Inc.	110,524		7,200,639
Merrill Lynch & Co. Inc.	190,729		13,267,109
Morgan Stanley	221,089		13,975,036
Rowe (T.) Price Group Inc.	54,772		2,070,929
Schwab (Charles) Corp. (The)	212,912		3,402,334
SLM Corp.	84,816		4,488,463
			195,562,245
ELECTRIC (3.09%)
AES Corp. (The) (a) (b)	135,912		2,507,576
Allegheny Energy Inc. (a) (b)	33,567		1,244,329

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Shares	Value
COMMON STOCKS  (Cont.)
ELECTRIC  (Cont.)
Ameren Corp. (b)	42,574	$	2,149,987
American Electric Power Co. Inc.	81,125		2,778,531
CenterPoint Energy Inc.	65,171		814,638
CMS Energy Corp. (a) (b)	46,135		596,987
Consolidated Edison Inc.	50,459		2,242,398
Constellation Energy Group Inc.	37,108		2,023,128
Dominion Resources Inc. (b)	71,743		5,365,659
DTE Energy Co. (b)	36,881		1,502,532
Duke Energy Corp.	254,927		7,487,206
Edison International	67,104		2,617,056
Entergy Corp.	42,857		3,032,133
Exelon Corp.	137,992		7,842,085
FirstEnergy Corp.	68,090		3,691,159
FPL Group Inc.	83,454		3,453,327
PG&E Corp. (b)	71,671		2,815,237
Pinnacle West Capital Corp.	20,170		804,985
PPL Corp. (b)	78,261		2,527,830
Progress Energy Inc. (b)	52,459		2,248,917
Public Service Enterprise Group Inc.	51,913		3,432,488
Southern Co. (The) (b)	153,180		4,909,419
TECO Energy Inc.	43,692		652,758
TXU Corp.	95,455		5,707,254
Xcel Energy Inc. (b)	83,603		1,603,506
			74,051,125
ELECTRICAL COMPONENTS & EQUIPMENT (0.37%)
American Power Conversion Corp. (b)	34,557		673,516
Emerson Electric Co.	84,729		7,101,137
Molex Inc. (b)	29,336		984,810
			8,759,463
ELECTRONICS (0.49%)
Agilent Technologies Inc. (a)	87,908		2,774,376
Applera Corp. - Applied Biosystems Group	38,131		1,233,538
Fisher Scientific International Inc. (a)	25,527		1,864,747
Jabil Circuit Inc.	36,394		931,686
PerkinElmer Inc.	26,161		546,765
Sanmina-SCI Corp. (a)	109,718		504,703
Solectron Corp. (a)	190,093		650,118
Symbol Technologies Inc.	52,579		567,327
Tektronix Inc.	17,304		509,084
Thermo Electron Corp. (a)	33,439		1,211,829
Waters Corp. (a) (b)	21,655		961,482
			11,755,655
ENGINEERING & CONSTRUCTION (0.07%)
Fluor Corp. (b)	18,033		1,675,807
			1,675,807

Security	Shares	Value
COMMON STOCKS  (Cont.)
ENTERTAINMENT  (0.11%)
International Game Technology Inc.	70,004	$	2,655,952
			2,655,952
ENVIRONMENTAL CONTROL  (0.19%)
Allied Waste Industries Inc. (a) (b)	50,238		570,704
Waste Management Inc.	112,348		4,031,046
			4,601,750
FOOD (1.46%)
Campbell Soup Co. (b)	38,244		1,419,235
ConAgra Foods Inc. (b)	106,823		2,361,857
Dean Foods Co. (a)	28,346		1,054,188
General Mills Inc. (b)	73,477		3,795,822
Heinz (H.J.) Co.	69,033		2,845,540
Hershey Co. (The) (b)	36,668		2,019,307
Kellogg Co. (b)	50,345		2,438,208
Kroger Co.	149,355		3,264,900
McCormick & Co. Inc. NVS	27,403		919,371
Safeway Inc. (b)	92,478		2,404,428
Sara Lee Corp.	156,554		2,507,995
SUPERVALU Inc.	42,590		1,307,513
Sysco Corp. (b)	127,686		3,902,084
Tyson Foods Inc. Class A (b)	51,221		761,144
Whole Foods Market Inc. (b)	28,827		1,863,377
Wrigley (William Jr.) Co. (b)	45,834		2,079,030
			34,943,999
FOREST PRODUCTS & PAPER (0.43%)
International Paper Co. (b)	101,640		3,282,972
Louisiana-Pacific Corp.	21,879		479,150
MeadWestvaco Corp. (b)	37,750		1,054,358
Plum Creek Timber Co. Inc. (b)	38,077		1,351,734
Temple-Inland Inc.	23,032		987,382
Weyerhaeuser Co. (b)	50,831		3,164,230
			10,319,826
GAS (0.24%)
KeySpan Corp.	36,110		1,458,844
Nicor Inc. (b)	9,189		381,344
NiSource Inc. (b)	56,244		1,228,369
Peoples Energy Corp. (b)	7,893		283,438
Sempra Energy	53,731		2,443,686
			5,795,681
HAND & MACHINE TOOLS (0.10%)
Black & Decker Corp.	15,693		1,325,431
Snap-On Inc. (b)	12,087		488,557
Stanley Works (The) (b)	14,557		687,382
			2,501,370

The accompanying notes are an integral part of these financial statements.

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Security	Shares	Value
COMMON STOCKS  (Cont.)
HEALTH CARE-PRODUCTS  (3.05%)
Bard (C.R.) Inc. (b)	21,341	$	1,563,442
Bausch & Lomb Inc.	11,305		554,397
Baxter International Inc.	135,170		4,968,849
Becton, Dickinson & Co.	51,005		3,117,936
Biomet Inc.	50,452		1,578,643
Boston Scientific Corp. (a)	250,820		4,223,809
Johnson & Johnson	611,184		36,622,145
Medtronic Inc. (b)	249,146		11,689,930
Patterson Companies Inc. (a) (b)	28,357		990,510
St. Jude Medical Inc. (a)	74,600		2,418,532
Stryker Corp. (b)	60,197		2,534,896
Zimmer Holdings Inc. (a)	51,226		2,905,539
			73,168,628
HEALTH CARE-SERVICES (1.67%)
Aetna Inc. (b)	117,045		4,673,607
Coventry Health Care Inc. (a)	33,338		1,831,590
HCA Inc.	84,231		3,634,568
Health Management Associates Inc. Class A (b)	50,021		985,914
Humana Inc. (a)	33,920		1,821,504
Laboratory Corp. of America Holdings (a) (b)	25,652		1,596,324
Manor Care Inc. (b)	16,582		778,027
Quest Diagnostics Inc. (b)	33,542		2,009,837
Tenet Healthcare Corp. (a) (b)	98,616		688,340
UnitedHealth Group Inc.	278,041		12,450,676
WellPoint Inc. (a)	131,577		9,574,858
			40,045,245
HOME BUILDERS (0.24%)
Centex Corp. (b)	24,991		1,257,047
Horton (D.R.) Inc.	55,763		1,328,275
KB Home	15,310		701,964
Lennar Corp. Class A	29,068		1,289,747
Pulte Homes Inc. (b)	44,160		1,271,366
			5,848,399
HOME FURNISHINGS (0.10%)
Harman International Industries Inc. (b)	13,789		1,177,167
Whirlpool Corp. (b)	16,191		1,338,186
			2,515,353
HOUSEHOLD PRODUCTS & WARES (0.47%)
Avery Dennison Corp. (b)	22,855		1,326,961
Clorox Co. (The)	31,119		1,897,325
Fortune Brands Inc. (b)	30,430		2,160,834
Kimberly-Clark Corp.	94,904		5,855,577
			11,240,697

Security	Shares	Value
COMMON STOCKS  (Cont.)
HOUSEWARES (0.06%)
Newell Rubbermaid Inc. (b)	57,131	$	1,475,694
			1,475,694
INSURANCE (4.81%)
ACE Ltd.	67,131		3,396,157
AFLAC Inc.	102,931		4,770,852
Allstate Corp. (The)	131,154		7,178,058
Ambac Financial Group Inc. (b)	21,944		1,779,658
American International Group Inc.	536,143		31,659,244
AON Corp. (b)	65,788		2,290,738
Chubb Corp.	85,651		4,273,985
CIGNA Corp.	24,725		2,435,660
Cincinnati Financial Corp. (b)	35,658		1,676,283
Genworth Financial Inc. Class A	75,315		2,623,975
Hartford Financial Services Group Inc. (The)	62,567		5,293,168
Lincoln National Corp. (b)	59,275		3,345,481
Loews Corp.	83,820		2,971,419
Marsh & McLennan Companies Inc. (b)	113,424		3,049,971
MBIA Inc. (b)	27,867		1,631,613
MetLife Inc.	156,598		8,019,384
MGIC Investment Corp. (b)	18,197		1,182,805
Principal Financial Group Inc. (b)	57,179		3,182,011
Progressive Corp. (The) (b)	161,532		4,152,988
Prudential Financial Inc.	101,559		7,891,134
SAFECO Corp. (b)	24,443		1,377,363
St. Paul Travelers Companies Inc.	143,723		6,407,171
Torchmark Corp. (b)	20,535		1,246,885
UNUMProvident Corp. (b)	61,419		1,113,526
XL Capital Ltd. Class A (b)	37,171		2,278,582
			115,228,111
INTERNET (1.73%)
Amazon.com Inc. (a) (b)	64,151		2,481,361
eBay Inc. (a) (b)	238,683		6,991,025
Google Inc. Class A (a)	42,542		17,839,137
Monster Worldwide Inc. (a)	26,481		1,129,679
Symantec Corp. (a)	213,686		3,320,680
VeriSign Inc. (a) (b)	50,803		1,177,106
Yahoo! Inc. (a)	258,817		8,540,961
			41,479,949
IRON & STEEL (0.27%)
Allegheny Technologies Inc.	17,891		1,238,773
Nucor Corp.	64,326		3,489,686
United States Steel Corp.	25,659		1,799,209
			6,527,668

The accompanying notes are an integral part of these financial statements.

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Security	Shares	Value
COMMON STOCKS  (Cont.)
LEISURE TIME  (0.34%)
Brunswick Corp.	19,658	$	653,629
Carnival Corp. (b)	89,658		3,742,325
Harley-Davidson Inc.	55,603		3,052,049
Sabre Holdings Corp.	27,509		605,198
			8,053,201
LODGING (0.41%)
Harrah’s Entertainment Inc.	38,141		2,714,876
Hilton Hotels Corp. (b)	68,528		1,937,972
Marriott International Inc. Class A	67,458		2,571,499
Starwood Hotels & Resorts Worldwide Inc.	44,848		2,706,128
			9,930,475
MACHINERY (0.76%)
Caterpillar Inc. (b)	138,224		10,294,924
Cummins Inc. (b)	9,607		1,174,456
Deere & Co. (b)	48,325		4,034,654
Rockwell Automation Inc. (b)	36,648		2,639,022
			18,143,056
MANUFACTURING (5.31%)
Cooper Industries Ltd. (b)	19,079		1,772,821
Danaher Corp. (b)	48,705		3,132,706
Dover Corp.	42,096		2,080,805
Eastman Kodak Co. (b)	59,508		1,415,100
Eaton Corp.	30,961		2,334,459
General Electric Co.	2,146,313		70,742,476
Honeywell International Inc. (b)	170,905		6,887,472
Illinois Tool Works Inc. (b)	85,496		4,061,060
Ingersoll-Rand Co. Class A	67,925		2,905,832
ITT Industries Inc.	38,407		1,901,147
Leggett & Platt Inc. (b)	37,442		935,301
Pall Corp.	26,133		731,724
Parker Hannifin Corp.	24,897		1,932,007
Textron Inc. (b)	26,868		2,476,692
3M Co.	155,624		12,569,750
Tyco International Ltd.	420,388		11,560,670
			127,440,022
MEDIA (3.22%)
CBS Corp. Class B	159,467		4,313,582
Clear Channel Communications Inc.	103,894		3,215,519
Comcast Corp. Class A (a)	436,124		14,278,700
Dow Jones & Co. Inc.	12,194		426,912
Gannett Co. Inc.	49,040		2,742,807
McGraw-Hill Companies Inc. (The)	73,863		3,710,138
Meredith Corp. (b)	8,656		428,818
New York Times Co. Class A (b)	29,460		722,948
News Corp. Class A (b)	488,288		9,365,364
Scripps (E.W.) Co. Class A	17,458		753,138

Security	Shares	Value
COMMON STOCKS  (Cont.)
MEDIA  (Cont.)
Time Warner Inc.	883,887	$	15,291,245
Tribune Co.	45,205		1,465,998
Univision Communications Inc. Class A (a) (b)	46,053		1,542,776
Viacom Inc. Class B (a)	148,842		5,334,497
Walt Disney Co. (The) (b)	453,045		13,591,350
			77,183,792
MINING (0.68%)
Alcoa Inc.	179,612		5,812,244
Freeport-McMoRan Copper & Gold Inc.	38,760		2,147,692
Newmont Mining Corp.	92,666		4,904,811
Phelps Dodge Corp.	42,076		3,456,964
			16,321,711
OFFICE & BUSINESS EQUIPMENT (0.19%)
Pitney Bowes Inc.	45,743		1,889,186
Xerox Corp. (a) (b)	189,854		2,640,869
			4,530,055
OIL & GAS (8.14%)
Anadarko Petroleum Corp.	94,653		4,514,002
Apache Corp.	68,193		4,654,172
Chesapeake Energy Corp. (b)	79,841		2,415,190
Chevron Corp.	457,517		28,393,505
ConocoPhillips	340,712		22,326,857
Devon Energy Corp.	90,826		5,486,799
EOG Resources Inc. (b)	50,016		3,468,109
Exxon Mobil Corp.	1,248,835		76,616,027
Hess Corp. (b)	49,729		2,628,178
Kerr-McGee Corp.	46,899		3,252,446
Marathon Oil Corp.	74,817		6,232,256
Murphy Oil Corp. (b)	34,296		1,915,775
Nabors Industries Ltd. (a)	64,084		2,165,398
Noble Corp. (b)	28,519		2,122,384
Occidental Petroleum Corp.	88,404		9,065,830
Rowan Companies Inc. (b)	22,973		817,609
Sunoco Inc.	27,382		1,897,299
Transocean Inc. (a) (b)	67,070		5,387,062
Valero Energy Corp.	127,042		8,450,834
XTO Energy Inc.	75,173		3,327,909
			195,137,641
OIL & GAS SERVICES (1.58%)
Baker Hughes Inc.	70,343		5,757,575
BJ Services Co. (b)	66,375		2,473,133
Halliburton Co.	106,552		7,907,224
National Oilwell Varco Inc. (a)	36,329		2,300,352
Schlumberger Ltd. (b)	243,542		15,857,020

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Shares	Value
COMMON STOCKS  (Cont.)
OIL & GAS SERVICES  (Cont.)
Weatherford International Ltd. (a) (b)	71,979	$	3,571,598
			37,866,902
PACKAGING & CONTAINERS (0.13%)
Ball Corp.	21,721		804,546
Bemis Co. Inc.	21,525		659,096
Pactiv Corp. (a)	28,750		711,563
Sealed Air Corp. (b)	16,909		880,621
			3,055,826
PHARMACEUTICALS (5.88%)
Abbott Laboratories	315,034		13,738,633
Allergan Inc. (b)	31,515		3,380,299
AmerisourceBergen Corp.	43,338		1,816,729
Barr Pharmaceuticals Inc. (a)	22,044		1,051,278
Bristol-Myers Squibb Co.	405,881		10,496,083
Cardinal Health Inc. (b)	86,220		5,546,533
Caremark Rx Inc.	91,291		4,552,682
Express Scripts Inc. (a)	30,355		2,177,668
Forest Laboratories Inc. (a)	67,094		2,595,867
Gilead Sciences Inc. (a)	93,928		5,556,780
Hospira Inc. (a)	32,048		1,376,141
King Pharmaceuticals Inc. (a)	50,799		863,583
Lilly (Eli) & Co.	233,276		12,893,165
Medco Health Solutions Inc. (a)	62,275		3,567,112
Merck & Co. Inc.	450,498		16,411,642
Mylan Laboratories Inc. (b)	42,728		854,560
Pfizer Inc.	1,512,444		35,497,061
Schering-Plough Corp.	305,726		5,817,966
Watson Pharmaceuticals Inc. (a) (b)	21,092		491,022
Wyeth (b)	277,825		12,338,208
			141,023,012
PIPELINES (0.32%)
Dynegy Inc. Class A (a)	76,604		419,024
El Paso Corp.	144,471		2,167,065
Kinder Morgan Inc.	21,520		2,149,633
Williams Companies Inc. (b)	122,347		2,858,026
			7,593,748
REAL ESTATE INVESTMENT TRUSTS (0.89%)
Apartment Investment & Management Co. Class A (b)	20,092		872,997
Archstone-Smith Trust (b)	44,127		2,244,740
Boston Properties Inc. (b)	18,748		1,694,819
Equity Office Properties Trust (b)	75,736		2,765,121
Equity Residential (b)	60,126		2,689,436
Kimco Realty Corp. (b)	43,966		1,604,319
ProLogis (b)	50,565		2,635,448
Public Storage Inc.	16,969		1,287,947

Security	Shares	Value
COMMON STOCKS  (Cont.)
REAL ESTATE INVESTMENT TRUSTS  (Cont.)
Simon Property Group Inc.	37,845	$	3,138,864
Vornado Realty Trust	24,553		2,395,145
			21,328,836
RETAIL (5.85%)
AutoNation Inc. (a)	30,834		661,081
AutoZone Inc. (a) (b)	10,910		962,262
Bed Bath & Beyond Inc. (a) (b)	58,095		1,927,011
Best Buy Co. Inc.	83,076		4,555,888
Big Lots Inc. (a) (b)	23,994		409,818
Circuit City Stores Inc. (b)	31,516		857,866
Costco Wholesale Corp. (b)	97,275		5,557,321
CVS Corp.	168,942		5,186,519
Darden Restaurants Inc. (b)	26,629		1,049,183
Dillard’s Inc. Class A (b)	12,577		400,577
Dollar General Corp. (b)	64,268		898,467
Family Dollar Stores Inc. (b)	32,407		791,703
Federated Department Stores Inc.	114,202		4,179,793
Gap Inc. (The)	113,558		1,975,909
Home Depot Inc.	426,650		15,269,804
Kohl’s Corp. (a)	70,183		4,149,219
Limited Brands Inc. (b)	70,829		1,812,514
Lowe’s Companies Inc. (b)	160,140		9,715,694
McDonald’s Corp.	257,214		8,642,390
Nordstrom Inc.	44,264		1,615,636
Office Depot Inc. (a)	59,399		2,257,162
OfficeMax Inc.	14,754		601,226
Penney (J.C.) Co. Inc.	48,481		3,272,952
RadioShack Corp.	28,224		395,136
Sears Holdings Corp. (a) (b)	20,023		3,100,361
Staples Inc.	150,309		3,655,515
Starbucks Corp. (a) (b)	158,430		5,982,317
Target Corp.	178,223		8,709,758
Tiffany & Co. (b)	29,045		959,066
TJX Companies Inc.	94,297		2,155,629
Walgreen Co.	208,511		9,349,633
Wal-Mart Stores Inc.	516,097		24,860,392
Wendy’s International Inc.	24,290		1,415,864
Yum! Brands Inc. (b)	56,276		2,828,995
			140,162,661
SAVINGS & LOANS (0.61%)
Golden West Financial Corp.	52,874		3,923,251
Sovereign Bancorp Inc. (b)	77,297		1,569,906
Washington Mutual Inc.	198,317		9,039,289
			14,532,446
SEMICONDUCTORS (2.71%)
Advanced Micro Devices Inc. (a)	99,943		2,440,608
Altera Corp. (a)	74,518		1,307,791
Analog Devices Inc.	74,562		2,396,423

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Shares	Value
COMMON STOCKS  (Cont.)
SEMICONDUCTORS  (Cont.)
Applied Materials Inc.	322,808	$	5,255,314
Broadcom Corp. Class A (a)	94,561		2,841,558
Freescale Semiconductor Inc. Class B (a)	83,771		2,462,867
Intel Corp. (b)	1,200,695		22,753,170
KLA-Tencor Corp. (b)	41,212		1,713,183
Linear Technology Corp.	62,687		2,099,388
LSI Logic Corp. (a)	82,159		735,323
Maxim Integrated Products Inc. (b)	65,888		2,115,664
Micron Technology Inc. (a)	141,406		2,129,574
National Semiconductor Corp.	69,476		1,657,003
Novellus Systems Inc. (a)	25,570		631,579
NVIDIA Corp. (a)	72,197		1,537,074
PMC-Sierra Inc. (a)	42,806		402,376
QLogic Corp. (a)	33,968		585,608
Teradyne Inc. (a)	41,257		574,710
Texas Instruments Inc.	321,607		9,741,476
Xilinx Inc. (b)	70,620		1,599,543
			64,980,232
SOFTWARE (3.55%)
Adobe Systems Inc. (a)	123,596		3,752,375
Autodesk Inc. (a)	47,994		1,653,873
Automatic Data Processing Inc.	118,979		5,395,698
BMC Software Inc. (a)	43,741		1,045,410
CA Inc.	93,686		1,925,247
Citrix Systems Inc. (a) (b)	37,934		1,522,671
Compuware Corp. (a)	77,757		520,972
Electronic Arts Inc. (a) (b)	63,206		2,720,386
First Data Corp.	158,028		7,117,581
Fiserv Inc. (a)	36,276		1,645,479
IMS Health Inc.	41,408		1,111,805
Intuit Inc. (a)	35,273		2,130,136
Microsoft Corp.	1,810,834		42,192,432
Novell Inc. (a)	70,054		464,458
Oracle Corp. (a) (b)	803,846		11,647,729
Parametric Technology Corp. (a)	22,648		287,856
			85,134,108
TELECOMMUNICATIONS (6.05%)
ADC Telecommunications Inc. (a)	24,377		410,996
Alltel Corp.	80,323		5,127,017
Andrew Corp. (a)	33,783		299,317
AT&T Inc.	802,516		22,382,171
Avaya Inc. (a) (b)	84,884		969,375
BellSouth Corp.	373,364		13,515,777
CenturyTel Inc.	24,202		899,104
CIENA Corp. (a) (b)	118,783		571,346
Cisco Systems Inc. (a)	1,260,061		24,608,991
Citizens Communications Co. (b)	67,636		882,650

Security	Shares or principal		Value
COMMON STOCKS  (Cont.)
TELECOMMUNICATIONS  (Cont.)
Comverse Technology Inc. (a)		41,291	$	816,323
Corning Inc. (a)		321,513		7,777,399
Embarq Corp. (a)		30,558		1,252,572
JDS Uniphase Corp. (a) (b)		346,006		875,395
Juniper Networks Inc. (a) (b)		117,506		1,878,921
Lucent Technologies Inc. (a) (b)		928,277		2,246,430
Motorola Inc.		509,840		10,273,276
QUALCOMM Inc.		345,984		13,863,579
Qwest Communications International Inc. (a) (b)		322,954		2,612,698
Sprint Nextel Corp. (b)		614,917		12,292,191
Tellabs Inc. (a)		92,528		1,231,548
Verizon Communications Inc.		602,150		20,166,004
				144,953,080
TEXTILES (0.05%)
Cintas Corp. (b)		28,211		1,121,669
				1,121,669
TOYS, GAMES & HOBBIES (0.08%)
Hasbro Inc.		34,628		627,113
Mattel Inc.		80,845		1,334,751
				1,961,864
TRANSPORTATION (1.89%)
Burlington Northern Santa Fe Corp.		75,276		5,965,623
CSX Corp.		45,745		3,222,278
FedEx Corp.		62,983		7,360,193
Norfolk Southern Corp.		85,605		4,555,898
Ryder System Inc.		12,517		731,368
Union Pacific Corp.		55,520		5,161,139
United Parcel Service Inc. Class B (b)		223,888		18,432,699
				45,429,198
TOTAL COMMON STOCKS
(Cost: $2,252,768,643)				2,372,896,016
SHORT-TERM INVESTMENTS (12.46%)
CERTIFICATES OF DEPOSIT (c) (0.33%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	251,892		251,892
Fortis Bank NY
4.43%, 07/20/06		629,466		629,466
Societe Generale
5.33%, 12/08/06		2,519,019		2,519,019
Toronto-Dominion Bank
3.94%, 07/10/06		1,259,509		1,259,509
Washington Mutual Bank
5.28%, 08/07/06		1,259,509		1,259,509

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
CERTIFICATES OF DEPOSIT  (Cont.)
Wells Fargo Bank N.A.
4.78%, 12/05/06	$	2,015,215	$	2,015,215
				7,934,610
COMMERCIAL PAPER (c) (2.50%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06 (d)		7,032,546		6,993,033
ASAP Funding Ltd.
5.21%, 08/08/06 (d)		1,209,129		1,202,829
Barton Capital Corp.
5.29%, 08/01/06 (d)		2,407,905		2,397,644
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (d)		957,227		954,972
CC USA Inc.
5.03%, 10/24/06 (d)		503,804		495,849
Chariot Funding LLC
5.30%, 07/28/06 (d)		1,897,703		1,890,718
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (d)		5,525,845		5,524,279
Curzon Funding LLC
5.30%, 07/31/06 (d)		2,519,019		2,508,635
Edison Asset Securitization LLC
5.22%, 12/11/06 (d)		1,858,330		1,814,948
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (d)		5,332,107		5,313,408
Five Finance Inc.
5.19%, 12/01/06 (d)		1,133,558		1,108,882
General Electric Capital Services Inc.
5.22%, 12/11/06		251,902		246,021
Govco Inc.
5.22%, 08/03/06 (d)		2,519,019		2,507,696
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (d)		856,466		843,194
Jupiter Securitization Corp.
5.29%, 07/27/06 (d)		629,755		627,534
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (d)		2,316,993		2,311,260
Landale Funding LLC
5.30%, 08/15/06 (d)		2,770,920		2,753,379
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (d)		3,900,196		3,870,526
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (d)		2,544,209		2,536,743
Prudential Funding LLC
5.22%, 07/31/06		1,259,509		1,254,396

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Ranger Funding Co. LLC
5.24%, 07/20/06 (d)	$	2,519,019	$	2,512,785
Regency Markets No. 1 LLC
5.10%, 07/07/06 (d)		2,951,509		2,949,836
Scaldis Capital LLC
5.30%, 07/25/06 (d)		1,574,563		1,569,463
Sydney Capital Corp.
5.10%, 07/07/06 (d)		2,755,554		2,753,993
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06 (d)		3,078,971		3,071,352
				60,013,375
MEDIUM-TERM NOTES (c) (0.29%)
Bank of America N.A.
5.28%, 04/20/07		629,755		629,755
Dorada Finance Inc.
3.93%, 07/07/06 (d)		780,896		780,895
K2 USA LLC
3.94%, 07/07/06 (d)		1,511,411		1,511,410
Marshall & Ilsley Bank
5.18%, 12/15/06		2,519,019		2,522,937
Sigma Finance Inc.
5.13%, 03/30/07 (d)		881,656		881,656
US Bank N.A.
2.85%, 11/15/06		503,804		500,375
				6,827,028
MONEY MARKET FUNDS (0.87%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.20% (e) (f)		20,938,914		20,938,914
				20,938,914
REPURCHASE AGREEMENTS (c) (2.02%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $5,040,289 (collateralized by non-U.S. Government debt securities, value $5,196,340, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	5,038,037		5,038,037
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $3,780,220 (collateralized by non-U.S. Government debt securities, value $4,162,177, 2.12% to 6.47%, 11/25/34 to 12/25/42).		3,778,528		3,778,528

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $5,040,289 (collateralized by non-U.S. Government debt securities, value $5,174,768, 5.36% to 6.00%, 12/25/35 to 12/25/42).	$	5,038,037	$	5,038,037
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $6,300,360 (collateralized by non-U.S. Government debt securities, value $7,047,738, 0.00% to 10.00%, 6/1/28 to 12/15/35).		6,297,546		6,297,546
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $1,512,099 (collateralized by non-U.S. Government debt securities, value $1,710,980, 0.00% to 10.00%, 9/10/34 to 5/9/36).		1,511,411		1,511,411
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,572,945, 5.22% to 5.42%, 7/3/06).		2,519,019		2,519,019
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $4,032,265 (collateralized by non-U.S. Government debt securities, value $4,237,791, 0.00% to 10.00%, 1/1/10 to 6/6/16).		4,030,430		4,030,430
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,598,222, 6.38% to 8.49%, 1/7/09 to 2/23/36).		2,519,019		2,519,019
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,598,255, 0.07% to 7.75%, 2/22/11 to 12/15/45).		2,519,019		2,519,019

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $5,040,289 (collateralized by non-U.S. Government debt securities, value $5,297,295, 0.00% to 8.57%, 6/25/23 to 4/25/46).	$	5,038,037	$	5,038,037
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,520,145 (collateralized by non-U.S. Government debt securities, value $2,650,913, 3.79% to 7.22%, 5/15/07 to 3/15/42).		2,519,019		2,519,019
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $882,057 (collateralized by non-U.S. Government debt securities, value $933,323, 0.00% to 10.00%, 7/3/06 to 6/30/36).		881,656		881,656
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $1,854,804 (collateralized by non-U.S. Government debt securities, value $1,866,646, 0.00% to 10.00%, 7/3/06 to 6/30/36). (g)		1,763,313		1,763,313
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $5,040,297 (collateralized by non-U.S. Government debt securities, value $5,297,239, 0.00% to 10.00%, 1/1/10 to 5/6/16).		5,038,037		5,038,037
				48,491,108
TIME DEPOSITS (c) (0.99%)
ABN Amro Bank NV
5.30%, 07/03/06		2,519,019		2,519,019
KBC Bank NV
5.32%, 07/03/06		7,557,056		7,557,056
Societe Generale
5.32%, 07/03/06		6,297,546		6,297,546
UBS AG
5.25% - 5.34%, 07/03/06		7,262,557		7,262,557
				23,636,178

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
U.S. TREASURY OBLIGATIONS  (0.05%)
U.S. Treasury Bill
4.73% (h), 09/21/06 (i)	$	1,300,000	$	1,286,181
				1,286,181
VARIABLE & FLOATING RATE NOTES (c) (5.41%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (d)		6,448,687		6,449,595
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		1,889,264		1,889,252
American Express Centurion Bank
5.34%, 07/19/07		2,770,920		2,774,230
American Express Credit Corp.
5.23%, 07/05/07		755,706		756,206
ASIF Global Financing
5.17%, 05/03/07 (d)		251,902		252,020
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07 (d)		1,637,362		1,637,362
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (d)		4,282,331		4,282,304
BMW US Capital LLC
5.20%, 07/13/07 (d)		2,519,019		2,519,019
BNP Paribas
5.14%, 05/18/07 (d)		4,660,184		4,660,184
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (d)		1,838,884		1,838,883
Commodore CDO Ltd.
5.38%, 06/12/07 (d)		629,755		629,755
Credit Agricole SA
5.31%, 07/23/07		2,519,019		2,519,019
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (d)		2,519,019		2,519,019
DEPFA Bank PLC
5.37%, 06/15/07		2,519,019		2,519,019
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (d)		2,896,871		2,897,100
Eli Lilly Services Inc.
5.08%, 06/29/07 (d)		2,519,019		2,519,019
Fifth Third Bancorp
5.28%, 06/22/07 (d)		5,038,037		5,038,037
First Tennessee Bank N.A.
5.21%, 08/25/06		755,706		755,716
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (d)		1,889,264		1,889,090

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
General Electric Capital Corp.
5.25%, 04/09/07	$	1,133,558	$	1,134,176
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		3,778,528		3,779,232
HBOS Treasury Services PLC
5.53%, 04/24/07 (d)		2,519,019		2,519,019
JP Morgan Chase & Co.
5.12%, 07/02/07		1,889,264		1,889,264
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (d)		3,778,528		3,778,428
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (d)		2,632,422		2,632,422
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		3,148,773		3,147,750
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (d)		2,770,920		2,770,680
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (d)		1,224,218		1,224,218
Marshall & Ilsley Bank
5.18%, 07/13/07		1,385,460		1,385,460
Metropolitan Life Global Funding I
5.15%, 07/06/07 (d)		3,778,528		3,778,528
Mortgage Interest Networking Trust
5.54%, 08/25/06 (d)		317,396		317,503
Mound Financing PLC
5.11%, 05/08/07 (d)		2,367,877		2,367,877
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (d)		2,519,019		2,518,873
National City Bank of Indiana
5.17%, 05/21/07		1,259,509		1,259,603
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (d)		6,801,350		6,801,542
Newcastle Ltd.
5.34%, 04/24/07 (d)		887,954		887,742
Northern Rock PLC
5.17%, 05/03/07 (d)		3,022,822		3,022,896
Principal Life Global Funding I
5.63%, 02/08/07		1,133,558		1,136,756
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (d)		1,889,264		1,889,163
Sigma Finance Inc.
5.51%, 06/18/07 (d)		2,065,595		2,065,595
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (d)		2,519,019		2,519,019

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Strips III LLC
5.37%, 07/24/06 (d)	$	588,863	$	588,863
SunTrust Bank
5.08%, 05/01/07		2,519,019		2,519,147
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (d)		4,760,945		4,760,438
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (d)		3,526,626		3,526,626
US Bank N.A.
5.28%, 09/29/06		1,133,558		1,133,487
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (d)		4,032,446		4,032,447
Wachovia Bank N.A.
5.36%, 05/22/07		5,038,037		5,038,037
Wells Fargo & Co.
5.19%, 07/13/07 (d)		1,259,509		1,259,591
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (d)		2,267,117		2,267,092
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (d)		2,491,309		2,483,117
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (d)		850,773		850,773
				129,630,193
TOTAL SHORT-TERM INVESTMENTS
(Cost: $298,757,191)				298,757,587
TOTAL INVESTMENTS IN SECURITIES (111.42%)
(Cost: $2,551,525,834)				2,671,653,603
OTHER ASSETS, LESS LIABILITIES (-11.42%)				(273,881,567	)
NET ASSETS (100.00%)			$	2,397,772,036

NVS Non-Voting Shares

(a) Non-income earning security.

(b) All or a portion of this security represents a security on loan. See Note 4.

(c) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(e) Affiliated issuer. See Note 2.

(f) The rate quoted is the annualized seven-day yield of the fund at period end.

(g) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

(h) The rate quoted is the yield to maturity.

(i) This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of June 30, 2006, the open futures contracts held by the Master Portfolio were as follows:

Futures contracts (expiration date)	Number of contracts	Notional contract value	Net unrealized appreciation
S&P 500 Index (09/15/06)	382	24,436,540	$262,160
			$262,160

The accompanying notes are an integral part of these financial statements.

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
MASTER PORTFOLIOS (70.61%)
Active Stock Master Portfolio (a)			$	49,222,075
CoreAlpha Bond Master Portfolio (a)				128,354,847
TOTAL MASTER PORTFOLIOS				177,576,922
EXCHANGE-TRADED FUNDS (28.29%)
iShares Cohen & Steers Realty Majors Index Fund (a) (b)		79,147		6,627,770
iShares Lehman TIPS Bond Fund (a)		259,889		25,877,148
iShares MSCI EAFE Index Fund (a) (b)		397,513		25,993,375
iShares S&P MidCap 400 Index Fund (a) (b)		113,487		8,670,407
iShares S&P SmallCap 600 Index Fund (a)		63,873		3,966,513
TOTAL EXCHANGE-TRADED FUNDS
(Cost: $64,278,564)				71,135,213
SHORT-TERM INVESTMENTS (9.43%)
CERTIFICATES OF DEPOSIT (c) (0.25%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	19,795		19,795
Fortis Bank NY
4.43%, 07/20/06		49,465		49,465
Societe Generale
5.33%, 12/08/06		197,952		197,952
Toronto-Dominion Bank
3.94%, 07/10/06		98,976		98,976
Washington Mutual Bank
5.28%, 08/07/06		98,976		98,976
Wells Fargo Bank N.A.
4.78%, 12/05/06		158,361		158,361
				623,525
COMMERCIAL PAPER (c) (1.88%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 -11/22/06 (d)		552,637		549,528
ASAP Funding Ltd.
5.21%, 08/08/06 (d)		95,017		94,522
Barton Capital Corp.
5.29%, 08/01/06 (d)		189,220		188,414
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (d)		75,222		75,044
CC USA Inc.
5.03%, 10/24/06 (d)		39,590		38,965
Chariot Funding LLC
5.30%, 07/28/06 (d)		149,127		148,578
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (d)		434,237		434,114
Curzon Funding LLC
5.30%, 07/31/06 (d)		197,952		197,136

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Edison Asset Securitization LLC
5.22%, 12/11/06 (d)	$	146,033	$	142,624
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (d)		419,012		417,543
Five Finance Inc.
5.19%, 12/01/06 (d)		89,078		87,139
General Electric Capital Services Inc.
5.22%, 12/11/06		19,795		19,333
Govco Inc.
5.22%, 08/03/06 (d)		197,952		197,062
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (d)		67,304		66,261
Jupiter Securitization Corp.
5.29%, 07/27/06 (d)		49,488		49,313
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (d)		182,076		181,625
Landale Funding LLC
5.30%, 08/15/06 (d)		217,747		216,368
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (d)		306,489		304,157
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (d)		199,931		199,345
Prudential Funding LLC
5.22%, 07/31/06		98,976		98,574
Ranger Funding Co. LLC
5.24%, 07/20/06 (d)		197,952		197,462
Regency Markets No. 1 LLC
5.10%, 07/07/06 (d)		231,938		231,807
Scaldis Capital LLC
5.30%, 07/25/06 (d)		123,734		123,333
Sydney Capital Corp.
5.10%, 07/07/06 (d)		216,539		216,417
Thames Asset Global Securitization No. 1 Inc. 5.24%, 07/20/06 (d)		241,954		241,356
				4,716,020
MEDIUM-TERM NOTES (c) (0.21%)
Bank of America N.A.
5.28%, 04/20/07		49,488		49,488
Dorada Finance Inc.
3.93%, 07/07/06 (d)		61,365		61,365
K2 USA LLC
3.94%, 07/07/06 (d)		118,771		118,771
Marshall & Ilsley Bank
5.18%, 12/15/06		197,952		198,260

The accompanying notes are an integral part of these financial statements.

151

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
MEDIUM-TERM NOTES  (Cont.)
Sigma Finance Inc.
5.13%, 03/30/07 (d)	$	69,283	$	69,283
US Bank N.A.
2.85%, 11/15/06		39,590		39,321
				536,488
MONEY MARKET FUNDS (0.79%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.20% (a) (e)		1,993,003		1,993,003
				1,993,003
REPURCHASE AGREEMENTS (c) (1.51%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $396,080 (collateralized by non-U.S. Government debt securities, value $408,343, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	395,903		395,903
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $297,060 (collateralized by non-U.S. Government debt securities, value $327,076, 2.12% to 6.47%, 11/25/34 to 12/25/42).		296,927		296,927
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $396,080 (collateralized by non-U.S. Government debt securities, value $406,648, 5.36% to 6.00%, 12/25/35 to 12/25/42).		395,903		395,903
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $495,100 (collateralized by non-U.S. Government debt securities, value $553,831, 0.00% to 10.00%, 6/1/28 to 12/15/35).		494,879		494,879
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $118,825 (collateralized by non-U.S. Government debt securities, value $134,454, 0.00% to 10.00%, 9/10/34 to 5/9/36).		118,771		118,771

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $202,189, 5.22% to 5.42%, 7/3/06).	$	197,952	$	197,952
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $316,867 (collateralized by non-U.S. Government debt securities, value $333,018, 0.00% to 10.00%, 1/1/10 to 6/6/16).		316,723		316,723
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $204,176, 6.38% to 8.49%, 1/7/09 to 2/23/36).		197,952		197,952
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $204,178, 0.07% to 7.75%, 2/22/11 to 12/15/45).		197,952		197,952
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $396,080 (collateralized by non-U.S. Government debt securities, value $416,277, 0.00% to 8.57%, 6/25/23 to 4/25/46).		395,903		395,903
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $198,040 (collateralized by non-U.S. Government debt securities, value $208,316, 3.79% to 7.22%, 5/15/07 to 3/15/42).		197,952		197,952
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $69,315 (collateralized by non-U.S. Government debt securities, value $73,343, 0.00% to 10.00%, 7/3/06 to 6/30/36).		69,283		69,283

The accompanying notes are an integral part of these financial statements.

152

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $145,756 (collateralized by non-U.S. Government debt securities, value $146,686, 0.00% to 10.00%, 7/3/06 to 6/30/36). (f)	$	138,566	$	138,566
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $396,081 (collateralized by non-U.S. Government debt securities, value $416,272, 0.00% to 10.00%, 1/1/10 to 5/6/16).		395,903		395,903
				3,810,569
TIME DEPOSITS (c) (0.74%)
ABN Amro Bank NV
5.30%, 07/03/06		197,952		197,952
KBC Bank NV
5.32%, 07/03/06		593,855		593,855
Societe Generale
5.32%, 07/03/06		494,879		494,879
UBS AG
5.25% - 5.34%, 07/03/06		570,713		570,713
				1,857,399
VARIABLE & FLOATING RATE NOTES (c) (4.05%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (d)		506,756		506,827
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		148,464		148,463
American Express Centurion Bank
5.34%, 07/19/07		217,747		218,007
American Express Credit Corp.
5.23%, 07/05/07		59,385		59,425
ASIF Global Financing
5.17%, 05/03/07 (d)		19,795		19,804
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07 (d)		128,669		128,669
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (d)		336,518		336,515
BMW US Capital LLC
5.20%, 07/13/07 (d)		197,952		197,952
BNP Paribas
5.14%, 05/18/07 (d)		366,211		366,211

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (d)	$	144,505	$	144,504
Commodore CDO Ltd.
5.38%, 06/12/07 (d)		49,488		49,488
Credit Agricole SA
5.31%, 07/23/07		197,952		197,952
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (d)		197,952		197,952
DEPFA Bank PLC
5.37%, 06/15/07		197,952		197,952
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (d)		227,644		227,662
Eli Lilly Services Inc.
5.08%, 06/29/07 (d)		197,952		197,952
Fifth Third Bancorp
5.28%, 06/22/07 (d)		395,903		395,903
First Tennessee Bank N.A.
5.21%, 08/25/06		59,385		59,386
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (d)		148,464		148,450
General Electric Capital Corp.
5.25%, 04/09/07		89,078		89,127
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		296,927		296,983
HBOS Treasury Services PLC
5.53%, 04/24/07 (d)		197,952		197,952
JP Morgan Chase & Co.
5.12%, 07/02/07		148,464		148,464
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (d)		296,927		296,920
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (d)		206,863		206,864
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		247,440		247,359
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (d)		217,747		217,727
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (d)		96,203		96,203
Marshall & Ilsley Bank
5.18%, 07/13/07		108,873		108,873
Metropolitan Life Global Funding I
5.15%, 07/06/07 (d)		296,927		296,927
Mortgage Interest Networking Trust
5.54%, 08/25/06 (d)		24,942		24,950

The accompanying notes are an integral part of these financial statements.

153

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Mound Financing PLC
5.11%, 05/08/07 (d)	$	186,075	$	186,075
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (d)		197,952		197,940
National City Bank of Indiana
5.17%, 05/21/07		98,976		98,983
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (d)		534,469		534,485
Newcastle Ltd.
5.34%, 04/24/07 (d)		69,778		69,761
Northern Rock PLC
5.17%, 05/03/07 (d)		237,542		237,548
Principal Life Global Funding I
5.63%, 02/08/07		89,078		89,330
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (d)		148,464		148,455
Sigma Finance Inc.
5.51%, 06/18/07 (d)		162,320		162,320
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (d)		197,952		197,952
Strips III LLC
5.37%, 07/24/06 (d)		46,275		46,275
SunTrust Bank
5.08%, 05/01/07		197,952		197,962
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (d)		374,129		374,088
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (d)		277,132		277,133
US Bank N.A.
5.28%, 09/29/06		89,078		89,073
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (d)		316,881		316,881
Wachovia Bank N.A.
5.36%, 05/22/07		395,903		395,903
Wells Fargo & Co.
5.19%, 07/13/07 (d)		98,976		98,982
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (d)		178,156		178,154
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (d)		195,774		195,130
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (d)		66,856		66,856
				10,186,709

Security	Principal	Value
SHORT-TERM INVESTMENTS  (Cont.)
TOTAL SHORT-TERM INVESTMENTS
(Cost: $23,723,713)		$	23,723,713
TOTAL INVESTMENTS (108.33%)			272,435,848
OTHER ASSETS, LESS LIABILITIES (-8.33)%			(20,950,147	)
NET ASSETS (100.00%)		$	251,485,701

(a) Affiliated issuer. See Note 2.

(b) All or a portion of this security represents a security on loan. See Note 4.

(c) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(e) The rate quoted is the annualized seven-day yield of the fund at period end.

(f) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

154

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
MASTER PORTFOLIOS (67.96%)
Active Stock Master Portfolio (a)			$	187,138,816
CoreAlpha Bond Master Portfolio (a)				319,776,409
TOTAL MASTER PORTFOLIOS				506,915,225
EXCHANGE-TRADED FUNDS (30.56%)
iShares Cohen & Steers Realty Majors Index Fund (a) (b)		293,766		24,599,965
iShares Lehman TIPS Bond Fund (a)		623,282		62,060,189
iShares MSCI EAFE Index Fund (a) (b)		1,460,211		95,483,197
iShares S&P MidCap 400 Index Fund (a) (b)		399,029		30,485,815
iShares S&P SmallCap 600 Index Fund (a) (b)		247,388		15,362,795
TOTAL EXCHANGE-TRADED FUNDS
(Cost: $201,733,377)				227,991,961
SHORT-TERM INVESTMENTS (6.81%)
CERTIFICATES OF DEPOSIT (c) (0.17%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	38,876		38,876
Fortis Bank NY
4.43%, 07/20/06		97,157		97,157
Societe Generale
5.33%, 12/08/06		388,806		388,806
Toronto-Dominion Bank
3.94%, 07/10/06		194,403		194,403
Washington Mutual Bank
5.28%, 08/07/06		194,403		194,403
Wells Fargo Bank N.A.
4.78%, 12/05/06		311,045		311,045
				1,224,690
COMMERCIAL PAPER (c) (1.24%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06 (d)		1,085,460		1,079,362
ASAP Funding Ltd.
5.21%, 08/08/06 (d)		186,627		185,654
Barton Capital Corp.
5.29%, 08/01/06 (d)		371,655		370,072
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (d)		147,746		147,398
CC USA Inc.
5.03%, 10/24/06 (d)		77,761		76,533
Chariot Funding LLC
5.30%, 07/28/06 (d)		292,907		291,829
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (d)		852,904		852,662
Curzon Funding LLC
5.30%, 07/31/06 (d)		388,806		387,203

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Edison Asset Securitization LLC
5.22%, 12/11/06 (d)	$	286,830	$	280,134
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (d)		823,001		820,115
Five Finance Inc.
5.19%, 12/01/06 (d)		174,963		171,154
General Electric Capital Services Inc.
5.22%, 12/11/06		38,881		37,973
Govco Inc.
5.22%, 08/03/06 (d)		388,806		387,058
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (d)		132,194		130,145
Jupiter Securitization Corp.
5.29%, 07/27/06 (d)		97,201		96,859
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (d)		357,623		356,739
Landale Funding LLC
5.30%, 08/15/06 (d)		427,686		424,979
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (d)		601,988		597,408
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (d)		392,694		391,541
Prudential Funding LLC
5.22%, 07/31/06		194,403		193,614
Ranger Funding Co. LLC
5.24%, 07/20/06 (d)		388,806		387,844
Regency Markets No. 1 LLC
5.10%, 07/07/06 (d)		455,560		455,302
Scaldis Capital LLC
5.30%, 07/25/06 (d)		243,031		242,244
Sydney Capital Corp.
5.10%, 07/07/06 (d)		425,315		425,074
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06 (d)		475,233		474,057
				9,262,953
MEDIUM-TERM NOTES (c) (0.14%)
Bank of America N.A.
5.28%, 04/20/07		97,201		97,201
Dorada Finance Inc.
3.93%, 07/07/06 (d)		120,530		120,530
K2 USA LLC
3.94%, 07/07/06 (d)		233,283		233,283
Marshall & Ilsley Bank
5.18%, 12/15/06		388,806		389,411

The accompanying notes are an integral part of these financial statements.

155

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
MEDIUM-TERM NOTES  (Cont.)
Sigma Finance Inc.
5.13%, 03/30/07 (d)	$	136,082	$	136,082
US Bank N.A.
2.85%, 11/15/06		77,761		77,232
				1,053,739
MONEY MARKET FUNDS (1.09%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.20% (a) (e)		8,119,009		8,119,009
				8,119,009
REPURCHASE AGREEMENTS (c) (1.00%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $777,959 (collateralized by non-U.S. Government debt securities, value $802,045, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	777,611		777,611
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $583,470 (collateralized by non-U.S. Government debt securities, value $642,424, 2.12% to 6.47%, 11/25/34 to 12/25/42).		583,209		583,209
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $777,959 (collateralized by non-U.S. Government debt securities, value $798,716, 5.36% to 6.00%, 12/25/35 to 12/25/42).		777,611		777,611
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $972,448 (collateralized by non-U.S. Government debt securities, value $1,087,805, 0.00% to 10.00%, 6/1/28 to 12/15/35).		972,014		972,014
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $233,389 (collateralized by non-U.S. Government debt securities, value $264,086, 0.00% to 10.00%, 9/10/34 to 5/9/36).		233,283		233,283

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $397,129, 5.22% to 5.42%, 7/3/06).	$	388,806	$	388,806
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $622,372 (collateralized by non-U.S. Government debt securities, value $654,095, 0.00% to 10.00%, 1/1/10 to 6/6/16).		622,089		622,089
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $401,031, 6.38% to 8.49%, 1/7/09 to 2/23/36).		388,806		388,806
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $401,036, 0.07% to 7.75%, 2/22/11 to 12/15/45).		388,806		388,806
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $777,959 (collateralized by non-U.S. Government debt securities, value $817,627, 0.00% to 8.57%, 6/25/23 to 4/25/46).		777,611		777,611
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $388,980 (collateralized by non-U.S. Government debt securities, value $409,163, 3.79% to 7.22%, 5/15/07 to 3/15/42).		388,806		388,806
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $136,144 (collateralized by non-U.S. Government debt securities, value $144,057, 0.00% to 10.00%, 7/3/06 to 6/30/36).		136,082		136,082

The accompanying notes are an integral part of these financial statements.

156

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $286,285 (collateralized by non-U.S. Government debt securities, value $288,113, 0.00% to 10.00%, 7/3/06 to 6/30/36). (f)	$	272,164	$	272,164
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $777,960 (collateralized by non-U.S. Government debt securities, value $817,619, 0.00% to 10.00%, 1/1/10 to 5/6/16).		777,611		777,611
				7,484,509
TIME DEPOSITS (c) (0.49%)
ABN Amro Bank NV
5.30%, 07/03/06		388,806		388,806
KBC Bank NV
5.32%, 07/03/06		1,166,417		1,166,417
Societe Generale
5.32%, 07/03/06		972,014		972,014
UBS AG
5.25% - 5.34%, 07/03/06		1,120,962		1,120,962
				3,648,199
VARIABLE & FLOATING RATE NOTES (c) (2.68%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (d)		995,343		995,482
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		291,604		291,602
American Express Centurion Bank
5.34%, 07/19/07		427,686		428,197
American Express Credit Corp.
5.23%, 07/05/07		116,642		116,719
ASIF Global Financing
5.17%, 05/03/07 (d)		38,881		38,899
Australia & New Zealand Banking Group Ltd. 5.30%, 07/23/07 (d)		252,724		252,724
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (d)		660,970		660,966
BMW US Capital LLC
5.20%, 07/13/07 (d)		388,806		388,806
BNP Paribas
5.14%, 05/18/07 (d)		719,291		719,291

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (d)	$	283,828	$	283,828
Commodore CDO Ltd.
5.38%, 06/12/07 (d)		97,201		97,201
Credit Agricole SA
5.31%, 07/23/07		388,806		388,806
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (d)		388,806		388,805
DEPFA Bank PLC
5.37%, 06/15/07		388,806		388,806
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (d)		447,127		447,162
Eli Lilly Services Inc.
5.08%, 06/29/07 (d)		388,806		388,806
Fifth Third Bancorp
5.28%, 06/22/07 (d)		777,611		777,611
First Tennessee Bank N.A.
5.21%, 08/25/06		116,642		116,643
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (d)		291,604		291,578
General Electric Capital Corp.
5.25%, 04/09/07		174,963		175,058
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		583,209		583,317
HBOS Treasury Services PLC
5.53%, 04/24/07 (d)		388,806		388,806
JP Morgan Chase & Co.
5.12%, 07/02/07		291,604		291,604
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (d)		583,209		583,193
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (d)		406,309		406,309
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		486,007		485,849
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (d)		427,686		427,649
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (d)		188,956		188,956
Marshall & Ilsley Bank
5.18%, 07/13/07		213,843		213,843
Metropolitan Life Global Funding I
5.15%, 07/06/07 (d)		583,209		583,209
Mortgage Interest Networking Trust
5.54%, 08/25/06 (d)		48,990		49,006

The accompanying notes are an integral part of these financial statements.

157

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Mound Financing PLC
5.11%, 05/08/07 (d)	$	365,477	$	365,477
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (d)		388,806		388,783
National City Bank of Indiana
5.17%, 05/21/07		194,403		194,417
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (d)		1,049,775		1,049,805
Newcastle Ltd.
5.34%, 04/24/07 (d)		137,054		137,021
Northern Rock PLC
5.17%, 05/03/07 (d)		466,567		466,578
Principal Life Global Funding I
5.63%, 02/08/07		174,963		175,456
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (d)		291,604		291,589
Sigma Finance Inc.
5.51%, 06/18/07 (d)		318,821		318,821
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (d)		388,806		388,806
Strips III LLC
5.37%, 07/24/06 (d)		90,890		90,890
SunTrust Bank
5.08%, 05/01/07		388,806		388,826
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (d)		734,843		734,765
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (d)		544,328		544,328
US Bank N.A.
5.28%, 09/29/06		174,963		174,951
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (d)		622,400		622,400
Wachovia Bank N.A.
5.36%, 05/22/07		777,611		777,611
Wells Fargo & Co.
5.19%, 07/13/07 (d)		194,403		194,415
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (d)		349,925		349,922
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (d)		384,529		383,264
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (d)		131,315		131,315
				20,008,171

Security	Value
SHORT-TERM INVESTMENTS  (Cont.)
TOTAL SHORT-TERM INVESTMENTS
(Cost: $50,801,270)	$	50,801,270
TOTAL INVESTMENTS (105.33%)		785,708,456
OTHER ASSETS, LESS LIABILITIES (-5.33%)		(39,783,429	)
NET ASSETS (100.00%)	$	745,925,027

(a) Affiliated issuer. See Note 2.

(b) All or a portion of this security represents a security on loan. See Note 4.

(c) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(e) The rate quoted is the annualized seven-day yield of the fund at period end.

(f) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

158

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
MASTER PORTFOLIOS (64.01%)
Active Stock Master Portfolio (a)			$	454,432,811
CoreAlpha Bond Master Portfolio (a)				348,495,783
TOTAL MASTER PORTFOLIOS				802,928,594
EXCHANGE-TRADED FUNDS (35.27%)
iShares Cohen & Steers Realty Majors Index Fund (a) (b)		667,326		55,881,879
iShares Lehman TIPS Bond Fund (a)		634,690		63,196,083
iShares MSCI EAFE Index Fund (a) (b)		3,412,468		223,141,282
iShares S&P MidCap 400 Index Fund (a) (b)		878,924		67,149,794
iShares S&P SmallCap 600 Index Fund (a) (b)		530,797		32,962,494
TOTAL EXCHANGE-TRADED FUNDS
(Cost: $381,977,544)				442,331,532
SHORT-TERM INVESTMENTS (7.09%)
CERTIFICATES OF DEPOSIT (c) (0.19%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	74,349		74,349
Fortis Bank NY
4.43%, 07/20/06		185,762		185,762
Societe Generale
5.33%, 12/08/06		743,388		743,388
Toronto-Dominion Bank
3.94%, 07/10/06		371,694		371,694
Washington Mutual Bank
5.28%, 08/07/06		371,694		371,694
Wells Fargo Bank N.A.
4.78%, 12/05/06		594,711		594,711
				2,341,598
COMMERCIAL PAPER (c) (1.41%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06 (d)		2,075,377		2,063,716
ASAP Funding Ltd.
5.21%, 08/08/06 (d)		356,826		354,967
Barton Capital Corp.
5.29%, 08/01/06 (d)		710,598		707,569
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (d)		282,488		281,822
CC USA Inc.
5.03%, 10/24/06 (d)		148,678		146,330
Chariot Funding LLC
5.30%, 07/28/06 (d)		560,032		557,970
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (d)		1,630,734		1,630,272
Curzon Funding LLC
5.30%, 07/31/06 (d)		743,388		740,324

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Edison Asset Securitization LLC
5.22%, 12/11/06 (d)	$	548,413	$	535,610
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (d)		1,573,560		1,568,042
Five Finance Inc.
5.19%, 12/01/06 (d)		334,525		327,242
General Electric Capital Services Inc.
5.22%, 12/11/06		74,339		72,603
Govco Inc.
5.22%, 08/03/06 (d)		743,388		740,047
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (d)		252,752		248,835
Jupiter Securitization Corp.
5.29%, 07/27/06 (d)		185,847		185,192
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (d)		683,769		682,077
Landale Funding LLC
5.30%, 08/15/06 (d)		817,727		812,551
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (d)		1,150,988		1,142,232
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (d)		750,822		748,619
Prudential Funding LLC
5.22%, 07/31/06		371,694		370,185
Ranger Funding Co. LLC
5.24%, 07/20/06 (d)		743,388		741,549
Regency Markets No. 1 LLC
5.10%, 07/07/06 (d)		871,021		870,527
Scaldis Capital LLC
5.30%, 07/25/06 (d)		464,670		463,165
Sydney Capital Corp.
5.10%, 07/07/06 (d)		813,193		812,732
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06 (d)		908,636		906,388
				17,710,566
MEDIUM-TERM NOTES (c) (0.16%)
Bank of America N.A.
5.28%, 04/20/07		185,847		185,847
Dorada Finance Inc.
3.93%, 07/07/06 (d)		230,450		230,450
K2 USA LLC
3.94%, 07/07/06 (d)		446,033		446,033
Marshall & Ilsley Bank
5.18%, 12/15/06		743,388		744,545

The accompanying notes are an integral part of these financial statements.

159

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
MEDIUM-TERM NOTES  (Cont.)
Sigma Finance Inc.
5.13%, 03/30/07 (d)	$	260,186	$	260,186
US Bank N.A.
2.85%, 11/15/06		148,678		147,666
				2,014,727
MONEY MARKET FUNDS (0.58%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.20% (a) (e)		7,331,328		7,331,328
				7,331,328
REPURCHASE AGREEMENTS (c) (1.14%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,487,441 (collateralized by non-U.S. Government debt securities, value $1,533,494, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	1,486,777		1,486,777
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $1,115,582 (collateralized by non-U.S. Government debt securities, value $1,228,302, 2.12% to 6.47%, 11/25/34 to 12/25/42).		1,115,083		1,115,083
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,487,441 (collateralized by non-U.S. Government debt securities, value $1,527,128, 5.36% to 6.00%, 12/25/35 to 12/25/42).		1,486,777		1,486,777
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,859,302 (collateralized by non-U.S. Government debt securities, value $2,079,861, 0.00% to 10.00%, 6/1/28 to 12/15/35).		1,858,471		1,858,471
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $446,236 (collateralized by non-U.S. Government debt securities, value $504,928, 0.00% to 10.00%, 9/10/34 to 5/9/36).		446,033		446,033

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $759,303, 5.22% to 5.42%, 7/3/06).	$	743,388	$	743,388
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $1,189,963 (collateralized by non-U.S. Government debt securities, value $1,250,616, 0.00% to 10.00%, 1/1/10 to 6/6/16).		1,189,422		1,189,422
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,487,441 (collateralized by non-U.S. Government debt securities, value $1,563,287, 0.00% to 8.57%, 6/25/23 to 4/25/46).		1,486,777		1,486,777
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $766,762, 6.38% to 8.49%, 1/7/09 to 2/23/36).		743,388		743,388
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $766,772, 0.07% to 7.75%, 2/22/11 to 12/15/45).		743,388		743,388
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $743,720 (collateralized by non-U.S. Government debt securities, value $782,312, 3.79% to 7.22%, 5/15/07 to 3/15/42).		743,388		743,388
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $260,304 (collateralized by non-U.S. Government debt securities, value $275,433, 0.00% to 10.00%, 7/3/06 to 6/30/36).		260,186		260,186

The accompanying notes are an integral part of these financial statements.

160

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $547,372 (collateralized by non-U.S. Government debt securities, value $550,867, 0.00% to 10.00%, 7/3/06 to 6/30/36). (f)	$	520,372	$	520,372
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $1,487,444 (collateralized by non-U.S. Government debt securities, value $1,563,270, 0.00% to 10.00%, 1/1/10 to 5/6/16).		1,486,777		1,486,777
				14,310,227
TIME DEPOSITS (c) (0.56%)
ABN Amro Bank NV
5.30%, 07/03/06		743,388		743,388
KBC Bank NV
5.32%, 07/03/06		2,230,165		2,230,165
Societe Generale
5.32%, 07/03/06		1,858,471		1,858,471
UBS AG
5.25% - 5.34%, 07/03/06		2,143,256		2,143,256
				6,975,280
VARIABLE & FLOATING RATE NOTES (c) (3.05%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (d)		1,903,075		1,903,342
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		557,541		557,538
American Express Centurion Bank
5.34%, 07/19/07		817,727		818,704
American Express Credit Corp.
5.23%, 07/05/07		223,017		223,164
ASIF Global Financing
5.17%, 05/03/07 (d)		74,339		74,374
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07 (d)		483,203		483,203
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (d)		1,263,760		1,263,752
BMW US Capital LLC
5.20%, 07/13/07 (d)		743,388		743,388
BNP Paribas
5.14%, 05/18/07 (d)		1,375,269		1,375,269

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (d)	$	542,674	$	542,674
Commodore CDO Ltd.
5.38%, 06/12/07 (d)		185,847		185,847
Credit Agricole SA
5.31%, 07/23/07		743,388		743,388
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (d)		743,388		743,388
DEPFA Bank PLC
5.37%, 06/15/07		743,388		743,388
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (d)		854,897		854,964
Eli Lilly Services Inc.
5.08%, 06/29/07 (d)		743,388		743,388
Fifth Third Bancorp
5.28%, 06/22/07 (d)		1,486,777		1,486,777
First Tennessee Bank N.A.
5.21%, 08/25/06		223,017		223,020
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (d)		557,541		557,491
General Electric Capital Corp.
5.25%, 04/09/07		334,525		334,707
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		1,115,083		1,115,290
HBOS Treasury Services PLC
5.53%, 04/24/07 (d)		743,388		743,388
JP Morgan Chase & Co.
5.12%, 07/02/07		557,541		557,541
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (d)		1,115,083		1,115,053
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (d)		776,855		776,855
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		929,236		928,934
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (d)		817,727		817,657
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (d)		361,279		361,279
Marshall & Ilsley Bank
5.18%, 07/13/07		408,864		408,864
Metropolitan Life Global Funding I
5.15%, 07/06/07 (d)		1,115,083		1,115,083

The accompanying notes are an integral part of these financial statements.

161

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Mortgage Interest Networking Trust
5.54%, 08/25/06 (d)	$	93,667	$	93,698
Mound Financing PLC
5.11%, 05/08/07 (d)		698,785		698,785
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (d)		743,388		743,345
National City Bank of Indiana
5.17%, 05/21/07		371,694		371,722
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (d)		2,007,149		2,007,205
Newcastle Ltd.
5.34%, 04/24/07 (d)		262,044		261,982
Northern Rock PLC
5.17%, 05/03/07 (d)		892,066		892,088
Principal Life Global Funding I
5.63%, 02/08/07		334,525		335,469
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (d)		557,541		557,512
Sigma Finance Inc.
5.51%, 06/18/07 (d)		609,579		609,579
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (d)		743,388		743,388
Strips III LLC
5.37%, 07/24/06 (d)		173,780		173,780
SunTrust Bank
5.08%, 05/01/07		743,388		743,426
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (d)		1,405,004		1,404,855
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (d)		1,040,744		1,040,743
US Bank N.A.
5.28%, 09/29/06		334,525		334,504
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (d)		1,190,017		1,190,016
Wachovia Bank N.A.
5.36%, 05/22/07		1,486,777		1,486,777
Wells Fargo & Co.
5.19%, 07/13/07 (d)		371,694		371,718
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (d)		669,050		669,042
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (d)		735,211		732,793

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (d)	$	251,072	$	251,072
				38,255,209
TOTAL SHORT-TERM INVESTMENTS
(Cost: $88,938,935)				88,938,935
TOTAL INVESTMENTS (106.37%)				1,334,199,061
OTHER ASSETS, LESS LIABILITIES (-6.37%)				(79,917,919	)
NET ASSETS (100.00%)			$	1,254,281,142

(a) Affiliated issuer. See Note 2.

(b) All or a portion of this security represents a security on loan. See Note 4.

(c) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(e) The rate quoted is the annualized seven-day yield of the fund at period end.

(f) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

162

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
MASTER PORTFOLIOS (60.07%)
Active Stock Master Portfolio (a)			$	370,828,249
CoreAlpha Bond Master Portfolio (a)				135,287,677
TOTAL MASTER PORTFOLIOS				506,115,926
EXCHANGE-TRADED FUNDS (38.64%)
iShares Cohen & Steers Realty Majors Index Fund (a) (b)		533,080		44,640,119
iShares Lehman TIPS Bond Fund (a) (b)		212,045		21,113,321
iShares MSCI EAFE Index Fund (a) (b)		2,754,737		180,132,253
iShares S&P MidCap 400 Index Fund (a) (b)		694,211		53,037,720
iShares S&P SmallCap 600 Index Fund (a) (b)		428,872		26,632,951
TOTAL EXCHANGE-TRADED FUNDS
(Cost: $280,741,704)				325,556,364
SHORT-TERM INVESTMENTS (8.45%)
CERTIFICATES OF DEPOSIT (c) (0.23%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	60,767		60,767
Fortis Bank NY
4.43%, 07/20/06		151,849		151,849
Societe Generale
5.33%, 12/08/06		607,673		607,673
Toronto-Dominion Bank
3.94%, 07/10/06		303,837		303,837
Washington Mutual Bank
5.28%, 08/07/06		303,837		303,837
Wells Fargo Bank N.A.
4.78%, 12/05/06		486,139		486,139
				1,914,102
COMMERCIAL PAPER (c) (1.72%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06 (d)		1,696,490		1,686,964
ASAP Funding Ltd.
5.21%, 08/08/06 (d)		291,683		290,163
Barton Capital Corp.
5.29%, 08/01/06 (d)		580,869		578,393
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (d)		230,916		230,372
CC USA Inc.
5.03%, 10/24/06 (d)		121,535		119,616
Chariot Funding LLC
5.30%, 07/28/06 (d)		457,791		456,106
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (d)		1,333,022		1,332,645
Curzon Funding LLC
5.30%, 07/31/06 (d)		607,673		605,168

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Edison Asset Securitization LLC
5.22%, 12/11/06 (d)	$	448,293	$	437,827
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (d)		1,286,286		1,281,775
Five Finance Inc.
5.19%, 12/01/06 (d)		273,453		267,500
General Electric Capital Services Inc.
5.22%, 12/11/06		60,767		59,349
Govco Inc.
5.22%, 08/03/06 (d)		607,673		604,942
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (d)		206,609		203,407
Jupiter Securitization Corp.
5.29%, 07/27/06 (d)		151,918		151,383
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (d)		558,938		557,555
Landale Funding LLC
5.30%, 08/15/06 (d)		668,440		664,209
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (d)		940,860		933,702
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (d)		613,750		611,948
Prudential Funding LLC
5.22%, 07/31/06		303,837		302,603
Ranger Funding Co. LLC
5.24%, 07/20/06 (d)		607,673		606,170
Regency Markets No. 1 LLC
5.10%, 07/07/06 (d)		712,005		711,601
Scaldis Capital LLC
5.30%, 07/25/06 (d)		379,838		378,608
Sydney Capital Corp.
5.10%, 07/07/06 (d)		664,734		664,357
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06 (d)		742,753		740,915
				14,477,278
MEDIUM-TERM NOTES (c) (0.19%)
Bank of America N.A.
5.28%, 04/20/07		151,918		151,918
Dorada Finance Inc.
3.93%, 07/07/06 (d)		188,379		188,378
K2 USA LLC
3.94%, 07/07/06 (d)		364,604		364,604
Marshall & Ilsley Bank
5.18%, 12/15/06		607,673		608,618

The accompanying notes are an integral part of these financial statements.

163

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
MEDIUM-TERM NOTES  (Cont.)
Sigma Finance Inc.
5.13%, 03/30/07 (d)	$	212,686	$	212,686
US Bank N.A.
2.85%, 11/15/06		121,535		120,707
				1,646,911
MONEY MARKET FUNDS (0.53%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.20% (a) (e)		4,442,829		4,442,829
				4,442,829
REPURCHASE AGREEMENTS (c) (1.39%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,215,889 (collateralized by non-U.S. Government debt securities, value $1,253,534, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	1,215,346		1,215,346
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $911,918 (collateralized by non-U.S. Government debt securities, value $1,004,059, 2.12% to 6.47%, 11/25/34 to 12/25/42).		911,510		911,510
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,215,889 (collateralized by non-U.S. Government debt securities, value $1,248,331, 5.36% to 6.00%, 12/25/35 to 12/25/42).		1,215,346		1,215,346
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,519,862 (collateralized by non-U.S. Government debt securities, value $1,700,155, 0.00% to 10.00%, 6/1/28 to 12/15/35).		1,519,183		1,519,183
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $364,770 (collateralized by non-U.S. Government debt securities, value $412,747, 0.00% to 10.00%, 9/10/34 to 5/9/36).		364,604		364,604

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $620,682, 5.22% to 5.42%, 7/3/06).	$	607,673	$	607,673
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $972,720 (collateralized by non-U.S. Government debt securities, value $1,022,300, 0.00% to 10.00%, 1/1/10 to 6/6/16).		972,277		972,277
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,215,889 (collateralized by non-U.S. Government debt securities, value $1,277,888, 0.00% to 8.57%, 6/25/23 to 4/25/46).		1,215,346		1,215,346
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $626,780, 6.38% to 8.49%, 1/7/09 to 2/23/36).		607,673		607,673
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $626,788, 0.07% to 7.75%, 2/22/11 to 12/15/45).		607,673		607,673
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $607,945 (collateralized by non-U.S. Government debt securities, value $639,491, 3.79% to 7.22%, 5/15/07 to 3/15/42).		607,673		607,673
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $212,783 (collateralized by non-U.S. Government debt securities, value $225,149, 0.00% to 10.00%, 7/3/06 to 6/30/36).		212,686		212,686

The accompanying notes are an integral part of these financial statements.

164

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $447,442 (collateralized by non-U.S. Government debt securities, value $450,299, 0.00% to 10.00%, 7/3/06 to 6/30/36). (f)	$	425,371	$	425,371
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $1,215,891 (collateralized by non-U.S. Government debt securities, value $1,277,875, 0.00% to 10.00%, 1/1/10 to 5/6/16).		1,215,346		1,215,346
				11,697,707
TIME DEPOSITS (c) (0.68%)
ABN Amro Bank NV
5.30%, 07/03/06		607,673		607,673
KBC Bank NV
5.32%, 07/03/06		1,823,019		1,823,019
Societe Generale
5.32%, 07/03/06		1,519,183		1,519,183
UBS AG
5.25% - 5.34%, 07/03/06		1,751,977		1,751,977
				5,701,852
VARIABLE & FLOATING RATE NOTES (c) (3.71%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (d)		1,555,643		1,555,862
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		455,755		455,752
American Express Centurion Bank
5.34%, 07/19/07		668,440		669,239
American Express Credit Corp.
5.23%, 07/05/07		182,302		182,423
ASIF Global Financing
5.17%, 05/03/07 (d)		60,767		60,796
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07 (d)		394,988		394,988
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (d)		1,033,044		1,033,038
BMW US Capital LLC
5.20%, 07/13/07 (d)		607,673		607,673
BNP Paribas
5.14%, 05/18/07 (d)		1,124,195		1,124,195

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (d)	$	443,601	$	443,601
Commodore CDO Ltd.
5.38%, 06/12/07 (d)		151,918		151,918
Credit Agricole SA
5.31%, 07/23/07		607,673		607,673
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (d)		607,673		607,673
DEPFA Bank PLC
5.37%, 06/15/07		607,673		607,673
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (d)		698,824		698,879
Eli Lilly Services Inc.
5.08%, 06/29/07 (d)		607,673		607,673
Fifth Third Bancorp
5.28%, 06/22/07 (d)		1,215,346		1,215,346
First Tennessee Bank N.A.
5.21%, 08/25/06		182,302		182,304
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (d)		455,755		455,713
General Electric Capital Corp.
5.25%, 04/09/07		273,453		273,602
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		911,510		911,679
HBOS Treasury Services PLC
5.53%, 04/24/07 (d)		607,673		607,673
JP Morgan Chase & Co.
5.12%, 07/02/07		455,755		455,755
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (d)		911,510		911,486
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (d)		635,030		635,030
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		759,591		759,345
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (d)		668,440		668,382
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (d)		295,323		295,323
Marshall & Ilsley Bank
5.18%, 07/13/07		334,220		334,220
Metropolitan Life Global Funding I
5.15%, 07/06/07 (d)		911,510		911,510
Mortgage Interest Networking Trust
5.54%, 08/25/06 (d)		76,567		76,592

The accompanying notes are an integral part of these financial statements.

165

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Mound Financing PLC
5.11%, 05/08/07 (d)	$	571,213	$	571,213
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (d)		607,673		607,638
National City Bank of Indiana
5.17%, 05/21/07		303,837		303,859
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (d)		1,640,718		1,640,763
Newcastle Ltd.
5.34%, 04/24/07 (d)		214,205		214,154
Northern Rock PLC
5.17%, 05/03/07 (d)		729,208		729,226
Principal Life Global Funding I
5.63%, 02/08/07		273,453		274,224
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (d)		455,755		455,730
Sigma Finance Inc.
5.51%, 06/18/07 (d)		498,292		498,292
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (d)		607,673		607,673
Strips III LLC
5.37%, 07/24/06 (d)		142,054		142,054
SunTrust Bank
5.08%, 05/01/07		607,673		607,704
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (d)		1,148,502		1,148,380
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (d)		850,742		850,742
US Bank N.A.
5.28%, 09/29/06		273,453		273,436
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (d)		972,764		972,763
Wachovia Bank N.A.
5.36%, 05/22/07		1,215,346		1,215,346
Wells Fargo & Co.
5.19%, 07/13/07 (d)		303,837		303,856
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (d)		546,906		546,900
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (d)		600,989		599,012
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (d)		205,236		205,235
				31,271,216

Security	Value
SHORT-TERM INVESTMENTS  (Cont.)
TOTAL SHORT-TERM INVESTMENTS
(Cost: $71,151,895)	$	71,151,895
TOTAL INVESTMENTS (107.16%)		902,824,185
OTHER ASSETS, LESS LIABILITIES (-7.16%)		(60,344,503	)
NET ASSETS (100.00%)	$	842,479,682

(a) Affiliated issuer. See Note 2.

(b) All or a portion of this security represents a security on loan. See Note 4.

(c) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(e) The rate quoted is the annualized seven-day yield of the fund at period end.

(f) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

166

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
MASTER PORTFOLIOS (57.49%)
Active Stock Master Portfolio (a)			$	287,773,977
CoreAlpha Bond Master Portfolio (a)				37,258,364
TOTAL MASTER PORTFOLIOS				325,032,341
EXCHANGE-TRADED FUNDS (41.01%)
iShares Cohen & Steers Realty Majors Index Fund (a) (b)		413,556		34,631,179
iShares MSCI EAFE Index Fund (a)		2,104,081		137,585,857
iShares S&P MidCap 400 Index Fund (a) (b)		520,467		39,763,679
iShares S&P SmallCap 600 Index Fund (a) (b)		320,230		19,886,283
TOTAL EXCHANGE-TRADED FUNDS
(Cost: $202,553,417)				231,866,998
SHORT-TERM INVESTMENTS (8.01%)
CERTIFICATES OF DEPOSIT (c) (0.21%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	37,339		37,339
Fortis Bank NY
4.43%, 07/20/06		93,304		93,304
Societe Generale
5.33%, 12/08/06		373,387		373,387
Toronto-Dominion Bank
3.94%, 07/10/06		186,694		186,694
Washington Mutual Bank
5.28%, 08/07/06		186,694		186,694
Wells Fargo Bank N.A.
4.78%, 12/05/06		298,710		298,710
				1,176,128
COMMERCIAL PAPER (c) (1.57%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06 (d)		1,042,416		1,036,557
ASAP Funding Ltd.
5.21%, 08/08/06 (d)		179,226		178,292
Barton Capital Corp.
5.29%, 08/01/06 (d)		356,917		355,396
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (d)		141,887		141,553
CC USA Inc.
5.03%, 10/24/06 (d)		74,677		73,498
Chariot Funding LLC
5.30%, 07/28/06 (d)		281,291		280,256
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (d)		819,081		818,849
Curzon Funding LLC
5.30%, 07/31/06 (d)		373,387		371,848
Edison Asset Securitization LLC
5.22%, 12/11/06 (d)		275,455		269,025

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (d)	$	790,364	$	787,592
Five Finance Inc.
5.19%, 12/01/06 (d)		168,024		164,367
General Electric Capital Services Inc.
5.22%, 12/11/06		37,339		36,467
Govco Inc.
5.22%, 08/03/06 (d)		373,387		371,709
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (d)		126,952		124,985
Jupiter Securitization Corp.
5.29%, 07/27/06 (d)		93,347		93,018
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (d)		343,442		342,592
Landale Funding LLC
5.30%, 08/15/06 (d)		410,726		408,126
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (d)		578,116		573,717
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (d)		377,121		376,015
Prudential Funding LLC
5.22%, 07/31/06		186,694		185,936
Ranger Funding Co. LLC
5.24%, 07/20/06 (d)		373,387		372,463
Regency Markets No. 1 LLC
5.10%, 07/07/06 (d)		437,494		437,246
Scaldis Capital LLC
5.30%, 07/25/06 (d)		233,393		232,637
Sydney Capital Corp.
5.10%, 07/07/06 (d)		408,448		408,217
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06 (d)		456,388		455,258
				8,895,619
MEDIUM-TERM NOTES (c) (0.18%)
Bank of America N.A.
5.28%, 04/20/07		93,347		93,347
Dorada Finance Inc.
3.93%, 07/07/06 (d)		115,750		115,750
K2 USA LLC
3.94%, 07/07/06 (d)		224,032		224,032
Marshall & Ilsley Bank
5.18%, 12/15/06		373,387		373,968
Sigma Finance Inc.
5.13%, 03/30/07 (d)		130,686		130,686

The accompanying notes are an integral part of these financial statements.

167

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June 30, 2006

(Unaudited)

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
MEDIUM-TERM NOTES  (Cont.)
US Bank N.A.
2.85%, 11/15/06	$	74,677	$	74,169
				1,011,952
MONEY MARKET FUNDS (0.76%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.20% (a) (e)
		4,318,765		4,318,765
				4,318,765
REPURCHASE AGREEMENTS (c) (1.27%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $747,109 (collateralized by non-U.S. Government debt securities, value $770,240, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	746,775		746,775
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $560,332 (collateralized by non-U.S. Government debt securities, value $616,948, 2.12% to 6.47%, 11/25/34 to 12/25/42).		560,081		560,081
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $747,109 (collateralized by non-U.S. Government debt securities, value $767,042, 5.36% to 6.00%, 12/25/35 to 12/25/42).		746,775		746,775
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $933,886 (collateralized by non-U.S. Government debt securities, value $1,044,668, 0.00% to 10.00%, 6/1/28 to 12/15/35).		933,469		933,469
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $224,134 (collateralized by non-U.S. Government debt securities, value $253,614, 0.00% to 10.00%, 9/10/34 to 5/9/36).		224,032		224,032

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $381,381, 5.22% to 5.42%, 7/3/06).	$	373,387	$	373,387
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $597,692 (collateralized by non-U.S. Government debt securities, value $628,157, 0.00% to 10.00%, 1/1/10 to 6/6/16).		597,420		597,420
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $385,128, 6.38% to 8.49%, 1/7/09 to 2/23/36).		373,387		373,387
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $385,132, 0.07% to 7.75%, 2/22/11 to 12/15/45).		373,387		373,387
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $747,109 (collateralized by non-U.S. Government debt securities, value $785,204, 0.00% to 8.57%, 6/25/23 to 4/25/46).		746,775		746,775
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $373,554 (collateralized by non-U.S. Government debt securities, value $392,938, 3.79% to 7.22%, 5/15/07 to 3/15/42).		373,387		373,387
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $130,745 (collateralized by non-U.S. Government debt securities, value $138,344, 0.00% to 10.00%, 7/3/06 to 6/30/36).		130,686		130,686

The accompanying notes are an integral part of these financial statements.

168

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June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $274,932 (collateralized by non-U.S. Government debt securities, value $276,688, 0.00% to 10.00%, 7/3/06 to 6/30/36). (f)	$	261,371	$	261,371
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $747,110 (collateralized by non-U.S. Government debt securities, value $785,196, 0.00% to 10.00%, 1/1/10 to 5/6/16).		746,775		746,775
				7,187,707
TIME DEPOSITS (c) (0.62%)
ABN Amro Bank NV
5.30%, 07/03/06		373,387		373,387
KBC Bank NV
5.32%, 07/03/06		1,120,162		1,120,162
Societe Generale
5.32%, 07/03/06		933,469		933,469
UBS AG
5.25% - 5.34%, 07/03/06		1,076,510		1,076,510
				3,503,528
VARIABLE & FLOATING RATE NOTES (c) (3.40%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (d)		955,872		956,007
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		280,041		280,039
American Express Centurion Bank
5.34%, 07/19/07		410,726		411,217
American Express Credit Corp.
5.23%, 07/05/07		112,016		112,090
ASIF Global Financing
5.17%, 05/03/07 (d)		37,339		37,356
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07 (d)		242,702		242,702
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (d)		634,759		634,755
BMW US Capital LLC
5.20%, 07/13/07 (d)		373,387		373,387
BNP Paribas
5.14%, 05/18/07 (d)		690,767		690,767

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (d)	$	272,573	$	272,573
Commodore CDO Ltd.
5.38%, 06/12/07 (d)		93,347		93,347
Credit Agricole SA
5.31%, 07/23/07		373,387		373,387
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (d)		373,387		373,388
DEPFA Bank PLC
5.37%, 06/15/07		373,387		373,387
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (d)		429,396		429,430
Eli Lilly Services Inc.
5.08%, 06/29/07 (d)		373,387		373,387
Fifth Third Bancorp
5.28%, 06/22/07 (d)		746,775		746,775
First Tennessee Bank N.A.
5.21%, 08/25/06		112,016		112,018
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (d)		280,041		280,014
General Electric Capital Corp.
5.25%, 04/09/07		168,024		168,116
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		560,081		560,185
HBOS Treasury Services PLC
5.53%, 04/24/07 (d)		373,387		373,387
JP Morgan Chase & Co.
5.12%, 07/02/07		280,041		280,041
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (d)		560,081		560,067
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (d)		390,197		390,197
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		466,734		466,583
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (d)		410,726		410,691
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (d)		181,463		181,463
Marshall & Ilsley Bank
5.18%, 07/13/07		205,363		205,363
Metropolitan Life Global Funding I
5.15%, 07/06/07 (d)		560,081		560,081
Mortgage Interest Networking Trust
5.54%, 08/25/06 (d)		47,047		47,063

The accompanying notes are an integral part of these financial statements.

169

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June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Mound Financing PLC
5.11%, 05/08/07 (d)	$	350,984	$	350,984
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (d)		373,387		373,366
National City Bank of Indiana
5.17%, 05/21/07		186,694		186,708
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (d)		1,008,146		1,008,174
Newcastle Ltd.
5.34%, 04/24/07 (d)		131,619		131,588
Northern Rock PLC
5.17%, 05/03/07 (d)		448,065		448,076
Principal Life Global Funding I
5.63%, 02/08/07		168,024		168,498
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (d)		280,041		280,025
Sigma Finance Inc.
5.51%, 06/18/07 (d)		306,178		306,178
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (d)		373,387		373,387
Strips III LLC
5.37%, 07/24/06 (d)		87,286		87,286
SunTrust Bank
5.08%, 05/01/07		373,387		373,406
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (d)		705,702		705,628
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (d)		522,742		522,742
US Bank N.A.
5.28%, 09/29/06		168,024		168,014
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (d)		597,719		597,719
Wachovia Bank N.A.
5.36%, 05/22/07		746,775		746,775
Wells Fargo & Co.
5.19%, 07/13/07 (d)		186,694		186,706
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (d)		336,049		336,045
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (d)		369,280		368,066
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (d)		126,108		126,108
				19,214,742

Security	Value
SHORT-TERM INVESTMENTS  (Cont.)
TOTAL SHORT-TERM INVESTMENTS
(Cost: $45,308,441)	$	45,308,441
TOTAL INVESTMENTS (106.51%)		602,207,780
OTHER ASSETS, LESS LIABILITIES (-6.51%)		(36,785,378	)
NET ASSETS (100.00%)	$	565,422,402

(a) Affiliated issuer. See Note 2.

(b) All or a portion of this security represents a security on loan. See Note 4.

(c) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(e) The rate quoted is the annualized seven-day yield of the fund at period end.

(f) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

The accompanying notes are an integral part of these financial statements.

170

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Shares	Value
COMMON STOCKS (100.88%)
AEROSPACE & DEFENSE (1.53%)
Lockheed Martin Corp. (a)	238,654	$	17,121,038
Northrop Grumman Corp.	35,296		2,261,062
Raytheon Co.	28,276		1,260,261
			20,642,361
AGRICULTURE (2.20%)
Altria Group Inc.	45,846		3,366,472
Archer-Daniels-Midland Co.	421,805		17,412,110
Reynolds American Inc. (a)	67,568		7,790,590
UST Inc. (a)	24,755		1,118,678
			29,687,850
AUTO MANUFACTURERS (0.03%)
PACCAR Inc.	4,147		341,630
			341,630
AUTO PARTS & EQUIPMENT (0.22%)
Autoliv Inc.	51,153		2,893,725
			2,893,725
BANKS (5.66%)
AmSouth Bancorp	20,345		538,125
Bank of America Corp.	787,502		37,878,846
Comerica Inc.	21,399		1,112,534
TD Banknorth Inc.	6,129		180,499
U.S. Bancorp (a)	387,350		11,961,368
UnionBanCal Corp.	3,876		250,351
Wachovia Corp. (a)	453,100		24,503,648
			76,425,371
BEVERAGES (2.65%)
Anheuser-Busch Companies Inc.	234,458		10,688,940
Coca-Cola Co. (The)	289,353		12,447,966
Coca-Cola Enterprises Inc.	122,788		2,501,192
Pepsi Bottling Group Inc. (a)	296,711		9,539,259
PepsiAmericas Inc.	27,690		612,226
			35,789,583
BIOTECHNOLOGY (0.52%)
Amgen Inc. (b)	80,419		5,245,731
Genentech Inc. (b)	21,448		1,754,446
			7,000,177
BUILDING MATERIALS (0.52%)
Florida Rock Industries Inc. (a)	10,927		542,744
Masco Corp. (a)	220,047		6,522,193
			7,064,937
CHEMICALS (1.55%)
Dow Chemical Co. (The) (a)	464,814		18,141,690
Eastman Chemical Co. (a)	37,421		2,020,734

Security	Shares	Value
COMMON STOCKS  (Cont.)
CHEMICALS  (Cont.)
Huntsman Corp. (b)	12,298	$	213,001
Rohm & Haas Co.	1,367		68,514
Sherwin-Williams Co. (The)	9,728		461,885
			20,905,824
COMMERCIAL SERVICES (2.51%)
Accenture Ltd.	498,153		14,107,693
Apollo Group Inc. Class A (b)	25,717		1,328,797
Block (H & R) Inc. (a)	38,941		929,132
Career Education Corp. (a) (b)	49,294		1,473,398
Cendant Corp.	620,903		10,114,510
Convergys Corp. (b)	84,998		1,657,461
Deluxe Corp.	3,692		64,536
Equifax Inc.	31,409		1,078,585
Moody’s Corp.	20,809		1,133,258
Robert Half International Inc. (a)	45,863		1,926,246
			33,813,616
COMPUTERS (2.87%)
Apple Computer Inc. (b)	211,043		12,054,776
Computer Sciences Corp. (b)	193,981		9,396,440
Dell Inc. (b)	234,327		5,719,922
Hewlett-Packard Co.	35,413		1,121,884
International Business Machines Corp.	67,853		5,212,467
Seagate Technology	191,335		4,331,824
Western Digital Corp. (b)	45,172		894,857
			38,732,170
COSMETICS & PERSONAL CARE (0.59%)
Colgate-Palmolive Co.	7,842		469,736
Procter & Gamble Co.	135,423		7,529,519
			7,999,255
DISTRIBUTION & WHOLESALE (0.73%)
CDW Corp. (a)	82,225		4,493,596
Grainger (W.W.) Inc.	45,944		3,456,367
Ingram Micro Inc. Class A (b)	84,538		1,532,674
Tech Data Corp. (b)	8,743		334,944
			9,817,581
DIVERSIFIED FINANCIAL SERVICES (12.15%)
Ameriprise Financial Inc.	23,516		1,050,460
CIT Group Inc.	288,087		15,064,069
Citigroup Inc.	881,184		42,508,316
Countrywide Financial Corp. (a)	435,303		16,576,338
Federal Home Loan Mortgage Corp. (a)	73,671		4,199,984
Federal National Mortgage Association	85,973		4,135,301
Goldman Sachs Group Inc. (The) (a)	142,000		21,361,060

The accompanying notes are an integral part of these financial statements.

171

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Shares	Value
COMMON STOCKS  (Cont.)
DIVERSIFIED FINANCIAL SERVICES  (Cont.)
IndyMac Bancorp Inc. (a)	48,262	$	2,212,813
JP Morgan Chase & Co.	744,718		31,278,156
Merrill Lynch & Co. Inc.	37,393		2,601,057
Morgan Stanley	361,060		22,822,603
Student Loan Corp. (The)	783		158,166
			163,968,323
ELECTRIC (2.93%)
Alliant Energy Corp. (a)	50,623		1,736,369
American Electric Power Co. Inc.	19,748		676,369
Constellation Energy Group Inc.	72,568		3,956,407
Edison International	188,487		7,350,993
Energy East Corp.	5,357		128,193
FirstEnergy Corp.	139,706		7,573,462
NSTAR	8,045		230,087
Pepco Holdings Inc. (a)	7,995		188,522
Puget Energy Inc.	8,500		182,580
TXU Corp.	292,248		17,473,508
			39,496,490
ELECTRONICS (0.27%)
Agilent Technologies Inc. (b)	109,583		3,458,440
Arrow Electronics Inc. (a) (b)	2,632		84,750
Jabil Circuit Inc.	2,158		55,245
			3,598,435
ENVIRONMENTAL CONTROL (0.05%)
Republic Services Inc. (a)	16,325		658,551
			658,551
FOOD (0.67%)
Campbell Soup Co.	3,450		128,030
Hormel Foods Corp. (a)	9,288		344,956
Pilgrim’s Pride Corp. (a)	53,206		1,372,715
Smithfield Foods Inc. (a) (b)	56,949		1,641,840
SUPERVALU Inc.	132,358		4,063,391
Tyson Foods Inc. Class A (a)	95,868		1,424,599
			8,975,531
FOREST PRODUCTS & PAPER (0.23%)
Louisiana-Pacific Corp. (a)	98,010		2,146,419
Plum Creek Timber Co. Inc.	24,878		883,169
			3,029,588
GAS (0.26%)
Sempra Energy (a)	58,258		2,649,574
UGI Corp.	37,092		913,205
			3,562,779

Security	Shares	Value
COMMON STOCKS  (Cont.)
HAND & MACHINE TOOLS (0.17%)
Black & Decker Corp. (a)	27,843	$	2,351,620
			2,351,620
HEALTH CARE-PRODUCTS (4.18%)
Alcon Inc. (a)	56,377		5,555,953
Becton, Dickinson & Co.	258,632		15,810,174
Johnson & Johnson (a)	584,724		35,036,662
			56,402,789
HEALTH CARE-SERVICES (2.28%)
Community Health Systems Inc. (b)	3,729		137,041
HCA Inc. (a)	360,442		15,553,072
Health Management Associates Inc. Class A	25,164		495,982
Health Net Inc. (b)	59,013		2,665,617
Humana Inc. (a) (b)	163,894		8,801,108
Sierra Health Services Inc. (a) (b)	42,861		1,930,031
UnitedHealth Group Inc.	27,673		1,239,197
			30,822,048
HOME BUILDERS (0.14%)
NVR Inc. (a) (b)	3,795		1,864,294
			1,864,294
HOME FURNISHINGS (0.09%)
Harman International Industries Inc.	14,536		1,240,938
			1,240,938
HOUSEHOLD PRODUCTS & WARES (1.23%)
Blyth Inc. (a)	14,126		260,766
Clorox Co. (The) (a)	86,973		5,302,744
Kimberly-Clark Corp. (a)	178,372		11,005,552
			16,569,062
INSURANCE (4.12%)
ACE Ltd.	215,919		10,923,342
American International Group Inc.	81,196		4,794,624
AON Corp.	15,074		524,877
Axis Capital Holdings Ltd. (a)	124,395		3,558,941
Everest Re Group Ltd. (a)	42,585		3,686,583
Hartford Financial Services Group Inc. (The)	20,282		1,715,857
MetLife Inc. (a)	241,811		12,383,141
Nationwide Financial Services Inc. (a)	13,541		596,887
Protective Life Corp.	18,350		855,477
Reinsurance Group of America Inc. (a)	29,740		1,461,721
St. Paul Travelers Companies Inc. (a)	316,285		14,099,985
StanCorp Financial Group Inc.	20,219		1,029,349
			55,630,784

The accompanying notes are an integral part of these financial statements.

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June 30, 2006

(Unaudited)

Security	Shares	Value
COMMON STOCKS  (Cont.)
INTERNET (1.19%)
Amazon.com Inc. (a) (b)	125,426	$	4,851,478
Check Point Software Technologies Ltd. (b)	59,355		1,043,461
Google Inc. Class A (b)	24,365		10,216,975
			16,111,914
IRON & STEEL (0.72%)
Nucor Corp.	169,513		9,196,080
Steel Dynamics Inc. (a)	8,539		561,354
			9,757,434
LEISURE TIME (1.24%)
Brunswick Corp.	52,776		1,754,802
Harley-Davidson Inc.	1,414		77,615
Polaris Industries Inc. (a)	27,388		1,185,900
Royal Caribbean Cruises Ltd. (a)	357,708		13,682,331
Sabre Holdings Corp.	54		1,188
			16,701,836
LODGING (0.14%)
Choice Hotels International Inc. (a)	30,633		1,856,360
			1,856,360
MACHINERY (0.69%)
Cummins Inc. (a)	56,105		6,858,836
Graco Inc. (a)	53,334		2,452,297
			9,311,133
MANUFACTURING (3.71%)
Eaton Corp.	10,533		794,188
General Electric Co.	890,833		29,361,856
Illinois Tool Works Inc.	1,832		87,020
Ingersoll-Rand Co. Class A	24,308		1,039,896
Parker Hannifin Corp. (a)	27,027		2,097,295
3M Co.	206,000		16,638,620
			50,018,875
MEDIA (1.84%)
CBS Corp. Class B (a)	90,211		2,440,208
Comcast Corp. Class A (a) (b)	358,829		11,748,062
Comcast Corp. Class A Special (a) (b)	10,673		349,861
DIRECTV Group Inc. (The) (b)	12,084		199,386
EchoStar Communications Corp. (a) (b)	99,671		3,070,864
Gannett Co. Inc. (a)	24,795		1,386,784
Tribune Co. (a)	102,860		3,335,750
Viacom Inc. Class B (b)	65,639		2,352,502
			24,883,417

Security	Shares	Value
COMMON STOCKS  (Cont.)
MINING (0.79%)
Freeport-McMoRan Copper & Gold Inc.	22,483	$	1,245,783
Phelps Dodge Corp.	113,992		9,365,583
			10,611,366
OIL & GAS (10.29%)
Anadarko Petroleum Corp. (a)	170,986		8,154,322
Chevron Corp.	66,367		4,118,736
ConocoPhillips	419,567		27,494,226
Devon Energy Corp. (a)	197,942		11,957,676
Exxon Mobil Corp.	552,713		33,908,943
Helmerich & Payne Inc.	3,461		208,560
Marathon Oil Corp.	115,827		9,648,389
Nabors Industries Ltd. (a) (b)	157,395		5,318,377
Occidental Petroleum Corp.	128,730		13,201,262
Patterson-UTI Energy Inc. (a)	183,060		5,182,429
Tesoro Corp. (a)	10,081		749,623
Unit Corp. (a) (b)	18,920		1,076,359
Valero Energy Corp.	268,762		17,878,048
			138,896,950
OIL & GAS SERVICES (0.61%)
BJ Services Co. (a)	205,276		7,648,584
Tidewater Inc.	11,542		567,866
			8,216,450
PHARMACEUTICALS (5.49%)
Abbott Laboratories	105,461		4,599,154
Barr Pharmaceuticals Inc. (a) (b)	98,775		4,710,580
Forest Laboratories Inc. (b)	16,747		647,941
Gilead Sciences Inc. (a) (b)	307,499		18,191,641
King Pharmaceuticals Inc. (a) (b)	164,236		2,792,012
Kos Pharmaceuticals Inc. (b)	3,288		123,695
Merck & Co. Inc.	258,123		9,403,421
Pfizer Inc.	1,106,300		25,964,861
Sepracor Inc. (a) (b)	1,553		88,738
Wyeth	168,585		7,486,860
			74,008,903
REAL ESTATE INVESTMENT TRUSTS (0.39%)
American Financial Realty Trust	25,161		243,559
CBL & Associates Properties Inc. (a)	4,973		193,599
Health Care Property Investors Inc. (a)	31,597		844,904
Hospitality Properties Trust (a)	6,529		286,754
Host Hotels & Resorts Inc. (a)	51,830		1,133,522
HRPT Properties Trust (a)	13,656		157,863
Mack-Cali Realty Corp. (a)	25,587		1,174,955
New Plan Excel Realty Trust Inc. (a)	20,102		496,318
Simon Property Group Inc.	9,413		780,714
			5,312,188

The accompanying notes are an integral part of these financial statements.

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June 30, 2006

(Unaudited)

Security	Shares	Value
COMMON STOCKS  (Cont.)
RETAIL (6.48%)
American Eagle Outfitters Inc. (a)	278,923	$	9,494,539
AutoNation Inc. (a) (b)	389,006		8,340,289
Brinker International Inc.	10,264		372,583
CBRL Group Inc.	38,202		1,295,812
Claire’s Stores Inc.	43,144		1,100,603
Costco Wholesale Corp. (a)	311,938		17,821,018
Darden Restaurants Inc.	37,157		1,463,986
GameStop Corp. Class B (b)	2,031		69,562
Gap Inc. (The) (a)	130,638		2,273,101
Home Depot Inc.	613,075		21,941,954
Lowe’s Companies Inc.	7,622		462,427
Penney (J.C.) Co. Inc. (a)	9,478		639,860
Sonic Corp. (a) (b)	36,945		768,087
Staples Inc.	39,787		967,620
Wal-Mart Stores Inc.	423,069		20,379,234
			87,390,675
SAVINGS & LOANS (1.09%)
Washington Mutual Inc. (a)	323,702		14,754,337
			14,754,337
SEMICONDUCTORS (2.61%)
Advanced Micro Devices Inc. (b)	49,771		1,215,408
Analog Devices Inc.	2,394		76,943
Freescale Semiconductor Inc. Class B (b)	23,035		677,229
Lam Research Corp. (a) (b)	106,171		4,949,692
National Semiconductor Corp.	81,719		1,948,998
NVIDIA Corp. (a) (b)	231,868		4,936,470
QLogic Corp. (b)	126,646		2,183,377
Texas Instruments Inc. (a)	635,207		19,240,420
			35,228,537
SOFTWARE (4.14%)
Autodesk Inc. (a) (b)	254,159		8,758,319
Fiserv Inc. (a) (b)	76,127		3,453,121
Global Payments Inc.	968		46,996
Intuit Inc. (a) (b)	81,949		4,948,900
Microsoft Corp.	1,661,406		38,710,760
			55,918,096
TELECOMMUNICATIONS (7.36%)
ADTRAN Inc.	19,612		439,897
AT&T Inc.	203,517		5,676,089
CenturyTel Inc. (a)	45,785		1,700,913
Cisco Systems Inc. (b)	1,426,654		27,862,553
Motorola Inc. (a)	966,763		19,480,274
QUALCOMM Inc.	444,066		17,793,725
Verizon Communications Inc. (a)	786,355		26,335,029
			99,288,480

Security	Shares or principal		Value
COMMON STOCKS  (Cont.)
TRANSPORTATION (1.75%)
Burlington Northern Santa Fe Corp. (a)		137,509	$	10,897,588
C.H. Robinson Worldwide Inc.		8,852		471,812
Expeditors International Washington Inc.		2,060		115,381
Hunt (J.B.) Transport Services Inc. (a)		98,324		2,449,251
Norfolk Southern Corp.		39,222		2,087,395
Overseas Shipholding Group Inc. (a)		18,337		1,084,634
Ryder System Inc. (a)		99,077		5,789,069
Teekay Shipping Corp.		18,474		772,952
				23,668,082
TOTAL COMMON STOCKS
(Cost: $1,260,916,766)				1,361,220,345
SHORT-TERM INVESTMENTS (11.65%)
CERTIFICATES OF DEPOSIT (c) (0.32%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	138,501		138,501
Fortis Bank NY
4.43%, 07/20/06		346,093		346,093
Societe Generale
5.33%, 12/08/06		1,385,009		1,385,009
Toronto-Dominion Bank
3.94%, 07/10/06		692,505		692,505
Washington Mutual Bank
5.28%, 08/07/06		692,512		692,512
Wells Fargo Bank N.A.
4.78%, 12/05/06		1,108,008		1,108,008
				4,362,628
COMMERCIAL PAPER (c) (2.44%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06 (d)		3,866,641		3,844,917
ASAP Funding Ltd.
5.21%, 08/08/06 (d)		664,805		661,341
Barton Capital Corp.
5.29%, 08/01/06 (d)		1,323,917		1,318,275
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (d)		526,304		525,064
CC USA Inc.
5.03%, 10/24/06 (d)		277,002		272,628
Chariot Funding LLC
5.30%, 07/28/06 (d)		1,043,397		1,039,557
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (d)		3,038,226		3,037,365
Curzon Funding LLC
5.30%, 07/31/06 (d)		1,385,009		1,379,300

The accompanying notes are an integral part of these financial statements.

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June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Edison Asset Securitization LLC
5.22%, 12/11/06 (d)	$	1,021,749	$	997,896
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (d)		2,931,705		2,921,423
Five Finance Inc.
5.19%, 12/01/06 (d)		623,254		609,686
General Electric Capital Services Inc.
5.22%, 12/11/06		138,501		135,268
Govco Inc.
5.22%, 08/03/06 (d)		1,385,009		1,378,784
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (d)		470,903		463,605
Jupiter Securitization Corp.
5.29%, 07/27/06 (d)		346,252		345,031
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (d)		1,273,932		1,270,779
Landale Funding LLC
5.30%, 08/15/06 (d)		1,523,510		1,513,866
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (d)		2,144,410		2,128,097
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (d)		1,398,859		1,394,754
Prudential Funding LLC
5.22%, 07/31/06		692,505		689,693
Ranger Funding Co. LLC
5.24%, 07/20/06 (d)		1,385,009		1,381,582
Regency Markets No. 1 LLC
5.10%, 07/07/06 (d)		1,622,802		1,621,882
Scaldis Capital LLC
5.30%, 07/25/06 (d)		865,728		862,924
Sydney Capital Corp.
5.10%, 07/07/06 (d)		1,515,062		1,514,203
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06 (d)		1,692,883		1,688,694
				32,996,614
MEDIUM-TERM NOTES (c) (0.28%)
Bank of America N.A.
5.28%, 04/20/07		346,252		346,252
Dorada Finance Inc.
3.93%, 07/07/06 (d)		429,353		429,352
K2 USA LLC
3.94%, 07/07/06 (d)		831,006		831,005
Marshall & Ilsley Bank
5.18%, 12/15/06		1,385,009		1,387,164

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
MEDIUM-TERM NOTES  (Cont.)
Sigma Finance Inc.
5.13%, 03/30/07 (d)	$	484,753	$	484,753
US Bank N.A.
2.85%, 11/15/06		277,002		275,116
				3,753,642
MONEY MARKET FUNDS (0.37%)
Barclays Global Investors Funds
Institutional Money Market Fund, Institutional Shares 5.20% (e) (f)		4,943,221		4,943,221
				4,943,221
REPURCHASE AGREEMENTS (c) (1.98%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,771,257 (collateralized by non-U.S. Government debt securities, value $2,857,057, 4.88% to 7.38%, 9/15/06 to 2/15/17).	$	2,770,019		2,770,019
Bear Stearns Companies (The) Inc. Repurchase Agreement, 5.37%, due 7/3/06, maturity value $2,078,444 (collateralized by non-U.S. Government debt securities, value $2,288,452, 2.12% to 6.47%, 11/25/34 to 12/25/42).		2,077,514		2,077,514
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,771,257 (collateralized by non-U.S. Government debt securities, value $2,845,197, 5.36% to 6.00%, 12/25/35 to 12/25/42).		2,770,019		2,770,019
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $3,464,070 (collateralized by non-U.S. Government debt securities, value $3,874,995, 0.00% to 10.00%, 6/1/28 to 12/15/35).		3,462,523		3,462,523
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $831,384 (collateralized by non-U.S. Government debt securities, value $940,733, 0.00% to 10.00%, 9/10/34 to 5/9/36).		831,006		831,006

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,414,659, 5.22% to 5.42%, 7/3/06).	$	1,385,009	$	1,385,009
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $2,217,024 (collateralized by non-U.S. Government debt securities, value $2,330,027, 0.00% to 10.00%, 1/1/10 to 6/6/16).		2,216,015		2,216,015
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,428,557, 6.38% to 8.49%, 1/7/09 to 2/23/36).		1,385,009		1,385,009
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,428,575, 0.07% to 7.75%, 2/22/11 to 12/15/42).		1,385,009		1,385,009
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $2,771,257 (collateralized by non-U.S. Government debt securities, value $2,912,564, 0.00% to 8.57%, 6/25/23 to 4/25/46).		2,770,019		2,770,019
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,385,628 (collateralized by non-U.S. Government debt securities, value $1,457,528, 3.79% to 7.22%, 5/15/07 to 3/15/42).		1,385,009		1,385,009
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $484,974 (collateralized by non-U.S. Government debt securities, value $513,161, 0.00% to 10.00%, 7/3/06 to 6/30/36).		484,753		484,753

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $1,019,811 (collateralized by non-U.S. Government debt securities, value $1,026,321, 0.00% to 10.00%, 7/3/06 to 6/30/36). (g)	$	969,507	$	969,507
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $2,771,262 (collateralized by non-U.S. Government debt securities, value $2,912,534, 0.00% to 10.00%, 1/1/10 to 5/6/16).		2,770,019		2,770,019
				26,661,430
TIME DEPOSITS (c) (0.96%)
ABN Amro Bank NV
5.30%, 07/03/06		1,385,009		1,385,009
KBC Bank NV
5.32%, 07/03/06		4,155,028		4,155,028
Societe Generale
5.32%, 07/03/06		3,462,523		3,462,523
UBS AG
5.25% - 5.34%, 07/03/06		3,993,107		3,993,107
				12,995,667
U.S. TREASURY OBLIGATIONS (0.02%)
U.S. Treasury Bill
4.73% (h), 09/21/06 (i)		300,000		296,811
				296,811
VARIABLE & FLOATING RATE NOTES (c) (5.28%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (d)		3,545,624		3,546,122
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07		1,038,757		1,038,750
American Express Centurion Bank
5.34%, 07/19/07		1,523,510		1,525,330
American Express Credit Corp.
5.23%, 07/05/07		415,503		415,778
ASIF Global Financing
5.17%, 05/03/07 (d)		138,501		138,566
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07 (d)		900,256		900,256
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (d)		2,354,516		2,354,501

The accompanying notes are an integral part of these financial statements.

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(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
BMW US Capital LLC
5.20%, 07/13/07 (d)	$	1,385,009	$	1,385,009
BNP Paribas
5.14%, 05/18/07 (d)		2,562,267		2,562,267
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (d)		1,011,057		1,011,057
Commodore CDO Ltd.
5.38%, 06/12/07 (d)		346,252		346,252
Credit Agricole SA
5.31%, 07/23/07		1,385,009		1,385,009
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (d)		1,385,009		1,385,009
DEPFA Bank PLC
5.37%, 06/15/07		1,385,009		1,385,009
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (d)		1,592,761		1,592,887
Eli Lilly Services Inc.
5.08%, 06/29/07 (d)		1,385,009		1,385,009
Fifth Third Bancorp
5.28%, 06/22/07 (d)		2,770,019		2,770,019
First Tennessee Bank N.A.
5.21%, 08/25/06		415,503		415,508
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (d)		1,038,757		1,038,662
General Electric Capital Corp.
5.25%, 04/09/07		623,254		623,594
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07		2,077,514		2,077,901
HBOS Treasury Services PLC
5.53%, 04/24/07 (d)		1,385,009		1,385,009
JP Morgan Chase & Co.
5.12%, 07/02/07		1,038,757		1,038,757
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (d)		2,077,514		2,077,459
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (d)		1,447,361		1,447,361
Lexington Parker Capital Co. LLC
4.96%, 01/10/07		1,731,262		1,730,699
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (d)		1,523,510		1,523,378
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (d)		673,101		673,101

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Marshall & Ilsley Bank
5.18%, 07/13/07	$	761,755	$	761,755
Metropolitan Life Global Funding I
5.15%, 07/06/07 (d)		2,077,514		2,077,514
Mortgage Interest Networking Trust
5.54%, 08/25/06 (d)		174,511		174,570
Mound Financing PLC
5.11%, 05/08/07 (d)		1,301,909		1,301,909
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (d)		1,385,009		1,384,929
National City Bank of Indiana
5.17%, 05/21/07		692,505		692,556
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (d)		3,739,525		3,739,630
Newcastle Ltd.
5.34%, 04/24/07 (d)		488,216		488,099
Northern Rock PLC
5.17%, 05/03/07 (d)		1,662,011		1,662,052
Principal Life Global Funding I
5.63%, 02/08/07		623,254		625,012
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (d)		1,038,757		1,038,702
Sigma Finance Inc.
5.51%, 06/18/07 (d)		1,135,708		1,135,708
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (d)		1,385,009		1,385,009
Strips III LLC
5.37%, 07/24/06 (d)		323,770		323,770
SunTrust Bank
5.08%, 05/01/07		1,385,009		1,385,080
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (d)		2,617,668		2,617,388
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (d)		1,939,013		1,939,013
US Bank N.A.
5.28%, 09/29/06		623,254		623,215
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (d)		2,217,124		2,217,124
Wachovia Bank N.A.
5.36%, 05/22/07		2,770,019		2,770,019
Wells Fargo & Co.
5.19%, 07/13/07 (d)		692,505		692,550
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (d)		1,246,508		1,246,495

The accompanying notes are an integral part of these financial statements.

177

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (d)	$	1,369,774	$	1,365,270
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (d)		467,773		467,773
				71,273,401
TOTAL SHORT-TERM INVESTMENTS
(Cost: $157,283,326)				157,283,414
TOTAL INVESTMENTS IN SECURITIES (112.53%)
(Cost: $1,418,200,092)				1,518,503,759
OTHER ASSETS, LESS LIABILITIES (-12.53%)				(169,107,820	)
NET ASSETS (100.00%)			$	1,349,395,939

(a) All or a portion of this security represents a security on loan. See Note 4.

(b) Non-income earning security.

(c) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(d) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(e) Affiliated issuer. See Note 2.

(f) The rate quoted is the annualized seven-day yield of the fund at period end.

(g) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

(h) The rate quoted is the yield to maturity.

(i) This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of June 30, 2006, the open futures contracts held by the Master Portfolio were as follows:

Futures contracts (expiration date)	Number of contracts	Notional contract value	Net unrealized appreciation
S&P 500 Index (09/15/06)	16	$5,117,600	$47,378
			$47,378

The accompanying notes are an integral part of these financial statements.

178

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SCHEDULE OF INVESTMENTS

June 30, 2006

(Unaudited)

Security	Principal		Value
CORPORATE BONDS & NOTES (27.85%)
AEROSPACE & DEFENSE (0.05%)
Alliant Techsystems Inc.
6.75%, 04/01/16	$	500,000	$	481,250
				481,250
AGRICULTURE (0.05%)
Reynolds American Inc.
7.30%, 07/15/15 (a)		500,000		484,375
				484,375
APPAREL (0.05%)
Levi Strauss & Co.
9.75%, 01/15/15		500,000		500,000
				500,000
AUTO MANUFACTURERS (0.31%)
DaimlerChrysler N.A. Holding Corp.
4.13%, 03/07/07		2,000,000		1,977,480
4.75%, 01/15/08		1,000,000		983,649
				2,961,129
BANKS (1.47%)
Bank of America Corp.
7.80%, 02/15/10		4,500,000		4,805,208
HSBC Bank USA N.A.
5.88%, 11/01/34		3,000,000		2,740,344
HSBC Holdings PLC
5.25%, 12/12/12		3,000,000		2,897,574
Wachovia Corp.
5.50%, 08/01/35		3,000,000		2,638,425
WellPoint Inc.
5.00%, 12/15/14		1,250,000		1,162,615
				14,244,166
BIOTECHNOLOGY (0.14%)
Genentech Inc.
4.75%, 07/15/15		1,500,000		1,373,706
				1,373,706
BUILDING MATERIALS (0.02%)
Ainsworth Lumber Co. Ltd.
7.25%, 10/01/12		250,000		205,000
				205,000
CHEMICALS (0.03%)
PolyOne Corp.
8.88%, 05/01/12		250,000		250,937
				250,937

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
COMMERCIAL SERVICES (0.63%)
Avis Budget Car Rental LLC/Avis Budget Finance Inc.
7.63%, 05/15/14 (a)	$	250,000	$	242,500
Cendant Corp.
6.25%, 01/15/08		4,000,000		4,035,936
7.38%, 01/15/13		1,000,000		1,094,120
United Rentals North America Inc.
6.50%, 02/15/12		250,000		236,250
7.00%, 02/15/14		250,000		228,437
Williams Scotsman Inc.
8.50%, 10/01/15 (a)		250,000		246,875
				6,084,118
COMPUTERS (0.08%)
Sungard Data Systems Inc.
9.13%, 08/15/13 (a)		250,000		259,375
10.25%, 08/15/15 (a)		250,000		258,437
Unisys Corp.
8.00%, 10/15/12		250,000		232,500
				750,312
DIVERSIFIED FINANCIAL SERVICES (5.82%)
Boeing Capital Corp.
6.50%, 02/15/12		1,750,000		1,810,118
Caterpillar Financial Services Corp.
4.35%, 03/04/09		6,500,000		6,291,168
CIT Group Funding Company of Canada
4.65%, 07/01/10		2,150,000		2,061,583
CIT Group Inc.
5.26%, 02/21/08		1,250,000		1,250,171
5.75%, 09/25/07		5,000,000		4,997,170
E*Trade Financial Corp.
8.00%, 06/15/11		250,000		255,000
General Electric Capital Corp.
3.45%, 07/16/07		6,000,000		5,870,280
6.75%, 03/15/32		3,000,000		3,202,272
General Motors Acceptance Corp.
6.88%, 09/15/11		1,000,000		954,160
7.25%, 03/02/11		500,000		484,754
Genworth Global Funding Trusts
5.75%, 05/15/13		2,000,000		1,994,876
Goldman Sachs Group Inc.
3.88%, 01/15/09		3,000,000		2,874,225
5.13%, 01/15/15		1,500,000		1,402,318
Household Finance Corp.
4.13%, 12/15/08		2,000,000		1,932,838
HSBC Finance Corp.
4.13%, 03/11/08		2,000,000		952,558

The accompanying notes are an integral part of these financial statements.

179

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
DIVERSIFIED FINANCIAL SERVICES  (Cont.)
Lehman Brothers Holdings Inc.
4.80%, 03/13/14	$	1,000,000	$	924,519
5.00%, 01/14/11		3,000,000		2,905,989
Merrill Lynch & Co. Inc.
5.20%, 10/19/07		8,000,000		8,012,896
Residential Capital Corp.
6.00%, 02/22/11		5,000,000		4,844,875
6.38%, 06/30/10		2,200,000		2,170,060
SLM Corp.
5.63%, 04/10/07		1,000		999
Vanguard Health Holding Co. II LLC
9.00%, 10/01/14		250,000		249,375
				56,442,204
ELECTRIC (2.41%)
CMS Energy Corp.
7.75%, 08/01/10		500,000		507,500
Commonwealth Edison Co.
4.70%, 04/15/15		1,000,000		909,735
5.88%, 02/01/33		3,500,000		3,225,187
Constellation Energy Group Inc.
7.60%, 04/01/32		1,250,000		1,362,641
Mirant North America LLC
7.38%, 12/31/13 (a)		750,000		723,750
Northern States Power
5.25%, 07/15/35		2,500,000		2,152,430
NRG Energy Inc.
7.25%, 02/01/14		250,000		243,750
7.38%, 02/01/16		500,000		487,500
Pacific Gas & Electric Corp.
4.80%, 03/01/14		2,500,000		2,329,635
PSEG Power LLC
6.95%, 06/01/12		2,300,000		2,386,416
8.63%, 04/15/31		700,000		856,878
Reliant Energy Inc.
6.75%, 12/15/14		250,000		230,000
Sierra Pacific Resources
6.75%, 08/15/17		750,000		708,616
Southern California Edison Co.
5.00%, 01/15/16		1,300,000		1,209,458
TXU Corp.
5.55%, 11/15/14		250,000		226,754
TXU Energy Co.
6.13%, 03/15/08		5,750,000		5,758,682
				23,318,932
ELECTRONICS (0.13%)
Midwest Generation LLC
8.75%, 05/01/34		750,000		795,000

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
ELECTRONICS  (Cont.)
Sanmina-SCI Corp.
6.75%, 03/01/13 (b)	$	250,000	$	233,125
8.13%, 03/01/16		250,000		243,750
				1,271,875
ENTERTAINMENT (0.21%)
AMC Entertainment Inc.
8.00%, 03/01/14		250,000		229,062
11.00%, 02/01/16		500,000		535,000
Gaylord Entertainment Co.
8.00%, 11/15/13		1,000,000		998,750
Six Flags Inc.
9.75%, 04/15/13		250,000		229,687
				1,992,499
ENVIRONMENTAL CONTROL (0.47%)
Allied Waste North America
7.25%, 03/15/15		250,000		238,750
Waste Management Inc.
6.50%, 11/15/08		2,722,000		2,764,545
7.13%, 10/01/07		1,543,000		1,564,719
				4,568,014
FOOD (0.49%)
Dean Foods Co.
7.00%, 06/01/16		500,000		483,750
Delhaize America Inc.
8.13%, 04/15/11		1,250,000		1,314,605
Safeway Inc.
4.80%, 07/16/07		3,000,000		2,965,797
				4,764,152
FOREST PRODUCTS & PAPER (0.20%)
Bowater Canada Finance
7.95%, 11/15/11		250,000		237,500
Domtar Inc.
7.88%, 10/15/11		250,000		235,000
Georgia-Pacific Corp.
7.70%, 06/15/15		250,000		238,750
Weyerhaeuser Co.
7.38%, 03/15/32		1,250,000		1,265,525
				1,976,775
HEALTH CARE-PRODUCTS (0.02%)
CDRV Investors Inc.
9.63%, 01/01/15		250,000		168,750
				168,750

The accompanying notes are an integral part of these financial statements.

180

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
HEALTH CARE-SERVICES (1.15%)
HCA Inc.
5.75%, 03/15/14	$	500,000	$	447,095
6.25%, 02/15/13		250,000		233,442
Res-Care Inc.
7.75%, 10/15/13		250,000		248,125
UnitedHealth Group Inc.
3.30%, 01/30/08		3,665,000		3,529,472
5.80%, 03/15/36		2,400,000		2,148,221
WellPoint Inc.
3.75%, 12/14/07		4,680,000		4,547,355
				11,153,710
HOLDING COMPANIES-DIVERSIFIED (0.02%)
Marquee Holdings Inc.
12.00%, 08/15/14		250,000		178,437
				178,437
HOME BUILDERS (0.05%)
Standard Pacific Corp.
7.00%, 08/15/15		500,000		443,750
				443,750
HOUSEHOLD PRODUCTS & WARES (0.54%)
Clorox Co. (The)
5.44%, 12/14/07		5,250,000		5,255,833
				5,255,833
INSURANCE (2.51%)
Allstate Financial Global Funding
2.50%, 06/20/08 (a)		4,970,000		4,685,636
American International Group Inc.
2.88%, 05/15/08		2,500,000		2,382,395
ASIF Global Financing XVII
3.85%, 11/26/07 (a)		6,500,000		6,346,210
Berkshire Hathaway Finance Corp.
5.08%, 01/11/08		1,400,000		1,401,424
Fairfax Financial Holdings Ltd.
7.75%, 04/26/12		250,000		217,500
Hancock (John) Financial Services Inc.
5.63%, 12/01/08		4,000,000		4,004,780
Markel Corp.
7.35%, 08/15/34		1,000,000		976,807
MetLife Inc.
5.38%, 12/15/12		4,500,000		4,351,023
				24,365,775
LEISURE TIME (0.05%)
Royal Caribbean Cruises Ltd.
7.00%, 06/15/13		500,000		495,464
				495,464

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
LODGING (0.56%)
Hilton Hotels Corp.
7.63%, 12/01/12	$	500,000	$	515,414
Marriott International Inc.
4.63%, 06/15/12		750,000		691,916
5.81%, 11/10/15		3,530,000		3,404,064
MGM Mirage
8.50%, 09/15/10		750,000		779,062
				5,390,456
MACHINERY (0.06%)
Case Corp.
7.25%, 01/15/16		250,000		236,250
Columbus McKinnon Corp.
10.00%, 08/01/10		325,000		352,625
				588,875
MEDIA (0.72%)
CCH I LLC
11.00%, 10/01/15		500,000		437,500
CCO Holdings LLC/CCO Holdings Capital Corp.
8.75%, 11/15/13		500,000		487,500
CMP Susquehanna Corp.
9.88%, 05/15/14 (a)		250,000		232,500
Comcast Corp.
6.45%, 03/15/37		3,000,000		2,817,855
CSC Holdings Inc.
7.63%, 04/01/11		500,000		500,000
Dex Media East LLC
12.13%, 11/15/12		325,000		364,813
DirecTV Holdings LLC
6.38%, 06/15/15		750,000		691,875
Echostar DBS Corp.
6.38%, 10/01/11		500,000		478,750
Liberty Media Corp.
8.25%, 02/01/30		250,000		239,285
NTL Cable PLC
8.75%, 04/15/04		500,000		496,250
PRIMEDIA Inc.
8.88%, 05/15/11 (b)		250,000		240,000
				6,986,328
OFFICE & BUSINESS EQUIPMENT (0.05%)
Xerox Corp.
6.88%, 08/15/11		250,000		248,438
7.20%, 04/01/16		250,000		250,625
				499,063
OIL & GAS (1.32%)
Burlington Resources Finance Co.
7.20%, 08/15/31		2,300,000		2,574,827

The accompanying notes are an integral part of these financial statements.

181

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
OIL & GAS  (Cont.)
Chesapeake Energy Corp.
6.50%, 08/15/17	$	250,000	$	228,125
6.88%, 01/15/16		500,000		472,500
Devon Financing Corp. ULC
7.88%, 09/30/31		700,000		799,375
Diamond Offshore Drilling Inc.
4.88%, 07/01/15		1,750,000		1,603,355
Enterprise Products Operating LP
4.63%, 10/15/09		2,000,000		1,916,094
5.75%, 03/01/35		1,500,000		1,272,531
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/01/15 (a)		250,000		238,750
Mariner Energy Inc.
7.50%, 04/15/13 (a)		250,000		240,625
Parker Drilling Co.
9.63%, 10/01/13		500,000		542,500
Pemex Project Funding Master Trust
8.50%, 02/15/08		1,000,000		1,040,000
Range Resources Corp.
7.50%, 05/15/16		250,000		246,875
Tesoro Corp.
6.25%, 11/01/12 (a)		250,000		237,500
Valero Energy Corp.
7.50%, 04/15/32		1,250,000		1,357,134
				12,770,191
OIL & GAS SERVICES (0.06%)
Grant Prideco Inc.
6.13%, 08/15/15		100,000		93,250
Weatherford International Ltd.
5.50%, 02/15/16		500,000		476,998
				570,248
PACKAGING & CONTAINERS (0.17%)
Crown Americas Inc.
7.63%, 11/15/13 (a)		500,000		491,250
Graham Packaging Co. Inc.
8.50%, 10/15/12		250,000		245,000
Stone Container Corp.
9.75%, 02/01/11		860,000		883,650
				1,619,900
PHARMACEUTICALS (0.58%)
AmerisourceBergen Corp.
5.63%, 09/15/12 (a)		1,750,000		1,671,250
5.88%, 09/15/15 (a)		250,000		235,625
Coventry Health Care Inc.
5.88%, 01/15/12		1,000,000		960,000
6.13%, 01/15/15		750,000		713,034
Omnicare Inc.
6.13%, 06/01/13		250,000		231,875
6.88%, 12/15/15		250,000		237,500

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
PHARMACEUTICALS  (Cont.)
Teva Pharmaceutical Finance LLC
6.15%, 02/01/36	$	750,000	$	673,439
Warner Chilcott Corp.
8.75%, 02/01/15		900,000		927,000
				5,649,723
PIPELINES (0.86%)
ANR Pipeline Co.
8.88%, 03/15/10		500,000		528,127
Colorado Interstate Gas Co.
6.80%, 11/15/15		250,000		240,961
Copano Energy LLC
8.13%, 03/01/16 (a)		250,000		248,750
El Paso Corp.
7.80%, 08/01/31		250,000		242,813
Kinder Morgan Energy Partners LP
6.75%, 03/15/11		4,500,000		4,597,052
Pacific Energy Partners LP
6.25%, 09/15/15		250,000		242,500
Plains All American Pipeline LP
6.70%, 05/15/36 (a)		1,000,000		974,710
SemGroup LP
8.75%, 11/15/15 (a)		500,000		497,500
Williams Companies Inc.
7.13%, 09/01/11		500,000		500,000
8.75%, 03/15/32		250,000		271,875
				8,344,288
REAL ESTATE INVESTMENT TRUSTS (1.37%)
Duke Realty LP
5.70%, 12/22/06		4,250,000		4,253,536
Omega Healthcare Investors Inc.
7.00%, 01/15/16		250,000		238,125
Rouse Co. LP/TRC Co-Issuer Inc.
6.75%, 05/01/13 (a)		500,000		486,953
Simon Property Group LP
5.75%, 05/01/12		3,000,000		2,955,462
6.38%, 11/15/07		5,341,000		5,363,229
				13,297,305
RETAIL (0.83%)
Asbury Automotive Group Inc.
9.00%, 06/15/12		250,000		247,500
Denny’s Corp./Denny’s Holdings Inc.
10.00%, 10/01/12		500,000		497,500
Inergy LP
6.88%, 12/15/14		750,000		697,500
8.25%, 03/01/16		250,000		252,500
NPC International Inc.
9.50%, 05/01/14 (a)		250,000		241,875

The accompanying notes are an integral part of these financial statements.

182

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June 30, 2006

(Unaudited)

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
RETAIL  (Cont.)
Penney (J.C.) Co. Inc.
7.65%, 08/15/16	$	250,000	$	271,615
7.95%, 04/01/17		250,000		279,309
Staples Inc.
7.38%, 10/01/12		740,000		790,007
Tricon Global Restaurants
7.65%, 05/15/08		3,000,000		3,091,734
8.88%, 04/15/11		1,550,000		1,726,300
				8,095,840
SEMICONDUCTORS (0.11%)
Advanced Micro Devices Inc.
7.75%, 11/01/12		162,000		165,240
Amkor Technology Inc.
7.13%, 03/15/11		250,000		226,875
9.25%, 06/01/16		250,000		236,875
Sensata Technologies BV
8.00%, 05/01/14 (a)		500,000		482,500
				1,111,490
SOFTWARE (0.35%)
Oracle Corp.
5.25%, 01/15/16		1,500,000		1,404,765
5.28%, 01/13/09		2,000,000		2,001,208
				3,405,973
TELECOMMUNICATIONS (3.48%)
Ameritech Capital Funding Corp.
6.15%, 01/15/08		1,265,000		1,268,428
AT&T Wireless Services Inc.
8.75%, 03/01/31		1,000,000		1,226,024
Citizens Communications Co.
6.25%, 01/15/13		500,000		472,500
Corning Inc.
6.05%, 06/15/15		2,500,000		2,459,945
Deutsche Telekom International Finance AG
8.00%, 06/15/10		5,000,000		5,367,850
8.25%, 06/15/30		3,000,000		3,463,650
Dobson Communications Corp.
8.88%, 10/01/13		250,000		245,625
Embarq Corp.
6.74%, 06/01/13		1,750,000		1,744,706
8.00%, 06/01/36		1,250,000		1,256,379
France Telecom SA
7.75%, 03/01/11		2,500,000		2,685,513
Motorola Inc.
4.61%, 11/16/07		5,700,000		5,617,966
Nextel Communications Inc.
5.95%, 03/15/14		2,200,000		2,113,417

Security	Principal		Value
CORPORATE BONDS & NOTES  (Cont.)
TELECOMMUNICATIONS  (Cont.)
Nextel Partners Inc.
8.13%, 07/01/11	$	3,000,000	$	3,138,750
Qwest Corp.
8.88%, 03/15/12		250,000		263,750
Telecom Italia Capital SA
5.25%, 10/01/15		2,500,000		2,262,815
Verizon New York Inc.
7.38%, 04/01/32		150,000		147,867
				33,735,185
TRANSPORTATION (0.37%)
CNF Inc.
6.70%, 05/01/34		2,500,000		2,350,313
Norfolk Southern Corp.
5.59%, 05/17/25		598,000		557,082
7.25%, 02/15/31		652,000		723,953
8.63%, 05/15/10		500,000		548,468
				4,179,816
TOTAL CORPORATE BONDS & NOTES
(Cost: $281,541,658)				269,975,844
ASSET-BACKED SECURITIES (8.81%)
Aegis Asset Backed Securities Trust Series 2005-1N Class N1
4.25%, 03/25/35 (a)		133,359		133,243
Asset Backed Funding Certificates Series 2005-AQ1 Class A2
4.30%, 06/25/35		7,700,000		7,566,507
Bear Stearns Asset Backed Securities Inc. Series 2006-EC1 Class M2
5.75%, 12/25/35		2,500,000		2,506,554
Bear Stearns Asset Backed Securities NIM Series 2005-FR1 Class A1
5.00%, 06/25/35 (a)		518,195		516,368
Bear Stearns Asset Backed Securities NIM Series 2005-HE9N Class A1
5.50%, 10/25/35 (a)		1,860,289		1,857,212
Countrywide Asset-Backed Certificates Series 2004-10 Class AF3
3.84%, 10/25/30		2,245,589		2,224,186
Countrywide Asset-Backed Certificates Series 2004-10 Class AF4
4.51%, 07/25/32		7,500,000		7,383,251
Countrywide Asset-Backed Certificates Series 2006-7 Class M2
5.38%, 06/28/16 (c)		6,000,000		6,000,000

The accompanying notes are an integral part of these financial statements.

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June 30, 2006

(Unaudited)

Security	Principal		Value
ASSET-BACKED SECURITIES  (Cont.)
Dunkin Securitization Series 2006-1 Class A2
5.78%, 06/20/31 (a)	$	13,000,000	$	12,904,762
First Franklin Mortgage Loan Asset Backed Certificates Series 2006-FF8 Class M1
5.34%, 07/25/36 (c)		6,200,000		6,200,000
First Franklin NIM Trust Series 2005-FFH2 Class B
6.00%, 04/27/35 (a)		3,903,691		3,881,995
Home Equity Asset Trust Series 2006-2 Class M2
5.72%, 05/25/36 (a)		6,000,000		6,019,613
JP Morgan Mortgage Acquisition Corp. Series 2006-HE1 Class M2
5.72%, 01/25/36		2,558,000		2,566,259
Long Beach Asset Holdings Corp. Series 2005-1 Class N1
4.12%, 02/25/35 (a)		264,677		264,331
MASTR ABS NIM Trust Series 2004-CIass N1
5.50%, 04/26/34 (a) (c)		335,023		334,185
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M1
5.53%, 06/25/36 (c)		2,200,000		2,200,000
MASTR Asset Backed Securities Trust Series 2006-HE2 Class M2
5.56%, 06/25/36 (c)		2,450,000		2,450,000
New Century Home Equity Loan Trust Series 2005-2 Class A2MZ
5.58%, 06/25/35		8,510,597		8,522,782
Novastar Home Equity Loan Series 2006-2 Class M1
5.47%, 06/25/36 (c)		4,000,000		4,000,000
Novastar NIM Trust Series 2004-N3
3.97%, 03/25/35 (a)		439,512		438,510
Sasco Net Interest Margin Trust Series 2005-NC2A Class A
5.50%, 05/27/35 (a)		1,500,042		1,496,757
Sasco Net Interest Margin Trust Series 2005-WF1A Class A
4.75%, 02/27/35 (a)		1,906,074		1,899,963
Structured Asset Investment Loan Trust Series 2005-HE3 Class M3
5.85%, 09/25/35		4,000,000		4,023,736
TOTAL ASSET-BACKED SECURITIES
(Cost: $85,459,838)				85,390,214
COLLATERALIZED MORTGAGE OBLIGATIONS (19.79%)
MORTGAGE-BACKED SECURITIES (19.79%)
Ameriquest Mortgage Securities Inc. Series 2005-R3 Class A1A
5.28%, 05/25/35		2,765,614		2,767,632

Security	Principal		Value
COLLATERALIZED MORTGAGE OBLIGATIONS  (Cont.)
MORTGAGE-BACKED SECURITIES  (Cont.)
Bank of America Alternative Loan Trust Series 2003-5 Class 2A1
5.00%, 07/25/18	$	3,639,580	$	3,470,114
Bear Stearns Commercial Mortgage Securities Series 2002-PBW1 Class X1
0.37%, 11/11/35 (a)		88,104,017		3,066,311
Bear Stearns Commercial Mortgage Securities Series 2006-T22 Class A3
5.63%, 04/12/38		7,000,000		6,874,883
Commercial Mortgage Pass Through Certificates Series 2001-J2A Class XC
0.62%, 07/16/34 (a)		101,705,284		2,266,136
Commercial Mortgage Pass Through Certificates Series 2005-F10A Class AJ2
5.39%, 04/15/17 (a)		9,000,000		9,001,101
Commercial Mortgage Pass Through Certificates Series 2005-F10A Class MOA1
5.38%, 03/15/20 (a)		6,000,000		6,000,872
Countrywide Alternative Loan Trust Series 2006-4CB Class 1A1
6.00%, 04/25/36		5,453,884		5,453,125
Countrywide Alternative Loan Trust Series 2006-5T2 Class A3
6.00%, 04/25/36		14,100,886		14,102,087
Countrywide Alternative Loan Trust Series 2006-7CB Class 1A9
6.00%, 05/25/36		9,671,879		9,666,907
Countrywide Alternative Loan Trust Series 2006-9T Class 1A1
6.00%, 05/25/36		7,734,671		7,732,265
Countrywide Alternative Loan Trust Series 2006-OA6 Class 2A
6.99%, 07/25/46 (c)		9,265,656		9,506,852
Countrywide Home Loan Mortgage Pass Through Trust Series 2006-HYB4 Class 1A1
5.65%, 06/20/36		14,973,896		14,900,047
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Class 5A1
5.00%, 08/25/19		4,737,285		4,501,904
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C2 Class A5
0.10%, 05/15/36 (a)		229,388,050		3,466,971

The accompanying notes are an integral part of these financial statements.

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June 30, 2006

(Unaudited)

Security	Principal		Value
COLLATERALIZED MORTGAGE OBLIGATIONS  (Cont.)
MORTGAGE-BACKED SECURITIES  (Cont.)
Global Signal Trust Series 2006-1 Class C
5.71%, 02/15/36 (a)	$	3,000,000	$	2,942,843
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2002-CIB5 Class X1
0.58%, 10/12/37 (a)		237,645,972		10,181,538
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 Class A3
5.37%, 12/15/44		4,000,000		3,875,508
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2006-FL1A Class H
5.95%, 02/15/20 (a)		2,000,000		1,999,388
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP6 Class A3B
5.56%, 04/15/43		10,000,000		9,783,395
LB-UBS Commercial Mortgage Trust Series 2003-C3 Class XCL
0.49%, 02/15/37 (a)		120,065,302		3,374,723
Master Asset Securitization Trust Series 2003-5 Class 4A4
5.50%, 06/25/33		2,583,584		2,500,183
MASTR Adjustable Rate Mortgages Trust Series 2004-11 Class 2A1
5.70%, 11/25/34		296,439		297,695
MASTR Alternative Loans Trust Series 2006-2 Class 1A2
6.00%, 03/25/36		9,881,346		9,896,981
Merrill Lynch Mortgage Investors Inc. Series 2005-WMC2 Class A1B
5.58%, 04/25/36		3,360,720		3,362,553
Merrill Lynch Mortgage Trust Series 2005-LC1 Class A3
5.29%, 01/12/44		3,000,000		2,913,425
Morgan Stanley Capital I Series 2003-T11 Class X1
0.20%, 06/13/41 (a)		575,405,152		7,006,651
Opteum NIM Trust Series 2005-1
6.00%, 02/25/35 (a)		956,196		954,864
Option One Mortgage Loan Trust Series 2002-2 Class M2
6.47%, 06/25/32		747,885		748,425
Park Place Securities Inc. Series 2004-MHQ1 Class A3
5.68%, 01/25/33		1,109,315		1,110,587
Residential Accredit Loans Inc. Series 2006-QS3 Class 1A10
6.00%, 03/25/36		4,342,107		4,342,559

Security	Principal		Value
COLLATERALIZED MORTGAGE OBLIGATIONS  (Cont.)
MORTGAGE-BACKED SECURITIES  (Cont.)
Residential Funding Mortgage Securities I Series 2003-S15 Class A1
4.50%, 08/25/18	$	2,083,762	$	1,944,463
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 Class A3
5.46%, 12/15/44		10,000,000		9,725,782
Wachovia Bank Commercial Mortgage Trust Series 2005-WHL6
5.70%, 10/15/17 (a)		5,000,000		5,000,319
5.75%, 10/15/17 (a)		5,000,000		5,000,634
Wells Fargo Mortgage-Backed Securities Trust Series 2003-10 Class A1
4.50%, 09/25/18		2,183,638		2,038,972
				191,778,695
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost: $193,438,240)				191,778,695
FOREIGN GOVERNMENT BONDS & NOTES (d) (0.28%)
United Mexican States
7.50%, 04/08/33		1,000,000		1,062,500
8.38%, 01/14/11		1,500,000		1,635,000
TOTAL FOREIGN GOVERNMENT BONDS & NOTES
(Cost: $2,874,926)				2,697,500
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (42.35%)
MORTGAGE-BACKED SECURITIES (34.64%)
Federal Home Loan Mortgage Corp.
4.50%, 11/01/18		7,230,203		6,838,647
5.00%, 07/01/21 (e)		15,000,000		14,432,820
5.00%, 12/15/34		2,690,210		322,229
5.40%, 04/15/28		4,333,256		4,333,559
5.50%, 03/15/20		2,593,241		128,721
5.50%, 05/15/24		9,962,206		887,667
5.50%, 03/15/25		3,838,424		360,369
5.50%, 05/15/29		7,731,018		941,291
5.50%, 10/01/32		17,070,348		16,465,223
5.50%, 05/01/34		88,452		85,182
5.50%, 10/01/34		677,410		652,364
5.88%, 05/15/16		12,805,354		12,762,400
6.00%, 07/01/36 (e)		39,000,000		38,390,625
6.50%, 07/01/36 (e)		10,000,000		10,056,250
Federal National Mortgage Association
4.50%, 05/01/18		5,059,074		4,792,919
4.50%, 07/01/18		7,859,786		7,446,286

The accompanying notes are an integral part of these financial statements.

185

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
U.S. GOVERNMENT AND AGENCY OBLIGATIONS  (Cont.)
MORTGAGE-BACKED SECURITIES  (Cont.)
4.50%, 11/01/18	$	5,209,451	$	4,935,385
4.57%, 06/01/35		8,336,784		8,094,795
5.00%, 01/01/18		1,609,963		1,554,101
5.00%, 09/01/18		9,740,668		9,402,238
5.00%, 12/01/18		815,295		786,968
5.00%, 01/01/19		716,247		691,362
5.00%, 06/01/19		1,583,650		1,528,089
5.00%, 08/01/19		879,730		848,579
5.00%, 09/01/19		707,896		682,829
5.00%, 11/01/19		1,654,593		1,596,005
5.00%, 01/01/20		825,858		795,631
5.00%, 05/01/20		8,465,590		8,155,745
5.00%, 06/01/20		786,233		757,457
5.00%, 11/01/33		57,062,493		53,598,881
5.00%, 12/01/33		18,319,722		17,207,741
5.00%, 03/01/34		9,132,370		8,578,048
5.00%, 09/01/35		449,961		420,882
5.00%, 07/01/36 (e)		4,000,000		3,738,752
5.03%, 07/01/35		3,410,274		3,314,187
5.23%, 05/01/35		2,636,140		2,576,656
5.50%, 09/01/19		5,693,703		5,593,452
5.50%, 10/01/19		4,282,090		4,206,694
5.50%, 07/01/33		35,247,950		34,003,712
5.50%, 01/01/34		7,940,929		7,660,618
5.50%, 03/01/35		1,378,125		1,324,616
5.50%, 07/01/36 (e)		10,000,000		9,603,120
6.00%, 03/01/33		688,894		680,154
6.00%, 08/01/34		677,864		668,527
7.00%, 07/01/35		998,335		1,021,462
7.00%, 01/01/36		1,874,890		1,918,090
7.00%, 02/01/36		1,897,331		1,941,049
7.00%, 03/01/36		3,716,375		3,802,007
7.00%, 04/01/36		638,592		653,307
Government National Mortgage Association
5.50%, 07/01/36 (e)		15,000,000		14,535,930
				335,773,621
U.S. GOVERNMENT SECURITIES (7.71%)
U.S. Treasury Bonds
5.38%, 02/15/31 (b)		34,050,000		34,637,907
6.13%, 08/15/29 (b)		7,800,000		8,672,625
U.S. Treasury Inflation Indexed Bond
1.88%, 07/15/15		22,777,920		21,613,217
U.S. Treasury Notes
2.63%, 05/15/08 (f)		398,000		380,043
3.13%, 04/15/09 (f)		605,000		573,852
4.00%, 02/15/14 (b) (f)		9,500,000		8,825,348
				74,702,992
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost: $425,051,298)				410,476,613

Security	Principal		Value
SHORT-TERM INVESTMENTS (14.39%)
CERTIFICATES OF DEPOSIT (g) (0.15%)
Credit Suisse First Boston NY
5.28%, 04/23/07	$	44,895	$	44,895
Fortis Bank NY
4.43%, 07/20/06		112,186		112,186
Societe Generale
5.33%, 12/08/06		448,952		448,952
Toronto-Dominion Bank
3.94%, 07/10/06		224,476		224,476
Washington Mutual Bank
5.28%, 08/07/06		224,476		224,476
Wells Fargo Bank N.A.
4.78%, 12/05/06		359,162		359,162
				1,414,147
COMMERCIAL PAPER (g) (1.10%)
Amstel Funding Corp.
5.20% - 5.31%, 07/27/06 - 11/22/06 (a)		1,253,375		1,246,340
ASAP Funding Ltd.
5.21%, 08/08/06 (a)		215,497		214,374
Barton Capital Corp.
5.29%, 08/01/06 (a)		429,149		427,320
Cancara Asset Securitisation Ltd.
5.30%, 07/19/06 (a)		170,602		170,200
CC USA Inc.
5.03%, 10/24/06 (a)		89,790		88,373
Chariot Funding LLC
5.30%, 07/28/06 (a)		338,218		336,973
Concord Minutemen Capital Co. LLC
5.10%, 07/05/06 (a)		984,844		984,565
Curzon Funding LLC
5.30%, 07/31/06 (a)		448,952		447,101
Edison Asset Securitization LLC
5.22%, 12/11/06 (a)		331,201		323,469
Falcon Asset Securitization Corp.
5.26% - 5.30%, 07/24/06 - 07/28/06 (a)		950,315		946,982
Five Finance Inc.
5.19%, 12/01/06 (a)		202,028		197,630
General Electric Capital Services Inc.
5.22%, 12/11/06		44,895		43,847
Govco Inc.
5.22%, 08/03/06 (a)		448,952		446,934
Grampian Funding LLC
5.03% - 5.11%, 10/17/06 - 10/24/06 (a)		152,644		150,278
Jupiter Securitization Corp.
5.29%, 07/27/06 (a)		112,238		111,842
Kitty Hawk Funding Corp.
5.24%, 07/20/06 (a)		412,946		411,924

The accompanying notes are an integral part of these financial statements.

186

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Shares or principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
COMMERCIAL PAPER  (Cont.)
Landale Funding LLC
5.30%, 08/15/06 (a)	$	493,847	$	490,721
Lexington Parker Capital Co. LLC
5.09% - 5.23%, 07/05/06 - 11/15/06 (a)		695,112		689,824
Lockhart Funding LLC
5.23% - 5.28%, 07/19/06 - 08/04/06 (a)		453,442		452,111
Prudential Funding LLC
5.22%, 07/31/06		224,476		223,565
Ranger Funding Co. LLC
5.24%, 07/20/06 (a)		448,952		447,841
Regency Markets No. 1 LLC
5.10%, 07/07/06 (a)		526,033		525,735
Scaldis Capital LLC
5.30%, 07/25/06 (a)		280,626		279,718
Sydney Capital Corp.
5.10%, 07/07/06 (a)		491,109		490,830
Thames Asset Global Securitization No. 1 Inc.
5.24%, 07/20/06 (a)		548,750		547,392
				10,695,889
MEDIUM-TERM NOTES (g) (0.13%)
Bank of America N.A.
5.28%, 04/20/07		112,238		112,238
Dorada Finance Inc.
3.93%, 07/07/06 (a)		139,175		139,175
K2 USA LLC
3.94%, 07/07/06 (a)		269,371		269,371
Marshall & Ilsley Bank
5.18%, 12/15/06		448,952		449,650
Sigma Finance Inc.
5.13%, 03/30/07 (a)		157,133		157,133
US Bank N.A.
2.85%, 11/15/06		89,790		89,179
				1,216,746
MONEY MARKET FUNDS (9.16%)
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.20% (h) (i)		88,814,596		88,814,596
				88,814,596
REPURCHASE AGREEMENTS (g) (0.89%)
Banc of America Securities LLC Repurchase Agreement, 5.36%, due 7/3/06, maturity value $898,305 (collateralized by non-U.S. Government debt securities, value $926,118, 4.88% to 7.38%, 9/15/06 to 2/15/17).		897,904		897,904

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.37%, due 7/3/06, maturity value $673,730 (collateralized by non-U.S. Government debt securities, value $741,804, 2.12% to 6.47%, 11/25/34 to 12/25/42).	$	673,428	$	673,428
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $1,122,882 (collateralized by non-U.S. Government debt securities, value $1,256,083, 0.00% to 10.00%, 6/1/28 to 12/15/35).		1,122,380		1,122,380
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $898,305 (collateralized by non-U.S. Government debt securities, value $922,273, 5.36% to 6.00%, 12/25/35 to 12/25/42).		897,904		897,904
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $269,494 (collateralized by non-U.S. Government debt securities, value $304,939, 0.00% to 10.00%, 9/10/34 to 5/9/36).		269,371		269,371
Goldman Sachs & Co. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $458,563, 5.22% to 5.42%, 7/3/06).		448,952		448,952
Goldman Sachs Group Inc. Repurchase Agreement, 5.46%, due 7/3/06, maturity value $718,650 (collateralized by non-U.S. Government debt securities, value $755,280, 0.00% to 10.00%, 1/1/10 to 6/6/16).		718,323		718,323
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $463,068, 6.38% to 8.49%, 1/7/09 to 2/23/36).		448,952		448,952

The accompanying notes are an integral part of these financial statements.

187

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SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
REPURCHASE AGREEMENTS  (Cont.)
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $463,074, 0.07% to 7.75%, 2/22/11 to 12/15/45).	$	448,952	$	448,952
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.36%, due 7/3/06, maturity value $898,305 (collateralized by non-U.S. Government debt securities, value $944,110, 0.00% to 8.57%, 6/25/23 to 4/25/46).		897,904		897,904
Morgan Stanley Repurchase Agreement, 5.36%, due 7/3/06, maturity value $449,153 (collateralized by non-U.S. Government debt securities, value $472,459, 3.79% to 7.22%, 5/15/07 to 3/15/42).		448,952		448,952
Morgan Stanley Repurchase Agreement, 5.46%, due 7/3/06, maturity value $157,205 (collateralized by non-U.S. Government debt securities, value $166,342, 0.00% to 10.00%, 7/3/06 to 6/30/36).		157,133		157,133
Morgan Stanley Repurchase Agreement, 5.51%, due 6/4/07, maturity value $330,572 (collateralized by non-U.S. Government debt securities, value $332,683, 0.00% to 10.00%, 7/3/06 to 6/30/36). (j)		314,266		314,266
Wachovia Capital Repurchase Agreement, 5.38%, due 7/3/06, maturity value $898,307 (collateralized by non-U.S. Government debt securities, value $944,100, 0.00% to 10.00%, 1/1/10 to 5/6/16).		897,904		897,904
				8,642,325
TIME DEPOSITS (g) (0.44%)
ABN Amro Bank NV
5.30%, 07/03/06		448,952		448,952
KBC Bank NV
5.32%, 07/03/06		1,346,856		1,346,856

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
TIME DEPOSITS  (Cont.)
Societe Generale
5.32%, 07/03/06	$	1,122,380	$	1,122,380
UBS AG
5.25% - 5.34%, 07/03/06		1,294,369		1,294,369
				4,212,557
VARIABLE & FLOATING RATE NOTES (2.52%)
Allstate Life Global Funding II
5.11% - 5.35%, 05/04/07 - 07/27/07 (a) (g)		1,149,317		1,149,479
American Express Bank
5.21% - 5.31%, 07/19/06 - 02/28/07 (g)		336,714		336,712
American Express Centurion Bank
5.34%, 07/19/07 (g)		493,847		494,437
American Express Credit Corp.
5.23%, 07/05/07 (g)		134,686		134,775
ASIF Global Financing
5.17%, 05/03/07 (a) (g)		44,895		44,916
Australia & New Zealand Banking Group Ltd.
5.30%, 07/23/07 (a) (g)		291,819		291,819
Beta Finance Inc.
5.03% - 5.41%, 04/25/07 - 07/17/07 (a) (g)		763,218		763,214
BMW US Capital LLC
5.20%, 07/13/07 (a) (g)		448,952		448,952
BNP Paribas
5.14%, 05/18/07 (a) (g)		830,561		830,561
Carlyle Loan Investment Ltd.
5.25% - 5.32%, 04/13/07 - 07/15/07 (a) (g)		327,735		327,735
Collateral JP Morgan Chase
5.13%, 04/01/20 (k)		1,350,000		1,350,000
Commodore CDO Ltd.
5.38%, 06/12/07 (a) (g)		112,238		112,238
Credit Agricole SA
5.31%, 07/23/07 (g)		448,952		448,952
Cullinan Finance Corp.
5.36% - 5.71%, 04/25/07 - 06/28/07 (a) (g)		448,952		448,952
DEPFA Bank PLC
5.37%, 06/15/07 (g)		448,952		448,952
Dorada Finance Inc.
5.03% - 5.41%, 06/27/07 - 07/17/07 (a) (g)		516,295		516,336
Eli Lilly Services Inc.
5.08%, 06/29/07 (a) (g)		448,952		448,952
Fifth Third Bancorp
5.28%, 06/22/07 (a) (g)		897,904		897,904

The accompanying notes are an integral part of these financial statements.

188

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Security	Principal		Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
First Tennessee Bank N.A.
5.21%, 08/25/06 (g)	$	134,686	$	134,687
Five Finance Inc.
5.37% - 5.45%, 12/01/06 - 06/29/07 (a) (g)		336,714		336,683
General Electric Capital Corp.
5.25%, 04/09/07 (g)		202,028		202,138
Hartford Life Global Funding Trusts
5.11% - 5.22%, 07/13/07 - 07/16/07 (g)		673,428		673,553
HBOS Treasury Services PLC
5.53%, 04/24/07 (a) (g)		448,952		448,952
JP Morgan Chase & Co.
5.12%, 07/02/07 (g)		336,714		336,714
K2 USA LLC
5.20% - 5.46%, 04/02/07 - 06/28/07 (a) (g)		673,428		673,410
Leafs LLC
5.27%, 01/22/07 - 02/20/07 (a) (g)		469,163		469,163
Lexington Parker Capital Co. LLC
4.96%, 01/10/07 (g)		561,190		561,008
Links Finance LLC
5.13% - 5.35%, 05/10/07 - 05/16/07 (a) (g)		493,847		493,804
Lothian Mortgages Master Issuer PLC
5.29%, 04/24/07 (a) (g)		218,186		218,186
Marshall & Ilsley Bank
5.18%, 07/13/07 (g)		246,924		246,924
Metropolitan Life Global Funding I
5.15%, 07/06/07 (a) (g)		673,428		673,428
Mortgage Interest Networking Trust
5.54%, 08/25/06 (a) (g)		56,568		56,587
Mound Financing PLC
5.11%, 05/08/07 (a) (g)		422,015		422,015
Natexis Banques Populaires
5.18% - 5.40%, 06/20/07 - 07/13/07 (a) (g)		448,952		448,926
National City Bank of Indiana
5.17%, 05/21/07 (g)		224,476		224,493
Nationwide Building Society
5.16% - 5.55%, 04/27/07 - 07/06/07 (a) (g)		1,212,171		1,212,205
Newcastle Ltd.
5.34%, 04/24/07 (a) (g)		158,256		158,218
Northern Rock PLC
5.17%, 05/03/07 (a) (g)		538,742		538,756
Principal Life Global Funding I
5.63%, 02/08/07 (g)		202,028		202,598
Sedna Finance Inc.
5.17% - 5.24%, 09/20/06 - 05/25/07 (a) (g)		336,714		336,696

Security	Principal			Value
SHORT-TERM INVESTMENTS  (Cont.)
VARIABLE & FLOATING RATE NOTES  (Cont.)
Sigma Finance Inc.
5.51%, 06/18/07 (a) (g)	$	368,141		$	368,141
Skandinaviska Enskilda Bank NY
5.24%, 05/18/07 (a) (g)		448,952			448,952
Strips III LLC
5.37%, 07/24/06 (a) (g)		104,950			104,950
SunTrust Bank
5.08%, 05/01/07 (g)		448,952			448,975
Tango Finance Corp.
5.12% - 5.38%, 04/25/07 - 07/11/07 (a) (g)		848,519			848,429
Union Hamilton Special Funding LLC
5.42% - 5.49%, 09/28/06 - 12/21/06 (a) (g)		628,533			628,533
US Bank N.A.
5.28%, 09/29/06 (g)		202,028			202,016
Wachovia Asset Securitization Inc.
5.31%, 07/25/06 (a) (g)		718,683			718,682
Wachovia Bank N.A.
5.36%, 05/22/07 (g)		897,904			897,904
Wells Fargo & Co.
5.19%, 07/13/07 (a) (g)		224,476			224,491
WhistleJacket Capital Ltd.
5.21% - 5.35%, 07/28/06 - 06/13/07 (a) (g)		404,057			404,052
White Pine Finance LLC
5.12% - 5.28%, 08/25/06 - 05/22/07 (a) (g)		444,014			442,553
Wind Master Trust
5.32%, 08/25/06 - 09/25/06 (a) (g)		151,629			151,629
					24,453,337
TOTAL SHORT-TERM INVESTMENTS
(Cost: $139,449,597)					139,449,597
TOTAL INVESTMENTS IN SECURITIES (113.47%)
(Cost: $1,127,815,557)					1,099,768,463
SECURITIES SOLD SHORT (-1.46%)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (-1.46%)
Federal National Mortgage Association
4.50%, 07/01/21 (e)		(15,000,000	)		(14,175,000	)
					(14,175,000	)
TOTAL SECURITIES SOLD SHORT
(Proceeds: $14,292,188)					(14,175,000	)
OTHER ASSETS, LESS LIABILITIES (-12.01%)					(116,420,402	)
NET ASSETS (100.00%)				$	969,173,061

The accompanying notes are an integral part of these financial statements.

189

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

(a) This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.

(b) All or a portion of this security represents a security on loan. See Note 4.

(c) Security valued at fair value in accordance with procedures approved by the Board of Trustees. See Note 1.

(d) Investments are denominated in U.S. dollars.

(e) To-be-announced (TBA). See Note 1.

(f) These U.S. Treasury Notes are held in segregated accounts in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

(g) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 4.

(h) Affiliated issuer. See Note 2.

(i) The rate quoted is the annualized seven-day yield of the fund at period end.

(j) The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio.

(k) All or a portion of this security is held as collateral for open swaps contracts. See Note 1.

As of June 30, 2006, the open futures contracts held by the Master Portfolio were as follows:

Futures contracts (expiration date)	Number of contracts		Notional contract value			Net unrealized appreciation (depreciation)
U.S. 5-Year Note (10/04/06)	813		$	84,069,281		$	(403,783	)
U.S. 10-Year Note (09/29/06)	253			26,529,422			10,188
U.S. 2-Year Note (10/04/06)	157			31,836,656			(7,201	)
U.S. Long Bond (09/29/06)	(27	)		(2,879,719	)		10,107
							$(390,689)

As of June 30, 2006, the Master Portfolio held the following open swap contracts:

Description	Notional amount		Net unrealized appreciation (depreciation)
Credit Default Swaps
Agreement with Deutsche Bank AG dated 5/28/06 to pay 3.45% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 6/20/11.	$	3,500,000	$	17,062
Agreement with J.P. Morgan Chase & Co. dated 3/15/04 to receive 0.22% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Deere & Co. 6.95% due 4/25/14. Expiring 3/20/07.		2,000,000		2,522
Agreement with J.P. Morgan Chase & Co. dated 9/1/04 to receive 1.19% per year times the notional amount. The Master Portfolio makes payment only upon a default event of iStar Financial Inc. 6.00% due 12/15/10. Expiring 12/20/09.		2,000,000		56,740
Agreement with J.P. Morgan Chase & Co. dated 3/28/06 to pay 3.45% per year times the notional amount. The Master Portfolio receives payment only upon a default event of Dow Jones Credit Derivatives Index, Investment Grade High Volatility. Expiring 6/20/11.		7,000,000		33,769
Agreement with Lehman Brothers, Inc. dated 3/20/06 to receive 0.36% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Petroleos Mexicanos 9.50% due 9/15/27. Expiring 4/20/08.		5,250,000		(12,080	)
Agreement with Lehman Brothers, Inc. dated 4/5/06 to receive 0.39% per year times the notional amount. The Master Portfolio makes payment only upon a default event of Petroleos Mexicanos 9.50% due 9/15/27. Expiring 4/20/08.		2,000,000		(3,765	)
			$	94,248

The accompanying notes are an integral part of these financial statements.

190

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2006

(Unaudited)

Description	Notional amount		Net unrealized appreciation (depreciation)
Interest-Rate Swaps
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 4.98%. Expiring 12/5/10.	$	9,000,000	$	(228,620	)
Agreement with Deutsche Bank AG dated 12/1/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.10%. Expiring 12/5/15.		5,000,000		(225,147	)
Agreement with Deutsche Bank AG dated 3/24/06 paying the notional amount multiplied by the three-month LIBOR rate, and receiving a fixed rate of 5.16%. Expiring 3/28/13.		10,000,000		289,224
Agreement with Deutsche Bank AG dated 5/16/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.46%. Expiring 5/18/11.		5,000,000		37,816
Agreement with Goldman Sachs Group Inc. dated 5/17/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.53%. Expiring 5/19/11.		2,400,000		11,779
Agreement with Goldman Sachs Group Inc. dated 5/22/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.43%. Expiring 5/24/11.		10,500,000		92,983
Agreement with J.P Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.30%. Expiring 4/20/08.		3,400,000		20,332
Agreement with J.P. Morgan Chase & Co. dated 1/17/06 paying the notional amount multiplied by the three-month LIBOR rate, and receiving a fixed rate of 4.90%. Expiring 1/9/16.		29,000,000		(376,895	)
Agreement with J.P. Morgan Chase & Co. dated 11/4/05 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.19%. Expiring 11/8/15.		40,000,000		(1,519,917	)
Agreement with J.P. Morgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.28%. Expiring 3/10/16.		4,000,000		(130,534	)

Description	Notional amount		Net unrealized appreciation (depreciation)
Interest-Rate Swaps (Cont.)
Agreement with J.P. Morgan Chase & Co. dated 3/8/06 receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 5.32%. Expiring 3/10/26.	$	2,000,000	$	(112,901	)
Agreement with J.P. Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.31%. Expiring 4/20/09.		2,900,000		22,603
Agreement with J.P. Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.38%. Expiring 4/20/11.		1,700,000		18,700
Agreement with J.P. Morgan Chase & Co. dated 4/18/06 paying the notional amount multiplied by the three-month LIBOR rate and receiving a fixed rate of 5.45%. Expiring 4/20/13.		900,000		11,832
			$	(2,088,745	)
Swaptions
Agreement with J.P. Morgan Chase & Co. dated 6/23/04. Option to enter into a ten-year interest rate swap, receiving the notional amount multiplied by the three-month LIBOR rate, and paying a fixed rate of 6.46%. Expiring 6/23/09.	$	18,200,000	$	394,589

The accompanying notes are an integral part of these financial statements.

191

MASTER INVESTMENT PORTFOLIO

Portfolio Allocations

June 30, 2006

(Unaudited)

S&P 500 INDEX MASTER PORTFOLIO

Sector/Investment Type	Value		% of Net Assets
Financial	$	506,926,168	21.14	%
Consumer Non-Cyclical		489,446,882	20.41
Industrial		280,004,078	11.68
Communications		267,502,388	11.16
Energy		242,363,840	10.11
Technology		240,912,926	10.05
Consumer Cyclical		200,304,345	8.35
Utilities		79,846,806	3.33
Basic Materials		65,588,583	2.73
Futures Contracts		262,160	0.01
Short-Term and Other Net Assets		24,613,860	1.03
TOTAL	$	2,397,772,036	100.00	%

LIFEPATH RETIREMENT MASTER PORTFOLIO

Security Type	Value		% of Net Assets
Domestic Fixed Income	$	154,231,995	61.33	%
Domestic Equity		68,486,765	27.23
Foreign Equity		25,993,375	10.34
Short-Term and Other Net Assets		2,773,566	1.10
TOTAL	$	251,485,701	100.00	%

LIFEPATH 2010 MASTER PORTFOLIO

Security Type	Value		% of Net Assets
Domestic Fixed Income	$	381,836,598	51.19	%
Domestic Equity		257,587,391	34.53
Foreign Equity		95,483,197	12.80
Short-Term and Other Net Assets		11,017,841	1.48
TOTAL	$	745,925,027	100.00	%

LIFEPATH 2020 MASTER PORTFOLIO

Security Type	Value		% of Net Assets
Domestic Equity	$	610,426,978	48.67	%
Domestic Fixed Income		411,691,866	32.82
Foreign Equity		223,141,282	17.79
Short-Term and Other Net Assets		9,021,016	0.72
TOTAL	$	1,254,281,142	100.00	%

LIFEPATH 2030 MASTER PORTFOLIO

Security Type	Value		% of Net Assets
Domestic Equity	$	495,139,039	58.77	%
Foreign Equity		180,132,253	21.38
Domestic Fixed Income		156,400,998	18.57
Short-Term and Other Net Assets		10,807,392	1.28
TOTAL	$	842,479,682	100.00	%

LIFEPATH 2040 MASTER PORTFOLIO

Security Type	Value		% of Net Assets
Domestic Equity	$	382,055,118	67.57	%
Foreign Equity		137,585,857	24.33
Domestic Fixed Income		37,258,364	6.59
Short-Term and Other Net Assets		8,523,063	1.51
TOTAL	$	565,422,402	100.00	%

ACTIVE STOCK MASTER PORTFOLIO

Sector/Investment Type	Value			% of Net Assets
Financial	$	316,091,003		23.43	%
Consumer Non-Cyclical		301,068,814		22.30
Energy		147,113,400		10.90
Communications		140,283,811		10.40
Technology		129,878,803		9.63
Consumer Cyclical		122,107,039		9.05
Industrial		117,313,994		8.70
Basic Materials		44,304,212		3.28
Utilities		43,059,269		3.19
Futures Contracts		47,378		0.01
Short-Term and Other Net Assets		(11,871,784	)	(0.89	)
TOTAL	$	1,349,395,939		100.00	%

COREALPHA BOND MASTER PORTFOLIO

Sector/Investment Type	Value			% of Net Assets
Mortgage-Backed Securities	$	527,552,317		54.43	%
Financial		108,349,450		11.18
Asset-Backed Securities		85,390,213		8.81
Government		77,400,492		7.99
Communications		40,721,513		4.20
Consumer Non-Cyclical		34,934,367		3.60
Utilities		23,318,932		2.41
Energy		21,684,727		2.24
Consumer Cyclical		19,879,138		2.05
Industrial		12,914,730		1.33
Technology		5,766,838		0.60
Basic Materials		2,227,712		0.23
Diversified		178,437		0.02
Futures Contracts		(390,689	)	(0.04	)
Swap Agreements		(1,599,908	)	(0.17	)
Securities sold short		(14,175,000	)	(1.46	)
Short-Term and Other Net Assets		25,019,792		2.58
TOTAL	$	969,173,061		100.00	%

These tables are not part of the financial statements.

192

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2006

(Unaudited)

	S&P 500 Index Master Portfolio
Assets
Investments, at cost:
Unaffiliated issuers	$	2,530,586,920
Affiliated issuers (a)	$	20,938,914
Investments in securities, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	2,650,714,689
Affiliated issuers (a)		20,938,914
Receivables:
Dividends and interest		2,816,181
Total Assets		2,674,469,784
Liabilities
Payables:
Due to broker - variation margin		65,107
Collateral for securities loaned (Note 4)		276,532,492
Investment advisory fees (Note 2)		92,442
Accrued expenses		7,707
Total Liabilities		276,697,748
Net Assets	$	2,397,772,036

(a) See Note 2.

(b) Securities on loan with market values of $269,381,807, respectively. See Note 4.

The accompanying notes are an integral part of these financial statements.

193

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Continued)

June 30, 2006

(Unaudited)

	LifePath Retirement Master Portfolio		LifePath 2010 Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio
Assets
Investments, at cost:
Unaffiliated issuers	$	21,730,710	$	42,682,261	$	81,607,607	$	66,709,066	$	40,989,676
Affiliated issuers (a)	$	66,271,567	$	209,852,386	$	389,308,872	$	285,184,533	$	206,872,182
Investments, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	21,730,710	$	42,682,261	$	81,607,607	$	66,709,066	$	40,989,676
Affiliated issuers (a)		73,128,216		236,110,970		449,662,860		329,999,193		236,185,763
Affiliated Master Portfolios (a)		177,576,922		506,915,225		802,928,594		506,115,926		325,032,341
Receivables:
Investment securities sold		1,188,595		5,154,569		8,690,285		11,081,107		7,153,100
Dividends and interest		12,781		35,458		81,488		45,617		37,488
Contributions		2,000,000		9,970,000		8,160,000		10,500,000		7,400,000
Total Assets		275,637,224		800,868,483		1,351,130,834		924,450,909		616,798,368
Liabilities
Payables:
Investment securities purchased		2,413,024		12,244,771		15,218,621		15,245,887		10,375,362
Collateral for securities on loan (Note 4)		21,730,710		42,682,261		81,607,607		66,709,066		40,989,676
Investment advisory fees (Note 2)		1,979		10,609		17,651		10,479		5,119
Accrued expenses		5,810		5,815		5,813		5,795		5,809
Total Liabilities		24,151,523		54,943,456		96,849,692		81,971,227		51,375,966
Net Assets	$	251,485,701	$	745,925,027	$	1,254,281,142	$	842,479,682	$	565,422,402

(a) See Note 2.

(b) Securities on loan with market values of $21,272,184, $41,733,892, $79,832,329, $65,190,034 and $40,092,021, respectively. See Note 4.

The accompanying notes are an integral part of these financial statements.

194

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Continued)

June 30, 2006

(Unaudited)

	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
Assets
Investments, at cost:
Unaffiliated issuers	$	1,413,256,871	$	1,039,000,961
Affiliated issuers (a)	$	4,943,221	$	88,814,596
Investments in securities, at value (including securities on loan (b)) (Note 1):
Unaffiliated issuers	$	1,513,560,538	$	1,010,953,867
Affiliated issuers (a)		4,943,221		88,814,596
Deposits with brokers for securities sold short		—		14,295,165
Receivables:
Investment securities sold		1,770,178		60,480,550
Dividends and interest		1,626,900		8,221,355
Due from broker - variation margin		—		173,442
Total Assets		1,521,900,837		1,182,938,975
Liabilities
Payables:
Investment securities purchased		20,064,231		148,408,266
Due to broker - variation margin		12,800		—
Collateral for securities on loan (Note 4)		152,043,382		49,285,001
Open swap contracts (Note 1)		—		1,614,949
Securities sold short, at value (Proceeds: $– and $14,292,188) (Note 1)		—		14,175,000
Investment advisory fees (Note 2)		272,526		199,024
Administration fees (Note 2)		104,300		74,360
Accrued expenses		7,659		9,314
Total Liabilities		172,504,898		213,765,914
Net Assets	$	1,349,395,939	$	969,173,061

(a) See Note 2.

(b) Securities on loan with market values of $148,327,151 and $48,184,031, respectively. See Note 4.

The accompanying notes are an integral part of these financial statements.

195

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

For the Six Months Ended June 30, 2006

(Unaudited)

	S&P 500 Index Master Portfolio
Net Investment Income
Dividends from unaffiliated issuers	$	22,947,028
Interest from unaffiliated issuers		44,461
Interest from affiliated issuers (a)		596,889
Securities lending income		116,716
Total investment income		23,705,094
Expenses (Note 2)
Investment advisory fees		611,184
Professional fees		8,784
Independent trustees’ fees		2,562
Total expenses		622,530
Less expense reductions (Note 2)		(11,346	)
Net expenses		611,184
Net investment income		23,093,910
Realized And Unrealized Gain (Loss)
Net realized loss on sale of investments in unaffiliated issuers		(27,174,234	)
Net realized loss on futures contracts		(743,649	)
Net change in unrealized appreciation (depreciation) of investments		67,946,009
Net change in unrealized appreciation (depreciation) of futures contracts		639,437
Net realized and unrealized gain		40,667,563
Net increase in net assets resulting from operations	$	63,761,473

(a) See Note 2.

The accompanying notes are an integral part of these financial statements.

196

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

For the Six Months Ended June 30, 2006

(Unaudited)

	LifePath Retirement Master Portfolio			LifePath 2010 Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio
Net Investment Income
Dividends from affiliated issuers (a)	$	560,113		$	1,509,618		$	2,253,309		$	1,376,958		$	792,132
Dividends allocated from Master Portfolios		492,710			1,864,012			4,424,715			3,539,871			2,689,482
Interest from affiliated issuers (a)		31,190			79,117			146,598			114,828			90,007
Interest allocated from Master Portfolios		3,388,505			8,249,147			8,941,094			3,439,350			1,007,004
Securities lending income		13,339			46,357			97,759			60,410			47,813
Expenses allocated from Master Portfolios		(308,450	)		(866,768	)		(1,357,794	)		(841,901	)		(534,471	)
Total investment income		4,177,407			10,881,483			14,505,681			7,689,516			4,091,967
Expenses (Note 2)
Investment advisory fees		419,371			1,218,784			2,032,510			1,329,277			874,393
Professional fees		5,917			6,100			6,344			6,161			6,039
Independent trustees’ fees		244			732			1,159			732			488
Total expenses		425,532			1,225,616			2,040,013			1,336,170			880,920
Less expense reductions (Note 2)		(399,564	)		(1,151,406	)		(1,924,321	)		(1,262,577	)		(835,761	)
Net expenses		25,968			74,210			115,692			73,593			45,159
Net investment income		4,151,439			10,807,273			14,389,989			7,615,923			4,046,808
Realized and Unrealized Gain (Loss)
Net realized gain from sale of investments in unaffiliated issuers		1,064			9,353			10,615			8,256			14,585
Net realized gain from sale of investments in affiliated issuers (a)		1,338,986			4,527,077			6,023,530			3,892,836			2,876,973
Net realized gain (loss) allocated from Master Portfolios		(563,408	)		152,784			3,791,829			5,358,090			4,626,552
Net change in unrealized appreciation (depreciation) of investments		1,131,719			4,883,252			16,454,533			13,831,949			10,069,639
Net change in unrealized appreciation (depreciation) of investments allocated from Master Portfolios		(1,923,877	)		(4,240,648	)		(2,399,881	)		(725,827	)		522,060
Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies		207			593			1,726			629			500
Net realized and unrealized gain (loss)		(15,309	)		5,332,411			23,882,352			22,365,933			18,110,309
Net increase in net assets resulting from operations	$	4,136,130		$	16,139,684		$	38,272,341		$	29,981,856		$	22,157,117

(a) See Note 2.

The accompanying notes are an integral part of these financial statements.

197

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

For the Six Months Ended June 30, 2006

(Unaudited)

	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
Net Investment Income
Dividends from unaffiliated issuers (a)	$	13,010,788		$	—
Interest from unaffiliated issuers		8,272			23,223,646
Interest from affiliated issuers (b)		96,589			1,575,677
Securities lending income		46,757			74,159
Total investment income		13,162,408			24,873,482
Expenses
Investment advisory fees (Note 2)		1,626,146			1,166,270
Administration fees (Note 2)		650,458			466,508
Professional fees (Note 2)		8,235			9,699
Independent trustees’ fees (Note 2)		1,342			976
Interest expense on short sales		—			9,858
Total expenses		2,286,181			1,653,311
Less expense reductions (Note 2)		(9,577	)		(10,675	)
Net expenses		2,276,604			1,642,636
Net investment income		10,885,804			23,230,846
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from sale of investments in unaffiliated issuers		22,845,677			(11,228,000	)
Net realized gain (loss) on futures contracts		(102,521	)		1,880,143
Net realized loss on swap contracts		—			(22,345	)
Net change in unrealized appreciation (depreciation) of investments		9,177,410			(14,453,279	)
Net change in unrealized appreciation (depreciation) of futures contracts		157,072			(1,177,529	)
Net change in unrealized appreciation (depreciation) of securities sold short		—			463,168
Net change in unrealized appreciation (depreciation) of swap contracts		—			(2,932,279	)
Net realized and unrealized gain (loss)		32,077,638			(27,470,121	)
Net increase (decrease) in net assets resulting from operations	$	42,963,442		$	(4,239,275	)

(a) Net of foreign withholding tax of $9,476 and $—, respectively.

(b) See Note 2.

The accompanying notes are an integral part of these financial statements.

198

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS

	S&P 500 Index Master Portfolio
	For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005
Increase (decrease) in net assets
Operations:
Net investment income	$	23,093,910		$	43,812,074
Net realized gain (loss)		(27,917,883	)		7,404,269
Net change in unrealized appreciation (depreciation)		68,585,446			61,163,102
Net increase in net assets resulting from operations		63,761,473			112,379,445
Interestholder transactions:
Contributions		370,017,752			749,027,738
Withdrawals		(444,532,839	)		(859,684,082	)
Net decrease in net assets resulting from interestholder transactions		(74,515,087	)		(110,656,344	)
Increase (decrease) in net assets		(10,753,614	)		1,723,101
NET ASSETS:
Beginning of period		2,408,525,650			2,406,802,549
End of period	$	2,397,772,036		$	2,408,525,650

The accompanying notes are an integral part of these financial statements.

199

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	LifePath Retirement Master Portfolio						LifePath 2010 Master Portfolio
	For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005			For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005
Increase (decrease) in net assets
Operations:
Net investment income	$	4,151,439		$	6,705,422		$	10,807,273		$	17,099,696
Net realized gain		776,642			2,065,260			4,689,214			7,302,171
Net change in unrealized appreciation (depreciation)		(791,951	)		1,512,499			643,197			9,847,546
Net increase in net assets resulting from operations		4,136,130			10,283,181			16,139,684			34,249,413
Interestholder transactions:
Contributions		61,061,530			92,431,167			153,075,009			241,472,922
Withdrawals		(44,376,945	)		(52,923,002	)		(89,281,428	)		(102,507,218	)
Net increase in net assets resulting from interestholder transactions		16,684,585			39,508,165			63,793,581			138,965,704
Increase in net assets		20,820,715			49,791,346			79,933,265			173,215,117
NET ASSETS:
Beginning of period		230,664,986			180,873,640			665,991,762			492,776,645
End of period	$	251,485,701		$	230,664,986		$	745,925,027		$	665,991,762

The accompanying notes are an integral part of these financial statements.

200

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	LifePath 2020 Master Portfolio						LifePath 2030 Master Portfolio
	For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005			For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005
Increase (decrease) in net assets
Operations:
Net investment income	$	14,389,989		$	22,872,338		$	7,615,923		$	12,176,059
Net realized gain		9,825,974			17,582,125			9,259,182			12,886,484
Net change in unrealized appreciation (depreciation)		14,056,378			27,196,604			13,106,751			22,735,523
Net increase in net assets resulting from operations		38,272,341			67,651,067			29,981,856			47,798,066
Interestholder transactions:
Contributions		264,352,313			396,332,869			200,376,127			281,688,243
Withdrawals		(113,433,133	)		(124,842,737	)		(64,622,836	)		(85,036,609	)
Net increase in net assets resulting from interestholder transactions		150,919,180			271,490,132			135,753,291			196,651,634
Increase in net assets		189,191,521			339,141,199			165,735,147			244,449,700
NET ASSETS:
Beginning of period		1,065,089,621			725,948,422			676,744,535			432,294,835
End of period	$	1,254,281,142		$	1,065,089,621		$	842,479,682		$	676,744,535

The accompanying notes are an integral part of these financial statements.

201

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	LifePath 2040 Master Portfolio
	For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005
Increase (decrease) in net assets
Operations:
Net investment income	$	4,046,808		$	6,526,179
Net realized gain		7,518,110			9,471,814
Net change in unrealized appreciation (depreciation)		10,592,199			16,755,738
Net increase in net assets resulting from operations		22,157,117			32,753,731
Interestholder transactions:
Contributions		178,281,822			245,110,300
Withdrawals		(70,946,110	)		(76,545,321	)
Net increase in net assets resulting from interestholder transactions		107,335,712			168,564,979
Increase in net assets		129,492,829			201,318,710
NET ASSETS:
Beginning of period		435,929,573			234,610,863
End of period	$	565,422,402		$	435,929,573

The accompanying notes are an integral part of these financial statements.

202

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Active Stock Master Portfolio						CoreAlpha Bond Master Portfolio
	For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005			For the six months ended June 30, 2006 (Unaudited)			For the year ended December 31, 2005
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income	$	10,885,804		$	15,754,431		$	23,230,846		$	37,852,251
Net realized gain (loss)		22,743,156			49,417,857			(9,370,202	)		(6,683,492	)
Net change in unrealized appreciation (depreciation)		9,334,482			29,848,334			(18,099,919	)		(13,290,033	)
Net increase (decrease) in net assets resulting from operations		42,963,442			95,020,622			(4,239,275	)		17,878,726
Interestholder transactions:
Contributions		171,720,000			275,385,000			143,935,005			363,341,556
Withdrawals		(53,500,000	)		(36,000,000	)		(256,105,000	)		(19,545,000	)
Net increase (decrease) in net assets resulting from interestholder transactions		118,220,000			239,385,000			(112,169,995	)		343,796,556
Increase (decrease) in net assets		161,183,442			334,405,622			(116,409,270	)		361,675,282
NET ASSETS:
Beginning of period		1,188,212,497			853,806,875			1,085,582,331			723,907,049
End of period	$	1,349,395,939		$	1,188,212,497		$	969,173,061		$	1,085,582,331

The accompanying notes are an integral part of these financial statements.

203

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited)

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, series management investment company organized as a Delaware statutory trust. As of June 30, 2006, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These financial statements relate only to the Active Stock, CoreAlpha Bond, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040 and S&P 500 Index Master Portfolios (each, a “Master Portfolio,” collectively, the “Master Portfolios”).

Each of the LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040 Master Portfolios (each, a “LifePath Master Portfolio,” collectively, the “LifePath Master Portfolios”) seeks to achieve its investment objective by investing in a combination of stock, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by Barclays Global Fund Advisors (“BGFA”), and include the Active Stock and CoreAlpha Bond Master Portfolios, the Barclays Global Investors Funds Institutional Money Market Fund and exchange-traded funds in the iShares^® family of funds.

Under MIP’s organizational documents, the Master Portfolios’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Master Portfolios. Additionally, in the normal course of business, the Master Portfolios enter into contracts with service providers that contain general indemnification clauses. The Master Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Portfolios that have not yet occurred.

1. Significant Accounting Policies

The following significant accounting policies are consistently followed by MIP in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Security valuation

The securities and other assets of each Master Portfolio are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. In the event that current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the “Board”).

The value of each LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of June 30, 2006, the interests of the Active Stock and CoreAlpha Bond Master Portfolios held by each LifePath Master Portfolio were as follows:

Master Portfolio	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
LifePath Retirement	3.65	%	13.24	%
LifePath 2010	13.87		33.00
LifePath 2020	33.68		35.96
LifePath 2030	27.48		13.96
LifePath 2040	21.32		3.84

Security transactions and income recognition

Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolios amortize premiums and accrete discounts on debt securities purchased, using a constant yield to maturity method.

204

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

Each LifePath Master Portfolio records daily its proportionate interest in the net investment income and realized and unrealized capital gains and losses of the Active Stock and CoreAlpha Bond Master Portfolios. In addition, each LifePath Master Portfolio accrues its own expenses.

Foreign currency translation

The accounting records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.

Each Master Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuation in the market prices of securities. Such fluctuations are reflected by the Master Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

Federal income taxes

In general, MIP believes that each Master Portfolio has and will continue to be operated in a manner so as to qualify it as a non-publicly traded partnership for federal income tax purposes. Provided that each such Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gains (if any). However, each interestholder in such a Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership for federal income tax purposes, each such Master Portfolio will be deemed to have “passed through” to its interestholders any interest, dividends, gains or losses of the Master Portfolio for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the “Code”), and regulations promulgated thereunder.

It is intended that each Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).

As of June 30, 2006, the aggregate unrealized appreciation and depreciation based on cost for federal income tax purposes for the Master Portfolios were as follows:

Master Portfolio	Tax cost		Unrealized appreciation		Unrealized depreciation			Net unrealized appreciation (depreciation)
S&P 500 Index	$	2,607,943,725	$	392,085,072	$	(328,375,194	)	$	63,709,878
LifePath Retirement (a)		88,008,622		7,646,838		(796,534	)		6,850,304
LifePath 2010 (a)		252,544,124		28,119,130		(1,870,023	)		26,249,107
LifePath 2020 (a)		470,916,479		62,302,077		(1,948,089	)		60,353,988
LifePath 2030 (a)		351,894,576		45,496,137		(682,454	)		44,813,683
LifePath 2040 (a)		247,899,555		29,275,884		—			29,275,884
Active Stock		1,430,254,833		121,264,325		(33,015,399	)		88,248,926
CoreAlpha Bond		1,127,887,857		1,258,401		(29,377,795	)		(28,119,394	)
(a)    Tax cost information does not include investments in the underlying Master Portfolios.

Futures contracts

The Active Stock, CoreAlpha Bond and S&P 500 Master Portfolios may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, a Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statements of Assets and Liabilities. When the contract is closed, the Master Portfolio

205

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

records a “realized gain (loss) on futures contracts” in its Statement of Operations, 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. Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission (“SEC”), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity securities in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The amount at risk for futures contracts may exceed the amount reflected in the financial statements.

As of June 30, 2006, the Active Stock, CoreAlpha Bond and S&P 500 Index Master Portfolios have pledged to brokers U.S. Treasury Bills or U.S. Treasury Notes with face amounts of $300,000, $1,103,000 and $1,300,000, respectively, for initial margin requirements on outstanding futures contracts.

When issued/TBA transactions

The CoreAlpha Bond Master Portfolio may purchase mortgage pass-through securities on a when-issued or to-be-announced (“TBA”) basis, with payment and delivery scheduled for a future date. The Master Portfolio may enter into a TBA agreement, sell the obligation to purchase the pools stipulated in the TBA agreement prior to the stipulated settlement date and enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities (a “TBA roll”). The Master Portfolio could be exposed to possible risk if there is adverse market action, expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction. The Master Portfolio’s use of TBA rolls may cause the Master Portfolio to experience higher portfolio turnover, higher transaction costs and to allocate larger short-term capital gains to interestholders.

Repurchase agreements

Each Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by the Master Portfolio, collateralized by securities, which are delivered to the Master Portfolio’s custodian or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest.

Swap agreements

The CoreAlpha Bond Master Portfolio may enter into index and interest-rate swap transactions. Index swaps involve the exchange by the Master Portfolio with another party of cash flows based upon the performance of an index of securities or a portion of an index of securities that usually include, but are not limited to, dividends or income. Interest-rate swaps involve the exchange by the Master Portfolio with another party of their respective commitments to pay or receive interest. If the Master Portfolio enters into a swap transaction, cash or securities may be posted by or to the Master Portfolio as collateral in accordance with the terms of the swap agreement. Upon early termination of a swap agreement due to an event of default or termination event with respect to the Master Portfolio or the other party, the risk of loss to the Master Portfolio would generally be limited to the net amount of payments that the Master Portfolio is contractually obligated to make if, after exercising in accordance with the swap agreement the rights with respect to early close-out of the swap transaction or swap transactions, it is determined that the Master Portfolio would be obligated to make a net payment with respect to the swap transaction or swap transactions. In the event the other party to the swap transaction or swap transactions is to owe a net amount to the Master Portfolio upon an early termination of the swap agreement as described above, the Master Portfolio could be exposed to the risk of loss in the event that any collateral held by the Master Portfolio would be insufficient. As of June 30, 2006, the Master Portfolio did not hold any index swap contracts. Details of interest-rate swaps held by the Master Portfolio as of June 30, 2006 are included in its Schedule of Investments.

The CoreAlpha Bond Master Portfolio may also enter into credit default swaps to protect against credit risks associated with securities issued by or loans entered into by certain companies (each, as used in this discussion, a “reference entity” in the case of a particular company and an “Obligation” in the case of a loan or security) and to sell protection to a counterparty against credit risks associated with certain reference entities. In a cash-settled credit default swap where the Master Portfolio is buying protection, the Master Portfolio makes a stream of fixed payments to the counterparty in exchange for the right to receive compensation for the loss in market value of the designated Obligation that is being hedged, in the event the reference entity experiences a credit event, such as a material loan or bond default, restructuring or bankruptcy. In a cash-settled credit default swap where the Master Portfolio is selling protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving the fixed premium over the life of the transaction. Alternatively, if the credit default swap were to be physically settled, the counterparty, as seller of protection, would agree that if a specified credit event occurs, it would take delivery of an Obligation specified by the Master Portfolio and pay to the Master Portfolio an amount equal to the notional amount of the transaction. In exchange for this risk protection, the Master Portfolio would pay the counterparty a fixed premium over the specified life of the credit default swap. In instances where the Master Portfolio sells protection, the Master Portfolio would be compensated for assuming the transfer of credit risk from the counterparty by receiving a fixed premium over the life of the credit default swap. The Master Portfolio would be required to compensate the counterparty for loss in the market value of the designated Obligation if the reference entity suffered a credit event and the credit default swap

206

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

were to be cash-settled. In the event that the transaction were to be physically settled on the occurrence of a specified credit event with respect to the reference entity, the Master Portfolio would be required to take physical delivery of an Obligation specified at the time of the occurrence of the relevant credit event and would pay to the counterparty an amount equal to notional amount of the transaction. Details of credit default swaps held by the Master Portfolio as of June 30, 2006 are included in its Schedule of Investments.

Options on swap agreements

The CoreAlpha Bond Master Portfolio may write (sell) and purchase put and call options on swaps. An option on a swap (commonly referred to as a “swaption”) is a contract that gives a counterparty the right (but not the obligation) in return for payment of a premium, to enter into a new swap transaction at some designated future time on specified terms as described in the swaption. Depending on the terms of the particular swaption, the Master Portfolio may incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Master Portfolio purchases a swaption, it risks losing only the amount of the premium it has paid if the Master Portfolio decides to let the swaption expire unexercised. When the Master Portfolio writes a swaption, upon exercise of the swaption, the Master Portfolio becomes obligated according to the terms of the underlying agreement. Details of swaptions held by the Master Portfolio as of June 30, 2006 are included in its Schedule of Investments.

Short sales

The CoreAlpha Bond Master Portfolio may make short sales of securities as part of its overall portfolio management strategies or to offset potential declines in long positions in similar securities. A short sale involves the sale of securities, with the ultimate obligation to deliver these securities. To make delivery to the buyer of the securities, the seller purchases or borrows the securities to offset the short obligation. When making a short sale, the Master Portfolio must cover its position. Short sales expose the Master Portfolio to the risk that it will be required to acquire, convert or exchange securities to replace the securities sold short at a time when the securities sold short have appreciated in value, thus resulting in a loss to the Master Portfolio. The successful use of short selling may be adversely affected by an imperfect correlation between movements in the price of the security sold short and the securities being hedged. The amount at risk for short sales may exceed the amount reflected in the financial statements. Details of short sales held by the Master Portfolio as of June 30, 2006 are included in its Schedule of Investments.

2. Agreements and other transactions with affiliates

Pursuant to an Investment Advisory Contract with each Master Portfolio, BGFA provides investment advisory services to each Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC.

For its investment advisory services to the following Master Portfolios, BGFA is entitled to receive an annual investment advisory fee based on the average daily net assets for each Master Portfolio as follows:

Master Portfolio	Investment Advisory Fee
S&P 500 Index	0.05	%
LifePath Retirement	0.35
LifePath 2010	0.35
LifePath 2020	0.35
LifePath 2030	0.35
LifePath 2040	0.35
Active Stock	0.25
CoreAlpha Bond	0.25

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

Beginning May 1, 2006, BGFA has contractually agreed to waive investment advisory fees charged to the LifePath Master Portfolios in an amount equal to investment advisory fees and administration fees, if any, charged to the Underlying Funds through April 30, 2007. Prior to May 1, 2006, such waiver was voluntary.

The fees and expenses of the independent trustees, counsel to the independent trustees and independent auditors (the “independent expenses”) are paid directly by the Master Portfolios. For those Master Portfolios that do not pay an administration fee to Barclays Global Investors, N.A. (“BGI”), BGFA has voluntarily agreed to cap the expenses of the Master Portfolios at the rate at which those Master Portfolios pay an advisory fee to BGFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolios in an amount equal to the independent expenses.

For the six months ended June 30, 2006, BGFA waived and/or credited investment advisory fees as follows:

Master Portfolio	Investment advisory fees waived/credited
S&P 500 Index	$	11,346
LifePath Retirement		399,564
LifePath 2010		1,151,406
LifePath 2020		1,924,321
LifePath 2030		1,262,577
LifePath 2040		835,761

MIP has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolios’ custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolios. BGI may delegate certain of its administration duties to sub-administrators.

BGI is not entitled to compensation for providing administration services to the S&P 500 Index and LifePath Master Portfolios, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the S&P 500 Index and LifePath Master Portfolios, or BGI (or an affiliate) receives investment advisory fees from the S&P 500 Index and LifePath Master Portfolios.

BGI is entitled to receive a monthly fee for administration services from each of the Active Stock and CoreAlpha Bond Master Portfolios at an annual rate of 0.10% of their respective average daily net assets. BGI has agreed to bear all costs of each of these Master Portfolios, excluding, generally, investment advisory fees, administration fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by each Master Portfolio. With respect to the independent expenses discussed above, BGI has voluntarily agreed to provide an offsetting credit against the administration fees paid by these Master Portfolios in an amount equal to the independent expenses. For the six months ended June 30, 2006, BGI credited administration fees of $9,577 and $10,675 for the Active Stock and CoreAlpha Bond Master Portfolios, respectively.

Investors Bank & Trust Company (“IBT”) serves as the custodian and sub-administrator of the Master Portfolios. IBT will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from BGI for its services as sub-administrator of the Master Portfolios.

SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolios. SEI does not receive any fee from the Master Portfolios for acting as placement agent.

Pursuant to an exemptive order issued by the SEC, BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolios’ investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the six months ended June 30, 2006, BGI earned securities lending agent fees as follows:

Master Portfolio	Securities lending agent fees
S&P 500 Index	$	116,716
LifePath Retirement		13,339
LifePath 2010		46,357
LifePath 2020		97,759
LifePath 2030		60,410
LifePath 2040		47,813
Active Stock		46,757
CoreAlpha Bond		74,159

208

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

Certain Master Portfolios executed cross trades for the six months ended June 30, 2006, pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter, for compliance with the requirements and restrictions set forth by Rule 17a-7.

The Master Portfolios may invest in the shares of exchange-traded funds (“ETFs”) including shares of ETFs of which BGI is an affiliate to obtain exposure to the bond and stock markets while maintaining flexibility to meet the liquidity needs of the Master Portfolios.

Pursuant to an exemptive order issued by the SEC, each Master Portfolio may invest in certain money market funds managed by BGFA, the Master Portfolios’ investment adviser, including the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”), Prime Money Market Fund (“PMMF”) and Treasury Money Market Fund (“TMMF”) of Barclays Global Investors Funds. The GMMF, IMMF, PMMF and TMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (collectively, the “Master Portfolios”), respectively, which are also managed by BGFA. While the GMMF, IMMF, PMMF and TMMF do not directly charge an investment advisory fee, the Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF, PMMF and TMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolios from temporary cash investments are recorded as interest from affiliated issuers in the accompanying Statements of Operations. Income distributions earned by the Master Portfolios from the investment of securities lending collateral are included in securities lending income in the accompanying Statements of Operations.

The following table provides information about the direct investment by each Master Portfolio (exclusive of investments of securities lending collateral) in issuers of which BGFA is an affiliate, other than the Active Stock and CoreAlpha Bond Master Portfolios, for the six months ended June 30, 2006, including income earned from these affiliated issuers and net realized capital gains (losses) from sales of these affiliated issuers.

Master Portfolio and Name of Affiliated Issuer	Number of shares held beginning of period (in 000s)	Gross additions (in 000s)	Gross reductions (in 000s)	Number of shares held end of period (in 000s)	Value at end of period		Dividend and interest income		Net realized gain (loss)
S&P 500 Index
IMMF	19,125	3,251,804	3,249,990	20,939	$	20,938,914	$	596,889	$	—
LifePath Retirement
IMMF	1,923	167,373	167,303	1,993		1,993,003		31,190		—
iShares Cohen & Steers Realty Majors Index Fund	—	79	—	79		6,627,770		99,339		—
iShares Lehman TIPS Bond Fund	—	260	—	260		25,887,148		395,535		—
iShares MSCI EAFE Index Fund	348	90	40	398		25,993,375		—		566,205
iShares S&P MidCap 400 Index Fund	126	19	32	113		8,670,407		43,086		576,986
iShares S&P SmallCap 600 Index Fund	84	6	26	64		3,966,513		13,428		149,432
iShares S&P 500 Index Fund	—	36	36	—		—		8,725		46,363
LifePath 2010
IMMF	4,736	425,219	421,836	8,119		8,119,009		79,117		—
iShares Cohen & Steers Realty Majors Index Fund	—	301	7	294		24,599,965		355,901		26,588
iShares Lehman TIPS Bond Fund	—	628	5	623		62,060,189		935,755		(9,477	)
iShares MSCI EAFE Index Fund	1,309	315	164	1,460		95,483,197		—		2,358,938
iShares S&P MidCap 400 Index Fund	420	70	91	399		30,485,815		149,157		1,613,630
iShares S&P SmallCap 600 Index Fund	267	51	71	247		15,362,795		47,285		393,387
iShares S&P 500 Index Fund	—	130	130	—		—		21,520		144,011

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

Master Portfolio and Name of Affiliated Issuer	Number of shares held beginning of period (in 000s)	Gross additions (in 000s)	Gross reductions (in 000s)	Number of shares held end of period (in 000s)	Value at end of period		Dividend and interest income		Net realized gain (loss)
LifePath 2020
IMMF	7,669	804,874	805,212	7,331	$	7,331,328	$	146,598	$	—
iShares Cohen & Steers Realty Majors Index Fund	—	667	—	667		55,881,879		800,681		—
iShares Lehman TIPS Bond Fund	—	635	—	635		63,196,083		963,359		—
iShares MSCI EAFE Index Fund	2,882	744	214	3,412		223,141,282		—		2,615,580
iShares S&P MidCap 400 Index Fund	815	222	158	879		67,149,794		321,830		2,745,692
iShares S&P SmallCap 600 Index Fund	525	121	115	531		32,962,494		102,775		422,294
iShares S&P 500 Index Fund	—	442	442	—		—		64,664		239,964
LifePath 2030
IMMF	6,725	632,908	635,190	4,443		4,442,829		114,828		—
iShares Cohen & Steers Realty Majors Index Fund	—	535	2	533		44,640,119		626,967		(143	)
iShares Lehman TIPS Bond Fund	—	212	—	212		21,113,321		331,593		—
iShares MSCI EAFE Index Fund	2,206	687	138	2,755		180,132,253		—		1,585,032
iShares S&P MidCap 400 Index Fund	596	208	110	694		53,037,720		250,562		1,902,508
iShares S&P SmallCap 600 Index Fund	379	140	90	429		26,632,951		78,163		284,798
iShares S&P 500 Index Fund	—	509	509	—		—		89,673		120,641
LifePath 2040
IMMF	4,479	503,576	503,736	4,319		4,318,765		90,007		—
iShares Cohen & Steers Realty Majors Index Fund	—	438	24	414		34,631,179		475,520		(32,805	)
iShares MSCI EAFE Index Fund	1,469	735	100	2,104		137,585,857		—		1,003,337
iShares S&P MidCap 400 Index Fund	438	176	94	520		39,763,679		186,091		1,673,753
iShares S&P SmallCap 600 Index Fund	277	131	88	320		19,886,283		59,472		298,831
iShares S&P 500 Index Fund	—	457	457	—		—		71,049		(66,143	)
Active Stock
IMMF	5,678	572,823	573,558	4,943		4,943,221		96,589		—
CoreAlpha Bond
IMMF	79,553	8,416,710	8,407,448	88,815		88,814,596		1,575,677		—

Certain officers and trustees of MIP are also officers of BGI and/or BGFA. As of June 30, 2006, these officers of BGI and/or BGFA collectively owned less than 1% of MIP’s outstanding beneficial interests.

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

3. Investment portfolio transactions

Investment transactions (excluding short-term investments and investments in any underlying Master Portfolios) for the Master Portfolios for the six months ended June 30, 2006 were as follows:

	U.S. Government Obligations				Other Securities
Master Portfolio	Purchases		Sales		Purchases		Sales
S&P 500 Index	$	—	$	—	$	64,309,527	$	119,470,637
LifePath Retirement		—		—		67,395,997		49,118,241
LifePath 2010		—		—		196,971,820		126,026,503
LifePath 2020		—		—		353,343,626		190,338,212
LifePath 2030		—		—		276,313,473		133,363,769
LifePath 2040		—		—		216,489,920		105,706,112
Active Stock		—		—		459,516,479		342,332,883
CoreAlpha Bond		1,291,828,236		1,458,967,065		306,248,373		259,290,769

4. Portfolio securities loaned

Each Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Master Portfolio is required to have a value of at least 102% of the market value of the loaned securities plus the interest accrued on such securities, if any for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan plus accrued interest, if any. The risks to the Master Portfolios of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due.

As of June 30, 2006, the Master Portfolios had loaned securities which were collateralized by cash. Pursuant to an exemptive order issued by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities or non-U.S. Government debt securities. Income from the joint account is allocated daily to each Master Portfolio, based on each Master Portfolio’s portion of the total cash collateral received. The market value of the securities on loan as of June 30, 2006 and the value of the related collateral are disclosed in the Master Portfolios’ Statements of Assets and Liabilities. Securities lending income, which is disclosed in the Master Portfolios’ Statements of Operations, is presented net of rebates paid to, or fees paid by, borrowers.

211

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

5. Financial Highlights

Financial highlights for each of the Master Portfolios were as follows:

Master Portfolio	Six months ended June 30, 2006 (Unaudited)		Year ended December 31, 2005		Year ended December 31, 2004		Year ended December 31, 2003		Year ended December 31, 2002		Year ended December 31, 2001
S&P 500 Index
Ratio of expenses to average net assets (a)	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%	0.05	%
Ratio of expenses to average net assets prior to expense reductions (a)	0.05	%	n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (a)	1.89	%	1.84	%	1.91	%	1.74	%	1.57	%	1.31	%
Portfolio turnover rate (b)	3	%	10	%	14	%	8	%	12	%	9	%
Total return	2.71	%(c)	4.87	%	10.82	%	28.52	%	(22.05	)%	(11.96	)%
(a)    Annualized for periods of less than one year. (b)    Portfolio turnover rates include in-kind transactions, if any. (c)    Not annualized.

Master Portfolio	Six months ended June 30, 2006 (Unaudited)		Year ended December 31, 2005		Year ended December 31, 2004 (a)		Year ended December 31, 2003		Period ended December 31, 2002 (b)		Year ended February 28, 2002		Year ended February 28, 2001
LifePath Retirement
Ratio of expenses to average net assets (c) (d)	0.28	%	0.31	%	0.31	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions (c) (e)	0.61	%	0.65	%	0.60	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	3.46	%	3.24	%	2.46	%	2.27	%	2.98	%	3.73	%(f)	4.40	%
Portfolio turnover rate (g)	20	%	11	%	138	%(h)	29	%	56	%	116	%	58	%
Total return	1.78	%(i)	4.82	%	6.85	%	12.45	%	(1.36	)%(i)	2.68	%	6.56	%
LifePath 2010
Ratio of expenses to average net assets (c) (d)	0.27	%	0.30	%	0.30	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions (c) (e)	0.60	%	0.64	%	0.59	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	3.10	%	2.96	%	2.32	%	2.12	%	2.49	%	3.11	%(f)	3.49	%

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MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

Master Portfolio	Six months ended June 30, 2006 (Unaudited)		Year ended December 31, 2005		Year ended December 31, 2004 (a)		Year ended December 31, 2003		Period ended December 31, 2002 (b)		Year ended February 28, 2002		Year ended February 28, 2001
Portfolio turnover rate (g)	18	%	12	%	130	%(h)	23	%	72	%	86	%	54	%
Total return	2.40	%(i)	5.70	%	7.88	%	16.16	%	(6.43	)%(i)	(0.70	)%	2.13	%
LifePath 2020
Ratio of expenses to average net assets (c) (d)	0.25	%	0.28	%	0.29	%	0.35	%	0.35	%	0.44	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions (c) (e)	0.58	%	0.62	%	0.57	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.48	%	2.53	%	2.05	%	2.04	%	2.14	%	2.23	%(f)	2.38	%
Portfolio turnover rate (g)	16	%	17	%	140	%(h)	23	%	67	%	86	%	39	%
Total return	3.58	%(i)	7.04	%	9.77	%	21.11	%	(10.18	)%(i)	(4.99	)%	(3.14	)%
LifePath 2030
Ratio of expenses to average net assets (c) (d)	0.24	%	0.26	%	0.28	%	0.35	%	0.35	%	0.46	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions (c) (e)	0.57	%	0.60	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	2.01	%	2.22	%	1.93	%	1.98	%	1.81	%	1.74	%(f)	1.72	%
Portfolio turnover rate (g)	17	%	24	%	138	%(h)	32	%	68	%	53	%	27	%
Total return	4.37	%(i)	8.13	%	11.28	%	24.36	%	(13.05	)%(i)	(7.82	)%	(5.59	)%
LifePath 2040
Ratio of expenses to average net assets (c) (d)	0.23	%	0.26	%	0.28	%	0.35	%	0.35	%	0.49	%	0.55	%
Ratio of expenses to average net assets prior to expense reductions (c) (e)	0.56	%	0.59	%	0.56	%	n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c) (d)	1.62	%	1.96	%	1.74	%	1.86	%	1.57	%	1.13	%(f)	0.90	%
Portfolio turnover rate (g)	21	%	38	%	147	%(h)	29	%	62	%	15	%	20	%
Total return	5.08	%(i)	8.74	%	11.93	%	28.14	%	(15.63	)%(i)	(10.48	)%	(10.41	)%
Active Stock
Ratio of expenses to average net assets (c)	0.35	%	0.35	%	0.35	%	n/a		n/a		n/a		n/a
Ratio of expenses to average net assets prior to expense reductions (c)	0.35	%	n/a		n/a		n/a		n/a		n/a		n/a
Ratio of net investment income to average net assets (c)	1.68	%	1.50	%	1.57	%	n/a		n/a		n/a		n/a

213

MASTER INVESTMENT PORTFOLIO

NOTES TO THE FINANCIAL STATEMENTS (Unaudited) (continued)

Master Portfolio	Six months ended June 30, 2006 (Unaudited)		Year ended December 31, 2005		Year ended December 31, 2004 (a)		Year ended December 31, 2003	Period ended December 31, 2002 (b)	Year ended February 28, 2002	Year ended February 28, 2001
Portfolio turnover rate (g)	26	%	54	%	70	%	n/a	n/a	n/a	n/a
Total return	3.50	%(i)	8.79	%	10.40	%(i)	n/a	n/a	n/a	n/a
CoreAlpha Bond
Ratio of expenses to average net assets (c)	0.35	%	0.35	%	0.35	%	n/a	n/a	n/a	n/a
Ratio of expenses to average net assets prior to expense reductions (c)	0.35	%	n/a		n/a		n/a	n/a	n/a	n/a
Ratio of net investment income to average net assets (c)	4.98	%	4.19	%	3.08	%	n/a	n/a	n/a	n/a
Portfolio turnover rate (g)	162	%	270	%	313	%	n/a	n/a	n/a	n/a
Total return	(0.48	)%(i)	1.98	%	1.30	%(i)	n/a	n/a	n/a	n/a
(a)    For the period from March 15, 2004 (commencement of operations) to December 31, 2004 for the Active Stock and CoreAlpha Bond Master Portfolios. (b)    For the ten months ended December 31, 2002. The LifePath Master Portfolios changed their fiscal year-end from February 28 to December 31. (c)    Annualized for periods of less than one year. (d)    After March 15, 2004, the date the LifePath Master Portfolio converted to a fund-of-funds structure, the expense ratio includes the LifePath Master Portfolio’s pro rata portion of the advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios. The ratio also reflects BGFA’s waiver of these pro rata advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios and the waiver of the advisory and administration fees of the other Underlying Funds. (See Note 2 above) (e)    After March 15, 2004, the date the LifePath Master Portfolio converted to a fund-of-funds structure, the expense ratio includes the LifePath Master Portfolio’s pro rata portion of the advisory and administration fees of the Active Stock and CoreAlpha Bond Master Portfolios. (f)    Effective March 1, 2001, the LifePath Master Portfolios adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies that requires the amortization of discounts and premiums on debt securities purchased, using a constant yield to maturity method. The adoption of this policy had no material effect on the ratio of net investment income to average net assets for the LifePath Master Portfolios for the year ended February 28, 2002. Ratios for the periods prior to March 1, 2001 have not been adjusted to reflect this change in policy. (g)    Portfolio turnover rates include in-kind transactions, if any. (h)    Portfolio turnover rate reflects the restructure of the LifePath Master Portfolio to a fund-of-funds structure. (i)    Not annualized.

214

Master Investment Portfolio

Board Review and Approval of Investment Advisory Contracts (Unaudited)

I. LifePath Master Portfolios, CoreAlpha Bond Master Portfolio and Active Stock Master Portfolio

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not interested persons of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider each Investment Advisory Contract between MIP and BGFA (each, an “Advisory Contract”) on behalf of the LifePath Master Portfolios, CoreAlpha Bond Master Portfolio and Active Stock Master Portfolio (together, the “Master Portfolios”). As required by Section 15(c), the Board requested and BGFA provided such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contracts. At a meeting held on March 15, 2006, the Board approved the selection of BGFA and the continuance of the Advisory Contracts, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contracts for the Master Portfolios, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:

Nature, Extent and Quality of Services Provided by BGFA

The Board determined that there would be no diminution in the scope of services required of BGFA under the Advisory Contracts for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that BGFA and its affiliates have committed significant resources over time, including over the past year, to the support of advised accounts, including the Master Portfolios. The Board considered in particular that BGFA’s services for the Master Portfolios capitalize on BGFA’s core competencies, including the effective use of its proprietary investment model analyzing securities market risk, asset class correlations and expected returns. The Board also considered services provided by BGFA and its affiliates in connection with the review of counterparty and issuer credit risk and securities lending opportunities and the oversight of intermediaries that provide BGI feeder fund shareholder support and processing functions.

The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolios. The Board noted that BGFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and has made appropriate officers available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Master Portfolios. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the performance of (i) other registered investment companies with substantially similar investment objectives and strategies as the LifePath Master Portfolios for which BGFA provides investment advisory services, and (ii) the LifePath Master Portfolios’ custom benchmark. The Board noted that the LifePath Master Portfolios underperformed their custom benchmarks on an annualized basis over five years, that annualized relative performance over three years showed an improving trend, and the LifePath Master Portfolios all outperformed their custom benchmarks in 2005. The Board further noted that BGFA does not serve as investment adviser for any other series of registered investment companies with substantially similar investment objectives and strategies as the Active Stock and CoreAlpha Bond Master Portfolios; therefore, no such comparisons were available with respect to those Master Portfolios. The Board also noted that all the Master Portfolios had met their investment objectives since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by BGFA to the Master Portfolios under the Advisory Contracts were appropriate and mitigated in favor of the Board’s approval of the Advisory Contracts for the coming year.

Master Portfolios’ Expenses and Performance of the Master Portfolios

The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of LifePath Master Portfolio 2020 (as an example of the LifePath Master Portfolios), Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio in comparison with the same information for other registered funds objectively selected solely by Lipper as comprising each Master Portfolio’s applicable peer group (the “Lipper Expense Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of each Master Portfolio for the one-, three-, five- and 10-year (or “since inception”) periods ended December 31, 2005, as applicable, as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (the “Lipper Performance Group”, and together with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds LifePath Portfolios than to underlying Master Portfolios, which are not available for investment except to other investment companies. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the applicable Lipper Groups and to prepare this information.

The Board noted that the Master Portfolios outperformed or performed in line with the median performance of the Lipper Performance Group over almost all relevant periods. The Board also noted that the advisory fees and overall expenses for the LifePath Master Portfolios were generally lower than the advisory fee rates and overall expenses of the funds in their Lipper Expense Group. The Board noted BGFA’s voluntary waiver of certain advisory fee amounts based on the advisory fees and/or administrative fees received by BGFA and/or BGI from the funds in which the LifePath Master Portfolios invested during the year ended December 31, 2005 and BGFA’s agreement to contractually waive certain advisory fee amounts based on the advisory fees and/or administrative fees received by BGFA and/or BGI from the funds in which the LifePath Master Portfolios will invest for the period May 1, 2006 through April 30, 2007. The Board noted that the advisory fees for each of the Active Stock and CoreAlpha Bond Master Portfolios were generally lower than the advisory fee rates of the funds in their respective Lipper Expense Groups, and the

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overall expenses for each of the Active Stock and CoreAlpha Bond Master Portfolios were the lowest of the overall expenses of the funds in their respective Lipper Expense Groups. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Master Portfolios, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Groups, were satisfactory for the purposes of approving the Advisory Contracts for the coming year.

Costs of Services Provided to Master Portfolios and Profits Realized by BGFA and Affiliates

The Board reviewed information about the profitability to BGFA of the Master Portfolios, MIP, and the Barclays Global Investors Funds, separately and together, based on the fees payable to BGFA and its affiliates (including fees under the Advisory Contracts), and all other sources of revenue and expense to BGFA and its affiliates for the last calendar year. The Board discussed the sources of direct and ancillary revenue with management, including the revenues to BGI from securities lending by MIP (including any securities lending by a Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for a Master Portfolio), and any fee revenue from any investments by a Master Portfolio in other master portfolios and BGFA-advised funds. The Board also discussed BGFA’s contractual and voluntary fee waivers for the Master Portfolios and the estimated profitability of other mutual fund families advised by BGFA.

Economies of Scale

In connection with its review of BGFA’s profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolios’ asset levels. The Board noted that the Advisory Contracts do not provide any breakpoints in the investment advisory fee rates as a result of any increases in the asset levels of the Master Portfolios. However, the Board noted that the investment advisory fee rates for the Master Portfolios had been set initially at the lower end of the marketplace so as to afford the Master Portfolios’ interestholders the opportunity to share in anticipated economies of scale from inception. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, which indicated that with respect to each Master Portfolio other than the Active Stock Master Portfolio, BGFA and its affiliates are providing services at a loss, with the overall MIP complex posting a slight profit to BGFA and its affiliates for the year, the Board discussed the potential for future economies of scale as the asset levels of the Master Portfolios increase. In light of this analysis and the relatively low investment advisory fee rates for the Master Portfolios, the Board determined that whether further economies of scale may be realized by the Master Portfolios or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contracts.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BGFA and its Affiliates

The Board considered the Master Portfolios’ annual investment advisory fee rates under the Advisory Contracts in comparison to the investment advisory/management fee rates for other funds/accounts with substantially similar investment objectives and strategies for which BGFA (or its affiliate, BGI) provides investment advisory/management services, including other funds registered under the 1940 Act, collective funds and separate accounts (together, the “Other Accounts”). The Board noted that BGFA had provided information distinguishing the level of services provided to the Other Accounts from the level of services provided to the Master Portfolios. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolios to the nature and extent of services provided to the Other Accounts, including, among other things, the level of complexity in managing the Master Portfolios and the Other Accounts under differing regulatory requirements and client guidelines.

The Board noted that the investment advisory fee rates under the LifePath Master Portfolios’ Advisory Contract were lower than the investment management fee rates for the collective funds and within the range of the investment advisory fee rates for other funds registered under the 1940 Act. The Board noted that the investment advisory fee rates under the Advisory Contracts for the CoreAlpha Bond and Active Stock Master Portfolios were the same as or within the ranges of the investment management fee rates for collective funds and separate accounts. The Board noted that any differences between the investment advisory fee rates for the Master Portfolios and the investment advisory/management fee rates for the Other Accounts appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the Other Accounts. Based on this review, the Board determined that the investment advisory fee rates under the Advisory Contracts do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rates under the Advisory Contracts are fair and reasonable.

Other Benefits to BGFA and/or its Affiliates

The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to MIP and the Master Portfolios by BGFA, such as any payment of revenue to BGI, MIP’s securities lending agent, for loaning any portfolio securities, payment of administration fees to BGI, MIP’s administrator, and payment of advisory fees and/or administration fees to BGFA and BGI in connection with any investments by the Master Portfolios in other funds for which BGFA provides investment advisory services and/or BGI provides administration services, as well as the associated voluntary waivers by BGFA and/or its affiliates of these fees, if any. The Board noted that BGFA does not use soft dollars or consider the value of research or other services that may be provided to BGFA (including its affiliates) in selecting brokers for portfolio transactions for the Master Portfolios. The Board further noted that any portfolio transactions placed through a BGFA affiliate are reported to the Board pursuant to Rule 17e-1 under the 1940 Act. The Board concluded that any ancillary benefits would not be disadvantageous to the Master Portfolios’ interestholders.

Based on this analysis, the Board determined that the Advisory Contracts, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolios and their interestholders to approve the Advisory Contracts for the coming year.

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Master Investment Portfolio

Board Review and Approval of Investment Advisory Contracts (Unaudited) (Continued)

II. S&P 500 Index Master Portfolio

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not interested persons of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider each Investment Advisory Contract between MIP and BGFA (each, an “Advisory Contract”) on behalf of the S&P 500 Index Master Portfolio ( the “Master Portfolio”). As required by Section 15(c), the Board requested and BGFA provided such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contract. At a meeting held on March 15, 2006, the Board approved the selection of BGFA and the continuance of the Advisory Contract, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contract for the Master Portfolio, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:

Nature, Extent and Quality of Services Provided by BGFA

The Board determined that there would be no diminution in the scope of services required of BGFA under the Advisory Contract for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that BGFA and its affiliates have committed significant resources over time, including over the past year, to the support of advised accounts, including the Master Portfolio. The Board considered in particular that BGFA’s services for the Master Portfolio capitalize on BGFA’s core competencies as an industry leader in index management, including the effective use of its proprietary investment model that maximizes efficiencies in implementing index changes and in maintaining fully invested portfolios. The Board also considered services provided by BGFA and its affiliates in connection with analyzing corporate actions, employing customized trading strategies, reviewing securities lending opportunities and the oversight of intermediaries that provide BGI feeder fund shareholder support and processing functions.

The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolio. The Board noted that BGFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board and has made appropriate officers available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Master Portfolio. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the performance of (i) other registered investment companies with substantially similar investment objectives and strategies as the Master Portfolio for which BGFA provides investment advisory services, and (ii) the Master Portfolio’s published performance benchmark, the S&P 500 Index. The Board noted that the Master Portfolio underperformed its published benchmark on an annualized basis over five years, three years and in 2005 and that it outperformed the similar investment companies, including iShares funds, for all periods shown. The Board also noted that during BGFA’s term as investment adviser, the Master Portfolio has met its investment objectives consistently over time. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by BGFA to the Master Portfolio under the Advisory Contract were appropriate and mitigated in favor of the Board’s approval of the Advisory Contract for the coming year.

Master Portfolio’s Expenses and Performance of the Master Portfolio

The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of the Master Portfolio in comparison with the same information for other registered funds, objectively selected solely by Lipper, as comprising the Master Portfolio’s applicable peer group (the “Lipper Expense Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of the Master Portfolio for the one-, three-, five-, and 10-year periods ended December 31, 2005, as applicable, as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (the “Lipper Performance Group”, and together with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds Index Funds than to underlying Master Portfolios, which are not available for investment except to other investment companies. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the applicable Lipper Groups and to prepare this information.

The Board noted that the Master Portfolio performed on par with or slightly better than the median performance of the funds in its respective Lipper Performance Group over relevant periods. The Board noted that the advisory fee for the Master Portfolio was generally lower than the advisory fee rates of the funds in its respective Lipper Expense Group, but the overall expenses for the Master Portfolio were generally lower than the overall expenses of the funds in its respective Lipper Expense Group. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Master Portfolio, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Expense Group, were satisfactory for the purposes of approving the Advisory Contract for the coming year.

Costs of Services Provided to Master Portfolio and Profits Realized by BGFA and Affiliates

The Board reviewed information about the profitability to BGFA of the Master Portfolio, MIP, and the Barclays Global Investors Funds, separately and together, based on the fees payable to BGFA and its affiliates (including fees under the Advisory Contract), and all other sources of revenue and expense to BGFA and its affiliates for the last calendar year. The Board discussed the sources of direct and ancillary revenue with

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Master Investment Portfolio

Board Review and Approval of Investment Advisory Contracts (Unaudited) (Continued)

management, including the revenues to BGI from securities lending by MIP (including any securities lending by the Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for the Master Portfolio), and any fee revenue from any investments by the Master Portfolio in other master portfolios and BGFA-advised funds. The Board also discussed the estimated profitability of other mutual fund families advised by BGFA.

Economies of Scale

In connection with its review of BGFA’s profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolio’s asset levels. The Board noted that the Advisory Contract does not provide any breakpoints in the investment advisory fee rate as a result of any increases in the asset levels of the Master Portfolio. However, the Board noted that the investment advisory fee rate for the Master Portfolio had been set initially at the lower end of the marketplace so as to afford the Master Portfolio’s interestholders the opportunity to share in anticipated economies of scale from inception. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, which indicated that with respect to the Master Portfolio, BGFA and its affiliates are generally providing services at a loss, with the overall MIP complex posting a slight profit to BGFA and its affiliates for the year, the Board discussed the potential for future economies of scale as the asset levels of the Master Portfolio increase. In light of this analysis and the relatively low investment advisory fee rate for the Master Portfolio, the Board determined that whether further economies of scale may be realized by the Master Portfolio or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contract.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BGFA and its Affiliates

The Board considered the Master Portfolio’s annual investment advisory fee rate under the Advisory Contract in comparison to the investment advisory/management fee rates for other funds/accounts with substantially similar investment objectives and strategies for which BGFA (or its affiliate BGI) provides investment advisory/management services, including other funds registered under the 1940 Act, collective funds and separate accounts (together, the “Other Accounts”). The Board noted that BGFA had provided information distinguishing the level of services provided to the Other Accounts from the level of services provided to the Master Portfolio. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolio in comparison with the nature and extent of services provided to the Other Accounts, including, among other things, the level of complexity in managing the Master Portfolio and the Other Accounts under differing regulatory requirements and client guidelines.

The Board noted that the investment advisory fee rate under the Advisory Contract for the Master Portfolio was generally within the ranges of the investment advisory/management fee rates for the other funds registered under the 1940 Act and collective funds and higher than the investment management fee rates for the separate accounts. The Board further noted that any differences between the investment advisory fee rate for the Master Portfolio and the investment advisory/management fee rates for the Other Accounts appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the Other Accounts. Based on this review, the Board determined that the investment advisory fee rate under the Advisory Contract does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rate under the Advisory Contract is fair and reasonable.

Other Benefits to BGFA and/or its Affiliates

The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to MIP and the Master Portfolio by BGFA, such as any payment of revenue to BGI, MIP’s securities lending agent, for loaning any portfolio securities, payment of administration fees to BGI, MIP’s administrator, and payment of advisory fees and/or administration fees to BGFA and BGI in connection with any investments by the Master Portfolio in other funds for which BGFA provides investment advisory services and/or BGI provides administration services, as well as the associated voluntary waivers by BGFA and/or its affiliates of these fees, if any. The Board noted that BGFA does not use soft dollars or consider the value of research or other services that may be provided to BGFA (including its affiliates) in selecting brokers for portfolio transactions for the Master Portfolio. The Board further noted that any portfolio transactions placed through a BGFA affiliate are reported to the Board pursuant to Rule 17e-1 under the 1940 Act. The Board concluded that any ancillary benefits would not be disadvantageous to the Master Portfolio’s interestholders.

Based on this analysis, the Board determined that the Advisory Contract, including the investment advisory fee rate thereunder, is fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolio and its interestholders to approve the Advisory Contract for the coming year.

218

P.O. Box 219548 Kansas City, MO 64121-9548 FORWARDING SERVICE REQUESTED

Presorted Standard U.S. Postage PAID Lancaster, PA PERMIT NO. 1275

STATE FARM Auto Life Fire INSURANCE® Mutual Funds®

State Farm VP Management Corp. (Underwriter and Distributor of Securities Products) One State Farm Plaza Bloomington, Illinois 61710-0001 1-800-447-4930 statefarm.com® 120-6345 b.5-CH 2-2006 Printed in U.S.A.

NOT FDIC INSURED May lose value No bank guarantee

There is no assurance that the Funds will achieve their investment objectives. Investment return and principal value will fluctuate and Fund shares, when redeemed, may be worth more or less than their original cost. State Farm Mutual Funds are not insurance products.

Pursuant to Securities and Exchange Commission Staff guidance contained in Letter to Chief Financial Officers from Lawrence A. Friend, dated November 7, 1997, “Investment Co. Accounting Guidance,” the foregoing State Farm Mutual Fund Trust annual report included as Item 1 on this Form N-CSR and sent to shareholders of registrant, includes the financial statements and notes to financial statements of eight series of Master Investment Portfolio (MIP). MIP is unaffiliated with registrant and neither registrant nor the certifying officers to this Form N-CSR, have any control over the preparation or content of the information included in MIP’s financial statements and notes to financial statements included herein.

ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

The information required by this Item 6 is included as part of the report to shareholders under Item 1 of this Form N-CSR.

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.

There were no material changes to the procedures by which shareholders may recommend nominees to the State Farm Mutual Fund Trust Board of Trustees.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer evaluated the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”) (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of this report (the “Evaluation Date”), and based on their evaluation as of the Evaluation Date of these controls and procedures as required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)) (as applicable), concluded that the registrant’s disclosure controls and procedures are effective.

(b) No change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Not applicable.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto as EX-99.CERT.

(a)(3) Not applicable.

(b) Certification of principal executive officer and principal financial officer as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-14(b) or 240.15d-14(b))(as applicable), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350): Attached hereto as EX-99.906CERT.

SIGNATURES

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

State Farm Mutual Fund Trust

By	/S/    EDWARD B. RUST, JR
	Edward B. Rust, Jr.
	President
Date	8/25/2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/S/    EDWARD B. RUST, JR
	Edward B. Rust, Jr.
	President
Date	8/25/2006

By	/S/    MICHAEL L. TIPSORD
	Michael L. Tipsord
	Senior Vice President and Treasurer
Date	8/25/2006