State Farm Mutual Fund Trust

Derivative Financial Instruments Categorized by Risk Exposure:

Fair Values of Derivative Financial Instruments as of December 31, 2011

Asset Derivatives

Statement of Assets and Liabilities
Location

Equity Contracts

Net unrealized appreciation/depreciation*

N-CSR 1 d263074dncsr.htm STATE FARM MUTUAL FUND TRUST State Farm Mutual Fund Trust

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)


Michael L. Tipsord		Alan Goldberg
One State Farm Plaza		K&L Gates LLP
Bloomington, Illinois 61710-0001		70 West Madison St., Suite 3100
		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: 12/31/2011

Date of reporting period: 12/31/2011

ITEM 1.

REPORTS TO STOCKHOLDERS.

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Table of Contents
Message to Shareholders.	1	Financial Highlights	182
Management’s Discussions (unaudited)		Report of Independent Registered Public Accounting Firm	212
State Farm Equity Fund	3	Change In Independent Registered Public Accounting Firm (unaudited)
State Farm Small/MId Cap Equity Fund	9		213
State Farm International Equity Fund	15	Management Information (unaudited)	214
State Farm S&P 500 Index Fund	20	Master Investment Portfolio
State Farm Small Cap Index Fund.	25	S&P 500 Stock Master Portfolio
State Farm International Index Fund	30	Master Portfolio Information	217
State Farm Equity and Bond Fund.	35	Schedule of Investments	218
State Farm Bond Fund	42	Statement of Assets and Liabilities	226
State Farm Tax Advantaged Bond Fund	46	Statement of Operations	227
State Farm Money Market Fund	51	Statement of Changes in Net Assets	274
State Farm LifePath ^® Funds.	52	Financial Highlights	276
Report on Shareholder Meeting	75	Notes to Financial Statements	281
Expense Example (unaudited)	76	Report of Independent Registered Public Accounting Firm	290
Schedule of Investments		LifePath Retirement, LifePath 2020, LifePath 2030, LifePath 2040, LifePath 2050, Active Stock, and CoreAlpha Bond Master Portfolios
State Farm Equity Fund	85
State Farm Small/Mid Cap Equity Fund	87
State Farm International Equity Fund	90	Master Portfolio Information	235
State Farm Small Cap Index Fund.	93	Schedules of Investments	238
State Farm International Index Fund	112	Statements of Assets and Liabilities	266
State Farm Equity and Bond Fund.	123	Statements of Operations	269
State Farm Bond Fund	124	Statements of Changes in Net Assets	272
State Farm Tax Advantaged Bond Fund	132	Financial Highlights	276
State Farm Money Market Fund	142	Notes to Financial Statements	281
Financial Statements		Report of Independent Registered Public Accounting Firm	290
Statements of Assets and Liabilities	144	Officers and Trustees	291
Statements of Operations	148
Statements of Changes in Net Assets	150
Notes to Financial Statements	156

Investment return and principal value will flucuate and Fund shares, when redeemed, may be worth more or less than their original cost. Recent performance may be less than the figures shown in this report. Obtain total returns for the Funds current to the most recent month-end at statefarm.com^® under the Mutual Funds tab or by calling our Securities Response Center at 1.800.447.4930.

Before investing, consider the Funds’ investment objectives, risks, charges and expenses. Contact State Farm VP Management Corp. (1-800-447-4930) for a prospectus or summary prospectus containing this and other information. Read it carefully.

Investing involves risk, including potential for loss.

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.

Any website referenced in this report is an inactive textual reference only, and information contained in or otherwise accessible through that website does not form a part of, and is not incorporated by reference into, this report.

The Funds may send one copy of each annual report, semi-annual report, prospectus, and proxy statement to an address shared by more than one shareholder, a practice commonly referred to as householding delivery of these documents. If the Fund documents you receive are being householded but you would like to receive individual copies of these documents, contact us to request individual delivery by writing to State Farm Investment Management Corp., P.O. Box 219548, Kansas City, Missouri 64121-9548 or by calling us at 1-800-447-4930. We will begin sending individual copies within 30 days after we receive notice that you have revoked your consent.

State Farm LifePath Funds are target-date portfolios that provide a diversified exposure to stocks, bonds, and/or cash for those investors who have a specific date in mind (in this case years 2020, 2030, 2040, or 2050) for retirement or another goal. The target date is the approximate date when investors plan to start withdrawing assets. The investment objectives of each LifePath Fund are adjusted over time to become more conservative as the target date approaches. The principal value of the LifePath Fund(s) is not guaranteed at any time, including at the target date.

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^®

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Message to Shareholders of State Farm Mutual Fund Trust

Dear Shareholders,

Thank you for investing with State Farm Mutual Funds^®. Enclosed is the Annual Report for the 12-month period ended December 31, 2011 for the State Farm Mutual Fund Trust (“the Trust”). In this report you will find management’s discussion of investment philosophy and process for Funds offered by the Trust, factors that affected a Fund’s performance over the 12-month period, and benchmark index comparisons that are designed to help put a Fund’s performance into context. This Annual Report also includes the Trust’s 2011 fiscal year-end audited financial statements and a list of portfolio holdings for each Fund to help you further understand the Fund(s) you own. We encourage your review and consideration of this entire report.

Market Review

During 2011, the financial markets experienced significant challenges and price volatility. The major U.S. equity markets generated mixed results while U.S. fixed income markets posted positive total returns. The major international equity markets generated negative total returns.

In the U.S., equity markets produced somewhat mixed results with large-cap stocks posting a small total return while mid-cap and small cap stocks posted single-digit negative total returns. During this time period, the market environment was influenced by many positive factors, including higher corporate earnings, rising dividends, and generally modest increases in Gross Domestic Product (GDP). Moreover, the Federal Reserve maintained an accommodative monetary policy by leaving the Fed Funds Rate unchanged in a target range of 0% to 0.25%, where it remained for the entire 12-month period ended December 31, 2011. However, the market environment was not without its challenges throughout the period. During the year, equity markets were especially volatile due in part to ongoing sovereign debt issues in several European countries, including Greece, Spain, and Italy. Additionally, the equity markets were negatively impacted by the political unrest in the Middle East, the disasters in Japan, and concerns about federal budget issues here in the United States. For the year ended December 31, 2011, large cap stocks (as represented by the S&P 500^® Index¹) posted total returns of 2.11%, while mid-cap stocks (as represented by the Russell Midcap^® Index²) and small cap stocks (as represented by the Russell 2000^® Index³) posted total returns of –1.55% and –4.18%, respectively.

International equities markets, as represented by the MSCI EAFE Free^® Index and the MSCI All Country World Index (ACWI) ex-U.S. Index, posted negative total returns of –12.14% and –13.71%, respectively, for the year in U.S. dollar terms. Within the MSCI EAFE Free Index, developed European markets like Greece and Austria were among the weakest performing markets, declining –62.77% and –36.43%, respectively, in U.S. dollar terms. Meanwhile, the United Kingdom – the largest country weighting in the MSCI EAFE Free Index at 23.3% –was among the relatively better performing countries in the Index for the year, declining only –2.56% in U.S. dollar terms. Stock market

¹	Source: Standard & Poor’s. The S&P 500^® Index is a capitalization-weighted measure of common stocks of 500 large U.S. companies. It is not possible to invest directly in an index. Past performance does not guarantee future results.

Source: Bloomberg. The Russell Midcap^® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap is a subset of the Russell 1000^® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap represents approximately 31% of the total market capitalization of the Russell 1000 companies. It is not possible to invest directly in an index. Past performance does not guarantee future results.

Source: Bloomberg. The Russell 2000^® Index tracks the common stock performance of the 2,000 smallest companies in the Russell 3000^® Index, which represents approximately 10% of the total capitalization of the Russell 3000 Index. The stocks of small companies are more volatile than the stocks of larger, more established companies. It is not possible to invest directly in an index. Past performance does not guarantee future results.

Message to Shareholders of State Farm Mutual Fund Trust (continued)

performance in emerging market countries was even weaker during the period with the MSCI Emerging Markets Index posting a total return of –18.42% in U.S. dollar terms⁴.

Within the bond markets, U.S. Treasuries gained ground during the 12-month period ended December 31, 2011 with yields declining across all maturities. The yield on 10-year U.S. Treasuries declined from 3.30% on January 1, 2011, to 1.89% on December 31, 2011. Short-term yields remained low, with 3-month U.S. Treasury yields declining from 0.12% on January 1, 2011, to 0.02% on December 31, 2011⁵. Interest rates were affected by ongoing concerns over the European debt crisis, which helped lift the demand for U.S. Treasuries. Among major fixed income indices, the Barclays Capital U.S. Aggregate Bond Index provided a total return of 7.84% for the year ended December 31, 2011, while the Barclays Capital Municipal Bond Index posted a total return of 10.70% for the same time period⁶.

While changes in the markets, either positive or negative, are part of investing, State Farm Investment Management Corp. has consistently maintained a long-term, disciplined approach to managing investment risk.

We believe individuals increase their chance for investment success by remaining focused on their long-term goals and maintaining an appropriate asset allocation mix⁷. As always, your registered State Farm agent is available to discuss your financial needs and risk tolerance.

On behalf of the entire State Farm Mutual Funds team, thank you for your continued business and allowing us to serve your investment needs.

Sincerely,

LOGO

Joe R. Monk Jr.

Senior Vice President

State Farm Investment Management Corp.

⁴

Source: Bloomberg. The Morgan Stanley Capital International Europe, Australasia and Far East Free (EAFE^® Free) Index currently measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East. The MSCI All Country World Index (ex-U.S.) (MSCI ACWI ex-U.S. Index) is a free float adjusted market capitalization index that is designed to measure equity market performance in global developed and emerging markets, excluding the United States. As of December 31, 2011, the MSCI ACWI ex-U.S. Index consisted of 44 developed and emerging market country indices. The Morgan Stanley Capital International Emerging Markets Index is a float-adjusted market capitalization index designed to measure equity market performance in global emerging markets. 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, all of which are magnified in emerging markets. It is not possible to invest directly in an index. Past performance does not guarantee future results.

⁵

Source: The U.S. Department of Treasury. A 10-year U.S. Treasury Bond is a debt obligation issued by the U.S. Treasury that has a term of more than one year, but not more than 10 years. A 3-month U.S. Treasury Bill is a debt obligation issued by the U.S. Treasury that has a term of 92 days or less. U.S. Treasury securities are backed by the full faith and credit of the U.S. government and are guaranteed only as to the prompt payment of principal and interest, and are subject to market risks if sold prior to maturity. Bonds have historically been less volatile than stocks, but are sensitive to changes in interest rates. Past performance does not guarantee future results.

⁶

The Barclays Capital U.S. Aggregate Bond Index and Barclays Capital Municipal Bond Index returns provided by Barclays Capital Inc. The Barclays Capital 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 Barclays Capital Municipal Bond Index is representative of the tax-exempt bond market and is made up of investment grade municipal bonds issued after 12/31/90 having a remaining maturity of at least one year. Bonds have historically been less volatile than stocks, but are sensitive to changes in interest rates. It is not possible to invest directly in an index. Past performance does not guarantee future results.

⁷	Asset allocation cannot guarantee a profit or protect against a loss in a declining market.

State Farm Equity Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Equity Fund (the “Fund”) is sub-advised by Bridgeway Capital Management, Inc. (“Bridgeway”) and Westwood Management Corp. (“Westwood”). Bridgeway and Westwood each manage approximately one-half of the Fund’s assets. State Farm Investment Management Corp. monitors the performance of the sub-advisers and the split of the Fund’s portfolio between the sub-advisers. The benchmark for the Fund is the S&P 500 Index (the “Index”).

The Fund seeks long-term growth of capital. In doing so, the Fund invests primarily in large capitalization stock issued by U.S. companies. Bridgeway defines “large stocks” as the largest 1,000 U.S. companies as measured by market capitalization (stock market worth). Westwood defines large capitalization companies as those companies with market capitalizations greater than $5 billion at the time of purchase.

Bridgeway selects stocks using its proprietary, quantitative investment models to identify stocks within the large-cap growth category for the Fund. Growth stocks are those that Bridgeway believes have above average prospects for economic growth. Westwood invests in a portfolio of seasoned companies utilizing a value style of investing in which it chooses those stocks that Westwood believes have earnings prospects that are currently undervalued by the market relative to some financial measure of worth such as the ratio of price to earnings, price to sales or price to cash flow. Westwood defines seasoned companies as those that generally have been operating for at least three years.

Describe the relevant market environment as it related to the Fund for the reporting period.

The market environment was influenced by many positive factors including: higher corporate earnings, rising dividends, and generally modest increases in Gross Domestic Product (GDP). Moreover, the Federal Reserve maintained an accommodative monetary policy by leaving the Fed Funds Rate unchanged in a target range of 0% to 0.25%, where it remained for the entire 12-month period ended December 31, 2011. However, the market environment was not without its challenges throughout the period. During the fiscal year, equity markets were especially volatile due in part to ongoing sovereign debt issues in several European countries, including Greece, Spain, and Italy. Additionally, the equity markets were negatively impacted by the political unrest in the Middle East, the disasters in Japan, and concerns about federal budget issues here in the United States.

Throughout the year, oil and gold prices were volatile. Oil prices began the period at around $91/barrel and rose to around $99/ barrel by the end of December 2011, an increase of 8% for the 12-month period. Gold prices began the period at around $1,421 per troy ounce and increased to around $1,566/oz. by the end of December 2011, an increase of 10% for the 12-month period.

Due in part to concerns of the sovereign debt crisis in Europe, the U.S. dollar gained against the euro and British pound during the period. For the period January 2011 through December 2011, the U.S. dollar increased by approximately 3% to $1.30/euro. Versus the British pound, the U.S. dollar increased by less than 1% during the period to $1.55/£.

Growth stocks, as represented by the Russell 1000^® Growth Index, produced a total return of 2.64%, which outperformed value stocks, as represented by the Russell 1000^® Value Index, which experienced a total return of 0.39%¹.

The Russell 1000^® Growth Index is an unmanaged market capitalization-weighted index of growth-oriented stocks of the largest U.S. domiciled companies. It includes those Russell 1000 companies with higher price-to-book ratios and higher expected growth values. The Russell 1000^® Value Index is an unmanaged market capitalization-weighted index of value-oriented stocks of the largest U.S. domiciled companies. It includes those Russell 1000 companies with lower price-to- book ratios and lower expected growth values.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm Equity Fund had a total return of –0.82% (without sales charges) which underperformed the 2.11% total return of the S&P 500 Index over the same time period. The line graphs and tables below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-5.69%	-6.78%	-4.54%
Class B	-6.45%	-6.89%	-4.53%
* From 05/01/2006.

The performance data quoted represents past performance and does not guarantee future results. Returns on the line graph reflect maximum sales charges of: 5% for Class A shares at initial investment; and 1% for Class B shares at the end of the most recent fiscal year. See the next page for the performance of the Fund’s other classes, which may be greater than or less than the lines shown above for Class A and Class B shares because of differing loads and expenses between share classes. Returns in the table above reflect maximum sales charges of: 5% for all Class A shares and for Class B shares at one year; 2% for Class B shares at five years; and 1% for Class B shares Life of Class performance. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The S&P 500^® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation, and financial industries. In total, the S&P 500 is comprised of 500 common stocks. Unlike an investment in the Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Legacy Class A	-3.87%	-6.46%	-0.47%
Legacy Class B	-4.25%	-6.60%	-0.55%
Institutional	-0.57%	-5.62%	0.19%
Class R-1	-1.16%	-6.15%	-0.68%*
Class R-2	-0.94%	-5.98%	-0.49%*
Class R-3	-0.66%	-5.70%	-0.20%*
* Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

The performance data quoted represents past performance and does not guarantee future results. Legacy Class A shares performance on the line graph reflects a maximum sales charge of 3% at initial investment. Institutional, Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Legacy Class A and Legacy Class B shares because of differing loads and expenses between the share classes. Returns in the table above reflect maximum sales charges of: 3% for all Legacy Class A shares and for Legacy Class B shares at one year; and 2% for Legacy Class B shares at five years. Legacy Class B shares performance at ten years does not reflect conversion to Legacy Class A shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. See the preceding page for the performance of Class A and Class B shares.

Performance Analysis

What factors helped and hindered performance during the reporting period?

During the 1-year period ended December 31, 2011, Bridgeway and Westwood generated portfolio returns (before fees and expenses) of 0.72% and 0.16%, respectively, compared to a 2.11% return for the S&P 500 Index over the same time period.

There were 133 equity holdings in the Fund totaling approximately $259.6 million in assets at end of the reporting period compared to 120 holdings and approximately $264.2 million in assets one year earlier.

Below are discussions concerning the individual investments made by Bridgeway and Westwood during the course of the reporting period.

Bridgeway Capital Management, Inc. (50.55% of the Fund’s total investments)

Among the largest contributions to Bridgeway’s performance during the year were holdings within the Health Care (10.44% of Bridgeway’s total investments), Consumer Staples (7.92% of Bridgeway’s total investments) and Consumer Discretionary (21.50% of Bridgeway’s total investments) sectors. Within the Health Care sector, Intuitive Surgical Inc. (0.73% of Bridgeway’s total investments), Bristol-Myers Squibb Co. (1.14% of Bridgeway’s total investments) and Allergan Inc. (0.48% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains during the period. Within the Consumer Staples sector, several holdings including The Estee Lauder Companies Inc. (1.26% of Bridgeway’s total investments), Brown-Forman Corp. (1.26% of Bridgeway’s total investments), Colgate-Palmolive Co. (1.06% of Bridgeway’s total investments), and Wal-Mart Stores Inc. (1.07% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains during the period. Wal-Mart Stores Inc. (1.67% of the Fund’s total net assets) is also the Fund’s fifth largest holding. Within the Consumer Discretionary sector, Ross Stores Inc. (2.31% of Bridgeway’s total investments) was the overall largest contributor to Bridgeway’s performance with a double-digit gain. Also within the Consumer Discretionary sector, Starbucks Corp. (0.80% of Bridgeway’s total investments), TJX Companies Inc. (1.04% of Bridgeway’s total investments) and McDonald’s Corp. (1.42% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains.

Also contributing to Bridgeway’s positive performance were several holdings in the Information Technology (26.68% of Bridgeway’s total investments) and Industrials (11.71% of Bridgeway’s total investments) sectors. Within the Information Technology sector, Apple Inc. (3.05% of Bridgeway’s total investments), International Business Machines Corp. (1.84% of Bridgeway’s total investments), MasterCard Inc. (1.59% of Bridgeway’s total investments) and Intel Corp. (1.21% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains. Apple Inc. (1.54% of the Fund’s total net assets) and Intel Corp. (1.56% of the Fund’s total net assets) are also the Fund’s ninth and seventh largest holdings, respectively. Within the Industrials sector, Union Pacific Corp. (1.77% of Bridgeway’s total investments), WW Grainger Inc. (1.64% of Bridgeway’s total investments) and Lockheed Martin Corp. (1.12% of Bridgeway’s total investments) were also among the largest contributors to Bridgeway’s performance with each posting double-digit gains during the period. Union Pacific Corp. (1.89% of the Fund’s total net assets) is also the Fund’s second largest holding.

Although the Consumer Discretionary sector was an overall contributor to Bridgeway’s performance, the largest individual detractor to Bridgeway’s performance during the year was Netflix Inc. before being completely sold from Bridgeway’s portion of the Fund’s portfolio. Additional major detractors to Bridgeway’s performance within the Consumer Discretionary sector included The Gap Inc. (0.89% of Bridgeway’s total investments), TRW Automotive Holdings Corp. (0.81% of Bridgeway’s total investments), Wynn Resorts Ltd. (0.82% of Bridgeway’s total investments) and Ford Motor Co. (0.59% of Bridgeway’s total investments) with each posting double-digit losses.

Additional major detractors to Bridgeway’s performance came mainly from the Information Technology (26.68% of Bridgeway’s total investments), Materials (5.53% of Bridgeway’s total investments) and Energy (9.59% of Bridgeway’s total investments) sectors. Within the Information Technology sector, F5 Networks Inc. (1.94% of Bridgeway’s total investments), Atmel Corp. (0.92% of Bridgeway’s total investments), JDS Uniphase Corp. (0.64% of Bridgeway’s total investments) and Hewlett-Packard Co. (0.52% of Bridgeway’s total investments) each posted double-digit declines. Within the Materials sector, Freeport-McMoRan Copper & Gold Inc. (0.99% of Bridgeway’s total investments) and Alcoa Inc. (0.41% of Bridgeway’s total investments) both weighed negatively on Bridgeway’s performance and posted double-digit losses. Within the Energy sector, Alpha Natural Resources Inc. and Nabors Industries Ltd. were major detractors to Bridgeway’s performance before both being completely sold from Bridgeway’s portion of the Fund’s portfolio. Likewise, Cimarex Energy Co. (0.46% of Bridgeway’s total investments) weighed negatively on Bridgeway’s performance and posted a double-digit loss.

Westwood Management Corp. (49.45% of the Fund’s total investments)

Westwood’s total investments) sectors. Within the Health Care sector, Pfizer Inc. (2.99% of Westwood’s total investments) was the overall largest contributor to Westwood’s performance with a double-digit gain. Also within Health Care, Abbott Laboratories (1.81% of Westwood’s total investments), was also a double-digit gainer while Johnson & Johnson (2.99% of Westwood’s total investments) and Merck & Co. Inc. (2.01% of Westwood’s total investments) were among large contributors to Westwood’s performance with both posting single-digit gains. Johnson & Johnson (1.77% of the Fund’s total net assets) is also the Fund’s third largest holding. Within the Consumer Staples sector, Philip Morris International Inc. (2.16% of Westwood’s total investments), CVS Caremark Corp. (2.16% of Westwood’s total investments), and Wal-Mart Stores Inc. (2.28% of Westwood’s total investments) were among the largest contributors to Westwood’s performance with each posting double-digit gains. Wal-Mart Stores Inc. (1.67% of the Fund’s total net assets) is also the Fund’s fifth largest holding. Within the Industrials sector, Union Pacific Corp. (2.01% of Westwood’s total investments) and Boeing Co. (2.06% of Westwood’s total investments) were among the largest contributors to Westwood’s performance with each posting double-digit gains. Union Pacific Corp. (1.89% of the Fund’s total net assets) is also the Fund’s second largest holding.

Also contributing to Westwood’s positive performance were holdings in the Consumer Discretionary sector (8.44% of Westwood’s total investments), including Comcast Corp. (2.17% of Westwood’s total investments) and Time Warner Inc. (2.22% of Westwood’s total investments) with both posting double-digit gains. Comcast Corp. (1.56% of the Fund’s total net assets) is also the Fund’s eighth largest holding. Within the Energy sector (14.05% of Westwood’s total investments), Chevron Corp. (2.20% of Westwood’s total investments), Exxon Mobil Corp. (2.17% of Westwood’s total investments) and EQT Corp. (1.93% of Westwood’s total investments) were also among the largest contributors to Westwood’s performance with each posting double-digit gains. Chevron Corp. (1.69% of the Fund’s total net assets) and Exxon Mobil Corp. (1.61% of the Fund’s total net assets) are also the Fund’s fourth and sixth largest holdings, respectively.

The Financials (18.62% of Westwood’s total investments) sector was the largest overall detractor to Westwood’s performance. Within the Financials sector, Bank of America Corp. (1.82% of Westwood’s total investments) was the largest individual detractor to Westwood’s performance during the year with a double-digit loss. Also within Financials, JPMorgan Chase & Co. (2.18% of Westwood’s total investments), MetLife Inc. (1.98% of Westwood’s total investments) and Aflac Inc. (1.91% of Westwood’s total investments) were also among large detractors to Westwood’s performance with each posting double-digit losses.

Additional major detractors to Westwood’s performance came from a broad range of sectors, including, Consumer Discretionary (8.44% of Westwood’s total investments) and Energy (14.05% of Westwood’s total investments). Within the Consumer Discretionary sector, General Motors Co. (1.86% of Westwood’s total investments) was among the largest detractors to Westwood’s performance and posted a double-digit loss. Likewise, within the Energy sector, Apache Corp. (1.89% of Westwood’s total investments) was a major detractor and posted a double-digit loss. Newfield Exploration Co. was also a major detractor to Westwood’s performance before being completely sold from Westwood’s portion of the Fund’s portfolio.

Financial highlights for this Fund can be found on pages 182-183.

State Farm Small/Mid Cap Equity Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Small/Mid Cap Equity Fund (the “Fund”) is sub-advised by Bridgeway Capital Management, Inc. (“Bridgeway”) and Rainier Investment Management, Inc. (“Rainier”). Bridgeway and Rainier each manage approximately one half of the Fund’s assets. State Farm Investment Management Corp. monitors the performance of the sub-advisers and the split of the Fund’s portfolio between the sub-advisers. The benchmark for the Fund is the Russell 2500^® Index (the “Index”).

The Fund seeks long-term growth of capital. In doing so, the Fund invests primarily in small- and mid-capitalization stocks issued by U.S. companies. An allocation to small- and mid-cap stocks allows for investment exposure to some companies in the earlier stages of development relative to more mature, larger capitalization companies. Bridgeway primarily invests in stocks whose market capitalization (stock market value) falls within the range of the Russell 2000 Index, an unmanaged, market value weighted index, which measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. Rainier primarily invests in U.S. companies with market capitalizations within the range of companies included in the Russell Midcap^® Index.

Bridgeway selects stocks using its proprietary, quantitative investment models to identify small- and mid-cap “value” stocks. Bridgeway defines a “value” stock as one that it believes is priced cheaply relative to some financial measures of worth, such as the ratio of price to earnings, price to sales, or price to cash flow. In selecting common stock for purchase by the Fund, Rainier emphasizes companies that it believes are likely to demonstrate superior business growth relative to their peers and whose equities are selling at attractive relative valuations.

Describe the relevant market environment as it related to the Fund for the reporting period.

For the year ended December 31, 2011, the Index posted a total return of –2.51%.

Growth stocks, as represented by the Russell 2500^® Growth Index, produced a total return of –1.57%, which outperformed value stocks, as represented by the Russell 2500^® Value Index, which experienced a total return of –3.36%¹.

The Russell 2500 Growth Index measures the performance of the small to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2500 Value Index measures the performance of the small to midcap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

Legacy Class A shares of the State Farm Small/Mid Cap Equity Fund finished 2011 with a total return of –2.65% (without sales charges) for the 12 month period. The Fund underperformed the –2.51% total return of the Russell 2500 Index over the same time period. The line graphs and tables below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-7.61%	-1.83%	-0.87%
Class B	-8.18%	-1.79%	-0.75%
* From 05/01/2006.

The performance data quoted represents past performance and does not guarantee future results. Returns on the line graph reflect maximum sales charges of: 5% for Class A shares at initial investment; and 1% for Class B shares at the end of the most recent fiscal year. See the next page for the performance of the Fund’s other classes, which may be greater than or less than the lines shown above for Class A and Class B shares because of differing loads and expenses between share classes. Returns in the table above reflect maximum sales charges of: 5% for all Class A shares and for Class B shares at one year; 2% for Class B shares at 5 years; and 1% for Class B shares Life of Class performance. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Russell 2500^® Index measures the performance of the 2,500 smallest securities in the Russell 3000^® Index, which represents approximately 20% of the total market capitalization of the Russell 3000 Index. Unlike an investment in the Small/Mid Cap Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Legacy Class A	-5.56%	-1.43%	1.68%
Legacy Class B	-5.92%	-1.56%	1.59%
Institutional	-2.35%	-0.58%	2.95%*
Class R-1	-3.01%	-1.14%	3.16%*
Class R-2	-2.75%	-0.95%	3.36%*
Class R-3	-2.48%	-0.63%	3.69%*
. * Institutional shares from 02/28/2002. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

Performance Analysis

What factors helped and hindered performance during the reporting period?

During the 1-year period ended December 31, 2011, Bridgeway and Rainier generated portfolio returns (before fees and expenses) of 0.93% and –2.81%, respectively, compared to a –2.51% return for the Index over the same time period.

There were 215 equity and registered investment company holdings in the Fund totaling approximately $162.6 million in assets at the end of the reporting period compared to 214 holdings and approximately $168.2 million in assets one-year earlier.

Below are discussions concerning the performance and individual investments made by Bridgeway and Rainier during the course of the reporting period.

Bridgeway Capital Management, Inc. (49.64% of the Fund’s total investments)

Among the largest contributions to Bridgeway’s performance during the year were holdings within the Consumer Discretionary (16.55% of Bridgeway’s total investments), Health Care (4.67% of Bridgeway’s total investments), and Financials (34.09% of Bridgeway’s total investments) sectors. Within the Consumer Discretionary sector, Saga Communications Inc. (1.64% of Bridgeway’s total investments), Sinclair Broadcast Group Inc. (1.49% of Bridgeway’s total investments), Sally Beauty Holdings Inc. (1.02% of Bridgeway’s total investments) and Pier 1 Imports Inc. (1.49% of Bridgeway’s total investments) were among large contributors to Bridgeway’s performance with each posting double-digit gains. Within the Health Care sector, HealthSpring Inc. was the overall largest contributor to Bridgeway’s performance, posting a triple-digit gain before being completely sold from the Fund. Likewise, The Medicines Co. (1.10% of Bridgeway’s total investments) was also a major contributor to Bridgeway’s performance and posted a double-digit gain. Within Financials, Advance America Cash Advance Centers Inc. (1.33% of Bridgeway’s total investments), World Acceptance Corp. (1.30% of Bridgeway’s total investments), RLI Corp. (0.99% of Bridgeway’s total investments) and Ocwen Financial Corp. (1.06% of Bridgeway’s total investments) each posted double-digit gains and were among the largest contributors to Bridgeway’s performance.

Within the Energy (4.36% of Bridgeway’s total investments) sector, International Coal Group Inc. was also among the largest contributors to Bridgeway’s performance before being completely sold from the Fund. Likewise, Alaska Air Group Inc. (1.33% of Bridgeway’s total investments) and United Rentals Inc. (1.15% of Bridgeway’s total investments) within the Industrials (14.89% of Bridgeway’s total investments) sector, were among the largest contributors to Bridgeway’s performance posting double-digit gains during the year.

Among the largest detractors to Bridgeway’s performance during the year were holdings within the Information Technology (8.22% of Bridgeway’s total investments), Telecommunication Services (2.44% of Bridgeway’s total investments) and Consumer Staples (3.57% of Bridgeway’s total investments) sectors. Within Information Technology, EMCORE Corp. was the overall largest detractor to Bridgeway’s performance before being completely sold from the Fund. Likewise, Brooks Automation Inc. and Power-One Inc. were also major detractors to Bridgeway’s performance before both holdings were sold completely from the Fund. Within Telecommunication Services, IDT Corp. (0.55% of Bridgeway’s total investments) and General Communication Inc. (0.94% of Bridgeway’s total investments) both posted double-digit losses and were among major detractors to Bridgeway’s performance. Within Consumer Staples, Omega Protein Corp. (0.43% of Bridgeway’s total investments) and The Pantry Inc. (0.53% of Bridgeway’s total investments) were both among the largest detractors to Bridgeway’s performance by posting double-digit losses.

Although the Health Care sector was an overall contributor to Bridgeway’s performance, Kindred Healthcare Inc. (1.07% of Bridgeway’s total investments) was a major individual detractor to Bridgeway’s performance during the year and posted a double-digit loss. Likewise, within Consumer Discretionary, ValueVision Media Inc. and Valassis Communications Inc. were major detractors before being completely sold from the Fund.

Rainier Investment Management, Inc. (50.36% of the Fund’s total investments)

Among the largest contributions to Rainer’s performance during the year were holdings within the Consumer Discretionary (15.03% of Rainier’s total investments), Information Technology (15.46% of Rainier’s total investments), and Health Care (11.00% of Rainier’s total investments) sectors. Within Consumer Discretionary, Macy’s Inc. (1.72% of Rainier’s total investments) and GNC Holdings Inc. (0.57% of Rainier’s total investments) were among the largest contributors to Rainier’s performance for the year, with both posting double-digit returns. Macy’s (0.87% of the Fund’s total net assets) is also the Fund’s eighth largest holding. Within the Information Technology sector, JDS Uniphase Corp. and NetLogic Microsystems Inc. were among the largest contributors to Rainier’s performance before being completely sold from the Fund. Likewise, Alliance Data Systems Corp. (1.80% of Rainier’s total investments) was a large contributor to Rainier’s performance and posted a double-digit gain. Alliance Data Systems Corp. (0.91% of the Fund’s total net assets) is also the Fund’s sixth largest holding. Within the Health Care sector, Perrigo Co. (1.59% of Rainier’s total investments) was a major contributor to Rainier’s performance and posted a double-digit gain. Likewise, HealthSpring Inc. was among the largest contributors to Rainier’s performance before being completely sold from the Fund.

Also contributing to Rainier’s positive performance was Industrials (15.02% of Rainier’s total investments) holding Chicago Bridge & Iron Co. (1.85% of Rainier’s total investments) which posted a double-digit gain. Chicago Bridge & Iron Co. (0.93% of the Fund’s total net assets) is also the Fund’s fourth largest holding. Likewise, Goodrich Corp. was also among the largest contributors to Rainier’s performance before being completely sold from the Fund.

Major detractors to Rainier’s performance came from a broad range of sectors, including Energy (10.60% of Rainier’s total investments), Financials (16.27% of Rainier’s total investments) and Materials (3.70% of Rainier’s total investments). Within Energy, Key Energy Services Inc. was the overall largest detractor to Rainier’s performance before being completely sold from the Fund. Likewise, Baker Hughes Inc. (2.09% of Rainier’s total investments) was a major detractor to Rainier’s performance posting a double-digit loss. Baker Hughes Inc. (1.06% of the Fund’s total net assets) is also the Fund’s largest holding. Within Financials, CBRE Group Inc. (1.36% of Rainier’s total investments) was a major detractor to Rainier’s performance and posted a double-digit loss. First Niagara Financial Group Inc. was also a major detractor to Rainier’s performance before being completely sold from the Fund. Within the Materials sector, Aurico Gold Inc. (0.57% of Rainier’s total investments) was a major detractor to Rainier’s performance and posted a double-digit loss.

Within Industrials (15.02% of Rainier’s total investments), ManpowerGroup and McDermott International Inc. were also major detractors to Rainier’s performance before both were completely sold from the Fund.

Financial highlights for this Fund can be found on pages 184-185.

State Farm International Equity Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm International Equity Fund (the “Fund”) is sub-advised by Marsico Capital Management, Inc. (“Marsico”) and Northern Cross, LLC (“Northern Cross”). Marsico and Northern Cross each manage approximately one-half of the Fund’s assets. State Farm Investment Management Corp. monitors the performance of the sub-advisers and the split of the Fund’s portfolio between the sub-advisers. The benchmark for the Fund is the MSCI All Country World Index (ACWI) ex-U.S (the “Index”).

The Fund seeks long-term growth of capital. Marsico invests its portion of the Fund primarily in foreign equity securities issued by companies that it selects for their long-term growth potential. Northern Cross invests its portion of the Fund primarily in foreign equity securities issued by companies that it believes have the potential for long-term margin expansion.

Marsico may invest its portion of the Fund in an unlimited number of companies of any size throughout the world, and normally invests in the securities of issuers that are economically tied to at least four different foreign countries. In selecting investments for the Fund, Marsico uses an approach that combines ‘top-down’ macroeconomic analysis with ‘bottom-up’ stock selection. Northern Cross focuses on equities priced cheaply relative to some financial measure of worth, such as ratios of price to earnings, price to sales or price to cash flow. Under normal market conditions Northern Cross will invest its portion of the Fund in 70-90 companies with a diversified representation of sectors. In selecting securities for the Fund, Northern Cross gives careful consideration to currency, political stability and other effects of international investing. The Fund allows investments in emerging or developing markets. As of December 31, 2011, the Fund had 14.53% of total net assets invested in emerging markets.

Describe the relevant market environment as it relates to the Fund for the reporting period.

International equity markets, as represented by the Index, had a total return of –13.71% for the reporting period, underperforming U.S. equity markets. Several factors, including a sovereign debt crisis in parts of Europe and slowing economic growth in China, Brazil, and India helped to push down the returns of overseas markets below the returns of the U.S. markets. All performance information included in this discussion is quoted in U.S. dollars.

The U.S. market environment was influenced by many positive factors including: higher corporate earnings, rising dividends, and generally modest increases in Gross Domestic Product (GDP). Moreover, the Federal Reserve maintained an accommodative monetary policy by leaving the Fed Funds Rate unchanged in a target range of 0% to 0.25%, where it remained for the entire 12-month period ended December 31, 2011. However, the market environment was not without its challenges throughout the period. During the fiscal year, equity markets were especially volatile due in part to ongoing sovereign debt issues in several European countries, including Greece, Spain, and Italy. Additionally, the equity markets were negatively impacted by the political unrest in the Middle East, the disasters in Japan, and concerns about federal budget issues here in the United States.

From an individual country perspective, developed European markets like Greece and Austria were among the weakest performing markets, declining –62.77% and –36.43%, respectively, in U.S. dollar terms. Meanwhile, the United Kingdom was among the relatively better performing countries in the Index for the year, declining only –2.56% in U.S. dollar terms. Stock market performance in emerging market countries was the weakest during the period with the MSCI Emerging Markets Index posting a total return of –18.42% in U.S. dollar terms. Emerging market countries such as China, Brazil, and India declined –18.41%, –21.85%, and –37.17%, respectively, in U.S. dollar terms during the period.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

For the 1-year ended December 31, 2011, Legacy Class A shares of the State Farm International Equity Fund had a total return of –13.89% (without sales charges) compared to a –13.71% total return for the MSCI ACWI ex-U.S Index. The line graphs and tables below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-18.16%	-6.15%	-4.38%
Class B	-18.70%	-6.11%	-4.27%
* From 05/01/2006.

The MSCI^® All Country World Index (ex-U.S.) (MSCI ACWI ex-U.S. Index) is a free float adjusted market capitalization index that is designed to measure equity market performance in global developed and emerging markets, excluding the United States. As of December 31, 2011, the MSCI AWCI ex-U.S. Index consisted of 44 developed and emerging market country indices. Unlike an investment in the International Equity Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Legacy Class A	-16.44%	-5.77%	2.46%
Legacy Class B	-16.69%	-5.88%	2.37%
Institutional	-13.68%	-4.94%	3.70%*
Class R-1	-14.16%	-5.47%	2.10%*
Class R-2	-13.94%	-5.28%	2.33%*
Class R-3	-13.75%	-5.00%	2.60%*
* Institutional shares from 02/28/2002. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

Performance Analysis

What factors helped and hindered performance during the reporting period?

During the 1-year period ended December 31, 2011, Marsico and Northern Cross each individually generated negative double-digit returns, with Northern Cross’ portion of the Fund outperforming Marsico’s portion of the Fund. Below are discussions concerning individual investments made by Marsico and Northern Cross during the course of the reporting period.

Marsico Capital Management, LLC (48.24% of the Fund’s total investments)

The largest detractors to Marsico’s returns were from holdings in Japan, Brazil, and Hong Kong. As of December 31, 2011, these countries represented 10.07%, 3.65%, and 7.91% of Marsico’s total investments, respectively. From a sector perspective, the leading detractors to Marsico’s returns for the reporting period were holdings in Financials, Consumer Discretionary, and Energy. These sectors represented 11.31%, 23.81%, and 5.93% of Marsico’s total investments, respectively, as of year-end.

The Fund’s holdings from Ireland, Argentina, and Belgium contributed the most to the Fund’s returns during the year. As of December 31, 2011, Ireland, Argentina, and Belgium represented 1.96%, 2.40%, and 2.66%, respectively, of Marsico’s total investments.

The largest contributor to Marsico’s performance came from Canadian National Railway Co. (2.65% of Marsico’s total investments), which had a double-digit gain. The next two largest contributors were MercadoLibre Inc. (1.39% of Marsico’s total investments) and Industria de Diseno Textil SA (1.75% of Marsico’s total investments), which each posted double-digit gains. Among the remaining top 5 contributors to Marsico’s performance were Rolls-Royce Holdings PLC (1.08% of Marsico’s total investments) and ARM Holdings PLC (1.59% of Marsico’s total investments), which were both up double-digits.

The largest detractors from Marsico’s performance were OGX Petroleo e Gas Participacoes SA (2.35% of Marsico’s total investments), Citigroup Inc. (1.49% of Marsico’s total investments), Li & Fung Ltd. (1.62% of Marsico’s total investments), Pacific Rubiales Energy Corp. (0.92% of Marsico’s total investments), and ICICI Bank Ltd. Sponsored ADR (0.94% of Marsico’s total investments), which all posted double-digit declines during the year.

Northern Cross, LLC (51.76% of the Fund’s total investments )

The largest detractors to Northern Cross’ returns were from holdings in Brazil, France, and Switzerland. As of December 31, 2011, these countries represented 6.99%, 12.10%, and 14.27% of Northern Cross’ total investments, respectively. From a sector perspective, the leading detractors to Northern Cross’ returns for the reporting period were holdings in Financials, Materials, and Industrials. These sectors represented 17.62%, 13.53%, and 15.65% of Northern Cross’ total investments, respectively, as of year-end.

The Fund’s holdings from the United Kingdom, Netherlands, and Belgium contributed the most to the Fund’s returns during the year. As of December 31, 2011, the United Kingdom, Netherlands, and Belgium represented 17.66%, 2.03%, and 2.24%, respectively, of Northern Cross’ total investments.

The largest contributor to Northern Cross’ performance came from British American Tobacco PLC (3.36% of Northern Cross’ total investments), which posted a double-digit gain. The next two largest contributors were Japan Tobacco Inc. (2.12% of Northern Cross’ total investments) and Imperial Tobacco Group PLC (2.03% of Northern Cross’ total investments), which each posted double-digit gains. Among the remaining top 5 contributors to Northern Cross’ performance were Diageo PLC (2.29% of Northern Cross’ total investments) and Roche Holding AG (2.53% of Northern Cross’ total investments), which each posted double-digit gains.

The largest detractors from Northern Cross’ performance were Erste Group Bank AG (0.62% of Northern Cross’ total investments), BNP Paribas SA (sold during the year), Xstrata PLC (1.98% of Northern Cross’ total investments), Suzano Papel e Celulose SA (0.54% of Northern Cross’ total investments), and Petroleo Brasileiro SA Pfd. (1.98% of Northern Cross’ total investments), which all posted double-digit declines during the year.

Financial highlights for this Fund can be found on pages 186-187.

State Farm S&P 500 Index Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm S&P 500 Index Fund (the “Fund”) seeks to approximate as closely as possible, before fees and expenses, the capitalization-weighted total rate of return of the Standard & Poor’s 500 Stock Index¹(the “Index”). The Index tracks the common stock performance of 500 selected large U.S. companies in leading industries, and most of the common stocks in the Index are listed on the New York Stock Exchange. The weightings of stocks in the Index are based on each stock’s relative total float-adjusted market capitalization (stock price multiplied by the number of investable shares outstanding). The percentage of the Fund’s assets, through its investment in the Master Portfolio, invested in a given stock is approximately the same as the percentage such stock represents in the Index.

The State Farm S&P 500 Index Fund is organized as a “feeder fund” in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, invests all its assets in a corresponding Master Portfolio. It is the Master Portfolio that actually invests in individual securities. References to “the Fund” are to the feeder fund or the Master Portfolio, as the context requires.

BlackRock Fund Advisors (BlackRock) serves as the investment adviser to the Master Portfolio and BlackRock Institutional Trust Company, N.A. (BTC) serves as the administrator to the Master Portfolio.

In a special shareholder meeting held on December 16, 2011, Fund shareholders approved removing the Fund from its current master-feeder structure. Effective May 2012, the Fund will no longer invest all its assets in a corresponding Master Portfolio. BlackRock Fund Advisors will serve as sub-adviser to the restructured Fund.

Describe the relevant market environment as it related to the Fund for the reporting period.

“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.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm S&P 500 Index Fund had a total return of 1.35% without sales charges compared to a 2.11% total return for the S&P 500 Index. The line graphs and tables below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-3.71%	-1.97%	-0.13%
Class B	-4.33%	-2.02%	-0.11%
* From 05/01/2006.

The S&P 500^® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation, and financial industries. In total, the S&P 500 is comprised of 500 common stocks. Unlike an investment in the S&P 500 Index Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Legacy Class A	-1.66%	-1.55%	1.84%
Legacy Class B	-2.13%	-1.73%	1.76%
Institutional	1.61%	-0.69%	2.91%*
Class R-1	0.98%	-1.28%	2.56%*
Class R-2	1.21%	-1.08%	2.76%*
Class R-3	1.60%	-0.76%	3.09%*
* Institutional shares from 02/28/2002. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

The S&P 500^® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation, and financial industries. In total, the S&P 500 is comprised of 500 common stocks. Unlike an investment in the S&P 500 Index Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund satisfactorily tracked the total return of the Index in 2011, before fees and expenses that are not found within the Index. The Index finished the year with a total return of 2.11%. Seven of ten of the Index’s sectors posted gains for the year.


Sector	Index Weighting (as of December 31, 2011)		Gain/Loss for Year
Information Technology		19.02%		1%
Financials		13.43%		-18%
Energy		12.27%		3%
Health Care		11.84%		10%
Consumer Staples		11.54%		11%
Industrials		10.69%		-3%
Consumer Discretionary		10.67%		4%
Utilities		3.87%		15%
Materials		3.50%		-12%
Telecommunication Services		3.17%		1%

The Fund’s top ten holdings largely had a positive year, with nine of the ten finishing the year with a gain.

The largest gain among the top ten holdings belonged to number ten holding Pfizer, Inc. (1.45% of total net assets), part of the Health Care sector, up double-digits. The other holding in the Health Care sector, number nine holding Johnson & Johnson (1.56% of total net assets) also showed positive results in 2011, posting a single-digit gain.

Fund holdings that were part of the Information Technology sector had mixed performance in 2011. Number five holding Microsoft Corp. (1.69% of total net assets) declined for the year, while number two holding Apple, Inc. (3.28% of total net assets) and number three holding International Business Machines Corp. (1.89% of total net assets) both had double-digit gains.

Number one holding Exxon Mobil Corp. (3.54% of total net assets) and number four holding Chevron Corp. (1.85% of total net assets) were part of the Energy sector. Both ended 2011 in positive territory, finishing with double-digit gains.

Performance of the Fund’s remaining top ten holdings includes number six holding General Electric Co. (1.65% of total net assets), number seven holding Procter & Gamble Co. (1.60% of total net assets), and number eight holding AT&T, Inc. (1.56% of total net assets) all with gains in the single-digits.

Financial highlights for this Fund can be found on pages 188-189.

State Farm Small Cap Index Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Small Cap Index Fund (the “Fund”) seeks to approximate as closely as possible, before fees and expenses, the capitalization-weighted total rate of return of the Russell 2000^®Index¹ (the “Index”). The Index measures the performance of the small-capitalization sector of the U.S. equity market and consists of the smallest 2,000 companies in the Russell 3000 Index. The weightings of stocks in the Index are based on each stock’s relative total market capitalization (stock price multiplied by the number of shares outstanding).

The State Farm Small Cap Index Fund is sub-advised by Northern Trust Investments, N.A. (“Northern Trust”). State Farm Investment Management Corp. monitors the investment performance of Northern Trust in sub-advising the Fund.

Describe the relevant market environment as it related to the Fund for the reporting period.

Major U.S. equity market indexes were mixed during 2011 as small capitalization stocks, as represented by the Index, finished the reporting period with a total return of –4.18%. In comparison, large capitalization stocks, as represented by the Russell 1000^® Index², had a total return of 1.50% for the year.

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

²	The Russell 1000^® Index is a market-capitalization weighted index that tracks the largest 1000 companies in the Russell 3000^® Index, which represents approximately 98% of the investable U.S. equity market.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm Small Cap Index Fund had a total return of –5.04 % without sales charges compared to –4.18% total return for the Russell 2000 Index. The line graphs and tables below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-9.75%	-1.81%	-0.97%
Class B	-10.39%	-1.83%	-0.93%
* From 05/01/2006.

The Russell 2000^® Index tracks the common stock performance of the 2,000 smallest U.S. companies in the Russell 3000^® Index, which represents approximately 10% of the total capitalization of the Russell 3000^® Index. Unlike an investment in the Small Cap Index Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Legacy Class A	-7.88%	-1.42%	4.24%
Legacy Class B	-8.20%	-1.53%	4.17%
Institutional	-4.81%	-0.55%	5.45%*
Class R-1	-5.35%	-1.11%	3.62%*
Class R-2	-5.13%	-0.93%	3.82%*
Class R-3	-4.88%	-0.60%	4.15%*
* Institutional shares from 02/28/2002. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund satisfactorily tracked the return of the Index for the year ended December 31, 2011, before fees and expenses that are not found within the Index.

Within the Index, three of the ten industry sectors delivered positive performance results for the period. The Utilities sector (4.49% Index weighting), Consumer Staples sector (3.21% Index weighting), and Health Care sector (12.71% Index weighting) posted gains of 10%, 5%, and 2%, respectively.

Three of the top ten holdings this year were part of the Information Technology Sector. Number two holding Netlogic Microsystems Inc. (0.30% of total net assets), number three holding Successfactors Inc. (0.30% of total net assets), and number six holding Jack Henry & Associates Inc. (0.26% of total net assets) all posted double-digit gains for 2011.

Three of the top ten holdings were from the Health Care sector. Number one holding Healthspring Inc. (0.33% of total net assets) posted a triple-digit gain for the year. Number nine holding Salix Pharmaceuticals Ltd. (0.25% of total net assets) and number ten holding Onyx Pharmaceuticals Inc. (0.25% of total net assets) both had single-digit gains for 2011.

Performance of the Fund’s remaining top ten holdings includes number four holding Clean Harbors Inc. (0.27% of total net assets) number five holding World Fuel Services Corp. (0.27% of total net assets) and number seven holding American Campus Communities (0.26% of total net assets), each of which experienced a double-digit gain in 2011. Number eight holding Biomed Realty Trust Inc. (0.25% of total net assets) posted a single-digit gain in 2011.

The annual reconstitution of holdings within the Russell indices occurred on June 24, 2011. For the Index, the one-time 2011 reconstitution resulted in 196 companies being added to the Index while 139 companies were removed from the Index, a turnover of 14.95%.

Financial highlights for this Fund can be found on pages 190-191.

State Farm International Index Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm International Index Fund (the “Fund”) seeks investment results that approximate as closely as possible the price and yield performance, before fees and expenses, of the Morgan Stanley Capital International EAFE Free Index¹ (the “Index”). The Index is a capitalization-weighted index that currently includes stocks of companies located in 16 European countries, Australia, Israel, New Zealand, Hong Kong, Japan and Singapore.

The Fund is sub-advised by Northern Trust Investments, N.A. (“Northern Trust”). State Farm Investment Management Corp. monitors the investment performance of Northern Trust in sub-advising the Fund.

Describe the relevant market environment as it related to the Fund for the reporting period.

International equity markets, as represented by the Index, had a total return of –12.14% for the reporting period, underperforming U.S. equity markets. Several factors, including a sovereign debt crisis in parts of Europe and slowing economic growth in China, Brazil, and India helped to push down the returns of overseas markets below the returns of the U.S. markets. All performance information included in this discussion is quoted in U.S. dollars.

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.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm International Index Fund had a total return of –12.91% without sales charges compared to a –12.14% total return for the MSCI EAFE Free Index. The line graphs and tables below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-17.29%	-6.58%	-4.33%
Class B	-17.79%	-6.66%	-4.33%
* From 05/01/2006.

The Morgan Stanley Capital International Europe, Australasia and Far East Free (EAFE^® Free) Index currently measures the performance of stock markets of Europe, Australia, New Zealand, and the Far East. Historically, the EAFE Free took into account local market restrictions on share ownership by foreigners. Unlike an investment in the International Index Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Legacy Class A	-15.49%	-6.24%	3.27%
Legacy Class B	-15.78%	-6.37%	3.20%
Institutional	-12.72%	-5.42%	4.53%*
Class R-1	-13.19%	-5.94%	2.32%*
Class R-2	-13.00%	-5.75%	2.51%*
Class R-3	-12.77%	-5.48%	2.81%*
* Institutional shares from 02/28/2002. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

Performance Analysis

What factors helped and hindered performance during the reporting period?

Within the Index, seven of the ten industry sectors advanced during the reporting period. The Energy sector (9.16% Index weighting) had a gain of 15% for 2011, while the Consumer Staples sector (11.55% Index weighting) posted a 6% gain. At the other end of the spectrum, the Utilities sector (4.54% Index weighting) lost –5%; the largest sector, Financials (21.43% Index weighting) finished down –0.2% for the year.

Each of the top ten countries in the Index posted losses in 2011. The European region of the Index had a slightly stronger year when compared to the Index’s Pacific region, with losses of –11% versus –14%. The European region had both the smallest and largest losses among the Index’s top ten countries. Germany, the sixth largest-weighted country (7.8% Index weighting) had a –18% loss for 2011. Meanwhile, the United Kingdom, the largest-weighted country (23.3% Index weighting) posted a –3% loss for the period.

Performance for the remaining top ten countries by Index weighting during 2011:


Country	2011 Index Weighting	2011 Loss
Japan	21.60%	-14.33%
France	9.10%	-16.87%
Australia	8.60%	-10.95%
Switzerland	8.60%	-6.77%
Spain	3.30%	-12.28%
Sweden	3.10%	-15.98%
Hong Kong	2.80%	-16.02%
Netherlands	2.30%	-12.12%

Among the Fund’s ten largest holdings as of December 31, 2011, performance was largely positive for the reporting period, with eight of the ten posting positive returns. Three of the top ten holdings were from Switzerland: number seven holding Roche Holding AG (1.23% of total net assets) had a double-digit gain, number one holding Nestle SA (1.96% of total net assets) and number five holding Novartis AG (1.38% of total net assets) had single-digit gains. The UK had six of the top ten holdings: number two holding Vodafone Group PLC (1.46% of total net assets), number six holding Royal Dutch Shell PLC Class A (1.38% of total net assets) and number eight holding GlaxoSmithKline PLC (1.19% of total net assets) all had double-digit gains. Number four holding BP PLC (1.40% of total net assets) had a single-digit gain while number three holding HSBC Holdings PLC (1.41% of total net assets) and number nine holding BHP Billiton Ltd. (1.17% of total net assets) posted double-digit losses for the year.

Rounding out the rest of the top ten holdings is number ten holding Total SA (1.12% of total net assets) with a single-digit gain in 2011.

Financial highlights for this Fund can be found on pages 192-193.

State Farm Equity and Bond Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Equity and Bond Fund (the “Fund”) is managed with a combination of stocks and bonds in the pursuit of long-term growth of principal while providing some current income.

The Fund invests all of its assets in shares of the State Farm Equity Fund (the “Equity Fund”) and the State Farm Bond Fund (the “Bond Fund”, and together with the Equity Fund, an “Underlying Fund”). Effort is made to maintain an investment mix of approximately 60% of assets in the Equity Fund and 40% of assets in the Bond Fund. The Fund never invests more than 75% of its net assets in either Underlying Fund. Although the Fund is not an asset allocation or market timing mutual fund, we do, from time to time, adjust the amount of its assets invested in each Underlying Fund as economic, market, and financial conditions warrant.

Describe the relevant market environment as it related to the Fund for the reporting period.

Because the Fund does not invest directly in individual stocks and bonds, the merits of the individual investments are evaluated separately by each Underlying Fund’s managers. You may wish to refer to the Management’s Discussion of Fund Performance for the Equity Fund and the Bond Fund in addition to the commentary provided here.

Within the bond markets, the Barclays Capital U.S. Aggregate Bond Index (the “Aggregate Bond Index”) generated a 12-month total return of 7.84% for the period ended December 31, 2011. Within the Aggregate Bond Index, U.S. Treasuries posted high-single digit gains during the 12-month period ended December 31, 2011. Due in part to uncertainty surrounding the financial markets in Europe during the year, investor demand increased for U.S. Treasuries, which generally contributed to rising prices and falling yields on U.S. Treasuries. The yield on 10-year U.S. Treasuries declined from 3.30% on January 1, 2011, to 1.89% on December 31, 2011. Short-term yields also declined with 3-month U.S. Treasury yields declining from 0.12% on January 1, 2011 to 0.02% on December 31, 2011.

Overall, for the year ended December 31, 2011, U.S. Treasuries generally outperformed corporate bonds and securitized credit in the Aggregate Bond Index. For the 1-year period, the total return on U.S. Treasuries in the Aggregate Bond Index was 9.81%, compared to total returns of 8.15% and 6.22%, respectively, on corporate bonds and securitized credit in the Aggregate Bond Index. Among corporate bond sectors within the Aggregate Bond Index, utility bonds and industrial bonds generated total returns of 13.23% and 10.47%, respectively, while financial institution bonds had a total return of 3.15% for the year.

From a maturity perspective, longer-maturity corporate bonds outperformed both intermediate- and short-maturity bonds in the Aggregate Bond Index during the year. The total return on 7-10 year corporate bonds in the Aggregate Bond Index was 9.34% compared to a total return of 6.32% and 1.87% on 5-7 year corporate bonds in the Aggregate Bond Index and 1-3 year corporate bonds in the Aggregate Bond Index, respectively. Among U.S. Treasuries within the Aggregate Bond Index, longer-maturity U.S. Treasuries outperformed both intermediate- and short-maturity U.S. Treasuries. For the 1-year period, the total return on 20+ year

U.S. Treasuries in the Aggregate Bond Index was 33.84% compared to a total return of 11.08% and 1.55% on 5-7 year U.S. Treasuries in the Aggregate Bond Index and 1-3 year U.S. Treasuries in the Aggregate Bond Index, respectively.

From a credit quality standpoint, lower credit quality bonds in the Aggregate Bond Index generally outperformed relative to higher credit quality bonds in the Aggregate Bond Index during the year. However, among corporate bonds within the Aggregate Bond Index, Aaa-rated securities were the best performing credit sector within the Aggregate Bond Index, generating a total return of 12.33% compared to Aa-rated, A-rated, and Baa-rated securities, which had total returns of 7.07%, 7.68%, and 9.05%, respectively, for the year¹.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm Equity and Bond Fund had a total return of 2.68% (without sales charges). Because of the nature of the Fund (invests solely in the Institutional share class of two Underlying Funds), a blended benchmark is used for comparison purposes. The benchmark used is a combination of 60% S&P 500 Index and 40% Barclays Capital U.S. Aggregate Bond Index (rebalanced on a monthly basis). The total return of the blended benchmark was 4.70% for the 1-year period ended December 31, 2011. The line graphs and tables below provide additional perspective on the Fund’s long term results.

¹	Source: Barclays Capital Live^®

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-2.36%	-1.67%	-0.18%
Class B	-2.99%	-1.61%	-0.09%
* From 05/01/2006.

1	See footnotes for the Equity Fund and the Bond Fund for a description of their underlying Indices.

State Farm Investment Management Corp. computes the Blended Benchmark using 60% S&P 500 Index and 40% Barclays Capital U.S. Aggregate Bond Index. Unlike an investment in the Equity and Bond Fund, a theoretical investment in the Indices or Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Legacy Class A	-0.46%	-1.23%	2.06%
Legacy Class B	-0.65%	-1.35%	1.98%
Institutional	3.10%	-0.39%	2.81%*
Class R-1	2.42%	-0.96%	1.89%*
Class R-2	2.63%	-0.74%	2.11%*
Class R-3	2.92%	-0.44%	2.42%*

* Institutional shares from 02/28/2002. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

¹	See footnotes for the Equity Fund and the Bond Fund for a description of their underlying Indices.

Performance Analysis

What factors helped and hindered performance during the reporting period?

As discussed above, the Equity and Bond Fund invests solely in the Institutional share class of the Underlying Funds – the Equity Fund and the Bond Fund. Generally, the Equity and Bond Fund attempts to maintain approximately 60% of its net assets in shares of the Equity Fund and approximately 40% of its net assets in shares of the Bond Fund. For the 1-year period ended December 31, 2011, Institutional shares of the Equity Fund and the Bond Fund returned –0.57% and 8.32% (after expenses), respectively.

Equity portion of the Fund (approximately 60% throughout the period)

The Equity Fund is sub-advised by Bridgeway Capital Management, Inc. (“Bridgeway”) and Westwood Management Corp. (“Westwood”). Bridgeway and Westwood each manage approximately one-half of the Equity Fund’s assets. State Farm Investment Management Corp. monitors the performance of the sub-advisers and the split of the Equity Fund’s portfolio between the sub-advisers. The benchmark for the Equity Fund is the S&P 500 Index (the “Index”).

The Equity Fund seeks long-term growth of capital. In doing so, the Equity Fund invests primarily in large capitalization stock issued by U.S. companies. Bridgeway defines “large stocks” as the largest 500 U.S. companies as measured by market capitalization (stock market worth). Westwood defines large capitalization companies as those companies with market capitalizations greater than $5 billion at the time of purchase. Bridgeway selects stocks using its proprietary, quantitative investment models to identify stocks within the large-cap growth category for the Equity Fund. Growth stocks are those that Bridgeway believes have above average prospects for economic growth. Westwood invests in a portfolio of seasoned companies utilizing a value style of investing in which it chooses those stocks that Westwood believes have earnings prospects that are currently undervalued by the market relative to some financial measure of worth, such as the ratio of price to earnings, price to sales or price to cash flow. Westwood defines seasoned companies as those that generally have been operating for at least three years.

During the 1-year period ended December 31, 2011, Bridgeway and Westwood generated portfolio returns for the Equity Fund (before fees and expenses) of 0.72% and 0.16%, respectively, compared to a 2.11% return for the S&P 500 Index over the same time period.

Below are discussions concerning the individual investments made by Bridgeway and Westwood for the Equity Fund during the course of the reporting period.

Bridgeway Capital Management, Inc. (50.55% of the Equity Fund’s total investments)

Among the largest contributions to Bridgeway’s performance during the year were holdings within the Health Care (10.44% of Bridgeway’s total investments), Consumer Staples (7.92% of Bridgeway’s total assets) and Consumer Discretionary (21.50% of Bridgeway’s total investments) sectors. Within the Health Care sector, Intuitive Surgical Inc. (0.73% of Bridgeway’s total investments), Bristol-Myers Squibb Co. (1.14% of Bridgeway’s total investments) and Allergan Inc. (0.48% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains during the period. Within the Consumer Staples sector, several holdings including The Estee Lauder Companies Inc. (1.26% of Bridgeway’s total investments), Brown-Forman Corp. (1.26% of Bridgeway’s total investments), Colgate-Palmolive Co. (1.06% of Bridgeway’s total investments), and Wal-Mart Stores Inc. (1.07% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains during the period. Wal-Mart Stores Inc. (1.67% of the Equity Fund’s total net assets) is also the Equity Fund’s fifth largest holding. Within the Consumer Discretionary sector, Ross Stores Inc. (2.31% of Bridgeway’s total investments) was the overall largest contributor to Bridgeway’s performance with a double-digit gain. Also within the Consumer Discretionary sector, Starbucks Corp. (0.80% of Bridgeway’s total investments), TJX Companies Inc. (1.04% of Bridgeway’s total investments) and McDonald’s Corp. (1.42% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains.

Also contributing to Bridgeway’s positive performance were several holdings in the Information Technology (26.68% of Bridgeway’s total investments) and Industrials (11.71% of Bridgeway’s total investments) sectors. Within the Information Technology sector, Apple Inc. (3.05% of Bridgeway’s total investments), International Business Machines Corp. (1.84% of Bridgeway’s total investments), MasterCard Inc. (1.59% of Bridgeway’s total investments) and Intel Corp. (1.21% of Bridgeway’s total investments) were among the largest contributors to Bridgeway’s performance with each posting double-digit gains. Apple Inc. (1.54% of the Equity Fund’s total net assets) and Intel Corp. (1.56% of the Equity Fund’s total net assets) are also the Equity Fund’s ninth and seventh largest holdings, respectively. Within the Industrials sector, Union Pacific Corp. (1.77% of Bridgeway’s total investments), WW Grainger Inc. (1.64% of Bridgeway’s total investments) and Lockheed Martin Corp. (1.12% of Bridgeway’s total investments) were also among the largest contributors to Bridgeway’s performance with each posting double-digit gains during the period. Union Pacific Corp. (1.89% of the Equity Fund’s total net assets) is also the Equity Fund’s second largest holding.

Although the Consumer Discretionary sector was an overall contributor to Bridgeway’s performance, the largest individual detractor to Bridgeway’s performance during the year was Netflix Inc. before being completely sold from Bridgeway’s portion of the Equity Fund’s portfolio. Additional major detractors to Bridgeway’s performance within the Consumer Discretionary sector included The Gap Inc. (0.89% of Bridgeway’s total investments), TRW Automotive Holdings Corp. (0.81% of Bridgeway’s total investments), Wynn Resorts Ltd. (0.82% of Bridgeway’s total investments) and Ford Motor Co. (0.59% of Bridgeway’s total investments) with each posting double-digit losses.

Additional major detractors to Bridgeway’s performance came mainly from the Information Technology (26.68% of Bridgeway’s total investments), Materials (5.53% of Bridgeway’s total investments) and Energy (9.59% of Bridgeway’s total investments) sectors. Within the Information Technology sector, F5 Networks Inc. (1.94% of Bridgeway’s total investments), Atmel Corp. (0.92% of Bridgeway’s total investments), JDS Uniphase Corp. (0.64% of Bridgeway’s total investments) and Hewlett-Packard Co. (0.52% of Bridgeway’s total investments) each posted double-digit declines. Within the Materials sector, Freeport-McMoRan Copper & Gold Inc. (0.99% of Bridgeway’s total investments) and Alcoa Inc. (0.41% of Bridgeway’s total investments) both weighed negatively on Bridgeway’s performance and posted double-digit losses. Within the Energy sector, Alpha Natural Resources Inc. and Nabors Industries Ltd. were major detractors to Bridgeway’s performance before both being completely sold from Bridgeway’s portion of the Equity Fund’s portfolio. Likewise, Cimarex Energy Co. (0.46% of Bridgeway’s total investments) weighed negatively on Bridgeway’s performance and posted a double-digit loss.

Westwood Management Corp. (49.45% of the Equity Fund’s total investments)

Among the largest contributions to Westwood’s performance during the year were holdings within the Health Care (16.79% of Westwood’s total investments), Consumer Staples (10.65% of Westwood’s total investments), and Industrials (9.74% of Westwood’s total investments) sectors. Within the Health Care sector, Pfizer Inc. (2.99% of Westwood’s total investments) was the overall largest contributor to Westwood’s performance with a double-digit gain. Also within Health Care, Abbott Laboratories (1.81% of Westwood’s total investments), was also a double-digit gainer while Johnson & Johnson (2.99% of Westwood’s total investments) and Merck & Co. Inc. (2.01% of Westwood’s total investments) were among large contributors to Westwood’s performance with both posting single-digit gains. Johnson & Johnson (1.77% of the Equity Fund’s total net assets) is also the Equity Fund’s third largest holding. Within the Consumer Staples sector, Philip Morris International Inc. (2.16% of Westwood’s total investments), CVS Caremark Corp. (2.16% of Westwood’s total investments), and Wal-Mart Stores Inc. (2.28% of Westwood’s total investments) were among the largest contributors to Westwood’s performance with each posting double-digit gains. Wal-Mart Stores Inc. (1.67% of the Equity Fund’s total net assets) is also the Equity Fund’s fifth largest holding. Within the Industrials sector, Union Pacific Corp. (2.01% of Westwood’s total investments) and Boeing Co. (2.06% of Westwood’s total investments) were among the largest contributors to Westwood’s performance with each posting double-digit gains. Union Pacific Corp. (1.89% of the Equity Fund’s total net assets) is also the Equity Fund’s second largest holding.

Also contributing to Westwood’s positive performance were holdings in the Consumer Discretionary sector (8.44% of Westwood’s total investments), including Comcast Corp. (2.17% of Westwood’s total investments) and Time Warner Inc.(2.22% of Westwood’s total investments) with both posting double-digit gains. Comcast Corp. (1.56% of the Equity Fund’s total net assets) is also the Equity Fund’s eighth largest holding. Within the Energy sector (14.05% of Westwood’s total investments), Chevron Corp. (2.20% of Westwood’s total investments), Exxon Mobil Corp. (2.17% of Westwood’s total investments) and EQT Corp. (1.93% of Westwood’s total investments) were also among the largest contributors to Westwood’s performance with each posting double-digit gains. Chevron Corp. (1.69% of the Equity Fund’s total net assets) and Exxon Mobil Corp. (1.61% of the Equity Fund’s total net assets) are also the Equity Fund’s fourth and sixth largest holdings, respectively.

The Financials (18.62% of Westwood’s totals investments) sector was the largest overall detractor to Westwood’s performance. Within the Financials sector, Bank of America Corp. (1.82% of Westwood’s total investments) was the largest individual detractor to Westwood’s performance during the year with a double-digit loss. Also within Financials, JPMorgan Chase & Co. (2.18% of Westwood’s total investments), MetLife Inc. (1.98% of Westwood’s total investments) and Aflac Inc. (1.91% of Westwood’s total investments) were also among large detractors to Westwood’s performance with each posting double-digit losses.

Fixed Income portion of the Fund (approximately 40% throughout the period)

We manage the Bond Fund in a manner that seeks to achieve over a period of years the highest yield possible that is consistent

with investing in high quality, investment grade bonds. In managing the Bond Fund, we generally are buy-and-hold investors who focus primarily on U.S. Government obligations, government agency securities, and high quality corporate bonds.

On an absolute return basis, the Bond Fund’s allocation to U.S. Treasuries combined with positive low-double digit total returns from the U.S. Treasuries in the Bond Fund helped performance during the year. As of December 31, 2011, the Bond Fund had 34.15% of total net assets invested in U.S. Treasuries versus the Aggregate Bond Index, which had 35.15% in U.S. Treasuries. In addition, the Bond Fund’s allocation to corporate bonds combined with high-single digit returns from corporate bonds in the Bond Fund contributed to the Bond Fund’s positive performance. As of December 31, 2011, the Bond Fund had 40.21% of total net assets invested in corporate bonds versus the Aggregate Bond Index, which had 19.94% in corporate bonds.

As an asset class, U.S. Treasuries in the Bond Fund outperformed corporate bonds in the Bond Fund, while corporate bonds in the Bond Fund outperformed mortgage-backed securities in the Bond Fund. Therefore, from a relative return basis to the Aggregate Bond Index, the Bond Fund’s higher weighting to corporate bonds relative to the Aggregate Bond Index and underweight position in mortgage-backed securities relative to the Aggregate Bond Index helped relative performance versus the Aggregate Bond Index for the 1-year reporting period. As of December 31, 2011, the Bond Fund had 18.66% of total net assets invested in mortgage-backed securities versus the Aggregate Bond Index, which had 34.07% in mortgage-backed securities. In addition, outperformance of U.S. Treasuries in the Bond Fund relative to U.S. Treasuries within the Aggregate Bond Index helped the relative performance of the Bond Fund versus the Aggregate Bond Index for the 1-year reporting period.

The option-adjusted duration of the Bond Fund stood at approximately 4.70 years at the end of 2011, down from 4.83 years at the beginning of the year. Duration is a statistical calculation that measures a bond’s (or in this case, a bond fund’s) price sensitivity relative to general movements in interest rates. Option-adjusted duration attempts to incorporate prepayment possibilities into the duration statistic. As interest rates decline, prepayments typically increase as borrowers seek to refinance their bonds at lower rates.

Financial highlights for this Fund can be found on pages 194-195.

State Farm Bond Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

We manage the State Farm Bond Fund (the “Fund”) in a manner that seeks to achieve over a period of years the highest yield possible that is consistent with investing in high quality, investment grade bonds. In managing the Fund, we generally are buy-and-hold investors who focus primarily on U.S. Government obligations, government agency securities, and high quality corporate bonds.

Describe the relevant market environment as it related to the Fund for the reporting period.

The market environment was influenced by many positive factors, including higher corporate earnings, rising dividends, and generally modest increases in Gross Domestic Product (GDP). Moreover, the Federal Reserve maintained an accommodative monetary policy by leaving the Fed Funds Rate unchanged in a target range of 0% to 0.25%, where it remained for the entire 12-month period ended December 31, 2011. However, the market environment was not without its challenges throughout the period. During the year, financial markets were especially volatile due in part to ongoing sovereign debt issues in several European countries, including Greece, Spain, and Italy. Additionally, the financial markets were negatively impacted by the political unrest in the Middle East, the disasters in Japan, and concerns about federal budget issues here in the United States.

Within the bond markets, U.S. Treasuries posted high-single digit gains during the 12-month period ended December 31, 2011. Due in part to uncertainty surrounding the financial markets in Europe during the year, investor demand increased for U.S. Treasuries, which generally contributed to rising prices and falling yields on U.S. Treasuries. The yield on 10-year U.S. Treasuries declined from 3.30% on January 1, 2011, to 1.89% on December 31, 2011. Short-term yields also declined with 3-month U.S. Treasury yields declining from 0.12% on January 1, 2011 to 0.02% on December 31, 2011.

Overall, for the year ended December 31, 2011, U.S. Treasuries generally outperformed corporate bonds and securitized credit in the Barclays Capital U.S. Aggregate Bond Index (the “Index”). For the 1-year period, the total return on U.S. Treasuries in the Index was 9.81%, compared to total returns of 8.15% and 6.22%, respectively, on corporate bonds and securitized credit in the Index. Among corporate bond sectors within the Index, utility bonds and industrial bonds generated total returns of 13.23% and 10.47%, respectively, while financial institution bonds had a total return of 3.15% for the year.

From a maturity perspective, longer-maturity corporate bonds outperformed both intermediate- and short-maturity bonds in the Index during the year. The total return on 7-10 year corporate bonds in the Index was 9.34% compared to a total return of 6.32% and 1.87% on 5-7 year corporate bonds in the Index and 1-3 year corporate bonds in the Index, respectively. Among U.S. Treasuries within the Index, longer-maturity U.S. Treasuries outperformed both intermediate- and short-maturity U.S. Treasuries. For the 1-year period, the total return on 20+ year U.S. Treasuries in the Index was 33.84% compared to a total return of 11.08% and 1.55% on 5-7 year U.S. Treasuries in the Index and 1-3 year U.S. Treasuries in the Index, respectively.

From a credit quality standpoint, lower credit quality bonds in the Index generally outperformed relative to higher credit quality bonds in the Index during the year. However, among corporate bonds within the Index, Aaa-rated securities were the best performing credit sector within the Index, generating a total return of 12.33% compared to Aa-rated, A-rated, and Baa-rated securities, which had total returns of 7.07%, 7.68%, and 9.05%, respectively, for the year¹.

¹	Source: Barclays Capital Live^®

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm Bond Fund had a total return of 8.05% (without sales charges) compared to a total return of 7.84% for the Barclays Capital U.S. Aggregate Bond Index. The line graph and table below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Class A	4.75%	5.81%	6.02%*
Class B	4.62%	5.71%	6.03%*
Legacy Class A	4.84%	5.81%	4.99%
Legacy Class B	4.61%	5.71%	4.91%
Institutional	8.32%	6.72%	5.67%
Class R-1	7.61%	6.12%	4.89%*
Class R-2	7.83%	6.31%	5.09%*
Class R-3	8.24%	6.64%	5.43%*
* Class A and Class B Shares from 05/01/2006. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

The performance data quoted represents past performance and does not guarantee future results. Legacy Class A shares performance on the line graph reflects a maximum sales charge of 3% at initial investment. Class A, Class B, Institutional, Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Legacy Class A and Legacy Class B shares because of differing loads and expenses between the share classes. Returns in the table above reflect maximum sales charges of: 3% for all Class A and Legacy Class A shares and for Class B and Legacy Class B shares at one year; 2% for Class B and Legacy Class B shares at five years; and 1% for Class B shares Life of Class performance. Legacy Class B shares performance at ten years does not reflect conversion to Legacy Class A shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Barclays Capital 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. Unlike an investment in the Bond Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

On an absolute return basis, the Fund’s allocation to U.S. Treasuries combined with positive low-double digit total returns from the U.S. Treasuries in the Fund helped performance during the year. As of December 31, 2011, the Fund had 34.15% of total net assets invested in U.S. Treasuries versus the Index, which had 35.15% in U.S. Treasuries. In addition, the Fund’s allocation to corporate bonds combined with high-single digit returns from corporate bonds in the Fund contributed to the Fund’s positive performance. As of December 31, 2011, the Fund had 40.21% of total net assets invested in corporate bonds versus the Index, which had 19.94% in corporate bonds.

As an asset class, U.S. Treasuries in the Fund outperformed corporate bonds in the Fund, while corporate bonds in the Fund outperformed mortgage-backed securities in the Fund. Therefore, from a relative return basis to the Index, the Fund’s higher weighting to corporate bonds relative to the Index and underweight position in mortgage-backed securities relative to the Index helped relative performance versus the Index for the 1-year reporting period. As of December 31, 2011, the Fund had 18.66% of total net assets invested in mortgage-backed securities versus the Index, which had 34.07% in mortgage-backed securities. In addition, outperformance of U.S. Treasuries in the Fund relative to U.S. Treasuries within the Index helped the relative performance of the Fund versus the Index for the 1-year reporting period.

The option-adjusted duration of the Fund stood at approximately 4.70 years at the end of 2011, down from 4.83 years at the beginning of the year. Duration is a statistical calculation that measures a bond’s (or in this case, a bond fund’s) price sensitivity relative to general movements in interest rates. Option-adjusted duration attempts to incorporate prepayment possibilities into the duration statistic. As interest rates decline, prepayments typically increase as borrowers seek to refinance their bonds at lower rates.

Financial highlights for this Fund can be found on pages 196-197.

State Farm Tax Advantaged Bond Fund Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Tax Advantaged Bond Fund (the “Fund”) seeks as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. In managing the Fund, we focus on high credit quality bonds with an investment philosophy that seeks to provide competitive total returns, while managing for federal income tax efficiency within the municipal bond asset class over the long run.

The municipal bond market, while relatively small in total assets compared to the taxable bond market, is very broad by number of issuers. As a result, we believe that fundamental research and professional management is critical to success in this asset class. While we diversify the maturity spectrum of the bonds within the portfolio, we tend to favor the intermediate maturity range (currently maturities of 10-17 years) for the bulk of the Fund’s assets. The Fund also seeks to remain invested mainly in assets of high credit quality in an attempt to reduce the risk of loss to investment principal as a result of credit losses.

While we are conscious of how the Fund’s portfolio differs from its broad-based benchmark, the Barclays Capital Municipal Bond Index, we do not make decisions based upon the index.

Describe the relevant market environment as it related to the Fund for the reporting period.

Throughout the 1-year period ended December 31, 2011, fixed-income markets were impacted by factors including higher corporate earnings, rising dividends and generally modest increases in Gross Domestic Product (GDP). Interest rates were affected by ongoing concerns over the European debt crisis, which helped to lift the demand for U.S. Treasuries. In addition, the Federal Reserve maintained an accommodative monetary policy by leaving the Fed Funds Rate unchanged in a target range of 0% to 0.25%, where it remained for the entire 12-month period ended December 31, 2011.

As illustrated in Table 1 below, the municipal bond yield curve flattened as intermediate- and longer-maturity yields declined more than short-maturity yields over the 1-year period ended December 31, 2011.

Table 1: Municipal Market Data (MMD) Yields (%) – AAA-Rated General Obligation Municipal Bonds¹


Date	1-Year		5-Year		10-Year		20-Year
January 1, 2011		0.37%		1.63%		3.16%		4.39%
December 31, 2011		0.25%		0.85%		1.83%		3.18%

Increase/(Decrease) in Yield		-0.12%		-0.78%		-1.33%		-1.21%

The Municipal Market Data AAA yield curve is indicative of AAA tax-exempt offered-side, institutional yield levels and may vary from actual yields attained. Source: ^© 2012 Thomson Reuters. Information provided by Thomson Reuters is not intended for trading purposes, nor do they provide any form of advice (investment, tax, legal) amounting to investment advice, or make any recommendations regarding particular financial instruments, investments or products. Neither Thomson Reuters nor its third party content providers shall be liable for any errors, inaccuracies, or for any actions taken in reliance thereon. THOMSON REUTERS EXPRESSLY DISCLAIMS ALL WARRANTIES, EXPRESSED OR IMPLIED, AS TO THE ACCURACY OF THE INFORMATION, OR AS TO THE FITNESS OF THE INFORMATION FOR ANY PURPOSE.

As illustrated in Table 2 below, annual total returns (as of December 31, 2011) on various components of the Barclays Capital Municipal Bond Index were positive all along the maturity yield curve, with higher returns produced at the longer-end of the curve. The Barclays Capital Municipal Bond Index had a total return of 10.70% for the 1-year period ended December 31, 2011.

Table 2: Barclays Capital Municipal Bond Index – Component Returns by Maturity²


Maturity		Annual Total Return (as of December 31, 2011)
1-Year Municipal Bonds		1.58%
3-Year Municipal Bonds		3.46%
5-Year Municipal Bonds		6.93%
7-Year Municipal Bonds		10.14%
10-Year Municipal Bonds		12.32%
15-Year Municipal Bonds		12.65%
20-Year Municipal Bonds		13.98%
Long-Bond (22+ Year) Municipal Bonds		14.88%

Source: Barclays Capital Live^®. Past performance does not guarantee future results. The data illustrated provides component annual total returns by municipal bond maturities of the Barclays Capital Municipal Bond Index.

From a total return standpoint, the lower end of investment-grade quality municipal bonds (A and Baa rated bonds) outperformed relative to higher investment-grade quality municipal bonds (Aaa and Aa rated bonds) within the Barclays Capital Municipal Bond Index over the reporting period as illustrated by those credit quality component returns in Table 3 below:

Table 3: Barclays Capital Municipal Bond Index - Annual Total Returns by Credit Quality Ratings³


Credit Quality		Annual Total Return (as of December 31, 2011)
Aaa Rated Bonds		8.75%
Aa Rated Bonds		10.28%
A Rated Bonds		12.53%
Baa Rated Bonds		11.84%

Source: Barclays Capital Live^®. Past performance does not guarantee future results. The data illustrated provides annual total returns by credit quality ratings of the Barclays Capital Municipal Bond Index.

As of December 31, 2011, the 3.18% yield on 20-year Aaa-rated municipal bonds exceeded the 2.57% yield offered on comparable 20-year taxable U.S. Treasuries by 61 basis points, which is an abnormal yield spread relationship. Typically, long-term municipal bonds offer approximately 75% to 90% of the yields available on comparable U.S. Treasuries because of the federal income tax benefits associated with municipal bonds. This yield comparison has been typically used as a general gauge within the industry to determine the relative attractiveness of municipal securities.

Provide an illustration of the Fund’s investments.

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How did the Fund perform during the reporting period?

Legacy Class A shares for the State Farm Tax Advantaged Bond Fund had a total return of 10.70% (without sales charges) for the 12-month period ended December 31, 2011. This is compared to a 10.70% return for the Barclays Capital Municipal Bond Index over the same timeframe. The line graph and table below provide additional perspective on the Fund’s long term results.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	10 YEAR or Life of Class (if shorter)*
Class A	7.34%	4.91%	5.01%*
Class B	7.35%	3.44%	5.02%*
Legacy Class A	7.35%	4.91%	5.09%
Legacy Class B	7.26%	4.81%	5.00%
* Class A and Class B shares from 05/01/2006.

The performance data quoted represents past performance and does not guarantee future results. Legacy Class A shares performance on the line graph reflects a maximum sales charge of 3% at initial investment. Class A and Class B shares performance may be greater than or less than the lines shown for Legacy Class A and Legacy Class B shares because of differing loads and expenses between the share classes. Returns in the table above reflect maximum sales charges of: 3% for all Class A and Legacy Class A shares and for Class B and Legacy Class B shares at one year; 2% for Class B and Legacy Class B shares at five years; and 1% for Class B shares Life of Class performance. Legacy Class B shares performance at ten years does not reflect conversion to Legacy Class A shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Barclays Capital 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 remaining maturity of at least one year. Unlike an investment in the Tax Advantaged Bond Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index.

Performance Analysis

What factors helped and hindered performance during the reporting period?

The Fund provided a positive total return over the 1-year period. However, as illustrated in Table 2 above, longer-maturity bonds outperformed intermediate maturities which in turn outperformed short maturities over the 1-year period. Consistent with the Fund’s intermediate-maturity orientation, only 0.66% of total investments were in bonds having maturities over 22 years as compared to 20.59% for the Barclays Capital Municipal Bond Index, the Fund’s benchmark, as of December 31, 2011. However, relative to the benchmark, the Fund had a higher concentration in bonds having maturities between 12-22 years which outperformed relative to shorter-maturity bonds during the year. Table 4 below provides a comparison of the maturity allocation of the Tax Advantaged Bond Fund relative to the Barclays Capital Municipal Bond Index as of December 31, 2011.

Table 4: Maturity Comparison: State Farm Tax Advantaged Bond Fund versus the Barclays Capital Municipal Bond Index (as of December 31, 2011)


Maturity Range	State Farm Tax Advantaged Bond Fund Allocation	Barclays Capital Municipal Bond Index Allocation
0-6 Years	5.60%	25.51%
6-12 Years	25.64%	24.51%
12-22 Years	68.11%	29.39%
22+ Years	0.66%	20.59%

We seek to maintain the risk profile of the Fund with respect to volatility (duration), interest rate risk and capital (credit risk). Throughout the reporting period, the Fund’s modified duration decreased from 6.35 years as of January 1, 2011 to 5.30 years as of December 31, 2011. Modified duration is a statistical calculation that measures a bond’s (or in this case, a bond fund’s) price sensitivity relative to general movements in interest rates.

The Fund maintained a high quality credit orientation consistent with the Fund’s historical investment philosophy throughout the reporting period ended December 31, 2011. Table 5 below provides an illustration of the Fund’s credit quality orientation compared to the Index as of December 31, 2011. Over the reporting period, the lower end of investment-grade quality municipal bonds (A and Baa rated bonds) outperformed relative to higher investment-grade quality municipal bonds (Aaa and Aa rated bonds) as previously illustrated in Table 3 above.

Table 5: Credit Ratings Comparison (as of December 31, 2011)⁴


Credit Ratings	State Farm Tax Advantaged Bond Fund Allocation	Barclays Capital Municipal Bond Index Allocation
Aaa/AAA	14.58%	8.55%
Aa/AA	69.93%	50.88%
A	13.58%	30.23%
Baa/BBB or Lower	0.00%	9.66%
NR (Not Rated)	1.91%	0.68%

Total Long-Term Investments/Securities	100.00%	100.00%

⁴

Illustrated by Credit Quality and based on total long-term investments for the Fund and total securities for the Index as of December 31, 2011. Reflects the lower of Moody’s, Standard and Poor’s or Fitch issuer specific ratings. The issuer specific ratings do not reflect any bond insurer ratings.

The difference in maturity structure between the Fund and benchmark along with the Fund’s higher credit quality orientation than the benchmark both played a role in the Fund’s relative performance versus the benchmark during the reporting period. As highlighted earlier, the objective of the Fund is to seek as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. The Fund has been invested with a bias towards high-credit quality, intermediate maturity bonds. Adopting additional risk by increasing duration significantly and/or increasing the weighting in lower-credit quality bonds would not have been consistent with the Fund’s historical investment philosophy.

The number of individual bonds held in the portfolio increased over the reporting period from 206 to 224 bonds. Turnover for the reporting period was 9.91%. Investments within the State of Florida represented the largest single allocation in any state representing 5.71% of total net assets, which is up slightly from 5.63% from the beginning of the reporting period. The largest additions to the portfolio included net acquisitions of bonds in West Virginia and Arizona. Bonds secured by a general obligation pledge accounted for approximately 63% of all new acquisitions with revenue bond purchases representing 37% of the total. The average ratings quality of new bond purchases was Aa2. The largest net reduction of holdings occurred through sales and maturities of bonds in Minnesota and New Mexico.

Financial highlights for this Fund can be found on pages 198-199.

State Farm Money Market Fund Management’s Discussion (unaudited)

Overview

Describe the Fund’s investment objective and philosophy.

The State Farm Money Market Fund (the “Fund”) seeks to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity. The Fund pursues this objective by investing in high quality commercial paper and other short-term debt securities. It is managed by State Farm Investment Management Corp. (SFIMC). An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Provide an illustration of the Fund’s investments.

LOGO

Financial highlights for this Fund can be found on pages 200-201.

State Farm LifePath^® Funds Management’s Discussion of Fund Performance (unaudited)

Overview

Describe the State Farm LifePath Funds investment objective and philosophy.

The State Farm LifePath Funds are organized as “feeder funds” in a “master-feeder” structure. Instead of investing directly in individual securities, the feeder fund, which is offered to the public, invests all its assets in a corresponding LifePath Master Portfolio. References to “the LifePath Funds” are to the feeder funds or the LifePath Master Portfolios, as the context requires, unless otherwise stated. The LifePath Funds, through their investment in the LifePath Master Portfolios, allocate their assets among broad types of asset classes by investing in a combination of stock, bond, and money market funds (the “Underlying Funds”) seeking to produce competitive returns consistent with a Fund’s investment objective. BlackRock Fund Advisors (“BlackRock”) is the investment adviser for the LifePath Master Portfolios and Underlying Funds.

Each LifePath Fund seeks a combination of income and growth of capital consistent with the quantitatively measured risk that investors on average may be willing to accept given their investment time horizon. A LifePath Fund’s time horizon marks the point when the investors plan to start making net withdrawals. Each LifePath Fund has its own time horizon, which affects the acceptable risk level of the LifePath Fund and, in turn, its asset allocation.

With the exception of the LifePath 2050 Master Portfolio not containing an allocation to the iShares Barclays TIPS Bond Fund during 2011, each LifePath Master Portfolio invested in the same Underlying Funds but in differing proportions, depending upon the time horizon and acceptable risk level of the LifePath Master Portfolio.

Several changes were made to Underlying Funds within the LifePath Master Portfolios during 2011 as discussed below.

In July 2011, BlackRock restructured the holdings of the Active Stock Master Portfolio Underlying Fund within the LifePath Master Portfolios by adding four BlackRock fundamental U.S. large cap equity strategies within the portfolio. Effective with these changes, the Active Stock Master Portfolio uses an asset allocation strategy, investing varying percentages of its portfolio primarily in five major categories of equity securities: equity securities of large cap U.S. companies that BlackRock believes have good prospects for earnings growth, equity securities of mid to large cap U.S. companies that BlackRock believes have shown above-average growth rates in earnings over the long-term, equity securities of large cap U.S. companies that BlackRock believes have good prospects for capital appreciation and current income, equity securities of large cap U.S. companies that BlackRock believes are undervalued, and equity securities of U.S. companies with market capitalizations similar to the range of market capitalizations represented in the Russell 1000^® Index¹ that BlackRock selects using a proprietary quantitative model. With these changes to the Active Stock Master Portfolio, the large cap U.S. exposure previously benchmarked against the S&P 500 Index is now benchmarked against the Russell 1000 Index weighting within the LifePath Master Portfolios’ custom benchmark effective July 31, 2011.

Also, in late-July 2011, the iShares S&P MidCap 400 Index and iShares S&P SmallCap 600 Index Underlying Funds within the LifePath Master Portfolios were replaced with the Master Small Cap Index Series as an Underlying Fund. Along with these changes, the mid- and small-cap U.S. equity exposures previously benchmarked against the S&P MidCap 400 Index and S&P SmallCap 600 Index, respectively, are now benchmarked against the Russell 2000 Index weighting within the LifePath Master Portfolios’ custom benchmark effective July 31, 2011.

Lastly, in late-September 2011, the international equity exposure in the LifePath Master Portfolios was expanded with the addition of the ACWI ex-U.S. Index Master Portfolio Underlying Fund. The addition of the ACWI ex-U.S. Index Master Portfolio Underlying Fund did not result in a change to the international equity exposure being benchmarked against the MSCI ACWI ex-U.S. Investable Market Index (IMI) weighting within the LifePath Master Portfolios’ custom benchmark.

Describe the relevant market environment as it related to the State Farm LifePath Funds for the reporting period.

iShares, LifePath, and LifePath followed by 2020, 2030, 2040 and 2050 are all registered trademarks of BlackRock Institutional Trust Company, N.A. All other trademarks, service marks or registered trademarks are the property of their respective owners.

¹	The Russell 1000^® Index is an unmanaged market capitalization-weighted index consisting of approximately the largest 1,000 U.S. domiciled companies. The Russell 1000 represents approximately 92% of the U.S. equities market.

During the year, equity markets were especially volatile due in part to ongoing sovereign debt issues in several European countries, including Greece, Spain, and Italy. Additionally, the equity markets were negatively impacted by the political unrest in the Middle East, the disasters in Japan, and concerns about federal budget issues here in the United States.

The 12-month total return for the S&P 500 Index was 2.11% for the period ended December 31, 2011. The total return for the period reflected an increase in corporate earnings per share for the S&P 500 Index companies of approximately 16%, a contraction of the price/earnings valuation of the S&P 500 Index of approximately –14%, and a dividend return of approximately 2.1%. Within the S&P 500 Index, the Information Technology sector held the largest weighting of 19.02% and produced a price return of 1% for the reporting period. Seven of the Index’s sectors posted gains for the year while three of the Index’s sectors posted losses for the year. The Utilities sector was both the eighth-largest weighting at 3.87% and produced the highest price return of 15%. The Financials sector was the second-largest weighting at 13.43% and produced the lowest price return of –18%.

Mid-cap stocks (as represented by the Russell Midcap Index) and small cap stocks (as represented by the Russell 2000 Index) posted total returns of –1.55% and –4.18%, respectively, for the year ended December 31, 2011. Mid- and small-cap stocks underperformed large cap stocks in 2011.

As noted above, international equity markets as represented by the MSCI ACWI ex-U.S. IMI Index, were volatile amid concerns over the fiscal health of a host of European countries and produced a return of –14.31% for the year, underperforming U.S. markets. Due in part to concerns of the sovereign debt crisis in Europe, the U.S. dollar gained against the euro and British pound during the period. For the period January 2011 through December 2011, the U.S. dollar increased by approximately 3% to $1.30/euro. Versus the British pound, the U.S. dollar increased by less than 1% during the period to $1.55/£.

Stock market performance in emerging market countries was even weaker during the period with the MSCI Emerging Markets Index posting a total return of –18.42% in U.S. dollar terms.

Within the real estate market, the Cohen & Steers Realty Majors Index² gained 10.39% despite continued trouble in the U.S. housing market and lingering concerns about the commercial mortgage market. Consistent with the international equity markets, foreign real estate investments produced double-digit losses as the FTSE EPRA/ NAREIT Developed Real Estate ex-U.S. Index³ declined and returned –15.64% for the one-year period ending December 31, 2011.

Within the Treasury bond market, U.S. Treasuries gained ground during the 12-month period ended December 31, 2011 with yields declining across all maturities. Given the uncertainty surrounding the financial markets in Europe during the year, the demand for U.S. Treasuries increased, which generally contributed to rising prices and falling yields on U.S. Treasuries. The yield on 10-year U.S. Treasuries declined from 3.30% on January 1, 2011, to 1.89% on December 31, 2011. Short-term yields remained low, with 3-month U.S. Treasury yields declining from 0.12% on January 1, 2011 to 0.02% on December 31, 2011⁴. Longer-maturity U.S. Treasuries outperformed relative to both short- and intermediate-maturity Treasuries and the inflation-protected U.S. Treasury TIPS market also produced positive total returns. With economic growth in the U.S. modestly improving over the course of the year and lingering concerns about inflation being ignited due to all the liquidity and stimulus in the markets, the Barclays Capital U.S. TIPS Index gained 13.56% for the year ending December 31, 2011. Cash, as represented by the Citigroup 3-Month Treasury Bill Index⁵, returned 0.08% for the reporting period, highlighting the continued low interest rate environment.

From a credit quality standpoint, lower credit quality bonds in the Barclays Capital U.S. Aggregate Bond Index generally outperformed relative to higher credit quality bonds in the Index during the year. However, high-yield bonds underperformed investment grade bonds as represented by the 4.98% return for the Barclays Capital High-Yield Bond Index⁶ versus the 7.84% return of the Barclays Capital U.S. Aggregate Bond Index for the year ended December 31, 2011.

²	The Cohen & Steers Realty Majors Portfolio Index is a modified capitalization weighted total return index of selected United States Equity Real Estate Investment Trusts (REITs).

The FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index is designed to measure the stock performance of companies engaged in specific real estate activities of the real estate markets outside of the United States. Relevant real estate activities are defined as the ownership, trading and development of income producing real estate.

⁴	Source: Barclays Capital Live^®

⁵	The Citigroup 3-Month T-Bill Index is an unmanaged index of three-month Treasury bills.

⁶	The Barclays Capital High-Yield Bond Index covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.

What factors helped and hindered performance of the LifePath Funds during the reporting period?

The LifePath Funds are invested in a combination of the Underlying Funds for which BlackRock is the investment adviser. With the exception of the LifePath 2050 Fund not containing an allocation to the iShares Barclays TIPS Bond Fund during 2011, each LifePath Fund invested in the same Underlying Funds but in differing proportions, depending upon the acceptable risk level of the LifePath Fund.

The LifePath Funds with longer time horizons, such as the LifePath 2050 Fund, invested a greater share of their assets in equity-oriented Underlying Funds, such as the iShares MSCI EAFE Index Fund and the Active Stock Master Portfolio. The more conservative LifePath Funds, such as the LifePath Retirement Fund, allocated more of their assets to fixed income-oriented investments, such as the CoreAlpha Bond Master Portfolio and the iShares Barclays TIPS Bond Fund. Ultimately the performance of any given LifePath Fund is a reflection of its asset allocation.

During 2011, each LifePath Fund (with the exception of the LifePath 2050 Fund as noted previously) invested a portion of their assets in four different Master Portfolios: the Active Stock Master Portfolio, the Master Small Cap Index Series, the ACWI ex-U.S. Index Master Portfolio and the CoreAlpha Bond Master portfolio and nine different exchange-traded funds (iShares) managed by BlackRock: the iShares S&P MidCap 400 Index, the iShares S&P SmallCap 600 Index, the iShares MSCI EAFE Index Fund, the iShares EAFE Small Cap Index Fund, the iShares MSCI Emerging Markets Index Fund, the iShares MSCI Canada Index Fund, the iShares Cohen & Steers Realty Majors Index Fund, the iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund, and the iShares Barclays TIPS Bond Fund.

As mentioned previously, the iShares S&P MidCap 400 Index and iShares S&P SmallCap 600 Index Underlying Funds within the LifePath Master Portfolios were replaced with the Master Small Cap Index Series as an Underlying Fund effective July 31, 2011. In addition, the ACWI ex-U.S. Index Master Portfolio was added as an Underlying Fund to the LifePath Master Portfolios effective September 30, 2011.

The returns of the Underlying Funds for the period of time they were included in the LifePath Master Portfolios contributed to the overall returns of the LifePath Funds as shown below:


Underlying Funds	1-Year Return
Active Stock Master Portfolio		2.20%
CoreAlpha Bond Master Portfolio		8.38%
iShares MSCI EAFE Index Fund		-12.18%
iShares MSCI EAFE Small Cap Index Fund		-14.91%
iShares MSCI Emerging Markets Index Fund		-18.87%
iShares MSCI Canada Index Fund		-12.91%
iShares Cohen & Steers Realty Majors Index Fund		10.18%
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		-15.98%
iShares Barclays TIPS Bond Fund		13.40%


	7-Month Return (Jan. 1, 2011-July 31, 2011)
iShares S&P MidCap 400 Index Fund		-4.28%
iShares S&P SmallCap 600 Index Fund		-3.39%

New Underlying Funds	5-Month Return (Aug. 1, 2011-Dec. 31, 2011)
Master Small Cap Index Series		8.22%

	3-Month Return (Oct. 1, 2011-Dec. 31, 2011)
ACWI ex-U.S. Index Master Portfolio		3.57%

The LifePath Funds invested a significant amount of their assets in the Active Stock and CoreAlpha Bond Master Portfolios. Both of these Master Portfolios seek to outperform their respective benchmark indices while maintaining similar risk profiles as those benchmarks.

The Active Stock Master Portfolio outperformed its benchmark, the Russell 1000 Index, by 0.70% (2.20% vs. 1.50%, respectively) for the reporting period. At the end of 2011, the Active Stock Master Portfolio invested in 442 stocks of which 94% were from its benchmark Russell 1000 Index. BlackRock increased the number of holdings from 242 at the start of the year (which in turn

decreased the average individual security weightings). Overall, the Active Stock Master Portfolio generally maintained sector weights and a risk profile that was similar to its benchmark during the year.

The CoreAlpha Bond Master Portfolio outperformed the return for its respective benchmark, the Barclays Capital U.S. Aggregate Bond Index during 2011 by 0.54% (8.38% vs. 7.84%, respectively). As of December 31, 2011, there were 247 issuers and 667 securities comprising the CoreAlpha Bond Master Portfolio. Being overweight in exposure to U.S. Treasuries relative to the U.S. Aggregate Bond Index was beneficial. During 2011, lower credit quality bonds in the Barclays Capital U.S. Aggregate Bond Index generally outperformed relative to higher credit quality bonds in the Index during the year. However, high-yield bonds underperformed investment grade bonds as represented by the 4.98% return for the Barclays Capital High-Yield Bond Index versus the 7.84% return of the Barclays Capital U.S. Aggregate Bond Index for the year ended December 31, 2011.

State Farm LifePath^® Retirement Fund

Provide an illustration of the Fund’s investments.

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How did the State Farm LifePath^® Retirement Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm LifePath Retirement Fund had a total return without sales charges of 3.50%. The total returns for comparative indices of the LifePath Funds during the same time period were as follows: S&P 500 Index 2.11% and the Barclays Capital U.S. Aggregate Bond Index 7.84%.

Because of the multi-asset structure of the LifePath Retirement Fund, a blended benchmark is also used for comparison purposes in the line graphs below. The blended benchmark is comprised of the indices shown below with weightings adjusted at the beginning of each quarter to approximately correspond with the LifePath Retirement Fund’s investments for the upcoming quarter. As of December 31, 2011, the total return of the LifePath Retirement Fund’s blended benchmark was 4.11% for the 1-year period and had the following composition:


Index		LifePath Retirement Fund’s Blended Benchmark Weighting
Barclays Capital U.S. Aggregate Bond Index		52.94%
Russell 1000 Index		21.58%
MSCI ACWI ex-U.S. IMI Index⁷		11.63%
Barclays Capital U.S. TIPS Index⁸		9.06%
Russell 2000 Index		4.31%
FTSE EPRA/NAREIT Developed Real Estate Index⁹		0.48%

7	The MSCI^® ACWI ex-US IMI Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets.

8	The Barclays Capital U.S. TIPS Index is an unmanaged index composed of inflation protected securities issued by the U.S. Treasury.

The FTSE EPRA/NAREIT Developed Real Estate Index is designed to measure the stock performance of companies engaged in specific real estate activities of the North America, European, and Asian real estate markets. Relevant real estate activities are defined as the ownership, trading and development of income producing real estate.

The line graphs and tables below provide additional perspective for the State Farm LifePath Retirement Fund’s long term results.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-1.70%	2.09%	2.92%
Class B	-2.15%	2.08%	2.98%
* From 05/01/2006.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

On December 31, 2011, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 52.94% Barclays Capital U.S. Aggregate Bond Index, 21.58% Russell 1000 Index, 4.31% Russell 2000 Index, 11.63% MSCI ACWI ex-U.S. IMI Index, 0.48% FTSE EPRA/NAREIT Developed Real Estate Index, and 9.06% Barclays Capital U.S. TIPS Index. Unlike an investment in the LifePath Retirement Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

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Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Legacy Class A	0.42%	2.54%	4.48%
Legacy Class B	0.06%	2.39%	4.43%
Institutional	3.78%	3.41%	5.16%
Class R-1	3.16%	2.81%	4.08%
Class R-2	3.38%	3.04%	4.30%
Class R-3	3.71%	3.32%	4.60%
* Legacy Class A, Legacy Class B and Institutional shares from 05/09/2003. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

The performance data quoted represents past performance and does not guarantee future results. Legacy Class A shares performance on the line graph reflects a maximum sales charge of 3% at initial investment. Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Legacy Class A, Legacy Class B and Institutional shares because of differing loads and expenses between the share classes. Returns in the table above reflect maximum sales charges of: 3% for all Legacy Class A shares and for Legacy Class B shares at one year; and 2% for Legacy Class B shares at five years. Legacy Class B shares Life of Class performance does not reflect conversion to Legacy Class A shares. Ending net asset values on 5/9/2003 are used to calculate values used on the line graph and Life of Class returns in the table for Legacy Class A, Legacy Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. See the preceding page for the performance of Class A and Class B shares.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

Performance Analysis

What factors helped and hindered performance of the LifePath Retirement Fund during the reporting period?

The main driver to performance for the LifePath Retirement Fund was its allocation to the CoreAlpha Bond Master Portfolio – which made up the majority of the bond allocation of the LifePath Retirement Fund’s total net assets in 2011. At the end of December 2011, this weighting stood at 52.33% which was up slightly from 51.57% at the beginning of the year. The CoreAlpha Bond Master Portfolio outperformed the return for its respective benchmark, the Barclays Capital U.S. Aggregate Bond Index by 0.54% (8.38% vs. 7.84% respectively). Throughout 2011, BlackRock assessed the risk/reward characteristics of the fixed income market and believed that less exposure to credit and more exposure to U.S. Treasuries would be beneficial to performance and still be within the risk tolerance of the CoreAlpha Bond Master Portfolio.

As of December 31, 2011, there were 247 issuers and 667 securities comprising the CoreAlpha Bond Master Portfolio. Being overweight in exposure to U.S. Treasuries relative to the U.S. Aggregate Bond Index was beneficial. During 2011, lower credit quality bonds in the Barclays Capital U.S. Aggregate Bond Index generally outperformed relative to higher credit quality bonds in the Index during the year. However, high-yield bonds underperformed investment grade bonds as represented by the 4.98% return for the Barclays Capital High-Yield Bond Index versus the 7.84% return of the Barclays Capital U.S. Aggregate Bond Index for the year ended December 31, 2011.

The LifePath Retirement Fund also included an allocation to the iShares Barclays TIPS Bond Fund during 2011. This allocation increased slightly from 8.60% of the LifePath Retirement Fund’s total net assets at the beginning of the year to 8.91% of total net assets by December 31, 2011. It’s important to note the LifePath Retirement Fund maintained an exposure to equity investments of approximately 38% of total net assets. The largest equity allocation was to the Active Stock Master Portfolio at 21.50% of the LifePath Retirement Fund’s total net assets. For the year, the Active Stock Master Portfolio outperformed its benchmark, the Russell 1000 Index, by 0.70% (2.20% vs. 1.50%, respectively). Overall, the Active Stock Master Portfolio generally maintained sector weights and a risk profile that was similar to its benchmark during the year.

Exposure to small-cap U.S. equity securities through investment in the Master Small Cap Index Series within the LifePath Retirement Fund at the end of December 2011 was 4.29% of total net assets. Small-cap stocks underperformed large- and mid-cap stocks for the reporting period.

The LifePath Retirement Fund’s exposure to foreign equity securities was 11.76% of total net assets as of December 31, 2011, comprised of the ACWI ex-U.S. Index Master Portfolio and five underlying iShares Funds: iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index, iShares MSCI EAFE Index, iShares MSCI Emerging Markets Index, iShares MSCI Canada Index, and the iShares MSCI EAFE Small Cap Index Funds. International equity markets mostly underperformed U.S. equity markets during the reporting period.

Over the course of the year, the asset allocation adjustments within the LifePath Retirement Fund resulted in an approximate 1.1% and 0.5% increase to bond and international equity securities, respectively. Reductions of approximately 1.3% and 0.3% were made to the domestic equity and real estate allocations, respectively.

Financial highlights for this Fund can be found on pages 202-203.

State Farm LifePath 2020^® Fund

Provide an illustration of the Fund’s investments.

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How did the State Farm LifePath 2020^® Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm LifePath 2020 Fund had a total return without sales charges of 1.09%. The total returns for comparative indices of the LifePath Funds during the same time period were as follows: S&P 500 Index 2.11% and the Barclays Capital U.S. Aggregate Bond Index 7.84%.

Because of the multi-asset structure of the LifePath 2020 Fund, a blended benchmark is also used for comparison purposes in the line graphs below. The blended benchmark is comprised of the indices shown below with weightings adjusted at the beginning of each quarter to approximately correspond with the LifePath 2020 Fund’s investments during the upcoming quarter. As of December 31, 2011, the total return of the LifePath 2020 Fund’s blended benchmark was 1.64% for the 1-year period and had the following composition:


Index		LifePath 2020 Fund’s Blended Benchmark Weighting
Barclays Capital U.S. Aggregate Bond Index		37.53%
Russell 1000 Index		32.72%
MSCI ACWI ex-U.S. IMI Index		16.56%
Barclays Capital U.S. TIPS Index		6.08%
Russell 2000 Index		3.70%
FTSE EPRA/NAREIT Developed Real Estate Index		3.41%

The line graphs and tables below provide additional perspective for the State Farm LifePath 2020 Fund’s long term results.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-3.96%	-0.19%	1.12%
Class B	-4.58%	-0.24%	1.17%
* From 05/01/2006.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

On December 31, 2011, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 37.53% Barclays Capital U.S. Aggregate Bond Index, 32.72% Russell 1000 Index, 3.70% Russell 2000 Index, 16.56% MSCI ACWI ex-U.S. IMI Index, 3.41% FTSE EPRA/NAREIT Developed Real Estate Index, and 6.08% Barclays Capital U.S. TIPS Index. Unlike an investment in the LifePath 2020 Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Legacy Class A	-1.98%	0.23%	4.86%
Legacy Class B	-2.29%	0.06%	4.84%
Institutional	1.34%	1.07%	5.56%
Class R-1	0.77%	0.53%	3.74%
Class R-2	0.99%	0.73%	3.92%
Class R-3	1.29%	1.03%	4.17%
* Legacy Class A, Legacy Class B and Institutional shares from 05/09/2003. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

The performance data quoted represents past performance and does not guarantee future results. Legacy Class A shares performance on the line graph reflects a maximum sales charge of 3% at initial investment. Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Legacy Class A, Legacy Class B and Institutional shares because of differing loads and expenses between the share classes. Returns in the table above reflect maximum sales charges of: 3% for all Legacy Class A shares and for Legacy Class B shares at one year; and 2% for Legacy Class B shares at five years. Legacy Class B shares Life of Class performance does not reflect conversion to Legacy Class A shares. Ending net asset values on 5/9/2003 are used to calculate values used on the line graph and Life of Class returns in the table for Legacy Class A, Legacy Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. See the preceding page for the performance of Class A and Class B shares.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

Performance Analysis

What factors helped and hindered performance of the LifePath 2020 Fund during the reporting period?

The main driver to performance for the LifePath 2020 Fund was its allocation to the Active Stock Master Portfolio – which made up over half of the LifePath 2020 Fund’s equity exposure. At the end of December 2011, this weighting stood at 31.74% of the LifePath 2020 Fund’s total net assets which is higher than the 30.90% weighting at the beginning of the year. As highlighted earlier, the Active Stock Master Portfolio is benchmarked to the Russell 1000 Index. At the end of 2011, the Active Stock Master Portfolio invested in 442 stocks of which 94% were from its benchmark Russell 1000 Index. BlackRock increased the number of holdings from 242 at the start of the year (which in turn decreased the average individual security weightings). For the year, the Active Stock Master Portfolio outperformed its benchmark by 0.70% (2.20% vs. 1.50%, respectively). Overall, the Active Stock Master Portfolio generally maintained sector weights and a risk profile that was similar to its benchmark during the year.

The LifePath 2020 Fund’s exposure to small-cap U.S. equity securities via investment in the Master Small Cap Index Series at the end of December 2011 was 3.66% of total net assets. Small-cap stocks underperformed large- and mid-cap stocks for the reporting period.

The LifePath 2020 Fund’s exposure to foreign equity securities was 17.86% of total net assets as of December 31, 2011, comprised of the ACWI ex-U.S. Index Master Portfolio and five underlying iShares Funds: iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index, iShares MSCI EAFE Index, iShares MSCI Emerging Markets Index, iShares MSCI Canada Index, and the iShares MSCI EAFE Small Cap Index Funds. International equity markets mostly underperformed U.S. equity markets during the reporting period.

From a fixed-income perspective, the LifePath 2020 Fund held 37.21% of its total net assets in the CoreAlpha Bond Master Portfolio which is up from 34.95% at the beginning of the year. As highlighted earlier, the CoreAlpha Bond Master Portfolio outperformed the return for its respective benchmark, the Barclays Capital U.S. Aggregate Bond Index during 2011 by 0.54% (8.38% vs. 7.84% respectively). Throughout 2011, BlackRock assessed the risk/reward characteristics of the fixed income market and believed that less exposure to credit and more exposure to U.S. Treasuries would be beneficial to performance and still be within the risk tolerance of the CoreAlpha Bond Master Portfolio.

Over the course of the year, the asset allocation adjustments within the LifePath 2020 Fund resulted in an approximate 2.6% and 0.2% decrease to domestic equity and international equity securities, respectively. The LifePath 2020 Fund’s exposure to the CoreAlpha Bond Master Portfolio and iShares Barclays TIPS Bond Fund increased by roughly 2.3% and 0.8%, respectively, while the exposure to real estate decreased approximately 0.5%.

Financial highlights for this Fund can be found on pages 204-205.

State Farm LifePath 2030^® Fund

Provide an illustration of the Fund’s investments.

How did the State Farm LifePath 2030^® Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm LifePath 2030 Fund had a total return without sales charges of –1.00%. The total returns for comparative indices of the LifePath Funds during the same time period were as follows: S&P 500 Index 2.11% and the Barclays Capital U.S. Aggregate Bond Index 7.84%.

Because of the multi-asset structure of the LifePath 2030 Fund, a blended benchmark is also used for comparison purposes in the line graphs below. The blended benchmark is comprised of the indices shown below with weightings adjusted at the beginning of each quarter to approximately correspond with the LifePath 2030 Fund’s investments during the upcoming quarter. As of December 31, 2011, the total return of the LifePath 2030 Fund’s blended benchmark was –0.49% for the 1-year period and had the following composition:


Index		LifePath 2030 Fund’s Blended Benchmark Weighting
Russell 1000 Index		42.39%
Barclays Capital U.S. Aggregate Bond Index		24.12%
MSCI ACWI ex-U.S. IMI Index		20.83%
FTSE EPRA/NAREIT Developed Real Estate Index		5.96%
Barclays Capital U.S. TIPS Index		3.53%
Russell 2000 Index		3.17%

The line graphs and tables below provide additional perspective for the State Farm LifePath 2030 Fund’s long term results.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-5.98%	-1.62%	-0.10%
Class B	-6.61%	-1.66%	-0.04%
* From 05/01/2006.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

On December 31, 2011, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 24.12% Barclays Capital U.S. Aggregate Bond Index, 42.39% Russell 1000 Index, 3.17% Russell 2000 Index, 20.83% MSCI ACWI ex-U.S. IMI Index, 5.96% FTSE EPRA/NAREIT Developed Real Estate Index, and 3.53% Barclays Capital U.S. TIPS Index. Unlike an investment in the LifePath 2030 Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Legacy Class A	-4.00%	-1.22%	4.74%
Legacy Class B	-4.37%	-1.37%	4.68%
Institutional	-0.82%	-0.37%	5.41%
Class R-1	-1.32%	-0.94%	3.24%
Class R-2	-1.11%	-0.73%	3.46%
Class R-3	-0.85%	-0.40%	3.76%
* Legacy Class A, Legacy Class B and Institutional shares from 05/09/2003. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

The performance data quoted represents past performance and does not guarantee future results. Legacy Class A shares performance on the line graph reflects a maximum sales charge of 3% at initial investment. Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Legacy Class A, Legacy Class B and Institutional shares because of differing loads and expenses between the share classes. Returns in the table above reflect maximum sales charges of: 3% for all Legacy Class A shares and for Legacy Class B shares at one year; and 2% for Legacy Class B shares at five years. Legacy Class B shares Life of Class performance does not reflect conversion to Legacy Class A shares. Ending net asset values on 5/9/2003 are used to calculate values used on the line graph and Life of Class returns in the table for Legacy Class A, Legacy Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. See the preceding page for the performance of Class A and Class B shares.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

Performance Analysis

What factors helped and hindered performance of the LifePath 2030 Fund during the reporting period?

The main driver to performance for the LifePath 2030 Fund was its allocation to the Active Stock Master Portfolio – which made up over half of the LifePath 2030 Fund’s equity exposure. At the end of December 2011, this weighting stood at 41.12% of the LifePath 2030 Fund’s total net assets which is higher than the 38.91% weighting at the beginning of the year. As highlighted earlier, the Active Stock Master Portfolio is benchmarked to the Russell 1000 Index. At the end of 2011, the Active Stock Master Portfolio invested in 442 stocks of which 94% were from its benchmark Russell 1000 Index. BlackRock increased the number of holdings from 242 at the start of the year (which in turn decreased the average individual security weightings). For the year, the Active Stock Master Portfolio outperformed its benchmark by 0.70% (2.20% vs. 1.50%, respectively). Overall, the Active Stock Master Portfolio generally maintained sector weights and a risk profile that was similar to its benchmark during the year.

The LifePath 2030 Fund’s exposure to foreign equity securities was 23.49% of total net assets as of December 31, 2011, comprised of the ACWI ex-U.S. Index Master Portfolio and five underlying iShares Funds: iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index, iShares MSCI EAFE Index, iShares MSCI Emerging Markets Index, iShares MSCI Canada Index, and the iShares MSCI EAFE Small Cap Index Funds. International equity markets mostly underperformed U.S. equity markets during the reporting period.

The LifePath 2030 Fund’s exposure to small-cap U.S. equity securities via investment in the Master Small Cap Index Series at the end of December 2011 was 3.09% of total net assets. Small-cap stocks underperformed large- and mid-cap stocks for the reporting period.

From a fixed-income perspective, the LifePath 2030 Fund held 24.02% of its total net assets in the CoreAlpha Bond Master Portfolio which is up from 22.31% at the beginning of the year. As highlighted earlier, the CoreAlpha Bond Master Portfolio outperformed the return for its respective benchmark, the Barclays Capital U.S. Aggregate Bond Index during 2011 by 0.54% (8.38% vs. 7.84% respectively). As of December 31, 2011, there were 247 issuers and 667 securities comprising the CoreAlpha Bond Master Portfolio. Being overweight in exposure to U.S. Treasuries relative to the U.S. Aggregate Bond Index was beneficial. During 2011, lower credit quality bonds in the Barclays Capital U.S. Aggregate Bond Index generally outperformed relative to higher credit quality bonds in the Index during the year. However, high-yield bonds underperformed investment grade bonds as represented by the 4.98% return for the Barclays Capital High-Yield Bond Index versus the 7.84% return of the Barclays Capital U.S. Aggregate Bond Index for the year ended December 31, 2011.

Over the course of the year, the asset allocation adjustments within the LifePath 2030 Fund resulted in an approximate 2.5% and 0.1% decrease to domestic equity and international equity securities, respectively. The LifePath 2030 Fund’s exposure to the CoreAlpha Bond Master Portfolio and iShares Barclays TIPS Bond Fund increased by roughly 1.7% and 0.7%, respectively, while the exposure to real estate increased approximately 0.3%. The cash allocation was slightly reduced.

Financial highlights for this Fund can be found on pages 206-207.

State Farm LifePath 2040^® Fund

Provide an illustration of the Fund’s investments.

How did the State Farm LifePath 2040^® Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Legacy Class A shares of the State Farm LifePath 2040 Fund had a total return without sales charges of –2.81%. The total returns for comparative indices of the LifePath Funds during the same time period were as follows: S&P 500 Index 2.11% and the Barclays Capital U.S. Aggregate Bond Index 7.84%.

Because of the multi-asset structure of the LifePath 2040 Fund, a blended benchmark is also used for comparison purposes in the line graphs below. The blended benchmark is comprised of the indices shown below with weightings adjusted at the beginning of each quarter to approximately correspond with the LifePath 2040 Fund’s investments during the upcoming quarter. As of December 31, 2011, the total return of the LifePath 2040 Fund’s blended benchmark was –2.25% for the 1-year period and had the following composition:


Index		LifePath 2040 Fund’s Blended Benchmark Weighting
Russell 1000 Index		50.23%
MSCI ACWI ex-U.S. IMI Index		24.29%
Barclays Capital U.S. Aggregate Bond Index		13.37%
FTSE EPRA/NAREIT Developed Real Estate Index		8.02%
Russell 2000 Index		2.75%
Barclays Capital U.S. TIPS Index		1.34%

The line graphs and tables below provide additional perspective for the State Farm LifePath 2040 Fund’s long term results.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Class A	-7.74%	-2.90%	-1.17%
Class B	-8.27%	-2.93%	-1.08%
* From 05/01/2006.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

On December 31, 2011, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 13.37% Barclays Capital U.S. Aggregate Bond Index, 50.23% Russell 1000 Index, 2.75% Russell 2000 Index, 24.29% MSCI ACWI ex-U.S. IMI Index, 8.02% FTSE EPRA/NAREIT Developed Real Estate Index, and 1.34% Barclays Capital U.S. TIPS Index. Unlike an investment in the LifePath 2040 Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	5 YEAR	Life of Class*
Legacy Class A	-5.76%	-2.48%	4.57%
Legacy Class B	-6.03%	-2.63%	4.55%
Institutional	-2.55%	-1.64%	5.24%
Class R-1	-3.08%	-2.22%	2.74%
Class R-2	-2.91%	-2.00%	2.96%
Class R-3	-2.60%	-1.49%	3.42%
* Legacy Class A, Legacy Class B and Institutional shares from 05/09/2003. Class R-1, Class R-2 and Class R-3 shares from 09/13/2004.

The performance data quoted represents past performance and does not guarantee future results. Legacy Class A shares performance on the line graphs reflects a maximum sales charge of 3% at initial investment. Class R-1, Class R-2 and Class R-3 shares performance may be greater than or less than the lines shown for Legacy Class A, Legacy Class B and Institutional shares because of differing loads and expenses between the share classes. Returns in the table above reflect maximum sales charges of: 3% for all Legacy Class A shares and for Legacy Class B shares at one year; and 2% for Legacy Class B shares at five years. Legacy Class B shares Life of Class performance does not reflect conversion to Legacy Class A shares. Ending net asset values on 5/9/2003 are used to calculate values used on the line graph and Life of Class returns in the table for Legacy Class A, Legacy Class B, and Institutional shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. See the preceding page for the performance of Class A and Class B shares.

¹	See footnotes for LifePath 2050 Fund on page 73 for a description of the Indices.

Performance Analysis

What factors helped and hindered performance of the LifePath 2040 Fund during the reporting period?

The main driver to performance for the LifePath 2040 Fund was its allocation to the Active Stock Master Portfolio – which made up over half of the LifePath 2040 Fund’s equity exposure. At the end of December 2011 this weighting stood at 48.76% of the LifePath 2040 Fund’s total net assets which is higher than the 45.28% weighting at the beginning of the year. As highlighted earlier, the Active Stock Master Portfolio is benchmarked to the Russell 1000 Index. At the end of 2011, the Active Stock Master Portfolio invested in 442 stocks of which 94% were from its benchmark Russell 1000 Index. BlackRock increased the number of holdings from 242 at the start of the year (which in turn decreased the average individual security weightings). For the year, the Active Stock Master Portfolio outperformed its benchmark by 0.70% (2.20% vs. 1.50%, respectively). Overall, the Active Stock Master Portfolio generally maintained sector weights and a risk profile that was similar to its benchmark during the year.

The LifePath 2040 Fund’s exposure to foreign equity securities was 27.90% of total net assets as of December 31, 2011, comprised of the ACWI ex-U.S. Index Master Portfolio and five underlying iShares Funds: iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index, iShares MSCI EAFE Index, iShares MSCI Emerging Markets Index, iShares MSCI Canada Index, and the iShares MSCI EAFE Small Cap Index Funds. International equity markets mostly underperformed U.S. equity markets during the reporting period.

The LifePath 2040 Fund’s exposure to small-cap U.S. equity securities via investment in the Master Small Cap Index Series at the end of December 2011 was 2.66% of total net assets. Small-cap stocks underperformed large- and mid-cap stocks for the reporting period.

From a fixed-income perspective, the LifePath 2040 Fund held 13.47% of its total net assets in the CoreAlpha Bond Master Portfolio which is up from 11.70% at the beginning of the year. As highlighted earlier, the CoreAlpha Bond Master Portfolio outperformed the return for its respective benchmark, the Barclays Capital U.S. Aggregate Bond Index during 2011 by 0.54% (8.38% vs. 7.84% respectively). As of December 31, 2011, there were 247 issuers and 667 securities comprising the CoreAlpha Bond Master Portfolio. Being overweight in exposure to U.S. Treasuries relative to the U.S. Aggregate Bond Index was beneficial. During 2011, lower credit quality bonds in the Barclays Capital U.S. Aggregate Bond Index generally outperformed relative to higher credit quality bonds in the Index during the year. However, high-yield bonds underperformed investment grade bonds as represented by the 4.98% return for the Barclays Capital High-Yield Bond Index versus the 7.84% return of the Barclays Capital U.S. Aggregate Bond Index for the year ended December 31, 2011.

Over the course of the year, the asset allocation adjustments within the LifePath 2040 Fund resulted in an approximate 2.0% and 0.6% decrease to domestic equity and international equity securities, respectively. The LifePath 2040 Fund’s exposure to the CoreAlpha Bond Master Portfolio and iShares Barclays TIPS Bond Fund increased by roughly 1.8% and 0.3%, respectively, while the exposure to real estate increased approximately 0.4%. The cash allocation was slightly increased.

Financial highlights for this Fund can be found on pages 208-209.

State Farm LifePath 2050^® Fund

Provide an illustration of the Fund’s investments.

LOGO

How did the State Farm LifePath 2050 Fund perform during the reporting period?

For the 1-year period ended December 31, 2011, Class A shares of the State Farm LifePath 2050 Fund had a total return without sales charges of –4.25%. The total returns for comparative indices of the LifePath Funds during the same time period were as follows: S&P 500 Index 2.11% and the Barclays Capital U.S. Aggregate Bond Index 7.84%.

Because of the multi-asset structure of the LifePath 2050 Fund, a blended benchmark is also used for comparison purposes in the line graphs below. The blended benchmark is comprised of the indices shown below with weightings adjusted at the beginning of each quarter to approximately correspond with the LifePath 2050 Fund’s investments during the upcoming quarter. As of December 31, 2011, the total return of the LifePath 2050 Fund’s blended benchmark was –3.77% for the 1-year period and had the following composition:


Index		LifePath 2050 Fund’s Blended Benchmark Weighting
Russell 1000 Index		56.86%
MSCI ACWI ex-U.S. IMI Index		27.30%
FTSE EPRA/NAREIT Developed Real Estate Index		9.89%
Barclays Capital U.S. Aggregate Bond Index		3.50%
Russell 2000 Index		2.45%

The line graph and table below provide additional perspective for the State Farm LifePath 2050 Fund’s long term results.

LOGO


Fund’s Average Annual Total Return as of December 31, 2011
	1 YEAR	Life of Class*
Class A	-9.00%	-1.56%
Class R-1	-4.61%	-0.39%
Class R-2	-4.26%	-0.16%
* From 07/14/2008.

The performance data quoted represents past performance and does not guarantee future results. Class A shares performance on the line graph reflects a maximum sales charge of 5% at initial investment. Returns in the table above reflect a maximum sales charge of 5% for all Class A shares. These figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

¹	The Barclays Capital 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.

²	The S&P 500^® Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation and financial industries. In total, the S&P 500 is comprised of 500 common stocks.

The Indices represent unmanaged groups of securities that differ from the composition of the LifePath Funds. Unlike an investment in the LifePath Funds, a theoretical investment in any of the Indices does not reflect any expenses. It is not possible to invest directly in an index.

On December 31, 2011, the Blended Benchmark computed by State Farm Investment Management Corp. consisted of 3.50% Barclays Capital U.S. Aggregate Bond Index, 56.86% Russell 1000 Index, 2.45% Russell 2000 Index, 27.30% MSCI ACWI ex-U.S. IMI Index, and 9.89% FTSE EPRA/NAREIT Developed Real Estate Index. Unlike an investment in the LifePath 2050 Fund, a theoretical investment in any of the Indices and the Blended Benchmark does not reflect any expenses. It is not possible to invest directly in an index or the Blended Benchmark.

Performance Analysis

What factors helped and hindered performance of the LifePath 2050 Fund during the reporting period?

The main driver to performance for the LifePath 2050 Fund was its allocation to the Active Stock Master Portfolio – which made up over half of the LifePath 2050 Fund’s equity exposure. At the end of December 2011 this weighting stood at 53.43% of the LifePath 2050 Fund’s total net assets which is up from the 51.10% weighting at the beginning of the year. As highlighted earlier, the Active Stock Master Portfolio is benchmarked to the Russell 1000 Index. At the end of 2011, the Active Stock Master Portfolio invested in 442 stocks of which 94% were from its benchmark Russell 1000 Index. BlackRock increased the number of holdings from 242 at the start of the year (which in turn decreased the average individual security weightings). For the year, the Active Stock Master Portfolio outperformed its benchmark by 0.70% (2.20% vs. 1.50%, respectively). Overall, the Active Stock Master Portfolio generally maintained sector weights and a risk profile that was similar to its benchmark during the year.

The LifePath 2050 Fund’s exposure to foreign equity securities was 31.20% of total net assets as of December 31, 2011, comprised of the ACWI ex-U.S. Index Master Portfolio and five underlying iShares Funds: iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index, iShares MSCI EAFE Index, iShares MSCI Emerging Markets Index, iShares MSCI Canada Index, and the iShares MSCI EAFE Small Cap Index Funds. International equity markets mostly underperformed U.S. equity markets during the reporting period.

The LifePath 2050 Fund’s exposure to small-cap U.S. equity securities via investment in the Master Small Cap Index Series at the end of December 2011 was 2.22% of total net assets. Small-cap stocks underperformed large- and mid-cap stocks for the reporting period.

From a fixed-income perspective, the LifePath 2050 Fund held just 4.00% of its total net assets in the CoreAlpha Bond Master Portfolio which is up from the 1.75% weighting at the beginning of the year. As noted earlier, there was no investment allocation to the iShares Barclays TIPS Bond Fund within the LifePath 2050 Fund in 2011.

Over the course of the year, the asset allocation adjustments within the LifePath 2050 Fund resulted in an approximate 2.3% and 0.3% decrease to domestic equity and international equity securities, respectively. The LifePath 2050 Fund’s exposure to the CoreAlpha Bond Master Portfolio increased by roughly 2.2% while the exposure to real estate also increased approximately 0.4%. The cash allocation was slightly increased.

Financial highlights for this Fund can be found on pages 210-211.

Report on Shareholder Meeting

On December 16, 2011, the shareholders of the State Farm S&P 500 Index Fund of State Farm Mutual Fund Trust had a special shareholder meeting. The results for those matters voted upon by the shareholders are as follows:


Proposal to approve restructuring of the State Farm S&P 500 Index Fund	Votes Cast For		Votes Cast Against		Abstentions		Broker Non-Votes		Result
Approve an Amendment to the Investment Advisory and Management Services Agreement between the State Farm Mutual Fund Trust (Trust) and State Farm Investment Management Corp. (SFIMC)		26,772,909		653,757		1,538,741		0		Adopted
Approve an Investment Sub-Advisory Agreement between the Trust, SFIMC, and BlackRock Fund Advisors appointing BlackRock Fund Advisors as Investment Sub-Advisor to the State Farm S&P 500 Index Fund		26,642,547		770,909		1,551,951		0		Adopted
Proposal	Votes Cast For		Votes Cast Against		Abstentions		Broker Non-Votes		Result
Approve Manager of Managers Structure for the State Farm S&P 500 Index Fund		26,604,115		799,314		1,561,977		0		Adopted

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 account fee of $10 per calendar quarter is not included in the expenses shown in the table. This fee will 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 in the account falls below $5,000 at the close of business on the second business day of the last month of the calendar quarter, unless the account has been open for less than a year as of the second business day of the last month of the calendar quarter. You should consider any account 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 account fee of $10 per calendar quarter is not included in the expenses shown in the table. This fee will 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 in the account falls below $5,000 at the close of business on the second business day of the last month of the calendar quarter, unless the account has been open for less than a year as of the second business day of the last month of the calendar quarter. You should consider any account 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 increasing the costs of investing.

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 July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$ 927.87	1.19%	$5.78

Class B Shares	$1,000.00	$ 923.89	1.89%	$9.17

Legacy Class A Shares	$1,000.00	$ 926.80	1.19%	$5.78

Legacy Class B Shares	$1,000.00	$ 926.51	1.59%	$7.72

Institutional Shares	$1,000.00	$ 930.11	0.94%	$4.57

Class R-1 Shares	$1,000.00	$ 925.95	1.51%	$7.33

Class R-2 Shares	$1,000.00	$ 927.91	1.30%	$6.32

Class R-3 Shares	$1,000.00	$ 927.75	1.01%	$4.91


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,019.21	1.19%	$6.06

Class B Shares	$1,000.00	$1,015.68	1.89%	$9.60

Legacy Class A Shares	$1,000.00	$1,019.21	1.19%	$6.06

Legacy Class B Shares	$1,000.00	$1,017.19	1.59%	$8.08

Institutional Shares	$1,000.00	$1,020.47	0.94%	$4.79

Class R-1 Shares	$1,000.00	$1,017.59	1.51%	$7.68

Class R-2 Shares	$1,000.00	$1,018.65	1.30%	$6.61

Class R-3 Shares	$1,000.00	$1,020.11	1.01%	$5.14


*State Farm Small/Mid Cap Equity Fund*
	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$ 891.87	1.40%	$ 6.68

Class B Shares	$1,000.00	$ 889.00	2.10%	$10.00

Legacy Class A Shares	$1,000.00	$ 891.92	1.40%	$ 6.68

Legacy Class B Shares	$1,000.00	$ 890.66	1.80%	$ 8.58

Institutional Shares	$1,000.00	$ 893.35	1.15%	$ 5.49

Class R-1 Shares	$1,000.00	$ 890.37	1.72%	$ 8.20

Class R-2 Shares	$1,000.00	$ 891.92	1.52%	$ 7.25

Class R-3 Shares	$1,000.00	$ 892.61	1.22%	$ 5.82


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,018.15	1.40%	$ 7.12

Class B Shares	$1,000.00	$1,014.62	2.10%	$10.66

Legacy Class A Shares	$1,000.00	$1,018.15	1.40%	$ 7.12

Legacy Class B Shares	$1,000.00	$1,016.13	1.80%	$ 9.15

Institutional Shares	$1,000.00	$1,019.41	1.15%	$ 5.85

Class R-1 Shares	$1,000.00	$1,016.53	1.72%	$ 8.74

Class R-2 Shares	$1,000.00	$1,017.54	1.52%	$ 7.73

Class R-3 Shares	$1,000.00	$1,019.06	1.22%	$ 6.21

State Farm International Equity Fund



	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹

Actual

Class A Shares	$1,000.00	$ 861.15	1.50%	$ 7.04

Class B Shares	$1,000.00	$ 855.47	2.20%	$10.29

Legacy Class A Shares	$1,000.00	$ 861.06	1.50%	$ 7.04

Legacy Class B Shares	$1,000.00	$ 858.63	1.90%	$ 8.90

Institutional Shares	$1,000.00	$ 863.21	1.25%	$ 5.87

Class R-1 Shares	$1,000.00	$ 858.35	1.82%	$ 8.52

Class R-2 Shares	$1,000.00	$ 860.60	1.62%	$ 7.60

Class R-3 Shares	$1,000.00	$ 862.46	1.32%	$ 6.20

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,017.64	1.50%	$ 7.63

Class B Shares	$1,000.00	$1,014.12	2.20%	$11.17

Legacy Class A Shares	$1,000.00	$1,017.64	1.50%	$ 7.63

Legacy Class B Shares	$1,000.00	$1,015.63	1.90%	$ 9.65

Institutional Shares	$1,000.00	$1,018.90	1.25%	$ 6.36

Class R-1 Shares	$1,000.00	$1,016.03	1.82%	$ 9.25

Class R-2 Shares	$1,000.00	$1,017.04	1.62%	$ 8.24

Class R-3 Shares	$1,000.00	$1,018.55	1.32%	$ 6.72

*State Farm S&P 500 Index Fund²*
	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011³	Expenses Paid During Period July 1, 2011 to December 31, 2011¹

Actual

Class A Shares	$1,000.00	$ 959.09	0.82%	$4.05

Class B Shares	$1,000.00	$ 955.32	1.52%	$7.49

Legacy Class A Shares	$1,000.00	$ 958.90	0.82%	$4.05

Legacy Class B Shares	$1,000.00	$ 957.34	1.23%	$6.07

Institutional Shares	$1,000.00	$ 960.54	0.69%	$3.41

Class R-1 Shares	$1,000.00	$ 957.33	1.14%	$5.62

Class R-2 Shares	$1,000.00	$ 958.30	0.94%	$4.64

Class R-3 Shares	$1,000.00	$ 960.42	0.64%	$3.16

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,021.07	0.82%	$4.18

Class B Shares	$1,000.00	$1,017.54	1.52%	$7.73

Legacy Class A Shares	$1,000.00	$1,021.07	0.82%	$4.18

Legacy Class B Shares	$1,000.00	$1,019.00	1.23%	$6.26

Institutional Shares	$1,000.00	$1,021.73	0.69%	$3.52

Class R-1 Shares	$1,000.00	$1,019.46	1.14%	$5.80

Class R-2 Shares	$1,000.00	$1,020.47	0.94%	$4.79

Class R-3 Shares	$1,000.00	$1,021.98	0.64%	$3.26

State Farm Small Cap Index Fund


	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹

Actual

Class A Shares	$1,000.00	$ 898.29	0.96%	$4.59

Class B Shares	$1,000.00	$ 894.20	1.66%	$7.93

Legacy Class A Shares	$1,000.00	$ 897.92	0.96%	$4.59

Legacy Class B Shares	$1,000.00	$ 896.69	1.36%	$6.50

Institutional Shares	$1,000.00	$ 899.28	0.70%	$3.35

Class R-1 Shares	$1,000.00	$ 896.77	1.28%	$6.12

Class R-2 Shares	$1,000.00	$ 897.40	1.08%	$5.17

Class R-3 Shares	$1,000.00	$ 898.64	0.77%	$3.68

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,020.37	0.96%	$4.89

Class B Shares	$1,000.00	$1,016.84	1.66%	$8.44

Legacy Class A Shares	$1,000.00	$1,020.37	0.96%	$4.89

Legacy Class B Shares	$1,000.00	$1,018.35	1.36%	$6.92

Institutional Shares	$1,000.00	$1,021.68	0.70%	$3.57

Class R-1 Shares	$1,000.00	$1,018.75	1.28%	$6.51

Class R-2 Shares	$1,000.00	$1,019.76	1.08%	$5.50

Class R-3 Shares	$1,000.00	$1,021.32	0.77%	$3.92

*State Farm International Index Fund*
	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹

Actual

Class A Shares	$1,000.00	$ 828.59	1.20%	$5.53

Class B Shares	$1,000.00	$ 825.72	1.90%	$8.74

Legacy Class A Shares	$1,000.00	$ 828.75	1.20%	$5.53

Legacy Class B Shares	$1,000.00	$ 827.20	1.60%	$7.37

Institutional Shares	$1,000.00	$ 829.23	0.95%	$4.38

Class R-1 Shares	$1,000.00	$ 827.59	1.52%	$7.00

Class R-2 Shares	$1,000.00	$ 827.86	1.32%	$6.08

Class R-3 Shares	$1,000.00	$ 828.76	1.02%	$4.70

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,019.16	1.20%	$6.11

Class B Shares	$1,000.00	$1,015.63	1.90%	$9.65

Legacy Class A Shares	$1,000.00	$1,019.16	1.20%	$6.11

Legacy Class B Shares	$1,000.00	$1,017.14	1.60%	$8.13

Institutional Shares	$1,000.00	$1,020.42	0.95%	$4.84

Class R-1 Shares	$1,000.00	$1,017.54	1.52%	$7.73

Class R-2 Shares	$1,000.00	$1,018.55	1.32%	$6.72

Class R-3 Shares	$1,000.00	$1,020.06	1.02%	$5.19

State Farm Equity and Bond Fund


	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011⁴	Expenses Paid During Period July 1, 2011 to December 31, 2011¹

Actual

Class A Shares	$1,000.00	$ 976.38	0.98%	$4.88

Class B Shares	$1,000.00	$ 972.87	1.68%	$8.35

Legacy Class A Shares	$1,000.00	$ 976.46	0.98%	$4.88

Legacy Class B Shares	$1,000.00	$ 975.51	1.38%	$6.87

Institutional Shares	$1,000.00	$ 978.81	0.73%	$3.64

Class R-1 Shares	$1,000.00	$ 974.48	1.30%	$6.47

Class R-2 Shares	$1,000.00	$ 975.53	1.10%	$5.48

Class R-3 Shares	$1,000.00	$ 978.24	0.80%	$3.99

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,020.27	0.98%	$4.99

Class B Shares	$1,000.00	$1,016.74	1.68%	$8.54

Legacy Class A Shares	$1,000.00	$1,020.27	0.98%	$4.99

Legacy Class B Shares	$1,000.00	$1,018.25	1.38%	$7.02

Institutional Shares	$1,000.00	$1,021.53	0.73%	$3.72

Class R-1 Shares	$1,000.00	$1,018.65	1.30%	$6.61

Class R-2 Shares	$1,000.00	$1,019.66	1.10%	$5.60

Class R-3 Shares	$1,000.00	$1,021.17	0.80%	$4.08

*State Farm Bond Fund*
	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹

Actual

Class A Shares	$1,000.00	$1,051.55	0.68%	$3.52

Class B Shares	$1,000.00	$1,050.37	1.08%	$5.58

Legacy Class A Shares	$1,000.00	$1,051.52	0.68%	$3.52

Legacy Class B Shares	$1,000.00	$1,050.31	1.08%	$5.58

Institutional Shares	$1,000.00	$1,053.81	0.42%	$2.17

Class R-1 Shares	$1,000.00	$1,049.87	1.00%	$5.17

Class R-2 Shares	$1,000.00	$1,050.96	0.80%	$4.14

Class R-3 Shares	$1,000.00	$1,053.41	0.50%	$2.59

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,021.78	0.68%	$3.47

Class B Shares	$1,000.00	$1,019.76	1.08%	$5.50

Legacy Class A Shares	$1,000.00	$1,021.78	0.68%	$3.47

Legacy Class B Shares	$1,000.00	$1,019.76	1.08%	$5.50

Institutional Shares	$1,000.00	$1,023.09	0.42%	$2.14

Class R-1 Shares	$1,000.00	$1,020.16	1.00%	$5.09

Class R-2 Shares	$1,000.00	$1,021.17	0.80%	$4.08

Class R-3 Shares	$1,000.00	$1,022.68	0.50%	$2.55

State Farm Tax Advantaged Bond Fund


	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$1,060.08	0.68%	$3.53

Class B Shares	$1,000.00	$1,057.96	1.08%	$5.60

Legacy Class A Shares	$1,000.00	$1,059.22	0.68%	$3.53

Legacy Class B Shares	$1,000.00	$1,058.05	1.08%	$5.60


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,021.78	0.68%	$3.47

Class B Shares	$1,000.00	$1,019.76	1.08%	$5.50

Legacy Class A Shares	$1,000.00	$1,021.78	0.68%	$3.47

Legacy Class B Shares	$1,000.00	$1,019.76	1.08%	$5.50


*State Farm Money Market Fund*

	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$1,000.00	0.08%	$0.40

Class B Shares	$1,000.00	$1,000.00	0.08%	$0.40

Legacy Class A Shares	$1,000.00	$1,000.00	0.08%	$0.40

Legacy Class B Shares	$1,000.00	$1,000.00	0.08%	$0.40

Institutional Shares	$1,000.00	$1,000.01	0.08%	$0.40

Class R-1 Shares	$1,000.00	$1,000.00	0.08%	$0.40

Class R-2 Shares	$1,000.00	$1,000.00	0.08%	$0.40

Class R-3 Shares	$1,000.00	$1,000.01	0.08%	$0.40


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,024.80	0.08%	$0.41

Class B Shares	$1,000.00	$1,024.80	0.08%	$0.41

Legacy Class A Shares	$1,000.00	$1,024.80	0.08%	$0.41

Legacy Class B Shares	$1,000.00	$1,024.80	0.08%	$0.41

Institutional Shares	$1,000.00	$1,024.80	0.08%	$0.41

Class R-1 Shares	$1,000.00	$1,024.80	0.08%	$0.41

Class R-2 Shares	$1,000.00	$1,024.80	0.08%	$0.41

Class R-3 Shares	$1,000.00	$1,024.80	0.08%	$0.41

State Farm LifePath Retirement Fund


	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011³	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$1,035.13	1.17%	$6.00

Class B Shares	$1,000.00	$1,028.47	1.87%	$9.56

Legacy Class A Shares	$1,000.00	$1,035.01	1.17%	$6.00

Legacy Class B Shares	$1,000.00	$1,030.55	1.57%	$8.04

Institutional Shares	$1,000.00	$1,037.77	0.92%	$4.73

Class R-1 Shares	$1,000.00	$1,031.56	1.49%	$7.63

Class R-2 Shares	$1,000.00	$1,033.81	1.29%	$6.61

Class R-3 Shares	$1,000.00	$1,037.07	1.00%	$5.13


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,019.31	1.17%	$5.96

Class B Shares	$1,000.00	$1,015.78	1.87%	$9.50

Legacy Class A Shares	$1,000.00	$1,019.31	1.17%	$5.96

Legacy Class B Shares	$1,000.00	$1,017.29	1.57%	$7.98

Institutional Shares	$1,000.00	$1,020.57	0.92%	$4.69

Class R-1 Shares	$1,000.00	$1,017.69	1.49%	$7.58

Class R-2 Shares	$1,000.00	$1,018.70	1.29%	$6.56

Class R-3 Shares	$1,000.00	$1,020.16	1.00%	$5.09


*State Farm LifePath 2020 Fund*
	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011³	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$1,011.20	1.15%	$5.83

Class B Shares	$1,000.00	$1,004.22	1.84%	$9.30

Legacy Class A Shares	$1,000.00	$1,010.85	1.14%	$5.78

Legacy Class B Shares	$1,000.00	$1,007.11	1.54%	$7.79

Institutional Shares	$1,000.00	$1,013.43	0.89%	$4.52

Class R-1 Shares	$1,000.00	$1,007.73	1.46%	$7.39

Class R-2 Shares	$1,000.00	$1,009.91	1.26%	$6.38

Class R-3 Shares	$1,000.00	$1,012.94	0.96%	$4.87


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,019.41	1.15%	$5.85

Class B Shares	$1,000.00	$1,015.93	1.84%	$9.35

Legacy Class A Shares	$1,000.00	$1,019.46	1.14%	$5.80

Legacy Class B Shares	$1,000.00	$1,017.44	1.54%	$7.83

Institutional Shares	$1,000.00	$1,020.72	0.89%	$4.53

Class R-1 Shares	$1,000.00	$1,017.85	1.46%	$7.43

Class R-2 Shares	$1,000.00	$1,018.85	1.26%	$6.41

Class R-3 Shares	$1,000.00	$1,020.37	0.96%	$4.89

State Farm LifePath 2030 Fund


	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011³	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$ 989.58	1.13%	$5.67

Class B Shares	$1,000.00	$ 982.60	1.83%	$9.14

Legacy Class A Shares	$1,000.00	$ 989.96	1.13%	$5.67

Legacy Class B Shares	$1,000.00	$ 985.57	1.53%	$7.66

Institutional Shares	$1,000.00	$ 991.82	0.88%	$4.42

Class R-1 Shares	$1,000.00	$ 986.77	1.45%	$7.26

Class R-2 Shares	$1,000.00	$ 988.88	1.25%	$6.27

Class R-3 Shares	$1,000.00	$ 991.51	0.95%	$4.77


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,019.51	1.13%	$5.75

Class B Shares	$1,000.00	$1,015.98	1.83%	$9.30

Legacy Class A Shares	$1,000.00	$1,019.51	1.13%	$5.75

Legacy Class B Shares	$1,000.00	$1,017.49	1.53%	$7.78

Institutional Shares	$1,000.00	$1,020.77	0.88%	$4.48

Class R-1 Shares	$1,000.00	$1,017.90	1.45%	$7.38

Class R-2 Shares	$1,000.00	$1,018.90	1.25%	$6.36

Class R-3 Shares	$1,000.00	$1,020.42	0.95%	$4.84


*State Farm LifePath 2040 Fund*
	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011³	Expenses Paid During Period July 1, 2011 to December 31, 2011¹


Actual

Class A Shares	$1,000.00	$ 971.48	1.12%	$5.57

Class B Shares	$1,000.00	$ 965.26	1.82%	$9.02

Legacy Class A Shares	$1,000.00	$ 971.88	1.12%	$5.57

Legacy Class B Shares	$1,000.00	$ 968.49	1.52%	$7.54

Institutional Shares	$1,000.00	$ 974.53	0.87%	$4.33

Class R-1 Shares	$1,000.00	$ 969.18	1.44%	$7.15

Class R-2 Shares	$1,000.00	$ 970.93	1.24%	$6.16

Class R-3 Shares	$1,000.00	$ 974.03	0.94%	$4.68


Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,019.56	1.12%	$5.70

Class B Shares	$1,000.00	$1,016.03	1.82%	$9.25

Legacy Class A Shares	$1,000.00	$1,019.56	1.12%	$5.70

Legacy Class B Shares	$1,000.00	$1,017.54	1.52%	$7.73

Institutional Shares	$1,000.00	$1,020.82	0.87%	$4.43

Class R-1 Shares	$1,000.00	$1,017.95	1.44%	$7.32

Class R-2 Shares	$1,000.00	$1,018.95	1.24%	$6.31

Class R-3 Shares	$1,000.00	$1,020.47	0.94%	$4.79

State Farm LifePath 2050 Fund


	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 to December 31, 2011³	Expenses Paid During Period July 1, 2011 to December 31, 2011¹
Actual

Class A Shares	$1,000.00	$ 957.51	1.15%	$5.67

Class R-1 Shares	$1,000.00	$ 953.86	1.47%	$7.24

Class R-2 Shares	$1,000.00	$ 957.35	1.27%	$6.27

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,019.41	1.15%	$5.85

Class R-1 Shares	$1,000.00	$1,017.80	1.47%	$7.48

Class R-2 Shares	$1,000.00	$1,018.80	1.27%	$6.46

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 184/365 (to reflect the one-half year period).

Restated Expense Example Table for State Farm S&P 500 Index Fund. The State Farm S&P 500 Index Fund incurred expenses related to a shareholder meeting held on December 16, 2011. In addition, the management fee for the State Farm S&P 500 Index Fund will be reduced from 0.20% to 0.18% in May 2012. The restated example reflects expenses as if the shareholder meeting had not occurred and the management fee reduction had been in place during the entire period from July 1, 2011 to December 31, 2011 as follows:

State Farm S&P 500 Index Fund


	Beginning Account Value July 1, 2011	Ending Account Value December 31, 2011	Annualized Expense Ratio Based on the Period July 1, 2011 December 31, 2011*	Expenses Paid During Period July 1, 2011 to December 31, 2011^**

Actual

Class A Shares	$1,000.00	$ 959.43	0.75%	$3.70

Class B Shares	$1,000.00	$ 955.65	1.45%	$7.15

Legacy Class A Shares	$1,000.00	$ 959.24	0.75%	$3.70

Legacy Class B Shares	$1,000.00	$ 957.68	1.16%	$5.72

Institutional Shares	$1,000.00	$ 960.88	0.62%	$3.06

Class R-1 Shares	$1,000.00	$ 957.67	1.07%	$5.28

Class R-2 Shares	$1,000.00	$ 958.63	0.87%	$4.30

Class R-3 Shares	$1,000.00	$ 960.76	0.57%	$2.82

Hypothetical (5% return before expenses)

Class A Shares	$1,000.00	$1,021.42	0.75%	$3.82

Class B Shares	$1,000.00	$1,017.90	1.45%	$7.37

Legacy Class A Shares	$1,000.00	$1,021.42	0.75%	$3.82

Legacy Class B Shares	$1,000.00	$1,019.36	1.16%	$5.90

Institutional Shares	$1,000.00	$1,022.08	0.62%	$3.16

Class R-1 Shares	$1,000.00	$1,019.81	1.07%	$5.45

Class R-2 Shares	$1,000.00	$1,020.82	0.87%	$4.43

Class R-3 Shares	$1,000.00	$1,022.33	0.57%	$2.91

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

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 184/ 365 (to reflect the one-half year period).

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.

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Shares		Value
Common Stocks (97.94%)

Consumer Discretionary (15.04%)
Advance Auto Parts Inc.		22,500	$	1,566,675
AutoZone Inc. (a)		5,600		1,819,832
Bed Bath & Beyond Inc. (a)		20,800		1,205,776
Coach Inc.		21,200		1,294,048
Comcast Corp. Class A		174,400		4,135,024
DIRECTV Class A (a)		29,900		1,278,524
Dollar Tree Inc. (a)		9,400		781,234
Ford Motor Co. (a)		73,900		795,164
GAP Inc., The		64,000		1,187,200
General Motors Co. (a)		120,000		2,432,400
International Game Technology		43,000		739,600
Limited Brands Inc.		17,700		714,195
Macy’s Inc.		44,500		1,432,010
McDonald’s Corp.		18,900		1,896,237
Polaris Industries Inc.		17,800		996,444
Priceline.com Inc. (a)		2,500		1,169,275
Ross Stores Inc.		65,200		3,098,956
Starbucks Corp.		23,300		1,072,033
Target Corp.		25,000		1,280,500
Time Warner Inc.		80,600		2,912,884
TJX Companies Inc.		21,500		1,387,825
TRW Automotive Holdings Corp. (a)		33,200		1,082,320
Viacom Inc. Class B		35,400		1,607,514
Walt Disney Co., The		76,600		2,872,500
Wynn Resorts Ltd.		9,900		1,093,851

				39,852,021

Consumer Staples (9.27%)
Brown-Forman Corp. Class B		21,000		1,690,710
Coca-Cola Enterprises Inc.		35,100		904,878
Colgate-Palmolive Co.		15,400		1,422,806
CVS Caremark Corp.		87,000		3,547,860
Dr. Pepper Snapple Group Inc.		25,300		998,844
Estee Lauder Companies Inc. Class A, The		15,000		1,684,800
Green Mountain Coffee Roasters Inc. (a)		12,500		560,625
PepsiCo Inc.		40,900		2,713,715
Philip Morris International Inc.		36,000		2,825,280
Procter & Gamble Co., The		18,000		1,200,780
Walgreen Co.		78,100		2,581,986
Wal-Mart Stores Inc.		74,100		4,428,216

				24,560,500

Energy (11.79%)
Anadarko Petroleum Corp.		32,700		2,495,991
Apache Corp.		27,400		2,481,892
Chevron Corp.		42,200		4,490,080
Cimarex Energy Co.		9,900		612,810
ConocoPhillips		20,400		1,486,548
Diamond Offshore Drilling Inc.		15,300		845,478
EQT Corp.		46,100		2,525,819
Exxon Mobil Corp.		50,200		4,254,952
Halliburton Co.		37,400		1,290,674
Marathon Oil Corp.		89,700		2,625,519
Occidental Petroleum Corp.		41,300		3,869,810


	Shares		Value
Common Stocks (Cont.)

Energy (Cont.)
Peabody Energy Corp.		19,000	$	629,090
SM Energy Co.		11,000		804,100
Southwestern Energy Co. (a)		40,700		1,299,958
Williams Companies Inc., The		46,600		1,538,732

				31,251,453

Financials (11.50%)
ACE Ltd.		40,900		2,867,908
Aflac Inc.		57,800		2,500,428
Ameriprise Financial Inc.		57,600		2,859,264
Axis Capital Holdings Ltd.		19,500		623,220
Bank of America Corp.		428,100		2,380,236
CIT Group Inc. (a)		81,100		2,827,957
Discover Financial Services		50,700		1,216,800
Franklin Resources Inc.		25,500		2,449,530
JPMorgan Chase & Co.		86,000		2,859,500
MetLife Inc.		83,300		2,597,294
Moody’s Corp.		32,800		1,104,704
Travelers Companies Inc., The		47,000		2,780,990
Wells Fargo & Co.		124,200		3,422,952

				30,490,783

Health Care (13.58%)
Abbott Laboratories		42,100		2,367,283
Agilent Technologies Inc. (a)		38,300		1,337,819
Allergan Inc.		7,400		649,276
AmerisourceBergen Corp.		42,000		1,561,980
Becton, Dickinson and Co.		16,500		1,232,880
Biogen Idec Inc. (a)		13,900		1,529,695
Bristol-Myers Squibb Co.		43,264		1,524,623
Covidien PLC		89,100		4,010,391
CR Bard Inc.		14,900		1,273,950
DaVita Inc. (a)		8,500		644,385
Intuitive Surgical Inc. (a)		2,100		972,321
Johnson & Johnson		71,500		4,688,970
Medtronic Inc.		29,900		1,143,675
Merck & Co. Inc.		69,900		2,635,230
Pfizer Inc.		180,900		3,914,676
Quest Diagnostics Inc.		23,000		1,335,380
St. Jude Medical Inc.		73,200		2,510,760
Teva Pharmaceutical Industries Ltd. Sponsored ADR		65,600		2,647,616

				35,980,910

Industrials (10.73%)
Boeing Co., The		50,500		3,704,175
Caterpillar Inc.		15,000		1,359,000
CSX Corp.		54,700		1,151,982
Cummins Inc.		14,100		1,241,082
Deere & Co.		17,300		1,338,155
General Dynamics Corp.		18,300		1,215,303
General Electric Co.		76,800		1,375,488
Honeywell International Inc.		52,100		2,831,635
Lockheed Martin Corp.		18,600		1,504,740
Northrop Grumman Corp.		19,000		1,111,120


See accompanying notes to financial statements.		85

STATE FARM MUTUAL FUND TRUST EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Industrials (Cont.)
Raytheon Co.		22,500	$	1,088,550
Tyco International Ltd.		27,500		1,284,525
Union Pacific Corp.		47,200		5,000,368
WW Grainger Inc.		11,700		2,190,123
Xylem Inc.		79,800		2,050,062

				28,446,308

Information Technology (18.36%)
Alliance Data Systems Corp. (a)		13,600		1,412,224
Apple Inc. (a)		10,100		4,090,500
Atmel Corp. (a)		152,700		1,236,870
Cisco Systems Inc.		62,500		1,130,000
Cognizant Technology Solutions Corp. Class A (a)		18,500		1,189,735
Dell Inc. (a)		262,500		3,840,375
F5 Networks Inc. (a)		24,500		2,599,940
Google Inc. Class A (a)		3,500		2,260,650
Hewlett-Packard Co.		27,200		700,672
Intel Corp.		170,600		4,137,050
International Business Machines Corp.		13,400		2,463,992
JDS Uniphase Corp. (a)		81,700		852,948
Lam Research Corp. (a)		20,600		762,612
MasterCard Inc. Class A		5,700		2,125,074
Microsoft Corp.		198,200		5,145,272
NeuStar Inc. Class A (a)		21,100		720,987
Oracle Corp.		152,800		3,919,320
Red Hat Inc. (a)		29,900		1,234,571
SanDisk Corp. (a)		34,700		1,707,587
TE Connectivity Ltd.		41,700		1,284,777
Visa Inc. Class A		15,000		1,522,950
VMware Inc. Class A (a)		21,000		1,746,990
Western Union Co.		67,700		1,236,202
Xilinx Inc.		41,700		1,336,902

				48,658,200

Materials (3.80%)
Alcoa Inc.		62,800		543,220
CF Industries Holdings Inc.		9,200		1,333,816
Crown Holdings Inc. (a)		37,200		1,249,176
Dow Chemical Co., The		92,900		2,671,804
Freeport-McMoRan Copper & Gold Inc.		36,200		1,331,798
International Paper Co.		48,300		1,429,680
Sherwin-Williams Co., The		17,000		1,517,590

				10,077,084

Telecommunication Services (1.87%)
AT&T Inc.		126,800		3,834,432
MetroPCS Communications Inc. (a)		129,200		1,121,456

				4,955,888

Utilities (2.00%)
American Electric Power Company Inc.		65,400		2,701,674


	Shares		Value
Common Stocks (Cont.)

Utilities (Cont.)
Sempra Energy		47,200	$	2,596,000

				5,297,674

Total Common Stocks (cost $228,701,358)				259,570,821

Short-term Investments (2.04%)
JPMorgan U.S. Government Money Market Fund		5,396,895		5,396,895

Total Short-term Investments (cost $5,396,895)				5,396,895

TOTAL INVESTMENTS (99.98%) (cost $234,098,253)				264,967,716
OTHER ASSETS, NET OF LIABILITIES (0.02%)				45,740

NET ASSETS (100.00%)			$	265,013,456

(a) Non-income producing security.

ADR – American Depository Receipt


86		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Shares		Value
Common Stocks (98.06%)

Consumer Discretionary (15.81%)
Abercrombie & Fitch Co. Class A		11,630	$	568,011
Blyth Inc.		14,000		795,200
BorgWarner Inc. (a)		12,650		806,311
Caribou Coffee Company Inc. (a)		45,500		634,725
Cinemark Holdings Inc.		24,300		449,307
Coach Inc.		8,780		535,931
Cost Plus Inc. (a)		86,200		840,450
Dick’s Sporting Goods Inc.		17,740		654,251
Dillard’s Inc. Class A		20,700		929,016
Domino’s Pizza Inc. (a)		33,500		1,137,325
Foot Locker Inc.		33,860		807,222
Fossil Inc. (a)		4,850		384,896
Genesco Inc. (a)		20,900		1,290,366
Gentex Corp.		28,000		828,520
GNC Holdings Inc. Class A (a)		16,300		471,885
Jarden Corp.		18,590		555,469
LKQ Corp. (a)		29,350		882,848
Lululemon Athletica Inc. (a)		17,440		813,750
Macy’s Inc.		44,460		1,430,723
Modine Manufacturing Co. (a)		40,400		382,184
Nordstrom Inc.		21,330		1,060,314
Penske Automotive Group Inc.		41,500		798,875
Pep Boys-Manny, Moe & Jack, The		47,600		523,600
Pier 1 Imports Inc. (a)		87,800		1,223,054
PVH Corp.		8,680		611,853
Ralph Lauren Corp.		4,250		586,840
Saga Communications Inc. Class A (a)		36,025		1,346,614
Sally Beauty Holdings Inc. (a)		39,800		840,974
Sinclair Broadcast Group Inc. Class A		108,100		1,224,773
Standard Motor Products Inc.		24,900		499,245
Tesla Motors Inc. (a)		21,250		606,900
Town Sports International Holdings Inc. (a)		93,000		683,550
Tractor Supply Co.		5,460		383,019
Under Armour Inc. Class A (a)		7,490		537,707

				26,125,708

Consumer Staples (3.60%)
Beam Inc.		10,090		516,911
Church & Dwight Co. Inc.		15,090		690,518
Corn Products International Inc.		18,920		995,003
Elizabeth Arden Inc. (a)		24,700		914,888
Fresh Del Monte Produce Inc.		24,900		622,749
Hansen Natural Corp. (a)		3,510		323,411
Omega Protein Corp. (a)		50,000		356,500
Pantry Inc., The (a)		36,200		433,314
Susser Holdings Corp. (a)		26,900		608,478
Whole Foods Market Inc.		7,020		488,452

				5,950,224

Energy (7.51%)
Baker Hughes Inc.		35,880		1,745,202
Cameron International Corp. (a)		18,250		897,718
Energy XXI (Bermuda) Ltd. (a)		42,390		1,351,393
Ensco PLC Sponsored ADR		6,280		294,658


	Shares		Value
Common Stocks (Cont.)

Energy (Cont.)
Helix Energy Solutions Group Inc. (a)		46,100	$	728,380
Hercules Offshore Inc. (a)		293,200		1,301,808
Noble Energy Inc.		14,240		1,344,114
Pioneer Drilling Co. (a)		83,100		804,408
Plains Exploration & Production Co. (a)		42,550		1,562,436
SM Energy Co.		8,910		651,321
Swift Energy Co. (a)		13,300		395,276
Weatherford International Ltd. (a)		67,440		987,322
Westmoreland Coal Co. (a)		27,700		353,175

				12,417,211


Financials (25.15%)
Advance America Cash Advance Centers Inc.		122,100		1,092,795
Affiliated Managers Group Inc. (a)		8,050		772,398
American Tower Corp. Class A		16,145		968,861
Ameriprise Financial Inc.		19,560		970,958
AmTrust Financial Services Inc.		36,100		857,375
Argo Group International Holdings Ltd.		20,800		602,368
Armour Residential REIT Inc.		119,300		841,065
BancFirst Corp.		10,900		409,186
Bancorp Inc., The (a)		47,200		341,254
BioMed Realty Trust Inc.		44,000		795,520
Calamos Asset Management Inc. Class A		27,900		349,029
Cardinal Financial Corp.		67,700		727,098
CBRE Group Inc. (a)		74,630		1,135,869
City Holding Co.		24,400		826,916
CME Group Inc.		2,410		587,245
CNO Financial Group Inc. (a)		122,500		772,975
East West Bancorp Inc.		76,130		1,503,568
Employers Holdings Inc.		59,300		1,072,737
EZCORP Inc. Class A (a)		38,000		1,002,060
F.N.B. Corp.		75,000		848,250
Fifth Third Bancorp		109,580		1,393,858
First Industrial Realty Trust Inc. (a)		138,500		1,416,855
Gramercy Capital Corp. (a)		196,900		492,250
Infinity Property & Casualty Corp.		14,700		834,078
Interactive Brokers Group Inc. Class A		43,300		646,902
IntercontinentalExchange Inc. (a)		11,070		1,334,488
Invesco Ltd.		60,280		1,211,025
iStar Financial Inc. (a)		104,300		551,747
Jones Lang LaSalle Inc.		12,870		788,416
Kemper Corp.		29,600		864,616
Meadowbrook Insurance Group Inc.		74,700		797,796
Merchants Bancshares Inc.		9,200		268,640
MPG Office Trust Inc. (a)		235,100		467,849
MSCI Inc. Class A (a)		9,940		327,324
Nelnet Inc. Class A		32,100		785,487
Newcastle Investment Corp.		129,500		602,175
Ocwen Financial Corp. (a)		60,100		870,248
One Liberty Properties Inc.		84,449		1,393,409
PNC Financial Services Group Inc.		22,340		1,288,348
ProAssurance Corp.		11,300		901,966
Raymond James Financial Inc.		10,810		334,678


See accompanying notes to financial statements.		87

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Republic Bancorp Inc. Class A		18,600	$	425,940
Retail Opportunity Investments Corp.		76,300		903,392
RLI Corp.		11,200		816,032
Sabra Health Care REIT Inc.		22,200		268,398
Signature Bank (a)		15,720		943,043
SVB Financial Group (a)		7,800		371,982
United Community Banks Inc. (a)		54,500		380,955
United Financial Bancorp Inc.		47,800		769,102
Universal Insurance Holdings Inc.		77,400		277,092
Weingarten Realty Investors		31,458		686,414
Winthrop Realty Trust		59,800		608,166
World Acceptance Corp. (a)		14,500		1,065,750

				41,565,948


Health Care (7.87%)
Agilent Technologies Inc. (a)		16,610		580,187
Alexion Pharmaceuticals Inc. (a)		9,440		674,960
AmerisourceBergen Corp.		23,380		869,502
Cambrex Corp. (a)		62,000		445,161
Cerner Corp. (a)		10,090		618,012
Cooper Companies Inc., The		12,630		890,668
Cubist Pharmaceuticals Inc. (a)		8,180		324,092
Express Scripts Inc. (a)		12,160		543,430
Health Management Associates Inc. Class A (a)		51,430		379,039
Intuitive Surgical Inc. (a)		550		254,656
Invacare Corp.		14,600		223,234
Kindred Healthcare Inc. (a)		74,900		881,573
Masimo Corp. (a)		20,100		375,568
Medicines Co., The (a)		48,400		902,176
Perrigo Co.		13,610		1,324,253
PharMerica Corp. (a)		18,400		279,312
Shire PLC ADR		10,300		1,070,170
SXC Health Solutions Corp. (a)		13,430		758,526
Triple-S Management Corp. Class B (a)		22,600		452,452
U.S. Physical Therapy Inc.		19,800		389,664
Valeant Pharmaceuticals International Inc. (a)		10,860		507,053
Vanda Pharmaceuticals Inc. (a)		54,900		261,324

				13,005,012


Industrials (14.97%)
Alaska Air Group Inc. (a)		14,500		1,088,805
AMERCO		9,800		866,320
Arkansas Best Corp.		30,900		595,443
BE Aerospace Inc. (a)		35,640		1,379,625
Ceradyne Inc. (a)		33,900		907,842
Chicago Bridge & Iron Co. N.V. NY Reg. Shares		40,840		1,543,752
CSX Corp.		42,260		889,996
Curtiss-Wright Corp.		17,400		614,742
Dycom Industries Inc. (a)		43,300		905,836
Eaton Corp.		28,170		1,226,240
Esterline Technologies Corp. (a)		8,900		498,133


	Shares		Value
Common Stocks (Cont.)

Industrials (Cont.)
Expeditors International of Washington Inc.		17,635	$	722,330
Fluor Corp.		12,850		645,712
Hertz Global Holdings Inc. (a)		36,960		433,171
International Shipholding Corp.		19,544		365,277
Joy Global Inc.		18,120		1,358,456
Kennametal Inc.		23,820		869,906
Layne Christensen Co. (a)		23,200		561,440
Lydall Inc. (a)		64,500		612,105
MasTec Inc. (a)		53,000		920,610
Mueller Industries Inc.		10,100		388,042
Multi-Color Corp.		32,600		838,798
Precision Castparts Corp.		7,515		1,238,397
SkyWest Inc.		35,200		443,168
Standex International Corp.		12,300		420,168
Timken Co., The		30,700		1,188,397
Triumph Group Inc.		23,220		1,357,209
UniFirst Corp.		7,300		414,202
United Rentals Inc. (a)		32,100		948,555
Verisk Analytics Inc. Class A (a)		6,330		254,023
WABCO Holdings Inc. (a)		5,750		249,550

				24,746,250


Information Technology (11.88%)
Alliance Data Systems Corp. (a)		14,410		1,496,334
Altera Corp.		16,760		621,796
Autodesk Inc. (a)		24,780		751,577
Avago Technologies Ltd.		23,820		687,446
Brightpoint Inc. (a)		63,900		687,564
CACI International Inc. Class A (a)		15,000		838,800
Check Point Software Technologies Ltd. (a)		12,720		668,309
Citrix Systems Inc. (a)		9,740		591,413
Cognizant Technology Solutions Corp. Class A (a)		8,155		524,448
Coherent Inc. (a)		7,350		384,184
Cypress Semiconductor Corp. (a)		33,030		557,877
F5 Networks Inc. (a)		7,265		770,962
IAC/InterActiveCorp		12,810		545,706
Informatica Corp. (a)		12,660		467,534
Insight Enterprises Inc. (a)		45,600		697,224
Intuit Inc.		15,050		791,480
MICROS Systems Inc. (a)		11,080		516,106
OSI Systems Inc. (a)		21,700		1,058,526
Photronics Inc. (a)		150,200		913,216
Polycom Inc. (a)		31,100		506,930
Red Hat Inc. (a)		8,280		341,881
Richardson Electronics Ltd.		106,300		1,306,427
Riverbed Technology Inc. (a)		24,960		586,560
Rovi Corp. (a)		14,630		359,605
TIBCO Software Inc. (a)		22,840		546,104
Trimble Navigation Ltd. (a)		14,570		632,338
Unisys Corp. (a)		25,400		500,634
United Online Inc.		137,300		746,912


88		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Information Technology (Cont.)
Wright Express Corp. (a)		9,960	$	540,629

				19,638,522

Materials (4.19%)
Airgas Inc.		6,080		474,726
American Vanguard Corp.		65,500		873,770
Aurico Gold Inc. (a)		59,370		475,554
Ecolab Inc.		25,500		1,474,155
Kaiser Aluminum Corp.		15,300		701,964
P. H. Glatfelter Co.		50,100		707,412
Quaker Chemical Corp.		20,000		777,800
Westlake Chemical Corp.		19,500		784,680
Yamana Gold Inc.		44,830		658,553

				6,928,614

Telecommunication Services (1.85%)
General Communication Inc. Class A (a)		79,200		775,368
IDT Corp. Class B		48,500		454,930
SBA Communications Corp. Class A (a)		24,510		1,052,950
Vonage Holdings Corp. (a)		316,800		776,160

				3,059,408

Utilities (5.23%)
AES Corp., The (a)		136,890		1,620,778
American Water Works Co. Inc.		31,300		997,218
Chesapeake Utilities Corp.		15,400		667,590
Cleco Corp.		22,800		868,680
El Paso Electric Co.		30,300		1,049,592
ITC Holdings Corp.		14,390		1,091,913
Laclede Group Inc., The		17,100		692,037
NiSource Inc.		51,880		1,235,263
Unitil Corp.		15,000		425,700

				8,648,771

Total Common Stocks (cost $144,418,231)				162,085,668


	Shares		Value
Registered Investment Companies (0.32%)

Financials (0.32%)
Arlington Asset Investment Corp. Class A		25,000	$	533,250

				533,250

Total Registered Investment Companies (cost $497,057)				533,250

Short-term Investments (1.75%)
JPMorgan U.S. Government Money Market Fund		2,884,610		2,884,610

Total Short-term Investments (cost $2,884,610)				2,884,610

TOTAL INVESTMENTS (100.13%) (cost $147,799,898)				165,503,528
LIABILITIES, NET OF OTHER ASSETS (-0.13%)				(219,699	)

NET ASSETS (100.00%)			$	165,283,829

(a) Non-income producing security.

ADR – American Depository Receipt


See accompanying notes to financial statements.		89

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Shares		Value
Common Stocks (94.30%)

Argentina (1.16%)
Arcos Dorados Holdings Inc. Class A		24,203	$	496,888
MercadoLibre Inc.		8,611		684,919

				1,181,807

Australia (0.94%)
BHP Billiton PLC		32,804		956,485

Austria (0.32%)
Erste Group Bank AG		18,590		326,857

Belgium (2.44%)
Anheuser-Busch InBev NV		40,766		2,495,879

Brazil (2.56%)
BR Malls Participacoes SA		65,900		640,187
Itau Unibanco Holding SA ADR		43,811		813,132
OGX Petroleo e Gas Participacoes SA (a)		158,300		1,155,902

				2,609,221

Canada (2.53%)
Canadian National Railway Co.		16,586		1,302,996
Imax Corp. (a)		16,655		305,286
Pacific Rubiales Energy Corp.		24,542		451,212
Potash Corporation of Saskatchewan Inc.		12,772		527,228

				2,586,722

China (3.20%)
Baidu Inc. Sponsored ADR (a)		9,777		1,138,727
China Life Insurance Co. Ltd. H		163,000		402,956
China Mobile Ltd.		92,500		903,967
China Pacific Insurance (Group) Company Ltd. H		24,200		69,017
PetroChina Company Ltd. H		605,000		754,828

				3,269,495

Denmark (3.35%)
A P Moller-Maersk A/S Class B		14		92,435
Novo Nordisk A/S Class B		24,169		2,777,417
Novozymes A/S B Shares		17,692		546,165

				3,416,017

France (8.06%)
Accor SA		8,359		211,883
AXA SA		50,577		657,539
Compagnie de Saint-Gobain		9,513		365,242
DANONE SA		14,833		932,428
Essilor International SA		5,906		416,972
JC Decaux SA (a)		19,000		437,593
L’Oreal SA		6,400		668,454
Pernod Ricard SA		16,436		1,524,373


	Shares		Value
Common Stocks (Cont.)

France (Cont.)
Publicis Groupe		10,696	$	492,060
Schneider Electric SA		33,922		1,785,997
Unibail-Rodamco SE		4,090		735,265

				8,227,806

Germany (5.55%)
Adidas AG		11,024		717,100
Allianz SE Reg.		6,256		598,437
Bayerische Motoren Werke (BMW) AG		13,787		923,597
Daimler AG Registered Shares		16,816		738,239
Infineon Technologies AG		60,522		455,571
Linde AG		9,900		1,472,863
SAP AG		14,332		757,735

				5,663,542

Hong Kong (4.86%)
Belle International Holdings Ltd.		352,000		615,478
Cheung Kong Holdings Ltd.		69,000		820,900
China Unicom (Hong Kong) Ltd.		612,000		1,289,151
CNOOC Ltd.		289,000		505,320
Hang Lung Properties Ltd.		326,000		927,639
Li & Fung Ltd.		432,000		798,743

				4,957,231

India (0.45%)
ICICI Bank Ltd. Sponsored ADR		17,566		464,269

Ireland (0.95%)
Accenture PLC Class A		18,127		964,900

Israel (0.48%)
Check Point Software Technologies Ltd. (a)		9,301		488,675

Italy (0.16%)
Prada SpA (a)		37,000		167,454

Japan (9.65%)
Canon Inc.		40,300		1,785,410
Fanuc Corp.		18,000		2,754,840
Honda Motor Co. Ltd.		23,800		726,028
Hoya Corp.		23,400		504,056
Japan Tobacco Inc.		238		1,119,345
Komatsu Ltd.		17,200		402,011
Marubeni Corp.		83,000		505,742
Rakuten Inc.		392		421,692
Sumitomo Realty & Development Co. Ltd.		29,000		507,886
Toyota Motor Corp.		18,600		619,839
Yamada Denki Co. Ltd.		7,430		505,823

				9,852,672


90		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Malaysia (1.77%)
Genting Berhad		284,800	$	988,265
Sime Darby Berhad		283,700		823,356

				1,811,621

Mexico (0.51%)
Wal-mart de Mexico SAB de CV		188,100		516,258

Netherlands (3.53%)
ASML Holding NV		33,785		1,420,010
Royal Dutch Shell PLC Class A		29,427		1,072,118
Sensata Technologies Holding NV (a)		32,602		856,781
Yandex NV Class A (a)		13,026		256,612

				3,605,521

Norway (0.74%)
Statoil ASA		29,350		753,275

Singapore (1.25%)
DBS Group Holdings Ltd.		75,714		672,469
United Overseas Bank Ltd.		50,841		598,544

				1,271,013

South Korea (0.52%)
Samsung Electronics Co. Ltd.		576		529,000

Spain (1.37%)
Industria de Diseno Textil SA		10,497		859,706
Telefonica SA		31,305		542,313

				1,402,019

Sweden (4.62%)
Atlas Copco AB Class A		60,000		1,290,313
Hennes & Mauritz AB (H&M) B Shares		16,826		541,059
Investor AB B Shares		26,200		488,819
Millicom International Cellular
SA SDR		12,386		1,240,931
Sandvik AB		50,818		623,590
Volvo AB B Shares		49,000		536,134

				4,720,846

Switzerland (12.02%)
ABB Ltd. Reg. (a)		39,745		748,101
Compagnie Financiere Richemont SA Class A		16,416		830,325
Holcim Ltd. Reg. (a)		11,898		636,511
Julius Baer Group Ltd. (a)		32,197		1,259,361
Nestle SA Reg.		40,984		2,356,155
Novartis AG		17,352		992,018
Roche Holding AG		16,503		2,797,059
Swatch Group AG, The		2,737		1,024,226
Syngenta AG Reg. (a)		3,010		881,241
UBS AG Reg. (a)		62,588		744,952

				12,269,949


	Shares		Value
Common Stocks (Cont.)

Taiwan (2.06%)
Taiwan Semiconductor Manufacturing Company Ltd. Sponsored ADR		162,547	$	2,098,482

United Kingdom (17.15%)
Anglo American PLC		24,657		910,974
ARM Holdings PLC		85,289		784,127
BG Group PLC		48,700		1,041,062
British American Tobacco PLC		37,420		1,775,651
British Sky Broadcasting Group PLC		109,440		1,244,959
CRH PLC		21,528		427,942
Diageo PLC		55,274		1,207,347
Experian PLC		71,415		970,995
Imperial Tobacco Group PLC		28,327		1,071,201
Reed Elsevier PLC		59,279		477,793
Rolls-Royce Holdings PLC (a)		108,453		1,257,311
Rolls-Royce Holdings PLC Class C Entitlement Shares (a) (b)		4,306,911		6,689
Shire PLC		29,421		1,024,845
Standard Chartered PLC		109,355		2,392,881
Tullow Oil PLC		37,130		808,434
Xstrata PLC		138,238		2,099,606

				17,501,817

United States (2.10%)
Citigroup Inc.		27,928		734,786
Las Vegas Sands Corp. (a)		11,363		485,541
Wynn Resorts Ltd.		8,334		920,824

				2,141,151

Total Common Stocks (cost $88,426,370)				96,249,984

Preferred Stocks (2.82%)

Brazil (2.82%)
Banco Bradesco SA Pfd.		61,809		1,018,966
Petroleo Brasileiro SA Pfd.		90,900		1,047,281
Suzano Papel e Celulose SA		78,875		285,011
Vale SA Pfd. Class A		26,100		529,206

				2,880,464

Total Preferred Stocks (cost $4,393,940)				2,880,464


See accompanying notes to financial statements.		91

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Short-term Investments (2.86%)
State Street Institutional U.S. Government Money Market Fund		2,921,255	$	2,921,255

Total Short-term Investments (cost $2,921,255)				2,921,255

TOTAL INVESTMENTS (99.98%) (cost $95,741,565)				102,051,703
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.02%)				22,570

NET ASSETS (100.00%)			$	102,074,273

(a)	Non-income producing security.

(b)	In accordance with the Trust’s Valuation Procedures, State Farm Investment Management Corp. (“SFIMC”) determined the fair value for the security considering the facts and circumstances related to the particular security.

ADR	– American Depository Receipt

SDR	– Swedish Depository Receipt


INTERNATIONAL EQUITY FUND FOREIGN CURRENCY DENOMINATIONS

Currency	Value		%
Euro	$	20,608,231		20.19
British Pound		18,458,302		18.09
United States Dollar		15,461,301		15.15
Swiss Franc		12,269,949		12.02
Japanese Yen		9,852,672		9.65
Hong Kong Dollar		7,255,453		7.11
Swedish Krona		4,720,846		4.63
Brazilian Real		4,676,553		4.58
Danish Krone		3,416,017		3.35
Malaysian Ringgit		1,811,621		1.77
Singapore Dollar		1,271,013		1.25
Norwegian Krone		753,275		0.74
South Korean Won		529,000		0.52
Mexican Peso		516,258		0.51
Canadian Dollar		451,212		0.44

Total Investments	$	102,051,703		100.00	%


INTERNATIONAL EQUITY FUND SECTOR CLASSIFICATIONS
Sector	Value		%
Consumer Discretionary	$	15,550,401		15.23
Financials		14,874,862		14.57
Industrials		14,322,533		14.03
Consumer Staples		13,667,091		13.39
Information Technology		11,868,224		11.63
Materials		9,273,232		9.08
Health Care		8,008,311		7.85
Energy		7,589,432		7.44
Telecommunication Services		3,976,362		3.90

Total Stocks		99,130,448		97.12
Short-term Investments		2,921,255		2.86
Cash and Other Assets, Net of Liabilities		22,570		0.02

Net Assets	$	102,074,273		100.00	%


92		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Shares		Value
Common Stocks (98.35%)

Consumer Discretionary (12.96%)
1-800-FLOWERS.COM Inc. (a)		7,415	$	16,313
99 Cents Only Stores (a)		11,678		256,332
Aeropostale Inc. (a)		19,918		303,750
AFC Enterprises Inc. (a)		6,041		88,803
AH Belo Corp. Class A		4,520		21,470
Ambassadors Group Inc.		4,772		21,522
American Axle & Manufacturing
Holdings Inc. (a)		16,530		163,482
American Greetings Corp. Class A		10,100		126,351
American Public Education Inc. (a)		4,555		197,140
America’s Car-Mart Inc. (a)		2,200		86,196
Amerigon Inc. (a)		5,700		81,282
Ameristar Casinos Inc.		7,944		137,352
Ann Inc. (a)		12,832		317,977
Arbitron Inc.		6,718		231,166
Archipelago Learning Inc. (a)		3,085		29,832
Arctic Cat Inc. (a)		3,069		69,206
Asbury Automotive Group Inc. (a)		7,352		158,509
Ascena Retail Group Inc. (a)		15,546		462,027
Ascent Capital Group LLC Class A (a)		3,600		182,592
Barnes & Noble Inc. (a)		7,137		103,344
Beazer Homes USA Inc. (a)		19,663		48,764
bebe stores inc.		9,200		76,636
Belo Corp. Class A		22,900		144,270
Benihana Inc. (a)		3,314		33,902
Big 5 Sporting Goods Corp.		5,519		57,618
Biglari Holdings Inc. (a)		301		110,840
BJ’s Restaurants Inc. (a)		5,949		269,609
Black Diamond Inc. (a)		3,339		24,942
Blue Nile Inc. (a)		2,956		120,841
Blyth Inc.		1,236		70,205
Bob Evans Farms Inc.		7,545		253,059
Body Central Corp. (a)		2,870		71,635
Bon-Ton Stores Inc., The		2,908		9,800
Boyd Gaming Corp. (a)		13,553		101,105
Bravo Brio Restaurant Group Inc. (a)		4,815		82,577
Bridgepoint Education Inc. (a)		4,447		102,281
Brown Shoe Co. Inc.		10,605		94,384
Brunswick Corp.		22,200		400,932
Buckle Inc., The		6,749		275,832
Buffalo Wild Wings Inc. (a)		4,496		303,525
Build-A-Bear Workshop Inc. (a)		3,529		29,855
Cabela’s Inc. (a)		10,730		272,757
Callaway Golf Co.		16,414		90,769
Cambium Learning Group Inc. (a)		4,153		12,542
Capella Education Co. (a)		3,629		130,825
Caribou Coffee Company Inc. (a)		3,200		44,640
Carrols Restaurant Group Inc. (a)		3,200		37,024
Carter’s Inc. (a)		12,289		489,225
Casual Male Retail Group Inc. (a)		10,474		35,821
Cato Corp. Class A		6,744		163,205
Cavco Industries Inc. (a)		1,642		65,779
CEC Entertainment Inc.		5,006		172,457
Central European Media Enterprises Ltd. Class A (a)		9,051		59,013
Charming Shoppes Inc. (a)		28,181		138,087
Cheesecake Factory Inc., The (a)		14,289		419,382


	Shares		Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
Cherokee Inc.		2,261	$	26,386
Children’s Place Retail Stores
Inc., The (a)		6,456		342,943
Christopher & Banks Corp.		9,242		21,626
Churchill Downs Inc.		3,145		163,949
Cinemark Holdings Inc.		22,900		423,421
Citi Trends Inc. (a)		3,800		33,364
Coinstar Inc. (a)		7,819		356,859
Coldwater Creek Inc. (a)		20,700		24,426
Collective Brands Inc. (a)		15,230		218,855
Columbia Sportswear Co.		2,948		137,229
Conn’s Inc. (a)		3,792		42,091
Cooper Tire & Rubber Co.		15,450		216,454
Core-Mark Holding Co. Inc.		2,928		115,949
Corinthian Colleges Inc. (a)		19,116		41,482
Cost Plus Inc. (a)		4,702		45,844
Cracker Barrel Old Country Store Inc.		5,682		286,430
Crocs Inc. (a)		22,500		332,325
Crown Media Holdings Inc. (a)		7,162		8,666
CSS Industries Inc.		2,018		40,199
Cumulus Media Inc. Class A (a)		9,189		30,691
Dana Holding Corp. (a)		36,084		438,421
Delta Apparel Inc. (a)		1,918		36,615
Denny’s Corp. (a)		25,053		94,199
Destination Maternity Corp.		2,600		43,472
Dial Global Inc. (a)		1,457		4,648
Digital Domain Media Group Inc. (a)		1,300		7,904
Digital Generation Inc. (a)		6,797		81,020
DineEquity Inc. (a)		3,875		163,564
Domino’s Pizza Inc. (a)		14,517		492,852
Dorman Products Inc. (a)		2,600		96,018
Drew Industries Inc. (a)		4,619		113,304
E.W. Scripps Co Class A (a)		7,590		60,796
Eastman Kodak Co. (a)		65,718		42,684
Einstein Noah Restaurant Group Inc.		1,400		22,148
Entercom Communications Corp. Class A (a)		5,869		36,094
Entravision Communications Corp. Class A		12,045		18,790
Ethan Allen Interiors Inc.		6,122		145,153
Exide Technologies (a)		18,900		49,707
Express Inc. (a)		13,662		272,420
Finish Line Inc. Class A, The		12,706		245,035
Fisher Communications Inc. (a)		2,196		63,311
Francesca’s Holdings Corp. (a)		2,460		42,558
Fred’s Inc. Class A		8,940		130,345
Fuel Systems Solutions Inc. (a)		3,954		65,201
Furniture Brands International Inc. (a)		10,564		12,994
Gaylord Entertainment Co. (a)		8,714		210,356
Geeknet Inc. (a)		1,082		18,448
Genesco Inc. (a)		5,832		360,068
G-III Apparel Group Ltd. (a)		4,071		101,409
Global Sources Ltd. (a)		2,764		13,405
GNC Holdings Inc. Class A (a)		5,657		163,770
Gordmans Stores Inc. (a)		1,300		16,341
Grand Canyon Education Inc. (a)		7,033		112,247


See accompanying notes to financial statements.		93

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
Gray Television Inc. (a)		12,015	$	19,464
Group 1 Automotive Inc.		5,649		292,618
Harte-Hanks Inc.		10,900		99,081
Haverty Furniture Companies Inc.		4,535		49,794
Helen of Troy Ltd. (a)		7,679		235,745
hhgregg Inc. (a)		4,414		63,782
Hibbett Sports Inc. (a)		6,812		307,766
Hillenbrand Inc.		15,453		344,911
Hot Topic Inc.		10,292		68,030
Hovnanian Enterprises Inc. (a)		16,624		24,105
HSN Inc.		9,900		358,974
Iconix Brand Group Inc. (a)		18,016		293,481
International Speedway Corp. Class A		7,285		184,675
Interval Leisure Group Inc. (a)		10,100		137,461
iRobot Corp. (a)		5,900		176,115
Isle of Capri Casinos Inc. (a)		5,109		23,859
Jack in the Box Inc. (a)		10,929		228,416
JAKKS Pacific Inc.		6,627		93,507
Jamba Inc. (a)		14,879		19,491
Johnson Outdoors Inc. Class A (a)		1,230		18,880
Jones Group Inc., The		20,157		212,656
Jos. A. Bank Clothiers Inc. (a)		6,855		334,250
Journal Communications Inc.
Class A (a)		10,142		44,625
K12 Inc. (a)		6,373		114,332
KB Home		18,979		127,539
Kenneth Cole Productions Inc. (a)		1,721		18,225
Kirkland’s Inc. (a)		4,200		55,860
Knology Inc. (a)		7,500		106,500
Krispy Kreme Doughnuts Inc. (a)		14,206		92,907
K-Swiss Inc. Class A (a)		6,671		19,479
La-Z-Boy Inc. (a)		13,122		156,152
Leapfrog Enterprises Inc. (a)		10,520		58,807
Libbey Inc. (a)		4,823		61,445
Life Time Fitness Inc. (a)		10,478		489,846
Lifetime Brands Inc.		2,381		28,905
Lin TV Corp. (a)		7,165		30,308
Lincoln Educational Services Corp.		5,600		44,240
Lions Gate Entertainment Corp. (a)		11,159		92,843
Lithia Motors Inc. Class A		5,439		118,897
Live Nation Entertainment Inc. (a)		34,853		289,628
Liz Claiborne Inc. (a)		23,800		205,394
Luby’s Inc. (a)		4,712		21,251
Lumber Liquidators Holdings Inc. (a)		5,574		98,437
M.D.C. Holdings Inc.		9,247		163,025
M/I Homes Inc. (a)		4,700		45,120
Mac-Gray Corp.		2,800		38,612
Maidenform Brands Inc. (a)		5,800		106,140
Marcus Corp.		5,037		63,517
Marine Products Corp. (a)		2,692		13,352
MarineMax Inc. (a)		5,531		36,062
Martha Stewart Living Omnimedia Inc.		6,778		29,823
Matthews International Corp.		7,408		232,833
Mattress Firm Holding Corp. (a)		1,400		32,466
McClatchy Co. Class A, The (a)		14,927		35,676
McCormick & Schmick’s Seafood Restaurants Inc. (a)		3,200		27,968


	Shares		Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
MDC Partners Inc. Class A		6,183	$	83,594
Men’s Wearhouse Inc., The		12,858		416,728
Meredith Corp.		8,988		293,458
Meritage Homes Corp. (a)		6,900		160,011
Modine Manufacturing Co. (a)		11,320		107,087
Monarch Casino & Resort Inc. (a)		2,466		25,129
Monro Muffler Brake Inc.		7,602		294,882
Morgans Hotel Group Co. (a)		4,986		29,417
Motorcar Parts of America Inc. (a)		3,036		22,770
Movado Group Inc.		4,339		78,840
Multimedia Games Holding Company Inc. (a)		6,300		50,022
National American University Holdings Inc.		2,083		15,789
National CineMedia Inc.		13,672		169,533
New York & Co. Inc. (a)		5,919		15,745
New York Times Co. Class A, The (a)		33,852		261,676
Nexstar Broadcasting Group Inc. Class A (a)		2,884		22,611
NutriSystem Inc.		6,707		86,722
O’Charley’s Inc. (a)		4,709		25,852
Office Depot Inc. (a)		68,539		147,359
OfficeMax Inc. (a)		21,200		96,248
Orbitz Worldwide Inc. (a)		5,115		19,232
Orient-Express Hotels Ltd. Class A (a)		23,503		175,567
Outdoor Channel Holdings Inc.		3,500		26,110
Overstock.com Inc. (a)		2,899		22,728
Oxford Industries Inc.		3,247		146,505
Pacific Sunwear of California Inc. (a)		11,602		19,839
Papa John’s International Inc. (a)		4,680		176,342
Peet’s Coffee & Tea Inc. (a)		3,153		197,630
Penske Automotive Group Inc.		10,929		210,383
Pep Boys-Manny, Moe & Jack, The		13,227		145,497
Perry Ellis International Inc. (a)		3,140		44,651
PetMed Express Inc.		4,700		48,786
PF Chang’s China Bistro Inc.		5,297		163,730
Pier 1 Imports Inc. (a)		24,411		340,045
Pinnacle Entertainment Inc. (a)		15,448		156,952
Pool Corp.		11,896		358,070
Quiksilver Inc. (a)		32,600		117,686
R.G. Barry Corp.		2,081		25,138
ReachLocal Inc. (a)		2,409		14,888
Red Lion Hotels Corp. (a)		4,000		27,720
Red Robin Gourmet Burgers Inc. (a)		3,174		87,920
Regis Corp.		14,375		237,906
Rent-A-Center Inc.		14,554		538,498
Rentrak Corp. (a)		2,500		35,700
Ruby Tuesday Inc. (a)		15,711		108,406
Rue21 Inc. (a)		3,677		79,423
Ruth’s Hospitality Group Inc. (a)		9,385		46,643
Ryland Group Inc.		10,889		171,611
Saga Communications Inc. Class A (a)		897		33,530
Saks Inc. (a)		28,415		277,046
Scholastic Corp.		6,691		200,529
School Specialty Inc. (a)		3,964		9,910
Scientific Games Corp. Class A (a)		14,346		139,156
Sealy Corp. (a)		12,100		20,812


94		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
Select Comfort Corp. (a)		13,753	$	298,303
Shiloh Industries Inc. (a)		1,370		11,481
Shoe Carnival Inc. (a)		2,417		62,117
Shuffle Master Inc. (a)		13,478		157,962
Shutterfly Inc. (a)		7,343		167,127
Sinclair Broadcast Group Inc. Class A		12,455		141,115
Six Flags Entertainment Corp.		10,298		424,690
Skechers U.S.A. Inc. (a)		9,249		112,098
Skullcandy Inc. (a)		2,366		29,622
Skyline Corp.		1,843		8,017
Smith & Wesson Holding Corp. (a)		14,939		65,134
Sonic Automotive Inc.		9,997		148,056
Sonic Corp. (a)		15,046		101,260
Sotheby’s		16,797		479,218
Spartan Motors Inc.		8,300		39,923
Speedway Motorsports Inc.		2,854		43,752
Stage Stores Inc.		7,807		108,439
Standard Motor Products Inc.		5,000		100,250
Standard Pacific Corp. (a)		25,800		82,044
Stein Mart Inc. (a)		6,523		44,422
Steiner Leisure Ltd. (a)		3,652		165,764
Steinway Musical Instruments Inc. (a)		1,499		37,535
Steven Madden Ltd. (a)		9,327		321,782
Stewart Enterprises Inc.		19,454		112,055
Stoneridge Inc. (a)		6,600		55,638
Strayer Education Inc.		3,020		293,514
Sturm, Ruger & Company Inc.		4,700		157,262
Summer Infant Inc. (a)		3,751		26,407
Superior Industries International Inc.		5,941		98,264
Systemax Inc. (a)		2,500		41,025
Talbots Inc. (a)		17,499		46,547
Teavana Holdings Inc. (a)		1,754		32,940
Tenneco Inc. (a)		15,013		447,087
Texas Roadhouse Inc. Class A		15,604		232,500
Tower International Inc. (a)		1,495		16,056
Town Sports International Holdings Inc. (a)		5,111		37,566
True Religion Apparel Inc. (a)		6,300		217,854
Tuesday Morning Corp. (a)		10,689		36,877
Unifi Inc. (a)		3,500		26,600
Universal Electronics Inc. (a)		3,712		62,621
Universal Technical Institute Inc. (a)		5,081		64,935
US Auto Parts Network Inc. (a)		3,600		15,732
Vail Resorts Inc.		9,026		382,341
Valassis Communications Inc. (a)		11,190		215,184
Value Line Inc.		434		4,462
ValueVision Media Inc. Class A (a)		10,094		18,977
Vera Bradley Inc. (a)		4,847		156,316
Vitamin Shoppe Inc. (a)		6,123		244,185
VOXX International Corp. (a)		4,204		35,524
Warnaco Group Inc., The (a)		10,012		501,000
West Marine Inc. (a)		3,400		39,542
Wet Seal Inc. Class A (a)		22,624		73,754
Weyco Group Inc.		1,700		41,735
Winmark Corp.		575		32,988
Winnebago Industries Inc. (a)		7,419		54,752


	Shares		Value
Common Stocks (Cont.)

Consumer Discretionary (Cont.)
Wolverine World Wide Inc.		12,215	$	435,343
World Wrestling Entertainment Inc.		7,095		66,125
Zagg Inc. (a)		5,616		39,705
Zale Corp. (a)		7,922		30,183
Zumiez Inc. (a)		5,166		143,408

				35,755,722

Consumer Staples (3.63%)
Alico Inc.		885		17,142
Alliance One International Inc. (a)		22,644		61,592
Andersons Inc., The		4,540		198,216
Arden Group Inc. Class A		300		27,003
B&G Foods Inc. Class A		12,000		288,840
Boston Beer Co. Inc. (a)		2,080		225,805
Calavo Growers Inc.		3,100		79,608
Cal-Maine Foods Inc.		3,500		127,995
Casey’s General Stores Inc.		9,400		484,194
Central European Distribution Corp. (a)		17,941		78,492
Central Garden & Pet Co. (a)		10,273		85,471
Chefs’ Warehouse Inc., The (a)		2,500		44,650
Chiquita Brands International Inc. (a)		11,405		95,118
Coca-Cola Bottling Co. Consolidated		1,155		67,625
Craft Brewers Alliance Inc. (a)		2,569		15,465
Darling International Inc. (a)		28,837		383,244
Diamond Foods Inc.		5,400		174,258
Dole Food Company Inc. (a)		8,668		74,978
Elizabeth Arden Inc. (a)		6,103		226,055
Farmer Brothers Co.		1,831		13,989
Female Health Co., The		5,300		23,903
Fresh Del Monte Produce Inc.		9,000		225,090
Fresh Market Inc., The (a)		6,870		274,113
Griffin Land & Nurseries Inc.		500		13,230
Hain Celestial Group Inc., The (a)		8,823		323,451
Harbinger Group Inc. (a)		2,727		10,935
Heckmann Corp. (a)		24,700		164,255
Imperial Sugar Co.		3,100		11,067
Ingles Markets Inc.		3,305		49,773
Inter Parfums Inc.		4,216		65,601
J&J Snack Foods Corp.		3,542		188,718
Lancaster Colony Corp.		4,614		319,935
Lifeway Foods Inc. (a)		1,100		10,604
Limoneira Co.		2,067		34,953
Medifast Inc. (a)		3,531		48,445
MGP Ingredients Inc.		2,972		14,979
Nash Finch Co.		3,012		88,191
National Beverage Corp. (a)		2,580		41,461
Nature’s Sunshine Products Inc. (a)		2,767		42,944
Nu Skin Enterprises Inc.		13,562		658,706
Nutraceutical International Corp. (a)		2,500		28,300
Oil-Dri Corporation of America		1,200		24,288
Omega Protein Corp. (a)		4,780		34,081
Pantry Inc., The (a)		5,739		68,696
Pilgrim’s Pride Corp. (a)		12,231		70,451
Prestige Brands Holdings Inc. (a)		12,448		140,290
PriceSmart Inc.		4,400		306,196
Primo Water Corp. (a)		3,040		9,242


See accompanying notes to financial statements.		95

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Consumer Staples (Cont.)
Revlon Inc. Class A (a)		2,700	$	40,149
Rite Aid Corp. (a)		145,643		183,510
Ruddick Corp.		12,090		515,518
Sanderson Farms Inc.		5,445		272,958
Schiff Nutrition International Inc. (a)		2,900		31,030
Seneca Foods Corp. Class A (a)		2,301		59,412
Smart Balance Inc. (a)		14,600		78,256
Snyders-Lance Inc.		11,658		262,305
Spartan Stores Inc.		5,652		104,562
Spectrum Brands Holdings Inc. (a)		4,090		112,066
Star Scientific Inc. (a)		26,500		57,770
Susser Holdings Corp. (a)		2,300		52,026
Synutra International Inc. (a)		4,500		22,770
Tootsie Roll Industries Inc.		5,825		137,878
TreeHouse Foods Inc. (a)		8,767		573,186
United Natural Foods Inc. (a)		11,946		477,959
Universal Corp.		5,705		262,202
USANA Health Sciences Inc. (a)		1,574		47,802
Vector Group Ltd.		11,912		211,557
Village Super Market Inc. Class A		1,528		43,472
WD-40 Co.		3,862		156,063
Weis Markets Inc.		2,796		111,672
Winn-Dixie Stores Inc. (a)		14,000		131,320

				10,007,081

Energy (6.66%)
Abraxas Petroleum Corp. (a)		20,468		67,544
Alon USA Energy Inc.		2,800		24,388
Amyris Inc. (a)		4,382		50,568
Apco Oil and Gas International Inc.		2,300		187,956
Approach Resources Inc. (a)		6,479		190,547
ATP Oil & Gas Corp. (a)		10,834		79,738
Basic Energy Services Inc. (a)		6,100		120,170
Berry Petroleum Co.		12,740		535,335
Bill Barrett Corp. (a)		11,774		401,140
BPZ Resources Inc. (a)		26,000		73,840
Bristow Group Inc.		8,923		422,861
C&J Energy Services Inc. (a)		2,929		61,304
Cal Dive International Inc. (a)		23,514		52,906
Callon Petroleum Co. (a)		9,694		48,179
CAMAC Energy Inc. (a)		12,002		12,122
Carrizo Oil & Gas Inc. (a)		9,590		252,696
Cheniere Energy Inc. (a)		20,379		177,094
Clayton Williams Energy Inc. (a)		1,449		109,950
Clean Energy Fuels Corp. (a)		12,255		152,697
Cloud Peak Energy Inc. (a)		15,087		291,481
Complete Production Services Inc. (a)		19,600		657,776
Comstock Resources Inc. (a)		11,772		180,112
Contango Oil & Gas Co. (a)		3,000		174,540
Crimson Exploration Inc. (a)		5,419		15,498
Crosstex Energy Inc.		10,319		130,432
CVR Energy Inc. (a)		21,703		406,497
Dawson Geophysical Co. (a)		2,000		79,060
Delek US Holdings Inc.		3,500		39,935
DHT Holdings Inc.		15,800		11,692
Dril-Quip Inc. (a)		8,549		562,695
Endeavour International Corp. (a)		9,231		80,217


	Shares		Value
Common Stocks (Cont.)

Energy (Cont.)
Energy Partners Ltd. (a)		7,325	$	106,945
Energy XXI (Bermuda) Ltd. (a)		18,593		592,745
Evolution Petroleum Corp. (a)		3,936		31,685
Exterran Holdings Inc. (a)		15,806		143,835
Frontline Ltd.		12,714		54,543
FX Energy Inc. (a)		12,900		61,920
Gastar Exploration Ltd. (a)		14,162		45,035
Geokinetics Inc. (a)		2,657		5,713
GeoResources Inc. (a)		4,988		146,198
Gevo Inc. (a)		1,500		9,435
Global Geophysical Services Inc. (a)		4,454		29,931
GMX Resources Inc. (a)		14,812		18,515
Golar LNG Ltd.		9,817		436,366
Goodrich Petroleum Corp. (a)		6,253		85,854
Green Plains Renewable Energy Inc. (a)		4,500		43,920
Gulf Island Fabrication Inc.		3,482		101,709
GulfMark Offshore Inc. Class A (a)		5,899		247,817
Gulfport Energy Corp. (a)		11,277		332,108
Hallador Energy Co.		737		7,318
Harvest Natural Resources Inc. (a)		8,432		62,228
Helix Energy Solutions Group Inc. (a)		26,094		412,285
Hercules Offshore Inc. (a)		28,957		128,569
Hornbeck Offshore Services Inc. (a)		7,634		236,807
Houston American Energy Corp. (a)		4,083		49,772
Hyperdynamics Corp. (a)		38,408		94,100
ION Geophysical Corp. (a)		32,813		201,144
Isramco Inc. (a)		272		24,360
James River Coal Co. (a)		8,761		60,626
Key Energy Services Inc. (a)		31,005		479,647
KiOR Inc. Class A (a)		2,654		27,018
Knightsbridge Tankers Ltd.		5,386		73,627
Kodiak Oil & Gas Corp. (a)		63,809		606,186
L&L Energy Inc. (a)		5,734		14,851
Lufkin Industries Inc.		7,564		509,133
Magnum Hunter Resources Corp. (a)		27,514		148,300
Magnum Hunter Resources Corp. Warrants (a) (b)		2,751		0
Matrix Service Co. (a)		6,700		63,248
McMoRan Exploration Co. (a)		24,248		352,808
Miller Energy Resources Inc. (a)		7,630		21,288
Mitcham Industries Inc. (a)		2,869		62,659
Natural Gas Services Group (a)		3,100		44,826
Newpark Resources Inc. (a)		22,457		213,342
Nordic American Tankers Ltd.		11,502		137,909
Northern Oil and Gas Inc. (a)		15,595		373,968
Oasis Petroleum Inc. (a)		14,711		427,943
Overseas Shipholding Group Inc.		6,668		72,881
OYO Geospace Corp. (a)		1,100		85,063
Panhandle Oil & Gas Inc.		1,763		57,844
Parker Drilling Co. (a)		28,421		203,779
Patriot Coal Corp. (a)		22,510		190,660
Penn Virginia Corp.		11,134		58,899
Petroleum Development Corp. (a)		5,911		207,535
Petroquest Energy Inc. (a)		14,265		94,149
PHI Inc. (a)		3,100		77,035
Pioneer Drilling Co. (a)		15,164		146,788


96		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Energy (Cont.)
Rentech Inc. (a)		53,394	$	69,946
Resolute Energy Corp. (a)		11,443		123,584
REX American Resources Corp. (a)		1,300		28,743
Rex Energy Corp. (a)		8,900		131,364
RigNet Inc. (a)		1,500		25,110
Rosetta Resources Inc. (a)		13,117		570,590
Scorpio Tankers Inc. (a)		7,680		37,555
SemGroup Corp. Class A (a)		10,264		267,480
Ship Finance International Ltd.		11,100		103,674
Solazyme Inc. (a)		2,746		32,677
Stone Energy Corp. (a)		12,074		318,512
Swift Energy Co. (a)		10,520		312,654
Syntroleum Corp. (a)		19,348		18,574
Targa Resources Corp.		4,064		165,364
Teekay Tankers Ltd. Class A		10,394		36,587
Tesco Corp. (a)		7,523		95,091
TETRA Technologies Inc. (a)		19,000		177,460
Triangle Petroleum Corp. (a)		10,639		63,515
Union Drilling Inc. (a)		3,600		22,464
Uranerz Energy Corp. (a)		15,943		29,016
Uranium Energy Corp. (a)		19,800		60,588
Uranium Resources Inc. (a)		22,991		16,691
Ur-Energy Inc. (a)		25,544		21,942
USEC Inc. (a)		28,891		32,936
VAALCO Energy Inc. (a)		13,200		79,728
Vantage Drilling Co. (a)		43,336		50,270
Venoco Inc. (a)		7,279		49,279
Voyager Oil & Gas Inc. (a)		11,537		29,650
W&T Offshore Inc.		8,600		182,406
Warren Resources Inc. (a)		18,346		59,808
Western Refining Inc. (a)		13,281		176,504
Westmoreland Coal Co. (a)		2,467		31,454
Willbros Group Inc. (a)		9,700		35,599
World Fuel Services Corp.		17,477		733,684
Zion Oil & Gas Inc. (a)		6,257		13,830

				18,378,168

Financials (21.16%)
1st Source Corp.		3,827		96,938
1st United Bancorp Inc. (a)		6,900		38,295
Acadia Realty Trust		10,590		213,283
Advance America Cash Advance Centers Inc.		13,801		123,519
Ag Mortgage Investment Trust Inc.		1,547		31,141
Agree Realty Corp.		2,420		59,000
Alexander’s Inc.		519		192,046
Alliance Financial Corp.		1,100		33,968
Alterra Capital Holdings Ltd.		22,427		529,950
American Assets Trust Inc.		7,947		162,993
American Campus Communities Inc.		16,784		704,257
American Capital Mortgage Investment Corp.		1,965		36,981
American Equity Investment Life Holding Co.		14,642		152,277
American Safety Insurance Holdings Ltd. (a)		2,576		56,028
Ameris Bancorp (a)		6,127		62,986


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Amerisafe Inc. (a)		4,500	$	104,625
Ames National Corp.		2,200		42,900
AmTrust Financial Services Inc.		6,100		144,875
Anworth Mortgage Asset Corp.		33,643		211,278
Apollo Commercial Real Estate Finance Inc.		4,861		63,825
Apollo Residential Mortgage Inc.		2,326		35,495
Argo Group International Holdings Ltd.		6,786		196,523
Armour Residential REIT Inc.		23,083		162,735
Arrow Financial Corp.		2,513		58,905
Artio Global Investors Inc.		7,755		37,844
Ashford Hospitality Trust Inc.		13,019		104,152
Associated Estates Realty Corp.		10,200		162,690
Astoria Financial Corp.		21,700		184,233
Avatar Holdings Inc. (a)		2,348		16,859
Baldwin & Lyons Inc.		2,011		43,840
BancFirst Corp.		1,648		61,866
Banco Latinoamericano de Comercio Exterior SA		7,000		112,350
Bancorp Inc., The (a)		7,272		52,577
Bancorp Rhode Island Inc.		991		39,343
BancorpSouth Inc.		20,547		226,428
Bank Mutual Corp.		11,919		37,902
Bank of Kentucky Financial Corp., The		1,425		28,571
Bank of Marin Bancorp		1,400		52,626
Bank of the Ozarks Inc.		7,036		208,477
BankFinancial Corp.		5,403		29,825
Banner Corp.		4,065		69,715
BBCN Bancorp Inc. (a)		18,532		175,127
Beneficial Mutual Bancorp Inc. (a)		8,145		68,092
Berkshire Hills Bancorp Inc.		5,076		112,636
BGC Partners Inc. Class A		18,701		111,084
BioMed Realty Trust Inc.		38,406		694,380
BofI Holding Inc. (a)		2,334		37,928
Boston Private Financial Holdings Inc.		19,251		152,853
Bridge Bancorp Inc.		1,685		33,532
Bridge Capital Holdings (a)		2,253		23,431
Brookline Bancorp Inc.		14,281		120,532
Bryn Mawr Bank Corp.		2,800		54,572
Calamos Asset Management Inc. Class A		4,651		58,184
California First National Bancorp		300		4,824
Camden National Corp.		2,000		65,200
Campus Crest Communities Inc.		7,610		76,557
Cape Bancorp Inc. (a)		2,855		22,412
Capital Bank Corp. (a)		3,380		6,794
Capital City Bank Group Inc.		2,998		28,631
CapLease Inc.		16,756		67,694
Capstead Mortgage Corp.		20,794		258,677
Cardinal Financial Corp.		6,967		74,826
Cascade Bancorp (a)		1,473		6,452
Cash America International Inc.		7,280		339,466
Cathay General Bancorp		19,246		287,343
CBL & Associates Properties Inc.		36,660		575,562
Cedar Realty Trust Inc.		14,275		61,525
Center Bancorp Inc.		2,986		29,173


See accompanying notes to financial statements.		97

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Centerstate Banks Inc.		7,324	$	48,485
Central Pacific Financial Corp. (a)		3,594		46,434
Century Bancorp Inc. Class A		1,009		28,494
Charter Financial Corp.		1,655		15,325
Chatham Lodging Trust		3,387		36,512
Chemical Financial Corp.		6,756		144,038
Chesapeake Lodging Trust		7,847		121,315
CIFC Corp. (a)		2,977		16,076
Citizens & Northern Corp.		3,100		57,257
Citizens Inc. (a)		9,500		92,055
City Holding Co.		3,768		127,698
Clifton Savings Bancorp Inc.		2,225		20,648
CNB Financial Corp.		3,000		47,340
CNO Financial Group Inc. (a)		54,707		345,201
CoBiz Financial Inc.		8,474		48,895
Cogdell Spencer Inc.		10,680		45,390
Cohen & Steers Inc.		4,434		128,143
Colonial Properties Trust		20,661		430,988
Colony Financial Inc.		8,155		128,115
Columbia Banking System Inc.		9,897		190,715
Community Bank System Inc.		9,036		251,201
Community Trust Bancorp Inc.		3,487		102,588
Compass Diversified Holdings		10,009		124,012
Consolidated-Tomoka Land Co.		1,042		28,207
Coresite Realty Corp.		4,754		84,716
Cousins Properties Inc.		22,540		144,481
Cowen Group Inc. Class A (a)		15,679		40,609
Crawford & Co. Class B		6,776		41,740
Credit Acceptance Corp. (a)		1,624		133,623
CreXus Investment Corp.		14,111		146,472
CubeSmart		30,178		321,094
CVB Financial Corp.		21,763		218,283
CYS Investments Inc.		20,541		269,909
DCT Industrial Trust Inc.		60,981		312,223
Delphi Financial Group Inc. Class A		12,033		533,062
DFC Global Corp. (a)		10,578		191,039
Diamond Hill Investment Group		600		44,388
DiamondRock Hospitality Co.		41,140		396,590
Dime Community Bancshares		7,669		96,629
Donegal Group Inc.		1,869		26,465
Doral Financial Corp. (a)		31,175		29,803
Duff & Phelps Corp. Class A		7,500		108,750
DuPont Fabros Technology Inc.		14,540		352,159
Dynex Capital Inc.		10,002		91,318
Eagle Bancorp Inc. (a)		4,346		63,191
EastGroup Properties Inc.		6,767		294,229
Edelman Financial Group Inc.		4,975		32,686
Education Realty Trust Inc.		22,882		234,083
eHealth Inc. (a)		5,100		74,970
EMC Insurance Group Inc.		981		20,179
Employers Holdings Inc.		8,600		155,574
Encore Bancshares Inc. (a)		2,127		28,757
Enstar Group Ltd. (a)		1,700		166,940
Enterprise Bancorp Inc.		1,437		20,549
Enterprise Financial Services Corp.		4,076		60,325
Entertainment Properties Trust		11,521		503,583
Epoch Holding Corp.		3,700		82,251


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Equity Lifestyle Properties Inc.		7,575	$	505,177
Equity One Inc.		13,195		224,051
ESB Financial Corp.		3,140		44,180
ESSA Bancorp Inc.		2,800		29,316
Evercore Partners Inc. Class A		5,300		141,086
Excel Trust Inc.		7,621		91,452
Extra Space Storage Inc.		23,299		564,535
EZCORP Inc. Class A (a)		11,600		305,892
F.N.B. Corp.		31,256		353,505
FBL Financial Group Inc.		3,298		112,198
FBR & Co. (a)		10,000		20,500
Federal Agricultural Mortgage Corp. Class C		2,404		43,320
FelCor Lodging Trust Inc. (a)		30,618		93,385
Financial Engines Inc. (a)		9,512		212,403
Financial Institutions Inc.		3,400		54,876
First American Financial Corp.		25,967		329,002
First Bancorp (North Carolina)		3,703		41,288
First Bancorp Inc.		2,362		36,304
First Busey Corp.		18,979		94,895
First Cash Financial Services Inc. (a)		7,714		270,684
First Commonwealth Financial Corp.		26,134		137,465
First Community Bancshares Inc.		3,823		47,711
First Connecticut Bancorp Inc.		4,394		57,166
First Defiance Financial Corp.		2,394		34,928
First Financial Bancorp		14,541		241,962
First Financial Bankshares Inc.		7,752		259,149
First Financial Corp. Indiana		2,699		89,823
First Financial Holdings Inc.		3,808		34,005
First Industrial Realty Trust Inc. (a)		21,313		218,032
First Interstate BancSystem Inc.		3,857		50,257
First Marblehead Corp., The (a)		15,400		18,018
First Merchants Corp.		6,706		56,800
First Midwest Bancorp Inc.		18,551		187,922
First of Long Island Corp., The		1,800		47,376
First PacTrust Bancorp Inc.		2,696		27,634
First Potomac Realty Trust		12,389		161,676
FirstMerit Corp.		27,433		415,061
Flagstar Bancorp Inc. (a)		48,089		24,285
Flagstone Reinsurance Holdings SA.		13,000		107,770
Flushing Financial Corp.		7,597		95,950
Forestar Group Inc. (a)		8,700		131,631
Fortegra Financial Corp. (a)		1,400		9,352
Fox Chase Bancorp		3,583		45,253
Franklin Financial Corp. (a)		3,432		40,635
Franklin Street Properties Corp.		17,445		173,578
FXCM Inc. Class A		4,262		41,554
Gain Capital Holdings Inc.		1,900		12,730
GAMCO Investors Inc.		1,625		70,671
German American Bancorp Inc.		3,100		56,389
Getty Realty Corp.		6,394		89,196
GFI Group Inc.		18,256		75,215
Glacier Bancorp Inc.		17,844		214,663
Gladstone Commercial Corp.		2,900		50,895
Gleacher & Co Inc. (a)		19,708		33,109
Glimcher Realty Trust		26,886		247,351
Global Indemnity PLC (a)		3,518		69,762


98		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Government Properties Income Trust		8,712	$	196,456
Great Southern Bancorp Inc.		2,467		58,197
Greenlight Capital Re Ltd. Class A (a)		6,803		161,027
Hallmark Financial Services Inc. (a)		2,600		18,174
Hampton Roads Bankshares Inc. (a)		2,411		6,606
Hancock Holding Co.		18,830		601,995
Hanmi Financial Corp. (a)		7,851		58,097
Harleysville Group Inc.		3,054		172,765
Hatteras Financial Corp.		18,451		486,553
Healthcare Realty Trust Inc.		19,176		356,482
Heartland Financial USA Inc.		3,243		49,748
Heritage Commerce Corp. (a)		5,133		24,330
Heritage Financial Corp.		2,000		25,120
Hersha Hospitality Trust		34,921		170,414
HFF Inc. Class A (a)		7,137		73,725
Highwoods Properties Inc.		17,888		530,737
Hilltop Holdings Inc. (a)		10,188		86,089
Home Bancshares Inc.		5,658		146,599
Home Federal Bancorp Inc.		4,100		42,640
Home Properties Inc.		11,908		685,544
Horace Mann Educators Corp.		10,002		137,127
Hudson Pacific Properties Inc.		5,452		77,200
Hudson Valley Holding Corp.		3,852		81,739
IBERIABANK Corp.		7,277		358,756
ICG Group Inc. (a)		9,421		72,730
Imperial Holdings Inc. (a)		4,386		8,246
Independence Holding Co.		1,795		14,593
Independent Bank Corp. (MA)		5,310		144,910
Infinity Property & Casualty Corp.		3,086		175,100
Inland Real Estate Corp.		19,017		144,719
International Bancshares Corp.		12,950		237,438
INTL FCStone Inc. (a)		3,127		73,703
Invesco Mortgage Capital		28,438		399,554
Investment Technology Group Inc. (a)		10,212		110,392
Investors Bancorp Inc. (a)		11,429		154,063
Investors Real Estate Trust		19,734		143,960
iStar Financial Inc. (a)		20,400		107,916
JMP Group Inc.		3,514		25,125
Kansas City Life Insurance Co.		1,057		34,691
KBW Inc.		8,333		126,495
Kearny Financial Corp.		4,406		41,857
Kennedy-Wilson Holdings Inc.		6,593		69,754
Kilroy Realty Corp.		14,484		551,406
Kite Realty Group Trust		14,094		63,564
Knight Capital Group Inc. Class A (a)		24,854		293,774
Ladenburg Thalmann Financial Services Inc. (a)		26,630		66,042
Lakeland Bancorp Inc.		5,372		46,307
Lakeland Financial Corp.		3,932		101,721
LaSalle Hotel Properties		21,063		509,935
Lexington Realty Trust		29,456		220,625
LTC Properties Inc.		7,501		231,481
Maiden Holdings Ltd.		12,700		111,252
MainSource Financial Group Inc.		5,161		45,572
Manning & Napier Inc. (a)		3,077		38,432
MarketAxess Holdings Inc.		7,151		215,317


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Marlin Business Services Corp.		2,159	$	27,419
MB Financial Inc.		13,367		228,576
Meadowbrook Insurance Group Inc.		12,962		138,434
Medical Properties Trust Inc.		27,891		275,284
Merchants Bancshares Inc.		1,308		38,194
Meridian Interstate Bancorp Inc. (a)		2,126		26,469
Metro Bancorp Inc. (a)		3,600		30,168
MFA Financial Inc.		87,769		589,808
MGIC Investment Corp. (a)		46,290		172,662
Mid-America Apartment Communities Inc.		9,132		571,207
MidSouth Bancorp Inc.		1,900		24,719
Mission West Properties Inc.		4,185		37,749
Monmouth Real Estate Investment Corp. Class A		9,400		86,010
Montpelier Re Holdings Ltd.		15,419		273,687
MPG Office Trust Inc. (a)		12,247		24,372
National Bankshares Inc.		1,700		47,464
National Financial Partners Corp. (a)		10,263		138,756
National Health Investors Inc.		6,101		268,322
National Interstate Corp.		1,813		44,727
National Penn Bancshares Inc.		30,486		257,302
National Retail Properties Inc.		26,041		686,962
National Western Life Insurance Co.		475		64,676
Navigators Group Inc., The (a)		2,872		136,937
NBT Bancorp Inc.		8,466		187,353
Nelnet Inc. Class A		6,500		159,055
Netspend Holdings Inc. (a)		6,649		53,923
Newcastle Investment Corp.		25,844		120,175
NewStar Financial Inc. (a)		6,732		68,464
Nicholas Financial Inc.		2,406		30,845
Northfield Bancorp Inc.		4,232		59,925
NorthStar Realty Finance Corp.		23,727		113,178
Northwest Bancshares Inc.		24,558		305,502
OceanFirst Financial Corp.		3,400		44,438
Ocwen Financial Corp. (a)		23,594		341,641
Old National Bancorp		23,295		271,387
Omega Healthcare Investors Inc.		25,109		485,859
OmniAmerican Bancorp Inc. (a)		3,105		48,748
One Liberty Properties Inc.		2,747		45,326
OneBeacon Insurance Group Ltd. Class A		5,448		83,845
Oppenheimer Holdings Inc. Class A		2,680		43,148
Oriental Financial Group Inc.		11,296		136,795
Oritani Financial Corp.		11,505		146,919
Orrstown Financial Services Inc.		1,800		14,850
Pacific Capital Bancorp (a)		994		28,071
Pacific Continental Corp.		4,600		40,710
PacWest Bancorp		7,391		140,059
Park National Corp.		3,170		206,240
Park Sterling Corp. (a)		8,746		35,684
Parkway Properties Inc.		5,445		53,688
Pebblebrook Hotel Trust		12,502		239,788
Penns Woods Bancorp Inc.		857		33,234
Pennsylvania Real Estate
Investment Trust		13,750		143,550
PennyMac Mortgage Investment Trust		7,044		117,071


See accompanying notes to financial statements.		99

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Peoples Bancorp Inc.		2,610	$	38,654
PHH Corp. (a)		13,769		147,328
Phoenix Companies Inc., The (a)		28,603		48,053
PICO Holdings Inc. (a)		5,707		117,450
Pinnacle Financial PartnersInc. (a)		8,414		135,886
Piper Jaffray Companies Inc. (a)		4,033		81,467
Platinum Underwriters Holdings Ltd.		9,297		317,121
Post Properties Inc.		12,434		543,614
Potlatch Corp.		10,065		313,122
Presidential Life Corp.		5,157		51,518
Primerica Inc.		8,329		193,566
PrivateBancorp Inc.		14,804		162,548
ProAssurance Corp.		7,599		606,552
Prosperity Bancshares Inc.		11,652		470,158
Provident Financial Services Inc.		15,018		201,091
Provident New York Bancorp		9,270		61,553
PS Business Parks Inc.		4,582		253,980
Pzena Investment Management Inc. Class A		2,000		8,660
Radian Group Inc.		33,100		77,454
RAIT Financial Trust		9,321		44,275
Ramco-Gershenson Properties Trust		9,655		94,909
Redwood Trust Inc.		19,754		201,096
Renasant Corp.		6,116		91,740
Republic Bancorp Inc. Class A		2,319		53,105
Resource Capital Corp.		19,300		108,273
Retail Opportunity Investments Corp.		11,858		140,399
RLI Corp.		4,538		330,639
RLJ Lodging Trust		6,787		114,225
Rockville Financial Inc.		7,268		75,296
Roma Financial Corp.		2,006		19,739
S&T Bancorp Inc.		6,862		134,152
Sabra Health Care REIT Inc.		9,084		109,826
Safeguard Scientifics Inc. (a)		5,216		82,361
Safety Insurance Group Inc.		3,164		128,079
Sandy Spring Bancorp Inc.		5,994		105,195
Saul Centers Inc.		1,848		65,456
SCBT Financial Corp.		3,513		101,912
SeaBright Holdings Inc.		4,600		35,190
Seacoast Banking Corporation of Florida (a)		17,806		27,065
Selective Insurance Group Inc.		13,311		236,004
Sierra Bancorp		2,800		24,640
Signature Bank (a)		11,352		681,006
Simmons First National Corp.		4,216		114,633
Southside Bancshares Inc.		4,058		87,896
Southwest Bancorp Inc. (a)		5,055		30,128
Sovran Self Storage Inc.		6,944		296,300
STAG Industrial Inc.		3,893		44,653
Starwood Property Trust Inc.		23,077		427,155
State Auto Financial Corp.		3,558		48,353
State Bancorp Inc.		3,600		43,920
State Bank Financial Corp. (a)		7,798		117,828
StellarOne Corp.		5,700		64,866
Sterling Bancorp NY		8,008		69,189
Sterling Financial Corp. (a)		6,595		110,136
Stewart Information Services Corp.		4,491		51,871


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Stifel Financial Corp. (a)		13,256	$	424,855
Strategic Hotels & Resorts Inc. (a)		43,093		231,409
Suffolk Bancorp (a)		2,423		26,144
Summit Hotel Properties Inc.		6,430		60,699
Sun Bancorp Inc. (a)		9,204		22,274
Sun Communities Inc.		5,268		192,440
Sunstone Hotel Investors Inc. (a)		29,095		237,124
Susquehanna Bancshares Inc.		39,323		329,527
SVB Financial Group (a)		10,560		503,606
SWS Group Inc.		6,997		48,069
SY Bancorp Inc.		2,867		58,860
Symetra Financial Corp.		16,597		150,535
Tanger Factory Outlet Centers Inc.		21,444		628,738
Taylor Capital Group Inc. (a)		3,333		32,397
Tejon Ranch Co. (a)		3,536		86,561
Terreno Realty Corp.		2,351		35,594
Territorial Bancorp Inc.		2,285		45,129
Texas Capital Bancshares Inc. (a)		9,080		277,939
Tompkins Financial Corp.		2,046		78,791
Tower Bancorp Inc.		2,600		74,204
Tower Group Inc.		9,234		186,250
TowneBank		6,000		73,440
Trico Bancshares		3,592		51,078
Trustco Bank Corp. NY		23,277		130,584
Trustmark Corp.		15,701		381,377
Two Harbors Investment Corp.		34,608		319,778
UMB Financial Corp.		7,835		291,854
UMH Properties Inc.		2,800		26,068
Umpqua Holdings Corp.		28,509		353,227
Union First Market Bankshares Corp.		5,263		69,945
United Bankshares Inc.		12,368		349,643
United Community Banks Inc. (a)		10,243		71,599
United Financial Bancorp Inc.		4,093		65,856
United Fire & Casualty Co.		5,292		106,793
Universal Health Realty Income Trust		3,005		117,195
Universal Insurance Holdings Inc.		5,400		19,332
Univest Corp. of Pennsylvania		4,199		61,473
Urstadt Biddle Properties Inc.		5,704		103,128
ViewPoint Financial Group		8,580		111,626
Virginia Commerce Bancorp (a)		6,186		47,818
Virtus Investment Partners Inc. (a)		1,330		101,093
Walker & Dunlop Inc. (a)		2,629		33,020
Walter Investment Management Corp.		6,260		128,393
Washington Banking Co.		3,610		42,995
Washington Real Estate Investment Trust		16,290		445,532
Washington Trust Bancorp Inc.		3,556		84,846
Webster Financial Corp.		18,104		369,141
WesBanco Inc.		5,787		112,673
West Bancorporation		3,700		35,446
West Coast Bancorp (a)		4,742		73,975
Westamerica Bancorporation		7,092		311,339
Western Alliance Bancorp (a)		16,700		104,041
Westfield Financial Inc.		6,860		50,490
Westwood Holdings Group Inc.		1,571		57,420
Whitestone REIT Class B		1,829		21,765


100		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Financials (Cont.)
Wilshire Bancorp Inc. (a)		15,870	$	57,608
Winthrop Realty Trust		7,060		71,800
Wintrust Financial Corp.		8,708		244,259
World Acceptance Corp. (a)		3,781		277,904
WSFS Financial Corp.		1,635		58,789

				58,403,375

Health Care (12.54%)
Abaxis Inc. (a)		5,621		155,533
Abiomed Inc. (a)		7,901		145,931
Accretive Health Inc. (a)		9,925		228,076
Accuray Inc. (a)		16,944		71,673
Achillion Pharmaceuticals Inc. (a)		11,809		89,985
Acorda Therapeutics Inc. (a)		9,744		232,297
Acura Pharmaceuticals Inc. (a)		1,900		6,631
Aegerion Pharmaceuticals Inc. (a)		2,298		38,469
Affymax Inc. (a)		8,627		57,024
Affymetrix Inc. (a)		17,100		69,939
Air Methods Corp. (a)		2,800		236,460
Akorn Inc. (a)		13,676		152,077
Albany Molecular Research Inc. (a)		5,823		17,061
Align Technology Inc. (a)		15,339		363,918
Alimera Sciences Inc. (a)		2,781		3,476
Alkermes PLC (a)		23,415		406,484
Alliance HealthCare Services Inc. (a)		6,742		8,495
Allos Therapeutics Inc. (a)		20,300		28,826
Almost Family Inc. (a)		1,900		31,502
Alnylam Pharmaceuticals Inc. (a)		9,200		74,980
Alphatec Holdings Inc. (a)		12,600		21,672
AMAG Pharmaceuticals Inc. (a)		5,282		99,883
Amedisys Inc. (a)		7,288		79,512
American Dental Partners Inc. (a)		3,800		71,554
Amicus Therapeutics Inc. (a)		3,878		13,340
AMN Healthcare Services Inc. (a)		10,188		45,133
Ampio Pharmaceuticals Inc. (a)		4,914		20,983
Amsurg Corp. (a)		7,804		203,216
Anacor Pharmaceuticals Inc. (a)		2,917		18,085
Analogic Corp.		3,106		178,036
Angiodynamics Inc. (a)		6,300		93,303
Antares Pharma Inc. (a)		21,677		47,689
Anthera Pharmaceuticals Inc. (a)		5,237		32,155
Ardea Biosciences Inc. (a)		4,120		69,257
Arena Pharmaceuticals Inc. (a)		36,758		68,737
Ariad Pharmaceuticals Inc. (a)		32,580		399,105
ArQule Inc. (a)		13,200		74,448
Array Biopharma Inc. (a)		15,078		32,568
ArthroCare Corp. (a)		6,715		212,731
Assisted Living Concepts Inc. Class A		4,680		69,685
Astex Pharmaceuticals Inc. (a)		14,600		27,594
athenahealth Inc. (a)		8,631		423,955
AtriCure Inc. (a)		3,468		38,495
Atrion Corp.		400		96,092
Auxilium Pharmaceuticals Inc. (a)		11,781		234,795
AVANIR Pharmaceuticals Inc. Class A (a)		30,600		62,730
Aveo Pharmaceuticals Inc. (a)		7,710		132,612


	Shares		Value
Common Stocks (Cont.)

Health Care (Cont.)
AVI BioPharma Inc. (a)		35,064	$	26,123
Bacterin International Holdings Inc. (a)		5,528		15,810
BioCryst Pharmaceuticals Inc. (a)		6,780		16,747
BioLase Technology Inc. (a)		7,134		18,334
BioMimetic Therapeutics Inc. (a)		4,506		12,842
Bio-Reference Laboratories Inc. (a)		5,986		97,392
BioSante Pharmaceuticals Inc. (a)		27,387		13,751
BioScrip Inc. (a)		9,754		53,257
BioSpecifics Technologies Corp. (a)		1,393		23,152
BioTime Inc. (a)		6,836		39,717
Cadence Pharmaceuticals Inc. (a)		12,520		49,454
Cambrex Corp. (a)		7,481		53,714
Cantel Medical Corp.		3,200		89,376
Capital Senior Living Corp. (a)		7,200		57,168
CardioNet Inc. (a)		6,100		14,457
Cardiovascular Systems Inc. (a)		3,270		32,210
Cell Therapeutics Inc. (a)		48,270		55,993
Celldex Therapeutics Inc. (a)		11,455		29,783
Centene Corp. (a)		12,309		487,313
Cepheid Inc. (a)		15,230		524,064
Cerus Corp. (a)		12,440		34,832
Chelsea Therapeutics International Ltd. (a)		13,229		67,865
Chemed Corp.		4,924		252,158
Chindex International Inc. (a)		2,800		23,856
Cleveland Biolabs Inc. (a)		8,082		23,115
Clovis Oncology Inc. (a)		2,634		37,113
Codexis Inc. (a)		5,958		31,577
Columbia Laboratories Inc. (a)		18,065		45,162
Complete Genomics Inc. (a)		2,462		7,214
Computer Programs & Systems Inc.		2,784		142,290
Conceptus Inc. (a)		7,800		98,592
Conmed Corp. (a)		7,029		180,434
Corcept Therapeutics Inc. (a)		10,130		34,645
Cornerstone Therapeutics Inc. (a)		1,800		10,080
Corvel Corp. (a)		1,539		79,582
Cross Country Healthcare Inc. (a)		6,689		37,124
CryoLife Inc. (a)		6,832		32,794
Cubist Pharmaceuticals Inc. (a)		14,805		586,574
Curis Inc. (a)		19,387		90,731
Cyberonics Inc. (a)		6,976		233,696
Cynosure Inc. Class A (a)		2,500		29,400
Cytori Therapeutics Inc. (a)		12,000		26,400
Delcath Systems Inc. (a)		11,200		34,160
DepoMed Inc. (a)		12,800		66,304
Dexcom Inc. (a)		16,601		154,555
Durect Corp. (a)		20,848		24,601
DUSA Pharmaceuticals Inc. (a)		6,020		26,368
Dyax Corp. (a)		25,477		34,649
Dynavax Technologies Corp. (a)		38,270		127,056
DynaVox Inc. Class A (a)		2,296		8,357
Emergent Biosolutions Inc. (a)		6,000		101,040
Emeritus Corp. (a)		7,500		131,325
Endocyte Inc. (a)		3,578		13,453
Endologix Inc. (a)		12,129		139,241
Ensign Group Inc., The		4,000		98,000
Enzo Biochem Inc. (a)		10,161		22,761


See accompanying notes to financial statements.		101

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Health Care (Cont.)
Enzon Pharmaceuticals Inc. (a)		9,215	$	61,740
ePocrates Inc. (a)		1,565		12,207
eResearch Technology Inc. (a)		11,537		54,109
Exact Sciences Corp. (a)		14,094		114,443
Exactech Inc. (a)		2,200		36,234
ExamWorks Group Inc. (a)		6,692		63,440
Exelixis Inc. (a)		31,294		148,177
Five Star Quality Care Inc. (a)		10,281		30,843
Fluidigm Corp. (a)		1,594		20,977
Furiex Pharmaceuticals Inc. (a)		2,578		43,078
Genomic Health Inc. (a)		4,200		106,638
Gentiva Health Services Inc. (a)		7,626		51,476
Geron Corp. (a)		32,073		47,468
Greatbatch Inc. (a)		5,856		129,418
GTx Inc. (a)		4,425		14,868
Haemonetics Corp. (a)		6,302		385,808
Halozyme Therapeutics Inc. (a)		20,440		194,384
Hanger Orthopedic Group Inc. (a)		8,300		155,127
Hansen Medical Inc. (a)		11,415		29,451
Harvard Bioscience Inc. (a)		5,592		21,641
Healthsouth Corp. (a)		23,376		413,054
Healthspring Inc. (a)		16,791		915,781
HealthStream Inc. (a)		4,382		80,848
Healthways Inc. (a)		8,570		58,790
HeartWare International Inc. (a)		2,985		205,965
Hi-Tech Pharmacal Co. Inc. (a)		2,600		101,114
HMS Holdings Corp. (a)		21,000		671,580
ICU Medical Inc. (a)		3,032		136,440
Idenix Pharmaceuticals Inc. (a)		15,051		112,055
ImmunoGen Inc. (a)		18,593		215,307
Immunomedics Inc. (a)		16,385		54,562
Impax Laboratories Inc. (a)		16,100		324,737
Incyte Corp. (a)		21,975		329,845
Infinity Pharmaceuticals Inc. (a)		5,000		44,200
Inhibitex Inc. (a)		15,597		170,631
Insmed Inc. (a)		6,127		18,687
Insulet Corp. (a)		11,365		214,003
Integra LifeSciences Holdings Corp. (a)		4,827		148,816
InterMune Inc. (a)		13,536		170,554
Invacare Corp.		7,104		108,620
IPC The Hospitalist Co. (a)		4,100		187,452
IRIS International Inc. (a)		4,600		43,010
Ironwood Pharmaceuticals Inc. (a)		12,478		149,362
Isis Pharmaceuticals Inc. (a)		24,592		177,308
ISTA Pharmaceuticals Inc. (a)		8,088		57,020
Jazz Pharmaceuticals Inc. (a)		5,446		210,379
Kensey Nash Corp. (a)		2,100		40,299
Keryx Biopharmaceuticals Inc. (a)		16,978		42,954
Kindred Healthcare Inc. (a)		12,837		151,091
K-V Pharmaceutical Co. Class A (a)		12,712		17,797
Landauer Inc.		2,380		122,570
Lannett Company Inc. (a)		4,000		17,680
Lexicon Pharmaceuticals Inc. (a)		41,700		53,793
LHC Group Inc. (a)		3,900		50,037
Ligand Pharmaceuticals Inc. Class B (a)		4,816		57,166
Luminex Corp. (a)		9,414		199,859


	Shares		Value
Common Stocks (Cont.)

Health Care (Cont.)
Magellan Health Services Inc. (a)		6,991	$	345,845
MAKO Surgical Corp. (a)		7,947		200,344
MannKind Corp. (a)		19,113		47,782
MAP Pharmaceuticals Inc. (a)		5,428		71,487
Masimo Corp. (a)		13,025		243,372
Maxygen Inc. (a)		6,379		35,914
MedAssets Inc. (a)		11,808		109,224
Medical Action Industries Inc. (a)		3,650		19,090
Medicines Co., The (a)		13,310		248,098
Medicis Pharmaceutical Corp. Class A		15,263		507,495
Medidata Solutions Inc. (a)		5,228		113,709
Medivation Inc. (a)		7,700		355,047
MedQuist Holdings Inc. (a)		8,514		81,905
MEDTOX Scientific Inc. (a)		1,869		26,259
Merge Healthcare Inc. (a)		13,200		64,020
Meridian Bioscience Inc.		10,200		192,168
Merit Medical Systems Inc. (a)		10,396		139,098
Metabolix Inc. (a)		8,315		37,833
Metropolitan Health Networks Inc. (a)		10,785		80,564
Micromet Inc. (a)		22,511		161,854
Molina Healthcare Inc. (a)		6,943		155,037
Momenta Pharmaceuticals Inc. (a)		11,411		198,437
MWI Veterinary Supply Inc. (a)		3,100		205,964
Nabi Biopharmaceuticals (a)		10,111		19,009
National Healthcare Corp.		2,573		107,809
National Research Corp.		400		15,524
Natus Medical Inc. (a)		7,200		67,896
Nektar Therapeutics (a)		28,208		157,824
Neogen Corp. (a)		5,784		177,222
Neoprobe Corp. (a)		24,600		64,452
NeoStem Inc. (a)		18,051		9,152
Neurocrine Biosciences Inc. (a)		12,638		107,423
NewLink Genetics Corp. (a)		1,700		11,968
Novavax Inc. (a)		23,403		29,488
NPS Pharmaceuticals Inc. (a)		21,215		139,807
NuVasive Inc. (a)		10,598		133,429
NxStage Medical Inc. (a)		11,019		195,918
Nymox Pharmaceutical Corp. (a)		4,699		38,626
Obagi Medical Products Inc. (a)		4,400		44,704
Omnicell Inc. (a)		8,100		133,812
OncoGenex Pharmaceutical Inc. (a)		2,396		28,129
Oncothyreon Inc. (a)		10,243		77,642
Onyx Pharmaceuticals Inc. (a)		15,658		688,169
Opko Health Inc. (a)		26,910		131,859
Optimer Pharmaceuticals Inc. (a)		11,500		140,760
OraSure Technologies Inc. (a)		11,475		104,537
Orexigen Therapeutics Inc. (a)		7,944		12,790
Orthofix International NV (a)		4,400		155,012
Osiris Therapeutics Inc. (a)		4,300		23,005
Owens & Minor Inc.		15,828		439,860
Pacific Biosciences of California Inc. (a)		8,369		23,433
Pacira Pharmaceuticals Inc. (a)		2,016		17,438
Pain Therapeutics Inc. (a)		8,959		34,044
Palomar Medical Technologies Inc. (a)		4,424		41,143
Par Pharmaceutical Companies Inc. (a)		8,921		291,984
Parexel International Corp. (a)		14,434		299,361


102		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Health Care (Cont.)
PDL BioPharma Inc.		34,715	$	215,233
Peregrine Pharmaceuticals Inc. (a)		17,199		17,715
Pernix Therapeutics Holdings Inc. (a)		811		7,510
Pharmacyclics Inc. (a)		11,493		170,326
PharmAthene Inc. (a)		8,716		11,069
PharMerica Corp. (a)		7,418		112,605
Pozen Inc. (a)		6,699		26,461
Progenics Pharmaceuticals Inc. (a)		6,869		58,661
Providence Service Corp. (a)		3,399		46,770
PSS World Medical Inc. (a)		13,684		331,016
Quality Systems Inc.		9,552		353,328
Questcor Pharmaceuticals Inc. (a)		13,100		544,698
Quidel Corp. (a)		7,000		105,910
Radnet Inc. (a)		7,536		16,052
Raptor Pharmaceutical Corp. (a)		11,705		73,273
Rigel Pharmaceuticals Inc. (a)		16,966		133,862
Rockwell Medical Technologies Inc. (a)		3,956		33,507
RTI Biologics Inc. (a)		13,700		60,828
Sagent Pharmaceuticals Inc. (a)		1,639		34,419
Salix Pharmaceuticals Ltd. (a)		14,475		692,629
Sangamo BioSciences Inc. (a)		12,900		36,636
Santarus Inc. (a)		13,300		44,023
Savient Pharmaceuticals Inc. (a)		17,922		39,966
SciClone Pharmaceuticals Inc. (a)		8,700		37,323
Seattle Genetics Inc. (a)		23,848		398,619
Select Medical Holdings Corp. (a)		11,034		93,568
Sequenom Inc. (a)		24,414		108,642
SIGA Technologies Inc. (a)		8,400		21,168
Skilled Healthcare Group Inc. Class A (a)		5,000		27,300
Solta Medical Inc. (a)		14,830		46,566
SonoSite Inc. (a)		3,469		186,840
Spectranetics Corp. (a)		8,400		60,648
Spectrum Pharmaceuticals Inc. (a)		14,328		209,619
STAAR Surgical Co. (a)		8,624		90,466
Stereotaxis Inc. (a)		10,835		8,924
STERIS Corp.		14,631		436,296
Sucampo Pharmaceuticals Inc. Class A (a)		2,600		11,518
Sun Healthcare Group Inc. (a)		6,215		24,114
Sunesis Pharmaceuticals Inc. (a)		6,910		8,085
Sunrise Senior Living Inc. (a)		14,264		92,431
SurModics Inc. (a)		4,000		58,640
Symmetry Medical Inc. (a)		9,208		73,572
Synergetics USA Inc. (a)		5,510		40,664
Synovis Life Technologies Inc. (a)		2,900		80,707
Synta Pharmaceuticals Corp. (a)		6,200		28,954
Targacept Inc. (a)		6,778		37,753
Team Health Holdings Inc. (a)		6,567		144,934
Theravance Inc. (a)		17,000		375,700
Tornier NV (a)		2,602		46,836
Transcend Services Inc. (a)		2,300		54,579
Transcept Pharmaceuticals Inc. (a)		1,190		9,318
Triple-S Management Corp. Class B (a)		5,000		100,100
Trius Therapeutics Inc. (a)		1,561		11,161
U.S. Physical Therapy Inc.		2,900		57,072
Unilife Corp. (a)		15,994		49,901


	Shares		Value
Common Stocks (Cont.)

Health Care (Cont.)
Universal American Corp.		8,156	$	103,663
Uroplasty Inc. (a)		5,098		21,666
Vanda Pharmaceuticals Inc. (a)		6,800		32,368
Vanguard Health Systems Inc. (a)		7,500		76,650
Vascular Solutions Inc. (a)		4,400		48,972
Vical Inc. (a)		17,863		78,776
ViroPharma Inc. (a)		17,583		481,598
VIVUS Inc. (a)		22,161		216,070
Volcano Corp. (a)		12,900		306,891
WellCare Health Plans Inc. (a)		10,577		555,292
West Pharmaceutical Services Inc.		8,314		315,516
Wright Medical Group Inc. (a)		9,745		160,792
Xenoport Inc. (a)		8,722		33,231
Young Innovations Inc.		1,300		38,519
Zalicus Inc. (a)		19,866		24,038
Zeltiq Aesthetics Inc. (a)		1,800		20,448
ZIOPHARM Oncology Inc. (a)		14,391		63,464
Zogenix Inc. (a)		6,404		14,345
Zoll Medical Corp. (a)		5,366		339,033

				34,612,478

Industrials (15.54%)
A.T. Cross Co. Class A (a)		2,338		26,373
A123 Systems Inc. (a)		21,674		34,895
Aaon Inc.		4,645		95,176
AAR Corp.		9,803		187,924
ABM Industries Inc.		13,035		268,782
Acacia Research - Acacia Technologies (a)		10,552		385,254
ACCO Brands Corp. (a)		13,532		130,584
Accuride Corp. (a)		10,047		71,535
Aceto Corp.		6,164		42,532
Active Power Inc. (a)		19,591		12,930
Actuant Corp. Class A		17,045		386,751
Acuity Brands Inc.		10,713		567,789
Advisory Board Co., The (a)		3,878		287,786
Aegion Corp. (a)		9,956		152,725
Aerovironment Inc. (a)		4,104		129,153
Air Transport Services Group Inc. (a)		13,100		61,832
Aircastle Ltd.		13,700		174,264
Alamo Group Inc.		1,685		45,377
Alaska Air Group Inc. (a)		8,817		662,069
Albany International Corp. Class A		6,951		160,707
Allegiant Travel Co. (a)		3,710		197,891
Altra Holdings Inc. (a)		6,600		124,278
AMERCO		2,188		193,419
Ameresco Inc. Class A (a)		4,400		60,368
American Railcar Industries Inc. (a)		2,509		60,040
American Reprographics Co. (a)		9,321		42,783
American Science & Engineering Inc.		2,281		155,359
American Superconductor Corp. (a)		10,996		40,575
American Woodmark Corp.		2,433		33,235
Ampco-Pittsburgh Corp.		2,200		42,548
AO Smith Corp.		9,393		376,847
Apogee Enterprises Inc.		7,136		87,487
Applied Industrial Technologies Inc.		10,449		367,491


See accompanying notes to financial statements.		103

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Industrials (Cont.)
Argan Inc.		1,800	$	27,378
Arkansas Best Corp.		6,390		123,135
Astec Industries Inc. (a)		4,914		158,280
Astronics Corp. (a)		2,640		94,538
Atlas Air Worldwide Holdings Inc. (a)		6,443		247,604
Avis Budget Group Inc. (a)		26,200		280,864
AZZ Inc.		3,100		140,864
Baltic Trading Ltd.		4,089		19,423
Barnes Group Inc.		13,444		324,135
Barrett Business Services Inc.		1,800		35,928
Beacon Roofing Supply Inc. (a)		11,285		228,296
Belden Inc.		11,773		391,805
Blount International Inc. (a)		11,994		174,153
Brady Corp.		11,713		369,779
Briggs & Stratton Corp.		12,580		194,864
Brink’s Co., The		11,499		309,093
Broadwind Energy Inc. (a)		37,500		25,500
Builders FirstSource Inc. (a)		12,105		24,694
CAI International Inc. (a)		3,000		46,380
Capstone Turbine Corp. (a)		61,237		71,035
Cascade Corp.		2,262		106,699
Casella Waste Systems Inc. Class A (a)		6,114		39,130
CBIZ Inc. (a)		9,736		59,487
CDI Corp.		2,986		41,237
Celadon Group Inc.		4,800		56,688
Cenveo Inc. (a)		13,671		46,481
Ceradyne Inc. (a)		6,220		166,572
Chart Industries Inc. (a)		7,300		394,711
CIRCOR International Inc.		4,321		152,575
Clarcor Inc.		12,513		625,525
Clean Harbors Inc. (a)		11,636		741,562
Coleman Cable Inc. (a)		2,070		18,009
Colfax Corp. (a)		6,144		174,981
Columbus McKinnon Corp. (a)		4,600		58,374
Comfort Systems USA Inc.		9,173		98,335
Commercial Vehicle Group Inc. (a)		7,096		64,148
Consolidated Graphics Inc. (a)		2,101		101,436
Corporate Executive Board Co., The		8,500		323,850
CoStar Group Inc. (a)		6,288		419,598
Courier Corp.		2,501		29,337
Covenant Transport Group Inc. Class A (a)		2,045		6,074
CRA International Inc. (a)		2,815		55,850
Cubic Corp.		3,965		172,834
Curtiss-Wright Corp.		11,478		405,518
Deluxe Corp.		12,600		286,776
DigitalGlobe Inc. (a)		8,687		148,635
Dolan Co., The (a)		7,800		66,456
Dollar Thrifty Automotive Group Inc. (a)		7,212		506,715
Douglas Dynamics Inc.		4,610		67,398
Ducommun Inc.		2,528		32,232
DXP Enterprises Inc. (a)		2,100		67,620
Dycom Industries Inc. (a)		8,733		182,694
Dynamic Materials Corp.		3,254		64,364
Eagle Bulk Shipping Inc. (a)		15,477		14,581
EMCOR Group Inc.		16,656		446,547
Encore Capital Group Inc. (a)		4,000		85,040


	Shares		Value
Common Stocks (Cont.)

Industrials (Cont.)
Encore Wire Corp.		4,695	$	121,600
Energy Recovery Inc. (a)		11,500		29,670
EnergySolutions Inc. (a)		19,700		60,873
EnerNOC Inc. (a)		5,730		62,285
EnerSys (a)		11,885		308,653
Ennis Inc.		6,632		88,405
EnPro Industries Inc. (a)		5,048		166,483
ESCO Technologies Inc.		6,510		187,358
Essex Rental Corp. (a)		4,218		12,443
Esterline Technologies Corp. (a)		7,489		419,159
Excel Maritime Carriers Ltd. (a)		12,415		18,002
Exponent Inc. (a)		3,229		148,437
Federal Signal Corp. (a)		15,434		64,051
Flow International Corp. (a)		12,300		43,050
Forward Air Corp.		7,208		231,016
Franklin Covey Co. (a)		3,100		26,257
Franklin Electric Co. Inc.		5,698		248,205
Freightcar America Inc. (a)		3,060		64,107
FTI Consulting Inc. (a)		10,382		440,404
Fuel Tech Inc. (a)		4,500		29,610
FuelCell Energy Inc. (a)		30,510		26,605
Furmanite Corp. (a)		9,400		59,314
G&K Services Inc. Class A		4,580		133,324
Genco Shipping & Trading Ltd. (a)		7,394		49,983
GenCorp Inc. (a)		15,126		80,470
Generac Holdings Inc. (a)		6,090		170,703
Genesee & Wyoming Inc. Class A (a)		9,750		590,655
Geo Group Inc., The (a)		16,020		268,335
GeoEye Inc. (a)		5,500		122,210
Gibraltar Industries Inc. (a)		7,282		101,657
Global Power Equipment Group Inc. (a)		3,873		91,984
Gorman-Rupp Co., The		3,733		101,351
GP Strategies Corp. (a)		3,800		51,224
Graham Corp.		2,300		51,612
Granite Construction Inc.		9,553		226,597
Great Lakes Dredge & Dock Co.		14,800		82,288
Greenbrier Companies Inc. (a)		4,934		119,798
Griffon Corp.		11,936		108,976
H&E Equipment Services Inc. (a)		7,000		93,940
Hawaiian Holdings Inc. (a)		13,200		76,560
Healthcare Services Group Inc.		16,447		290,947
Heartland Express Inc.		12,376		176,853
Heico Corp.		10,283		601,350
Heidrick & Struggles International Inc.		4,312		92,880
Heritage-Crystal Clean Inc. (a)		1,167		19,326
Herman Miller Inc.		14,200		261,990
Hexcel Corp. (a)		24,332		589,078
Hill International Inc. (a)		5,992		30,799
HNI Corp.		11,047		288,327
Houston Wire & Cable Co.		4,500		62,190
Hub Group Inc. (a)		9,050		293,492
Hudson Highland Group Inc. (a)		8,166		39,115
Hurco Companies Inc. (a)		1,569		32,949
Huron Consulting Group Inc. (a)		5,490		212,683
ICF International Inc. (a)		4,900		121,422
II-VI Inc. (a)		12,796		234,935


104		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Industrials (Cont.)
Innerworkings Inc. (a)		6,352	$	59,137
Insperity Inc.		5,699		144,470
Insteel Industries Inc.		4,500		49,455
Interface Inc.		13,005		150,078
Interline Brands Inc. (a)		8,339		129,838
International Shipholding Corp.		1,333		24,914
Intersections Inc.		2,270		25,174
Jetblue Airways Corp. (a)		60,435		314,262
John Bean Technologies Corp.		7,000		107,590
Kadant Inc. (a)		3,158		71,402
Kaman Corp.		6,546		178,837
Kaydon Corp.		7,985		243,542
Kelly Services Inc. Class A		6,716		91,875
Keyw Holding Corp., The (a)		4,611		34,121
Kforce Inc. (a)		7,326		90,330
Kimball International Inc. Class B		7,983		40,474
Knight Transportation Inc.		14,996		234,537
Knoll Inc.		11,644		172,913
Korn/Ferry International (a)		11,733		200,165
Kratos Defense & Security Solutions Inc. (a)		8,124		48,500
L.B. Foster Co. Class A		2,336		66,085
Lawson Products Inc.		911		14,057
Layne Christensen Co. (a)		4,986		120,661
Lindsay Corp.		3,098		170,049
LMI Aerospace Inc. (a)		2,200		38,610
LSI Industries Inc.		4,647		27,882
Lydall Inc. (a)		4,190		39,763
Marten Transport Ltd.		3,865		69,531
MasTec Inc. (a)		13,981		242,850
McGrath Rentcorp		6,040		175,100
Meritor Inc. (a)		23,315		124,036
Metalico Inc. (a)		9,899		32,568
Met-Pro Corp.		3,800		34,352
Michael Baker Corp. (a)		2,000		39,220
Middleby Corp. (a)		4,693		441,330
Miller Industries Inc.		2,600		40,898
Mine Safety Appliances Co.		6,718		222,500
Mistras Group Inc. (a)		3,562		90,795
Mobile Mini Inc. (a)		9,047		157,870
Moog Inc. Class A (a)		11,240		493,773
Mueller Industries Inc.		9,311		357,729
Mueller Water Products Inc.		38,803		94,679
Multi-Color Corp.		2,873		73,922
MYR Group Inc. (a)		5,000		95,700
NACCO Industries Inc. Class A		1,448		129,191
National Presto Industries Inc.		1,218		114,005
Navigant Consulting Inc. (a)		12,948		147,737
NCI Building Systems Inc. (a)		5,254		57,111
NL Industries Inc.		1,843		23,904
NN Inc. (a)		4,117		24,702
Northwest Pipe Co. (a)		2,400		54,864
Odyssey Marine Exploration Inc. (a)		19,531		53,515
Old Dominion Freight Line Inc. (a)		11,712		474,687
Omega Flex Inc. (a)		600		8,478
On Assignment Inc. (a)		9,300		103,974
Orbital Sciences Corp. (a)		14,729		214,012


	Shares		Value
Common Stocks (Cont.)

Industrials (Cont.)
Orion Marine Group Inc. (a)		6,764	$	44,981
Pacer International Inc. (a)		8,370		44,780
Park-Ohio Holdings Corp. (a)		1,966		35,073
Patriot Transportation Holding Inc. (a)		1,500		32,550
Pendrell Corp. (a)		37,246		95,350
Pike Electric Corp. (a)		4,100		29,479
PMFG Inc. (a)		4,300		83,893
Portfolio Recovery Associates Inc. (a)		4,266		288,040
Powell Industries Inc. (a)		2,155		67,408
PowerSecure International Inc. (a)		5,100		25,245
Preformed Line Products Co.		600		35,796
Primoris Services Corp.		6,564		98,001
Quad Graphics, Inc.		6,240		89,482
Quality Distribution Inc. (a)		3,676		41,355
Quanex Building Products Corp.		9,641		144,808
RailAmerica Inc. (a)		5,197		77,383
Raven Industries Inc.		4,492		278,055
RBC Bearings Inc. (a)		5,500		229,350
Republic Airways Holdings Inc. (a)		11,632		39,898
Resources Connection Inc.		11,264		119,286
Roadrunner Transportation Systems Inc. (a)		2,131		30,111
Robbins & Myers Inc.		9,825		477,004
Rollins Inc.		15,726		349,432
RPX Corp. (a)		2,366		29,930
RSC Holdings Inc. (a)		16,700		308,950
Rush Enterprises Inc. Class A (a)		8,168		170,875
Saia Inc. (a)		4,135		51,605
SatCon Technology Corp. (a)		22,262		13,359
Sauer-Danfoss Inc. (a)		2,839		102,800
Schawk Inc.		2,782		31,186
Seaboard Corp. (a)		78		158,808
SeaCube Container Leasing Ltd.		2,905		43,023
Simpson Manufacturing Co. Inc.		10,257		345,251
SkyWest Inc.		13,121		165,193
Spirit Airlines Inc. (a)		3,955		61,698
Standard Parking Corp. (a)		3,900		69,693
Standex International Corp.		3,127		106,818
Steelcase Inc.		19,300		143,978
Sterling Construction Company Inc. (a)		4,300		46,311
Sun Hydraulics Corp.		5,100		119,493
Swift Transportation Co. (a)		19,561		161,183
Swisher Hygiene Inc. (a)		20,833		77,915
Sykes Enterprises Inc. (a)		9,935		155,582
TAL International Group Inc.		5,600		161,224
Taser International Inc. (a)		14,092		72,151
Team Inc. (a)		4,800		142,800
Tecumseh Products Co. Class A (a)		4,403		20,694
Teledyne Technologies Inc. (a)		9,113		499,848
Tennant Co.		4,771		185,449
Tetra Tech Inc. (a)		15,321		330,780
Textainer Group Holdings Ltd.		2,800		81,536
Thermon Group Holdings Inc. (a)		2,424		42,711
Titan International Inc.		10,385		202,092
Titan Machinery Inc. (a)		3,800		82,574
TMS International Corp. Class A (a)		3,198		31,596
TRC Companies Inc. (a)		4,335		26,053


See accompanying notes to financial statements.		105

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Industrials (Cont.)
Trex Co. Inc. (a)		3,934	$	90,128
TriMas Corp. (a)		6,300		113,085
Triumph Group Inc.		9,364		547,326
TrueBlue Inc. (a)		9,910		137,551
Tutor Perini Corp. (a)		7,673		94,685
Twin Disc Inc.		2,052		74,529
Ultrapetrol Bahamas Ltd. (a)		5,800		17,284
UniFirst Corp.		3,575		202,846
United Rentals Inc. (a)		15,400		455,070
United Stationers Inc.		10,608		345,396
UniTek Global Services Inc. (a)		2,748		12,448
Universal Forest Products Inc.		4,910		151,572
Universal Truckload Services Inc.		1,400		25,410
US Airways Group Inc. (a)		39,731		201,436
US Ecology Inc.		4,558		85,599
USG Corp. (a)		17,622		179,040
Valence Technology Inc. (a)		16,497		16,167
Viad Corp.		5,162		90,232
Vicor Corp.		4,808		38,272
VSE Corp.		1,100		26,708
Wabash National Corp. (a)		16,743		131,265
Watsco Inc.		6,968		457,519
Watts Water Technologies Inc.		7,551		258,320
WCA Waste Corp. (a)		4,136		26,925
Werner Enterprises Inc.		10,826		260,907
Wesco Aircraft Holdings Inc. (a)		5,160		72,188
Woodward Inc.		15,310		626,638
Xerium Technologies Inc. (a)		2,718		17,776
Zipcar Inc. (a)		2,522		33,844

				42,880,405

Information Technology (17.01%)
3D Systems Corp. (a)		10,360		149,184
Accelrys Inc. (a)		14,125		94,920
ACI Worldwide Inc. (a)		8,316		238,170
Active Network Inc., The (a)		3,048		41,453
Actuate Corp. (a)		10,000		58,600
Acxiom Corp. (a)		20,061		244,945
Adtran Inc.		15,932		480,509
Advanced Analogic Technologies Inc. (a)		11,000		63,580
Advanced Energy Industries Inc. (a)		10,833		116,238
Advent Software Inc. (a)		8,110		197,560
Aeroflex Holding Corp. (a)		4,884		50,012
Agilysys Inc. (a)		4,414		35,091
Alpha & Omega Semiconductor Ltd. (a)		3,690		26,974
American Software Inc. Class A		5,400		51,030
Amkor Technology Inc. (a)		23,964		104,483
Amtech Systems Inc. (a)		2,392		20,356
ANADIGICS Inc. (a)		16,000		35,040
Anaren Inc. (a)		3,746		62,259
Ancestry.com Inc. (a)		7,782		178,675
Angie’s List Inc. (a)		2,600		41,860
Anixter International Inc. (a)		7,135		425,531
Applied Micro Circuits Corp. (a)		15,762		105,921
Arris Group Inc. (a)		30,506		330,075
Aruba Networks Inc. (a)		21,078		390,365


	Shares		Value
Common Stocks (Cont.)

Information Technology (Cont.)
Aspen Technology Inc. (a)		20,962	$	363,691
ATMI Inc. (a)		7,988		160,000
Aviat Networks Inc. (a)		15,150		27,724
Avid Technology Inc. (a)		7,200		61,416
Axcelis Technologies Inc. (a)		25,726		34,216
AXT Inc. (a)		7,625		31,796
Badger Meter Inc.		3,730		109,774
Bankrate Inc. (a)		5,651		121,496
Bel Fuse Inc.		2,483		46,556
Benchmark Electronics Inc. (a)		14,876		200,380
Black Box Corp.		4,455		124,918
Blackbaud Inc.		11,111		307,775
Blue Coat Systems Inc. (a)		10,720		272,824
Bottomline Technologies Inc. (a)		8,931		206,931
Brightpoint Inc. (a)		16,761		180,348
BroadSoft Inc. (a)		5,600		169,120
Brooks Automation Inc.		16,449		168,931
Cabot Microelectronics Corp. (a)		5,861		276,932
CACI International Inc. Class A (a)		6,514		364,263
Calix Inc. (a)		9,220		59,653
Callidus Software Inc. (a)		7,403		47,527
Carbonite Inc. (a)		1,800		19,980
Cardtronics Inc. (a)		10,600		286,836
Cass Information Systems Inc.		2,260		82,241
Cavium Inc. (a)		11,937		339,369
CEVA Inc. (a)		5,800		175,508
Checkpoint Systems Inc. (a)		9,715		106,282
Ciber Inc. (a)		15,843		61,154
Cirrus Logic Inc. (a)		16,397		259,892
Cognex Corp.		10,361		370,820
Coherent Inc. (a)		5,800		303,166
Cohu Inc.		6,008		68,191
Communications Systems Inc.		1,611		22,651
Commvault Systems Inc. (a)		10,888		465,135
Computer Task Group Inc. (a)		3,600		50,688
comScore Inc. (a)		7,828		165,954
Comtech Telecommunications Corp.		4,988		142,757
Concur Technologies Inc. (a)		11,049		561,179
Constant Contact Inc. (a)		7,200		167,112
Convergys Corp. (a)		25,961		331,522
Convio Inc. (a)		3,035		33,567
Cornerstone OnDemand Inc. (a)		2,792		50,926
Cray Inc. (a)		9,522		61,607
CSG Systems International Inc. (a)		8,665		127,462
CSR PLC ADR (a)		1,825		20,860
CTS Corp.		8,641		79,497
Cymer Inc. (a)		7,576		376,982
Daktronics Inc.		8,552		81,843
DDi Corp.		4,100		38,253
DealerTrack Holdings Inc. (a)		10,241		279,170
Deltek Inc. (a)		5,505		54,059
Demand Media Inc. (a)		1,933		12,854
DemandTec Inc. (a)		8,000		105,360
Dialogic Inc. (a)		3,799		4,559
Dice Holdings Inc. (a)		11,918		98,800
Digi International Inc. (a)		6,080		67,853
Digimarc Corp. (a)		1,581		37,770


106		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Information Technology (Cont.)
Digital River Inc. (a)		9,278	$	139,356
Diodes Inc. (a)		8,746		186,290
Dot Hill Systems Corp. (a)		13,942		18,543
DSP Group Inc. (a)		5,824		30,343
DTS Inc. (a)		4,384		119,420
Dynamics Research Corp. (a)		2,221		25,186
EarthLink Inc.		27,540		177,358
Ebix Inc.		7,239		159,982
Echelon Corp. (a)		8,344		40,635
Echo Global Logistics Inc. (a)		2,800		45,220
Electro Rent Corp.		4,606		78,993
Electro Scientific Industries Inc. (a)		5,538		80,190
Electronics for Imaging Inc. (a)		11,808		168,264
Ellie Mae Inc. (a)		2,148		12,136
eMagin Corp. (a)		4,225		15,632
EMCORE Corp. (a)		21,729		18,737
Emulex Corp. (a)		21,880		150,097
Entegris Inc. (a)		33,613		293,273
Entropic Communications Inc. (a)		21,200		108,332
Envestnet Inc. (a)		4,700		56,212
EPIQ Systems Inc.		7,690		92,434
ePlus Inc. (a)		1,018		28,789
Euronet Worldwide Inc. (a)		12,797		236,489
Exar Corp. (a)		8,967		58,286
Exlservice Holdings Inc. (a)		3,964		88,675
Extreme Networks Inc. (a)		22,764		66,471
Fabrinet (a)		5,028		68,783
Fair Isaac Corp.		8,902		319,048
FalconStor Software Inc. (a)		7,016		18,101
FARO Technologies Inc. (a)		4,049		186,254
FEI Co. (a)		9,686		394,995
Finisar Corp. (a)		22,167		371,186
Formfactor Inc. (a)		12,443		62,962
Forrester Research Inc. (a)		3,652		123,949
FriendFinder Networks Inc. (a)		2,077		1,558
FSI International Inc. (a)		8,784		32,149
Gerber Scientific Inc. Escrow Shares (a) (b)		6,402		0
Global Cash Access Holdings Inc. (a)		15,837		70,475
Globecomm Systems Inc. (a)		5,700		77,976
Glu Mobile Inc. (a)		12,312		38,660
GSI Group Inc. (a)		6,355		65,012
GSI Technology Inc. (a)		5,400		25,272
GT Advanced Technologies Inc. (a)		31,100		225,164
Guidance Software Inc. (a)		3,644		23,613
Hackett Group Inc., The (a)		8,094		30,272
Harmonic Inc. (a)		28,310		142,682
Heartland Payment Systems Inc.		9,600		233,856
Higher One Holdings Inc. (a)		7,571		139,609
Hittite Microwave Corp. (a)		7,800		385,164
Identive Group Inc. (a)		9,560		21,319
iGate Corp. (a)		7,626		119,957
Imation Corp. (a)		7,659		43,886
Immersion Corp. (a)		7,200		37,296
Imperva Inc. (a)		1,354		47,133
Infinera Corp. (a)		25,721		161,528
InfoSpace Inc. (a)		9,520		104,625


	Shares		Value
Common Stocks (Cont.)

Information Technology (Cont.)
Inphi Corp. (a)		5,137	$	61,439
Insight Enterprises Inc. (a)		10,948		167,395
Integrated Device Technology Inc. (a)		36,303		198,214
Integrated Silicon Solution Inc. (a)		6,439		58,852
Interactive Intelligence Group (a)		3,511		80,472
InterDigital Inc.		11,192		487,635
Intermec Inc. (a)		14,704		100,869
Intermolecular Inc. (a)		2,400		20,592
Internap Network Services Corp. (a)		12,990		77,161
Intevac Inc. (a)		5,632		41,677
Intralinks Holdings Inc. (a)		7,833		48,878
InvenSense Inc. (a)		2,600		25,896
Ixia (a)		9,499		99,834
IXYS Corp. (a)		5,714		61,883
j2 Global Inc.		11,290		317,701
Jack Henry & Associates Inc.		21,414		719,725
JDA Software Group Inc. (a)		10,482		339,512
Kemet Corp. (a)		10,879		76,697
Kenexa Corp. (a)		6,536		174,511
Keynote Systems Inc.		3,690		75,793
KIT Digital Inc. (a)		9,745		82,345
Kopin Corp. (a)		17,200		66,736
Kulicke & Soffa Industries Inc. (a)		17,882		165,408
KVH Industries Inc. (a)		3,400		26,452
Lattice Semiconductor Corp. (a)		29,593		175,782
LeCroy Corp. (a)		4,019		33,800
Limelight Networks Inc. (a)		16,679		49,370
Lionbridge Technologies Inc. (a)		14,200		32,518
Liquidity Services Inc. (a)		4,600		169,740
Littelfuse Inc.		5,637		242,278
LivePerson Inc. (a)		13,000		163,150
LogMeIn Inc. (a)		5,070		195,448
LoopNet Inc. (a)		4,100		74,948
Loral Space & Communications Inc. (a)		2,700		175,176
LTX-Credence Corp. (a)		12,296		65,784
Magma Design Automation Inc. (a)		16,870		121,127
Manhattan Associates Inc. (a)		5,005		202,602
ManTech International Corp.		5,755		179,786
Marchex Inc. Class B		5,366		33,538
MAXIMUS Inc.		8,598		355,527
MaxLinear Inc. Class A (a)		3,986		18,934
Maxwell Technologies Inc. (a)		6,900		112,056
Measurement Specialties Inc. (a)		3,700		103,452
Mentor Graphics Corp. (a)		23,756		322,131
Mercury Computer Systems Inc. (a)		7,478		99,383
Meru Networks Inc. (a)		2,670		11,027
Methode Electronics Inc.		8,967		74,336
Micrel Inc.		12,895		130,368
Microsemi Corp. (a)		21,361		357,797
MicroStrategy Inc. (a)		2,025		219,348
Microvision Inc. (a)		28,322		10,199
Mindspeed Technologies Inc. (a)		7,951		36,416
MIPS Technologies Inc. (a)		13,220		58,961
MKS Instruments Inc.		12,878		358,266
ModusLink Global Solutions Inc.		11,395		61,533
MoneyGram International Inc. (a)		2,562		45,476


See accompanying notes to financial statements.		107

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Information Technology (Cont.)
Monolithic Power Systems Inc. (a)		7,303	$	110,056
Monotype Imaging Holdings Inc. (a)		8,800		137,192
MoSys Inc. (a)		7,482		31,424
Motricity Inc. (a)		9,100		8,190
Move Inc. (a)		9,852		62,265
MTS Systems Corp.		3,870		157,702
Multi-Fineline Electronix Inc. (a)		2,134		43,854
Nanometrics Inc. (a)		4,904		90,332
NCI Inc. (a)		1,700		19,805
NeoPhotonics Corp. (a)		2,100		9,618
Netgear Inc. (a)		9,048		303,741
Netlogic Microsystems Inc. (a)		16,873		836,395
NetScout Systems Inc. (a)		9,200		161,920
NetSuite Inc. (a)		6,700		271,685
Newport Corp. (a)		9,418		128,179
NIC Inc.		15,806		210,378
Novatel Wireless Inc. (a)		7,780		24,351
NumereX Corp. Class A (a)		2,327		19,151
NVE Corp. (a)		1,200		66,636
Oclaro Inc. (a)		12,466		35,154
OCZ Technology Group Inc. (a)		12,678		83,802
Omnivision Technologies Inc. (a)		14,345		175,511
OpenTable Inc. (a)		5,800		226,954
Openwave Systems Inc. (a)		21,400		33,812
Oplink Communications Inc. (a)		5,045		83,091
OPNET Technologies Inc.		3,600		132,012
OpNext Inc. (a)		9,572		7,732
Orbcomm Inc. (a)		8,390		25,086
OSI Systems Inc. (a)		4,665		227,559
Parametric Technology Corp. (a)		29,444		537,647
Park Electrochemical Corp.		5,188		132,917
PC Connection Inc.		2,020		22,402
PDF Solutions Inc. (a)		6,063		42,259
Pegasystems Inc.		4,140		121,716
Perficient Inc. (a)		5,900		59,059
Pericom Semiconductor Corp. (a)		6,609		50,294
Photronics Inc. (a)		14,772		89,814
Plantronics Inc.		10,796		384,769
Plexus Corp. (a)		8,840		242,039
PLX Technology Inc. (a)		11,411		32,750
Power Integrations Inc.		7,189		238,387
Power-One Inc. (a)		16,518		64,585
Powerwave Technologies Inc. (a)		8,393		17,457
PRGX Global Inc. (a)		4,831		28,744
Procera Networks Inc. (a)		3,520		54,842
Progress Software Corp. (a)		16,675		322,661
PROS Holdings Inc. (a)		5,500		81,840
Pulse Electronics Corp.		10,480		29,344
QAD Inc. Class A (a)		1,458		15,309
QLIK Technologies Inc. (a)		17,424		421,661
Quantum Corp. (a)		55,695		133,668
Quepasa Corp. (a)		1,656		5,498
Quest Software Inc. (a)		14,173		263,618
QuinStreet Inc. (a)		6,798		63,629
Radisys Corp. (a)		4,829		24,435
Rambus Inc. (a)		24,258		183,148
RealD Inc. (a)		10,398		82,560


	Shares		Value
Common Stocks (Cont.)

Information Technology (Cont.)
Realnetworks Inc.		5,369	$	40,267
RealPage Inc. (a)		7,516		189,929
Responsys Inc. (a)		2,325		20,669
RF Micro Devices Inc. (a)		68,598		370,429
Richardson Electronics Ltd.		3,533		43,421
RightNow Technologies Inc. (a)		6,094		260,397
Rimage Corp.		2,297		25,841
Rofin-Sinar Technologies Inc. (a)		7,034		160,727
Rogers Corp. (a)		3,965		146,150
Rosetta Stone Inc. (a)		2,689		20,517
Rubicon Technology Inc. (a)		4,200		39,438
Rudolph Technologies Inc. (a)		7,917		73,311
S1 Corp. (a)		13,272		127,013
Saba Software Inc. (a)		7,000		55,230
Sanmina-SCI Corp. (a)		19,926		185,511
Sapient Corp.		27,008		340,301
ScanSource Inc. (a)		6,678		240,408
SciQuest Inc. (a)		3,054		43,581
SeaChange International Inc. (a)		6,200		43,586
Semtech Corp. (a)		16,149		400,818
ServiceSource International Inc. (a)		2,459		38,582
ShoreTel Inc. (a)		12,039		76,809
Sigma Designs Inc. (a)		7,596		45,576
Silicon Graphics International Corp. (a)		7,700		88,242
Silicon Image Inc. (a)		19,173		90,113
Smith Micro Software Inc. (a)		9,100		10,283
SolarWinds Inc. (a)		14,100		394,095
Sonus Networks Inc. (a)		52,506		126,014
Sourcefire Inc. (a)		7,100		229,898
Spansion Inc. Class A (a)		12,469		103,243
SPS Commerce Inc. (a)		2,106		54,651
SRS Labs Inc. (a)		2,700		15,525
SS&C Technologies Holdings Inc. (a)		6,217		112,279
Stamps.com Inc. (a)		2,728		71,283
Standard Microsystems Corp. (a)		5,632		145,137
STEC Inc. (a)		9,200		79,028
STR Holdings Inc. (a)		7,685		63,248
Stratasys Inc. (a)		5,214		158,558
Stream Global Services Inc. (a)		2,200		7,282
SuccessFactors Inc. (a)		20,756		827,542
Super Micro Computer Inc. (a)		6,607		103,598
Supertex Inc. (a)		2,380		44,934
Support.com Inc. (a)		11,300		25,425
Sycamore Networks Inc. (a)		4,927		88,193
Symmetricom Inc. (a)		11,346		61,155
Synaptics Inc. (a)		8,024		241,924
Synchronoss Technologies Inc. (a)		6,500		196,365
SYNNEX Corp. (a)		6,205		189,004
Syntel Inc.		3,758		175,762
Take-Two Interactive Software Inc. (a)		18,200		246,610
Taleo Corp. (a)		10,133		392,046
Tangoe Inc. (a)		2,518		38,777
TechTarget (a)		3,326		19,424
Tekelec (a)		15,119		165,251
TeleCommunication Systems Inc. Class A (a)		10,700		25,145
TeleNav Inc. (a)		4,108		32,083


108		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Information Technology (Cont.)
TeleTech Holdings Inc. (a)		6,205	$	100,521
Tessera Technologies Inc. (a)		12,872		215,606
THQ Inc. (a)		17,309		13,155
TiVo Inc. (a)		29,440		264,077
TNS Inc. (a)		6,315		111,902
Travelzoo Inc. (a)		1,400		34,412
TriQuint Semiconductor Inc. (a)		40,415		196,821
TTM Technologies Inc. (a)		12,760		139,850
Tyler Technologies Inc. (a)		7,390		222,513
Ubiquiti Networks Inc. (a)		2,146		39,122
Ultimate Software Group Inc. (a)		6,391		416,182
Ultra Clean Holdings Inc. (a)		5,323		32,524
Ultratech Inc. (a)		6,379		156,732
Unisys Corp. (a)		10,679		210,483
United Online Inc.		21,456		116,721
Universal Display Corp. (a)		9,498		348,482
ValueClick Inc. (a)		19,464		317,069
VASCO Data Security International Inc. (a)		6,902		45,001
Veeco Instruments Inc. (a)		10,102		210,122
Verint Systems Inc. (a)		5,238		144,255
ViaSat Inc. (a)		8,999		415,034
Viasystems Group Inc. (a)		656		11,100
Virnetx Holding Corp. (a)		10,027		250,374
Virtusa Corp. (a)		3,800		55,024
Vishay Precision Group Inc. (a)		3,021		48,276
Vocus Inc. (a)		4,300		94,987
Volterra Semiconductor Corp. (a)		6,221		159,320
Wave Systems Corp. Class A (a)		20,279		44,005
Web.com Group Inc. (a)		7,157		81,948
Websense Inc. (a)		9,902		185,464
Westell Technologies Inc. Class A (a)		12,962		28,776
Wright Express Corp. (a)		9,598		520,979
XO Group Inc. (a)		6,900		57,546
X-Rite Inc. (a)		6,400		29,696
Xyratex Ltd.		7,027		93,600
Zillow Inc. (a)		1,009		22,682
Zix Corp. (a)		16,400		46,248
Zygo Corp. (a)		3,900		68,830

				46,955,428

Materials (4.42%)
A. Schulman Inc.		7,745		164,039
AEP Industries Inc. (a)		900		25,335
AM Castle & Co. (a)		4,189		39,628
AMCOL International Corp.		6,044		162,281
American Vanguard Corp.		5,613		74,877
Balchem Corp.		7,088		287,348
Boise Inc.		22,976		163,589
Buckeye Technologies Inc.		9,980		333,731
Calgon Carbon Corp. (a)		14,052		220,757
Century Aluminum Co. (a)		12,700		108,077
Chase Corp.		1,554		21,601
Chemtura Corp. (a)		23,725		269,042
Clearwater Paper Corp. (a)		5,676		202,122
Coeur d’Alene Mines Corp. (a)		22,088		533,204


	Shares		Value
Common Stocks (Cont.)

Materials (Cont.)
Deltic Timber Corp.		2,730	$	164,865
Eagle Materials Inc.		10,963		281,311
Ferro Corp. (a)		21,217		103,751
Flotek Industries Inc. (a)		12,328		122,787
FutureFuel Corp.		4,573		56,797
General Moly Inc. (a)		16,300		50,367
Georgia Gulf Corp. (a)		8,480		165,275
Globe Specialty Metals Inc.		15,605		208,951
Gold Resource Corp.		6,973		148,176
Golden Minerals Co. (a)		6,879		39,967
Golden Star Resources Ltd. (a)		64,808		106,933
Graphic Packaging Holding Co. (a)		39,260		167,248
Handy & Harman Ltd. (a)		1,448		14,335
Hawkins Inc.		2,165		79,802
Haynes International Inc.		3,000		163,800
HB Fuller Co.		12,254		283,190
Headwaters Inc. (a)		14,620		32,456
Hecla Mining Co.		69,079		361,283
Horsehead Holding Corp. (a)		10,929		98,470
Innophos Holdings Inc.		5,400		262,224
Innospec Inc. (a)		5,849		164,181
Jaguar Mining Inc. (a)		21,255		135,607
Kaiser Aluminum Corp.		4,000		183,520
Kapstone Paper and Packaging
Corp. (a)		9,673		152,253
KMG Chemicals Inc.		1,601		27,649
Koppers Holdings Inc.		5,119		175,889
Kraton Performance Polymers Inc. (a)		7,914		160,654
Landec Corp. (a)		6,700		36,984
Louisiana-Pacific Corp. (a)		32,610		263,163
LSB Industries Inc. (a)		4,600		128,938
Materion Corp. (a)		4,952		120,235
Metals USA Holdings Corp. (a)		2,796		31,455
Midway Gold Corp. (a)		22,105		46,642
Minerals Technologies Inc.		4,509		254,894
Myers Industries Inc.		7,345		90,637
Neenah Paper Inc.		3,553		79,303
NewMarket Corp.		2,271		449,908
Noranda Aluminum Holding Corp.		5,604		46,233
Olin Corp.		19,810		389,266
Olympic Steel Inc.		2,300		53,636
OM Group Inc. (a)		7,691		172,201
Omnova Solutions Inc. (a)		10,758		49,594
P. H. Glatfelter Co.		10,796		152,440
Paramount Gold and Silver Corp. (a)		28,752		61,529
PolyOne Corp.		23,048		266,204
Quaker Chemical Corp.		3,100		120,559
Revett Minerals Inc. (a)		6,198		29,255
RTI International Metals Inc. (a)		7,374		171,151
Schweitzer-Mauduit International Inc.		3,974		264,112
Senomyx Inc. (a)		9,852		34,285
Sensient Technologies Corp.		12,353		468,179
Spartech Corp. (a)		7,804		36,913
Stepan Co.		2,051		164,408
Stillwater Mining Co. (a)		28,699		300,192
SunCoke Energy Inc. (a)		3,278		36,714


See accompanying notes to financial statements.		109

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)

Materials (Cont.)
Texas Industries Inc.		5,627	$	173,199
Thompson Creek Metals Company Inc. (a)		37,404		260,332
TPC Group Inc. (a)		3,309		77,199
Tredegar Corp.		5,999		133,238
U.S. Energy Corp. (a)		6,598		19,200
United States Lime & Minerals Inc. (a)		600		36,066
Universal Stainless & Alloy Products Inc. (a)		1,824		68,145
US Gold Corp. (a)		25,800		86,688
Verso Paper Corp. (a)		2,478		2,379
Vista Gold Corp. (a)		17,304		53,123
Wausau Paper Corp.		12,526		103,465
Worthington Industries Inc.		14,196		232,530
Zep Inc.		5,331		74,527
Zoltek Companies Inc. (a)		7,105		54,140

				12,210,633


Telecommunication Services (0.78%)
8x8 Inc. (a)		15,329		48,593
AboveNet Inc. (a)		5,794		376,668
Alaska Communications Systems Group Inc.		11,279		33,950
Atlantic Tele-Network Inc.		2,249		87,823
Boingo Wireless Inc. (a)		1,410		12,126
Cbeyond Inc. (a)		7,000		56,070
Cincinnati Bell Inc. (a)		50,085		151,758
Cogent Communications Group Inc. (a)		11,400		192,546
Consolidated Communications Holdings Inc.		6,408		122,072
FairPoint Communications Inc. (a)		5,294		22,923
General Communication Inc. Class A (a)		10,482		102,619
Globalstar Inc. (a)		25,072		13,539
HickoryTech Corp.		3,244		35,944
IDT Corp. Class B		3,305		31,001
inContact Inc. (a)		7,420		32,871
Iridium Communications Inc. (a)		10,783		83,137
Leap Wireless International Inc. (a)		15,074		140,037
Lumos Networks Corp.		3,750		57,525
Neutral Tandem Inc. (a)		7,800		83,382
NTELOS Holdings Corp.		3,750		76,425
Premiere Global Services Inc. (a)		12,840		108,755
Shenandoah Telecommunications Co.		6,038		63,278
SureWest Communications		3,429		41,251
Towerstream Corp. (a)		11,474		24,095
USA Mobility Inc.		5,566		77,200
Vonage Holdings Corp. (a)		34,179		83,739

				2,159,327

Utilities (3.65%)
Allete Inc.		7,851		329,585
American States Water Co.		4,678		163,262
Artesian Resources Corp. Class A		1,686		31,747
Atlantic Power Corp.		27,944		399,599
Avista Corp.		14,206		365,804
Black Hills Corp.		9,889		332,073


	Shares		Value
Common Stocks (Cont.)

Utilities (Cont.)
Cadiz Inc. (a)		3,002	$	28,909
California Water Service Group		10,408		190,050
Central Vermont Public Service Corp.		3,427		120,288
CH Energy Group Inc.		3,826		223,362
Chesapeake Utilities Corp.		2,308		100,052
Cleco Corp.		15,080		574,548
Connecticut Water Service Inc.		2,224		60,337
Consolidated Water Co. Ltd.		3,594		30,837
Dynegy Inc. (a)		25,666		71,095
El Paso Electric Co.		10,432		361,364
Empire District Electric Co., The		10,330		217,860
Genie Energy Ltd. Class B		3,305		26,209
Idacorp Inc.		12,255		519,735
Laclede Group Inc., The		5,588		226,146
MGE Energy Inc.		5,659		264,671
Middlesex Water Co.		3,953		73,763
New Jersey Resources Corp.		10,276		505,579
Northwest Natural Gas Co.		6,575		315,140
NorthWestern Corp.		8,911		318,925
Ormat Technologies Inc.		4,405		79,422
Otter Tail Corp.		9,091		200,184
Pennichuck Corp.		1,170		33,731
Piedmont Natural Gas Company Inc.		17,805		605,014
PNM Resources Inc.		19,670		358,584
Portland General Electric Co.		18,837		476,388
SJW Corp.		3,648		86,239
South Jersey Industries Inc.		7,398		420,280
Southwest Gas Corp.		11,424		485,406
UIL Holdings Corp.		12,537		443,434
Unisource Energy Corp.		9,111		336,378
Unitil Corp.		2,623		74,441
WGL Holdings Inc.		12,752		563,893
York Water Co.		3,000		52,920

				10,067,254

Total Common Stocks (cost $262,675,774)				271,429,871


Registered Investment Companies (0.79%)

Financials (0.79%)
Apollo Investment Corp.		48,429		311,883
Arlington Asset Investment Corp. Class A		1,537		32,784
BlackRock Kelso Capital Corp.		17,710		144,514
Capital Southwest Corp.		757		61,733
Fifth Street Finance Corp.		18,142		173,619
Gladstone Capital Corp.		5,050		38,532
Gladstone Investment Corp.		5,110		37,150
Golub Capital BDC LLC Inc.		2,651		41,090
Harris & Harris Group Inc. (a)		8,000		27,680
Hercules Technology Growth Capital Inc.		10,948		103,349
Kohlberg Capital Corp.		4,761		30,042
Main Street Capital Corp.		5,600		118,944
MCG Capital Corp.		18,458		73,647
Medallion Financial Corp.		3,600		40,968
Medley Capital Corp.		2,747		28,569


110		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Registered Investment Companies (Cont.)

Financials (Cont.)
MVC Capital Inc.		5,754	$	66,689
New Mountain Finance Corp.		1,818		24,379
NGP Capital Resources Co.		5,276		37,934
PennantPark Investment Corp.		10,990		110,889
Prospect Capital Corp.		26,829		249,241
Solar Capital Ltd.		9,100		201,019
Solar Senior Capital Ltd.		1,978		31,154
THL Credit Inc.		2,262		27,619
TICC Capital Corp.		8,400		72,660
Triangle Capital Corp.		5,457		104,338

				2,190,426

Total Registered Investment Companies (cost $3,104,332)				2,190,426


Short-term Investments (0.76%)
JPMorgan U.S. Government Money Market Fund		1,425,947		1,425,947

	Principal amount		Value
U.S. Treasury Bill (c)
0.021%, 05/03/2012	$	680,000	$	679,943

Total Short-term Investments (cost $2,105,898)				2,105,890


TOTAL INVESTMENTS (99.90%) (cost $267,886,004)				275,726,187

OTHER ASSETS, NET OF LIABILITIES (0.10%)				266,761


NET ASSETS (100.00%)			$	275,992,948

(a)	Non-income producing security.

(b)	In accordance with the Trust’s Valuation Procedures, State Farm Investment Management Corp. (“SFIMC”) determined the fair value for the security considering the facts and circumstances related to the particular security.

(c)	At December 31, 2011, this security has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

ADR – American Depository Receipt


See accompanying notes to financial statements.		111

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Shares		Value
Common Stocks (97.53%)
Australia (8.43%)
AGL Energy Ltd.		8,579	$	125,740
Alumina Ltd.		46,649		53,200
Amcor Ltd.		22,831		168,365
AMP Ltd.		52,066		216,740
Asciano Ltd.		18,010		82,893
ASX Ltd.		3,342		104,529
Australia & New Zealand Banking Group Ltd.		49,075		1,030,481
Bendigo and Adelaide Bank Ltd.		7,024		57,689
BGP Holdings PLC (a) (b)		183,756		0
BHP Billiton Ltd.		60,025		2,113,167
Boral Ltd.		13,782		50,746
Brambles Ltd.		27,937		204,590
Caltex Australia Ltd.		2,519		30,325
Campbell Brothers Ltd.		1,254		62,834
CFS Retail Property Trust		35,298		60,833
Coca-Cola Amatil Ltd.		10,549		124,187
Cochlear Ltd.		1,045		66,267
Commonwealth Bank of Australia		29,120		1,465,966
Computershare Ltd.		8,100		66,360
Crown Ltd.		8,609		71,235
CSL Ltd.		9,780		320,096
Dexus Property Group		88,581		75,199
Echo Entertainment Group Ltd. (a)		13,007		47,760
Fairfax Media Ltd.		44,224		32,567
Fortescue Metals Group Ltd.		23,621		103,161
Goodman Group		132,262		77,108
GPT Group		31,984		100,430
Harvey Norman Holdings Ltd.		10,827		20,321
Iluka Resources Ltd.		7,836		124,227
Incitec Pivot Ltd.		30,761		97,848
Insurance Australia Group Ltd.		38,386		116,998
James Hardie Industries SE CDI		8,057		56,202
Leighton Holdings Ltd.		2,900		56,475
Lend Lease Corp. Ltd.		10,208		74,756
Lynas Corporation Ltd. (a)		32,459		34,693
Macquarie Group Ltd.		6,493		157,990
Metcash Ltd.		14,152		58,478
Mirvac Group		62,708		75,683
National Australia Bank Ltd.		41,093		981,819
Newcrest Mining Ltd.		14,381		435,383
Onesteel Ltd.		26,354		18,868
Orica Ltd.		6,823		169,160
Origin Energy Ltd.		20,066		273,784
OZ Minerals Ltd.		5,943		60,846
Qantas Airways Ltd. (a)		21,256		31,741
QBE Insurance Group Ltd.		20,592		272,746
QR National Ltd.		31,721		110,959
Ramsay Health Care Ltd.		2,424		47,800
Rio Tinto Ltd.		8,198		505,610
Santos Ltd.		17,589		220,198
Sims Metal Management Ltd.		3,200		41,403
Sonic Healthcare Ltd.		7,081		81,695
SP Ausnet		24,719		23,766
Stockland		43,992		143,534
Suncorp Group Ltd.		23,943		205,217


	Shares		Value
Common Stocks (Cont.)
Australia (Cont.)
Sydney Airport		7,407	$	20,152
Tabcorp Holding Ltd.		13,007		36,319
Tatts Group Ltd.		23,814		59,431
Telstra Corp. Ltd.		81,159		276,421
Toll Holdings Ltd.		12,395		53,499
Transurban Group		24,693		141,939
Wesfarmers Ltd.		18,789		566,913
Westfield Group		41,355		330,347
Westfield Retail Trust		53,538		136,349
Westpac Banking Corp.		56,588		1,157,564
Woodside Petroleum Ltd.		11,938		373,876
Woolworths Ltd.		22,715		583,146
WorleyParsons Ltd.		3,571		93,758

				15,240,382

Austria (0.24%)
Erste Group Bank AG		3,422		60,167
Immoeast Interim Shares (a) (b)		8,216		0
Immofinanz AG (a)		17,968		53,952
Immofinanz AG Interim Shares (a) (b)		7,204		0
Oesterreichische Elektrizitaetswirtschafts AG (Verbund) Class A		1,318		35,370
OMV AG		3,054		92,650
Raiffeisen Bank International AG		925		24,021
Telekom Austria AG		6,045		72,276
Vienna Insurance Group AG Wiener Versicherung Gruppe		730		28,930
VoestAlpine AG		2,100		58,897

				426,263

Belgium (0.93%)
Ageas		42,227		65,582
Anheuser-Busch InBev NV		14,983		917,327
Bekaert NV		748		23,994
Belgacom SA		2,887		90,573
Colruyt SA		1,360		51,485
Delhaize Group		1,880		105,613
Groupe Bruxelles Lambert SA		1,544		102,934
KBC GROEP NV		3,112		39,196
Mobistar SA		573		30,028
Solvay SA		1,132		93,265
UCB SA		1,885		79,314
Umicore SA		2,161		89,136

				1,688,447

Denmark (1.02%)
A P Moller-Maersk A/S Class A		10		62,404
A P Moller-Maersk A/S Class B		24		158,459
Carlsberg A/S Class B		1,989		140,258
Coloplast A/S Class B		423		60,836
Danske Bank A/S (a)		12,124		153,996
DSV A/S		3,748		67,215
Novo Nordisk A/S Class B		7,949		913,471
Novozymes A/S B Shares		4,305		132,899


112		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Denmark (Cont.)
Tdc A/S		7,113	$	57,045
Tryg A/S		462		25,661
Vestas Wind Systems A/S (a)		3,873		41,811
William Demant Holding A/S (a)		420		34,926

				1,848,981

Finland (0.82%)
Elisa OYJ		2,608		54,446
Fortum OYJ		8,330		177,780
Kesko OYJ		1,244		41,797
Kone Corp. OYJ Class B		2,897		150,353
Metso OYJ		2,422		89,808
Neste Oil OYJ		2,575		26,012
Nokia OYJ		69,779		340,655
Nokian Renkaat OYJ		2,041		65,722
Orion OYJ Class B		1,774		34,555
Pohjola Bank PLC		2,708		26,321
Sampo OYJ A Shares		7,907		196,179
Sanoma OYJ		1,601		18,369
Stora Enso OYJ R Shares		10,571		63,318
UPM-Kymmene OYJ		9,966		109,766
Wartsila OYJ Class B		3,097		89,465

				1,484,546

France (8.72%)
Accor SA		2,698		68,389
Aeroports de Paris (ADP)		661		45,341
Air Liquide SA		5,295		655,084
Alcatel-Lucent (a)		44,310		69,219
Alstom SA		3,816		115,717
Arkema		1,023		72,424
AtoS		891		39,104
AXA SA		32,427		421,575
BNP Paribas SA		18,014		707,599
Bouygues SA		3,542		111,603
Bureau Veritas SA		1,044		76,072
Cap Gemini SA		2,819		88,093
Carrefour SA		10,875		247,931
Casino Guichard Perrachon SA		1,023		86,167
Christian Dior SA		1,008		119,515
Cie Generale des Etablissments Michelln Class B		3,371		199,276
CNP Assurances		2,609		32,342
Compagnie de Saint-Gobain		7,551		289,913
Compagnie Generale de Geophysique-Veritas (a)		2,735		64,176
Credit Agricole SA		18,649		105,235
DANONE SA		10,907		685,633
Dassault Systemes SA		1,150		92,176
Edenred		2,913		71,708
Eiffage SA		792		19,173
Electricite de France		4,463		108,593
Essilor International SA		3,787		267,367
Eurazeo		596		21,209
European Aeronautic Defence and Space Co. NV		7,644		238,922


	Shares		Value
Common Stocks (Cont.)
France (Cont.)
Eutelsat Communications		1,802	$	70,317
Fonciere des Regions		533		34,216
France Telecom SA		34,497		541,801
GDF Suez		23,097		631,347
Gecina SA		421		35,417
Groupe Eurotunnel SA		10,072		68,568
ICADE		451		35,484
Iliad SA		364		44,920
Imerys SA		652		30,033
JC Decaux SA (a)		1,333		30,701
Klepierre		1,999		57,022
Lafarge SA		3,695		129,886
Lagardere SCA		2,130		56,238
Legrand SA		4,213		135,499
L’Oreal SA		4,487		468,649
LVMH Moet Hennessy Louis Vuitton SA		4,743		671,566
Natixis		17,894		45,022
Neopost SA		590		39,753
Pernod Ricard SA		3,701		343,253
Peugeot SA		2,951		46,252
PPR SA		1,415		202,640
Publicis Groupe		2,703		124,349
Renault SA		3,537		122,684
Safran SA		3,069		92,172
Sanofi		21,410		1,572,535
Schneider Electric SA		9,193		484,012
SCOR SE		3,304		77,228
SES FDR		5,664		135,947
Societe BIC SA		554		49,116
Societe Generale		12,397		276,051
Societe Television Francaise 1		2,151		20,996
Sodexo		1,741		124,990
STMicroelectronics NV		11,700		69,520
Suez Environnement Co.		5,216		60,089
Technip SA		1,850		173,879
Thales SA		1,932		61,016
Total SA		39,670		2,028,043
Unibail-Rodamco SE		1,729		310,825
Vallourec SA		2,115		137,305
Veolia Environnement		6,746		73,943
Vinci SA		8,495		371,180
Vivendi		23,224		508,576
Wendel		630		41,992

				15,754,588

Germany (7.21%)
Adidas AG		3,928		255,513
Allianz SE Reg.		8,485		811,659
Axel Springer AG		771		33,134
BASF SE		17,158		1,196,722
Bayer AG		15,442		987,299
Bayerische Motoren Werke (BMW) AG		6,173		413,532
Beiersdorf AG		1,865		105,772
Brenntag AG		643		59,877
Celesio AG		1,666		26,392
Commerzbank AG (a)		65,911		111,153


See accompanying notes to financial statements.		113

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Germany (Cont.)
Continental AG (a)		1,476	$	91,877
Daimler AG Registered Shares		16,894		741,663
Deutsche Bank AG Reg.		17,510		667,066
Deutsche Boerse AG New (a)		3,621		189,849
Deutsche Lufthansa AG Reg.		4,325		51,414
Deutsche Post AG		15,704		241,460
Deutsche Telekom AG		52,408		601,305
E.On AG		33,628		725,529
Fraport AG		731		35,952
Fresenius Medical Care AG & Co. KGaA		3,888		264,182
Fresenius SE & Co. KGaA		2,132		197,238
GEA Group AG		3,221		91,088
Hannover Rueckversicherung AG Reg.		1,095		54,314
HeidelbergCement AG		2,594		110,085
Henkel AG & Co. KGaA		2,455		118,834
Hochtief AG		815		47,145
Infineon Technologies AG		20,159		151,744
K+S AG Reg.		3,214		145,257
Kabel Deutschland Holding AG (a)		1,725		87,551
Lanxess AG		1,532		79,312
Linde AG		3,220		479,053
MAN AG		1,172		104,208
Merck KGaA		1,202		119,835
Metro AG		2,423		88,434
Muenchener Rueckversicherungs Gesellschaft AG Reg.		3,344		410,205
QIAGEN NV (a)		4,488		61,862
RWE AG		9,109		320,079
Salzgitter AG		753		37,648
SAP AG		17,192		908,943
Siemens AG Reg.		15,368		1,470,670
Suedzucker AG		1,221		38,954
ThyssenKrupp AG		7,186		164,851
United Internet AG Reg.		1,933		34,525
Volkswagen AG		549		73,646
Wacker Chemie AG		301		24,212

				13,031,043

Greece (0.08%)
Coca-Cola Hellenic Bottling Co. SA (a)		3,442		58,136
Hellenic Telecommunications Organization SA		4,860		17,549
National Bank of Greece SA (a)		18,232		38,463
OPAP SA		4,278		37,816

				151,964

Hong Kong (2.74%)
AIA Group Ltd.		157,619		492,141
ASM Pacific Technology Ltd.		3,600		40,396
Bank of East Asia Ltd.		29,317		110,978
BOC Hong Kong Holdings Ltd.		69,000		163,469
Cathay Pacific Airways Ltd.		23,494		40,293
Cheung Kong Holdings Ltd.		25,364		301,758


	Shares		Value
Common Stocks (Cont.)
Hong Kong (Cont.)
Cheung Kong Infrastructure Holdings Ltd.		9,175	$	53,751
CLP Holdings Ltd.		36,005		306,198
First Pacific Company Ltd.		39,425		41,117
Foxconn International Holdings Ltd. (a)		42,000		27,093
Galaxy Entertainment Group Ltd. (a)		23,880		43,661
Hang Lung Group Ltd.		16,000		87,657
Hang Lung Properties Ltd.		46,000		130,894
Hang Seng Bank Ltd.		14,343		170,178
Henderson Land Development Co. Ltd.		16,881		83,899
Hong Kong & China Gas Co. Ltd.		88,499		205,107
Hong Kong Exchanges & Clearing Ltd.		19,300		308,388
Hopewell Holdings Ltd.		10,500		26,850
Hutchison Whampoa Ltd.		39,700		332,512
Hysan Development Co. Ltd.		11,856		38,927
Kerry Properties Ltd.		13,657		45,192
Li & Fung Ltd.		105,240		194,583
Lifestyle International Holdings Ltd.		10,500		23,145
Link REIT, The		41,044		151,142
MTR Corp.		26,688		86,422
New World Development Co. Ltd.		69,357		55,903
NWS Holdings Ltd.		25,260		37,207
Orient Overseas International Ltd.		4,400		25,692
PCCW Ltd.		81,000		27,846
Power Assets Holdings Ltd.		25,982		192,190
Sands China Ltd. (a)		44,853		126,764
Shangri-La Asia Ltd.		26,283		45,347
Sino Land Co. Ltd.		52,479		74,733
SJM Holdings Ltd.		32,022		51,950
Sun Hung Kai Properties Ltd.		26,000		325,896
Swire Pacific Ltd. Class A		13,321		160,797
Wharf Holdings Ltd.		28,700		129,705
Wheelock and Co. Ltd.		18,000		44,591
Wing Hang Bank Ltd.		3,252		26,651
Wynn Macau Ltd.		29,936		75,085
Yue Yuen Industrial Holdings Ltd.		14,000		44,254

				4,950,362

Ireland (0.28%)
CRH PLC (Dublin)		13,370		265,791
Elan Corp. PLC (a)		9,346		129,670
Kerry Group PLC Class A		2,652		97,084
Ryanair Holdings PLC (a)		3,431		16,106

				508,651

Israel (0.64%)
Bank Hapoalim B.M.		20,381		66,421
Bank Leumi Le-Israel		21,485		61,507
Bezeq The Israeli Telecommunication Corporation Ltd.		33,862		62,037
Cellcom Israel Ltd.		971		16,238
Delek Group Ltd.		78		14,679
Elbit Systems Ltd.		455		18,685
Israel Chemicals Ltd.		8,329		86,328


114		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Israel (Cont.)
Israel Corporation Ltd., The		45	$	28,103
Israel Discount Bank Class A (a)		14,983		20,051
Mizrahi Tefahot Bank Ltd.		2,374		18,769
NICE Systems Ltd. (a)		1,063		36,149
Partner Communications Company Ltd.		1,670		14,750
Teva Pharmaceutical Industries Ltd.		17,555		706,622

				1,150,339

Italy (2.22%)
A2A SpA		20,416		19,197
Assicurazioni Generali SpA		21,691		326,496
Atlantia SpA		5,733		91,785
Autogrill SpA		2,144		20,923
Banca Carige SpA		12,622		24,177
Banca Monte Dei Paschi di Siena SpA		94,830		30,917
Banco Popolare Societa Cooperativa		33,734		43,660
Enel Green Power SpA		33,575		70,136
Enel SpA		122,604		498,891
Eni SpA		44,884		930,039
EXOR SpA		1,287		25,902
Fiat Industrial SpA (a)		14,133		121,182
Fiat SpA		14,506		66,649
Finmeccanica SpA		7,705		28,501
Intesa Sanpaolo		189,063		316,635
Intesa Sanpaolo RSP		18,229		22,732
Luxottica Group SpA		2,135		59,962
Mediaset SpA		14,001		38,742
Mediobanca SpA		9,887		56,892
Pirelli & Co. SpA		4,188		35,259
Prysmian SpA		3,927		48,767
Saipem SpA		4,935		209,817
Snam Rete Gas SpA		29,757		131,175
Telecom Italia RNC SpA		111,414		99,785
Telecom Italia SpA		173,646		186,760
Tenaris SA		8,786		162,382
Terna - Rete Elettrica Nationale SpA		22,983		77,458
UBI Banca - Unione di Banche Italiane ScpA		14,865		60,911
UniCredit SpA		25,389		210,957

				4,016,689

Japan (21.19%)
ABC-Mart Inc.		500		19,014
Advantest Corp.		2,800		26,665
Aeon Co. Ltd.		11,400		156,552
Aeon Credit Service Co. Ltd.		1,400		22,118
Aeon Mall Co. Ltd.		1,400		29,721
Air Water Inc.		2,769		35,256
Aisin Seiki Co. Ltd.		3,500		99,766
Ajinomoto Co. Inc.		12,000		144,056
Alfresa Holdings Corp.		700		29,512
All Nippon Airways Co. Ltd.		15,000		41,899
Amada Co. Ltd.		7,000		44,381
Aozora Bank Ltd.		11,000		30,298


	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Asahi Glass Co. Ltd.		19,000	$	159,465
Asahi Group Holdings Ltd.		7,300		160,283
Asahi Kasei Corp.		23,000		138,651
ASICS Corp.		3,000		33,831
Astellas Pharma Inc.		8,298		337,440
Bank of Kyoto Ltd., The		6,000		51,682
Bank of Yokohama Ltd., The		23,000		108,770
Benesse Holdings Inc.		1,300		62,914
Bridgestone Corp.		12,100		274,321
Brother Industries Ltd.		4,300		52,793
Canon Inc.		21,200		939,223
Casio Computer Co. Ltd.		4,800		29,123
Central Japan Railway Co.		28		236,456
Chiba Bank Ltd., The		14,000		90,217
Chiyoda Corp.		3,077		31,302
Chubu Electric Power Co. Inc.		12,800		238,971
Chugai Pharmaceutical Co. Ltd.		4,300		70,894
Chugoku Bank Ltd., The		3,000		41,821
Chugoku Electric Power Company Inc., The		5,500		96,395
Citizen Holdings Co. Ltd.		4,800		27,876
Coca-Cola West Co. Ltd.		1,299		22,530
Cosmo Oil Co. Ltd.		11,000		30,726
Credit Saison Co. Ltd.		2,800		56,131
Dai Nippon Printing Co. Ltd.		10,000		96,141
Daicel Chemical Industries Ltd.		5,000		30,466
Daido Steel Co. Ltd.		5,000		31,376
Daihatsu Motor Co. Ltd.		4,000		71,404
Dai-ichi Life Insurance Company Ltd.		168		165,228
Daiichi Sankyo Co. Ltd.		12,540		248,617
Daikin Industries Ltd.		4,400		120,504
Dainippon Sumitomo Pharma Co. Ltd.		3,000		34,182
Daito Trust Construction Co. Ltd.		1,400		120,047
Daiwa House Industry Co. Ltd.		9,000		107,341
Daiwa Securities Group Inc.		30,000		93,543
DeNA Co. Ltd.		1,900		56,998
Denki Kagaku Kogyo KK		9,000		33,325
Denso Corp.		9,100		251,352
Dentsu Inc.		3,316		101,199
East Japan Railway Co.		6,413		408,259
Eisai Co. Ltd.		4,700		194,485
Electric Power Development Co. Ltd.		2,100		55,849
Elpida Memory Inc. (a)		4,900		22,791
FamilyMart Co. Ltd.		1,200		48,486
Fanuc Corp.		3,600		550,968
Fast Retailing Co. Ltd.		1,000		181,889
Fuji Electric Co. Ltd.		10,000		27,413
Fuji Heavy Industries Ltd.		11,000		66,454
FUJIFILM Holdings Corp.		8,700		206,056
Fujitsu Ltd.		35,000		181,889
Fukuoka Financial Group Inc.		15,000		62,947
Furukawa Electric Co. Ltd.		12,000		27,595
Gree Inc.		1,779		61,295
GS Yuasa Corp.		6,000		32,272
Gunma Bank Ltd.		7,000		38,470
Hachijuni Bank Ltd., The		7,549		43,056


See accompanying notes to financial statements.		115

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Hakuhodo DY Holdings Inc.		400	$	22,970
Hamamatsu Photonics K.K.		1,293		45,239
Hino Motors Ltd.		5,000		30,336
Hirose Electric Co. Ltd.		600		52,618
Hiroshima Bank Ltd., The		9,000		41,860
Hisamitsu Pharmaceutical Co. Inc.		1,200		50,825
Hitachi Chemical Co. Ltd.		1,900		33,473
Hitachi Construction Machinery Co. Ltd.		2,100		35,359
Hitachi High-Technologies Corp.		1,200		26,036
Hitachi Ltd.		85,000		446,148
Hitachi Metals Ltd.		3,000		32,623
Hokkaido Electric Power Co. Inc.		3,300		46,990
Hokuhoku Financial Group Inc.		24,000		46,771
Hokuriku Electric Power Co.		3,100		57,876
Honda Motor Co. Ltd.		30,400		927,364
Hoya Corp.		8,100		174,481
Ibiden Co. Ltd.		2,300		45,480
Idemitsu Kosan Co. Ltd.		400		41,263
IHI Corp.		25,000		60,738
INPEX Corp.		41		258,347
Isetan Mitsukoshi Holdings Ltd.		7,240		75,909
Isuzu Motors Ltd.		22,000		101,754
Itochu Corp.		28,000		284,474
Itochu Techno-Solutions Corp.		500		22,444
Iyo Bank Ltd., The		5,000		49,370
J. Front Retailing Co. Ltd.		8,600		41,564
Japan Petroleum Exploration Co.		500		19,553
Japan Prime Realty Investment Corp.		13		30,621
Japan Real Estate Investment Corp.		9		70,157
Japan Retail Fund Investment Corp.		35		51,838
Japan Steel Works Ltd., The		6,000		41,705
Japan Tobacco Inc.		84		395,063
JFE Holdings Inc.		8,500		153,943
JGC Corp.		4,000		96,037
Joyo Bank Ltd., The		12,000		53,008
JS Group Corp.		5,100		97,733
JSR Corp.		3,300		60,881
JTEKT Corp.		4,300		42,290
Jupiter Telecommunications Co. Ltd.		33		33,442
JX Holdings Inc.		42,300		255,548
Kajima Corp.		15,000		45,992
Kamigumi Co. Ltd.		4,000		34,507
Kaneka Corp.		5,000		26,634
Kansai Electric Power Company Inc., The		14,100		216,345
Kansai Paint Co. Ltd.		4,000		35,702
Kao Corp.		9,800		267,759
Kawasaki Heavy Industries Ltd.		27,000		67,351
Kawasaki Kisen Kaisha Ltd.		13,000		23,477
KDDI Corp.		54		347,278
Keikyu Corp.		9,000		80,798
Keio Corp.		11,000		77,602
Keisei Electric Railway Co. Ltd.		5,000		36,768
Keyence Corp.		770		185,672
Kikkoman Corp.		3,000		34,455
Kinden Corp.		2,000		16,890


	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Kintetsu Corp.		31,000	$	121,229
Kirin Holdings Co. Ltd.		15,000		182,409
Kobe Steel Ltd.		48,000		74,211
Koito Manufacturing Company Ltd.		1,924		26,996
Komatsu Ltd.		17,700		413,698
Konami Corp.		1,700		50,909
Konica Minolta Holdings Inc.		9,000		67,117
Kubota Corp.		22,000		184,358
Kuraray Co. Ltd.		6,600		93,894
Kurita Water Industries Ltd.		2,200		57,165
Kyocera Corp.		2,800		225,179
Kyowa Hakko Kirin Co. Ltd.		5,000		61,193
Kyushu Electric Power Co. Inc.		7,500		107,380
Lawson Inc.		1,100		68,670
Mabuchi Motor Co. Ltd.		500		20,820
Makita Corp.		2,100		67,963
Marubeni Corp.		31,000		188,892
Marui Group Co. Ltd.		4,400		34,299
Maruichi Steel Tube Ltd.		1,000		22,307
Mazda Motor Corp. (a)		29,000		51,241
McDonald’s Holdings Company Ltd. (Japan)		1,300		35,080
MEDIPAL HOLDINGS CORP.		2,900		30,292
MEIJI Holdings Company Ltd.		1,268		52,634
Miraca Holdings Inc.		1,090		43,405
Mitsubishi Chemical Holdings Corp.		25,000		137,716
Mitsubishi Corp.		26,500		535,371
Mitsubishi Electric Corp.		36,000		345,173
Mitsubishi Estate Co. Ltd.		23,000		343,640
Mitsubishi Gas Chemical Co. Inc.		7,000		38,833
Mitsubishi Heavy Industries Ltd.		57,000		242,900
Mitsubishi Logistics Corp.		2,000		22,216
Mitsubishi Materials Corp.		21,000		57,022
Mitsubishi Motors Corp. (a)		71,968		85,086
Mitsubishi Tanabe Pharma Corp.		4,300		68,045
Mitsubishi UFJ Financial Group Inc.		238,000		1,011,121
Mitsubishi UFJ Lease & Finance Co. Ltd.		1,050		41,607
Mitsui & Co. Ltd.		32,400		503,869
Mitsui Chemicals Inc.		15,000		45,797
Mitsui Fudosan Co. Ltd.		16,000		233,234
Mitsui OSK Lines Ltd.		21,000		81,304
Mitsui Sumitomo Insurance Group Holdings Inc.		10,600		196,383
Mizuho Financial Group Inc.		425,929		575,505
Murata Manufacturing Co. Ltd.		3,800		195,258
Nabtesco Corp.		1,745		31,808
Namco Bandai Holdings Inc.		3,700		52,685
NEC Corp. (a)		49,000		99,311
NGK Insulators Ltd.		5,000		59,374
NGK Spark Plug Co. Ltd.		3,000		37,222
NHK Spring Co. Ltd.		3,000		26,582
Nidec Corp.		2,000		173,834
Nikon Corp.		6,300		140,291
Nintendo Co. Ltd.		1,800		247,889
Nippon Building Fund Inc.		10		81,850
Nippon Electric Glass Co. Ltd.		7,500		74,250


116		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Nippon Express Co. Ltd.		16,000	$	62,362
Nippon Meat Packers Inc.		3,000		37,261
Nippon Paper Group Inc.		1,800		39,288
Nippon Sheet Glass Co. Ltd.		17,000		31,805
Nippon Steel Corp.		96,000		239,470
Nippon Telegraph & Telephone Corp.		9,013		460,779
Nippon Yusen Kabushiki Kaish		29,000		74,224
Nishi-Nippon City Bank Ltd., The		12,000		34,455
Nissan Motor Co. Ltd.		46,400		417,160
Nisshin Seifun Group Inc.		3,300		40,001
Nisshin Steel Co. Ltd.		12,000		18,397
Nissin Foods Holdings Co. Ltd.		1,100		43,088
Nitori Holdings Co. Ltd.		700		65,662
Nitto Denko Corp.		3,100		110,919
NKSJ Holdings Inc.		6,900		135,364
NOK Corp.		2,000		34,377
Nomura Holdings Inc.		67,700		204,938
Nomura Real Estate Holdings Inc.		1,800		26,800
Nomura Real Estate Office Fund Inc.		5		25,692
Nomura Research Institute Ltd.		2,000		45,212
NSK Ltd.		8,000		51,968
NTN Corp.		9,000		36,248
NTT Data Corp.		23		73,449
NTT DoCoMo Inc.		286		525,776
NTT Urban Development Corp.		23		15,688
Obayashi Corp.		12,000		53,319
Odakyu Electric Railway Co. Ltd.		12,000		115,993
Oji Paper Co. Ltd.		16,000		82,110
Olympus Corp.		4,100		53,907
Omron Corp.		3,800		76,375
Ono Pharmaceutical Co. Ltd.		1,500		84,189
Oracle Corp. Japan		700		23,164
Oriental Land Co. Ltd.		900		95,063
Orix Corp.		1,960		161,954
Osaka Gas Co. Ltd.		35,000		138,236
OTSUKA Corp.		300		20,657
Otsuka Holdings Co. Ltd.		4,731		133,011
Panasonic Corp.		41,100		349,219
Rakuten Inc.		136		146,301
Resona Holdings Inc.		35,495		156,331
Ricoh Co. Ltd.		12,000		104,612
RINNAI Corp.		600		42,952
Rohm Co. Ltd.		1,800		83,955
Sankyo Co. Ltd.		1,000		50,604
Sanrio Co. Ltd.		800		41,107
Santen Pharmaceutical Co. Ltd.		1,400		57,659
SBI Holdings Inc.		400		29,310
Secom Co. Ltd.		3,900		179,875
Sega Sammy Holdings Inc.		3,926		84,824
Seiko Epson Corp.		2,600		34,556
Sekisui Chemical Co. Ltd.		8,000		66,000
Sekisui House Ltd.		11,000		97,609
Seven & I Holdings Co. Ltd.		14,080		392,381
Seven Bank Ltd.		11,000		21,580
Sharp Corp.		19,000		166,130
Shikoku Electric Power Co. Inc.		3,400		97,446


	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
Shimadzu Corp.		4,000	$	33,883
Shimamura Co. Ltd.		400		40,899
Shimano Inc.		1,400		68,026
Shimizu Corp.		11,000		46,161
Shin-Etsu Chemical Co. Ltd.		7,700		379,148
Shinsei Bank Ltd.		26,000		27,024
Shionogi & Co. Ltd.		5,700		73,240
Shiseido Co. Ltd.		6,700		123,171
Shizuoka Bank Ltd., The		11,000		115,902
Showa Denko K.K.		28,000		56,749
Showa Shell Sekiyu K.K.		3,400		22,926
SMC Corp.		1,000		161,362
Softbank Corp.		16,700		491,866
Sojitz Corp.		22,100		34,168
Sony Corp.		18,700		335,759
Sony Financial Holdings Inc.		3,200		47,146
Square Enix Holdings Co. Ltd.		1,200		23,557
Stanley Electric Co. Ltd.		2,800		41,143
SUMCO Corp. (a)		2,300		17,003
Sumitomo Chemical Co. Ltd.		29,000		105,872
Sumitomo Corp.		21,200		287,000
Sumitomo Electric Industries Ltd.		14,300		155,689
Sumitomo Heavy Industries Ltd.		10,000		58,334
Sumitomo Metal Industries Ltd.		64,000		116,409
Sumitomo Metal Mining Co. Ltd.		10,000		128,492
Sumitomo Mitsui Financial Group Inc.		25,089		698,854
Sumitomo Mitsui Trust Holdings Inc.		58,000		170,300
Sumitomo Realty & Development Co. Ltd.		7,000		122,593
Sumitomo Rubber Industries Ltd.		3,100		37,214
Suruga Bank Ltd.		3,000		26,855
Suzuken Co. Ltd.		1,280		35,488
Suzuki Motor Corp.		6,298		130,264
Sysmex Corp.		1,400		45,618
T&D Holdings Inc.		10,700		99,674
Taisei Corp.		19,000		48,136
Taisho Pharmaceutical Holdings Co. Ltd. (a)		700		54,021
Taiyo Nippon Sanso Corp.		5,000		34,884
Takashimaya Co. Ltd.		5,000		36,183
Takeda Pharmaceutical Co. Ltd.		14,800		649,916
TDK Corp.		2,300		101,897
Teijin Ltd.		18,000		55,424
Terumo Corp.		3,100		145,998
THK Co. Ltd.		2,200		43,360
Tobu Railway Co. Ltd.		19,000		97,012
Toho Co. Ltd.		2,200		39,215
Toho Gas Co. Ltd.		8,000		50,929
Tohoku Electric Power Co. Inc.		8,400		80,650
Tokio Marine Holdings Inc.		13,500		299,045
Tokyo Electric Power Company Inc., The (a)		26,900		63,956
Tokyo Electron Ltd.		3,200		162,765
Tokyo Gas Co. Ltd.		46,000		211,563
Tokyu Corp.		21,000		103,404
Tokyu Land Corp.		8,000		30,246


See accompanying notes to financial statements.		117

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Japan (Cont.)
TonenGeneral Sekiyu KK		5,000	$	54,632
Toppan Printing Co. Ltd.		10,000		73,535
Toray Industries Inc.		27,000		193,283
Toshiba Corp.		75,000		306,938
Tosoh Corp.		10,000		26,764
Toto Ltd.		5,000		38,586
Toyo Seikan Kaisha Ltd.		2,800		38,197
Toyo Suisan Kaisha Ltd.		2,000		48,460
Toyoda Gosei Co. Ltd.		1,200		19,130
Toyota Boshoku Corp.		1,400		14,606
Toyota Industries Corp.		3,400		92,543
Toyota Motor Corp.		51,500		1,716,221
Toyota Tsusho Corp.		3,900		68,961
Trend Micro Inc. (a)		2,000		59,790
Tsumura & Co.		1,100		32,441
UBE Industries Ltd.		19,000		52,085
Unicharm Corp.		2,100		103,540
Ushio Inc.		2,000		28,894
USS Co. Ltd.		420		37,978
West Japan Railway Co.		3,200		139,067
Yahoo Japan Corp.		272		87,604
Yakult Honsha Co. Ltd.		1,800		56,710
Yamada Denki Co. Ltd.		1,550		105,522
Yamaguchi Financial Group Inc.		4,000		38,197
Yamaha Corp.		2,900		26,600
Yamaha Motor Co. Ltd.		5,400		68,333
Yamato Holdings Co. Ltd.		7,500		126,380
Yamato Kogyo Co. Ltd.		800		22,970
Yamazaki Baking Co. Ltd.		2,000		26,270
Yaskawa Electric Corp.		4,000		34,039
Yokogawa Electric Corp. (a)		4,200		37,925

				38,294,234

Netherlands (2.61%)
Aegon NV (a)		31,865		127,890
Akzo Nobel NV		4,305		208,161
ArcelorMittal		16,102		294,469
ASML Holding NV		8,142		342,215
Corio NV		1,163		50,583
Delta Lloyd NV		1,937		32,591
Fugro NV		1,297		75,363
Heineken Holding NV		2,185		89,419
Heineken NV		4,891		226,430
ING Groep NV (a)		71,332		513,307
Koninklijke Ahold NV		21,682		291,984
Koninklijke Boskalis Westminster NV CVA		1,279		46,995
Koninklijke DSM NV		2,876		133,443
Koninklijke KPN NV		27,478		328,784
Koninklijke Philips Electronics NV		18,920		398,652
Koninklijke Vopak NV		1,299		68,636
Randstad Holding NV		2,287		67,664
Reed Elsevier NV		13,033		151,930
SBM Offshore NV		3,176		65,440
Tnt Express Nv		6,537		48,851
Unilever NV CVA		30,475		1,047,981


	Shares		Value
Common Stocks (Cont.)
Netherlands (Cont.)
Wolters Kluwer - CVA		5,648	$	97,624

				4,708,412

New Zealand (0.12%)
Auckland International Airport Ltd.		18,043		35,393
Contact Energy Ltd. (a)		6,557		26,898
Fletcher Building Ltd.		12,554		60,000
Sky City Entertainment Group Ltd.		10,408		27,870
Telecom Corp. of New Zealand Ltd.		36,499		58,810

				208,971

Norway (0.91%)
Aker Solutions ASA		3,204		33,723
DnB NOR ASA		18,208		178,249
Gjensidige Forsikring Asa		3,900		45,189
Norsk Hydro ASA		17,016		78,923
Orkla ASA		14,531		108,481
Seadrill Ltd.		6,146		205,523
Statoil ASA		20,859		535,351
Subsea 7 SA (a)		5,235		97,158
Telenor ASA		13,466		220,874
Yara International ASA		3,486		139,886

				1,643,357

Portugal (0.21%)
Banco Espirito Santo SA Reg.		10,333		18,054
CIMPOR-Cimentos de Portugal SGPS SA		3,597		24,753
EDP Renovaveis SA (a)		4,124		25,236
Energias de Portugal SA		35,503		109,866
Galp Energia SGPS SA B Shares		4,232		62,331
Jeronimo Martins SGPS SA (a)		4,129		68,349
Portugal Telecom SGPS SA		12,356		71,163

				379,752

Singapore (1.64%)
Ascendas Real Estate
Investment Trust		34,000		47,970
Capitaland Ltd.		47,000		80,082
Capitamall Trust		41,000		53,737
CapitaMalls Asia Ltd.		26,807		23,354
City Developments Ltd.		9,000		61,756
Comfortdelgro Corp. Ltd.		36,000		39,274
Cosco Corp. Singapore Ltd.		19,000		12,818
DBS Group Holdings Ltd.		33,086		293,860
Fraser and Neave Ltd.		16,894		80,755
Genting Singapore PLC (a)		114,000		132,717
Global Logistic Properties Ltd. (a)		35,726		48,340
Golden Agri-Resources Ltd.		125,330		69,088
Hutchison Port Holdings Trust		100,000		62,000
Jardine Cycle & Carriage Ltd.		1,863		69,116
Keppel Corp. Ltd.		26,400		189,291
Keppel Land Ltd.		14,101		24,135
Neptune Orient Lines Ltd.		17,000		14,744
Noble Group Ltd.		72,800		63,424


118		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Singapore (Cont.)
Olam International Ltd.		27,798	$	45,650
Oversea-Chinese Banking Corporation Ltd.		47,797		288,540
Sembcorp Industries Ltd.		18,220		56,891
Sembcorp Marine Ltd.		15,800		46,533
Singapore Airlines Ltd.		10,267		80,423
Singapore Exchange Ltd.		16,000		75,618
Singapore Press Holdings Ltd.		28,000		79,658
Singapore Technologies Engineering Ltd.		29,000		60,144
Singapore Telecommunications Ltd.		149,450		356,039
StarHub Ltd.		12,000		26,923
United Overseas Bank Ltd.		23,881		281,148
UOL Group Ltd.		8,639		26,642
Wilmar International Ltd.		36,000		138,776
Yangzijiang Shipbuilding Holdings Ltd.		36,548		25,642

				2,955,088

Spain (3.21%)
Abertis Infraestructuras SA		7,140		114,033
Acciona SA		474		40,937
Acerinox SA		1,980		25,396
ACS Actividades de Construccion y Servicios SA		2,567		76,082
Amadeus IT Holding SA A Shares		5,884		95,459
Banco Bilbao Vizcaya Argentaria SA		85,497		739,172
Banco de Sabadell SA		21,240		80,655
Banco Popular Espanol SA		18,414		83,890
Banco Santander SA (Madrid)		157,563		1,197,046
Bankia Sa (a)		16,625		77,353
Bankinter SA		4,103		25,224
CaixaBank		14,181		69,653
Distribuidora Internacional de Alimentacion SA (a)		11,086		50,146
Enagas SA		3,355		62,050
Ferrovial SA		6,755		81,525
Fomento de Construcciones y Contratas SA		994		25,781
Gas Natural SDG SA		6,458		110,872
Grifols SA (a)		2,289		38,513
Grifols SA Class B (a)		247		2,685
Iberdrola SA		71,984		450,827
Indra Sistemas SA		1,989		25,323
Industria de Diseno Textil SA		4,076		333,825
International Consolidated Airlines Group SA (a)		17,929		40,376
Mapfre SA		14,174		45,036
Red Electrica Corporacion SA		2,041		87,343
Repsol YPF SA		14,823		455,348
Telefonica SA		76,674		1,328,265
Zardoya Otis SA		2,723		37,359

				5,800,174

Sweden (3.02%)
Alfa Laval AB		6,241		118,253
Assa Abloy AB Class B		5,847		146,641


	Shares		Value
Common Stocks (Cont.)
Sweden (Cont.)
Atlas Copco AB Class A		12,529	$	269,439
Atlas Copco AB Class B		7,269		138,154
Boliden AB		5,049		73,732
Electrolux AB Series B		4,525		72,129
Getinge AB B Shares		3,687		93,433
Hennes & Mauritz AB (H&M) B Shares		19,117		614,728
Hexagon AB B Shares		4,862		72,696
Holmen AB Class B		962		27,635
Husqvarna AB B Shares		8,301		38,248
Industrivarden AB C Shares		2,307		27,522
Investor AB B Shares		8,497		158,530
Kinnevik Investment AB B Shares		3,925		76,480
Lundin Petroleum AB (a)		4,181		102,793
Millicom International Cellular SA SDR		1,435		143,770
Modern Times Group B Shares		896		42,808
Nordea Bank AB		49,113		380,013
Ratos AB B Shares		3,562		41,794
Sandvik AB		18,761		230,217
Scania AB Class B		5,897		87,400
Securitas AB Class B		5,922		51,114
Skandinaviska Enskilda Banken AB Class A		26,151		152,337
Skanska AB Class B		7,370		122,083
SKF AB B Shares		7,282		154,062
SSAB Svenskt Stal AB Series A		3,017		26,588
Svenska Cellulosa AB B Shares		10,773		159,668
Svenska Handelsbanken AB A Shares		9,178		241,384
Swedbank AB - A Shares		15,082		195,372
Swedish Match AB		4,007		142,244
Tele2 AB Class B		5,918		115,143
Telefonaktiebolaget LM Ericsson B Shares		56,197		574,868
TeliaSonera AB		40,751		276,941
Volvo AB B Shares		26,002		284,501

				5,452,720

Switzerland (8.43%)
ABB Ltd. Reg. (a)		40,874		769,352
Actelion Ltd. Reg. (a)		2,113		72,548
Adecco SA Reg. (a)		2,435		102,009
Aryzta AG		1,552		75,014
Baloise Holding AG Reg.		894		61,294
Barry Callebaut AG Reg. (a)		34		33,500
Compagnie Financiere Richemont SA Class A		9,736		492,449
Credit Suisse Group AG Reg. (a)		21,217		498,519
GAM Holding AG (a)		3,532		38,355
Geberit AG Reg. (a)		731		140,861
Givaudan SA Reg. (a)		154		146,737
Holcim Ltd. Reg. (a)		4,595		245,820
Julius Baer Group Ltd. (a)		3,851		150,629
Kuehne & Nagel International AG Reg.		1,002		112,542
Lindt & Spruengli AG		16		47,596
Lindt & Spruengli AG Reg.		2		66,837


See accompanying notes to financial statements.		119

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
Switzerland (Cont.)
Lonza Group AG Reg. (a)		914	$	54,005
Nestle SA Reg.		61,697		3,546,937
Novartis AG		43,611		2,493,251
Pargesa Holding SA		503		32,934
Partners Group Holding AG		245		42,750
Roche Holding AG		13,127		2,224,868
Schindler Holding AG (a)		898		104,590
Schindler Holding AG Reg.		401		46,576
SGS SA Reg		102		168,860
Sika AG		37		69,722
Sonova Holding AG Reg. (a)		909		95,081
Straumann Holding AG Reg.		153		26,404
Sulzer AG Reg.		461		49,275
Swatch Group AG Reg., The		842		56,115
Swatch Group AG, The		579		216,670
Swiss Life Holding AG Reg. (a)		586		53,902
Swiss Re Ag (a)		6,425		327,440
Swisscom AG		437		165,579
Syngenta AG Reg. (a)		1,765		516,741
Synthes Inc. (c)		1,223		205,070
Transocean Ltd. (a)		6,452		249,137
UBS AG Reg. (a)		67,809		807,095
Zurich Financial Services AG (a)		2,741		620,103

				15,227,167

United Kingdom (22.86%)
3i Group PLC		18,448		51,856
Admiral Group PLC		3,937		52,093
Aggreko Plc		4,955		155,208
AMEC PLC		6,174		87,013
Anglo American PLC		24,704		912,711
Antofagasta PLC		7,341		138,517
ARM Holdings PLC		25,141		231,142
Associated British Foods PLC		6,686		114,944
AstraZeneca PLC		25,105		1,159,895
Aviva PLC		53,863		251,617
Babcock International Group PLC		6,564		74,976
BAE Systems PLC		63,313		280,325
Balfour Beatty PLC		13,210		54,324
Barclays PLC		215,978		590,496
BG Group PLC		63,365		1,354,556
BHP Billiton PLC		39,451		1,150,296
BP PLC		354,124		2,532,541
British American Tobacco PLC		36,979		1,754,724
British Land Co. PLC		15,497		111,306
British Sky Broadcasting Group PLC		21,154		240,640
BT Group PLC		144,874		429,504
Bunzl PLC		6,336		86,984
Burberry Group PLC		8,296		152,672
Cairn Energy PLC (a)		26,155		107,761
Capita Group PLC		11,695		114,150
Capital Shopping Centres Group PLC		10,742		52,099
Carnival PLC		3,381		111,630
Centrica PLC		96,603		434,021
Cobham PLC		20,495		58,374
Compass Group PLC		35,341		335,345


	Shares		Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Diageo PLC		46,798	$	1,022,206
Essar Energy Ltd. PLC (a)		6,220		16,557
Eurasian Natural Resources Corp.		4,709		46,475
Experian PLC		18,694		254,173
Fresnillo PLC		3,335		79,087
G4S PLC		26,089		110,123
Gkn Plc		29,781		84,637
GlaxoSmithKline PLC		94,837		2,167,253
Glencore International Plc		15,414		93,837
Hammerson PLC		13,360		74,693
HSBC Holdings PLC		333,544		2,543,609
ICAP PLC		10,458		56,341
Imperial Tobacco Group PLC		18,934		716,000
Inmarsat PLC		8,616		54,151
InterContinental Hotels Group PLC		5,530		99,364
International Power PLC		28,557		149,547
Intertek Group PLC		3,014		95,253
Invensys PLC		15,644		51,263
Investec PLC		9,113		47,977
ITV PLC		67,564		71,508
J Sainsbury PLC		22,870		107,581
Johnson Matthey PLC		3,989		113,739
Kazakhmys PLC		3,909		56,275
Kingfisher PLC		44,430		172,982
Land Securities Group PLC		14,443		142,543
Legal & General Group PLC		109,703		175,139
Lloyds Banking Group PLC (a)		773,981		311,376
London Stock Exchange Group PLC		2,778		34,298
Lonmin PLC		2,935		44,669
Man Group PLC		36,033		70,341
Marks & Spencer Group PLC		29,379		141,896
Meggitt PLC		14,507		79,484
National Grid PLC		66,491		645,378
Next PLC		3,219		136,826
Old Mutual PLC		102,522		215,739
Pearson PLC		15,346		288,371
Petrofac Ltd.		4,847		108,470
Prudential PLC		47,538		471,382
Randgold Resources Ltd.		1,713		175,180
Reckitt Benckiser Group PLC		11,567		571,241
Reed Elsevier PLC		22,866		184,302
Resolution Ltd.		26,798		104,626
Rexam PLC		16,705		91,526
Rio Tinto PLC		26,130		1,268,122
Rolls-Royce Holdings PLC (a)		34,944		405,111
Royal Bank of Scotland Group PLC (a)		328,393		102,917
Royal Dutch Shell PLC Class A		67,684		2,492,235
Royal Dutch Shell PLC Class B		50,208		1,913,458
RSA Insurance Group PLC		64,711		105,722
SABMiller PLC		17,970		632,521
Sage Group PLC, The		25,250		115,364
Schroders PLC		2,153		43,935
SEGRO PLC		14,566		47,165
Serco Group PLC		9,463		69,659
Severn Trent PLC		4,494		104,409


120		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Shire PLC		10,595	$	369,064
Smith & Nephew PLC		16,679		162,020
Smiths Group PLC		7,222		102,624
SSE PLC		17,504		350,941
Standard Chartered PLC		44,452		972,688
Standard Life PLC		43,988		140,930
Tate & Lyle PLC		8,795		96,225
Tesco PLC		149,782		938,471
Tui Travel PLC		9,731		25,056
Tullow Oil PLC		17,009		370,338
Unilever PLC		23,992		805,925
United Utilities Group PLC		12,767		120,153
Vedanta Resources PLC		2,224		35,057
Vodafone Group PLC		950,115		2,639,721
Weir Group PLC, The		3,929		123,987
Whitbread PLC		3,320		80,639
William Morrison Supermarkets PLC		41,110		208,259
Wolseley PLC		5,296		175,350
WPP PLC		23,351		244,967
Xstrata PLC		38,720		588,093

				41,310,264

Total Common Stocks (cost $177,292,204)				176,232,394

Preferred Stocks (0.47%)
Germany (0.47%)
Bayerische Moteren Werke (BMW) AG PFD		943		44,608
Henkel AG & Co. KGaA PFD		3,333		192,350
Porsche Automobil Holding SE PFD		2,847		152,364
ProSiebenSat.1 Media AG PFD (a)		1,508		27,549
RWE AG-Non Voting PFD		765		25,182
Volkswagen AG PFD		2,699		404,336

				846,389

Total Preferred Stocks (cost $553,984)				846,389


	Shares		Value
Short-term Investments (0.35%)
State Street Institutional U.S. Government Money Market Fund		625,844	$	625,844

Total Short-term Investments (cost $625,844)				625,844

TOTAL INVESTMENTS (98.35%) (cost $178,472,032)				177,704,627
CASH (d) AND OTHER ASSETS, NET OF LIABILITIES (1.65%)				2,988,335

NET ASSETS (100.00%)			$	180,692,962

(a)	Non-income producing security.

(b)	In accordance with the Trust’s Valuation Procedures, State Farm Investment Management Corp. (“SFIMC”) determined the fair value for the security considering the facts and circumstances related to the particular security.

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

(d)	At December 31, 2011, cash in the amount of $945,458 has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.

FDR – Fiduciary Depository Receipt

SDR – Swedish Depository Receipt


See accompanying notes to financial statements.		121

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011

INTERNATIONAL INDEX FUND FOREIGN CURRENCY

DENOMINATIONS


Currency	Value		%
Euro	$	48,796,918		27.46
British Pound		41,310,264		23.25
Japanese Yen		38,294,234		21.55
Australian Dollar		15,240,382		8.57
Swiss Franc		15,227,167		8.57
Swedish Krona		5,452,720		3.07
Hong Kong Dollar		4,950,362		2.78
Singapore Dollar		2,893,088		1.63
Danish Krone		1,848,981		1.04
Norwegian Krone		1,643,357		0.92
Israeli Shekel		1,150,339		0.65
United States Dollar		687,844		0.39
New Zealand Dollar		208,971		0.12

Total Investments	$	177,704,627		100.00	%

INTERNATIONAL INDEX FUND SECTOR CLASSIFICATIONS


Sector	Value		%
Financials	$	37,960,462		21.01
Industrials		22,105,138		12.23
Consumer Staples		20,432,228		11.31
Materials		17,892,778		9.90
Consumer Discretionary		17,682,615		9.79
Health Care		17,670,430		9.78
Energy		16,227,030		8.98
Telecommunication Services		10,743,722		5.95
Information Technology		8,321,795		4.60
Utilities		8,042,585		4.45

Total Stocks		177,078,783		98.00
Short-term Investments		625,844		0.35
Cash and Other Assets, Net of Liabilities		2,988,335		1.65

Net Assets	$	180,692,962		100.00	%


122		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Shares		Value
Registered Investment Companies (99.27%)
State Farm Mutual Fund Trust Bond Fund Institutional Shares (a)		6,173,903	$	71,925,967
State Farm Mutual Fund Trust Equity Fund Institutional Shares (a)		18,535,617		105,838,373

Total Registered Investment Companies (cost $200,379,163)				177,764,340

TOTAL INVESTMENTS (99.27%) (cost $200,379,163)				177,764,340
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.73%)				1,306,534

NET ASSETS (100.00%)			$	179,070,874

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


See accompanying notes to financial statements.		123

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Principal amount		Value
Corporate Bonds (40.21%)
Aerospace/Defense (1.11%)
General Dynamics Corp.
4.250%, 05/15/2013	$	1,000,000	$	1,048,783
Northrop Grumman Corp.
3.700%, 08/01/2014		500,000		528,174
5.050%, 08/01/2019		500,000		557,396
Raytheon Co.
3.125%, 10/15/2020		1,500,000		1,511,679
Northrop Grumman Corp.
3.500%, 03/15/2021		500,000		505,758
Lockheed Martin Corp.
3.350%, 09/15/2021		2,000,000		1,989,596

				6,141,386

Agriculture, Foods, & Beverage (3.49%)
General Mills Inc.
6.000%, 02/15/2012		500,000		502,900
Pepsico Inc.
5.150%, 05/15/2012		1,000,000		1,016,874
PepsiAmericas Inc.
5.750%, 07/31/2012		500,000		515,064
Bottling Group LLC
4.625%, 11/15/2012		500,000		516,912
Kellogg Co.
5.125%, 12/03/2012		500,000		519,644
Kraft Foods Inc.
6.000%, 02/11/2013		500,000		526,770
Pepsico Inc.
4.650%, 02/15/2013		500,000		523,126
HJ Heinz Co.
5.350%, 07/15/2013		1,000,000		1,067,473
Coca-Cola Bottling Co.
5.300%, 04/01/2015		500,000		549,066
Kellogg Co.
4.450%, 05/30/2016		1,000,000		1,110,037
Hershey Co.
5.450%, 09/01/2016		500,000		587,840
General Mills Inc.
5.700%, 02/15/2017		1,000,000		1,171,658
PepsiAmericas Inc.
5.000%, 05/15/2017		500,000		576,910
Coca-Cola Co., The
5.350%, 11/15/2017		2,000,000		2,401,038
Kraft Foods Inc.
6.125%, 02/01/2018		500,000		586,081
Pepsico Inc.
7.900%, 11/01/2018		500,000		675,033
Coca-Cola Co., The
3.150%, 11/15/2020		1,000,000		1,049,503
Kellogg Co.
4.000%, 12/15/2020		1,000,000		1,058,367
Campbell Soup Co.
4.250%, 04/15/2021		2,000,000		2,231,512


	Principal amount		Value
Corporate Bonds (Cont.)
Agriculture, Foods, & Beverage (Cont.)
Hormel Foods Corp.
4.125%, 04/15/2021	$	1,000,000	$	1,103,037
HJ Heinz Co.
3.125%, 09/12/2021		1,000,000		1,006,808

				19,295,653

Automotive (0.48%)
Daimler Chrysler North America
6.500%, 11/15/2013		500,000		544,598
Johnson Controls Inc.
4.250%, 03/01/2021		2,000,000		2,137,134

				2,681,732

Banks (1.08%)
Barclays Bank PLC
5.450%, 09/12/2012		1,000,000		1,021,610
Wachovia Corp.
5.700%, 08/01/2013		500,000		530,936
Mellon Funding Corp.
5.200%, 05/15/2014		500,000		538,962
US Bank NA
4.950%, 10/30/2014		500,000		543,398
Fifth Third Bank
4.750%, 02/01/2015		500,000		517,940
Wachovia Bank NA
5.600%, 03/15/2016		500,000		535,424
Wells Fargo Bank NA
5.750%, 05/16/2016		500,000		545,418
Wachovia Corp.
5.750%, 06/15/2017		500,000		564,916
KFW
4.875%, 06/17/2019		1,000,000		1,188,460

				5,987,064

Building Materials & Construction (1.68%)
Cooper Industries Inc.
5.250%, 11/15/2012		1,000,000		1,038,215
Leggett & Platt Inc.
4.700%, 04/01/2013		500,000		518,494
CRH America Inc.
5.300%, 10/15/2013		1,000,000		1,038,641
Masco Corp.
4.800%, 06/15/2015		500,000		496,074
CRH America Inc.
6.000%, 09/30/2016		500,000		534,110
Masco Corp.
5.850%, 03/15/2017		500,000		499,109
Cooper US Inc.
3.875%, 12/15/2020		1,000,000		1,058,293
CRH America Inc.
5.750%, 01/15/2021		1,000,000		1,019,509


124		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
Corporate Bonds (Cont.)
Building Materials & Construction (Cont.)
Fluor Corp.
3.375%, 09/15/2021	$	2,000,000	$	2,025,078
Sonoco Products Co.
4.375%, 11/01/2021		1,000,000		1,035,773

				9,263,296

Chemicals (1.93%)
E.I. du Pont de Nemours and Co.
5.000%, 01/15/2013		167,000		174,197
4.125%, 03/06/2013		500,000		519,108
Rohm & Haas Co.
5.600%, 03/15/2013		500,000		522,383
E.I. du Pont de Nemours and Co.
4.875%, 04/30/2014		500,000		546,149
Praxair Inc.
5.375%, 11/01/2016		1,000,000		1,167,605
Rohm & Haas Co.
6.000%, 09/15/2017		500,000		568,508
E.I. du Pont de Nemours and Co.
6.000%, 07/15/2018		500,000		611,140
PPG Industries Inc.
7.400%, 08/15/2019		500,000		623,522
3.600%, 11/15/2020		1,000,000		1,045,338
E.I. du Pont de Nemours and Co.
3.625%, 01/15/2021		1,000,000		1,085,124
Praxair Inc.
4.050%, 03/15/2021		1,000,000		1,107,290
3.000%, 09/01/2021		1,000,000		1,023,366
Dow Chemical Co., The
4.125%, 11/15/2021		1,000,000		1,025,720
7.375%, 11/01/2029		500,000		634,556

				10,654,006

Commercial Service/Supply (0.76%)
Pitney Bowes Inc.
4.625%, 10/01/2012		500,000		512,634
RR Donnelley & Sons Co.
4.950%, 04/01/2014		1,000,000		977,500
Pitney Bowes Inc.
4.875%, 08/15/2014		500,000		531,656
5.750%, 09/15/2017		500,000		536,568
Cintas Corp. No. 2
6.125%, 12/01/2017		500,000		597,815
4.300%, 06/01/2021		1,000,000		1,074,174

				4,230,347

Computer Software & Services (0.77%)
Microsoft Corp.
3.000%, 10/01/2020		2,000,000		2,127,716
Intel Corp.
3.300%, 10/01/2021		2,000,000		2,106,858

				4,234,574


	Principal amount		Value
Corporate Bonds (Cont.)
Computers (0.76%)
International Business
Machines Corp.
6.500%, 10/15/2013	$	500,000	$	551,398
5.700%, 09/14/2017		500,000		605,438
Hewlett-Packard Co.
3.750%, 12/01/2020		1,000,000		987,072
4.300%, 06/01/2021		2,000,000		2,050,860

				4,194,768

Consumer & Marketing (2.51%)
Reed Elsevier Capital
4.625%, 06/15/2012		500,000		508,172
Clorox Co.
5.450%, 10/15/2012		1,000,000		1,036,089
Avery Dennison Corp.
4.875%, 01/15/2013		500,000		516,058
Procter & Gamble Co., The
4.950%, 08/15/2014		1,000,000		1,109,551
Clorox Co.
5.000%, 01/15/2015		500,000		540,243
Procter & Gamble Co., The
3.150%, 09/01/2015		1,000,000		1,073,748
Estee Lauder Co. Inc.
5.550%, 05/15/2017		1,000,000		1,158,276
Kimberly-Clark Corp.
6.125%, 08/01/2017		500,000		611,595
Danaher Corp.
5.625%, 01/15/2018		500,000		587,787
Kimberly-Clark Corp.
6.250%, 07/15/2018		1,000,000		1,240,090
Colgate-Palmolive Co.
2.950%, 11/01/2020		1,000,000		1,043,245
Unilever Capital Corp.
4.250%, 02/10/2021		3,000,000		3,418,860
Clorox Co.
3.800%, 11/15/2021		1,000,000		1,018,701

				13,862,415

Electronic/Electrical Manufacturing (0.39%)
General Electric Co.
5.000%, 02/01/2013		500,000		521,048
Emerson Electric Co.
4.500%, 05/01/2013		500,000		522,903
4.750%, 10/15/2015		1,000,000		1,118,250

				2,162,201

Financial Services (2.15%)
AMB Property L.P.
6.300%, 06/01/2013		1,000,000		1,041,604
JPMorgan Chase & Co.
5.375%, 01/15/2014		500,000		533,298


See accompanying notes to financial statements.		125

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
Corporate Bonds (Cont.)
Financial Services (Cont.)
General Electric Capital Corp.
4.875%, 03/04/2015	$	500,000	$	542,472
Verizon Global Funding Corp.
4.900%, 09/15/2015		500,000		561,139
JPMorgan Chase Bank NA
5.875%, 06/13/2016		500,000		541,216
General Electric Capital Corp.
5.400%, 02/15/2017		500,000		555,530
Caterpillar Financial Services Corp.
5.850%, 09/01/2017		500,000		595,759
John Deere Capital Corp.
2.800%, 09/18/2017		2,000,000		2,098,190
JPMorgan Chase Bank NA
6.000%, 10/01/2017		1,000,000		1,075,705
Simon Property Group Inc.
6.125%, 05/30/2018		1,000,000		1,148,005
Rio Tinto Finance USA Ltd.
3.500%, 11/02/2020		1,000,000		1,022,105
4.125%, 05/20/2021		2,000,000		2,149,974

				11,864,997

Forest Products & Paper (0.21%)
International Paper Co.
5.250%, 04/01/2016		500,000		543,266
Willamette Industries Inc.
9.000%, 10/01/2021		500,000		629,559

				1,172,825

Health Care (4.83%)
Johnson & Johnson
5.150%, 08/15/2012		500,000		514,384
AstraZeneca PLC
5.400%, 09/15/2012		500,000		517,271
Merck & Co. Inc.
4.375%, 02/15/2013		500,000		521,486
Wyeth
5.500%, 03/15/2013		500,000		528,552
Becton Dickinson & Co.
4.550%, 04/15/2013		500,000		521,848
Johnson & Johnson
3.800%, 05/15/2013		1,000,000		1,047,586
Schering-Plough Corp.
5.300%, 12/01/2013		1,000,000		1,087,021
Pfizer Inc.
4.500%, 02/15/2014		1,000,000		1,078,123
GlaxoSmithKline
4.375%, 04/15/2014		1,000,000		1,082,232
AstraZeneca PLC
5.400%, 06/01/2014		1,000,000		1,106,658
Boston Scientific Corp.
5.450%, 06/15/2014		1,000,000		1,068,610
Amgen Inc.
4.850%, 11/18/2014		500,000		541,878
Merck & Co. Inc.
4.750%, 03/01/2015		500,000		558,297


	Principal amount		Value
Corporate Bonds (Cont.)
Health Care (Cont.)
Baxter International Inc.
4.625%, 03/15/2015	$	1,000,000	$	1,105,837
Medtronic Inc.
4.750%, 09/15/2015		500,000		559,984
Abbott Laboratories
5.875%, 05/15/2016		750,000		879,832
Baxter International Inc.
5.900%, 09/01/2016		500,000		595,188
Eli Lilly & Co.
5.200%, 03/15/2017		2,000,000		2,310,306
Wyeth
5.450%, 04/01/2017		500,000		585,746
Amgen Inc.
5.850%, 06/01/2017		500,000		575,000
Johnson & Johnson
5.550%, 08/15/2017		500,000		603,598
AstraZeneca PLC
5.900%, 09/15/2017		500,000		603,951
Schering-Plough Corp.
6.000%, 09/15/2017		500,000		612,969
Becton Dickinson & Co.
5.000%, 05/15/2019		1,000,000		1,154,581
Baxter International Inc.
4.500%, 08/15/2019		500,000		566,224
Becton Dickinson & Co.
3.250%, 11/12/2020		1,000,000		1,035,611
CR Bard Inc.
4.400%, 01/15/2021		1,000,000		1,120,693
Medtronic Inc.
4.125%, 03/15/2021		1,000,000		1,100,527
Sanofi-Aventis
4.000%, 03/29/2021		1,000,000		1,107,938
Becton Dickinson & Co.
3.125%, 11/08/2021		1,000,000		1,034,487
Amgen Inc.
3.875%, 11/15/2021		1,000,000		1,009,115

				26,735,533

Machinery & Manufacturing (3.25%)
Bemis Company Inc.
4.875%, 04/01/2012		500,000		504,064
Covidien International
5.450%, 10/15/2012		500,000		517,448
Parker Hannifin Corp.
4.875%, 02/15/2013		500,000		522,767
Johnson Controls Inc.
4.875%, 09/15/2013		750,000		794,882
United Technologies Corp.
4.875%, 05/01/2015		1,000,000		1,123,323
Ingersoll-Rand Co. Ltd.
4.750%, 05/15/2015		1,000,000		1,082,627
Thermo Electron Corp.
5.000%, 06/01/2015		500,000		556,376
Dover Corp.
4.875%, 10/15/2015		1,000,000		1,129,949


126		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
Corporate Bonds (Cont.)
Machinery & Manufacturing (Cont.)
Honeywell International Inc.
5.400%, 03/15/2016	$	1,000,000	$	1,163,010
Caterpillar Inc.
5.700%, 08/15/2016		500,000		586,730
Eaton Corp.
5.300%, 03/15/2017		1,000,000		1,152,062
Honeywell International Inc.
5.300%, 03/15/2017		500,000		581,370
Cooper U.S. Inc.
6.100%, 07/01/2017		500,000		585,169
Covidien International
6.000%, 10/15/2017		500,000		592,500
United Technologies Corp.
5.375%, 12/15/2017		500,000		591,463
Dover Corp.
4.300%, 03/01/2021		1,000,000		1,127,035
Honeywell International Inc.
4.250%, 03/01/2021		1,000,000		1,129,061
Caterpillar Inc.
3.900%, 05/27/2021		1,000,000		1,097,858
Illinois Tool Works Inc. (a)
3.375%, 09/15/2021		1,000,000		1,045,482
Bemis Company Inc.
4.500%, 10/15/2021		1,000,000		1,059,361
Parker Hannifin Corp.
3.500%, 09/15/2022		1,000,000		1,034,028

				17,976,565

Media & Broadcasting (1.07%)
Thomson Corp.
5.700%, 10/01/2014		1,000,000		1,106,621
Walt Disney Co., The
5.625%, 09/15/2016		1,000,000		1,184,496
McGraw-Hill Companies Inc.
5.900%, 11/15/2017		500,000		544,080
Walt Disney Co., The
2.750%, 08/16/2021		2,000,000		2,036,808
Thomson Reuters Corp.
3.950%, 09/30/2021		1,000,000		1,034,906

				5,906,911

Mining & Metals (1.30%)
BHP Billiton Finance USA Ltd.
5.125%, 03/29/2012		500,000		505,514
BHP Finance USA
4.800%, 04/15/2013		500,000		526,738
Barrick Gold Finance Inc.
4.875%, 11/15/2014		1,000,000		1,089,185
Alcan Inc.
5.000%, 06/01/2015		1,000,000		1,085,395
Alcoa Inc.
5.550%, 02/01/2017		500,000		533,180
BHP Billiton Finance USA Ltd.
5.400%, 03/29/2017		500,000		579,834
Barrick NA Finance LLC
4.400%, 05/30/2021		1,000,000		1,082,996


	Principal amount		Value
Corporate Bonds (Cont.)
Mining & Metals (Cont.)
BHP Billiton Finance USA Ltd.
3.250%, 11/21/2021	$	1,000,000	$	1,029,600
Alcoa Inc.
5.870%, 02/23/2022		750,000		755,462

				7,187,904

Oil & Gas (2.04%)
National Fuel Gas Co.
5.250%, 03/01/2013		500,000		520,550
ConocoPhillips Australia Funding Co.
5.500%, 04/15/2013		500,000		529,536
ConocoPhillips Canada
5.625%, 10/15/2016		500,000		583,767
Apache Corp.
5.625%, 01/15/2017		500,000		592,696
Shell International Finance
5.200%, 03/22/2017		500,000		584,598
Canadian National Resources
5.700%, 05/15/2017		500,000		591,180
Weatherford International Inc.
6.350%, 06/15/2017		500,000		558,595
EOG Resources Inc.
5.875%, 09/15/2017		500,000		596,745
Husky Energy Inc.
6.200%, 09/15/2017		500,000		584,962
Encana Corp.
5.900%, 12/01/2017		500,000		566,726
Chevron Corp.
4.950%, 03/03/2019		1,000,000		1,181,100
ConocoPhillips
6.000%, 01/15/2020		500,000		617,468
Trans-Canada Pipelines
3.800%, 10/01/2020		1,000,000		1,079,207
Apache Corp.
3.625%, 02/01/2021		500,000		538,124
Occidental Petroleum Corp.
4.100%, 02/01/2021		1,000,000		1,120,290
Canadian National Resources
3.450%, 11/15/2021		1,000,000		1,042,237

				11,287,781

Retailers (2.57%)
Costco Wholesale Corp.
5.300%, 03/15/2012		1,000,000		1,009,264
Lowe’s Companies Inc.
5.600%, 09/15/2012		500,000		516,328
Wal-Mart Stores Inc.
4.550%, 05/01/2013		1,000,000		1,055,454
McDonald’s Corp.
4.125%, 06/01/2013		1,000,000		1,048,359
Walgreen Co.
4.875%, 08/01/2013		500,000		533,449
Lowe’s Companies Inc.
5.000%, 10/15/2015		1,000,000		1,120,782
Target Corp.
5.875%, 07/15/2016		1,000,000		1,184,277


See accompanying notes to financial statements.		127

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
Corporate Bonds (Cont.)
Retailers (Cont.)
Lowe’s Companies Inc.
5.400%, 10/15/2016	$	500,000	$	577,912
McDonald’s Corp.
5.300%, 03/15/2017		500,000		594,423
Target Corp.
5.375%, 05/01/2017		500,000		587,642
CVS Caremark Corp.
5.750%, 06/01/2017		500,000		583,421
Home Depot Inc.
3.950%, 09/15/2020		1,000,000		1,089,565
Wal-Mart Stores Inc.
3.250%, 10/25/2020		2,000,000		2,138,636
Home Depot Inc.
4.400%, 04/01/2021		1,000,000		1,127,456
Lowe’s Companies Inc.
3.800%, 11/15/2021		1,000,000		1,049,918

				14,216,886

Telecom & Telecom Equipment (1.74%)
Telstra Corp. Ltd.
6.375%, 04/01/2012		500,000		506,912
Alltel Corp.
7.000%, 07/01/2012		500,000		515,178
Telefonica Emisiones SAU
5.855%, 02/04/2013		1,000,000		1,016,766
Vodafone Group PLC
4.150%, 06/10/2014		500,000		530,158
BellSouth Corp.
5.200%, 09/15/2014		1,000,000		1,105,493
SBC Communications Inc.
5.625%, 06/15/2016		1,000,000		1,147,168
Vodafone Group PLC
5.450%, 06/10/2019		500,000		582,044
Telefonica Emisiones SAU
5.462%, 02/16/2021		1,000,000		954,266
Vodafone Group PLC
4.375%, 03/16/2021		2,000,000		2,182,090
AT&T Inc.
4.450%, 05/15/2021		1,000,000		1,098,464

				9,638,539

Transportation (0.29%)
United Parcel Services Inc.
3.125%, 01/15/2021		1,500,000		1,591,197

Utilities & Energy (5.80%)
Appalachian Power Co.
5.650%, 08/15/2012		500,000		514,028
Northern States Power Co.
8.000%, 08/28/2012		500,000		523,281
Southern California Gas
4.800%, 10/01/2012		500,000		514,182
Georgia Power Co.
5.125%, 11/15/2012		200,000		207,251
Virginia Electric & Power
5.100%, 11/30/2012		500,000		519,352


	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
MidAmerican Energy Co.
5.125%, 01/15/2013	$	1,000,000	$	1,042,701
Florida Power Corp.
4.800%, 03/01/2013		500,000		522,112
Public Service of Colorado
4.875%, 03/01/2013		500,000		522,840
Peoples Gas Light & Coke Co.
4.625%, 05/01/2013		500,000		519,736
Wisconsin Electric Power
4.500%, 05/15/2013		1,000,000		1,047,967
Vectren Utility Holdings
5.250%, 08/01/2013		500,000		531,082
PSI Energy
5.000%, 09/15/2013		1,000,000		1,058,397
NSTAR Electric Co.
4.875%, 04/15/2014		1,000,000		1,078,601
Union Electric Co.
5.500%, 05/15/2014		500,000		538,246
Atmos Energy Corp.
4.950%, 10/15/2014		1,000,000		1,094,680
Union Electric Co.
4.750%, 04/01/2015		500,000		539,046
Commonwealth Edison Co.
4.700%, 04/15/2015		500,000		547,015
Southwestern Electric Power
5.375%, 04/15/2015		500,000		548,496
San Diego Gas & Electric
5.300%, 11/15/2015		500,000		572,924
Consolidated Edison Co. NY
5.375%, 12/15/2015		1,000,000		1,144,328
Virginia Electric & Power
5.400%, 01/15/2016		500,000		576,242
Ohio Power Co.
6.000%, 06/01/2016		500,000		577,395
Commonwealth Edison Co.
5.950%, 08/15/2016		500,000		583,306
Baltimore Gas & Electric Co.
5.900%, 10/01/2016		500,000		581,918
Consolidated Edison Co. NY
5.300%, 12/01/2016		500,000		583,437
Georgia Power Co.
5.700%, 06/01/2017		500,000		593,304
Jersey Central Power & Light
5.650%, 06/01/2017		1,000,000		1,148,144
Atmos Energy Corp.
6.350%, 06/15/2017		500,000		592,474
Kansas City Power & Light Co.
5.850%, 06/15/2017		1,000,000		1,142,872
Union Electric Co.
6.400%, 06/15/2017		500,000		597,652
Florida Power Corp.
5.800%, 09/15/2017		500,000		599,188
Virginia Electric & Power
5.950%, 09/15/2017		500,000		601,707
NSTAR Electric Co.
5.625%, 11/15/2017		500,000		592,566


128		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
Pacific Gas & Electric
5.625%, 11/30/2017	$	500,000	$	591,666
Equitable Resources Inc.
5.150%, 03/01/2018		500,000		520,747
Southern California Gas
5.450%, 04/15/2018		500,000		602,204
Pacificorp
5.650%, 07/15/2018		500,000		596,911
Pacific Gas & Electric
8.250%, 10/15/2018		500,000		659,108
Alabama Power Co.
3.375%, 10/01/2020		1,000,000		1,058,378
Pacific Gas & Electric
3.500%, 10/01/2020		1,000,000		1,044,196
Kentucky Utilities
3.250%, 11/01/2020		1,000,000		1,041,070
Appalachian Power Co.
4.600%, 03/30/2021		500,000		548,328
Pacific Gas & Electric
3.250%, 09/15/2021		1,000,000		1,014,715
San Diego Gas & Electric
6.000%, 06/01/2026		500,000		645,572
Northern States Power Co.
6.200%, 07/01/2037		1,000,000		1,366,617

				32,045,982

Total Corporate Bonds (cost $203,085,546)				222,332,562

Taxable Municipal Bonds (0.39%)
Illinois State
3.850%, 06/01/2013		1,000,000		1,021,720
Dartmouth College
4.750%, 06/01/2019		1,000,000		1,160,080

Total Taxable Municipal Bonds (cost $1,986,713)				2,181,800

Commercial Mortgage-Backed Securities (0.76%)
LB-UBS Commercial Mortgage Trust
Series 2004-C2 Class A4
4.367%, 03/15/2036		2,000,000		2,089,556
Morgan Stanley Capital Series
2004-T13 Class A4
4.660%, 09/13/2045		2,000,000		2,095,076

Total Commercial Mortgage-Backed Securities (cost $3,920,101)				4,184,632

Government Agency Securities (b) (19.65%)
Agency Notes & Bonds (1.75%)
Federal Home Loan Mortgage Corp.
4.500%, 07/15/2013		1,500,000		1,595,370
Federal National Mortgage Association
4.375%, 09/15/2012		1,500,000		1,543,722
5.500%, 05/10/2027		5,000,000		5,776,880
7.125%, 01/15/2030		500,000		768,576

				9,684,548


	Principal amount		Value
Government Agency Securities (Cont.)
Mortgage-Backed Securities (17.90%)
Federal Home Loan Mortgage Corp.
5.000%, 07/01/2018	$	226,963	$	244,432
5.000%, 09/01/2018		193,165		209,904
5.000%, 09/01/2018		121,865		131,245
4.500%, 11/01/2018		391,331		417,311
5.500%, 11/01/2018		129,959		141,180
5.000%, 01/01/2019		138,621		149,420
5.000%, 04/01/2019		186,436		200,960
4.000%, 05/01/2019		163,313		173,082
4.500%, 05/01/2019		244,004		263,481
5.500%, 06/01/2019		304,180		330,443
5.000%, 01/01/2020		168,520		181,648
5.500%, 04/01/2020		262,675		285,191
5.500%, 07/01/2020		421,302		457,678
6.000%, 07/01/2021		393,934		429,190
4.500%, 05/01/2024		440,213		466,756
4.500%, 05/01/2024		1,270,541		1,348,141
4.500%, 09/01/2024		1,008,563		1,069,373
5.000%, 10/01/2024		1,178,285		1,268,237
4.000%, 10/01/2024		1,422,468		1,493,330
4.000%, 01/01/2025		1,232,941		1,300,718
4.000%, 07/01/2025		1,297,659		1,362,303
4.500%, 08/01/2025		1,007,454		1,068,354
3.500%, 04/01/2026		1,798,039		1,875,762
6.000%, 11/01/2028		22,459		25,018
6.500%, 06/01/2029		45,769		52,443
7.500%, 12/01/2030		1,715		1,940
7.000%, 07/01/2031		4,766		5,471
6.500%, 09/01/2031		7,782		8,878
6.000%, 11/01/2032		98,177		109,363
6.000%, 12/01/2032		47,700		53,135
5.500%, 05/01/2033		868,925		952,726
5.500%, 07/01/2033		826,724		901,029
5.000%, 08/01/2033		486,476		527,630
5.500%, 03/01/2034		265,027		288,681
5.000%, 04/01/2034		358,616		385,861
6.000%, 07/01/2034		738,861		821,207
5.500%, 05/01/2035		719,519		793,408
5.000%, 05/01/2035		892,589		969,048
4.500%, 08/01/2035		398,492		423,371
5.000%, 10/01/2035		424,775		457,046
6.500%, 08/01/2036		432,729		487,174
5.500%, 10/01/2037		644,384		700,086
5.500%, 11/01/2037		854,785		928,674
6.000%, 01/01/2038		331,357		364,453
6.000%, 01/01/2038		608,506		669,283
5.000%, 06/01/2039		1,251,040		1,345,694
4.500%, 06/01/2039		1,542,389		1,635,795
4.500%, 10/01/2039		2,123,916		2,252,538
5.000%, 10/01/2039		1,822,941		1,960,864
5.000%, 01/01/2040		729,986		785,217
4.500%, 02/01/2040		720,072		763,679
4.000%, 07/01/2041		4,579,754		4,811,004
Federal National Mortgage Association
6.000%, 09/01/2013		21,662		22,399


See accompanying notes to financial statements.		129

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
Government Agency Securities (Cont.)
Mortgage-Backed Securities (Cont.)
5.500%, 12/01/2016	$	28,253	$	30,692
5.500%, 01/01/2017		22,375		24,307
5.500%, 01/01/2017		142,566		154,875
6.500%, 01/01/2017		25,930		28,404
5.500%, 02/01/2017		125,447		136,279
5.000%, 03/01/2017		112,307		121,302
6.000%, 04/01/2017		21,954		23,772
5.500%, 01/01/2018		62,422		67,851
5.000%, 02/01/2018		146,729		158,481
5.000%, 05/01/2018		296,058		319,770
5.000%, 05/01/2018		274,169		297,755
4.500%, 05/01/2018		271,060		290,238
4.500%, 05/01/2018		301,561		322,898
5.000%, 05/01/2018		139,704		149,447
4.500%, 03/01/2019		211,963		224,626
5.500%, 10/01/2019		501,577		549,430
5.000%, 11/01/2019		371,625		401,447
4.500%, 12/01/2019		233,055		249,399
5.000%, 06/01/2020		486,877		528,763
4.500%, 09/01/2020		349,121		371,862
5.000%, 05/01/2021		519,761		560,253
5.500%, 05/01/2021		342,664		376,640
4.500%, 04/01/2023		207,861		221,788
5.000%, 01/01/2024		624,529		672,207
4.500%, 04/01/2024		315,442		336,380
4.000%, 06/01/2024		1,085,939		1,145,635
4.500%, 11/01/2024		866,956		924,503
3.500%, 12/01/2025		914,569		963,256
3.000%, 12/01/2026		2,000,000		2,068,916
7.500%, 09/01/2029		25,118		29,950
8.000%, 03/01/2030		3,636		3,829
6.500%, 05/01/2030		38,569		44,091
6.500%, 08/01/2031		7,426		8,452
7.000%, 08/01/2031		3,322		3,773
6.500%, 10/01/2031		26,055		29,654
6.000%, 11/01/2031		19,051		21,237
7.000%, 01/01/2032		38,323		45,085
6.500%, 03/01/2032		14,608		16,627
6.000%, 03/01/2032		26,753		29,822
7.000%, 04/01/2032		44,410		51,633
6.500%, 04/01/2032		57,051		64,790
6.500%, 05/01/2032		289,646		331,112
6.000%, 05/01/2032		23,771		26,498
7.000%, 06/01/2032		46,786		54,501
6.500%, 06/01/2032		14,659		16,648
7.000%, 06/01/2032		61,897		72,008
6.500%, 07/01/2032		83,940		95,327
6.000%, 08/01/2032		175,767		196,865
5.500%, 10/01/2032		395,201		433,648
6.500%, 10/01/2032		184,329		209,335
6.000%, 11/01/2032		180,318		201,004
6.000%, 01/01/2033		141,233		157,435
5.500%, 03/01/2033		125,519		137,212
5.500%, 03/01/2033		226,853		247,987


	Principal amount		Value
Government Agency Securities (Cont.)
Mortgage-Backed Securities (Cont.)
6.000%, 04/01/2033	$	289,793	$	323,039
5.000%, 05/01/2033		173,845		188,003
5.000%, 05/01/2033		324,219		350,624
5.000%, 08/01/2033		490,119		530,035
5.500%, 10/01/2033		389,039		425,282
5.000%, 03/01/2034		823,064		890,096
5.500%, 05/01/2034		540,863		593,955
6.000%, 07/01/2034		308,687		343,039
5.500%, 12/01/2034		760,203		834,825
5.500%, 04/01/2035		639,895		702,707
5.000%, 07/01/2035		732,426		791,847
5.500%, 07/01/2035		749,295		818,162
5.000%, 10/01/2035		579,054		626,032
5.000%, 11/01/2035		293,215		317,003
6.000%, 08/01/2036		616,462		680,056
6.000%, 12/01/2037		228,767		252,153
5.500%, 02/01/2038		650,535		708,903
5.500%, 06/01/2038		1,661,440		1,810,509
4.500%, 03/01/2039		1,494,461		1,604,180
4.500%, 05/01/2039		1,517,811		1,624,976
5.000%, 05/01/2039		1,384,613		1,505,815
5.000%, 11/01/2039		1,870,156		2,045,843
4.500%, 01/01/2040		1,468,744		1,564,183
4.500%, 09/01/2040		2,491,530		2,653,429
3.500%, 01/01/2041		2,875,749		2,960,138
4.500%, 04/01/2041		975,308		1,038,683
5.000%, 05/01/2041		1,765,328		1,911,857
4.000%, 11/01/2041		3,992,887		4,199,495
Government National Mortgage Association
6.000%, 05/15/2017		78,327		86,023
6.500%, 06/15/2028		53,037		61,305
6.000%, 11/15/2028		36,190		41,264
6.500%, 03/15/2029		69,836		80,964
7.000%, 06/15/2029		19,862		23,109
7.500%, 08/20/2030		12,334		14,742
6.000%, 01/15/2032		24,314		27,671
5.500%, 10/15/2033		370,747		418,538
5.000%, 11/20/2033		554,091		616,634
6.000%, 12/20/2033		165,143		187,520
5.500%, 11/15/2038		1,085,317		1,219,258
5.000%, 09/15/2039		1,686,647		1,870,122
4.500%, 10/15/2039		2,418,522		2,643,520
5.000%, 12/15/2039		677,756		751,483
4.000%, 09/20/2040		3,713,480		3,980,271
4.500%, 03/20/2041		928,768		1,014,940
5.000%, 05/20/2041		913,669		1,011,374

				98,964,560

Total Government Agency Securities (cost $102,368,269)				108,649,108

U.S. Treasury Obligations (34.15%)
U.S. Treasury Bonds
7.500%, 11/15/2016		500,000		659,336


130		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
U.S. Treasury Obligations (Cont.)
8.125%, 08/15/2019	$	750,000	$	1,115,391
6.250%, 08/15/2023		11,000,000		15,743,750
6.875%, 08/15/2025		1,000,000		1,540,000
U.S. Treasury Notes
1.375%, 05/15/2013		5,000,000		5,079,295
2.625%, 07/31/2014		2,000,000		2,117,344
2.375%, 08/31/2014		1,000,000		1,053,438
4.250%, 11/15/2014		1,000,000		1,110,312
4.000%, 02/15/2015		2,000,000		2,221,250
4.125%, 05/15/2015		1,000,000		1,121,797
2.125%, 05/31/2015		5,000,000		5,278,515
4.250%, 08/15/2015		2,000,000		2,266,406
4.500%, 11/15/2015		10,000,000		11,496,880
4.500%, 02/15/2016		10,000,000		11,561,720
2.625%, 04/30/2016		1,000,000		1,081,953
3.250%, 07/31/2016		2,000,000		2,223,906
3.000%, 08/31/2016		1,000,000		1,101,484
2.750%, 05/31/2017		5,000,000		5,472,265
4.250%, 11/15/2017		12,000,000		14,174,064
3.500%, 02/15/2018		12,000,000		13,680,936
3.875%, 05/15/2018		2,000,000		2,332,812
3.750%, 11/15/2018		17,000,000		19,777,103
3.125%, 05/15/2019		2,000,000		2,242,500
3.625%, 08/15/2019		2,000,000		2,316,406
3.375%, 11/15/2019		10,000,000		11,399,220
3.625%, 02/15/2020		30,000,000		34,792,980
3.500%, 05/15/2020		5,000,000		5,751,955
2.000%, 11/15/2021		10,000,000		10,114,060

Total U.S. Treasury Obligations (cost $171,269,852)				188,827,078


	Shares		Value
Short-term Investments (4.00%)
JPMorgan U.S. Government Money Market Fund		22,127,831	$	22,127,831

Total Short-term Investments (cost $22,127,831)				22,127,831


TOTAL INVESTMENTS (99.16%) (cost $504,758,312)			$	548,303,011
OTHER ASSETS, NET OF LIABILITIES (0.84%)				4,625,711

NET ASSETS (100.00%)			$	552,928,722

(a)

Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of these securities amounted to $1,045,482 or 0.19% of net assets.

(b)

The obligations of these U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury. On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corp. (“Freddie Mac”) into conservatorship. The United States Treasury has put in place a set of financing agreements to help ensure that these entities continue to meet their obligations to holders of bonds they have issued or guaranteed.


See accompanying notes to financial statements.		131

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (b) (91.07%)
Alabama (3.02%)
City of Trussville, Alabama, General Obligation Warrants, Series 2006-A		5.000%		10/01/2022	Aa2	$	1,000,000	$	1,113,260
City of Tuscaloosa, Alabama, General Obligation Warrants, Series 2010-A		4.750%		07/01/2024	Aa1		1,025,000		1,186,253
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.250%		02/01/2026	Aa2		500,000		569,150
City of Huntsville, Alabama, General Obligation Warrants, Series 2007-A		4.750%		05/01/2027	Aaa		2,000,000		2,153,560
City of Florence (Alabama), Water and Sewer Revenue Warrants, Series 2011		5.000%		08/15/2028	A1		940,000		1,039,114
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.125%		02/01/2030	Aa2		2,305,000		2,506,180
City of Madison (Alabama), General Obligation School Warrants, Series 2009		5.250%		02/01/2031	Aa2		1,000,000		1,088,510

									9,656,027

Alaska (1.49%)
Municipality of Anchorage, Alaska, Senior Lien Electric Revenue Bonds, 2009 Series A (Tax-Exempt)		4.000%		12/01/2020	A+		1,000,000		1,094,950
Municipality of Anchorage, Alaska, Senior Lien Electric Revenue Bonds, 2009 Series A (Tax-Exempt)		5.000%		12/01/2022	A+		2,220,000		2,527,026
Matanuska-Susitna Borough, Alaska, General Obligation School Bonds, 2009 Series A		5.000%		07/01/2029	Aa2		1,035,000		1,134,350

									4,756,326

Arizona (5.65%)
City of Glendale, Arizona, General Obligation Refunding Bonds, Series 2010		5.000%		07/01/2018	Aa2		2,100,000		2,538,396
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		4.000%		07/01/2018	AA-		500,000		562,190
Maricopa County, Arizona, Tempe Elementary School District No. 3, School Improvement Bonds, Project of 2005, Series B (2007)		4.500%		07/01/2021	Aa2		885,000		970,969
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		5.000%		07/01/2021	AA-		1,140,000		1,369,824
Tucson Unified School District No. 1 of Pima County, Arizona, School Improvement Bonds, Project of 2004, Series C (2007)		4.500%		07/01/2021	A+		1,300,000		1,426,282
City of Phoenix, Civic Improvement Corporation, Senior Lien Wastewater System Revenue Refunding Bonds, Series 2008		5.500%		07/01/2023	Aa2		1,000,000		1,191,200
Pima County, Arizona, General Obligation Bonds, Series 2009A		4.000%		07/01/2023	AA-		1,500,000		1,622,955
Scottsdale Unified School District No. 48 of Maricopa County, Arizona, School Improvement Bonds, Project of 2010, Series B (2012) (c)		4.000%		07/01/2023	AA		1,000,000		1,098,510
Sedona-Oak Creek Joint Unified School District No. 9 of Coconino and Yavapai Counties, Arizona, School Improvement Bonds, Project of 2007, Series B (2009)		5.000%		07/01/2023	A+		1,460,000		1,658,735
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		5.000%		07/01/2023	AA-		800,000		946,232
Tucson Unified School District No. 1 of Pima County, Arizona, Refunding Bonds, Tax-Exempt Series 2011		4.000%		07/01/2024	AA-		300,000		321,240
Scottsdale Unified School District No. 48 of Maricopa County, Arizona, School Improvement Bonds, Project of 2010, Series B (2012) (c)		4.250%		07/01/2025	AA		2,000,000		2,160,480
Amphitheater Unified School District No. 10 of Pima County, Arizona, School Improvement Bonds, Project of 2007, Series B (2009) (Bank Qualified)		5.000%		07/01/2027	A+		2,000,000		2,225,360

									18,092,373

Arkansas (1.30%)
Beaver Water District of Benton and Washington Counties, Arkansas, Water Refunding Revenue Bonds, Series 2010		3.000%		11/15/2020	AA+		150,000		158,742
Beaver Water District of Benton and Washington Counties, Arkansas, Water Refunding Revenue Bonds, Series 2010		4.000%		11/15/2021	AA+		1,000,000		1,127,860
Conway School District No. 1 of Faulkner County, Arkansas Refunding Bonds		4.000%		02/01/2022	Aa3		1,270,000		1,311,516
Springdale School District No. 50 of Washington County, Arkansas Refunding and Construction Bonds, Series A		4.250%		06/01/2027	Aa2		1,500,000		1,561,680

									4,159,798

California (5.31%)
Moulton-Niguel California, Water District Consolidated Refunding Bonds		5.000%		09/01/2017	AA		1,395,000		1,480,765
Moulton-Niguel California, Water District Consolidated Refunding Bonds		5.000%		09/01/2018	AA		450,000		477,130


132		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
California (Cont.)
State of California, General Obligation Bonds		5.250%		02/01/2019	A-	$	2,200,000	$	2,313,300
Grossmont Healthcare District, San Diego County, California, General Obligation Bonds, 2006 Election, 2007 Series A		5.000%		07/15/2020	Aa2		900,000		1,010,052
City of Napa (Napa County California) Water Revenue Bonds, Series 2007 (Water System Improvement Projects)		4.500%		05/01/2022	AA-		560,000		603,590
State of California, Various Purpose General Obligation Bonds		5.000%		11/01/2022	A-		600,000		644,016
Santa Barbara County, California, Santa Barbara Schools Financing Authority, 2007 General Obligation Revenue Bonds, Series B		4.750%		08/01/2024	Aa2		1,000,000		1,077,980
Desert Water Agency Financing Corporation (Water System Improvement Project) Series 2007		4.750%		05/01/2025	AA		885,000		932,321
Yosemite Community College District, (Stanislaus, Tuolumne, Calaveras, San Joaquin, Santa Clara and Merced Counties, California), Tax-Exempt General Obligation Bonds, Election of 2004, Series 2005A		5.000%		08/01/2025	AA-		1,195,000		1,273,691
State of California, Various Purpose General Obligation Bonds		5.500%		03/01/2026	A-		1,300,000		1,448,889
Desert Water Agency Financing Corporation (Water System Improvement Project) Series 2007		4.750%		05/01/2026	AA		930,000		972,808
Marin Community College District, (Marin County, California), Election of 2004 General Obligation Bonds, Series C		4.250%		08/01/2027	AA		1,440,000		1,533,197
Placentia-Yorba Linda Unified School District, (Orange County, California), General Obligation Bonds, 2002 Election, Series C		5.000%		08/01/2029	AA-		1,000,000		1,054,750
Ventura County Community College District (Ventura County, California) Election of 2002 General Obligation Bonds, Series C		5.500%		08/01/2029	Aa2		1,000,000		1,112,770
Santa Clara Unified School District, (Santa Clara County, California), General Obligation Bonds, Election of 2004, Series 2008		5.000%		07/01/2030	AA		1,000,000		1,044,470

									16,979,729

Colorado (0.94%)
Arapahoe County Water & Wastewater Public Improvement District (In Arapahoe County, Colorado) General Obligation Project Bonds, Series 2002A		5.750%		12/01/2018	NR		1,320,000		1,357,422
City of Colorado Springs, Colorado, Utilities System Subordinate Lien Improvement Revenue Bonds, Series 2005B		4.750%		11/15/2022	Aa2		250,000		270,862
Cherry Creek School District No. 5, (Arapahoe County, Colorado), General Obligation Bonds, Series 2009		5.000%		12/15/2025	AA		1,185,000		1,380,158

									3,008,442

Connecticut (1.30%)
Town of New Canaan, Connecticut, General Obligation Refunding Bonds, Series C		4.000%		04/01/2021	Aaa		1,010,000		1,157,208
Town of New Canaan, Connecticut, General Obligation Refunding Bonds, Issue of 2010, Series A		4.000%		06/15/2023	Aaa		1,230,000		1,369,371
Town of Bethel, Connecticut, General Obligation Bonds, Issue of 2009, Series A		4.000%		11/15/2026	AA+		950,000		995,277
Town of Bethel, Connecticut, General Obligation Sewer Bonds, Issue of 2009, Series B		4.000%		11/15/2026	AA+		620,000		649,549

									4,171,405

Delaware (1.00%)
The Delaware River and Bay Authority, Revenue Bonds, Refunding Series 2005		5.000%		01/01/2021	A		1,625,000		1,754,448
The City of Wilmington, Delaware, General Obligation Bonds, Series of 2008A (Prerefunded to 12-01-2018 @ 100) (d)		5.000%		12/01/2028	NR		1,120,000		1,402,072
The City of Wilmington, Delaware, General Obligation Bonds, Series of 2008A		5.000%		12/01/2028	AA-		50,000		56,094

									3,212,614

Florida (5.71%)
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2010B		5.000%		07/01/2019	Aa3		2,085,000		2,511,591
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2006A		4.200%		07/01/2021	Aa3		1,500,000		1,613,760
JEA Florida, Electric System Revenue Bonds, Series Three D-1		4.000%		10/01/2021	AA-		1,000,000		1,053,930
City of Fort Lauderdale, Florida, Water and Sewer Revenue Bonds, Series 2010		4.000%		03/01/2023	AA		1,265,000		1,359,875
State of Florida, Department of Transportation, Turnpike Revenue Bonds, Series 2010B		5.000%		07/01/2024	Aa3		3,130,000		3,643,383


See accompanying notes to financial statements.		133

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Florida (Cont.)
City of Winter Park, Florida, Water and Sewer Refunding and Improvement Revenue Bonds, Series 2009		4.250%		12/01/2024	AA-	$	1,000,000	$	1,074,250
City of Palm Bay, Florida, Utility System Improvement Revenue Bonds, Series 2005A (Prerefunded to 10-01-2015 @ 100) (d)		5.000%		10/01/2026	A		1,350,000		1,560,586
Tohopekaliga Water Authority, Utility System Revenue Refunding Bonds, Series 2011A		5.000%		10/01/2026	Aa2		400,000		453,372
Coral Springs Improvement District, Subordinate Water and Sewer Revenue Bonds, Series 2007		4.500%		06/01/2027	NR		1,000,000		1,034,380
City of Tallahassee, Florida, Consolidated Utility Systems Revenue Bonds, Series 2007		5.000%		10/01/2027	Aa1		1,700,000		1,861,993
State of Florida, State Board of Education, Public Education Capital Outlay Bonds, 2004 Series C		4.750%		06/01/2029	Aa1		2,000,000		2,099,940

									18,267,060

Georgia (1.95%)
Upper Oconee Basin Water Authority, Georgia, Revenue Refunding Bonds, Series 2005		5.000%		07/01/2023	Aa2		1,000,000		1,095,650
Cherokee County Water and Sewerage Authority (Georgia), Water and Sewerage Revenue Bonds, Series 2010		4.000%		08/01/2023	Aa2		320,000		357,610
Fulton County, Georgia, Water and Sewerage Revenue Refunding Bonds, Series 2011		5.000%		01/01/2025	Aa3		2,000,000		2,309,700
Spalding County Water and Sewerage Facilities Authority (Georgia), Revenue Bonds, Series 2008		6.125%		09/01/2028	Aa3		1,000,000		1,155,880
Fayette County, Georgia, Water Revenue Bonds, Series 2009		4.750%		10/01/2029	Aa2		1,205,000		1,311,389

									6,230,229

Hawaii (0.73%)
State of Hawaii, Highway Revenue Bonds, Series 2008		6.000%		01/01/2029	Aa2		2,000,000		2,342,740

Idaho (0.99%)
Joint School District Number 2 (Meridian) Ada and Canyon Counties, Idaho General Obligation School Bonds, Series 2002 (Prerefunded to 07-30-2012 @ 100) (d)		5.125%		07/30/2019	AA-		500,000		513,920
Nampa School District Number 131, Canyon County, Idaho, General Obligation School Bonds, Series 2003 (Prerefunded to 08-15-2013 @ 100) (d)		4.875%		08/15/2020	A		1,000,000		1,072,630
Independent School District of Boise City, Ada and Boise Counties, Idaho, General Obligation Bonds, Series 2007		4.750%		08/01/2024	AA		1,430,000		1,571,370

									3,157,920

Illinois (1.65%)
The Illinois State Toll Highway Authority, Toll Highway Senior Priority Revenue Bonds, 2005 Series A		4.125%		01/01/2020	Aa3		4,900,000		5,262,894

Indiana (1.57%)
City of Fort Wayne, Indiana, Sewage Works Revenue Bonds of 2010		4.500%		08/01/2019	Aa3		2,005,000		2,255,003
Highland School Building Corporation, Lake County, Indiana, First Mortgage Refunding Bonds, Series 2003		5.000%		01/10/2020	AA+		1,310,000		1,373,732
City of Fort Wayne, Indiana, Sewage Works Revenue Bonds of 2010		4.500%		08/01/2025	Aa3		1,000,000		1,069,660
Indiana Housing and Community Development Authority, Single Family Mortgage Revenue Bonds, 2008 Series A		6.250%		07/01/2033	Aaa		310,000		326,721

									5,025,116

Iowa (2.59%)
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000%		06/01/2020	Aa1		1,245,000		1,413,224
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000%		06/01/2021	Aa1		850,000		961,002
City of Des Moines, Iowa, General Obligation Refunding Bonds, Series 2010B, (Urban Renewal)		4.000%		06/01/2023	Aa1		1,410,000		1,567,074
City of Des Moines, Iowa, General Obligation Bonds, Series 2008D		4.250%		06/01/2025	Aa1		1,015,000		1,073,423
Board of Regents, State of Iowa, Academic Building Revenue Bonds, Series S.U.I. 2008 (The State University of Iowa)		4.750%		07/01/2028	AA		1,785,000		1,932,905


134		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate			Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Iowa (Cont.)
Ankeny Community School District, Polk County, Iowa, General Obligation School Bonds, Series 2009		5.000	%		06/01/2029	Aa3	$	1,270,000	$	1,350,810

										8,298,438

Kansas (4.25%)
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A		5.000	%		12/01/2019	Aa3		730,000		770,311
City of Wichita, Kansas, General Obligation Bonds, Series 790		4.375	%		09/01/2020	Aa1		620,000		670,487
City of Derby, Kansas, General Obligation Water System Refunding Bonds, Series 2004-A		5.000	%		12/01/2021	Aa3		245,000		257,164
Unified School District No. 512, Johnson County, Kansas (Shawnee Mission), General Obligation School Bonds, Series 2005-C		4.250	%		10/01/2022	Aaa		4,265,000		4,522,947
Unified School District No. 512, Johnson County, Kansas (Shawnee Mission), General Obligation School Bonds, Series 2005-C		5.000	%		10/01/2025	Aaa		1,000,000		1,091,860
Johnson County, Kansas, Internal Improvement Bonds, Series 2008A		4.750	%		09/01/2027	Aaa		1,840,000		2,037,579
Johnson County, Kansas, Internal Improvement Bonds, Series 2008A		4.750	%		09/01/2028	Aaa		2,460,000		2,705,434
City of Wichita, Kansas, Water and Sewer Utility Revenue Bonds, Series 2009A		5.000	%		10/01/2030	AA-		1,400,000		1,558,270

										13,614,052

Kentucky (2.24%)
Boone-Florence Water Commission (Kentucky), Water Supply System Refunding Revenue Bonds, Series 2010		3.250	%		12/01/2019	Aa3		620,000		682,601
Northern Kentucky University, General Receipts Bonds, 2007 Series A		4.300	%		09/01/2025	A1		2,700,000		2,805,624
Louisville/Jefferson County Metro Government, General Obligation Bonds, Series 2006A		4.250	%		11/01/2025	Aa1		1,000,000		1,065,880
Northern Kentucky University, General Receipts Bonds, 2007 Series A		4.300	%		09/01/2026	A1		2,545,000		2,627,433

										7,181,538

Louisiana (0.31%)
State of Louisiana, General Obligation Match Bonds, Series 2006-B		5.000	%		07/15/2025	Aa2		900,000		999,009

Maine (0.33%)
Maine Turnpike Authority, Turnpike Revenue Bonds, Series 2004		5.250	%		07/01/2030	A+		1,000,000		1,039,910

Maryland (0.76%)
Baltimore County, Maryland, General Obligation Bonds, Consolidated Public Improvement, Series 2002		5.000	%		09/01/2014	Aaa		1,250,000		1,286,675
Washington Suburban Sanitary District, Maryland, Water Supply Bonds of 2005 (Prerefunded to 06-01-2015 @ 100) (d)		5.000	%		06/01/2023	Aaa		1,000,000		1,144,090

										2,430,765

Massachusetts (0.27%)
The Commonwealth of Massachusetts, General Obligation Bonds, Consolidated Loan of 2003, Series C (Prerefunded to 08-01-2013 @ 100) (d)		5.250	%		08/01/2020	Aa1		800,000		859,432

Michigan (1.37%)
Forest Hills Public Schools, County of Kent, State of Michigan, 2010 School Building and Site Bonds, Series II, (General Obligation - Unlimited Tax)		4.000	%		05/01/2019	AA		500,000		549,885
Traverse City Area Public Schools, Counties of Grand Traverse, Leelanau and Benzie, State of Michigan, 2010 School Building and Site Bonds (General Obligation - Unlimited Tax)		3.500	%		05/01/2020	AA		1,000,000		1,099,950
Forest Hills Public Schools, County of Kent, State of Michigan, 2010 School Building and Site Bonds, Series II, (General Obligation - Unlimited Tax)		4.000	%		05/01/2021	AA		500,000		553,645
City of Petoskey, County of Emmet, State of Michigan, Water Supply and Sewage Disposal System Revenue and Revenue Refunding Bonds, Series 2011		5.000	%		02/01/2023	AA-		720,000		823,774
City of Petoskey, County of Emmet, State of Michigan, Water Supply and Sewage Disposal System Revenue and Revenue Refunding Bonds, Series 2011		5.000	%		02/01/2024	AA-		225,000		253,832
Forest Hills Public Schools County of Kent, State of Michigan, 2007 School Building and Site Bonds (General Obligation - Unlimited Tax)		4.750	%		05/01/2024	AA		1,000,000		1,106,710

										4,387,796


See accompanying notes to financial statements.		135

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Minnesota (1.16%)
Independent School District Number 181 (Brainerd), Minnesota, General Obligation School Building Bonds, Series 2002A		5.375%		02/01/2019	A1	$	2,500,000	$	2,567,200
State of Minnesota, General Obligation State Various Purpose Bonds, Series 2009H		4.500%		11/01/2024	Aa1		1,000,000		1,150,470

									3,717,670

Mississippi (0.92%)
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		3.000%		03/01/2019	AA-		500,000		531,115
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		5.000%		03/01/2020	AA-		1,000,000		1,212,960
Mississippi Development Bank, Special Obligation Bonds, Series 2010A, (City of Jackson, Mississippi General Obligation Refunding Project)		5.000%		03/01/2021	AA-		1,000,000		1,204,660

									2,948,735

Missouri (0.87%)
Missouri State Improvement and Energy Water Pollution Revenue, Series 2000B		5.625%		07/01/2016	Aaa		535,000		536,637
Parkway C-2 School District, St. Louis County, Missouri, General Obligation Refunding and Improvement Bonds, Series 2009		4.625%		03/01/2025	AAA		1,000,000		1,120,320
School District of the City of Ladue, St. Louis County, Missouri, General Obligation Refunding and Improvement Bonds, Series 2007		5.000%		03/01/2025	AAA		1,000,000		1,121,740

									2,778,697

Montana (0.11%)
State of Montana, General Obligation Bonds, (Drinking Water State Revolving Fund Program), Series 2005F		4.750%		07/15/2018	AA		315,000		352,932

Nebraska (2.11%)
City of Lincoln, Nebraska, Lincoln Electric System Revenue and Refunding Bonds, Series 2002		5.000%		09/01/2015	Aa2		1,595,000		1,640,729
Douglas County School District 0010, (Elkhorn Public Schools), General Obligation Refunding Bonds, Series 2011		4.000%		12/15/2021	AA-		1,140,000		1,287,584
Douglas County School District 0010, (Elkhorn Public Schools), General Obligation Refunding Bonds, Series 2011		5.000%		12/15/2027	AA-		1,850,000		2,092,942
Omaha Public Power District (Nebraska) Electric System Revenue Bonds, 2008 Series A		5.500%		02/01/2028	AA		1,500,000		1,714,770

									6,736,025

New Hampshire (1.19%)
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003 (Prerefunded to 12-01-2013 @ 100) (d)		5.000%		12/01/2021	Aa2		610,000		663,088
City of Manchester, New Hampshire, Water Revenue Bonds, Series 2003 (Prerefunded to 12-01-2013 @ 100) (d)		5.000%		12/01/2023	Aa2		980,000		1,065,289
New Hampshire Municipal Bond Bank, 2011 Series E Bonds		4.000%		01/15/2024	Aa3		1,410,000		1,538,973
New Hampshire Municipal Bond Bank, 2007 Series B Bonds		4.750%		08/15/2024	A1		500,000		549,200

									3,816,550

New Jersey (3.22%)
Passaic Valley Sewer Commissioners, State of New Jersey, Sewer System Bonds, Series F		5.000%		12/01/2018	A2		1,300,000		1,384,123
Township of Toms River, County of Ocean, New Jersey, General Improvement Bonds, Series 2010A		3.000%		06/15/2019	AA		2,000,000		2,132,840
County of Essex, New Jersey, General Obligation Bonds, Series 2010, County College Bonds, Series 2010C (Tax-Exempt)		5.000%		08/01/2019	Aa2		1,550,000		1,880,072
Township of Parsippany-Troy Hills, In the County of Morris, New Jersey, General Obligation Bonds		2.750%		11/01/2019	AA		1,735,000		1,878,467
Township of Parsippany-Troy Hills, In the County of Morris, New Jersey, General Obligation Bonds		3.000%		11/01/2020	AA		1,550,000		1,674,542


136		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
New Jersey (Cont.)
Middlesex County Improvement Authority, (County of Middlesex, State of New Jersey), County-Guaranteed Open Space Trust Fund Revenue Bonds, Series 2009A		4.000%		12/15/2021	Aa2	$	1,205,000	$	1,358,553

									10,308,597

New Mexico (1.63%)
City of Santa Fe, New Mexico, General Obligation Bonds, Series 2010		4.000%		08/01/2022	AA		570,000		636,559
Las Cruces School District No. 2, General Obligation School Building Bonds, Series 2011A		4.000%		08/01/2023	Aa2		1,700,000		1,866,719
Albuquerque Bernalillo County Water Utility Authority, Joint Water and Sewer System Improvement Revenue Bonds, Series 2005		4.400%		07/01/2024	AA		1,000,000		1,061,386
City of Santa Fe, New Mexico, Water Utility System / Capital Outlay Gross Receipts Tax Revenue Bonds, Series 2009A (Tax-Exempt)		5.000%		06/01/2025	AA+		470,000		532,327
Albuquerque Bernalillo County Water Utility Authority, Joint Water and Sewer System Improvement Revenue Bonds, Series 2008A		5.000%		07/01/2030	AA		1,000,000		1,102,250

									5,199,241

New York (4.74%)
New York City, Municipal Water Finance Authority, Water and Sewer System Revenue Bonds, Fiscal 2003, Series D (Prerefunded to 06-15-2012 @ 100) (d)		5.000%		06/15/2016	Aa1		1,300,000		1,327,534
Town of Brookhaven, Suffolk County, New York, Public Improvement Serial Bonds - 2010		3.250%		03/15/2019	Aa2		1,575,000		1,716,955
Webster Central School District, Monroe and Wayne Counties, New York, General Obligations, School District (Serial) Bonds, 2009 Series B		3.000%		10/01/2020	AA		2,310,000		2,448,923
New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2005B		5.000%		04/01/2021	AA		1,000,000		1,119,800
County of Saratoga, New York, Public Improvement (Serial) Bonds, Series 2010B		4.000%		07/15/2021	AA+		430,000		470,312
County of Suffolk, New York, Public Improvement Serial Bonds - 2009 Series C		4.000%		10/15/2021	AA-		1,000,000		1,124,960
East Hampton Union Free School District, Suffolk County, New York, School District Serial Bonds - 2009		4.000%		06/15/2022	Aa1		1,285,000		1,439,264
Miller Place Union Free School District in the Town of Brookhaven, Suffolk County, New York, School District Serial Bonds - 2010		4.000%		02/15/2025	Aa2		685,000		717,510
County of Saratoga, New York, Public Improvement (Serial) Bonds, Series 2010B		4.000%		07/15/2025	AA+		510,000		533,679
County of Suffolk, New York, Public Improvement Serial Bonds - 2008 Series B		5.000%		11/01/2027	AA-		1,000,000		1,106,910
The Port Authority of New York and New Jersey Consolidated Bonds, One Hundred Fifty-Third Series		4.750%		07/15/2030	AA-		1,000,000		1,072,980
County of Saratoga, New York, General Obligations, Public Improvement (Serial) Bonds, Series 2009A		4.750%		07/15/2031	Aa1		950,000		1,023,350
County of Saratoga, New York, General Obligations, Public Improvement (Serial) Bonds, Series 2009A		4.750%		07/15/2032	Aa1		995,000		1,067,008

									15,169,185

North Carolina (3.89%)
County of Orange, North Carolina, General Obligation Refunding Bonds, Series 2011		3.000%		02/01/2020	Aa1		1,000,000		1,112,020
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2002B		5.000%		07/01/2021	Aaa		1,000,000		1,018,020
City of Fayetteville, North Carolina, Public Works Commission, Revenue Refunding Bonds, Series 2009A		5.000%		03/01/2024	Aa3		1,355,000		1,592,139
County of Wake, North Carolina, General Obligation Public Improvement Bonds, Series 2011		4.000%		04/01/2024	Aaa		2,000,000		2,269,020
City of Charlotte, North Carolina, General Obligation Refunding Bonds, Series 2009B		4.000%		06/01/2024	Aaa		1,265,000		1,411,550
State of North Carolina, General Obligation Public Improvement Bonds, Series 2010A		4.000%		05/01/2026	Aaa		1,000,000		1,092,390
City of Charlotte, North Carolina, Water and Sewer System Revenue Bonds, Series 2009B		4.250%		07/01/2026	Aaa		1,500,000		1,669,305
City of Asheville, North Carolina, Water System Revenue Bonds, Series 2007		4.750%		08/01/2026	Aa2		195,000		211,035
City of Charlotte, North Carolina, Water and Sewer System Revenue Bonds, Series 2009B		5.000%		07/01/2027	Aaa		1,500,000		1,755,195
City of Asheville, North Carolina, Water System Revenue Bonds, Series 2007		4.750%		08/01/2027	Aa2		300,000		322,284

									12,452,958

North Dakota (0.43%)
West Fargo Public School District No. 6, Cass County, North Dakota, General Obligation School Building Bonds, Series 2011		4.000%		05/01/2026	Aa3		1,300,000		1,373,541


See accompanying notes to financial statements.		137

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Ohio (3.18%)
City of Cleveland, Ohio, Waterworks Refunding Revenue Bonds, Series J, 2001 (Prerefunded to 01-01-2012 @ 100) (d)		5.375%		01/01/2016	AA	$	1,000,000	$	1,000,000
Board of Education Indian Hill Exempted Village School District, County of Hamilton, Ohio, School Improvement Refunding Bonds, Series 2006		4.375%		12/01/2022	Aaa		750,000		818,152
Board of Education, City School District of the City of Cincinnati, County of Hamilton, Ohio, Classroom Facilities Construction and Improvement Refunding Bonds, Series 2006 (Voted General Obligation Unlimited Tax)		5.250%		12/01/2022	AA-		1,000,000		1,242,680
Columbus City School District, Franklin County, Ohio, School Facilities Construction and Improvement Bonds, Series 2009-B (General Obligation - Unlimited Tax)		5.000%		12/01/2023	Aa2		1,000,000		1,168,930
State of Ohio, Common Schools General Obligation Bonds, Series 2006D		4.300%		09/15/2025	Aa1		2,500,000		2,668,800
Miami University (A State University of Ohio) General Receipts Revenue and Refunding Bonds, Series 2011		5.000%		09/01/2026	Aa3		1,000,000		1,144,880
Plain Local School District (Stark County), Ohio, General Obligation (Unlimited Tax), School
Improvement Refunding Bonds, Series 2011A		4.500%		11/01/2027	AA-		2,000,000		2,115,460

									10,158,902

Oklahoma (1.33%)
Oklahoma Turnpike Authority, Oklahoma Turnpike System, Second Senior Revenue Bonds, Series 2011B		5.000%		01/01/2026	Aa3		1,000,000		1,154,850
City of Tulsa, Oklahoma, General Obligation Bonds, Series 2008		4.750%		05/01/2026	AA		1,165,000		1,270,001
City of Oklahoma City, Oklahoma, General Obligation Bonds, Series 2008		5.000%		03/01/2027	Aaa		400,000		453,296
Oklahoma Turnpike Authority, Oklahoma Turnpike System, Second Senior Revenue Bonds, Series 2011B		5.000%		01/01/2028	Aa3		770,000		876,884
Oklahoma Housing Finance Agency, Single Family Mortgage Revenue Bonds, (Homeownership Loan Program), 2003 Series B-1 (AMT)		4.875%		09/01/2033	Aaa		510,000		510,393

									4,265,424

Oregon (3.82%)
Newberg School District Number 29J, Yamhill, Clackamas and Washington Counties, Oregon, General Obligation Bonds, Series 2002 (Prerefunded to 06-15-2012 @ 100) (d)		5.250%		06/15/2015	NR		1,000,000		1,022,290
City of Portland, Oregon, First Lien Water System Revenue and Refunding Bonds, 2010 Series A (Tax Exempt)		4.000%		05/01/2021	Aaa		1,070,000		1,229,751
Emerald People’s Utility District, Lane County, Oregon		5.250%		11/01/2021	A1		705,000		752,461
City of Portland, Oregon, Second Lien Sewer System Revenue and Refunding Bonds, 2008 Series B		5.000%		06/15/2022	Aa3		1,825,000		2,104,371
City of Portland, Oregon, Second Lien Sewer System Revenue and Refunding Bonds, 2008 Series B		5.000%		06/15/2023	Aa3		1,375,000		1,568,751
City of Portland, Oregon, First Lien Water System Revenue Bonds, 2011 Series A		4.000%		05/01/2024	Aaa		1,500,000		1,666,245
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2007 Series F (Tax Exempt)		4.625%		08/01/2024	Aa1		570,000		629,816
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2007 Refunding Series G (Tax Exempt)		4.625%		08/01/2024	Aa1		330,000		364,630
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2009 Series A		5.750%		08/01/2024	Aa1		575,000		687,602
Oregon Trail School District No. 46, Clackamas County, Oregon, General Obligation Bonds, Series 2009		5.000%		06/15/2029	A+		1,000,000		1,115,570
State of Oregon, State Board of Higher Education, General Obligation Bonds, 2009 Series A		5.750%		08/01/2029	Aa1		940,000		1,093,126

									12,234,613

Pennsylvania (1.03%)
Township of Cranberry, Butler County, Pennsylvania, General Obligation Bonds, Series of 2011		4.500%		03/01/2026	Aa2		1,575,000		1,702,528
County of Chester, Commonwealth of Pennsylvania, General Obligation Bonds, Series of 2011		4.000%		11/15/2026	Aaa		1,465,000		1,581,424

									3,283,952


138		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Rhode Island (0.85%)
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	$	1,080,980
State of Rhode Island and Providence Plantations, General Obligation Bonds, Consolidated Capital Development Loan of 2007, Series A		4.750%		08/01/2024	Aa2		1,000,000		1,087,560
Rhode Island Clean Water Finance Agency, Water Pollution Control Revolving Fund Revenue Bonds, Series 2007 A (Pooled Loan Issue)		4.750%		10/01/2025	Aaa		500,000		564,055

									2,732,595

South Carolina (2.11%)
City of Columbia, South Carolina, Waterworks and Sewer System Revenue Bonds, Series 2010		4.500%		02/01/2025	AA		1,020,000		1,138,238
School District No. 1 of Richland County, South Carolina, General Obligation Bonds, Series 2006B		4.450%		03/01/2025	Aa2		1,500,000		1,636,830
South Carolina Public Service Authority, Revenue Obligations, Series 2008, Tax-Exempt Series A		5.375%		01/01/2028	Aa3		3,500,000		3,982,755

									6,757,823

South Dakota (0.25%)
Harrisburg School District No. 41-2, Lincoln County, South Dakota, General Obligation Bonds, Series 2007		4.500%		01/15/2023	Aa3		800,000		807,816

Tennessee (2.46%)
City of Murfreesboro, Tennessee, General Obligation Refunding Bonds, Series 2009		5.000%		06/01/2018	AA-		650,000		792,876
City of Murfreesboro, Tennessee, General Obligation Refunding Bonds, Series 2009		5.000%		06/01/2019	AA-		150,000		185,362
City of Murfreesboro, Tennessee, General Obligation Refunding Bonds, Series 2009		5.000%		06/01/2020	AA-		270,000		329,856
City of Knoxville, Tennessee, Water System Revenue Bonds, Series U-2009		4.000%		03/01/2022	Aa2		175,000		196,733
Tennessee State School Bond Authority, Higher Educational Facilities, Second Program Bonds, 2008 Series B		4.750%		05/01/2023	AA		1,000,000		1,147,800
The Metropolitan Government of Nashville and Davidson County (Tennessee), General Obligation Improvement and Refunding Bonds, Series 2010A		4.000%		07/01/2023	AA		900,000		1,004,139
State of Tennessee, General Obligation Bonds, 2007 Series A		4.500%		10/01/2025	AA+		425,000		450,619
City of Chattanooga, Tennessee, General Obligation Refunding Bonds, Series 2007A		4.750%		03/01/2026	AA+		2,250,000		2,454,682
The Metropolitan Government of Nashville and Davidson County (Tennessee), Electric System Revenue Bonds, 2008 Series A		4.750%		05/15/2026	AA+		1,175,000		1,305,448

									7,867,515

Texas (2.22%)
City of Plano, Texas, (Collin and Denton Counties), General Obligation Refunding and Improvement Bonds, Series 2011		5.000%		09/01/2020	Aaa		1,000,000		1,248,130
Fort Worth Independent School District, (Tarrant County, Texas), Unlimited Tax School Building Bonds, Series 2010		4.000%		02/15/2021	AA		775,000		875,642
City of Austin, Texas, (Travis and Williamson Counties), Water and Wastewater System Revenue Refunding Bonds, Series 2009A		5.000%		11/15/2026	AA-		2,000,000		2,285,720
Trinity River Authority of Texas, (Tarrant County Water Project) Improvement Revenue Bonds, Series 2008		5.750%		02/01/2027	Aa3		1,500,000		1,719,330
New Braunfels Independent School District, (A political subdivision of the State of Texas located in Comal and Guadalupe Counties, Texas), Unlimited Tax School Building Bonds, Series 2008		5.000%		02/01/2029	AA-		900,000		961,362

									7,090,184

Utah (0.58%)
West Jordan Utah, General Obligation Bonds (Prerefunded to 04-01-2014 @ 100) (d)		5.250%		04/01/2022	NR		680,000		752,304
Board of Education of Canyons School District, Utah, General Obligation Bonds, (Utah School Bond Guaranty Program), Series 2011		4.000%		06/15/2023	AA+		1,000,000		1,117,450

									1,869,754


See accompanying notes to financial statements.		139

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Coupon rate		Maturity date		Rating (a)	Principal amount		Value
Long-term Municipal Bonds (Cont.)
Virginia (2.16%)
Fairfax County Water Authority, Water Refunding Revenue Bonds, Series 1997		5.000%		04/01/2021	Aaa	$	900,000	$	1,088,064
City of Salem, Virginia General Obligation Public Improvement Refunding Bonds Series 2007A		4.500%		01/01/2023	Aa3		520,000		575,437
General Obligation Public Improvement and Refunding Bonds, Series 2007 of the City of Hampton, Virginia		4.375%		01/15/2023	Aa1		1,550,000		1,730,064
Virginia Public School Authority, School Financing Bonds (1997 Resolution), Series 2006 A		4.500%		08/01/2024	Aa1		1,000,000		1,077,360
Loudoun County, Virginia, General Obligation Public Improvement Bonds, Series 2011A		4.000%		12/01/2026	Aaa		1,395,000		1,505,554
Virginia Public School Authority, School Financing Bonds, (1997 Resolution) Series 2004 A		4.750%		08/01/2027	Aa1		900,000		942,561

									6,919,040

Washington (3.12%)
Bethel School District No. 403, Pierce County, Washington, Unlimited Tax General Obligation Bonds, 2006		5.000%		12/01/2020	Aa2		1,420,000		1,614,838
Lake Washington School District No. 414, King County, Washington, Unlimited Tax General Obligation Bonds, 2008		5.000%		12/01/2025	AA		2,000,000		2,286,620
Bellevue School District No. 405, King County, Washington, Unlimited Tax General Obligation Bonds, 2008		4.750%		12/01/2026	AA+		2,500,000		2,754,700
Public Utility District No. 1 of Clark County, Washington, Water System Revenue Bonds, Series 2008		5.000%		01/01/2028	AA-		680,000		730,578
The City of Seattle, Washington, Drainage and Wastewater Revenue Bonds, 2004		4.750%		09/01/2028	Aa1		1,140,000		1,180,481
Public Utility District No. 1 of Clark County, Washington, Water System Revenue Bonds, Series 2008		5.125%		01/01/2029	AA-		445,000		480,484
Public Utility District No. 1 of Douglas County, Washington, Wells Hydroelectric Revenue and Refunding Bonds, Series 2005B (Non-AMT)		5.000%		09/01/2030	Aa3		900,000		943,074

									9,990,775

West Virginia (2.49%)
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		5.000%		10/01/2022	A+		2,200,000		2,649,504
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		4.750%		10/01/2027	A+		2,240,000		2,473,162
West Virginia University Board of Governors, University Improvement Revenue Bonds, (West Virginia University Projects), 2011 Series B		4.750%		10/01/2028	A+		2,595,000		2,842,667

									7,965,333

Wisconsin (0.47%)
City of Fond Du Lac, Fon Du Lac County, Wisconsin, General Obligation Refunding Bonds, Series 2010		4.250%		03/01/2023	AA-		500,000		557,925
School District of Elbrook, Waukesha County, Wisconsin, General Obligation School Building and Improvement Bonds		5.000%		04/01/2028	Aaa		850,000		944,503

									1,502,428

Total Long-term Municipal Bonds
(cost $272,350,616)									291,433,898


140		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Shares		Value
Short-term Investments (8.47%)
JPMorgan Tax Free Money Market Fund		27,095,432	$	27,095,432

Total Short-term Investments (cost $27,095,432)				27,095,432

TOTAL INVESTMENTS (99.54%) (cost $299,446,048)				318,529,330
OTHER ASSETS, NET OF LIABILITIES (0.46%)				1,464,198

NET ASSETS (100.00%)			$	319,993,528

(a)	Ratings are not audited and represent the lower of Moody’s, S&P or Fitch issuer specific ratings.

(b)	Long-term Municipal Bonds, as a percentage of total net assets, consisted of 3.87% Advanced Refunded Bonds, 34.35% General Obligation Bonds and 52.85% Municipal Revenue Bonds.

(c)	Security purchased on a “when-issued” basis.

(d)	Advanced Refunded Bonds are backed by an escrow or trust containing U.S. Government or U.S. Government Agency securities to support the timely payment of principal and interest.

NR	– Not Rated


See accompanying notes to financial statements.		141

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS

December 31, 2011


	Principal amount		Value
Short-term Investments (99.86%)
Agriculture, Foods, & Beverage (15.27%)
Coca-Cola Co. (a)
0.110%, 01/31/2012	$	1,217,000	$	1,216,889
0.080%, 02/08/2012		6,000,000		5,999,493
0.120%, 03/21/2012		1,312,000		1,311,650
0.120%, 04/16/2012		5,460,000		5,458,071
Nestle Capital Corp. (a)
0.110%, 01/24/2012		5,000,000		4,999,649
0.080%, 02/27/2012		8,946,000		8,944,867
Pepsico Inc. (a)
0.040%, 01/12/2012		13,916,000		13,915,830

				41,846,449

Automotive (14.93%)
American Honda Finance Corp.
0.100%, 01/13/2012		11,700,000		11,699,610
0.230%, 02/02/2012		2,350,000		2,349,520
PACCAR Financial Corp.
0.070%, 01/05/2012		6,788,000		6,787,947
0.120%, 03/15/2012		4,000,000		3,999,013
0.110%, 03/21/2012		2,600,000		2,599,364
Toyota Motor Credit Corp.
0.140%, 01/05/2012		6,133,000		6,132,905
0.060%, 01/18/2012		4,625,000		4,624,870
0.170%, 03/20/2012		2,725,000		2,723,983

				40,917,212

Computers (5.05%)
International Business Machines Corp. (a)
0.050%, 01/20/2012		3,100,000		3,099,918
0.050%, 01/30/2012		10,721,000		10,720,568

				13,820,486

Consumer & Marketing (4.96%)
Procter & Gamble Co., The (a)
0.090%, 01/06/2012		2,700,000		2,699,966
0.080%, 03/19/2012		5,898,000		5,896,978
0.070%, 04/05/2012		5,000,000		4,999,076

				13,596,020

Financial Services (5.03%)
General Electric Capital Corp.
0.030%, 02/14/2012		11,190,000		11,189,590
0.050%, 02/16/2012		2,600,000		2,599,834

				13,789,424

Government Agency Securities (b) (22.46%)
Federal Home Loan Bank
0.010%, 01/04/2012		5,000,000		4,999,996
0.015%, 01/20/2012		6,850,000		6,849,946
0.005%, 02/22/2012		13,000,000		12,999,906
Federal Home Loan Mortgage Corp.
0.010%, 01/30/2012		2,854,000		2,853,978
0.050%, 02/06/2012		14,000,000		13,999,300
Federal National Mortgage Association
0.030%, 01/03/2012		5,295,000		5,294,991


	Principal amount		Value
Short-term Investments (Cont.)
Government Agency Securities (Cont.)
0.060%, 01/11/2012	$	2,500,000	$	2,499,958
0.035%, 01/19/2012		4,000,000		3,999,930
0.025%, 01/25/2012		8,045,000		8,044,866

				61,542,871

Health Care (5.76%)
Abbott Laboratories (a)
0.070%, 01/09/2012		1,800,000		1,799,972
Roche Holdings (a)
0.060%, 01/17/2012		1,275,000		1,274,966
0.050%, 01/27/2012		12,700,000		12,699,541

				15,774,479

Machinery & Manufacturing (5.30%)
Caterpillar Finance Service Corp.
0.070%, 01/20/2012		1,562,000		1,561,942
0.070%, 02/27/2012		12,962,000		12,960,563

				14,522,505

Oil & Gas (5.14%)
Exxon Mobil Corp.
0.030%, 01/18/2012		6,680,000		6,679,905
0.030%, 01/26/2012		7,398,000		7,397,846

				14,077,751


	Shares		Value
Registered Investment Companies (3.92%)
JPMorgan U.S. Government Money Market Fund		10,738,640	$	10,738,640


142		See accompanying notes to financial statements.

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

SCHEDULE OF INVESTMENTS (continued)

December 31, 2011


	Principal amount		Value
Short-term Investments (Cont.)
U.S. Government Obligations (12.04%)
U.S. Treasury Bill
0.001%, 01/05/2012	$	16,000,000	$	15,999,998
0.008%, 01/19/2012		7,000,000		6,999,972
0.008%, 02/23/2012		1,500,000		1,499,982
0.005%, 03/01/2012		5,500,000		5,499,954
0.033%, 03/29/2012		3,000,000		2,999,762

				32,999,668

Total Short-term Investments
(cost $273,625,505)				273,625,505

TOTAL INVESTMENTS (99.86%)
(cost $273,625,505)				273,625,505
OTHER ASSETS, NET OF LIABILITIES (0.14%)				379,934

NET ASSETS (100.00%)			$	274,005,439

(a)

Securities exempt from registration under Section 4(2) of the Securities Act of 1933. These securities are 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. These securities have been determined to be liquid.

(b)


See accompanying notes to financial statements.		143

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2011


	Equity Fund			Small/Mid Cap Equity Fund			International Equity Fund
Assets
Investments in securities at identified cost	$	234,098,253			147,799,898			95,741,565

Investments in securities at market value	$	264,967,716			165,503,528			102,051,703
Investments in securities in Master Portfolios		—			—			—
Cash		—			—			—
Foreign currencies at value (cost $4 and $2,737,334, respectively)		—			—			4
Receivable for:
Dividends and interest		372,551			168,258			208,763
Shares of the Fund sold		97,023			130,682			78,593
Securities sold		452,707			682,941			89,457
SFIMC		—			—			—
Variation margin on futures contracts		—			—			—
Unrealized gain on forward foreign currency contracts		—			—			191,081
Prepaid expenses		3,010			2,206			3,128

Total assets		265,893,007			166,487,615			102,622,729

Liabilities and Net Assets
Distributions to shareholders		—			—			192
Payable for:
Shares of the Fund redeemed		48,575			58,437			22,268
Securities Purchased		511,559			859,060			257,061
Investments in Master Portfolios		—			—			—
Variation margin on futures contracts		—			—			—
Unrealized loss on forward foreign currency contracts		—			—			80
Due to affiliates		256,169			223,498			158,651
Accrued liabilities		63,248			62,791			110,204

Total liabilities		879,551			1,203,786			548,456

Net assets applicable to shares outstanding of common stock	$	265,013,456			165,283,829			102,074,273

Analysis of Net Assets
Paid-in-capital	$	338,311,833			175,851,330			118,714,788
Accumulated net realized gain (loss)		(104,446,430	)		(28,294,440	)		(22,906,584	)
Net unrealized appreciation (depreciation)		30,869,463			17,703,630			6,504,743
Accumulated undistributed net investment income (loss)		278,590			23,309			(238,674	)

Net assets applicable to shares outstanding	$	265,013,456			165,283,829			102,074,273

Fund shares outstanding: Class A Shares		6,675,593			4,374,150			2,816,657
Class B Shares		750,157			1,083,101			943,659
Legacy Class A Shares		11,756,924			7,457,601			4,621,272
Legacy Class B Shares		1,993,230			1,600,660			1,213,845
Institutional Shares		22,814,685			2,867,854			1,636,147
Class R-1 Shares		392,031			343,933			289,561
Class R-2 Shares		1,316,644			728,369			567,306
Class R-3 Shares		312,848			181,661			189,492
Net assets applicable to shares outstanding: Class A Shares	$	37,970,582			39,338,766			23,333,337
Class B Shares		4,264,064			9,370,028			7,766,162
Legacy Class A Shares		69,405,227			65,880,937			38,608,228
Legacy Class B Shares		11,718,742			13,433,904			10,057,641
Institutional Shares		130,164,679			26,188,877			13,636,253
Class R-1 Shares		2,229,314			2,990,154			2,392,188
Class R-2 Shares		7,476,630			6,434,538			4,701,622
Class R-3 Shares		1,784,218			1,646,625			1,578,842
Net asset value: Class A Shares	$	5.69			8.99			8.28
Class B Shares		5.68			8.65			8.23
Legacy Class A Shares		5.90			8.83			8.35
Legacy Class B Shares		5.88			8.39			8.29
Institutional Shares		5.71			9.13			8.33
Class R-1 Shares		5.69			8.69			8.26
Class R-2 Shares		5.68			8.83			8.29
Class R-3 Shares		5.70			9.06			8.33
Maximum offering price: Class A Shares	$	5.99			9.46			8.72
Legacy Class A Shares		6.08			9.10			8.61

(a)	Relates to investments in affiliated investment companies.


144		See accompanying notes to financial statements.


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

	—		267,886,004			178,472,032			200,379,163	(a)		504,758,312			299,446,048		273,625,505

	—		275,726,187			177,704,627			177,764,340	(a)		548,303,011			318,529,330		273,625,505
	550,071,545		—			—			—			—			—		—
	—		—			—			1,191,808			—			—		—
	—		—			2,741,224			—			—			—		—

	—		464,167			540,944			182,309			4,413,224			3,494,966		47
	337,987		204,877			130,942			63,925			1,009,265			1,736,276		802,082
	—		45,425			3,729			—			—			—		—
	56,257		—			13,778			52,010			—			—		134,803
	—		—			16,712			—			—			—		—
	—		—			10,303			—			—			—		—
	17,572		3,665			6,999			802			7,046			2,880		3,576

	550,483,361		276,444,321			181,169,258			179,255,194			553,732,546			323,763,452		274,566,013

	—		—			—			—			275,972			228,636		202

	177,063		80,529			142,322			81,926			118,362			71,809		352,206

	—		—			—			—			—			3,229,170		—
	156,094		—						—			—			—		—
	—		8,714			—			—			—			—		—
	—		—			16,550			—			—			—		—
	423,039		261,465			218,280			49,582			317,878			186,569		147,495
	229,799		100,665			99,144			52,812			91,612			53,740		60,671

	985,995		451,373			476,296			184,320			803,824			3,769,924		560,574

	549,497,366		275,992,948			180,692,962			179,070,874			552,928,722			319,993,528		274,005,439

	504,360,189		268,617,029			208,827,984			201,609,383			510,565,568			300,903,056		274,005,439
	(36,956,978)		(762,215	)		(27,147,246	)		(32,730	)		(1,181,545	)		7,190		—

	81,193,036		7,846,602			(740,812	)		(22,614,823	)		43,544,699			19,083,282		—
	901,119		291,532			(246,964	)		109,044			—			—		—

	549,497,366		275,992,948			180,692,962			179,070,874			552,928,722			319,993,528		274,005,439

	12,170,948		3,679,937			4,215,035			5,138,508			17,927,666			18,069,716		106,752,305
	1,665,399		858,245			973,927			1,168,894			937,148			455,367		3,227,307
	29,208,406		11,976,838			8,080,392			10,059,403			12,213,604			6,659,802		80,542,808
	5,487,446		2,939,779			2,014,776			3,178,106			3,268,587			2,221,024		7,687,920
	7,183,465		4,182,141			3,268,553			1,983,733			12,022,011					51,959,364
	637,283		239,904			335,171			293,977			331,529					5,574,864
	1,407,640		497,147			625,625			460,188			576,123					15,763,114
	204,812		133,956			165,350			153,408			161,304					2,497,760
	114,957,826		41,751,422			38,721,532			40,794,905			208,932,226			211,101,415		106,752,304
	15,788,900		9,598,851			8,960,775			9,293,174			10,913,843			5,317,895		3,227,307
	276,955,772		134,655,856			74,079,882			80,579,615			142,446,225			77,671,683		80,542,808
	52,242,311		32,470,254			18,548,772			25,511,139			38,130,381			25,902,535		7,687,918
	68,300,871		47,635,706			30,045,845			15,762,380			140,053,686					51,959,364
	6,034,684		2,715,298			3,078,557			2,305,734			3,863,540					5,574,864
	13,272,084		5,638,571			5,735,778			3,617,084			6,708,283					15,763,114
	1,944,918		1,526,990			1,521,821			1,206,843			1,880,538					2,497,760
	9.45		11.35			9.19			7.94			11.65			11.68		1.00
	9.48		11.18			9.20			7.95			11.65			11.68		1.00
	9.48		11.24			9.17			8.01			11.66			11.66		1.00
	9.52		11.05			9.21			8.03			11.67			11.66		1.00
	9.51		11.39			9.19			7.95			11.65					1.00
	9.47		11.32			9.19			7.84			11.65					1.00
	9.43		11.34			9.17			7.86			11.64					1.00
	9.50		11.40			9.20			7.87			11.66					1.00
	9.95		11.95			9.67			8.36			12.01			12.04		1.00
	9.77		11.59			9.45			8.26			12.02			12.02		1.00


See accompanying notes to financial statements.		145

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2011


	LifePath Retirement Fund		LifePath 2020 Fund			LifePath 2030 Fund			LifePath 2040 Fund			LifePath 2050 Fund
Assets
Investments in securities in Master Portfolios	$	744,581,112		1,152,799,868			992,116,678			719,923,287			67,708,998
Receivable for:
Shares of the Fund sold		708,433		1,278,054			1,407,350			870,657			265,504
SFIMC		—		—			—			—			4,083
Prepaid expenses		10,031		17,900			14,786			10,166			860

Total assets		745,299,576		1,154,095,822			993,538,814			720,804,110			67,979,445

Liabilities and Net Assets
Distributions to shareholders		27,024		82,274			17,689			18,452			118,649
Payable for:
Shares of the Fund redeemed		334,941		327,366			243,677			263,812			61,544
Investments in Master Portfolios		234,751		479,551			651,923			277,888			111,098
Due to affiliates		584,415		927,717			812,109			608,396			59,686
Accrued liabilities		105,048		100,885			101,279			88,311			47,016

Total liabilities		1,286,179		1,917,793			1,826,677			1,256,859			397,993

Net assets applicable to shares outstanding of common stock	$	744,013,397		1,152,178,029			991,712,137			719,547,251			67,581,452

Analysis of Net Assets
Paid-in-capital		712,574,903		1,140,119,260			1,011,662,587			759,160,053			67,962,225
Accumulated net realized gain (loss)		7,303,087		(13,869,730	)		(34,346,110	)		(39,440,284	)		(1,727,959	)
Net unrealized appreciation (depreciation)		23,684,208		22,085,514			11,451,808			(2,229,722	)		1,282,439
Accumulated undistributed net investment income (loss)		451,199		3,842,985			2,943,852			2,057,204			64,747

Net assets applicable to shares outstanding	$	744,013,397		1,152,178,029			991,712,137			719,547,251			67,581,452

Fund shares outstanding:
Class A Shares		30,171,100		41,994,852			37,737,895			23,153,154			7,237,757
Class B Shares		878,173		1,891,081			2,212,700			2,156,519
Legacy Class A Shares		21,682,012		28,010,848			20,119,633			14,145,521
Legacy Class B Shares		2,893,643		4,904,837			3,957,923			2,988,925
Institutional Shares		5,425,588		9,787,567			9,736,063			10,531,511
Class R-1 Shares		452,037		1,028,715			1,279,860			962,936			284,384
Class R-2 Shares		1,388,569		2,387,096			2,052,424			1,779,104			334,593
Class R-3 Shares		131,432		214,501			225,388			183,000
Net assets applicable to shares outstanding:
Class A Shares	$	352,691,279		537,162,334			483,842,117			297,571,078			62,243,247
Class B Shares		10,321,530		24,054,885			28,261,260			27,601,257
Legacy Class A Shares		258,330,856		356,855,715			258,081,234			182,158,651
Legacy Class B Shares		34,574,144		62,479,897			50,616,783			38,453,388
Institutional Shares		64,649,005		125,355,957			125,392,669			136,188,667
Class R-1 Shares		5,297,858		13,099,874			16,330,538			12,324,740			2,452,171
Class R-2 Shares		16,585,120		30,431,268			26,286,117			22,862,177			2,886,034
Class R-3 Shares		1,563,605		2,738,099			2,901,419			2,387,293
Net asset value:
Class A Shares	$	11.69		12.79			12.82			12.85			8.60
Class B Shares		11.75		12.72			12.77			12.80
Legacy Class A Shares		11.91		12.74			12.83			12.88
Legacy Class B Shares		11.95		12.74			12.79			12.87
Institutional Shares		11.92		12.81			12.88			12.93
Class R-1 Shares		11.72		12.73			12.76			12.80			8.62
Class R-2 Shares		11.94		12.75			12.81			12.85			8.63
Class R-3 Shares		11.90		12.76			12.87			13.05
Maximum offering price:
Class A Shares	$	12.31		13.46			13.49			13.53			9.05
Legacy Class A Shares		12.28		13.13			13.23			13.28


146		See accompanying notes to financial statements.

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147

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF OPERATIONS

Year ended December 31, 2011


	Equity Fund			Small/Mid Cap Equity Fund			International Equity Fund			S&P 500 Index Fund			Small Cap Index Fund
Investment Income: (a)
Dividends	$	5,119,912			2,021,465			2,880,654			11,743,316			3,552,756
Interest		357			209			139			10,366			864
Securities lending - net		—			—			—			169,293			—
Tax-exempt interest		—			—			—			—			—

		5,120,269			2,021,674			2,880,793			11,922,975			3,553,620
Less: foreign withholding taxes		(6,793	)		(2,761	)		(267,130	)		(3	)		(7,361	)
Portfolio expenses of Master Portfolios (c)		—			—			—			(279,849	)		—

Total investment income		5,113,476			2,018,913			2,613,663			11,643,123			3,546,259
Expenses:
Investment advisory and management fees		1,629,479			1,389,933			919,003			838,821			1,022,203
Shareholder services fees		687,086			442,914			294,262			1,413,108			737,564
Distribution fees Class A		88,956			99,417			63,368			272,959			104,219
Distribution fees Class B		40,842			92,012			82,698			149,528			94,933
Distribution fees Legacy Class A		177,810			172,620			108,734			698,607			353,696
Distribution fees Legacy Class B		97,175			102,645			77,631			419,458			249,732
Distribution fees Class R-1		11,541			16,007			13,756			31,217			14,376
Distribution fees Class R-2		22,301			21,533			16,582			39,890			18,230
Regulatory fees		87,872			88,695			86,516			91,806			88,193
Reports to shareholders		79,774			77,416			51,653			150,403			116,878
Professional fees		35,868			34,765			51,262			321,945			36,542
Trustees’ fees and expenses		13,076			8,297			6,286			25,281			14,102
Custodian fees		4,654			13,406			170,265			1,229			46,388
Errors and omissions insurance		2,873			3,018			2,086			9,709			5,219
ICI dues		3,092			1,875			54			6,127			3,252
Securities valuation fees		2,440			3,353			9,411			—			23,817
Fidelity bond expense		325			344			231			1,102			579
License index fees		—			—			—			48,780			45,833

Total expenses		2,985,164			2,568,250			1,953,798			4,519,970			2,975,756
Less: expense reimbursement from affiliates (d)		(17	)		(57,427	)		(148,015	)		(97,411	)		(88,744	)

Net expenses		2,985,147			2,510,823			1,805,783			4,422,559			2,887,012

Net investment income (loss)		2,128,329			(491,910	)		807,880			7,220,564			659,247

Realized and unrealized gain (loss):
Net realized gain (loss) on sales of investments		12,395,659			15,109,531			1,567,624			(6,470	)		13,548,432
Net realized gain (loss) on forward foreign currency contracts		—			—			(34,118	)		—			—
Net realized gain (loss) on foreign currency transactions		—			—			(461,133	)		—			—
Net realized gain (loss) on futures contracts		—			—			—			542,500			(188,371	)
Change in net unrealized gain (loss) on open futures contracts		—			—			—			(150,507	)		(60,615	)
Change in net unrealized appreciation (depreciation) on investments and foreign currency transactions		(16,376,073	)		(19,343,330	)		(18,564,988	)		(366,422	)		(29,077,475	)

Net realized and unrealized gain (loss) on investments		(3,980,414	)		(4,233,799	)		(17,492,615	)		19,101			(15,778,029	)

Net change in net assets resulting from operations	$	(1,852,085	)		(4,725,709	)		(16,684,735	)		7,239,665			(15,118,782	)

(a)	Components of investment income for the S&P 500 Index, LifePath Retirement, LifePath 2020, LifePath 2030, LifePath 2040 and LifePath 2050 Funds reflect each Fund’s proportionate income from its Master Portfolio.

(b)	Relates to investments in affiliated investment companies.

(c)	Portfolio expenses of Master Portfolios for the S&P 500 Index, LifePath Retirement, LifePath 2020, LifePath 2030, LifePath 2040 and LifePath 2050 Funds include the effect of expense reductions by BlackRock at the Master Porfolio level. See Note 2 under Expense Reduction Agreements.

(d)	For the Money Market Fund, this amount includes $1,243,195 of additional voluntary fee waivers from SFIMC and VP Management Corp. See Note 2 under Expense Reduction Agreements.


148		See accompanying notes to financial statements.


International Index Fund			Equity and Bond Fund			Bond Fund		Tax Advantaged Bond Fund		Money Market Fund			LifePath Retirement Fund			LifePath 2020 Fund			LifePath 2030 Fund			LifePath 2040 Fund			LifePath 2050 Fund

	7,608,339			3,332,245	(b)		—		—		—			8,335,399			16,624,181			16,914,567			13,966,361			1,287,102
	4,431			—			18,632,139		—		287,156			13,079,840			14,397,394			7,933,111			3,184,853			55,741
	—			—			—		—		—			229,963			460,814			460,433			394,926			31,147
	—			—			—		10,423,404		—			—			—			—			—			—

	7,612,770			3,332,245			18,632,139		10,423,404		287,156			21,645,202			31,482,389			25,308,111			17,546,140			1,373,990
	(582,656	)		—			—		—		—			—			—			—			—			—
	—			—			—		—		—			(1,944,921	)		(2,745,890	)		(2,141,883	)		(1,450,309	)		(107,219	)

	7,030,114			3,332,245			18,632,139		10,423,404		287,156			19,700,281			28,736,499			23,166,228			16,095,831			1,266,771

	1,036,987			—			507,363		266,542		254,914			2,479,852			3,909,007			3,378,992			2,505,072			203,307
	526,589			5,089			1,276,452		666,354		653,431			1,787,782			2,824,046			2,445,491			1,815,706			148,268
	105,634			98,473			442,781		415,500		147,128			780,877			1,233,302			1,128,277			708,398			134,331
	96,724			88,213			66,459		31,050		17,156			94,533			222,177			263,288			260,011			—
	214,845			200,904			337,356		175,732		114,066			649,300			901,678			651,639			469,712			—
	148,824			187,000			269,614		164,267		45,149			268,812			467,945			376,195			282,279			—
	17,433			11,373			18,158		—		22,618			26,016			65,178			82,258			64,294			10,891
	18,987			11,161			18,171		—		29,462			50,608			88,176			77,989			67,208			6,531
	86,725			87,807			101,458		80,472		112,373			107,493			123,488			112,068			103,585			38,621
	85,913			63,845			103,348		21,599		71,188			83,483			145,178			167,238			167,384			29,364
	44,419			32,086			50,539		45,543		37,691			73,426			60,907			69,513			46,625			42,035
	9,973			8,719			24,210		12,696		12,279			32,319			52,919			45,099			32,861			2,804
	130,467			—			9,226		3,199		3,820			—			—			—			—			727
	3,722			3,052			6,650		4,065		4,073			11,603			18,006			15,546			11,784			810
	2,440			—			5,679		3,526		4,018			7,123			8,723			8,661			6,561			357
	24,366			—			68,296		54,352		—			—			—			—			—			—
	453			311			756		474		451			1,408			2,192			1,896			1,435			101
	96,896			—			—		—		—			—			—			—			—			—

	2,651,397			798,033			3,306,516		1,945,371		1,529,817			6,454,635			10,122,922			8,824,150			6,542,915			618,147
	(70,578	)		(195,820	)		—		—		(1,243,248	)		—			—			—			—			(56,749	)

	2,580,819			602,213			3,306,516		1,945,371		286,569			6,454,635			10,122,922			8,824,150			6,542,915			561,398

	4,449,295			2,730,032			15,325,623		8,478,033		587			13,245,646			18,613,577			14,342,078			9,552,916			705,373


	(5,525,124	)		241,694	(b)		29,832		7,190		—			41,450,521			66,084,588			55,147,750			42,094,909			2,138,353
	127,911			—			—		—		—			—			—			—			—			—
	16,570			—			—		—		—			—			—			—			—			—
	(322,064	)		—			—		—		—			—			—			—			—			—
	29,103			—			—		—		—			—			—			—			—			—
	(26,309,758	)		1,678,785	(b)		24,038,786		18,755,345		—			(30,792,040	)		(73,807,210	)		(80,781,370	)		(72,575,394	)		(5,784,195	)

	(31,983,362	)		1,920,479			24,068,618		18,762,535		—			10,658,481			(7,722,622	)		(25,633,620	)		(30,480,485	)		(3,645,842	)

	(27,534,067	)		4,650,511			39,394,241		27,240,568		587			23,904,127			10,890,955			(11,291,542	)		(20,927,569	)		(2,940,469	)


See accompanying notes to financial statements.		149

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	Equity Fund
Years ended December 31,	2011			2010
From operations:
Net investment income (loss)	$	2,128,329			1,133,063
Net realized gain (loss)		12,395,659			9,467,725
Change in net unrealized appreciation or depreciation		(16,376,073	)		20,080,828

Net change in net assets resulting from operations		(1,852,085	)		30,681,616
Distributions to shareholders from and in excess of:
Net investment income:
Class A Shares		(286,043	)		(124,008	)
Class B Shares		(1,422	)		—
Legacy Class A Shares		(470,458	)		(216,503	)
Legacy Class B Shares		(6,850	)		6
Institutional Shares		(1,273,606	)		(749,693	)
Class R-1 Shares		(8,994	)		—
Class R-2 Shares		(46,375	)		(19,669	)
Class R-3 Shares		(16,143	)		(9,529	)

		(2,109,891	)		(1,119,396	)
Net realized gain:
Class A Shares		—			—
Class B Shares		—			—
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		(2,109,891	)		(1,119,396	)
From Fund share transactions:
Proceeds from shares sold		31,966,912			34,136,404
Reinvestment of distributions		1,031,990			484,637

		32,998,902			34,621,041
Less payments for shares redeemed		(32,038,275	)		(27,019,394	)

Net increase (decrease) in net assets from Fund share transactions		960,627			7,601,647

Total increase (decrease) in net assets		(3,001,349	)		37,163,867

Net assets:
Beginning of period		268,014,805			230,850,938

End of period*	$	265,013,456			268,014,805

*Including accumulated undistributed net investment income (loss)	$	278,590			260,152


150		See accompanying notes to financial statements.


Small/Mid Cap Equity Fund						International Equity Fund						S&P 500 Index Fund						Small Cap Index Fund
2011			2010			2011			2010			2011			2010			2011			2010

	(491,910	)		(365,397	)		807,880			514,122			7,220,564			6,154,628			659,247			874,939
	15,109,531			19,506,996			1,072,373			190,848			536,030			(10,782,615	)		13,360,061			3,864,144
	(19,343,330	)		11,401,375			(18,564,988	)		11,745,088			(516,929	)		73,034,901			(29,138,090	)		56,205,356

	(4,725,709	)		30,542,974			(16,684,735	)		12,450,058			7,239,665			68,406,914			(15,118,782	)		60,944,439


	—			—			(370,308	)		(360,237	)		(1,580,127	)		(1,171,674	)		(92,740	)		(119,070	)
	—			—			(63,926	)		(81,885	)		(106,227	)		(76,908	)		1			(7	)
	—			—			(600,424	)		(632,580	)		(3,720,411	)		(3,164,386	)		(274,043	)		(393,541	)
	—			—			(108,894	)		(134,758	)		(397,661	)		(515,446	)		3			(34	)
	—			—			(250,048	)		(248,214	)		(1,084,456	)		(924,735	)		(215,590	)		(241,023	)
	—			—			(28,752	)		(32,313	)		(65,445	)		(46,493	)		—			(2	)
	—			—			(65,933	)		(75,603	)		(173,879	)		(134,194	)		(2,976	)		(11,996	)
	—			—			(27,770	)		(30,325	)		(30,955	)		(27,175	)		(5,729	)		(7,367	)

	—			—			(1,516,055	)		(1,595,915	)		(7,159,161	)		(6,061,011	)		(591,074	)		(773,040	)
	—			—			—			—			—			—			(418,076	)		—
	—			—			—			—			—			—			(98,208	)		—
	—			—			—			—			—			—			(1,362,781	)		—
	—			—			—			—			—			—			(335,557	)		—
	—			—			—			—			—			—			(472,061	)		—
	—			—			—			—			—			—			(27,320	)		—
	—			—			—			—			—			—			(56,496	)		—
	—			—			—			—			—			—			(15,274	)		—

	—			—			—			—			—			—			(2,785,773	)		—

	—			—			(1,516,055	)		(1,595,915	)		(7,159,161	)		(6,061,011	)		(3,376,847	)		(773,040	)

	31,171,201			25,083,475			13,696,923			16,901,883			94,372,296			83,910,884			37,446,970			33,227,649
	—			—			929,570			958,269			6,919,209			5,869,207			2,698,764			658,273

	31,171,201			25,083,475			14,626,493			17,860,152			101,291,505			89,780,091			40,145,734			33,885,922
	(29,881,992	)		(21,270,081	)		(13,250,758	)		(12,681,453	)		(105,911,425	)		(84,726,067	)		(44,097,754	)		(35,975,852	)

	1,289,209			3,813,394			1,375,735			5,178,699			(4,619,920	)		5,054,024			(3,952,020	)		(2,089,930	)

	(3,436,500	)		34,356,368			(16,825,055	)		16,032,842			(4,539,416	)		67,399,927			(22,447,649	)		58,081,469


	168,720,329			134,363,961			118,899,328			102,866,486			554,036,782			486,636,855			298,440,597			240,359,128

	165,283,829			168,720,329			102,074,273			118,899,328			549,497,366			554,036,782			275,992,948			298,440,597

	23,309			68,108			(238,674	)		(444,196	)		901,119			924,586			291,532			307,588


See accompanying notes to financial statements.		151

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	International Index Fund
Years ended December 31,	2011			2010
From operations:
Net investment income (loss)	$	4,449,295			3,147,508
Net realized gain (loss)		(5,702,707	)		(3,481,594	)
Change in net unrealized appreciation or depreciation		(26,280,655	)		13,264,260

Net change in net assets resulting from operations		(27,534,067	)		12,930,174
Distributions to shareholders from and in excess of:
Net investment income:
Class A Shares		(1,017,030	)		(665,364	)
Class B Shares		(165,872	)		(96,433	)
Legacy Class A Shares		(1,923,959	)		(1,384,381	)
Legacy Class B Shares		(386,951	)		(288,906	)
Institutional Shares		(858,898	)		(621,666	)
Class R-1 Shares		(69,284	)		(43,776	)
Class R-2 Shares		(142,682	)		(93,213	)
Class R-3 Shares		(43,059	)		(31,293	)

		(4,607,735	)		(3,225,032	)
Net realized gain:
Class A Shares		—			—
Class B Shares		—			—
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		(4,607,735	)		(3,225,032	)
From Fund share transactions:
Proceeds from shares sold		23,505,290			25,699,267
Reinvestment of distributions		3,459,917			2,451,728

		26,965,207			28,150,995
Less payments for shares redeemed		(29,165,136	)		(26,487,521	)

Net increase (decrease) in net assets from Fund share transactions		(2,199,929	)		1,663,474

Total increase (decrease) in net assets		(34,341,731	)		11,368,616

Net assets:
Beginning of period		215,034,693			203,666,077

End of period*	$	180,692,962			215,034,693

*Including accumulated undistributed net investment income (loss)	$	(246,964	)		(1,001,086	)

(a) Relates to investments in affiliated investment companies.


152		See accompanying notes to financial statements.


Equity and Bond Fund						Bond Fund						Tax Advantaged Bond Fund						Money Market Fund
2011			2010			2011			2010			2011			2010			2011			2010

	2,730,032	(a)		2,230,330	(a)		15,325,623			14,189,293			8,478,033			7,660,123			587			364
	241,694	(a)		112,982	(a)		29,832			696,097			7,190			190,937			—			—
	1,678,785	(a)		13,369,502	(a)		24,038,786			6,919,319			18,755,345			(6,617,305	)		—			—

	4,650,511			15,712,814			39,394,241			21,804,709			27,240,568			1,233,755			587			364


	(665,690	)		(474,562	)		(5,300,576	)		(3,962,646	)		(5,352,811	)		(4,449,610	)		—			—
	(86,289	)		(80,299	)		(265,879	)		(258,367	)		(135,214	)		(126,085	)		—			—
	(1,286,102	)		(1,107,295	)		(4,051,150	)		(4,087,890	)		(2,271,997	)		(2,305,360	)		—			—
	(301,686	)		(336,475	)		(1,084,123	)		(1,448,555	)		(718,011	)		(779,068	)		—			—
	(292,620	)		(238,509	)		(4,294,514	)		(4,077,429	)		—			—			(552	)		(345	)
	(30,069	)		(27,402	)		(97,376	)		(114,602	)		—			—			—			—
	(56,200	)		(54,941	)		(174,515	)		(180,787	)		—			—			—			—
	(22,289	)		(17,170	)		(57,490	)		(59,017	)		—			—			(35	)		(19	)

	(2,740,945	)		(2,336,653	)		(15,325,623	)		(14,189,293	)		(8,478,033	)		(7,660,123	)		(587	)		(364	)

	(20,882	)		—			—			—			(22,163	)		(96,267	)		—			—
	(4,790	)		—			—			—			(639	)		(2,713	)		—			—
	(40,903	)		—			—			—			(9,657	)		(40,850	)		—			—
	(12,996	)		—			—			—			(3,306	)		(15,342	)		—			—
	(8,035	)		—			—			—			—			—			—			—
	(1,198	)		—			—			—			—			—			—			—
	(1,861	)		—			—			—			—			—			—			—
	(627	)		—			—			—			—			—			—			—

	(91,292	)		—			—			—			(35,765	)		(155,172	)		—			—

	(2,832,237	)		(2,336,653	)		(15,325,623	)		(14,189,293	)		(8,513,798	)		(7,815,295	)		(587	)		(364	)

	27,551,158			28,689,676			127,727,713			157,552,208			92,545,222			112,613,631			328,789,003			309,453,509
	2,232,327			1,823,009			11,776,564			10,710,728			5,553,194			4,956,545			256			172

	29,783,485			30,512,685			139,504,277			168,262,936			98,098,416			117,570,176			328,789,259			309,453,681
	(27,498,674	)		(23,098,485	)		(93,944,147	)		(74,432,156	)		(51,862,968	)		(44,057,823	)		(299,775,951	)		(308,728,182	)

	2,284,811			7,414,200			45,560,130			93,830,780			46,235,448			73,512,353			29,013,308			725,499

	4,103,085			20,790,361			69,628,748			101,446,196			64,962,218			66,930,813			29,013,308			725,499


	174,967,789			154,177,428			483,299,974			381,853,778			255,031,310			188,100,497			244,992,131			244,266,632

	179,070,874			174,967,789			552,928,722			483,299,974			319,993,528			255,031,310			274,005,439			244,992,131

	109,044			211,249			—			—			—			—			—			—


See accompanying notes to financial statements.		153

STATE FARM MUTUAL FUND TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	LifePath Retirement Fund
Years ended December 31,	2011			2010
From operations:
Net investment income	$	13,245,646			10,270,690
Net realized gain (loss)		41,450,521			16,934,775
Change in net unrealized appreciation or depreciation		(30,792,040	)		45,662,976

Net change in net assets resulting from operations		23,904,127			72,868,441
Distributions to shareholders from and in excess of:
Net investment income:
Class A Shares		(6,100,317	)		(3,897,791	)
Class B Shares		(118,056	)		(86,743	)
Legacy Class A Shares		(4,725,990	)		(4,180,850	)
Legacy Class B Shares		(564,170	)		(539,440	)
Institutional Shares		(1,306,164	)		(1,038,915	)
Class R-1 Shares		(79,891	)		(71,538	)
Class R-2 Shares		(290,588	)		(230,573	)
Class R-3 Shares		(29,640	)		(23,396	)

		(13,214,816	)		(10,069,246	)
Net realized gain:
Class A Shares		—			(526,416	)
Class B Shares		—			(20,042	)
Legacy Class A Shares		—			(558,681	)
Legacy Class B Shares		—			(95,705	)
Institutional Shares		—			(119,546	)
Class R-1 Shares		—			(11,988	)
Class R-2 Shares		—			(33,492	)
Class R-3 Shares		—			(2,767	)

		—			(1,368,637	)

Total distributions to shareholders		(13,214,816	)		(11,437,883	)
From Fund share transactions:
Proceeds from shares sold		182,318,458			121,045,976
Reinvestment of distributions		13,085,743			11,332,385

		195,404,201			132,378,361
Less payments for shares redeemed		(126,221,368	)		(109,096,082	)

Net increase (decrease) in net assets from Fund share transactions		69,182,833			23,282,279

Total increase (decrease) in net assets		79,872,144			84,712,837

Net assets:
Beginning of period		664,141,253			579,428,416

End of period*	$	744,013,397			664,141,253

*Including accumulated undistributed net investment income (loss)	$	451,199			414,371


154		See accompanying notes to financial statements.


LifePath 2020 Fund						LifePath 2030 Fund						LifePath 2040 Fund						LifePath 2050 Fund
2011			2010			2011			2010			2011			2010			2011			2010

	18,613,577			14,098,685			14,342,078			10,908,610			9,552,916			7,610,027			705,373			419,675
	66,084,588			21,022,162			55,147,750			18,996,289			42,094,909			13,640,442			2,138,353			975,902
	(73,807,210	)		60,417,485			(80,781,370	)		59,175,860			(72,575,394	)		50,835,322			(5,784,195	)		3,505,204

	10,890,955			95,538,332			(11,291,542	)		89,080,759			(20,927,569	)		72,085,791			(2,940,469	)		4,900,781


	(8,835,418	)		(5,910,816	)		(7,171,613	)		(4,940,601	)		(4,048,492	)		(2,925,530	)		(632,130	)		(358,138	)
	(232,031	)		(161,186	)		(223,807	)		(159,934	)		(184,632	)		(137,374	)		—			—
	(5,758,938	)		(4,702,330	)		(3,725,396	)		(3,044,499	)		(2,404,809	)		(2,037,449	)		—			—
	(684,422	)		(703,203	)		(474,369	)		(485,080	)		(319,347	)		(323,414	)		—			—
	(2,336,785	)		(1,764,247	)		(2,124,681	)		(1,617,329	)		(2,143,061	)		(1,697,064	)		—			—
	(171,514	)		(119,859	)		(185,919	)		(141,540	)		(122,621	)		(102,120	)		(18,241	)		(9,633	)
	(462,992	)		(337,448	)		(352,258	)		(269,150	)		(281,903	)		(212,274	)		(28,816	)		(12,303	)
	(47,579	)		(41,900	)		(46,106	)		(41,664	)		(35,478	)		(28,636	)		—			—

	(18,529,679	)		(13,740,989	)		(14,304,149	)		(10,699,797	)		(9,540,343	)		(7,463,861	)		(679,187	)		(380,074	)

	—			—			—			—			—			—			(2,071,380	)		(1,164,855	)
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			(82,884	)		(51,372	)
	—			—			—			—			—			—			(97,165	)		(46,868	)
	—			—			—			—			—			—			—			—

	—			—			—			—			—			—			(2,251,429	)		(1,263,095	)

	(18,529,679	)		(13,740,989	)		(14,304,149	)		(10,699,797	)		(9,540,343	)		(7,463,861	)		(2,930,616	)		(1,643,169	)

	257,940,962			230,676,031			239,646,972			218,009,351			164,995,592			157,967,361			33,583,517			24,865,682
	18,446,153			13,677,670			14,287,339			10,676,006			9,524,385			7,439,890			2,812,814			1,538,331

	276,387,115			244,353,701			253,934,311			228,685,357			174,519,977			165,407,251			36,396,331			26,404,013
	(163,494,093	)		(124,471,042	)		(140,183,610	)		(107,762,764	)		(106,421,430	)		(89,949,351	)		(9,035,424	)		(6,672,278	)

	112,893,022			119,882,659			113,750,701			120,922,593			68,098,547			75,457,900			27,360,907			19,731,735

	105,254,298			201,680,002			88,155,010			199,303,555			37,630,635			140,079,830			21,489,822			22,989,347


	1,046,923,731			845,243,729			903,557,127			704,253,572			681,916,616			541,836,786			46,091,630			23,102,283

	1,152,178,029			1,046,923,731			991,712,137			903,557,127			719,547,251			681,916,616			67,581,452			46,091,630

	3,842,985			3,752,622		$	2,943,852			2,902,618		$	2,057,204			2,043,688		$	64,747			39,784


See accompanying notes to financial statements.		155

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

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. State Farm Investment Management Corp. (“SFIMC”) is the Trust’s investment adviser.

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 net assets (plus any borrowings) in common stocks and other equity securities of U.S. large capitalization companies.

The State Farm Small/Mid Cap Equity Fund (the “Small/Mid Cap Equity Fund”) seeks long-term growth of capital. The Fund primarily invests under normal circumstances at least 80% of its net assets (plus any borrowing) in common stock and other equity securities of small and mid-capitalization stocks issued by U.S. companies.

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 securities issued by foreign companies. There is no restriction on the size of the companies in which the Fund invests.

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”). 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 Stock Master Portfolio, holds each of the stocks that make up the S&P 500 Index. The S&P 500 Stock 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^® Small Stock Index (the “Russell 2000”). 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”). 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, Israel, 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 Fund typically invests 80% or more of its assets in investment grade bonds or bonds determined to be of comparable quality.

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^® Retirement Fund (the “LifePath Retirement Fund”) is managed for investors seeking income and moderate long-term growth of capital. The LifePath Retirement 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 Retirement 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.

156

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

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.

The State Farm LifePath 2050^® Fund (the “LifePath 2050 Fund”) is managed for investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2050. The LifePath 2050 Fund invests all of its assets in a separate series of the Master Investment Portfolio, called the LifePath 2050 Master Portfolio. The LifePath 2050 Master Portfolio and the LifePath 2050 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.

The S&P 500 Index, LifePath Retirement, LifePath 2020, LifePath 2030, LifePath 2040 and LifePath 2050 Funds are collectively defined as the “Feeder Funds”. The S&P 500 Stock Master Portfolio, LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio and LifePath 2050 Master Portfolio are collectively defined as the “Master Portfolios”.

For more information about the Master Portfolios refer to the Master Investment Portfolio (“MIP”) section.

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

Investments are valued pursuant to valuation procedures approved by the Trust’s Board of Trustees. Valuations under these procedures are designed to reflect the fair value of the investments.

Fair value is defined as the price that the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is used to classify fair value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in three broad levels as follows:

•

Level 1 - quoted prices (unadjusted) in active markets for identical securities

•

Level 2 - significant other observable inputs (other than quoted prices included within Level 1), such as quoted prices for similar securities and interest rates, prepayment speeds, credit risk, etc., on fixed income securities

•

Level 3 - significant unobservable inputs (including SFIMC’s own assumptions in determining the fair value of a Fund’s investments)

Stocks, closed-end registered investment companies 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 price 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 NASDAQ are valued at the NASDAQ Official Closing Price. Long-term debt securities and U.S. Treasury bills are generally valued using quotations provided by an independent pricing service. All of the securities 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, if any, are valued at market value.

Portfolio securities that are primarily traded on foreign securities exchanges (“foreign securities”) are valued at the closing values of such securities on the respective exchange where each security is primarily traded. SFIMC may determine that a market quotation for a foreign security held by a Fund is not reliable because of events or circumstances that have occurred between the time of the market quotation and the time the net asset value of the Fund is calculated (“subsequent event”). A subsequent event might include company-specific developments, a development that might affect an entire market or region, a potentially global development or a significant change in one or more U.S. securities indexes. If SFIMC determines that the market quotation for a foreign security is not reliable, SFIMC may use an independent statistical fair value service to assist in determining value, or SFIMC may determine the foreign security’s value in SFIMC’s reasonable judgment.

For securities other than foreign securities, for which market prices are not readily available or are considered unreliable, SFIMC is required to obtain bid price quotations from brokers or dealers in the securities. 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 value in SFIMC’s reasonable judgment.

In determining a value based on reasonable judgment, 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 value for

157

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

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, the last traded price 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.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Funds’ assets and liabilities as of December 31, 2011:


			Investments in Securities						Derivative Instruments
Fund	Level 1		Level 2	Level 3	Total		Level 1		Level 2	Level 3	Total
Equity Fund							$	—	$ —	$ —	$	—
Common Stocks (a)	$	259,570,821	$ —	$ —	$	259,570,821
Short-term Investments		5,396,895	—	—		5,396,895
Small/Mid Cap Equity Fund								—	—	—		—
Common Stocks (a)		162,085,668	—	—		162,085,668
Registered Investment Companies		533,250	—	—		533,250
Short-term Investments		2,884,610	—	—		2,884,610
International Equity Fund								—	191,001	—		191,001
Common Stocks (a)		96,243,295	6,689	—		96,249,984
Preferred Stocks (a)		2,880,464	—	—		2,880,464
Short-term Investments		2,921,255	—	—		2,921,255
S&P 500 Index Fund								—	—	—		—
Investments in securities in Master Portfolios		—	550,071,545	—		550,071,545
Small Cap Index Fund								6,419	—	—		6,419
Common Stocks (a)		271,429,871	0	0		271,429,871
Registered Investment Companies		2,190,426	—	—		2,190,426
Short-term Investments		1,425,947	679,943	—		2,105,890
International Index Fund								25,722	(6,247)	—		19,475
Common Stocks (a)		176,232,394	—	0		176,232,394
Preferred Stocks (a)		846,389	—	—		846,389
Short-term Investments		625,844	—	—		625,844
Equity and Bond Fund								—	—	—		—
Registered Investment Companies		177,764,340	—	—		177,764,340
Bond Fund								—	—	—		—
Corporate Bonds (a)		—	222,332,562	—		222,332,562
Taxable Municipal Bonds		—	2,181,800	—		2,181,800
Commercial Mortgaged-Backed
Securities		—	4,184,632	—		4,184,632
Agency Notes & Bonds		—	9,684,548	—		9,684,548
Mortgage-Backed Securities		—	98,964,560	—		98,964,560
U.S. Treasury Obligations		—	188,827,078	—		188,827,078
Short-term Investments		22,127,831	—	—		22,127,831
Tax Advantaged Bond Fund								—	—	—		—
Long-term Municipal Bonds		—	291,433,898	—		291,433,898
Short-term Investments		27,095,432	—	—		27,095,432
Money Market Fund								—	—	—		—
Short-term Investments		10,738,640	262,886,865	—		273,625,505
(a) Industry classification and/or country is disclosed in the Schedules of Investments.

158

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


			Investments in Securities								Derivative Instruments
Fund	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
LifePath Retirement Fund										$—		$—		$—		$—
Investments in securities in Master Portfolios		$—	$	744,581,112		$—	$	744,581,112
LifePath 2020 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		1,152,799,868		—		1,152,799,868
LifePath 2030 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		992,116,678		—		992,116,678
LifePath 2040 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		719,923,287		—		719,923,287
LifePath 2050 Fund										—		—		—		—
Investments in securities in Master Portfolios		—		67,708,998		—		67,708,998

For all Funds, there were no significant transfers of securities between Level 1 and Level 2 as of December 31, 2011 as compared to December 31, 2010.

Derivative instruments, such as futures and foreign currency contracts, are not listed separately in the Schedules of Investments and are valued at the unrealized appreciation (depreciation) on the instrument.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:


	Small Cap Index Fund Investments in Securities
Balance as of December 31, 2010		$	6,210
Accrued discounts/premiums			—
Realized gain (loss)			—
Change in unrealized appreciation (depreciation)			8,651
Purchases			—
Sales			—
Transfers in (a)			—
Transfers out (a)			(14,861	)

Balance as of December 31, 2011		$	0

(a) Using the end of the reporting period method for determining when transfers between levels are recognized

The International Index Fund did not hold any Level 3 securities valued at other than zero as of December 31, 2010 or for the year ended December 31, 2011. The remaining Funds did not hold any Level 3 securities as of December 31, 2010 or for the year ended December 31, 2011.

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 in order to ensure that it can meet

159

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

those commitments. It is possible that the securities will never be issued and the commitment canceled. At December 31, 2011, the Tax Advantaged Bond Fund had commitments of $3,229,170 (representing 1.01% of net assets) for when-issued securities.

Multi-class fund structure

Each Fund, other than the Tax Advantaged Bond Fund and LifePath 2050 Fund, offers eight classes of shares. The Tax Advantaged Bond Fund offers four classes of shares: Class A, Legacy Class A, Class B and Legacy Class B. The LifePath 2050 Fund offers three classes of shares: Class A, Class R-1 and Class R-2. Except for new investments in the Money Market Fund, Class A and Legacy Class A shares are offered to investors subject to an initial sales charge. The maximum offering price for Class A shares of each Fund, other than the Money Market Fund, the Bond Fund and the Tax Advantaged Bond Fund, is computed by dividing the Net Asset Value (“NAV”) by 0.95. The maximum offering price for Class A shares of the Bond Fund and the Tax Advantaged Bond Fund is computed by dividing the NAV by 0.97. The maximum offering price for Legacy Class A shares of each Fund, other than the Money Market Fund, is computed by dividing the NAV by 0.97. 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. Class R-1, R-2 and R-3 shares are available for purchase or exchange only by certain qualified purchasers as defined in the prospectus for Class R-1, R-2, and R-3 shares. Institutional, Class R-1, R-2 and R-3 shares are not subject to an initial sales charge or a contingent deferred sales charge.

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 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”) (usually 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

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. Pursuant to shareholder approval at the December 16, 2011 Special Shareholder Meeting, the S&P 500 Index Fund elected to withdraw all assets from its Master Portfolio and invest directly in individual securities, effective in May 2012. The percentage ownership in the Master Portfolios held by the Feeder Funds as of December 31, 2011 is detailed below:


Feeder Fund	Invests in Master Portfolio	% ownership interest held by the Feeder Funds
S&P 500 Index Fund	S&P 500 Stock Master Portfolio	26.09%
LifePath Retirement Fund	LifePath Retirement Master Portfolio	53.68%
LifePath 2020 Fund	LifePath 2020 Master Portfolio	48.88%
LifePath 2030 Fund	LifePath 2030 Master Portfolio	49.26%
LifePath 2040 Fund	LifePath 2040 Master Portfolio	47.68%
LifePath 2050 Fund	LifePath 2050 Master Portfolio	37.60%

160

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

The Master Portfolios are diversified, open-end management investment companies, each of which has an investment objective substantially similar to that of its corresponding Feeder Fund. The financial statements of each Master Portfolio, including Schedules of Investments, are included elsewhere in this report.

Each Feeder Fund records its investment in its Master Portfolio 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 MIP Notes to 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

Each Fund is a separate taxpayer for federal income tax purposes. It is the Funds’ policy to comply with the special provisions of Subchapter M of the Internal Revenue Code applicable to regulated 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.

As of December 31, 2011, the Trust’s management has completed a review of uncertain tax positions taken by the Funds and determined that no tax liability was required for unrecognized tax benefits, and no additional disclosures were needed, as of December 31, 2011. Generally, the tax authorities can initiate examinations of tax returns within the three year period beginning on the date such returns are filed. As a result, some tax returns are still open and subject to examination. In addition, management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

As of December 31, 2011, 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		$	235,650,849		$	42,950,050		$	(13,633,183	)		$	29,316,867
Small/Mid Cap Equity Fund			148,039,698			26,868,594			(9,404,764	)			17,463,830
International Equity Fund			97,478,668			13,522,987			(8,949,952	)			4,573,035
Small Cap Index Fund			267,660,973			67,485,862			(59,420,648	)			8,065,214
International Index Fund			182,265,908			37,014,115			(41,575,396	)			(4,561,281	)
Equity and Bond Fund			200,385,279			7,119,503			(29,740,442	)			(22,620,939	)
Bond Fund			504,758,312			43,633,907			(89,208	)			43,544,699
Tax Advantaged Bond Fund			299,446,048			19,089,285			(6,003	)			19,083,282
Money Market Fund			273,625,505			-			-				-

The differences between the cost of investments for federal income tax purposes and the cost of investments reflected on the Schedules of Investments are primarily related to the timing of recognition of gains and losses and investment income.

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 Schedules of Investments which are included in this report. The tax cost information for the LifePath Master Portfolios in the MIP Schedules of Investments 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 Schedules of Investments for the tax cost information of the underlying investments in the Active Stock and CoreAlpha Bond Master Portfolios.

161

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

At December 31, 2011, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. Future capital loss carryforward utilization in any given year may be subject to Internal Revenue Code limitations. If not applied, the carryforwards will expire as follows:


	Non Expiring				Year of Expiration
	Short-term		Long-term		2016		2017		2018		Total
Equity Fund	$	—	$	—	$	50,301,208	$	51,585,590	$	—	$	101,886,798
Small/Mid Cap Equity Fund		—		—		—		27,305,528		—		27,305,528
International Equity Fund		—		—		5,349,653		11,960,338		2,909,152		20,219,143
S&P 500 Index Fund		—		25,655		12,289,404		9,273,659		10,032,679		31,621,397
International Index Fund		476,744		3,590,255		5,140,621		7,747,891		4,077,752		21,033,263
Equity and Bond Fund		—		—		22,997		—		—		22,997
Bond Fund		—		—		—		1,181,545		—		1,181,545
LifePath 2020 Fund		—		—		—		9,408,646		—		9,408,646
LifePath 2030 Fund		—		—		—		35,273,620		—		35,273,620
LifePath 2040 Fund		—		—		—		35,534,663		—		35,534,663

The Equity Fund, Small/Mid Cap Equity Fund, International Equity Fund, Small Cap Index Fund, Equity and Bond Fund, Bond Fund, LifePath Retirement Fund, LifePath 2020 Fund, LifePath 2030 Fund, and LifePath 2040 Fund utilized $13,363,720, $16,011,500, $1,693,290, $11,396,643, $153,304, $29,832, $32,526,832, $68,432,533, $42,317,792, and $31,960,601, respectively, of capital loss carryforwards to offset realized capital gains in 2011.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. Under the Act, capital losses incurred after the effective date will be permitted to carry forward indefinitely. These capital losses must be utilized prior to capital losses incurred prior to the effecitve date. Therefore, pre-enactment capital loss carryforwards, which carry an expiration date, may be more likely to expire unused.

As of December 31, 2011, 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		$	278,590		$	—		$	29,316,867			$	(102,893,833	)		$	(73,298,376	)
Small/Mid Cap Equity Fund			—			—			17,463,830				(28,031,332	)			(10,567,502	)
International Equity Fund			—			—			4,576,658				(21,217,173	)			(16,640,515	)
S&P 500 Index Fund			702,388			—			76,121,822				(31,687,033	)			45,137,177
Small Cap Index Fund			39,359			408			8,065,214				(729,062	)			7,375,919
International Index Fund			102,322			—			(4,582,866	)			(23,654,478	)			(28,135,022	)
Equity and Bond Fund			105,426			—			(22,620,939	)			(22,997	)			(22,538,510	)
Bond Fund			48,913			—			43,544,699				(1,230,458	)			42,363,154
Tax Advantaged Bond Fund			—			7,190			19,083,282				—				19,090,472
Money Market Fund			—			—			—				—				—
LifePath Retirement Fund			393,325			1,851,911			29,296,754				(103,496	)			31,438,494
LifePath 2020 Fund			2,845,293			—			38,128,970				(28,915,494	)			12,058,769
LifePath 2030 Fund			1,819,810			—			15,616,677				(37,386,937	)			(19,950,450	)
LifePath 2040 Fund			996,927			—			(2,946,956	)			(37,662,773	)			(39,612,802	)
LifePath 2050 Fund			60,016			59,230			(313,413	)			(186,606	)			(380,773	)

The difference between these amounts and the undistributed net investment income reported on the Statements of Assets and Liabilities as of December 31, 2011 relates to one or more of the following: short-term capital gains, forward foreign currency contracts, mark-to-market of Passive Foreign Investment Companies (“PFICs”), post-October loss deferrals, return of capital transactions, amortization for GAAP but not for federal income tax purposes and nondeductible start-up expenses.

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NOTES TO FINANCIAL STATEMENTS (continued)

From November 1, 2011 through December 31, 2011, the Equity Fund incurred $1,007,035 in realized losses, the Small Mid/Cap Fund incurred $725,804 in realized losses, the International Equity Fund incurred $998,030 in realized losses, the S&P 500 Index Fund incurred $65,636 in realized losses, the Small Cap Index Fund incurred $133 in specified losses and $728,931 in realized losses, the International Index Fund incurred $121,210 in specified losses and $2,500,005 in realized losses, the LifePath Retirement Fund incurred $2,157 in specified losses and $101,339 in realized losses, the LifePath 2020 Fund incurred $1,824 in specified losses and $19,505,024 in realized losses, the LifePath 2030 Fund incurred $1,841 in specified losses and $2,111,476 in realized losses, the LifePath 2040 Fund incurred $2,119 in specified losses and $2,125,991 in realized losses, and the LifePath 2050 Fund incurred $541 in specified losses and $186,065 in realized losses. As permitted by tax regulations, the Funds elected to defer these losses and treat them as arising on January 1, 2012.

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, net operating losses, the timing of Fund distributions, and foreign currency transactions. As a result, net investment income and net realized gain or loss on investment transactions for a reporting period may differ from distributions during such period. Accordingly, each Fund may periodically make reclassifications among certain of its capital accounts without impacting its net asset value.

As of December 31, 2011, these reclassifications were as follows:


Fund	Paid in Capital				Accumulated Net Realized Gain (Loss)				Net Unrealized Appreciation (Depreciation)			Accumulated Undistributed Net Investment Income (Loss)
Small/Mid Cap Equity Fund		$	(496,409	)		$	49,298			$	—		$	447,111
International Equity Fund			(130,117	)			(783,580	)			—			913,697
S&P 500 Index Fund			(43,973	)			128,843				—			(84,870	)
Small Cap Index Fund			(20,369	)			104,598				—			(84,229	)
International Index Fund			—				(912,562	)			—			912,562
Equity and Bond Fund			—				91,292				—			(91,292	)
LifePath Retirement Fund			—				(5,998	)			—			5,998
LifePath 2020 Fund			—				(6,465	)			—			6,465
LifePath 2030 Fund			—				(3,305	)			—			3,305
LifePath 2040 Fund			—				(943	)			—			943
LifePath 2050 Fund			—				1,223				—			(1,223	)

The Equity Fund, Small/Mid Cap Equity Fund, International Equity Fund, S&P 500 Index Fund, Small Cap Index Fund, International Index Fund, Equity and Bond Fund, LifePath 2020 Fund, LifePath 2030 Fund, LifePath 2040 Fund and LifePath 2050 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 Retirement Fund declares and distributes dividends quarterly and capital gain distributions, if any, at least annually.

The tax character of distributions was designated as follows for the years ended December 31, 2011 and December 31, 2010, respectively:


2011	Tax Exempt Income			Ordinary Income			Long-term Capital Gain			Total
Tax Advantaged Bond Fund		$	8,478,033		$	—		$	35,765		$	8,513,798
Equity and Bond Fund			—			2,832,237			—			2,832,237
LifePath 2050 Fund			—			862,721			2,067,895			2,930,616

2010	Tax Exempt Income			Ordinary Income			Long-term Capital Gain			Total
Tax Advantaged Bond Fund		$	7,660,123		$	—		$	155,172		$	7,815,295
LifePath Retirement Fund			—			11,437,883			—			11,437,883
LifePath 2050 Fund			—			1,078,246			564,923			1,643,169

For the remaining Funds, the tax distributions of ordinary income were the same as the distributions from net investment income reflected in the Statement of Changes in Net Assets for the years ended December 31, 2011 and December 31, 2010.

163

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NOTES TO FINANCIAL STATEMENTS (continued)

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 December 31, 2011. 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.

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 remote.

Line of Credit

State Farm Mutual Automobile Insurance Company (“Auto Company”), the parent company of SFIMC, has entered into a Line of Credit Agreement with the Trust. Under that agreement, a Fund may request and Auto Company, in its complete discretion, may lend money to a Fund for up to 30 days on an unsecured basis. The S&P 500 Index Fund, Small Cap Index Fund and International Index Fund may not borrow money from Auto Company under the agreement. Auto Company will not lend more than $50 million at any one time to the Funds and to the other mutual funds advised by SFIMC. Under the agreement, a Fund will pay interest to Auto Company on any outstanding loan at a rate equal to the current 30-day A1+/P1 Commercial Paper Index. The Funds did not borrow under the Line of Credit Agreement during the period ended December 31, 2011.

Financial instruments

The Small Cap Index Fund and International Index Fund are subject to equity price risk in the normal course of pursuing their investment objectives. These Funds entered into stock index futures contracts to gain exposure to market fluctuations, as the use of these instruments was more efficient or cost effective than actually buying the underlying securities. These contracts obligated those 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 from these contracts 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, and in other assets in the Schedules of Investments. Daily fluctuations in the margin requirements for futures contracts are recorded as variation margin receivable or payable on the Statements of Assets and Liabilities. Upon entering into a futures contract, these Funds bore the risk of futures contracts’ prices moving unexpectedly, in which case, the Funds might not have been able to achieve the anticipated benefits of the futures contract and might realize a loss. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearing house, as the ultimate counterparty to all exchange traded futures, guarantees the futures against default.

The International Equity and International Index Funds are subject to foreign currency exchange risk in the normal course of pursuing their investment objectives. In an attempt to decrease exposure to this risk, both Funds engaged in transaction hedging and portfolio hedging with the objective to protect against variations in exchange rates. Transaction hedging involved the purchase and sale of forward foreign currency contracts between trade date and settlement date on security transactions. Portfolio hedging involved selling forward foreign currency contracts with respect to the actual or anticipated portfolio security position denominated or quoted in the particular currency. Realized and unrealized gains and losses on forward foreign currency contracts are reflected in the Statements of Operations. Unrealized gains and losses on forward foreign currency contracts are reflected as a component of net unrealized appreciation (depreciation) in the Statements of Assets and Liabilities, and in other assets in the Schedule of Investments. These Funds bore the market risk that arises from changes in foreign currency rates and the credit risk should a counterparty fail to perform under such contracts, and as a result, might realize a loss.

For disclosures about derivative instruments and hedging activities for the Master Portfolio, see the MIP Notes to Financial Statements.

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NOTES TO FINANCIAL STATEMENTS (continued)

As of December 31, 2011, the fair value of derivative instruments, which are also disclosed in Note 4 under Futures and foreign currency contracts, was as follows:


		Asset Derivatives				Liability Derivatives
Fund	Derivatives not accounted for as hedging instruments	Statements of Assets and Liabilities Location	Value			Statements of Assets and Liabilities Location	Value
International Equity Fund	Forward Foreign Currency Contracts	Unrealized gain on forward foreign currency contracts	$	191,081		Unrealized loss on forward foreign currency contracts	$	80

Total			$	191,081			$	80

Small Cap Index Fund	Stock Index Futures Contracts	Variation Margin; Analysis of Net Assets - Net Unrealized Appreciation	$	6,419	(a)	Variation Margin; Analysis of Net Assets - Net Unrealized Depreciation	$	—

Total			$	6,419			$	—

International Index Fund	Forward Foreign Currency Contracts	Unrealized gain on forward foreign currency contracts	$	10,303		Unrealized loss on forward foreign currency contracts	$	16,550
International Index Fund	Stock Index Futures Contracts	Variation Margin; Analysis of Net Assets- Net Unrealized Appreciation		25,722	(a)	Variation Margin; Analysis of Net Assets - Net Unrealized Depreciation		—

Total			$	36,025			$	16,550


(a) Represents cumulative unrealized gain (loss) of futures contracts. Variation margin disclosed on the Statements of Assets and Liabilities is for the last day of the period.

As of December 31, 2011, the effect of derivative instruments on the Statements of Operations was as follows:


		Amount of Realized Gain (Loss) on Derivatives Recognized in Income						Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Fund	Derivatives not accounted for as hedging instruments	Futures			Forward Currency Contracts			Futures			Forward Currency Contracts
International Equity Fund	Forward Foreign Currency Contracts	$	—		$	(34,118	)	$	—		$	191,221
S&P 500 Index Fund	Stock Index Futures Contracts		542,500			—			(150,507	)		—
Small Cap Index Fund	Stock Index Futures Contracts		(188,371	)		—			(60,615	)		—
International Index Fund	Forward Foreign Currency Contracts		—			127,911			—			(14,319	)
International Index Fund	Stock Index Futures Contracts		(322,064	)		—			29,103			—

165

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NOTES TO FINANCIAL STATEMENTS (continued)

As of December 31, 2011, the average quarterly balance of outstanding derivative instruments was as follows:


	Futures Contracts				Foreign Currency Contracts
Fund	Average Number of Contracts Purchased		Average Notional Value of Contracts Purchased		Average Number of Contracts Purchased		Average U.S. Dollar Amount of Contracts Purchased		Average Number of Contracts Sold		Average U.S. Dollar Amount of Contracts Sold
International Equity Fund		—	$	—		5	$	3,226,172		10	$	1,729,853
Small Cap Index Fund		52		4,031,600		—		—		—		—
International Index Fund		71		4,077,374		8		1,003,750		9		2,029,000

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 monthly. The rates for the Feeder Funds include the fee for BlackRock Fund Advisors (“BlackRock”) investment advisory services to the Master Portfolios.


Equity Fund	0.60%	Tax Advantaged Bond Fund	0.10	%
Small/Mid Cap Equity Fund	0.80%	Money Market Fund	0.10	%
International Equity Fund	0.80%	LifePath Retirement Fund	0.70	%
S&P 500 Index Fund	0.20%	LifePath 2020 Fund	0.70	%
Small Cap Index Fund	0.35%	LifePath 2030 Fund	0.70	%
International Index Fund	0.50%	LifePath 2040 Fund	0.70	%
Equity and Bond Fund	None	LifePath 2050 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 Bridgeway Capital Management, Inc. (“Bridgeway”) and Westwood Management Corp. (“Westwood”) as the investment sub-advisers to provide day-to-day portfolio management for the Equity Fund; Bridgeway and Rainier Investment Management, Inc. (“Rainier”) as the investment sub-advisers to provide day-to-day portfolio management for the Small/Mid Cap Equity Fund; Marsico Capital Management, LLC (“Marsico”) and Northern Cross, LLC (“Northern Cross”) as the investment sub-advisers to provide day-to-day portfolio management for the International Equity Fund; and Northern Trust Investments, Inc. (“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 investment objective of the Fund or Funds each sub-advises, Bridgeway, Westwood, Rainier, Marsico, Northern Cross, and Northern Trust determine which securities to buy and sell, select the brokers and dealers to effect the transactions, and negotiate commissions. Bridgeway’s, Westwood’s, Rainier’s, Marsico’s, Northern Cross’s, and Northern Trust’s sub-advisory fees for managing the respective portfolios are paid by SFIMC. No additional advisory fees are charged to the Funds for the services of the sub-advisers.

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NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended December 31, 2011, the following fees were earned by Bridgeway, Westwood, Rainier, Marsico, Northern Cross, and Northern Trust for providing sub-advisory services (although not all amounts indicated were paid during that period):


	Bridgeway		Westwood		Rainier		Marsico		Northern Cross		Northern Trust
Equity Fund	$	614,467	$	491,895	$	—	$	—	$	—	$	—
Small Mid/Cap Equity Fund		507,690		—		529,290		—		—		—
International Equity Fund		—		—		—		278,252		354,798		—
Small Cap Index Fund		—		—		—		—		—		337,278
International Index Fund		—		—		—		—		—		252,305

Total Sub-Advisory Fees	$	1,122,157	$	491,895	$	529,290	$	278,252	$	354,798	$	589,583

Distribution and Shareholder Services Agreements

The Trust has entered into a distribution and service plan pursuant to Rule 12b-1 under the Investment Company Act of 1940 with State Farm VP Management Corp. (“VP Management Corp.”). Under terms of this plan, each Fund pays VP Management Corp. an annual fee based on a specified percentage of average daily net assets, up to the following amounts (not all Funds offer all classes shown):


	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%

For the period January 1, 2008, through December 31, 2010, distribution and service (12b-1) fees for Class B shares of the Small/Mid Cap Equity Fund, International Equity Fund and Equity and Bond Fund decreased from 0.95% of average daily net assets to 0.85% of average daily net assets.

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 distribution plan can be carried forward and reimbursed in a later time period in amounts not to exceed the annual fee percentages outlined above. At December 31, 2011, VP Management Corp. had not been reimbursed for the following amounts (the TOTAL below is the cumulative amount of unreimbursed distribution expenses incurred since the commencement of operations of the Trust, although the total amount incurred by Fund depends upon the timing of commencement of the applicable section of the distribution plan for each such Fund and its classes):


Equity Fund	$	7,995,705	Tax Advantaged Bond Fund		10,383,366
Small/Mid Cap Equity Fund		8,055,878	Money Market Fund		11,476,456
International Equity Fund		5,894,125	LifePath Retirement Fund		11,721,313
S&P 500 Index Fund		25,796,732	LifePath 2020 Fund		28,176,691
Small Cap Index Fund		13,525,596	LifePath 2030 Fund		21,296,792
International Index Fund		9,358,210	LifePath 2040 Fund		14,753,790
Equity and Bond Fund		10,631,091	LifePath 2050 Fund		536,397

Bond Fund		13,734,420	TOTAL	$	193,336,562

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 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. Additionally, SFIMC receives proceeds from the account fee imposed on certain shareholders of the Trust.

167

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NOTES TO FINANCIAL STATEMENTS (continued)

Related Party Disclosure

As of December 31, 2011, Auto Company, the parent company of SFIMC, owned more than 10% of the outstanding shares of each Class of the following Funds:


	Class A	Class B	Legacy Class A	Legacy Class B	Institutional	Class R-1	Class R-2	Class R-3
Equity Fund	—	63.18%	—	—	—	32.91%	—	41.24%
Small/Mid Cap Equity Fund	20.14%	81.35%	25.43%	42.34%	—	33.08%	15.62%	62.63%
International Equity Fund	29.94%	89.35%	39.91%	68.96%	20.74%	41.51%	21.19%	63.43%
S&P 500 Index Fund	—	60.29%	—	—	—	18.20%	—	56.64%
Small Cap Index Fund	18.04%	77.37%	17.33%	40.87%	—	34.36%	16.58%	61.54%
International Index Fund	18.19%	78.74%	23.25%	48.53%	10.07%	32.89%	17.62%	66.68%
Equity and Bond Fund	19.48%	85.64%	13.91%	47.90%	—	37.26%	23.80%	71.40%
Bond Fund	—	52.77%	—	51.78%	—	28.43%	16.36%	58.43%
Tax Advantaged Bond Fund	—	67.16%	41.26%	95.55%
Money Market Fund	—	77.46%	—	28.82%	—	17.94%	—	40.04%
LifePath Retirement Fund	—	—	—	—	—	—	—	13.93%
LifePath 2050 Fund	—					35.16%	29.89%

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.

Expense Reduction Agreements

For the Class A, Class B, Legacy Class A, Legacy Class B and Institutional shares of all Funds, SFIMC has agreed to reimburse each Class if, and to the extent, the Class’s total annual operating expenses (for the Feeder Funds, this includes net expenses incurred at the Master Portfolio and Underlying Fund levels as applicable) exceed the percentage of each Class’s average net assets indicated 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/Mid 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 (a)	1.20%	1.90%	1.20%	1.60%	0.95%
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%	—
Money Market Fund	0.60%	1.00%	0.60%	1.00%	0.45%
LifePath Retirement 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%
LifePath 2050 Fund	1.30%	—	—	—	—
(a) Through April 30, 2009, the expense reimbursement threshold for International Index Fund Class A, Class B, Legacy Class A, Legacy Class B and Institutional was 1.15%, 1.85%, 1.15%, 1.55% and 0.90% respectively.

168

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NOTES TO FINANCIAL STATEMENTS (continued)

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/Mid Cap Equity Fund	0.10%	LifePath Retirement Fund	0.10%
International Equity Fund	0.20%	LifePath 2020 Fund	0.10%
S&P 500 Index Fund	0.10%	LifePath 2030 Fund	0.10%
Small Cap Index Fund	0.10%	LifePath 2040 Fund	0.10%
International Index Fund (a)	0.20%	LifePath 2050 Fund	0.10%
Bond Fund	0.10%
(a) Through April 30, 2009, the expense reimbursement threshold for International Index Fund Class R shares was 0.15%

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.

Beginning in late January 2009, the daily interest income on securities held by the Money Market Fund fell to a level below the amount of operating expenses incurred by the Money Market Fund. Since that time, SFIMC and VP Management Corp. have been voluntarily waiving portions of their fees in amounts necessary to keep the daily net investment income of the Money Market Fund from falling below zero.

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

BlackRock has contractually agreed to waive the investment advisory fees charged to the LifePath Master Portfolios in an amount equal to the advisory fees and administration fees, if any, charged to the Underlying Funds through April 30, 2012.

BlackRock has also contractually agreed to provide an offsetting credit against the investment advisory fees BlackRock receives from the LifePath Master Portfolios and the S&P 500 Stock Master Portfolio in an amount equal to the fees and expenses of the MIP independent trustees, counsel to such trustees, and independent registered public accounting firm (“independent expenses”) that are paid by the LifePath Master Portfolios through April 30, 2021 and that are paid by the S&P 500 Stock Master Portfolio through April 30, 2012. BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BlackRock and administrator of certain of the Underlying Funds, has contractually agreed to provide an offsetting credit against the administration fees paid by the Active Stock and CoreAlpha Bond Master Portfolios to BTC in an amount equal to the independent expenses that are paid by these two Underlying Funds through April 30, 2012.

BlackRock and BTC may not discontinue or modify this contractual waiver or these offsetting credits without the approval of the Board of Trustees of the Master Portfolios.

Effective October 2, 2007, BTC began voluntarily waiving a portion of its administration fees payable by the

Active Stock Master Portfolio in an amount sufficient to maintain the investment advisory fees of the LifePath Master Portfolios, which are not to exceed 0.35% of the average daily net assets of each LifePath Master Portfolio. This arrangement is voluntary and may be terminated by BTC at any time. During the periods from July 3, 2008 through July 15, 2008 and October 6, 2010 through October 27, 2010, BlackRock voluntarily waived a portion of its investment advisory fees payable by the Active Stock Master Portfolio.

New accounting pronouncement

In May 2011, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2011-4, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”, which is effective for reporting periods beginning after December 15, 2011. This update changes the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements. They also clarify that a reporting entity should disclose quantitative information about the unobservable inputs used in a fair value measurement that is categorized within Level 3 of the fair value hierarchy. At this time, the Trust’s management is evaluating the impact these amendments may have on the Trust’s financial statements, if any.

169

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NOTES TO FINANCIAL STATEMENTS (continued)

3. Investment transactions

For the year ended December 31, 2011, investment transactions (exclusive of short-term instruments) were as follows:


	Purchases (excluding U.S. Government Obligations)			Sales (excluding U.S. Government Obligations)			Purchases of U.S. Government Obligations			Sales of U.S. Government Obligations
Equity Fund		$	114,612,090		$	115,213,291		$	—		$	—
Small/Mid Cap Equity Fund			148,826,520			150,199,242			—			—
International Equity Fund			64,175,739			65,028,326			—			—
Small Cap Index Fund			41,239,100			45,802,220			—			—
International Index Fund			8,287,526			11,657,818			—			—
Equity and Bond Fund			6,048,000			4,100,000			—			—
Bond Fund			70,485,646			40,109,577			10,057,422			—
Tax Advantaged Bond Fund			49,192,771			25,087,314			—			—

4. Futures and foreign currency contracts

As of December 31, 2011, the International Equity Fund and International Index Fund had the following open forward foreign currency contracts. See Note 2 under Financial Instruments:


International Equity Fund
Foreign amount Purchased (Sold)	Currency	Counterparty	Settlement Date	U.S. Dollar amount Purchased (Sold)			Unrealized Gain		Unrealized (Loss)
50,639	British Pound	Royal Bank of Scotland PLC	01/04/2012	(77,994	)	$	649	$	—
224,017	Danish Krone	Royal Bank of Scotland PLC	01/03/2012	(39,010	)		—		(5	)
13,724	Euro	Royal Bank of Scotland PLC	01/03/2012	(17,760	)		2		—
197,871	Hong Kong Dollar	Royal Bank of Scotland PLC	01/03/2012	(25,460	)		17		—
1,213,612	Japanese Yen	Royal Bank of Scotland PLC	01/05/2012	(15,630	)		137		—
300,198	Swedish Krona	Morgan Stanley and Co. Inc.	01/04/2012	(43,647	)		—		(26	)
(24,841)	Swiss Franc	Royal Bank of Scotland PLC	01/04/2012	26,397			—		(49	)
(260,000)	Swiss Franc	State Street Bank and Trust Company	08/17/2012	334,044			55,560		—
(260,000)	Swiss Franc	State Street Bank and Trust Company	08/20/2012	330,180			51,668		—
(254,000)	Swiss Franc	State Street Bank and Trust Company	08/16/2012	329,143			57,095		—
(65,000)	Swiss Franc	State Street Bank and Trust Company	09/06/2012	82,660			12,994		—
(40,000)	Swiss Franc	State Street Bank and Trust Company	08/13/2012	55,772			12,934		—
(16,962)	Swiss Franc	UBS AG	01/05/2012	18,084			25		—

				Total		$	191,081	$	(80	)

170

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NOTES TO FINANCIAL STATEMENTS (continued)


International Index Fund
Foreign amount Purchased (Sold)	Currency	Counterparty	Settlement Date	U.S. Dollar amount Purchased (Sold)			Unrealized Gain		Unrealized (Loss)
298,374	Australian Dollar	Morgan Stanley and Co. Inc.	03/21/2012	(300,000	)	$	5,177	$	—
303,715	British Pound	Citibank N.A.	03/21/2012	(475,000	)		—		(3,680	)
148,832	British Pound	Morgan Stanley and Co. Inc.	03/21/2012	(231,000	)		136		—
250,803	Euro	Citibank N.A.	03/21/2012	(328,000	)		—		(3,398	)
191,496	Euro	UBS AG	03/21/2012	(250,000	)		—		(2,156	)
699,827	Hong Kong Dollar	UBS AG	03/21/2012	(90,000	)		107		—
12,476,400	Japanese Yen	Morgan Stanley and Co. Inc.	03/21/2012	(160,000	)		2,320		—
16,404,321	Japanese Yen	Morgan Stanley and Co. Inc.	03/21/2012	(211,000	)		2,126		—
(171,046)	Australian Dollar	Citibank N.A.	03/21/2012	171,000			—		(2,456	)
(88,736)	Australian Dollar	UBS AG	01/03/2012	90,000			—		(759	)
(162,253)	British Pound	UBS AG	03/21/2012	250,000			—		(1,793	)
(208,277)	Euro	UBS AG	01/03/2012	270,000			437		—
(15,551)	Hong Kong Dollar	Citibank N.A.	03/21/2012	2,000			—		(2	)
(20,182,500)	Japanese Yen	UBS AG	01/04/2012	260,000			—		(2,212)
(95,849)	Swiss Franc	UBS AG	03/21/2012	102,000			—		(43	)
(75,192)	Swiss Franc	UBS AG	01/03/2012	80,000			—		(51	)

				Total		$	10,303	$	(16,550	)

The Small Cap Index and International Index Funds had the following open futures contracts at December 31, 2011:


Fund	Type	Number of contracts		Notional Value		Market Value		Position	Expiration Month	Unrealized Gain (Loss)
Small Cap Index Fund	Russell 2000 Mini		35	$	2,579,381	$	2,585,800	Long	March ‘12	$	6,419

Total										$	6,419

International Index Fund	Euro Stoxx 50		43		1,258,723		1,284,466	Long	March ‘12		25,743
International Index Fund	FTSE 100 Index		13		1,096,314		1,117,663	Long	March ‘12		21,349
International Index Fund	Hang Seng Index		2		239,358		237,633	Long	January ‘12		(1,725	)
International Index Fund	ASX SPI 200 Index		4		425,485		411,063	Long	March ‘12		(14,422	)
International Index Fund	TOPIX Index		9		856,464		851,241	Long	March ‘12		(5,223	)

Total										$	25,722

171

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NOTES TO FINANCIAL STATEMENTS (continued)

5. Fund share transactions

At December 31, 2011, the Funds were authorized to issue an unlimited number of shares (no par value) in an unlimited number of classes. 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:

Year ended December 31, 2011:


	Class A Dollar Amounts													Class A Share Amounts
2011	Sales			Reinvestments				Redemptions			Net			Sales		Reinvestments			Redemptions		Net
Equity Fund		$	11,806,937		$	262,516			$	5,543,592		$	6,525,861		2,017,904		46,711			949,063		1,115,552
Small/Mid Cap Equity Fund			12,326,207			—				7,671,310			4,654,897		1,304,976		—			825,925		479,051
International Equity Fund			5,288,508			256,407				3,006,768			2,538,147		558,882		31,042			323,967		265,957
S&P 500 Index Fund			33,201,889			1,476,802				17,868,435			16,810,256		3,469,739		155,453			1,880,187		1,745,005
Small Cap Index Fund			10,693,306			417,240				6,117,539			4,993,007		890,110		36,435			517,144		409,401
International Index Fund			8,155,801			826,092				6,008,075			2,973,818		773,454		90,480			569,159		294,775
Equity and Bond Fund			11,405,745			547,886				6,018,107			5,935,524		1,417,354		68,533			752,242		733,645
Bond Fund			72,891,147			5,038,518				37,893,738			40,035,927		6,402,931		443,190			3,353,588		3,492,533
Tax Advantaged Bond Fund			81,165,988			4,392,188				45,359,662			40,198,514		7,151,807		389,676			4,084,339		3,457,144
Money Market Fund			194,726,759			(81	)			181,984,635			12,742,043		194,726,759		(81	)		181,984,635		12,742,043
LifePath Retirement Fund			129,296,318			6,057,257				53,836,137			81,517,438		11,065,317		520,991			4,604,183		6,982,125
LifePath 2020 Fund			166,701,354			8,787,477				67,405,546			108,083,285		12,760,780		687,058			5,161,909		8,285,929
LifePath 2030 Fund			151,399,596			7,163,212				60,620,594			97,942,214		11,400,193		558,755			4,572,789		7,386,159
LifePath 2040 Fund			88,193,698			4,038,923				39,555,882			52,676,739		6,552,764		314,312			2,944,831		3,922,245
LifePath 2050 Fund			30,945,945			2,661,067				8,498,544			25,108,468		3,306,999		309,433			910,713		2,705,719

	Class B Dollar Amounts													Class B Share Amounts
2011	Sales			Reinvestments				Redemptions			Net			Sales		Reinvestments			Redemptions		Net
Equity Fund		$	331,957		$	522			$	210,028		$	122,451		56,593		93			35,602		21,084
Small/Mid Cap Equity Fund			455,462			—				193,736			261,726		49,863		—			21,569		28,294
International Equity Fund			168,452			6,754				121,090			54,116		18,204		824			13,155		5,873
S&P 500 Index Fund			1,195,486			41,875				675,816			561,545		123,874		4,389			70,788		57,475
Small Cap Index Fund			420,149			21,942				230,401			211,690		35,261		1,944			19,580		17,625
International Index Fund			293,507			34,708				248,738			79,477		27,850		3,793			23,524		8,119
Equity and Bond Fund			376,591			12,891				249,604			139,878		47,241		1,619			31,354		17,506
Bond Fund			1,328,051			117,806				753,930			691,927		117,324		10,375			66,767		60,932
Tax Advantaged Bond Fund			664,567			35,585				208,666			491,486		58,773		3,156			18,897		43,032
Money Market Fund			432,197			—				295,727			136,470		432,197		—			295,727		136,470
LifePath Retirement Fund			1,925,595			115,544				1,403,828			637,311		164,153		9,873			119,609		54,417
LifePath 2020 Fund			4,660,851			232,039				2,584,614			2,308,276		359,240		18,242			199,636		177,846
LifePath 2030 Fund			6,123,770			223,738				3,419,625			2,927,883		463,849		17,521			259,996		221,374
LifePath 2040 Fund			5,621,814			183,708				3,158,658			2,646,864		420,800		14,354			237,357		197,797

172

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NOTES TO FINANCIAL STATEMENTS (continued)


	Legacy Class A Dollar Amounts														Legacy Class A Share Amounts
2011	Sales			Reinvestments				Redemptions			Net				Sales		Reinvestments			Redemptions		Net
Equity Fund		$	10,341,867		$	469,168			$	10,109,896		$	701,139			1,690,600		80,475			1,660,553		110,522
Small/Mid Cap Equity Fund			7,945,962			—				7,392,749			553,213			852,846		—			807,248		45,598
International Equity Fund			3,053,138			357,193				3,487,960			(77,629	)		323,415		42,877			368,922		(2,630	)
S&P 500 Index Fund			37,781,737			3,693,741				40,128,183			1,347,295			3,909,634		387,185			4,160,442		136,377
Small Cap Index Fund			14,928,175			1,339,272				16,499,118			(231,671	)		1,249,547		118,102			1,394,245		(26,596	)
International Index Fund			7,013,924			1,454,513				10,530,334			(2,061,897	)		660,947		159,661			1,017,875		(197,267	)
Equity and Bond Fund			10,240,399			1,135,651				9,310,036			2,066,014			1,264,146		140,828			1,149,126		255,848
Bond Fund			23,268,414			3,826,458				21,217,685			5,877,187			2,051,525		336,610			1,874,941		513,194
Tax Advantaged Bond Fund			10,654,299			1,085,529				5,232,353			6,507,475			942,889		96,464			468,564		570,789
Money Market Fund			48,332,570			(106	)			42,819,670			5,512,794			48,332,570		(106	)		42,819,670		5,512,794
LifePath Retirement Fund			25,972,920			4,653,702				39,566,072			(8,939,450	)		2,181,853		392,378			3,322,512		(748,281	)
LifePath 2020 Fund			39,196,322			5,726,059				45,108,110			(185,729	)		3,014,016		449,454			3,469,098		(5,628	)
LifePath 2030 Fund			33,798,758			3,717,490				33,415,879			4,100,369			2,561,981		289,752			2,505,039		346,694
LifePath 2040 Fund			24,238,383			2,400,698				25,013,825			1,625,256			1,802,751		186,391			1,851,023		138,119

	Legacy Class B Dollar Amounts														Legacy Class B Share Amounts
2011	Sales			Reinvestments				Redemptions			Net				Sales		Reinvestments			Redemptions		Net
Equity Fund		$	814,065		$	6,850			$	7,523,545		$	(6,702,630	)		134,659		1,167			1,235,295		(1,099,469	)
Small/Mid Cap Equity Fund			894,401			—				5,016,160			(4,121,759	)		104,194		—			565,177		(460,983	)
International Equity Fund			254,615			33,646				1,726,666			(1,438,405	)		27,086		4,073			182,318		(151,159	)
S&P 500 Index Fund			2,902,296			397,472				28,596,567			(25,296,799	)		301,075		41,490			2,955,228		(2,612,663	)
Small Cap Index Fund			1,044,607			197,525				10,662,164			(9,420,032	)		90,764		17,715			909,386		(800,907	)
International Index Fund			503,685			197,242				4,414,410			(3,713,483	)		47,612		21,557			416,506		(347,337	)
Equity and Bond Fund			972,369			166,609				7,914,636			(6,775,658	)		120,255		20,651			975,242		(834,336	)
Bond Fund			1,432,229			573,572				13,065,785			(11,059,984	)		125,754		50,613			1,157,815		(981,448	)
Tax Advantaged Bond Fund			60,368			39,892				1,062,287			(962,027	)		5,332		3,564			95,931		(87,035	)
Money Market Fund			4,193,105			—				5,154,651			(961,546	)		4,193,105		—			5,154,651		(961,546	)
LifePath Retirement Fund			1,938,847			562,654				13,022,302			(10,520,801	)		162,733		47,285			1,092,332		(882,314	)
LifePath 2020 Fund			3,577,232			683,898				17,927,634			(13,666,504	)		274,447		53,681			1,387,066		(1,058,938	)
LifePath 2030 Fund			3,131,725			474,251				12,668,119			(9,062,143	)		237,622		37,080			968,468		(693,766	)
LifePath 2040 Fund			2,752,462			319,287				8,931,978			(5,860,229	)		205,256		24,808			668,106		(438,042	)

173

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NOTES TO FINANCIAL STATEMENTS (continued)


	Institutional Shares Dollar Amounts													Institutional Shares Share Amounts
2011	Sales			Reinvestments			Redemptions			Net				Sales		Reinvestments		Redemptions		Net
Equity Fund		$	5,784,287		$	235,590		$	6,054,251		$	(34,374	)		988,182		41,772		1,016,565		13,389
Small/Mid Cap Equity Fund			6,295,798			—			5,308,871			986,927			650,134		—		555,230		94,904
International Equity Fund			2,592,791			197,020			1,976,480			813,331			267,574		23,710		211,957		79,327
S&P 500 Index Fund			13,330,210			1,083,355			13,144,045			1,269,520			1,369,972		113,204		1,348,832		134,344
Small Cap Index Fund			7,924,614			647,437			8,064,167			507,884			645,679		56,354		665,904		36,129
International Index Fund			4,794,355			770,176			5,309,988			254,543			441,917		84,264		502,004		24,177
Equity and Bond Fund			2,674,911			298,816			1,986,165			987,562			333,958		37,313		247,856		123,415
Bond Fund			25,088,665			1,987,187			17,583,511			9,492,341			2,214,669		174,875		1,550,086		839,458
Money Market Fund			70,188,233			424			59,011,028			11,177,629			70,188,233		424		59,011,028		11,177,629
LifePath Retirement Fund			17,510,621			1,304,642			12,205,279			6,609,984			1,469,422		110,045		1,024,480		554,987
LifePath 2020 Fund			27,758,356			2,334,595			18,172,770			11,920,181			2,120,633		182,249		1,390,147		912,735
LifePath 2030 Fund			29,431,342			2,124,365			17,472,932			14,082,775			2,203,417		164,932		1,310,286		1,058,063
LifePath 2040 Fund			30,687,913			2,143,367			19,207,167			13,624,113			2,254,390		165,763		1,408,824		1,011,329

	Class R-1 Dollar Amounts													Class R-1 Share Amounts
2011	Sales			Reinvestments			Redemptions			Net				Sales		Reinvestments		Redemptions		Net
Equity Fund		$	573,106		$	6,052		$	673,989		$	(94,831	)		98,307		1,077		113,229		(13,845	)
Small/Mid Cap Equity Fund			627,158			—			875,147			(247,989	)		69,271		—		94,935		(25,664	)
International Equity Fund			572,770			16,721			715,327			(125,836	)		60,915		2,029		75,186		(12,242	)
S&P 500 Index Fund			1,892,685			53,380			1,845,941			100,124			196,111		5,601		191,853		9,859
Small Cap Index Fund			605,291			17,854			695,748			(72,603	)		50,595		1,563		57,098		(4,940	)
International Index Fund			813,471			46,131			875,923			(16,321	)		76,738		5,053		82,491		(700	)
Equity and Bond Fund			347,963			19,423			408,088			(40,702	)		43,652		2,467		51,252		(5,133	)
Bond Fund			1,132,758			67,780			1,233,137			(32,599	)		99,856		5,968		109,795		(3,971	)
Money Market Fund			3,101,030			—			3,403,804			(302,774	)		3,101,030		—		3,403,804		(302,774	)
LifePath Retirement Fund			1,478,383			78,096			1,667,173			(110,694	)		126,208		6,696		142,156		(9,252	)
LifePath 2020 Fund			5,374,742			171,514			4,571,350			974,906			414,001		13,463		352,788		74,676
LifePath 2030 Fund			6,156,864			185,919			5,481,300			861,483			467,346		14,570		414,510		67,406
LifePath 2040 Fund			4,711,601			122,621			4,597,473			236,749			352,011		9,580		344,739		16,852
LifePath 2050 Fund			1,045,668			64,591			290,585			819,674			111,888		7,493		30,965		88,416

174

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NOTES TO FINANCIAL STATEMENTS (continued)


	Class R-2 Dollar Amounts													Class R-2 Share Amounts
2011	Sales			Reinvestments			Redemptions			Net				Sales		Reinvestments		Redemptions		Net
Equity Fund		$	2,199,771		$	41,794		$	1,739,266		$	502,299			379,354		7,450		289,926		96,878
Small/Mid Cap Equity Fund			2,512,819			—			3,101,499			(588,680	)		276,024		—		325,733		(49,709	)
International Equity Fund			1,658,878			51,799			2,026,880			(316,203	)		174,702		6,271		209,921		(28,948	)
S&P 500 Index Fund			3,927,922			159,378			3,441,230			646,070			412,180		16,794		353,435		75,539
Small Cap Index Fund			1,729,258			49,508			1,660,719			118,047			143,393		4,328		135,630		12,091
International Index Fund			1,813,761			116,993			1,640,975			289,779			173,865		12,842		151,181		35,526
Equity and Bond Fund			1,212,406			44,357			1,421,986			(165,223	)		153,149		5,603		177,469		(18,717	)
Bond Fund			2,334,390			141,852			1,965,966			510,276			205,999		12,498		174,675		43,822
Money Market Fund			7,030,973			—			5,718,445			1,312,528			7,030,973		—		5,718,445		1,312,528
LifePath Retirement Fund			3,884,879			288,620			4,380,287			(206,788	)		325,584		24,263		363,630		(13,783	)
LifePath 2020 Fund			9,788,275			462,992			6,641,642			3,609,625			755,383		36,313		503,430		288,266
LifePath 2030 Fund			9,127,016			352,258			6,464,558			3,014,716			687,770		27,499		480,321		234,948
LifePath 2040 Fund			8,232,236			281,903			5,536,940			2,977,199			614,732		21,938		402,610		234,060
LifePath 2050 Fund			1,591,904			87,156			246,295			1,432,765			172,651		10,099		26,869		155,881

	Class R-3 Dollar Amounts													Class R-3 Share Amounts
2011	Sales			Reinvestments			Redemptions			Net				Sales		Reinvestments		Redemptions		Net
Equity Fund		$	114,922		$	9,498		$	183,708		$	(59,288	)		19,742		1,684		31,947		(10,521	)
Small/Mid Cap Equity Fund			113,394			—			322,520			(209,126	)		11,879		—		36,066		(24,187	)
International Equity Fund			107,771			10,030			189,587			(71,786	)		11,656		1,207		20,974		(8,111	)
S&P 500 Index Fund			140,071			13,206			211,208			(57,931	)		14,505		1,383		21,987		(6,099	)
Small Cap Index Fund			101,570			7,986			167,898			(58,342	)		8,494		694		14,667		(5,479	)
International Index Fund			116,786			14,062			136,693			(5,845	)		11,136		1,537		13,209		(536	)
Equity and Bond Fund			320,774			6,694			190,052			137,416			40,236		844		23,629		17,451
Bond Fund			252,059			23,391			230,395			45,055			22,152		2,060		20,213		3,999
Money Market Fund			784,136			19			1,387,991			(603,836	)		784,136		19		1,387,992		(603,837	)
LifePath Retirement Fund			310,895			25,228			140,290			195,833			26,042		2,133		11,846		16,329
LifePath 2020 Fund			883,830			47,579			1,082,427			(151,018	)		67,605		3,726		83,094		(11,763	)
LifePath 2030 Fund			477,901			46,106			640,603			(116,596	)		35,759		3,582		48,825		(9,484	)
LifePath 2040 Fund			557,485			33,878			419,507			171,856			40,965		2,596		31,357		12,204

175

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

The following reflects the conversion of Class B, Legacy Class B and Class R-1 shares (reflected as Redemptions) into Class A, Legacy Class A and Class R-2 shares (reflected as Sales), respectively, for the year ended December 31, 2011.


Fund	Class A Dollar Amounts			Class A Share Amounts		Legacy Class A Dollar Amounts			Legacy Class A Share Amounts		Class R-2 Dollar Amounts			Class R-2 Share Amounts
Equity Fund		$	7,049		1,223		$	5,500,097		896,465		$	10,435		1,763
Small/Mid Cap Equity Fund			5,182		538			3,556,894		379,983			35,378		3,836
International Equity Fund			2,552		262			1,050,852		110,637			56,216		5,802
S&P 500 Index Fund			10,983		1,130			20,229,015		2,090,979			235,199		25,026
Small Cap Index Fund			2,297		187			7,525,150		629,609			67,608		5,629
International Index Fund			2,581		245			2,659,004		251,606			130,290		13,708
Equity and Bond Fund			690		86			5,513,476		679,302			2,708		336
Bond Fund			7,210		644			9,830,419		870,994			19,177		1,662
Tax Advantaged Bond Fund			—		—			874,173		79,189			—		—
Money Market Fund			—		—			1,327,708		1,327,708			559,917		559,917
LifePath Retirement Fund			29,185		2,503			7,515,151		633,395			25,124		2,102
LifePath 2020 Fund			3		0			10,095,352		782,390			950,654		74,105
LifePath 2030 Fund			62,886		4,639			7,181,158		548,632			666,492		50,738
LifePath 2040 Fund			2,361		176			3,595,471		272,253			675,525		51,273
LifePath 2050 Fund			—		—			—		—			22,162		2,541

Year ended December 31, 2010:


	Class A Dollar Amounts													Class A Share Amounts
2010	Sales			Reinvestments				Redemptions			Net			Sales		Reinvestments			Redemptions		Net
Equity Fund		$	13,772,478		$	112,083			$	5,931,712		$	7,952,849		2,605,633		19,398			1,118,899		1,506,132
Small/Mid Cap Equity Fund			9,018,432			—				4,425,590			4,592,842		1,121,712		—			553,952		567,760
International Equity Fund			6,514,240			237,772				2,328,838			4,423,174		740,101		24,312			263,819		500,594
S&P 500 Index Fund			32,274,740			1,083,032				14,072,952			19,284,820		3,735,116		114,607			1,631,303		2,218,420
Small Cap Index Fund			9,813,510			94,396				4,260,308			5,647,598		941,483		7,725			409,090		540,118
International Index Fund			10,109,432			530,166				5,200,596			5,439,002		1,000,944		48,684			519,575		530,053
Equity and Bond Fund			13,849,707			356,540				3,427,679			10,778,568		1,850,436		47,119			463,420		1,434,135
Bond Fund			100,297,124			3,713,101				29,401,032			74,609,193		8,966,780		331,036			2,635,685		6,662,131
Tax Advantaged Bond Fund			103,818,886			3,770,986				35,294,010			72,295,862		9,233,875		335,922			3,161,918		6,407,879
Money Market Fund			210,330,572			(50	)			197,071,940			13,258,582		210,330,574		(50	)		197,071,939		13,258,585
LifePath Retirement Fund			94,585,253			4,401,628				40,154,383			58,832,498		8,668,299		397,421			3,639,199		5,426,521
LifePath 2020 Fund			150,372,648			5,885,171				51,813,047			104,444,772		12,381,559		457,638			4,282,917		8,556,280
LifePath 2030 Fund			142,079,406			4,927,517				44,659,561			102,347,362		11,577,775		374,728			3,658,003		8,294,500
LifePath 2040 Fund			83,952,249			2,913,123				33,374,267			53,491,105		6,796,017		217,234			2,721,801		4,291,450
LifePath 2050 Fund			23,660,245			1,483,485				6,333,750			18,809,980		2,687,561		157,985			723,166		2,122,380

176

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Class B Dollar Amounts														Class B Share Amounts
2010	Sales			Reinvestments				Redemptions			Net				Sales		Reinvestments			Redemptions		Net
Equity Fund		$	394,316		$	—			$	183,861		$	210,455			75,265		—			34,760		40,505
Small/Mid Cap Equity Fund			362,871			—				212,557			150,314			46,723		—			27,239		19,484
International Equity Fund			232,542			8,190				155,423			85,309			26,672		843			17,662		9,853
S&P 500 Index Fund			1,374,218			28,664				775,271			627,611			159,470		3,024			90,325		72,169
Small Cap Index Fund			447,458			—				269,887			177,571			43,521		—			26,090		17,431
International Index Fund			425,424			19,705				301,205			143,924			42,223		1,808			29,981		14,050
Equity and Bond Fund			329,407			10,228				179,423			160,212			44,176		1,344			24,244		21,276
Bond Fund			1,821,885			100,212				518,803			1,403,294			163,291		8,950			46,446		125,795
Tax Advantaged Bond Fund			872,246			23,357				109,812			785,791			77,623		2,082			9,760		69,945
Money Market Fund			145,651			—				380,887			(235,236	)		145,651		—			380,887		(235,236	)
LifePath Retirement Fund			1,503,394			104,414				1,128,037			479,771			156,984		9,404			101,664		64,724
LifePath 2020 Fund			5,242,738			161,063				2,408,288			2,995,513			436,427		12,591			200,992		248,026
LifePath 2030 Fund			6,420,998			159,975				3,193,576			3,387,397			528,934		12,210			264,041		277,103
LifePath 2040 Fund			5,795,807			137,897				3,003,351			2,930,353			472,785		10,325			247,352		235,758

	Legacy Class A Dollar Amounts														Legacy Class A Share Amounts
2010	Sales			Reinvestments				Redemptions			Net				Sales		Reinvestments			Redemptions		Net
Equity Fund		$	8,574,796		$	215,599			$	9,510,309		$	(719,914	)		1,560,811		35,933			1,750,102		(153,358	)
Small/Mid Cap Equity Fund			6,013,905			—				6,644,801			(630,896	)		764,110		—			847,208		(83,098	)
International Equity Fund			3,171,107			376,029				3,918,544			(371,408	)		356,570		38,137			446,672		(51,965	)
S&P 500 Index Fund			28,011,541			3,145,658				34,157,727			(3,000,528	)		3,215,305		331,832			3,969,875		(422,738	)
Small Cap Index Fund			11,289,429			324,089				15,292,337			(3,678,819	)		1,087,235		26,762			1,485,917		(371,920	)
International Index Fund			6,334,186			1,061,099				9,555,782			(2,160,497	)		625,878		97,622			954,321		(230,821	)
Equity and Bond Fund			8,487,529			943,811				8,611,627			819,713			1,126,037		124,456			1,150,925		99,568
Bond Fund			19,969,762			3,853,626				17,024,446			6,798,942			1,782,920		343,993			1,525,372		601,541
Tax Advantaged Bond Fund			7,770,121			1,093,874				8,000,072			863,923			692,185		97,659			716,205		73,639
Money Market Fund			31,536,112			(45	)			45,350,811			(13,814,744	)		31,536,112		(45	)		45,350,811		(13,814,744	)
LifePath Retirement Fund			8,875,499			4,668,942				41,283,138			(27,738,697	)		1,862,412		414,636			3,672,139		(1,395,091	)
LifePath 2020 Fund			27,814,926			4,667,436				37,339,279			(4,856,917	)		2,299,572		364,352			3,100,110		(436,186	)
LifePath 2030 Fund			24,768,301			3,035,024				30,078,418			(2,275,093	)		2,017,948		230,795			2,463,674		(214,931	)
LifePath 2040 Fund			21,074,584			2,033,134				24,237,389			(1,129,671	)		1,705,606		151,384			1,975,754		(118,764	)

177

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Legacy Class B Dollar Amounts															Legacy Class B Share Amounts
2010	Sales				Reinvestments				Redemptions			Net				Sales		Reinvestments			Redemptions		Net
Equity Fund		$	1,038,101			$	(6	)		$	5,794,704		$	(4,756,609	)		192,021		(1	)		1,066,583		(874,563	)
Small/Mid Cap Equity Fund			832,742				—				3,556,234			(2,723,492	)		110,582		—			472,991		(362,409	)
International Equity Fund			402,429				51,892				1,842,436			(1,388,115	)		46,066		5,311			209,861		(158,484	)
S&P 500 Index Fund			3,891,692				515,293				19,646,262			(15,239,277	)		451,011		54,242			2,260,383		(1,755,130	)
Small Cap Index Fund			1,189,045				2				7,518,774			(6,329,727	)		118,019		—			735,906		(617,887	)
International Index Fund			736,866				168,560				3,998,687			(3,093,261	)		72,587		15,464			395,160		(307,109	)
Equity and Bond Fund			1,267,285				211,473				6,367,242			(4,888,484	)		168,043		27,802			845,030		(649,185	)
Bond Fund			2,084,019				902,976				8,768,521			(5,781,526	)		186,218		80,640			783,545		(516,687	)
Tax Advantaged Bond Fund			152,378				68,328				653,929			(433,223	)		13,490		6,100			58,399		(38,809	)
Money Market Fund			3,114,503				—				5,181,745			(2,067,242	)		3,114,503		—			5,181,745		(2,067,242	)
LifePath Retirement Fund			(514,296	)			633,754				7,491,767			(7,372,309	)		192,722		56,189			663,444		(414,533	)
LifePath 2020 Fund			4,416,900				702,590				9,168,832			(4,049,342	)		367,731		54,933			760,120		(337,456	)
LifePath 2030 Fund			3,345,865				484,351				7,214,320			(3,384,104	)		275,729		36,973			592,189		(279,487	)
LifePath 2040 Fund			3,446,745				323,331				6,155,590			(2,385,514	)		281,049		24,131			502,914		(197,734	)

	Institutional Shares Dollar Amounts															Institutional Shares Share Amounts
2010	Sales				Reinvestments				Redemptions			Net				Sales		Reinvestments			Redemptions		Net
Equity Fund		$	5,868,264			$	133,635			$	2,898,394		$	3,103,505			1,110,815		23,042			549,827		584,030
Small/Mid Cap Equity Fund			4,878,080				—				3,886,477			991,603			595,647		—			477,124		118,523
International Equity Fund			3,245,725				193,550				2,329,599			1,109,676			365,642		19,670			265,811		119,501
S&P 500 Index Fund			12,121,212				924,081				10,536,595			2,508,698			1,379,522		97,169			1,224,754		251,937
Small Cap Index Fund			7,729,979				226,780				6,398,559			1,558,200			724,158		18,482			615,824		126,816
International Index Fund			5,240,345				557,234				4,975,874			821,705			512,837		51,122			494,806		69,153
Equity and Bond Fund			3,146,315				236,932				2,003,195			1,380,052			415,838		31,490			267,887		179,441
Bond Fund			28,597,279				1,889,055				14,172,229			16,314,105			2,555,906		168,677			1,265,656		1,458,927
Money Market Fund			53,046,872				257				50,673,846			2,373,283			53,046,872		257			50,673,846		2,373,283
LifePath Retirement Fund			9,342,167				1,157,475				12,724,416			(2,224,774	)		1,059,811		102,764			1,131,527		31,048
LifePath 2020 Fund			23,717,106				1,762,204				11,270,885			14,208,425			1,946,955		136,828			918,845		1,164,938
LifePath 2030 Fund			24,047,071				1,616,785				13,111,657			12,552,199			1,945,688		122,413			1,069,318		998,783
LifePath 2040 Fund			30,000,418				1,690,752				14,321,637			17,369,533			2,408,149		125,431			1,155,690		1,377,890

178

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Class R-1 Dollar Amounts													Class R-1 Share Amounts
2010	Sales			Reinvestments			Redemptions			Net				Sales		Reinvestments		Redemptions		Net
Equity Fund		$	646,368		$	—		$	1,296,385		$	(650,017	)		124,228		—		245,832		(121,604	)
Small/Mid Cap Equity Fund			933,675			—			1,342,282			(408,607	)		120,782		—		172,709		(51,927	)
International Equity Fund			697,791			19,332			1,197,509			(480,386	)		79,658		1,983		137,491		(55,850	)
S&P 500 Index Fund			1,534,047			37,792			2,910,155			(1,338,316	)		177,483		3,986		337,946		(156,477	)
Small Cap Index Fund			640,547			—			1,339,031			(698,484	)		61,753		—		128,202		(66,449	)
International Index Fund			768,487			29,047			1,488,341			(690,807	)		75,619		2,670		148,551		(70,262	)
Equity and Bond Fund			437,877			17,435			822,549			(367,237	)		59,130		2,343		113,760		(52,287	)
Bond Fund			1,270,252			81,694			2,203,107			(851,161	)		113,280		7,304		198,266		(77,682	)
Money Market Fund			3,267,758			—			4,341,344			(1,073,586	)		3,267,758		—		4,341,344		(1,073,586	)
LifePath Retirement Fund			1,294,008			81,926			3,345,471			(1,969,537	)		152,363		7,389		303,076		(143,324	)
LifePath 2020 Fund			5,205,059			119,859			6,475,137			(1,150,219	)		433,586		9,357		537,574		(94,631	)
LifePath 2030 Fund			6,125,179			141,540			5,702,985			563,734			505,405		10,821		469,689		46,537
LifePath 2040 Fund			4,437,041			102,126			4,891,237			(352,070	)		362,366		7,656		398,839		(28,817	)
LifePath 2050 Fund			575,115			29,340			265,215			339,240			65,916		3,115		29,279		39,752

	Class R-2 Dollar Amounts													Class R-2 Share Amounts
2010	Sales			Reinvestments			Redemptions			Net				Sales		Reinvestments		Redemptions		Net
Equity Fund		$	3,103,286		$	17,578		$	1,236,365		$	1,884,499			588,510		3,046		234,716		356,840
Small/Mid Cap Equity Fund			2,502,991			—			1,063,428			1,439,563			318,450		—		135,874		182,576
International Equity Fund			2,195,003			59,761			793,985			1,460,779			248,193		6,111		90,069		164,235
S&P 500 Index Fund			4,268,969			122,361			2,412,636			1,978,694			496,637		12,962		280,230		229,369
Small Cap Index Fund			1,838,677			9,944			810,178			1,038,443			178,042		814		77,311		101,545
International Index Fund			1,867,583			75,572			891,616			1,051,539			184,753		6,952		86,006		105,699
Equity and Bond Fund			1,085,092			43,440			1,641,425			(512,893	)		148,258		5,886		226,069		(71,925	)
Bond Fund			2,867,005			147,255			2,145,355			868,905			258,263		13,159		192,320		79,102
Money Market Fund			5,960,659			—			4,883,043			1,077,616			5,960,659		—		4,883,043		1,077,616
LifePath Retirement Fund			5,589,057			262,269			2,727,841			3,123,485			516,979		23,222		242,493		297,708
LifePath 2020 Fund			12,580,005			337,447			4,500,561			8,416,891			1,041,682		26,322		368,830		699,174
LifePath 2030 Fund			10,198,597			269,150			3,328,627			7,139,120			831,849		20,499		271,192		581,156
LifePath 2040 Fund			8,374,516			212,274			3,256,022			5,330,768			679,664		15,841		265,182		430,323
LifePath 2050 Fund			630,322			25,506			73,313			582,515			70,731		2,708		8,474		64,965

179

STATE FARM MUTUAL FUND TRUST

NOTES TO FINANCIAL STATEMENTS (continued)


	Class R-3 Dollar Amounts													Class R-3 Share Amounts
2010	Sales			Reinvestments			Redemptions			Net				Sales		Reinvestments		Redemptions		Net
Equity Fund		$	738,795		$	5,748		$	167,664		$	576,879			140,826		993		31,934		109,885
Small/Mid Cap Equity Fund			540,779			—			138,712			402,067			68,690		—		17,074		51,616
International Equity Fund			443,046			11,743			115,119			339,670			49,044		1,195		13,327		36,912
S&P 500 Index Fund			434,465			12,326			214,469			232,322			49,680		1,297		24,435		26,542
Small Cap Index Fund			279,004			3,062			86,778			195,288			27,247		249		7,965		19,531
International Index Fund			216,944			10,345			75,420			151,869			20,900		948		7,280		14,568
Equity and Bond Fund			86,464			3,150			45,345			44,269			11,452		422		6,141		5,733
Bond Fund			644,882			22,809			198,663			469,028			58,456		2,037		17,741		42,752
Money Market Fund			2,051,382			10			844,566			1,206,826			2,051,382		10		844,566		1,206,826
LifePath Retirement Fund			370,894			21,977			241,029			151,842			38,163		1,952		21,550		18,565
LifePath 2020 Fund			1,326,649			41,900			1,495,013			(126,464	)		108,734		3,266		119,639		(7,639	)
LifePath 2030 Fund			1,023,934			41,664			473,620			591,978			83,701		3,159		38,654		48,206
LifePath 2040 Fund			886,001			27,253			709,858			203,396			71,055		2,004		58,091		14,968


Fund	Class A Dollar Amounts			Class A Share Amounts		Legacy Class A Dollar Amounts			Legacy Class A Share Amounts		Class R-2 Dollar Amounts			Class R-2 Share Amounts
Equity Fund		$	—		—		$	2,951,628		534,325		$	815,200		155,230
Small/Mid Cap Equity Fund			321		40			1,666,004		208,178			835,200		106,513
International Equity Fund			3,944		409			846,653		94,084			700,803		80,638
S&P 500 Index Fund			8,340		894			9,393,299		1,068,057			1,479,906		173,169
Small Cap Index Fund			550		49			3,499,834		332,971			758,532		73,419
International Index Fund			476		44			1,488,164		145,887			653,154		66,152
Equity and Bond Fund			—		—			3,520,778		466,373			372,848		51,192
Bond Fund			1,046		92			4,283,340		382,206			865,659		78,384
Tax Advantaged Bond Fund			—		—			442,961		39,496			—		—
Money Market Fund			—		—			706,368		706,368			1,343,083		1,343,083
LifePath Retirement Fund			10,523		923			1,299,158		114,686			1,525,802		136,852
LifePath 2020 Fund			74,326		6,294			1,075,664		87,874			4,140,526		343,114
LifePath 2030 Fund			70,652		5,771			889,716		72,106			2,920,515		237,917
LifePath 2040 Fund			57,244		4,646			638,352		51,805			2,221,689		181,080
LifePath 2050 Fund			—		—			—		—			69,465		7,557

180

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181

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the financial performance of each Fund for the past five years, or if the performance information is not available for these periods, since the Fund’s inception. Certain information reflects financial results for a single Fund share. The total returns within each 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).

STATE FARM MUTUAL FUND TRUST EQUITY FUND

(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
Year ended 12/31/2011		$	5.78		$	0.04			$	(0.09	)		$	(0.05	)		$	(0.04	)		$	—			$	(0.04	)
Year ended 12/31/2010			5.14			0.02				0.64				0.66				(0.02	)			—				(0.02	)
Year ended 12/31/2009			4.28			0.03				0.86				0.89				(0.03	)			—				(0.03	)
Year ended 12/31/2008			7.53			0.11				(3.24	)			(3.13	)			(0.11	)			(0.01	)			(0.12	)
Year ended 12/31/2007			8.76			0.15				(0.70	)			(0.55	)			(0.16	)			(0.52	)			(0.68	)
Class B Shares
Year ended 12/31/2011			5.77			—				(0.09	)			(0.09	)			—				—				—
Year ended 12/31/2010			5.15			(0.02	)			0.64				0.62				—				—				—
Year ended 12/31/2009			4.30			—				0.85				0.85				—				—				—
Year ended 12/31/2008			7.53			0.07				(3.22	)			(3.15	)			(0.07	)			(0.01	)			(0.08	)
Year ended 12/31/2007			8.77			0.09				(0.72	)			(0.63	)			(0.09	)			(0.52	)			(0.61	)
Legacy Class A Shares
Year ended 12/31/2011			5.99			0.04				(0.09	)			(0.05	)			(0.04	)			—				(0.04	)
Year ended 12/31/2010			5.32			0.02				0.67				0.69				(0.02	)			—				(0.02	)
Year ended 12/31/2009			4.43			0.03				0.89				0.92				(0.03	)			—				(0.03	)
Year ended 12/31/2008			7.78			0.12				(3.35	)			(3.23	)			(0.11	)			(0.01	)			(0.12	)
Year ended 12/31/2007			9.03			0.15				(0.73	)			(0.58	)			(0.15	)			(0.52	)			(0.67	)
Legacy Class B Shares
Year ended 12/31/2011			5.96			0.02				(0.10	)			(0.08	)			—				—				—
Year ended 12/31/2010			5.30			—				0.66				0.66				—				—				—
Year ended 12/31/2009			4.41			0.01				0.89				0.90				(0.01	)			—				(0.01	)
Year ended 12/31/2008			7.73			0.09				(3.32	)			(3.23	)			(0.08	)			(0.01	)			(0.09	)
Year ended 12/31/2007			8.97			0.12				(0.73	)			(0.61	)			(0.11	)			(0.52	)			(0.63	)
Institutional Shares
Year ended 12/31/2011			5.80			0.06				(0.09	)			(0.03	)			(0.06	)			—				(0.06	)
Year ended 12/31/2010			5.15			0.03				0.65				0.68				(0.03	)			—				(0.03	)
Year ended 12/31/2009			4.29			0.04				0.86				0.90				(0.04	)			—				(0.04	)
Year ended 12/31/2008			7.54			0.13				(3.24	)			(3.11	)			(0.13	)			(0.01	)			(0.14	)
Year ended 12/31/2007			8.78			0.17				(0.72	)			(0.55	)			(0.17	)			(0.52	)			(0.69	)
Class R-1 Shares
Year ended 12/31/2011			5.78			0.02				(0.09	)			(0.07	)			(0.02	)			—				(0.02	)
Year ended 12/31/2010			5.13			—				0.65				0.65				—				—				—
Year ended 12/31/2009			4.28			0.02				0.85				0.87				(0.02	)			—				(0.02	)
Year ended 12/31/2008			7.52			0.09				(3.22	)			(3.13	)			(0.10	)			(0.01	)			(0.11	)
Year ended 12/31/2007			8.75			0.12				(0.71	)			(0.59	)			(0.12	)			(0.52	)			(0.64	)
Class R-2 Shares
Year ended 12/31/2011			5.77			0.03				(0.08	)			(0.05	)			(0.04	)			—				(0.04	)
Year ended 12/31/2010			5.13			0.02				0.64				0.66				(0.02	)			—				(0.02	)
Year ended 12/31/2009			4.27			0.03				0.85				0.88				(0.02	)			—				(0.02	)
Year ended 12/31/2008			7.51			0.10				(3.23	)			(3.13	)			(0.10	)			(0.01	)			(0.11	)
Year ended 12/31/2007			8.76			0.14				(0.71	)			(0.57	)			(0.16	)			(0.52	)			(0.68	)
Class R-3 Shares
Year ended 12/31/2011			5.79			0.05				(0.09	)			(0.04	)			(0.05	)			—				(0.05	)
Year ended 12/31/2010			5.15			0.03				0.64				0.67				(0.03	)			—				(0.03	)
Year ended 12/31/2009			4.29			0.04				0.86				0.90				(0.04	)			—				(0.04	)
Year ended 12/31/2008			7.54			0.12				(3.24	)			(3.12	)			(0.12	)			(0.01	)			(0.13	)
Year ended 12/31/2007			8.77			0.17				(0.71	)			(0.54	)			(0.17	)			(0.52	)			(0.69	)

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

(b)	Net investment income represents less than $0.01 per share for Class B shares in 2011, Legacy Class B and Class R-1 shares in 2010 and Class B shares in 2009.

(c)	Net investment income distribution represents less than $0.01 per share for Class B and Legacy Class B shares in 2011.

(d)	Total return 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)	Net investment income represents less than 0.005% per share for Class B shares in 2011.


182		See accompanying notes to financial statements.


				Ratios/supplemental data
							Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (d)			Net assets, end of period (millions)			Expenses			Net investment income (loss) (e)			Expenses			Net investment income (loss) (e)			Portfolio turnover rate

$5.69		(0.79	)%		$	38.0		1.18	%		0.71	%		1.18	%		0.71	%		43	%
5.78		12.89				32.1		1.20			0.40			1.20			0.40			54
5.14		20.82				20.8		1.20			0.70			1.21			0.69			70
4.28		(41.52	)			10.8		1.19			1.82			1.19			1.82			143
7.53		(6.38	)			14.7		1.17			1.72			1.17			1.72			46

5.68		(1.53	)			4.3		1.88			0.00			1.88			0.00			43
5.77		12.04				4.2		1.90			(0.30	)		1.90			(0.30	)		54
5.15		19.77				3.5		1.90			0.02			1.91			0.01			70
4.30		(41.84	)			2.6		1.89			1.13			1.89			1.13			143
7.53		(7.27	)			4.3		1.87			0.99			1.87			0.99			46

5.90		(0.82	)			69.4		1.18			0.70			1.18			0.70			43
5.99		12.94				69.8		1.20			0.39			1.20			0.39			54
5.32		20.68				62.8		1.20			0.72			1.22			0.70			70
4.43		(41.54	)			52.9		1.19			1.83			1.19			1.83			143
7.78		(6.57	)			100.4		1.17			1.68			1.17			1.68			46

5.88		(1.29	)			11.7		1.58			0.27			1.58			0.27			43
5.96		12.45				18.4		1.60			(0.01	)		1.60			(0.01	)		54
5.30		20.32				21.0		1.60			0.33			1.62			0.31			70
4.41		(41.77	)			19.3		1.59			1.44			1.59			1.44			143
7.73		(6.91	)			37.8		1.57			1.28			1.57			1.28			46

5.71		(0.57	)			130.2		0.93			0.95			0.93			0.95			43
5.80		13.26				132.2		0.95			0.65			0.95			0.65			54
5.15		20.93				114.4		0.95			0.97			0.96			0.96			70
4.29		(41.28	)			91.2		0.94			2.06			0.94			2.06			143
7.54		(6.36	)			126.0		0.92			1.93			0.92			1.93			46

5.69		(1.16	)			2.2		1.50			0.38			1.50			0.38			43
5.78		12.67				2.3		1.52			0.07			1.52			0.07			54
5.13		20.21				2.7		1.52			0.39			1.53			0.38			70
4.28		(41.63	)			1.7		1.51			1.50			1.51			1.50			143
7.52		(6.84	)			2.3		1.49			1.38			1.49			1.38			46

5.68		(0.94	)			7.5		1.30			0.57			1.30			0.57			43
5.77		12.79				7.0		1.32			0.29			1.32			0.29			54
5.13		20.68				4.4		1.32			0.60			1.33			0.59			70
4.27		(41.62	)			3.3		1.31			1.70			1.31			1.70			143
7.51		(6.66	)			5.7		1.29			1.61			1.29			1.61			46

5.70		(0.66	)			1.8		1.00			0.87			1.00			0.87			43
5.79		13.00				1.9		1.02			0.58			1.02			0.58			54
5.15		20.91				1.1		1.02			0.91			1.03			0.90			70
4.29		(41.36	)			0.7		1.01			2.00			1.01			2.00			143
7.54		(6.32	)			1.2		0.99			1.87			0.99			1.87			46


See accompanying notes to financial statements.		183

STATE FARM MUTUAL FUND TRUST SMALL/MID CAP EQUITY FUND

(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			Net realized gain				Total distributions
Class A Shares
Year ended 12/31/2011		$	9.24		$	(0.02	)		$	(0.23	)		$	(0.25	)		$	—		$	—			$	—
Year ended 12/31/2010			7.55			(0.02	)			1.71				1.69				—			—				—
Year ended 12/31/2009			5.84			(0.01	)			1.72				1.71				—			—				—
Year ended 12/31/2008			10.92			(0.03	)			(5.00	)			(5.03	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.80			(0.06	)			1.74				1.68				—			(1.56	)			(1.56	)
Class B Shares
Year ended 12/31/2011			8.95			(0.08	)			(0.22	)			(0.30	)			—			—				—
Year ended 12/31/2010			7.35			(0.06	)			1.66				1.60				—			—				—
Year ended 12/31/2009			5.73			(0.04	)			1.66				1.62				—			—				—
Year ended 12/31/2008			10.77			(0.09	)			(4.90	)			(4.99	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.75			(0.14	)			1.72				1.58				—			(1.56	)			(1.56	)
Legacy Class A Shares
Year ended 12/31/2011			9.07			(0.02	)			(0.22	)			(0.24	)			—			—				—
Year ended 12/31/2010			7.41			(0.02	)			1.68				1.66				—			—				—
Year ended 12/31/2009			5.74			(0.01	)			1.68				1.67				—			—				—
Year ended 12/31/2008			10.72			(0.03	)			(4.90	)			(4.93	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.64			(0.06	)			1.70				1.64				—			(1.56	)			(1.56	)
Legacy Class B Shares
Year ended 12/31/2011			8.65			(0.06	)			(0.20	)			(0.26	)			—			—				—
Year ended 12/31/2010			7.10			(0.05	)			1.60				1.55				—			—				—
Year ended 12/31/2009			5.52			(0.03	)			1.61				1.58				—			—				—
Year ended 12/31/2008			10.36			(0.07	)			(4.72	)			(4.79	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.36			(0.10	)			1.66				1.56				—			(1.56	)			(1.56	)
Institutional Shares
Year ended 12/31/2011			9.35			—				(0.22	)			(0.22	)			—			—				—
Year ended 12/31/2010			7.62			—				1.73				1.73				—			—				—
Year ended 12/31/2009			5.89			0.01				1.72				1.73				—			—				—
Year ended 12/31/2008			10.97			(0.01	)			(5.02	)			(5.03	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.83			(0.03	)			1.73				1.70				—			(1.56	)			(1.56	)
Class R-1 Shares
Year ended 12/31/2011			8.96			(0.05	)			(0.22	)			(0.27	)			—			—				—
Year ended 12/31/2010			7.34			(0.04	)			1.66				1.62				—			—				—
Year ended 12/31/2009			5.70			(0.03	)			1.67				1.64				—			—				—
Year ended 12/31/2008			10.69			(0.06	)			(4.88	)			(4.94	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.64			(0.10	)			1.71				1.61				—			(1.56	)			(1.56	)
Class R-2 Shares
Year ended 12/31/2011			9.08			(0.03	)			(0.22	)			(0.25	)			—			—				—
Year ended 12/31/2010			7.43			(0.02	)			1.67				1.65				—			—				—
Year ended 12/31/2009			5.76			(0.01	)			1.68				1.67				—			—				—
Year ended 12/31/2008			10.77			(0.04	)			(4.92	)			(4.96	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.70			(0.07	)			1.70				1.63				—			(1.56	)			(1.56	)
Class R-3 Shares
Year ended 12/31/2011			9.29			(0.01	)			(0.22	)			(0.23	)			—			—				—
Year ended 12/31/2010			7.57			—				1.72				1.72				—			—				—
Year ended 12/31/2009			5.86			—				1.71				1.71				—			—				—
Year ended 12/31/2008			10.92			(0.02	)			(4.99	)			(5.01	)			—			(0.05	)			(0.05	)
Year ended 12/31/2007			10.78			(0.04	)			1.74				1.70				—			(1.56	)			(1.56	)

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

(b)	Net investment income represents less than $0.01 per share for Institutional shares in 2011, Institutional and Class R-3 shares in 2010 and Class R-3 shares in 2009.

(c)	Total return 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.


184		See accompanying notes to financial statements.


				Ratios/supplemental data
							Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (c)			Net assets, end of period (millions)			Expenses			Net investment income (loss)			Expenses			Net investment income (loss)			Portfolio turnover rate

$ 8.99		(2.71	)%		$	39.3		1.40	%		(0.23	)%		1.43	%		(0.26	)%		86	%
9.24		22.38				36.0		1.40			(0.19	)		1.47			(0.26	)		107
7.55		29.28				25.1		1.40			(0.12	)		1.49			(0.21	)		130
5.84		(46.01	)			15.4		1.40			(0.35	)		1.45			(0.40	)		99
10.92		15.49				21.5		1.40			(0.47	)		1.44			(0.51	)		98

8.65		(3.35	)			9.4		2.10			(0.94	)		2.13			(0.97	)		86
8.95		21.77				9.4		2.00			(0.80	)		2.07			(0.87	)		107
7.35		28.27				7.6		2.00			(0.72	)		2.10			(0.82	)		130
5.73		(46.28	)			5.7		2.00			(0.96	)		2.04			(1.00	)		99
10.77		14.63				10.1		2.10			(1.18	)		2.14			(1.22	)		98

8.83		(2.65	)			65.9		1.40			(0.24	)		1.43			(0.27	)		86
9.07		22.40				67.2		1.40			(0.20	)		1.47			(0.27	)		107
7.41		29.09				55.5		1.40			(0.12	)		1.50			(0.22	)		130
5.74		(45.94	)			43.2		1.40			(0.37	)		1.45			(0.42	)		99
10.72		15.33				82.5		1.40			(0.48	)		1.44			(0.52	)		98

8.39		(3.01	)			13.4		1.80			(0.66	)		1.83			(0.69	)		86
8.65		21.83				17.8		1.80			(0.62	)		1.87			(0.69	)		107
7.10		28.62				17.2		1.80			(0.52	)		1.90			(0.62	)		130
5.52		(46.18	)			14.3		1.80			(0.77	)		1.85			(0.82	)		99
10.36		14.99				27.8		1.80			(0.88	)		1.84			(0.92	)		98

9.13		(2.35	)			26.2		1.15			0.01			1.18			(0.02	)		86
9.35		22.70				25.9		1.15			0.05			1.22			(0.02	)		107
7.62		29.37				20.2		1.15			0.13			1.25			0.03			130
5.89		(45.80	)			14.0		1.15			(0.11	)		1.20			(0.16	)		99
10.97		15.62				23.6		1.15			(0.22	)		1.19			(0.26	)		98

8.69		(3.01	)			3.0		1.72			(0.56	)		1.75			(0.59	)		86
8.96		22.07				3.3		1.72			(0.53	)		1.79			(0.60	)		107
7.34		28.77				3.1		1.72			(0.44	)		1.81			(0.53	)		130
5.70		(46.16	)			1.9		1.72			(0.68	)		1.77			(0.73	)		99
10.69		15.07				2.7		1.72			(0.81	)		1.76			(0.85	)		98

8.83		(2.75	)			6.4		1.52			(0.38	)		1.55			(0.41	)		86
9.08		22.21				7.1		1.52			(0.30	)		1.59			(0.37	)		107
7.43		28.99				4.4		1.52			(0.24	)		1.62			(0.34	)		130
5.76		(46.00	)			3.4		1.52			(0.48	)		1.57			(0.53	)		99
10.77		15.16				5.4		1.52			(0.58	)		1.56			(0.62	)		98

9.06		(2.48	)			1.6		1.22			(0.07	)		1.25			(0.10	)		86
9.29		22.72				1.9		1.22			(0.02	)		1.29			(0.09	)		107
7.57		29.18				1.2		1.22			0.07			1.32			(0.03	)		130
5.86		(45.83	)			0.8		1.22			(0.18	)		1.27			(0.23	)		99
10.92		15.71				1.4		1.22			(0.30	)		1.26			(0.34	)		98


See accompanying notes to financial statements.		185

STATE FARM MUTUAL FUND TRUST INTERNATIONAL EQUITY FUND

(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
Year ended 12/31/2011		$	9.77		$	0.07		$	(1.43	)		$	(1.36	)		$	(0.13	)		$	—			$	(0.13	)
Year ended 12/31/2010			8.87			0.05			0.99				1.04				(0.14	)			—				(0.14	)
Year ended 12/31/2009			6.57			0.05			2.30				2.35				(0.05	)			—				(0.05	)
Year ended 12/31/2008			12.80			0.16			(6.18	)			(6.02	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.44			0.09			1.28				1.37				(0.15	)			(0.86	)			(1.01	)
Class B Shares
Year ended 12/31/2011			9.70			0.01			(1.41	)			(1.40	)			(0.07	)			—				(0.07	)
Year ended 12/31/2010			8.81			—			0.98				0.98				(0.09	)			—				(0.09	)
Year ended 12/31/2009			6.53			0.01			2.27				2.28				—				—				—
Year ended 12/31/2008			12.80			0.10			(6.16	)			(6.06	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.44			—			1.27				1.27				(0.05	)			(0.86	)			(0.91	)
Legacy Class A Shares
Year ended 12/31/2011			9.85			0.07			(1.44	)			(1.37	)			(0.13	)			—				(0.13	)
Year ended 12/31/2010			8.94			0.05			1.00				1.05				(0.14	)			—				(0.14	)
Year ended 12/31/2009			6.61			0.05			2.32				2.37				(0.04	)			—				(0.04	)
Year ended 12/31/2008			12.88			0.16			(6.22	)			(6.06	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.51			0.10			1.27				1.37				(0.14	)			(0.86	)			(1.00	)
Legacy Class B Shares
Year ended 12/31/2011			9.76			0.04			(1.42	)			(1.38	)			(0.09	)			—				(0.09	)
Year ended 12/31/2010			8.86			0.02			0.98				1.00				(0.10	)			—				(0.10	)
Year ended 12/31/2009			6.56			0.02			2.29				2.31				(0.01	)			—				(0.01	)
Year ended 12/31/2008			12.83			0.12			(6.18	)			(6.06	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.47			0.04			1.27				1.31				(0.09	)			(0.86	)			(0.95	)
Institutional Shares
Year ended 12/31/2011			9.83			0.10			(1.44	)			(1.34	)			(0.16	)			—				(0.16	)
Year ended 12/31/2010			8.92			0.07			1.00				1.07				(0.16	)			—				(0.16	)
Year ended 12/31/2009			6.59			0.07			2.32				2.39				(0.06	)			—				(0.06	)
Year ended 12/31/2008			12.81			0.19			(6.20	)			(6.01	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.45			0.13			1.27				1.40				(0.18	)			(0.86	)			(1.04	)
Class R-1 Shares
Year ended 12/31/2011			9.74			0.04			(1.42	)			(1.38	)			(0.10	)			—				(0.10	)
Year ended 12/31/2010			8.84			0.02			0.99				1.01				(0.11	)			—				(0.11	)
Year ended 12/31/2009			6.55			0.03			2.28				2.31				(0.02	)			—				(0.02	)
Year ended 12/31/2008			12.80			0.13			(6.17	)			(6.04	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.44			0.05			1.28				1.33				(0.11	)			(0.86	)			(0.97	)
Class R-2 Shares
Year ended 12/31/2011			9.77			0.06			(1.42	)			(1.36	)			(0.12	)			—				(0.12	)
Year ended 12/31/2010			8.87			0.04			0.99				1.03				(0.13	)			—				(0.13	)
Year ended 12/31/2009			6.57			0.04			2.30				2.34				(0.04	)			—				(0.04	)
Year ended 12/31/2008			12.81			0.15			(6.18	)			(6.03	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.47			0.06			1.29				1.35				(0.15	)			(0.86	)			(1.01	)
Class R-3 Shares
Year ended 12/31/2011			9.83			0.09			(1.44	)			(1.35	)			(0.15	)			—				(0.15	)
Year ended 12/31/2010			8.91			0.07			1.00				1.07				(0.15	)			—				(0.15	)
Year ended 12/31/2009			6.59			0.07			2.31				2.38				(0.06	)			—				(0.06	)
Year ended 12/31/2008			12.82			0.18			(6.20	)			(6.02	)			—				(0.21	)			(0.21	)
Year ended 12/31/2007			12.46			0.12			1.27				1.39				(0.17	)			(0.86	)			(1.03	)

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

(b)	Net investment income represents less than $0.01 per share for Class B shares in 2010 and 2007.

(c)	Net investment income distribution represents less than $0.01 per share for Class B shares in 2009.

(d)	Total return 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.


186		See accompanying notes to financial statements.


				Ratios/supplemental data
							Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (d)			Net assets, end of period (millions)			Expenses			Net investment income (loss)			Expenses			Net investment income (loss)			Portfolio turnover rate

$ 8.28		(13.89	)%		$	23.3		1.50	%		0.77	%		1.63	%		0.64	%		57	%
9.77		11.75				24.9		1.50			0.55			1.68			0.37			66
8.87		35.73				18.2		1.50			0.66			1.72			0.44			62
6.57		(47.02	)			11.0		1.50			1.58			1.67			1.41			154
12.80		10.80				17.9		1.50			0.69			1.60			0.59			52

8.23		(14.45	)			7.8		2.20			0.07			2.33			(0.06	)		57
9.70		11.09				9.1		2.10			(0.04	)		2.27			(0.21	)		66
8.81		34.92				8.2		2.10			0.12			2.34			(0.12	)		62
6.53		(47.34	)			6.0		2.10			0.98			2.27			0.81			154
12.80		10.00				11.3		2.20			0.03			2.30			(0.07	)		52

8.35		(13.89	)			38.6		1.50			0.77			1.63			0.64			57
9.85		11.72				45.5		1.50			0.57			1.67			0.40			66
8.94		35.90				41.8		1.50			0.71			1.73			0.48			62
6.61		(47.04	)			31.0		1.50			1.59			1.67			1.42			154
12.88		10.66				61.6		1.50			0.73			1.60			0.63			52

8.29		(14.14	)			10.1		1.90			0.38			2.03			0.25			57
9.76		11.27				13.3		1.90			0.18			2.07			0.01			66
8.86		35.26				13.5		1.90			0.33			2.13			0.10			62
6.56		(47.27	)			10.5		1.90			1.18			2.07			1.01			154
12.83		10.36				21.0		1.90			0.33			2.00			0.23			52

8.33		(13.68	)			13.6		1.25			1.03			1.38			0.90			57
9.83		12.01				15.3		1.25			0.82			1.43			0.64			66
8.92		36.31				12.8		1.25			0.93			1.48			0.70			62
6.59		(46.91	)			8.2		1.25			1.83			1.42			1.66			154
12.81		10.91				14.7		1.25			0.96			1.35			0.86			52

8.26		(14.16	)			2.4		1.82			0.48			1.95			0.35			57
9.74		11.40				2.9		1.82			0.24			1.99			0.07			66
8.84		35.31				3.2		1.82			0.37			2.05			0.14			62
6.55		(47.18	)			2.1		1.82			1.26			2.00			1.08			154
12.80		10.43				3.0		1.82			0.38			1.92			0.28			52

8.29		(13.94	)			4.7		1.62			0.66			1.75			0.53			57
9.77		11.63				5.8		1.62			0.43			1.80			0.25			66
8.87		35.59				3.8		1.62			0.52			1.85			0.29			62
6.57		(47.06	)			2.6		1.62			1.48			1.79			1.31			154
12.81		10.59				4.7		1.62			0.49			1.73			0.38			52

8.33		(13.75	)			1.6		1.32			0.95			1.45			0.82			57
9.83		12.06				1.9		1.32			0.75			1.49			0.58			66
8.91		36.08				1.4		1.32			0.89			1.55			0.66			62
6.59		(46.99	)			0.9		1.32			1.76			1.49			1.59			154
12.82		10.99				1.7		1.32			0.91			1.42			0.81			52


See accompanying notes to financial statements.		187

STATE FARM MUTUAL FUND TRUST S&P 500 INDEX FUND

(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) (c)				Total from investment operations				Net investment income				Net realized gain				Total distributions
Class A Shares
Year ended 12/31/2011		$	9.45		$	0.13		$	—			$	0.13			$	(0.13	)		$	—			$	(0.13	)
Year ended 12/31/2010			8.37			0.11			1.08				1.19				(0.11	)			—				(0.11	)
Year ended 12/31/2009			6.74			0.12			1.62				1.74				(0.11	)			—				(0.11	)
Year ended 12/31/2008			11.08			0.15			(4.32	)			(4.17	)			(0.16	)			(0.01	)			(0.17	)
Year ended 12/31/2007			10.77			0.15			0.35				0.50				(0.15	)			(0.04	)			(0.19	)
Class B Shares
Year ended 12/31/2011			9.48			0.06			—				0.06				(0.06	)			—				(0.06	)
Year ended 12/31/2010			8.40			0.05			1.08				1.13				(0.05	)			—				(0.05	)
Year ended 12/31/2009			6.77			0.07			1.61				1.68				(0.05	)			—				(0.05	)
Year ended 12/31/2008			11.10			0.09			(4.31	)			(4.22	)			(0.10	)			(0.01	)			(0.11	)
Year ended 12/31/2007			10.77			0.06			0.38				0.44				(0.07	)			(0.04	)			(0.11	)
Legacy Class A Shares
Year ended 12/31/2011			9.48			0.13			—				0.13				(0.13	)			—				(0.13	)
Year ended 12/31/2010			8.40			0.11			1.08				1.19				(0.11	)			—				(0.11	)
Year ended 12/31/2009			6.76			0.12			1.62				1.74				(0.10	)			—				(0.10	)
Year ended 12/31/2008			11.09			0.15			(4.31	)			(4.16	)			(0.16	)			(0.01	)			(0.17	)
Year ended 12/31/2007			10.76			0.14			0.37				0.51				(0.14	)			(0.04	)			(0.18	)
Legacy Class B Shares
Year ended 12/31/2011			9.51			0.09			(0.01	)			0.08				(0.07	)			—				(0.07	)
Year ended 12/31/2010			8.41			0.08			1.08				1.16				(0.06	)			—				(0.06	)
Year ended 12/31/2009			6.77			0.09			1.62				1.71				(0.07	)			—				(0.07	)
Year ended 12/31/2008			11.09			0.11			(4.31	)			(4.20	)			(0.11	)			(0.01	)			(0.12	)
Year ended 12/31/2007			10.75			0.10			0.37				0.47				(0.09	)			(0.04	)			(0.13	)
Institutional Shares
Year ended 12/31/2011			9.51			0.15			—				0.15				(0.15	)			—				(0.15	)
Year ended 12/31/2010			8.41			0.13			1.10				1.23				(0.13	)			—				(0.13	)
Year ended 12/31/2009			6.76			0.13			1.64				1.77				(0.12	)			—				(0.12	)
Year ended 12/31/2008			11.12			0.17			(4.34	)			(4.17	)			(0.18	)			(0.01	)			(0.19	)
Year ended 12/31/2007			10.79			0.17			0.37				0.54				(0.17	)			(0.04	)			(0.21	)
Class R-1 Shares
Year ended 12/31/2011			9.48			0.10			(0.01	)			0.09				(0.10	)			—				(0.10	)
Year ended 12/31/2010			8.39			0.08			1.09				1.17				(0.08	)			—				(0.08	)
Year ended 12/31/2009			6.75			0.09			1.63				1.72				(0.08	)			—				(0.08	)
Year ended 12/31/2008			11.09			0.12			(4.32	)			(4.20	)			(0.13	)			(0.01	)			(0.14	)
Year ended 12/31/2007			10.76			0.11			0.36				0.47				(0.10	)			(0.04	)			(0.14	)
Class R-2 Shares
Year ended 12/31/2011			9.44			0.12			—				0.12				(0.13	)			—				(0.13	)
Year ended 12/31/2010			8.36			0.10			1.08				1.18				(0.10	)			—				(0.10	)
Year ended 12/31/2009			6.73			0.11			1.62				1.73				(0.10	)			—				(0.10	)
Year ended 12/31/2008			11.06			0.14			(4.31	)			(4.17	)			(0.15	)			(0.01	)			(0.16	)
Year ended 12/31/2007			10.75			0.13			0.36				0.49				(0.14	)			(0.04	)			(0.18	)
Class R-3 Shares
Year ended 12/31/2011			9.50			0.15			—				0.15				(0.15	)			—				(0.15	)
Year ended 12/31/2010			8.42			0.13			1.08				1.21				(0.13	)			—				(0.13	)
Year ended 12/31/2009			6.77			0.13			1.63				1.76				(0.11	)			—				(0.11	)
Year ended 12/31/2008			11.12			0.17			(4.33	)			(4.16	)			(0.18	)			(0.01	)			(0.19	)
Year ended 12/31/2007			10.79			0.16			0.37				0.53				(0.16	)			(0.04	)			(0.20	)

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

(b)

Net amounts and ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio and applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, assuming applicable expense reductions, were 0.05% and 2.08%, respectively, for the year ended December 31, 2011.

(c)	Net gain (loss) on investments represents less than $0.01 per share for Class A, Class B, Legacy Class A, Institutional, Class R-2 and Class R-3 shares in 2011.

(d)	Total return 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)

Ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio but do not reflect otherwise applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, excluding any otherwise applicable expense reductions, were 0.06% and 2.07%, respectively, for the year ended December 31, 2011.

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


188		See accompanying notes to financial statements.


				Ratios/supplemental data
							Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (d)			Net assets, end of period (millions)			Expenses (b)			Net investment income (loss) (b)			Expenses (e)			Net investment income (loss) (e)			Portfolio turnover rate (f)

$ 9.45		1.39	%		$	115.0		0.80	%		1.34	%		0.81	%		1.33	%		5	%
9.45		14.27				98.5		0.79			1.29			0.79			1.29			9
8.37		25.76				68.7		0.79			1.60			0.80			1.59			5
6.74		(37.51	)			40.4		0.79			1.63			0.79			1.63			8
11.08		4.69				51.4		0.78			1.30			0.78			1.30			7

9.48		0.67				15.8		1.50			0.64			1.51			0.63			5
9.48		13.43				15.3		1.49			0.59			1.49			0.59			9
8.40		24.87				12.9		1.50			0.92			1.50			0.92			5
6.77		(37.96	)			9.6		1.49			0.93			1.49			0.93			8
11.10		4.09				14.2		1.48			0.58			1.48			0.58			7

9.48		1.35				277.0		0.80			1.33			0.81			1.32			5
9.48		14.17				275.7		0.79			1.28			0.79			1.28			9
8.40		25.74				247.7		0.80			1.63			0.80			1.63			5
6.76		(37.46	)			208.0		0.79			1.61			0.79			1.61			8
11.09		4.73				372.3		0.78			1.27			0.78			1.27			7

9.52		0.87				52.2		1.20			0.91			1.21			0.90			5
9.51		13.84				77.0		1.19			0.88			1.19			0.88			9
8.41		25.25				82.9		1.20			1.23			1.20			1.23			5
6.77		(37.78	)			72.5		1.19			1.20			1.19			1.20			8
11.09		4.41				141.3		1.18			0.87			1.18			0.87			7

9.51		1.61				68.3		0.55			1.58			0.56			1.57			5
9.51		14.66				67.0		0.54			1.53			0.54			1.53			9
8.41		26.15				57.2		0.55			1.86			0.55			1.86			5
6.76		(37.39	)			41.9		0.54			1.86			0.54			1.86			8
11.12		4.99				74.2		0.53			1.52			0.53			1.52			7

9.47		0.98				6.0		1.12			1.02			1.13			1.01			5
9.48		13.89				5.9		1.11			0.96			1.11			0.96			9
8.39		25.47				6.6		1.12			1.29			1.12			1.29			5
6.75		(37.76	)			4.8		1.11			1.32			1.11			1.32			8
11.09		4.40				6.2		1.10			0.95			1.10			0.95			7

9.43		1.21				13.3		0.92			1.21			0.93			1.20			5
9.44		14.14				12.6		0.91			1.17			0.91			1.17			9
8.36		25.66				9.2		0.92			1.50			0.92			1.50			5
6.73		(37.60	)			6.5		0.91			1.51			0.91			1.51			8
11.06		4.58				9.6		0.90			1.17			0.90			1.17			7

9.50		1.60				1.9		0.62			1.51			0.63			1.50			5
9.50		14.35				2.0		0.61			1.47			0.61			1.47			9
8.42		26.03				1.6		0.62			1.81			0.62			1.81			5
6.77		(37.35	)			1.3		0.61			1.81			0.61			1.81			8
11.12		4.92				1.9		0.60			1.45			0.60			1.45			7


See accompanying notes to financial statements.		189

STATE FARM MUTUAL FUND TRUST SMALL CAP INDEX FUND

(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				Net realized gain (c)				Total distributions
Class A Shares
Year ended 12/31/2011		$	12.09		$	0.03			$	(0.63	)		$	(0.60	)		$	(0.03	)		$	(0.11	)		$	(0.14	)
Year ended 12/31/2010			9.65			0.04				2.44				2.48				(0.04	)			—				(0.04	)
Year ended 12/31/2009			7.68			0.04				1.97				2.01				(0.04	)			—				(0.04	)
Year ended 12/31/2008			13.04			0.06				(4.62	)			(4.56	)			(0.05	)			(0.75	)			(0.80	)
Year ended 12/31/2007			14.32			0.10				(0.46	)			(0.36	)			(0.10	)			(0.82	)			(0.92	)
Class B Shares
Year ended 12/31/2011			11.98			(0.05	)			(0.64	)			(0.69	)			—				(0.11	)			(0.11	)
Year ended 12/31/2010			9.60			(0.03	)			2.41				2.38				—				—				—
Year ended 12/31/2009			7.66			(0.02	)			1.96				1.94				—				—				—
Year ended 12/31/2008			13.01			(0.02	)			(4.58	)			(4.60	)			—				(0.75	)			(0.75	)
Year ended 12/31/2007			14.29			(0.01	)			(0.45	)			(0.46	)			—				(0.82	)			(0.82	)
Legacy Class A Shares
Year ended 12/31/2011			11.98			0.03				(0.64	)			(0.61	)			(0.02	)			(0.11	)			(0.13	)
Year ended 12/31/2010			9.56			0.04				2.41				2.45				(0.03	)			—				(0.03	)
Year ended 12/31/2009			7.61			0.04				1.95				1.99				(0.04	)			—				(0.04	)
Year ended 12/31/2008			12.91			0.06				(4.57	)			(4.51	)			(0.04	)			(0.75	)			(0.79	)
Year ended 12/31/2007			14.17			0.09				(0.45	)			(0.36	)			(0.08	)			(0.82	)			(0.90	)
Legacy Class B Shares
Year ended 12/31/2011			11.80			(0.02	)			(0.62	)			(0.64	)			—				(0.11	)			(0.11	)
Year ended 12/31/2010			9.42			—				2.38				2.38				—				—				—
Year ended 12/31/2009			7.51			0.01				1.91				1.92				(0.01	)			—				(0.01	)
Year ended 12/31/2008			12.74			0.02				(4.50	)			(4.48	)			—				(0.75	)			(0.75	)
Year ended 12/31/2007			13.99			0.03				(0.44	)			(0.41	)			(0.02	)			(0.82	)			(0.84	)
Institutional Shares
Year ended 12/31/2011			12.14			0.06				(0.65	)			(0.59	)			(0.05	)			(0.11	)			(0.16	)
Year ended 12/31/2010			9.68			0.07				2.45				2.52				(0.06	)			—				(0.06	)
Year ended 12/31/2009			7.70			0.06				1.98				2.04				(0.06	)			—				(0.06	)
Year ended 12/31/2008			13.06			0.09				(4.63	)			(4.54	)			(0.07	)			(0.75	)			(0.82	)
Year ended 12/31/2007			14.33			0.13				(0.46	)			(0.33	)			(0.12	)			(0.82	)			(0.94	)
Class R-1 Shares
Year ended 12/31/2011			12.08			(0.01	)			(0.64	)			(0.65	)			—				(0.11	)			(0.11	)
Year ended 12/31/2010			9.64			—				2.44				2.44				—				—				—
Year ended 12/31/2009			7.67			0.01				1.97				1.98				(0.01	)			—				(0.01	)
Year ended 12/31/2008			13.00			0.03				(4.60	)			(4.57	)			(0.01	)			(0.75	)			(0.76	)
Year ended 12/31/2007			14.26			0.05				(0.45	)			(0.40	)			(0.04	)			(0.82	)			(0.86	)
Class R-2 Shares
Year ended 12/31/2011			12.08			0.02				(0.64	)			(0.62	)			(0.01	)			(0.11	)			(0.12	)
Year ended 12/31/2010			9.64			0.03				2.43				2.46				(0.02	)			—				(0.02	)
Year ended 12/31/2009			7.68			0.03				1.97				2.00				(0.04	)			—				(0.04	)
Year ended 12/31/2008			13.03			0.05				(4.62	)			(4.57	)			(0.03	)			(0.75	)			(0.78	)
Year ended 12/31/2007			14.31			0.08				(0.46	)			(0.38	)			(0.08	)			(0.82	)			(0.90	)
Class R-3 Shares
Year ended 12/31/2011			12.15			0.05				(0.65	)			(0.60	)			(0.04	)			(0.11	)			(0.15	)
Year ended 12/31/2010			9.69			0.06				2.45				2.51				(0.05	)			—				(0.05	)
Year ended 12/31/2009			7.71			0.05				1.98				2.03				(0.05	)			—				(0.05	)
Year ended 12/31/2008			13.06			0.08				(4.61	)			(4.53	)			(0.07	)			(0.75	)			(0.82	)
Year ended 12/31/2007			14.33			0.12				(0.46	)			(0.34	)			(0.11	)			(0.82	)			(0.93	)

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

(b)	Net investment income represents less than $0.01 per share for Legacy Class B and Class R-1 shares in 2010.

(c)	Net realized gain distributions represent less than $0.01 per share in 2009.

(d)	Total return 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.


190		See accompanying notes to financial statements.


				Ratios/supplemental data
							Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (d)			Net assets, end of period (millions)			Expenses			Net investment income (loss)			Expenses			Net investment income (loss)			Portfolio turnover rate

$11.35		(4.97	)%		$	41.8		0.95	%		0.28	%		0.98	%		0.25	%		14	%
12.09		25.66				39.6		0.95			0.41			1.01			0.35			15
9.65		26.21				26.3		0.95			0.50			1.03			0.42			20
7.68		(34.60	)			17.5		0.95			0.57			1.00			0.52			20
13.04		(2.58	)			23.5		0.95			0.68			0.99			0.64			18

11.18		(5.73	)			9.6		1.65			(0.43	)		1.68			(0.46	)		14
11.98		24.79				10.1		1.65			(0.31	)		1.71			(0.37	)		15
9.60		25.33				7.9		1.65			(0.21	)		1.73			(0.29	)		20
7.66		(35.00	)			6.1		1.65			(0.14	)		1.70			(0.19	)		20
13.01		(3.24	)			9.9		1.65			(0.05	)		1.68			(0.08	)		18

11.24		(5.04	)			134.7		0.95			0.27			0.98			0.24			14
11.98		25.65				143.8		0.95			0.39			1.01			0.33			15
9.56		26.13				118.3		0.95			0.49			1.03			0.41			20
7.61		(34.53	)			97.8		0.95			0.55			1.00			0.50			20
12.91		(2.56	)			165.8		0.95			0.64			0.98			0.61			18

11.05		(5.39	)			32.5		1.35			(0.15	)		1.38			(0.18	)		14
11.80		25.27				44.1		1.35			(0.03	)		1.41			(0.09	)		15
9.42		25.54				41.1		1.35			0.09			1.43			0.01			20
7.51		(34.79	)			35.2		1.35			0.15			1.40			0.10			20
12.74		(2.93	)			61.0		1.35			0.25			1.38			0.22			18

11.39		(4.81	)			47.6		0.70			0.51			0.73			0.48			14
12.14		26.01				50.3		0.70			0.64			0.76			0.58			15
9.68		26.47				38.9		0.70			0.74			0.78			0.66			20
7.70		(34.35	)			28.9		0.70			0.81			0.75			0.76			20
13.06		(2.34	)			42.7		0.70			0.90			0.73			0.87			18

11.32		(5.35	)			2.7		1.27			(0.06	)		1.30			(0.09	)		14
12.08		25.31				3.0		1.27			0.04			1.33			(0.02	)		15
9.64		25.86				3.0		1.27			0.17			1.35			0.09			20
7.67		(34.77	)			2.3		1.27			0.24			1.32			0.19			20
13.00		(2.87	)			3.1		1.27			0.33			1.30			0.30			18

11.34		(5.13	)			5.6		1.07			0.13			1.10			0.10			14
12.08		25.57				5.9		1.07			0.29			1.13			0.23			15
9.64		26.00				3.7		1.07			0.38			1.15			0.30			20
7.68		(34.67	)			2.7		1.07			0.44			1.12			0.39			20
13.03		(2.67	)			4.2		1.07			0.55			1.11			0.51			18

11.40		(4.88	)			1.5		0.77			0.44			0.80			0.41			14
12.15		25.92				1.7		0.77			0.58			0.83			0.52			15
9.69		26.38				1.2		0.77			0.68			0.85			0.60			20
7.71		(34.33	)			0.8		0.77			0.74			0.82			0.69			20
13.06		(2.40	)			1.3		0.77			0.83			0.80			0.80			18


See accompanying notes to financial statements.		191

STATE FARM MUTUAL FUND TRUST INTERNATIONAL INDEX FUND

(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
Year ended 12/31/2011	$10.84	$0.22	$(1.62)	$(1.40)	$(0.25)	$—	$(0.25)
Year ended 12/31/2010	10.33	0.16	0.52	0.68	(0.17)	—	(0.17)
Year ended 12/31/2009	8.25	0.17	2.12	2.29	(0.21)	—	(0.21)
Year ended 12/31/2008	14.67	0.29	(6.51)	(6.22)	(0.20)	—	(0.20)
Year ended 12/31/2007	13.84	0.25	1.12	1.37	(0.34)	(0.20)	(0.54)
Class B Shares
Year ended 12/31/2011	10.84	0.16	(1.63)	(1.47)	(0.17)	—	(0.17)
Year ended 12/31/2010	10.34	0.09	0.51	0.60	(0.10)	—	(0.10)
Year ended 12/31/2009	8.26	0.11	2.12	2.23	(0.15)	—	(0.15)
Year ended 12/31/2008	14.67	0.21	(6.50)	(6.29)	(0.12)	—	(0.12)
Year ended 12/31/2007	13.84	0.15	1.10	1.25	(0.22)	(0.20)	(0.42)
Legacy Class A Shares
Year ended 12/31/2011	10.81	0.23	(1.63)	(1.40)	(0.24)	—	(0.24)
Year ended 12/31/2010	10.30	0.16	0.52	0.68	(0.17)	—	(0.17)
Year ended 12/31/2009	8.22	0.17	2.12	2.29	(0.21)	—	(0.21)
Year ended 12/31/2008	14.65	0.30	(6.54)	(6.24)	(0.19)	—	(0.19)
Year ended 12/31/2007	13.81	0.26	1.10	1.36	(0.32)	(0.20)	(0.52)
Legacy Class B Shares
Year ended 12/31/2011	10.84	0.19	(1.63)	(1.44)	(0.19)	—	(0.19)
Year ended 12/31/2010	10.33	0.13	0.50	0.63	(0.12)	—	(0.12)
Year ended 12/31/2009	8.25	0.14	2.11	2.25	(0.17)	—	(0.17)
Year ended 12/31/2008	14.66	0.25	(6.52)	(6.27)	(0.14)	—	(0.14)
Year ended 12/31/2007	13.82	0.20	1.10	1.30	(0.26)	(0.20)	(0.46)
Institutional Shares
Year ended 12/31/2011	10.84	0.26	(1.64)	(1.38)	(0.27)	—	(0.27)
Year ended 12/31/2010	10.33	0.19	0.52	0.71	(0.20)	—	(0.20)
Year ended 12/31/2009	8.24	0.19	2.13	2.32	(0.23)	—	(0.23)
Year ended 12/31/2008	14.70	0.33	(6.57)	(6.24)	(0.22)	—	(0.22)
Year ended 12/31/2007	13.85	0.30	1.11	1.41	(0.36)	(0.20)	(0.56)
Class R-1 Shares
Year ended 12/31/2011	10.83	0.20	(1.63)	(1.43)	(0.21)	—	(0.21)
Year ended 12/31/2010	10.32	0.13	0.51	0.64	(0.13)	—	(0.13)
Year ended 12/31/2009	8.24	0.14	2.13	2.27	(0.19)	—	(0.19)
Year ended 12/31/2008	14.67	0.26	(6.53)	(6.27)	(0.16)	—	(0.16)
Year ended 12/31/2007	13.84	0.20	1.12	1.32	(0.29)	(0.20)	(0.49)
Class R-2 Shares
Year ended 12/31/2011	10.81	0.22	(1.63)	(1.41)	(0.23)	—	(0.23)
Year ended 12/31/2010	10.31	0.15	0.51	0.66	(0.16)	—	(0.16)
Year ended 12/31/2009	8.23	0.15	2.14	2.29	(0.21)	—	(0.21)
Year ended 12/31/2008	14.67	0.28	(6.53)	(6.25)	(0.19)	—	(0.19)
Year ended 12/31/2007	13.85	0.22	1.12	1.34	(0.32)	(0.20)	(0.52)
Class R-3 Shares
Year ended 12/31/2011	10.85	0.25	(1.64)	(1.39)	(0.26)	—	(0.26)
Year ended 12/31/2010	10.35	0.18	0.51	0.69	(0.19)	—	(0.19)
Year ended 12/31/2009	8.26	0.19	2.13	2.32	(0.23)	—	(0.23)
Year ended 12/31/2008	14.71	0.32	(6.55)	(6.23)	(0.22)	—	(0.22)
Year ended 12/31/2007	13.86	0.28	1.12	1.40	(0.35)	(0.20)	(0.55)

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

(b)	Total return 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 all shares include the effect of the increased voluntary expense reduction threshold effective May 1, 2009 described in Note 2 under Expense Reduction Agreements.


192		See accompanying notes to financial statements.


		Ratios/supplemental data
			Average Net Asset ratios assuming expense reductions		Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (b)	Net assets, end of period (millions)	Expenses (c)	Net investment income (loss)	Expenses	Net investment income (loss)	Portfolio turnover rate

$9.19	(12.94)%	$38.7	1.20%	2.17%	1.23%	2.14%	4%
10.84	6.59	42.5	1.20	1.62	1.23	1.59	4
10.33	27.79	35.0	1.19	1.86	1.29	1.76	6
8.25	(42.38)	23.6	1.15	2.49	1.28	2.36	8
14.67	9.63	35.4	1.15	1.69	1.28	1.56	2

9.20	(13.54)	9.0	1.90	1.48	1.93	1.45	4
10.84	5.80	10.5	1.90	0.93	1.93	0.90	4
10.34	26.98	9.8	1.89	1.22	2.00	1.11	6
8.26	(42.89)	7.6	1.85	1.79	1.98	1.66	8
14.67	8.82	12.9	1.85	1.04	1.98	0.91	2

9.17	(12.91)	74.1	1.20	2.19	1.23	2.16	4
10.81	6.58	89.5	1.20	1.63	1.23	1.60	4
10.30	27.83	87.7	1.19	1.92	1.30	1.81	6
8.22	(42.55)	72.2	1.15	2.51	1.28	2.38	8
14.65	9.61	137.5	1.15	1.74	1.28	1.61	2

9.21	(13.24)	18.5	1.60	1.80	1.63	1.77	4
10.84	6.12	25.6	1.60	1.25	1.63	1.22	4
10.33	27.30	27.6	1.59	1.53	1.70	1.42	6
8.25	(42.72)	23.3	1.55	2.10	1.68	1.97	8
14.66	9.17	43.5	1.55	1.34	1.67	1.22	2

9.19	(12.72)	30.0	0.95	2.45	0.98	2.42	4
10.84	6.81	35.2	0.95	1.89	0.98	1.86	4
10.33	28.18	32.8	0.94	2.14	1.05	2.03	6
8.24	(42.38)	24.9	0.90	2.75	1.03	2.62	8
14.70	9.93	42.7	0.90	1.99	1.03	1.86	2

9.19	(13.19)	3.1	1.52	1.86	1.55	1.83	4
10.83	6.21	3.6	1.52	1.33	1.55	1.30	4
10.32	27.49	4.2	1.51	1.57	1.62	1.46	6
8.24	(42.69)	3.0	1.47	2.17	1.60	2.04	8
14.67	9.28	4.1	1.47	1.37	1.60	1.24	2

9.17	(13.00)	5.7	1.32	2.08	1.35	2.05	4
10.81	6.39	6.4	1.32	1.49	1.35	1.46	4
10.31	27.75	5.0	1.31	1.76	1.42	1.65	6
8.23	(42.59)	3.8	1.27	2.36	1.40	2.23	8
14.67	9.55	6.0	1.27	1.50	1.40	1.37	2

9.20	(12.77)	1.5	1.02	2.37	1.05	2.34	4
10.85	6.66	1.8	1.02	1.80	1.05	1.77	4
10.35	28.03	1.6	1.01	2.09	1.12	1.98	6
8.26	(42.34)	1.1	0.97	2.68	1.10	2.55	8
14.71	9.86	2.0	0.97	1.91	1.10	1.78	2


See accompanying notes to financial statements.		193

STATE FARM MUTUAL FUND TRUST EQUITY AND BOND FUND

(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 (b)	Total distributions
Class A Shares
Year ended 12/31/2011	$7.86	$0.13	$0.08	$0.21	$(0.13)	$—	$(0.13)
Year ended 12/31/2010	7.24	0.12	0.62	0.74	(0.12)	—	(0.12)
Year ended 12/31/2009	6.33	0.14	0.90	1.04	(0.13)	—	(0.13)
Year ended 12/31/2008	9.33	0.26	(2.64)	(2.38)	(0.26)	(0.36)	(0.62)
Year ended 12/31/2007	10.00	0.30	(0.43)	(0.13)	(0.28)	(0.26)	(0.54)
Class B Shares
Year ended 12/31/2011	7.87	0.07	0.08	0.15	(0.07)	—	(0.07)
Year ended 12/31/2010	7.25	0.07	0.62	0.69	(0.07)	—	(0.07)
Year ended 12/31/2009	6.34	0.09	0.91	1.00	(0.09)	—	(0.09)
Year ended 12/31/2008	9.33	0.21	(2.63)	(2.42)	(0.21)	(0.36)	(0.57)
Year ended 12/31/2007	10.00	0.21	(0.41)	(0.20)	(0.21)	(0.26)	(0.47)
Legacy Class A Shares
Year ended 12/31/2011	7.93	0.13	0.08	0.21	(0.13)	—	(0.13)
Year ended 12/31/2010	7.30	0.11	0.63	0.74	(0.11)	—	(0.11)
Year ended 12/31/2009	6.38	0.13	0.92	1.05	(0.13)	—	(0.13)
Year ended 12/31/2008	9.39	0.25	(2.65)	(2.40)	(0.25)	(0.36)	(0.61)
Year ended 12/31/2007	10.05	0.28	(0.40)	(0.12)	(0.28)	(0.26)	(0.54)
Legacy Class B Shares
Year ended 12/31/2011	7.94	0.09	0.09	0.18	(0.09)	—	(0.09)
Year ended 12/31/2010	7.31	0.08	0.63	0.71	(0.08)	—	(0.08)
Year ended 12/31/2009	6.39	0.11	0.91	1.02	(0.10)	—	(0.10)
Year ended 12/31/2008	9.40	0.22	(2.65)	(2.43)	(0.22)	(0.36)	(0.58)
Year ended 12/31/2007	10.06	0.24	(0.40)	(0.16)	(0.24)	(0.26)	(0.50)
Institutional Shares
Year ended 12/31/2011	7.86	0.15	0.09	0.24	(0.15)	—	(0.15)
Year ended 12/31/2010	7.24	0.13	0.62	0.75	(0.13)	—	(0.13)
Year ended 12/31/2009	6.33	0.15	0.90	1.05	(0.14)	—	(0.14)
Year ended 12/31/2008	9.33	0.28	(2.64)	(2.36)	(0.28)	(0.36)	(0.64)
Year ended 12/31/2007	10.00	0.31	(0.41)	(0.10)	(0.31)	(0.26)	(0.57)
Class R-1 Shares
Year ended 12/31/2011	7.76	0.10	0.08	0.18	(0.10)	—	(0.10)
Year ended 12/31/2010	7.15	0.08	0.62	0.70	(0.09)	—	(0.09)
Year ended 12/31/2009	6.25	0.11	0.90	1.01	(0.11)	—	(0.11)
Year ended 12/31/2008	9.22	0.23	(2.61)	(2.38)	(0.23)	(0.36)	(0.59)
Year ended 12/31/2007	9.89	0.25	(0.41)	(0.16)	(0.25)	(0.26)	(0.51)
Class R-2 Shares
Year ended 12/31/2011	7.78	0.12	0.08	0.20	(0.12)	—	(0.12)
Year ended 12/31/2010	7.17	0.10	0.62	0.72	(0.11)	—	(0.11)
Year ended 12/31/2009	6.26	0.13	0.90	1.03	(0.12)	—	(0.12)
Year ended 12/31/2008	9.24	0.24	(2.61)	(2.37)	(0.25)	(0.36)	(0.61)
Year ended 12/31/2007	9.90	0.33	(0.46)	(0.13)	(0.27)	(0.26)	(0.53)
Class R-3 Shares
Year ended 12/31/2011	7.79	0.14	0.08	0.22	(0.14)	—	(0.14)
Year ended 12/31/2010	7.17	0.12	0.63	0.75	(0.13)	—	(0.13)
Year ended 12/31/2009	6.27	0.14	0.90	1.04	(0.14)	—	(0.14)
Year ended 12/31/2008	9.25	0.27	(2.62)	(2.35)	(0.27)	(0.36)	(0.63)
Year ended 12/31/2007	9.91	0.30	(0.40)	(0.10)	(0.30)	(0.26)	(0.56)

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

(b)	Net realized gain distributions represent less than $0.01 per share for all classes in 2011.

(c)	Total return 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)	Expense ratios relate to the Equity and Bond Fund only and do not reflect the Fund’s proportionate share of the expenses of the underlying funds.


194		See accompanying notes to financial statements.


		Ratios/supplemental data
			Average Net Asset ratios assuming expense reductions		Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (c)	Net assets, end of period (millions)	Expenses (d)	Net investment income (loss)	Expenses (d)	Net investment income (loss)	Portfolio turnover rate

$7.94	2.73%	$40.8	0.25%	1.62%	0.36%	1.51%	2%
7.86	10.25	34.6	0.25	1.55	0.36	1.44	1
7.24	16.48	21.5	0.25	2.07	0.37	1.95	1
6.33	(25.61)	14.4	0.25	3.12	0.34	3.03	16
9.33	(1.35)	17.8	0.25	2.97	0.34	2.88	1

7.95	2.01	9.3	0.95	0.90	1.06	0.79	2
7.87	9.55	9.1	0.85	0.88	0.96	0.77	1
7.25	15.77	8.2	0.85	1.41	0.97	1.29	1
6.34	(25.99)	6.9	0.84	2.50	0.94	2.40	16
9.33	(2.06)	9.9	0.95	2.04	1.04	1.95	1

8.01	2.68	80.6	0.25	1.60	0.36	1.49	2
7.93	10.27	77.7	0.25	1.48	0.36	1.37	1
7.30	16.47	70.8	0.25	2.00	0.37	1.88	1
6.38	(25.57)	64.8	0.25	2.99	0.34	2.90	16
9.39	(1.27)	100.1	0.25	2.70	0.34	2.61	1

8.03	2.35	25.5	0.65	1.13	0.76	1.02	2
7.94	9.79	31.9	0.65	1.05	0.77	0.93	1
7.31	16.00	34.1	0.65	1.59	0.77	1.47	1
6.39	(25.87)	32.4	0.65	2.62	0.74	2.53	16
9.40	(1.66)	49.4	0.65	2.30	0.74	2.21	1

7.95	3.10	15.8	0.00	1.86	0.11	1.75	2
7.86	10.49	14.6	0.00	1.74	0.11	1.63	1
7.24	16.73	12.2	0.00	2.28	0.12	2.16	1
6.33	(25.40)	9.0	0.00	3.34	0.09	3.25	16
9.33	(1.12)	11.4	0.00	3.01	0.09	2.92	1

7.84	2.42	2.3	0.57	1.29	0.68	1.18	2
7.76	9.86	2.3	0.57	1.14	0.69	1.02	1
7.15	16.16	2.5	0.57	1.68	0.69	1.56	1
6.25	(25.86)	2.0	0.57	2.78	0.66	2.69	16
9.22	(1.67)	2.6	0.57	2.48	0.66	2.39	1

7.86	2.63	3.6	0.37	1.46	0.48	1.35	2
7.78	10.04	3.7	0.37	1.31	0.49	1.19	1
7.17	16.51	3.9	0.37	1.91	0.49	1.79	1
6.26	(25.75)	2.9	0.37	2.99	0.46	2.90	16
9.24	(1.37)	3.8	0.37	3.29	0.45	3.21	1

7.87	2.92	1.2	0.07	1.75	0.18	1.64	2
7.79	10.52	1.1	0.07	1.66	0.18	1.55	1
7.17	16.64	0.9	0.07	2.19	0.19	2.07	1
6.27	(25.46)	0.8	0.07	3.28	0.16	3.19	16
9.25	(1.10)	1.1	0.07	2.95	0.16	2.86	1


See accompanying notes to financial statements.		195

STATE FARM MUTUAL FUND TRUST BOND FUND

(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
Year ended 12/31/2011	$11.12	$0.34	$0.53	$0.87	$(0.34)	$—	$(0.34)
Year ended 12/31/2010	10.88	0.36	0.24	0.60	(0.36)	—	(0.36)
Year ended 12/31/2009	10.29	0.43	0.59	1.02	(0.43)	—	(0.43)
Year ended 12/31/2008	10.52	0.47	(0.23)	0.24	(0.47)	—	(0.47)
Year ended 12/31/2007	10.32	0.45	0.20	0.65	(0.45)	—	(0.45)
Class B Shares
Year ended 12/31/2011	11.11	0.30	0.54	0.84	(0.30)	—	(0.30)
Year ended 12/31/2010	10.87	0.32	0.24	0.56	(0.32)	—	(0.32)
Year ended 12/31/2009	10.28	0.39	0.59	0.98	(0.39)	—	(0.39)
Year ended 12/31/2008	10.51	0.42	(0.23)	0.19	(0.42)	—	(0.42)
Year ended 12/31/2007	10.32	0.41	0.19	0.60	(0.41)	—	(0.41)
Legacy Class A Shares
Year ended 12/31/2011	11.12	0.34	0.54	0.88	(0.34)	—	(0.34)
Year ended 12/31/2010	10.89	0.36	0.23	0.59	(0.36)	—	(0.36)
Year ended 12/31/2009	10.30	0.44	0.59	1.03	(0.44)	—	(0.44)
Year ended 12/31/2008	10.53	0.47	(0.23)	0.24	(0.47)	—	(0.47)
Year ended 12/31/2007	10.33	0.45	0.20	0.65	(0.45)	—	(0.45)
Legacy Class B Shares
Year ended 12/31/2011	11.13	0.30	0.54	0.84	(0.30)	—	(0.30)
Year ended 12/31/2010	10.89	0.32	0.24	0.56	(0.32)	—	(0.32)
Year ended 12/31/2009	10.30	0.39	0.59	0.98	(0.39)	—	(0.39)
Year ended 12/31/2008	10.53	0.43	(0.23)	0.20	(0.43)	—	(0.43)
Year ended 12/31/2007	10.34	0.41	0.19	0.60	(0.41)	—	(0.41)
Institutional Shares
Year ended 12/31/2011	11.11	0.37	0.54	0.91	(0.37)	—	(0.37)
Year ended 12/31/2010	10.87	0.39	0.24	0.63	(0.39)	—	(0.39)
Year ended 12/31/2009	10.29	0.46	0.58	1.04	(0.46)	—	(0.46)
Year ended 12/31/2008	10.51	0.49	(0.22)	0.27	(0.49)	—	(0.49)
Year ended 12/31/2007	10.32	0.48	0.19	0.67	(0.48)	—	(0.48)
Class R-1 Shares
Year ended 12/31/2011	11.12	0.30	0.53	0.83	(0.30)	—	(0.30)
Year ended 12/31/2010	10.88	0.33	0.24	0.57	(0.33)	—	(0.33)
Year ended 12/31/2009	10.29	0.40	0.59	0.99	(0.40)	—	(0.40)
Year ended 12/31/2008	10.52	0.43	(0.23)	0.20	(0.43)	—	(0.43)
Year ended 12/31/2007	10.32	0.42	0.20	0.62	(0.42)	—	(0.42)
Class R-2 Shares
Year ended 12/31/2011	11.11	0.33	0.53	0.86	(0.33)	—	(0.33)
Year ended 12/31/2010	10.87	0.35	0.24	0.59	(0.35)	—	(0.35)
Year ended 12/31/2009	10.28	0.42	0.59	1.01	(0.42)	—	(0.42)
Year ended 12/31/2008	10.51	0.45	(0.23)	0.22	(0.45)	—	(0.45)
Year ended 12/31/2007	10.32	0.44	0.19	0.63	(0.44)	—	(0.44)
Class R-3 Shares
Year ended 12/31/2011	11.12	0.36	0.54	0.90	(0.36)	—	(0.36)
Year ended 12/31/2010	10.88	0.38	0.24	0.62	(0.38)	—	(0.38)
Year ended 12/31/2009	10.29	0.45	0.59	1.04	(0.45)	—	(0.45)
Year ended 12/31/2008	10.52	0.48	(0.23)	0.25	(0.48)	—	(0.48)
Year ended 12/31/2007	10.33	0.47	0.19	0.66	(0.47)	—	(0.47)

(a)	Total return 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.


196		See accompanying notes to financial statements.


		Ratios/supplemental data
			Average Net Asset ratios assuming expense reductions		Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (a)	Net assets, end of period (millions)	Expenses	Net investment income (loss)	Expenses	Net investment income (loss)	Portfolio turnover rate

$11.65	7.95%	$208.9	0.67%	2.99%	0.67%	2.99%	8%
11.12	5.56	160.5	0.68	3.19	0.68	3.19	16
10.88	10.12	84.6	0.69	4.01	0.69	4.01	11
10.29	2.30	38.5	0.70	4.49	0.70	4.49	6
10.52	6.50	23.1	0.70	4.40	0.70	4.40	16

11.65	7.62	10.9	1.07	2.60	1.07	2.60	8
11.11	5.14	9.7	1.08	2.82	1.08	2.82	16
10.87	9.69	8.2	1.09	3.66	1.09	3.66	11
10.28	1.89	6.6	1.10	4.09	1.10	4.09	6
10.51	5.98	6.0	1.10	3.99	1.10	3.99	16

11.66	8.05	142.4	0.67	3.00	0.67	3.00	8
11.12	5.46	130.2	0.68	3.23	0.68	3.23	16
10.89	10.12	120.8	0.69	4.08	0.69	4.08	11
10.30	2.30	114.0	0.70	4.48	0.70	4.48	6
10.53	6.50	118.2	0.70	4.39	0.70	4.39	16

11.67	7.61	38.1	1.07	2.61	1.07	2.61	8
11.13	5.14	47.3	1.08	2.84	1.08	2.84	16
10.89	9.68	51.9	1.09	3.68	1.09	3.68	11
10.30	1.90	50.7	1.10	4.08	1.10	4.08	6
10.53	5.97	53.0	1.10	3.99	1.10	3.99	16

11.65	8.32	140.1	0.42	3.25	0.42	3.25	8
11.11	5.82	124.3	0.43	3.47	0.43	3.47	16
10.87	10.30	105.7	0.44	4.30	0.44	4.30	11
10.29	2.66	74.8	0.45	4.72	0.45	4.72	6
10.51	6.66	98.8	0.45	4.64	0.45	4.64	16

11.65	7.61	3.9	0.99	2.68	0.99	2.68	8
11.12	5.22	3.7	1.00	2.92	1.00	2.92	16
10.88	9.77	4.5	1.01	3.75	1.01	3.75	11
10.29	1.98	3.9	1.02	4.18	1.02	4.18	6
10.52	6.16	2.6	1.02	4.08	1.02	4.08	16

11.64	7.83	6.7	0.79	2.88	0.79	2.88	8
11.11	5.43	5.9	0.80	3.10	0.80	3.10	16
10.87	10.00	4.9	0.81	3.94	0.81	3.94	11
10.28	2.18	3.7	0.82	4.37	0.82	4.37	6
10.51	6.27	3.2	0.82	4.28	0.82	4.28	16

11.66	8.24	1.9	0.49	3.19	0.49	3.19	8
11.12	5.75	1.7	0.50	3.42	0.50	3.42	16
10.88	10.32	1.2	0.51	4.27	0.51	4.27	11
10.29	2.49	1.3	0.52	4.66	0.52	4.66	6
10.52	6.59	1.3	0.52	4.57	0.52	4.57	16


See accompanying notes to financial statements.		197

STATE FARM MUTUAL FUND TRUST TAX ADVANTAGED BOND FUND

(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
Year ended 12/31/2011	$10.90	$0.36	$0.78	$1.14	$(0.36)	$—	$(0.36)
Year ended 12/31/2010	11.13	0.38	(0.22)	0.16	(0.38)	(0.01)	(0.39)
Year ended 12/31/2009	10.51	0.41	0.65	1.06	(0.41)	(0.03)	(0.44)
Year ended 12/31/2008	10.83	0.42	(0.23)	0.19	(0.42)	(0.09)	(0.51)
Year ended 12/31/2007	10.89	0.43	(0.01)	0.42	(0.43)	(0.05)	(0.48)
Class B Shares
Year ended 12/31/2011	10.89	0.32	0.79	1.11	(0.32)	—	(0.32)
Year ended 12/31/2010	11.13	0.33	(0.23)	0.10	(0.33)	(0.01)	(0.34)
Year ended 12/31/2009	10.50	0.37	0.66	1.03	(0.37)	(0.03)	(0.40)
Year ended 12/31/2008	10.82	0.38	(0.23)	0.15	(0.38)	(0.09)	(0.47)
Year ended 12/31/2007	10.89	0.38	(0.02)	0.36	(0.38)	(0.05)	(0.43)
Legacy Class A Shares
Year ended 12/31/2011	10.88	0.36	0.78	1.14	(0.36)	—	(0.36)
Year ended 12/31/2010	11.11	0.38	(0.22)	0.16	(0.38)	(0.01)	(0.39)
Year ended 12/31/2009	10.49	0.41	0.65	1.06	(0.41)	(0.03)	(0.44)
Year ended 12/31/2008	10.81	0.42	(0.23)	0.19	(0.42)	(0.09)	(0.51)
Year ended 12/31/2007	10.87	0.42	(0.01)	0.41	(0.42)	(0.05)	(0.47)
Legacy Class B Shares
Year ended 12/31/2011	10.88	0.32	0.78	1.10	(0.32)	—	(0.32)
Year ended 12/31/2010	11.11	0.33	(0.22)	0.11	(0.33)	(0.01)	(0.34)
Year ended 12/31/2009	10.49	0.37	0.65	1.02	(0.37)	(0.03)	(0.40)
Year ended 12/31/2008	10.81	0.38	(0.23)	0.15	(0.38)	(0.09)	(0.47)
Year ended 12/31/2007	10.87	0.38	(0.01)	0.37	(0.38)	(0.05)	(0.43)

(a)	Total return does not reflect the effect of sales charges.


198		See accompanying notes to financial statements.


		Ratios/supplemental data
			Average Net Asset ratios assuming expense reductions		Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (a)	Net assets, end of period (millions)	Expenses	Net investment income (loss)	Expenses	Net investment income (loss)	Portfolio turnover rate

$11.68	10.69%	$211.1	0.68%	3.22%	0.68%	3.22%	10%
10.90	1.35	159.2	0.68	3.35	0.68	3.35	4
11.13	10.23	91.4	0.70	3.66	0.70	3.66	4
10.51	1.88	30.7	0.70	3.96	0.71	3.95	36
10.83	4.01	21.0	0.70	3.93	0.72	3.91	18

11.68	10.35	5.3	1.08	2.83	1.08	2.83	10
10.89	0.86	4.5	1.08	2.97	1.08	2.97	4
11.13	9.91	3.8	1.10	3.34	1.10	3.34	4
10.50	1.48	3.3	1.10	3.55	1.11	3.54	36
10.82	3.50	3.4	1.10	3.54	1.12	3.52	18

11.66	10.70	77.7	0.68	3.23	0.68	3.23	10
10.88	1.35	66.2	0.68	3.38	0.68	3.38	4
11.11	10.25	66.9	0.70	3.74	0.70	3.74	4
10.49	1.88	60.1	0.70	3.95	0.71	3.94	36
10.81	4.00	62.2	0.70	3.94	0.72	3.92	18

11.66	10.26	25.9	1.08	2.84	1.08	2.84	10
10.88	0.95	25.1	1.08	2.98	1.08	2.98	4
11.11	9.81	26.1	1.10	3.34	1.10	3.34	4
10.49	1.47	24.9	1.10	3.55	1.11	3.54	36
10.81	3.59	26.0	1.10	3.54	1.12	3.52	18


See accompanying notes to financial statements.		199

STATE FARM MUTUAL FUND TRUST MONEY MARKET FUND

(For a share outstanding throughout each period)


		Income from investment operations		Less distributions
	Net asset value, beginning of period	Net investment income (a)	Total from investment operations	Net investment income (a)	Total distributions
Class A Shares
Year ended 12/31/2011	$1.00	$—	$—	$—	$—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.05	0.05	(0.05)	(0.05)
Class B Shares
Year ended 12/31/2011	1.00	—	—	—	—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.04	0.04	(0.04)	(0.04)
Legacy Class A Shares
Year ended 12/31/2011	1.00	—	—	—	—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.05	0.05	(0.05)	(0.05)
Legacy Class B Shares
Year ended 12/31/2011	1.00	—	—	—	—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.04	0.04	(0.04)	(0.04)
Institutional Shares
Year ended 12/31/2011	1.00	—	—	—	—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.05	0.05	(0.05)	(0.05)
Class R-1 Shares
Year ended 12/31/2011	1.00	—	—	—	—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.04	0.04	(0.04)	(0.04)
Class R-2 Shares
Year ended 12/31/2011	1.00	—	—	—	—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.04	0.04	(0.04)	(0.04)
Class R-3 Shares
Year ended 12/31/2011	1.00	—	—	—	—
Year ended 12/31/2010	1.00	—	—	—	—
Year ended 12/31/2009	1.00	—	—	—	—
Year ended 12/31/2008	1.00	0.02	0.02	(0.02)	(0.02)
Year ended 12/31/2007	1.00	0.05	0.05	(0.05)	(0.05)

(a)	Net investment income and distributions represent less than $0.01 per share for Institutional and Class R-3 shares in 2011 and 2010 and all classes in 2009.

(b)	Total return 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.

(c)	Net investment income and Total return represent less than 0.005% per share for Institutional and Class R-3 shares in 2011 and 2010.

(d)	The expense ratios for 2009, 2010 and 2011 include the effect of the voluntary fee waivers by SFIMC and VP Management Corp. described in Note 2 under Expense Reduction Agreements.


200		See accompanying notes to financial statements.


		Ratios/supplemental data
			Average Net Asset ratios assuming expense reductions		Average Net Asset ratios absent expense reductions
Net asset value, end of period	Total return (b)(c)	Net assets, end of period (millions)	Expenses (d)	Net investment income (loss) (c)	Expenses	Net investment income (loss)

$1.00	0.00%	$106.8	0.11%	0.00%	0.60%	(0.49)%
1.00	0.00	94.0	0.17	0.00	0.60	(0.43)
1.00	0.04	80.8	0.29	0.04	0.61	(0.28)
1.00	2.02	72.1	0.60	1.89	0.61	1.88
1.00	4.67	38.1	0.60	4.50	0.64	4.46

1.00	0.00	3.2	0.11	0.00	1.00	(0.89)
1.00	0.00	3.1	0.17	0.00	1.00	(0.83)
1.00	0.01	3.3	0.32	0.01	1.01	(0.68)
1.00	1.62	3.2	1.00	1.57	1.01	1.56
1.00	4.25	2.6	1.00	4.17	1.03	4.14

1.00	0.00	80.5	0.11	0.00	0.60	(0.49)
1.00	0.00	75.0	0.17	0.00	0.60	(0.43)
1.00	0.04	88.8	0.30	0.04	0.61	(0.27)
1.00	2.02	96.3	0.60	1.96	0.61	1.95
1.00	4.67	74.3	0.60	4.57	0.63	4.54

1.00	0.00	7.7	0.12	0.00	1.00	(0.88)
1.00	0.00	8.6	0.17	0.00	1.00	(0.83)
1.00	0.01	10.7	0.32	0.01	1.01	(0.68)
1.00	1.62	9.9	1.00	1.52	1.01	1.51
1.00	4.26	5.0	1.00	4.16	1.03	4.13

1.00	0.00	52.0	0.11	0.00	0.45	(0.34)
1.00	0.00	40.8	0.17	0.00	0.45	(0.28)
1.00	0.06	38.4	0.28	0.06	0.46	(0.12)
1.00	2.17	32.9	0.45	2.07	0.46	2.06
1.00	4.82	19.3	0.45	4.70	0.48	4.67

1.00	0.00	5.6	0.12	0.00	0.92	(0.80)
1.00	0.00	5.9	0.17	0.00	0.92	(0.75)
1.00	0.02	7.0	0.32	0.02	0.93	(0.59)
1.00	1.70	6.1	0.92	1.63	0.93	1.62
1.00	4.33	4.1	0.92	4.25	0.95	4.22

1.00	0.00	15.8	0.11	0.00	0.72	(0.61)
1.00	0.00	14.5	0.17	0.00	0.72	(0.55)
1.00	0.03	13.4	0.31	0.03	0.73	(0.39)
1.00	1.90	12.5	0.72	1.85	0.73	1.84
1.00	4.54	8.3	0.72	4.44	0.76	4.40

1.00	0.00	2.5	0.11	0.00	0.52	(0.41)
1.00	0.00	3.1	0.17	0.00	0.52	(0.35)
1.00	0.05	1.9	0.28	0.05	0.53	(0.20)
1.00	2.10	1.7	0.52	2.06	0.53	2.05
1.00	4.75	1.5	0.52	4.65	0.55	4.62


See accompanying notes to financial statements.		201

STATE FARM MUTUAL FUND TRUST LIFEPATH RETIREMENT FUND

(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				Net realized gain				Total distributions
Class A Shares
Year ended 12/31/2011		$	11.51		$	0.22		$	0.18			$	0.40			$	(0.22	)		$	—			$	(0.22	)
Year ended 12/31/2010			10.77			0.19			0.76				0.95				(0.19	)			(0.02	)			(0.21	)
Year ended 12/31/2009			9.42			0.25			1.39				1.64				(0.29	)			—				(0.29	)
Year ended 12/31/2008			11.44			0.32			(2.04	)			(1.72	)			(0.25	)			(0.05	)			(0.30	)
Year ended 12/31/2007			11.59			0.36			0.10				0.46				(0.35	)			(0.26	)			(0.61	)
Class B Shares
Year ended 12/31/2011			11.57			0.14			0.18				0.32				(0.14	)			—				(0.14	)
Year ended 12/31/2010			10.82			0.11			0.77				0.88				(0.11	)			(0.02	)			(0.13	)
Year ended 12/31/2009			9.46			0.18			1.40				1.58				(0.22	)			—				(0.22	)
Year ended 12/31/2008			11.50			0.24			(2.05	)			(1.81	)			(0.18	)			(0.05	)			(0.23	)
Year ended 12/31/2007			11.62			0.28			0.11				0.39				(0.25	)			(0.26	)			(0.51	)
Legacy Class A Shares
Year ended 12/31/2011			11.73			0.22			0.18				0.40				(0.22	)			—				(0.22	)
Year ended 12/31/2010			10.96			0.19			0.78				0.97				(0.18	)			(0.02	)			(0.20	)
Year ended 12/31/2009			9.57			0.26			1.42				1.68				(0.29	)			—				(0.29	)
Year ended 12/31/2008			11.63			0.32			(2.08	)			(1.76	)			(0.25	)			(0.05	)			(0.30	)
Year ended 12/31/2007			11.74			0.35			0.13				0.48				(0.33	)			(0.26	)			(0.59	)
Legacy Class B Shares
Year ended 12/31/2011			11.76			0.18			0.18				0.36				(0.17	)			—				(0.17	)
Year ended 12/31/2010			10.99			0.14			0.79				0.93				(0.14	)			(0.02	)			(0.16	)
Year ended 12/31/2009			9.60			0.20			1.44				1.64				(0.25	)			—				(0.25	)
Year ended 12/31/2008			11.65			0.27			(2.07	)			(1.80	)			(0.20	)			(0.05	)			(0.25	)
Year ended 12/31/2007			11.74			0.30			0.12				0.42				(0.25	)			(0.26	)			(0.51	)
Institutional Shares
Year ended 12/31/2011			11.73			0.25			0.19				0.44				(0.25	)			—				(0.25	)
Year ended 12/31/2010			10.96			0.22			0.78				1.00				(0.21	)			(0.02	)			(0.23	)
Year ended 12/31/2009			9.58			0.28			1.41				1.69				(0.31	)			—				(0.31	)
Year ended 12/31/2008			11.63			0.34			(2.07	)			(1.73	)			(0.27	)			(0.05	)			(0.32	)
Year ended 12/31/2007			11.77			0.38			0.12				0.50				(0.38	)			(0.26	)			(0.64	)
Class R-1 Shares
Year ended 12/31/2011			11.54			0.18			0.18				0.36				(0.18	)			—				(0.18	)
Year ended 12/31/2010			10.79			0.15			0.76				0.91				(0.14	)			(0.02	)			(0.16	)
Year ended 12/31/2009			9.43			0.22			1.40				1.62				(0.26	)			—				(0.26	)
Year ended 12/31/2008			11.46			0.28			(2.05	)			(1.77	)			(0.21	)			(0.05	)			(0.26	)
Year ended 12/31/2007			11.58			0.31			0.12				0.43				(0.29	)			(0.26	)			(0.55	)
Class R-2 Shares
Year ended 12/31/2011			11.75			0.21			0.19				0.40				(0.21	)			—				(0.21	)
Year ended 12/31/2010			10.99			0.18			0.77				0.95				(0.17	)			(0.02	)			(0.19	)
Year ended 12/31/2009			9.60			0.24			1.43				1.67				(0.28	)			—				(0.28	)
Year ended 12/31/2008			11.66			0.31			(2.08	)			(1.77	)			(0.24	)			(0.05	)			(0.29	)
Year ended 12/31/2007			11.78			0.35			0.11				0.46				(0.32	)			(0.26	)			(0.58	)
Class R-3 Shares
Year ended 12/31/2011			11.71			0.25			0.18				0.43				(0.24	)			—				(0.24	)
Year ended 12/31/2010			10.95			0.21			0.77				0.98				(0.20	)			(0.02	)			(0.22	)
Year ended 12/31/2009			9.56			0.26			1.44				1.70				(0.31	)			—				(0.31	)
Year ended 12/31/2008			11.62			0.34			(2.08	)			(1.74	)			(0.27	)			(0.05	)			(0.32	)
Year ended 12/31/2007			11.76			0.37			0.11				0.48				(0.36	)			(0.26	)			(0.62	)

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

(b)

Net amounts and ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio; indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; and applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, assuming applicable expense reductions, were 0.27% and 2.77%, respectively, for the year ended December 31, 2011.

(c)	Total return 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)

Ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio and indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; but do not reflect otherwise applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, excluding any otherwise applicable expense reductions, were 0.55% and 2.49%, respectively, for the year ended December 31, 2011.

(e)	Amount represents the portfolio turnover rate of the Master Portfolio. For 2009, excludes in-kind contribution of portfolio securities received in a fund merger on November 20, 2009.


202		See accompanying notes to financial statements.


						Ratios/supplemental data
									Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period			Total return (c)			Net assets, end of period (millions)			Expenses (b)			Net investment income (loss) (b)			Expenses (d)			Net investment income (loss) (d)			Portfolio turnover rate (e)

	$	11.69		3.51	%		$	352.7		1.17	%		1.89	%		1.47	%		1.59	%		4	%
		11.51		8.92				266.9		1.17			1.71			1.51			1.37			4
		10.77		17.62				191.3		1.21			2.72			1.65			2.28			6
		9.42		(15.33	)			41.9		1.20			2.97			1.54			2.63			11
		11.44		3.96				37.5		1.22			3.08			1.56			2.74			6

		11.75		2.85				10.3		1.87			1.18			2.17			0.88			4
		11.57		8.22				9.5		1.87			0.99			2.21			0.65			4
		10.82		16.86				8.2		1.91			1.95			2.38			1.48			6
		9.46		(16.00	)			1.4		1.90			2.26			2.24			1.92			11
		11.50		3.32				1.3		1.92			2.34			2.26			2.00			6

		11.91		3.50				258.3		1.17			1.88			1.47			1.58			4
		11.73		9.01				263.0		1.17			1.68			1.51			1.34			4
		10.96		17.61				261.1		1.21			2.72			1.66			2.27			6
		9.57		(15.36	)			69.3		1.20			2.89			1.54			2.55			11
		11.63		4.03				100.5		1.21			2.91			1.55			2.57			6

		11.95		3.06				34.6		1.57			1.47			1.87			1.17			4
		11.76		8.55				44.4		1.57			1.28			1.91			0.94			4
		10.99		17.22				46.0		1.61			2.21			2.05			1.77			6
		9.60		(15.68	)			8.2		1.60			2.50			1.94			2.16			11
		11.65		3.59				11.2		1.62			2.51			1.95			2.18			6

		11.92		3.78				64.6		0.92			2.14			1.22			1.84			4
		11.73		9.29				57.1		0.92			1.94			1.26			1.60			4
		10.96		17.90				53.1		0.96			2.94			1.38			2.52			6
		9.58		(15.14	)			11.2		0.95			3.16			1.29			2.82			11
		11.63		4.20				13.9		0.97			3.21			1.30			2.88			6

		11.72		3.16				5.3		1.49			1.56			1.79			1.26			4
		11.54		8.59				5.3		1.49			1.34			1.83			1.00			4
		10.79		17.34				6.5		1.53			2.42			2.00			1.95			6
		9.43		(15.68	)			1.5		1.52			2.60			1.86			2.26			11
		11.46		3.65				1.8		1.54			2.64			1.88			2.30			6

		11.94		3.38				16.6		1.29			1.77			1.59			1.47			4
		11.75		8.88				16.5		1.29			1.59			1.63			1.25			4
		10.99		17.55				12.1		1.33			2.53			1.76			2.10			6
		9.60		(15.50	)			2.0		1.32			2.82			1.66			2.48			11
		11.66		3.89				1.7		1.34			2.88			1.67			2.55			6

		11.90		3.71				1.6		0.99			2.06			1.29			1.76			4
		11.71		9.13				1.3		0.99			1.86			1.33			1.52			4
		10.95		17.87				1.1		1.02			2.76			1.42			2.36			6
		9.56		(15.20	)			0.1		1.02			3.14			1.36			2.80			11
		11.62		4.08				0.1		1.04			3.11			1.38			2.77			6


See accompanying notes to financial statements.		203

STATE FARM MUTUAL FUND TRUST LIFEPATH 2020 FUND

(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				Net realized gain				Total distributions
Class A Shares
Year ended 12/31/2011		$	12.86		$	0.22		$	(0.08	)		$	0.14			$	(0.21	)		$	—			$	(0.21	)
Year ended 12/31/2010			11.81			0.19			1.04				1.23				(0.18	)			—				(0.18	)
Year ended 12/31/2009			9.85			0.24			1.95				2.19				(0.23	)			—				(0.23	)
Year ended 12/31/2008			13.65			0.29			(3.80	)			(3.51	)			(0.24	)			(0.05	)			(0.29	)
Year ended 12/31/2007			13.98			0.34			0.07				0.41				(0.28	)			(0.46	)			(0.74	)
Class B Shares
Year ended 12/31/2011			12.79			0.13			(0.08	)			0.05				(0.12	)			—				(0.12	)
Year ended 12/31/2010			11.75			0.10			1.04				1.14				(0.10	)			—				(0.10	)
Year ended 12/31/2009			9.82			0.17			1.92				2.09				(0.16	)			—				(0.16	)
Year ended 12/31/2008			13.60			0.21			(3.77	)			(3.56	)			(0.17	)			(0.05	)			(0.22	)
Year ended 12/31/2007			13.94			0.23			0.09				0.32				(0.20	)			(0.46	)			(0.66	)
Legacy Class A Shares
Year ended 12/31/2011			12.81			0.22			(0.08	)			0.14				(0.21	)			—				(0.21	)
Year ended 12/31/2010			11.75			0.18			1.05				1.23				(0.17	)			—				(0.17	)
Year ended 12/31/2009			9.80			0.24			1.93				2.17				(0.22	)			—				(0.22	)
Year ended 12/31/2008			13.56			0.29			(3.77	)			(3.48	)			(0.23	)			(0.05	)			(0.28	)
Year ended 12/31/2007			13.88			0.30			0.10				0.40				(0.26	)			(0.46	)			(0.72	)
Legacy Class B Shares
Year ended 12/31/2011			12.79			0.16			(0.07	)			0.09				(0.14	)			—				(0.14	)
Year ended 12/31/2010			11.74			0.14			1.03				1.17				(0.12	)			—				(0.12	)
Year ended 12/31/2009			9.79			0.19			1.94				2.13				(0.18	)			—				(0.18	)
Year ended 12/31/2008			13.54			0.24			(3.76	)			(3.52	)			(0.18	)			(0.05	)			(0.23	)
Year ended 12/31/2007			13.85			0.25			0.10				0.35				(0.20	)			(0.46	)			(0.66	)
Institutional Shares
Year ended 12/31/2011			12.88			0.25			(0.08	)			0.17				(0.24	)			—				(0.24	)
Year ended 12/31/2010			11.81			0.22			1.05				1.27				(0.20	)			—				(0.20	)
Year ended 12/31/2009			9.85			0.27			1.94				2.21				(0.25	)			—				(0.25	)
Year ended 12/31/2008			13.65			0.32			(3.81	)			(3.49	)			(0.26	)			(0.05	)			(0.31	)
Year ended 12/31/2007			13.97			0.35			0.09				0.44				(0.30	)			(0.46	)			(0.76	)
Class R-1 Shares
Year ended 12/31/2011			12.81			0.18			(0.09	)			0.09				(0.17	)			—				(0.17	)
Year ended 12/31/2010			11.75			0.14			1.05				1.19				(0.13	)			—				(0.13	)
Year ended 12/31/2009			9.80			0.21			1.94				2.15				(0.20	)			—				(0.20	)
Year ended 12/31/2008			13.59			0.26			(3.79	)			(3.53	)			(0.21	)			(0.05	)			(0.26	)
Year ended 12/31/2007			13.92			0.27			0.09				0.36				(0.23	)			(0.46	)			(0.69	)
Class R-2 Shares
Year ended 12/31/2011			12.82			0.20			(0.07	)			0.13				(0.20	)			—				(0.20	)
Year ended 12/31/2010			11.77			0.18			1.03				1.21				(0.16	)			—				(0.16	)
Year ended 12/31/2009			9.82			0.23			1.94				2.17				(0.22	)			—				(0.22	)
Year ended 12/31/2008			13.60			0.28			(3.79	)			(3.51	)			(0.22	)			(0.05	)			(0.27	)
Year ended 12/31/2007			13.94			0.31			0.08				0.39				(0.27	)			(0.46	)			(0.73	)
Class R-3 Shares
Year ended 12/31/2011			12.83			0.24			(0.08	)			0.16				(0.23	)			—				(0.23	)
Year ended 12/31/2010			11.77			0.21			1.04				1.25				(0.19	)			—				(0.19	)
Year ended 12/31/2009			9.81			0.26			1.95				2.21				(0.25	)			—				(0.25	)
Year ended 12/31/2008			13.59			0.31			(3.78	)			(3.47	)			(0.26	)			(0.05	)			(0.31	)
Year ended 12/31/2007			13.91			0.34			0.09				0.43				(0.29	)			(0.46	)			(0.75	)

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

(b)

Net amounts and ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio; indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; and applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, assuming applicable expense reductions, were 0.25% and 2.56%, respectively, for the year ended December 31, 2011.

(c)	Total return 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)

Ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio and indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; but do not reflect otherwise applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, excluding any otherwise applicable expense reductions, were 0.53% and 2.28%, respectively, for the year ended December 31, 2011.

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


204		See accompanying notes to financial statements.


						Ratios/supplemental data
									Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period			Total return (c)			Net assets, end of period (millions)			Expenses (b)			Net investment income (loss) (b)			Expenses (d)			Net investment income (loss) (d)			Portfolio turnover rate (e)

	$	12.79		1.12	%		$	537.2		1.13	%		1.70	%		1.45	%		1.38	%		5	%
		12.86		10.40				433.6		1.13			1.56			1.48			1.21			4
		11.81		22.25				297.0		1.13			2.30			1.48			1.95			6
		9.85		(25.75	)			182.9		1.13			2.42			1.47			2.08			13
		13.65		2.94				191.9		1.14			2.34			1.47			2.01			7

		12.72		0.42				24.1		1.83			0.98			2.15			0.66			5
		12.79		9.66				21.9		1.83			0.85			2.18			0.50			4
		11.75		21.31				17.2		1.83			1.59			2.18			1.24			6
		9.82		(26.24	)			11.6		1.83			1.73			2.17			1.39			13
		13.60		2.30				11.7		1.84			1.58			2.17			1.25			7

		12.74		1.09				356.9		1.13			1.68			1.45			1.36			5
		12.81		10.47				358.8		1.13			1.53			1.48			1.18			4
		11.75		22.17				334.4		1.13			2.25			1.48			1.90			6
		9.80		(25.69	)			290.5		1.13			2.34			1.47			2.00			13
		13.56		2.87				437.4		1.14			2.13			1.47			1.80			7

		12.74		0.71				62.5		1.53			1.26			1.85			0.94			5
		12.79		9.96				76.3		1.53			1.12			1.88			0.77			4
		11.74		21.76				74.0		1.53			1.86			1.88			1.51			6
		9.79		(26.02	)			65.4		1.53			1.94			1.87			1.60			13
		13.54		2.54				95.8		1.54			1.74			1.87			1.41			7

		12.81		1.34				125.4		0.88			1.94			1.20			1.62			5
		12.88		10.77				114.3		0.88			1.80			1.23			1.45			4
		11.81		22.47				91.1		0.88			2.53			1.23			2.18			6
		9.85		(25.56	)			61.3		0.88			2.61			1.22			2.27			13
		13.65		3.06				82.0		0.89			2.43			1.22			2.10			7

		12.73		0.77				13.1		1.45			1.35			1.77			1.03			5
		12.81		10.10				12.2		1.45			1.17			1.80			0.82			4
		11.75		21.90				12.3		1.45			1.97			1.80			1.62			6
		9.80		(25.98	)			8.5		1.45			2.13			1.79			1.79			13
		13.59		2.55				7.9		1.46			1.86			1.79			1.53			7

		12.75		0.99				30.4		1.25			1.57			1.57			1.25			5
		12.82		10.31				26.9		1.25			1.45			1.60			1.10			4
		11.77		22.12				16.5		1.25			2.18			1.60			1.83			6
		9.82		(25.81	)			9.6		1.25			2.27			1.59			1.93			13
		13.60		2.75				10.6		1.26			2.16			1.59			1.83			7

		12.76		1.29				2.7		0.95			1.85			1.27			1.53			5
		12.83		10.60				2.9		0.95			1.70			1.30			1.35			4
		11.77		22.48				2.8		0.95			2.45			1.30			2.10			6
		9.81		(25.57	)			1.8		0.95			2.56			1.29			2.22			13
		13.59		3.07				2.3		0.96			2.35			1.29			2.02			7


See accompanying notes to financial statements.		205

STATE FARM MUTUAL FUND TRUST LIFEPATH 2030 FUND

(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				Net realized gain				Total distributions
Class A Shares
Year ended 12/31/2011		$	13.15		$	0.20		$	(0.34	)		$	(0.14	)		$	(0.19	)		$	—			$	(0.19	)
Year ended 12/31/2010			11.95			0.18			1.19				1.37				(0.17	)			—				(0.17	)
Year ended 12/31/2009			9.70			0.22			2.24				2.46				(0.21	)			—				(0.21	)
Year ended 12/31/2008			14.49			0.26			(4.80	)			(4.54	)			(0.21	)			(0.04	)			(0.25	)
Year ended 12/31/2007			14.91			0.29			0.05				0.34				(0.24	)			(0.52	)			(0.76	)
Class B Shares
Year ended 12/31/2011			13.10			0.11			(0.34	)			(0.23	)			(0.10	)			—				(0.10	)
Year ended 12/31/2010			11.91			0.09			1.18				1.27				(0.08	)			—				(0.08	)
Year ended 12/31/2009			9.69			0.15			2.21				2.36				(0.14	)			—				(0.14	)
Year ended 12/31/2008			14.45			0.17			(4.76	)			(4.59	)			(0.13	)			(0.04	)			(0.17	)
Year ended 12/31/2007			14.89			0.18			0.05				0.23				(0.15	)			(0.52	)			(0.67	)
Legacy Class A Shares
Year ended 12/31/2011			13.15			0.20			(0.33	)			(0.13	)			(0.19	)			—				(0.19	)
Year ended 12/31/2010			11.94			0.17			1.20				1.37				(0.16	)			—				(0.16	)
Year ended 12/31/2009			9.69			0.21			2.24				2.45				(0.20	)			—				(0.20	)
Year ended 12/31/2008			14.45			0.25			(4.77	)			(4.52	)			(0.20	)			(0.04	)			(0.24	)
Year ended 12/31/2007			14.86			0.26			0.06				0.32				(0.21	)			(0.52	)			(0.73	)
Legacy Class B Shares
Year ended 12/31/2011			13.10			0.14			(0.33	)			(0.19	)			(0.12	)			—				(0.12	)
Year ended 12/31/2010			11.89			0.12			1.20				1.32				(0.11	)			—				(0.11	)
Year ended 12/31/2009			9.66			0.17			2.22				2.39				(0.16	)			—				(0.16	)
Year ended 12/31/2008			14.39			0.20			(4.74	)			(4.54	)			(0.15	)			(0.04	)			(0.19	)
Year ended 12/31/2007			14.79			0.20			0.07				0.27				(0.15	)			(0.52	)			(0.67	)
Institutional Shares
Year ended 12/31/2011			13.21			0.23			(0.34	)			(0.11	)			(0.22	)			—				(0.22	)
Year ended 12/31/2010			11.99			0.21			1.20				1.41				(0.19	)			—				(0.19	)
Year ended 12/31/2009			9.73			0.25			2.24				2.49				(0.23	)			—				(0.23	)
Year ended 12/31/2008			14.52			0.28			(4.80	)			(4.52	)			(0.23	)			(0.04	)			(0.27	)
Year ended 12/31/2007			14.93			0.31			0.05				0.36				(0.25	)			(0.52	)			(0.77	)
Class R-1 Shares
Year ended 12/31/2011			13.08			0.15			(0.32	)			(0.17	)			(0.15	)			—				(0.15	)
Year ended 12/31/2010			11.88			0.13			1.19				1.32				(0.12	)			—				(0.12	)
Year ended 12/31/2009			9.66			0.19			2.20				2.39				(0.17	)			—				(0.17	)
Year ended 12/31/2008			14.42			0.22			(4.76	)			(4.54	)			(0.18	)			(0.04	)			(0.22	)
Year ended 12/31/2007			14.85			0.23			0.05				0.28				(0.19	)			(0.52	)			(0.71	)
Class R-2 Shares
Year ended 12/31/2011			13.13			0.19			(0.34	)			(0.15	)			(0.17	)			—				(0.17	)
Year ended 12/31/2010			11.94			0.16			1.18				1.34				(0.15	)			—				(0.15	)
Year ended 12/31/2009			9.69			0.20			2.24				2.44				(0.19	)			—				(0.19	)
Year ended 12/31/2008			14.46			0.24			(4.78	)			(4.54	)			(0.19	)			(0.04	)			(0.23	)
Year ended 12/31/2007			14.89			0.27			0.04				0.31				(0.22	)			(0.52	)			(0.74	)
Class R-3 Shares
Year ended 12/31/2011			13.19			0.22			(0.33	)			(0.11	)			(0.21	)			—				(0.21	)
Year ended 12/31/2010			11.98			0.20			1.19				1.39				(0.18	)			—				(0.18	)
Year ended 12/31/2009			9.71			0.24			2.25				2.49				(0.22	)			—				(0.22	)
Year ended 12/31/2008			14.49			0.28			(4.79	)			(4.51	)			(0.23	)			(0.04	)			(0.27	)
Year ended 12/31/2007			14.90			0.30			0.05				0.35				(0.24	)			(0.52	)			(0.76	)

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

(b)

Net amounts and ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio; indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; and applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, assuming applicable expense reductions, were 0.22% and 2.39%, respectively, for the year ended December 31, 2011.

(c)	Total return 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)

Ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio and indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; but do not reflect otherwise applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, excluding any otherwise applicable expense reductions, were 0.52% and 2.09%, respectively, for the year ended December 31, 2011.

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


206		See accompanying notes to financial statements.


						Ratios/supplemental data
									Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period			Total return (c)			Net assets, end of period (millions)			Expenses (b)			Net investment income (loss) (b)			Expenses (d)			Net investment income (loss) (d)			Portfolio turnover rate (e)

	$	12.82		(1.04	)%		$	483.8		1.12	%		1.52	%		1.45	%		1.19	%		7	%
		13.15		11.42				399.1		1.11			1.45			1.47			1.09			3
		11.95		25.31				263.6		1.11			2.10			1.47			1.74			7
		9.70		(31.38	)			159.9		1.12			2.07			1.46			1.73			13
		14.49		2.28				164.9		1.14			1.91			1.47			1.58			7

		12.77		(1.74	)			28.3		1.82			0.80			2.15			0.47			7
		13.10		10.67				26.1		1.81			0.73			2.17			0.37			3
		11.91		24.33				20.4		1.81			1.40			2.16			1.05			7
		9.69		(31.78	)			13.0		1.82			1.37			2.16			1.03			13
		14.45		1.58				13.4		1.84			1.15			2.17			0.82			7

		12.83		(1.00	)			258.1		1.11			1.50			1.45			1.16			7
		13.15		11.44				260.0		1.11			1.41			1.47			1.05			3
		11.94		25.26				238.7		1.11			2.06			1.47			1.70			7
		9.69		(31.34	)			196.0		1.12			1.97			1.46			1.63			13
		14.45		2.19				306.2		1.14			1.68			1.47			1.35			7

		12.79		(1.44	)			50.6		1.51			1.07			1.85			0.73			7
		13.10		11.06				60.9		1.51			1.00			1.87			0.64			3
		11.89		24.69				58.7		1.51			1.66			1.87			1.30			7
		9.66		(31.62	)			49.3		1.52			1.57			1.86			1.23			13
		14.39		1.86				76.7		1.54			1.28			1.87			0.95			7

		12.88		(0.82	)			125.4		0.87			1.76			1.20			1.43			7
		13.21		11.75				114.6		0.86			1.67			1.22			1.31			3
		11.99		25.55				92.1		0.86			2.34			1.22			1.98			7
		9.73		(31.16	)			62.2		0.87			2.25			1.21			1.91			13
		14.52		2.46				86.3		0.89			1.98			1.22			1.65			7

		12.76		(1.32	)			16.3		1.43			1.16			1.77			0.82			7
		13.08		11.09				15.9		1.43			1.07			1.79			0.71			3
		11.88		24.77				13.9		1.43			1.77			1.79			1.41			7
		9.66		(31.55	)			8.2		1.44			1.75			1.78			1.41			13
		14.42		1.90				8.3		1.46			1.49			1.79			1.16			7

		12.81		(1.11	)			26.3		1.24			1.41			1.57			1.08			7
		13.13		11.32				23.9		1.23			1.34			1.59			0.98			3
		11.94		25.09				14.8		1.23			1.96			1.59			1.60			7
		9.69		(31.43	)			10.3		1.24			1.90			1.58			1.56			13
		14.46		2.11				11.8		1.26			1.76			1.59			1.43			7

		12.87		(0.85	)			2.9		0.93			1.66			1.27			1.32			7
		13.19		11.60				3.1		0.93			1.62			1.29			1.26			3
		11.98		25.67				2.2		0.93			2.30			1.29			1.94			7
		9.71		(31.15	)			1.2		0.94			2.29			1.28			1.95			13
		14.49		2.40				1.2		0.96			1.91			1.29			1.58			7


See accompanying notes to financial statements.		207

STATE FARM MUTUAL FUND TRUST LIFEPATH 2040 FUND

(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				Net realized gain				Total distributions
Class A Shares
Year ended 12/31/2011		$	13.41		$	0.18		$	(0.56	)		$	(0.38	)		$	(0.18	)		$	—			$	(0.18	)
Year ended 12/31/2010			12.08			0.16			1.32				1.48				(0.15	)			—				(0.15	)
Year ended 12/31/2009			9.62			0.20			2.45				2.65				(0.19	)			—				(0.19	)
Year ended 12/31/2008			15.28			0.22			(5.67	)			(5.45	)			(0.19	)			(0.02	)			(0.21	)
Year ended 12/31/2007			15.82			0.26			(0.01	)			0.25				(0.19	)			(0.60	)			(0.79	)
Class B Shares
Year ended 12/31/2011			13.35			0.09			(0.55	)			(0.46	)			(0.09	)			—				(0.09	)
Year ended 12/31/2010			12.04			0.07			1.31				1.38				(0.07	)			—				(0.07	)
Year ended 12/31/2009			9.60			0.13			2.43				2.56				(0.12	)			—				(0.12	)
Year ended 12/31/2008			15.24			0.13			(5.64	)			(5.51	)			(0.11	)			(0.02	)			(0.13	)
Year ended 12/31/2007			15.81			0.13			0.01				0.14				(0.11	)			(0.60	)			(0.71	)
Legacy Class A Shares
Year ended 12/31/2011			13.42			0.18			(0.55	)			(0.37	)			(0.17	)			—				(0.17	)
Year ended 12/31/2010			12.09			0.16			1.32				1.48				(0.15	)			—				(0.15	)
Year ended 12/31/2009			9.62			0.19			2.46				2.65				(0.18	)			—				(0.18	)
Year ended 12/31/2008			15.27			0.21			(5.67	)			(5.46	)			(0.17	)			(0.02	)			(0.19	)
Year ended 12/31/2007			15.78			0.21			0.05				0.26				(0.17	)			(0.60	)			(0.77	)
Legacy Class B Shares
Year ended 12/31/2011			13.40			0.12			(0.54	)			(0.42	)			(0.11	)			—				(0.11	)
Year ended 12/31/2010			12.07			0.11			1.32				1.43				(0.10	)			—				(0.10	)
Year ended 12/31/2009			9.61			0.15			2.45				2.60				(0.14	)			—				(0.14	)
Year ended 12/31/2008			15.23			0.16			(5.64	)			(5.48	)			(0.12	)			(0.02	)			(0.14	)
Year ended 12/31/2007			15.74			0.15			0.04				0.19				(0.10	)			(0.60	)			(0.70	)
Institutional Shares
Year ended 12/31/2011			13.48			0.22			(0.56	)			(0.34	)			(0.21	)			—				(0.21	)
Year ended 12/31/2010			12.15			0.19			1.32				1.51				(0.18	)			—				(0.18	)
Year ended 12/31/2009			9.66			0.23			2.47				2.70				(0.21	)			—				(0.21	)
Year ended 12/31/2008			15.34			0.25			(5.70	)			(5.45	)			(0.21	)			(0.02	)			(0.23	)
Year ended 12/31/2007			15.85			0.26			0.04				0.30				(0.21	)			(0.60	)			(0.81	)
Class R-1 Shares
Year ended 12/31/2011			13.34			0.13			(0.54	)			(0.41	)			(0.13	)			—				(0.13	)
Year ended 12/31/2010			12.02			0.12			1.31				1.43				(0.11	)			—				(0.11	)
Year ended 12/31/2009			9.59			0.16			2.42				2.58				(0.15	)			—				(0.15	)
Year ended 12/31/2008			15.22			0.18			(5.64	)			(5.46	)			(0.15	)			(0.02	)			(0.17	)
Year ended 12/31/2007			15.75			0.18			0.03				0.21				(0.14	)			(0.60	)			(0.74	)
Class R-2 Shares
Year ended 12/31/2011			13.40			0.17			(0.56	)			(0.39	)			(0.16	)			—				(0.16	)
Year ended 12/31/2010			12.08			0.15			1.31				1.46				(0.14	)			—				(0.14	)
Year ended 12/31/2009			9.62			0.19			2.45				2.64				(0.18	)			—				(0.18	)
Year ended 12/31/2008			15.28			0.21			(5.68	)			(5.47	)			(0.17	)			(0.02	)			(0.19	)
Year ended 12/31/2007			15.81			0.22			0.02				0.24				(0.17	)			(0.60	)			(0.77	)
Class R-3 Shares
Year ended 12/31/2011			13.60			0.21			(0.56	)			(0.35	)			(0.20	)			—				(0.20	)
Year ended 12/31/2010			12.25			0.19			1.33				1.52				(0.17	)			—				(0.17	)
Year ended 12/31/2009			9.64			0.23			2.58				2.81				(0.20	)			—				(0.20	)
Year ended 12/31/2008			15.32			0.25			(5.70	)			(5.45	)			(0.21	)			(0.02	)			(0.23	)
Year ended 12/31/2007			15.83			0.27			0.03				0.30				(0.21	)			(0.60	)			(0.81	)

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

(b)

Net amounts and ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio; indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; and applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, assuming applicable expense reductions, were 0.20% and 2.24%, respectively, for the year ended December 31, 2011.

(c)	Total return 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)

Ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio and indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; but do not reflect otherwise applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, excluding any otherwise applicable expense reductions, were 0.52% and 1.92%, respectively, for the year ended December 31, 2011.

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


208		See accompanying notes to financial statements.


						Ratios/supplemental data
									Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period			Total return (c)			Net assets, end of period (millions)			Expenses (b)			Net investment income (loss) (b)			Expenses (d)			Net investment income (loss) (d)			Portfolio turnover rate (e)

	$	12.85		(2.85	)%		$	297.6		1.10	%		1.36	%		1.46	%		1.00	%		8	%
		13.41		12.28				257.8		1.11			1.34			1.48			0.97			4
		12.08		27.49				180.5		1.11			1.92			1.47			1.56			6
		9.62		(35.68	)			112.0		1.13			1.74			1.47			1.40			14
		15.28		1.57				122.9		1.15			1.58			1.48			1.25			8

		12.80		(3.47	)			27.6		1.80			0.65			2.16			0.29			8
		13.35		11.47				26.1		1.81			0.61			2.18			0.24			4
		12.04		26.66				20.7		1.81			1.22			2.17			0.86			6
		9.60		(36.13	)			12.9		1.83			1.05			2.17			0.71			14
		15.24		0.85				13.7		1.85			0.81			2.18			0.48			8

		12.88		(2.81	)			182.2		1.10			1.34			1.46			0.98			8
		13.42		12.30				188.0		1.11			1.29			1.48			0.92			4
		12.09		27.55				170.8		1.11			1.88			1.48			1.51			6
		9.62		(35.71	)			133.4		1.13			1.64			1.47			1.30			14
		15.27		1.60				216.5		1.14			1.29			1.48			0.95			8

		12.87		(3.15	)			38.5		1.50			0.92			1.86			0.56			8
		13.40		11.81				45.9		1.51			0.88			1.88			0.51			4
		12.07		27.03				43.8		1.51			1.47			1.88			1.10			6
		9.61		(35.94	)			35.1		1.53			1.25			1.87			0.91			14
		15.23		1.20				55.5		1.54			0.89			1.88			0.55			8

		12.93		(2.55	)			136.2		0.85			1.60			1.21			1.24			8
		13.48		12.43				128.4		0.86			1.57			1.23			1.20			4
		12.15		27.92				98.9		0.86			2.17			1.22			1.81			6
		9.66		(35.51	)			62.9		0.88			1.94			1.22			1.60			14
		15.34		1.87				84.4		0.89			1.61			1.23			1.27			8

		12.80		(3.08	)			12.3		1.42			1.00			1.78			0.64			8
		13.34		11.89				12.6		1.43			0.94			1.80			0.57			4
		12.02		26.90				11.7		1.43			1.57			1.79			1.21			6
		9.59		(35.88	)			7.4		1.45			1.40			1.79			1.06			14
		15.22		1.28				8.3		1.46			1.07			1.80			0.73			8

		12.85		(2.91	)			22.9		1.22			1.25			1.58			0.89			8
		13.40		12.08				20.7		1.23			1.23			1.60			0.86			4
		12.08		27.43				13.5		1.23			1.84			1.59			1.48			6
		9.62		(35.76	)			8.5		1.25			1.62			1.59			1.28			14
		15.28		1.48				9.6		1.27			1.32			1.60			0.99			8

		13.05		(2.60	)			2.4		0.92			1.51			1.28			1.15			8
		13.60		12.41				2.3		0.93			1.50			1.30			1.13			4
		12.25		29.18				1.9		0.92			2.14			1.29			1.77			6
		9.64		(35.57	)			0.9		0.95			1.94			1.30			1.59			14
		15.32		1.79				0.9		0.97			1.65			1.30			1.32			8


See accompanying notes to financial statements.		209

STATE FARM MUTUAL FUND TRUST LIFEPATH 2050 FUND

(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				Net realized gain				Total distributions
Class A Shares
Year ended 12/31/2011		$	9.39		$	0.11		$	(0.51	)		$	(0.40	)		$	(0.09	)		$	(0.30	)		$	(0.39	)
Year ended 12/31/2010			8.62			0.12			1.00				1.12				(0.08	)			(0.27	)			(0.35	)
Year ended 12/31/2009			6.88			0.14			1.94				2.08				(0.11	)			(0.23	)			(0.34	)
Period ended 12/31/2008(g)			10.00			0.17			(3.20	)			(3.03	)			(0.06	)			(0.03	)			(0.09	)
Class R-1 Shares
Year ended 12/31/2011			9.42			0.08			(0.51	)			(0.43	)			(0.07	)			(0.30	)			(0.37	)
Year ended 12/31/2010			8.64			0.08			1.02				1.10				(0.05	)			(0.27	)			(0.32	)
Year ended 12/31/2009			6.90			0.11			1.95				2.06				(0.09	)			(0.23	)			(0.32	)
Period ended 12/31/2008(g)			10.00			0.11			(3.15	)			(3.04	)			(0.03	)			(0.03	)			(0.06	)
Class R-2 Shares
Year ended 12/31/2011			9.42			0.11			(0.51	)			(0.40	)			(0.09	)			(0.30	)			(0.39	)
Year ended 12/31/2010			8.65			0.10			1.01				1.11				(0.07	)			(0.27	)			(0.34	)
Year ended 12/31/2009			6.90			0.12			1.96				2.08				(0.10	)			(0.23	)			(0.33	)
Period ended 12/31/2008(g)			10.00			0.13			(3.16	)			(3.03	)			(0.04	)			(0.03	)			(0.07	)

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

(b)

Net amounts and ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio; indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; and applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, assuming applicable expense reductions, were 0.18% and 2.18%, respectively, for the year ended December 31, 2011.

(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 shares. All other classes do not have a sales charge.

(d)	Determined on an annualized basis for periods that are less than a full year.

(e)

Ratios reflect the Fund’s proportionate share of income and expenses of the Master Portfolio and indirect proportionate share of the expenses of the Active Stock and CoreAlpha Bond Master Portfolios; but do not reflect otherwise applicable Expense Reduction Agreements described in Note 2. Expense and income ratios for the Master Portfolio, excluding any otherwise applicable expense reductions, were 0.53% and 1.83%, respectively, for the year ended December 31, 2011.

(f)	Amount represents the portfolio turnover rate of the Master Portfolio and rounds to less than 1% for 2008.

(g)	For all the data, except for the portfolio turnover rate which is the period from the commencement of investment operations June 30, 2008 for the LifePath 2050 Master Portfolio, the period is from commencement of investment operations July 10, 2008.


210		See accompanying notes to financial statements.


						Ratios/supplemental data
									Average Net Asset ratios assuming expense reductions						Average Net Asset ratios absent expense reductions
Net asset value, end of period			Total return (c)			Net assets, end of period (millions)			Expenses (b)(d)			Net investment income (loss) (b)(d)			Expenses (d)(e)			Net investment income (loss) (d)(e)			Portfolio turnover rate (f)

	$	8.60		(4.25	)%		$	62.2		1.13	%		1.23	%		1.63	%		0.73	%		13	%
		9.39		12.98				42.6		1.12			1.32			1.76			0.68			5
		8.62		30.25				20.8		1.11			1.87			2.04			0.94			12
		6.88		(30.38	)			5.0		1.13			2.48			3.45			0.16			0

		8.62		(4.61	)			2.5		1.45			0.89			1.95			0.39			13
		9.42		12.69				1.8		1.44			0.90			2.08			0.26			5
		8.64		29.76				1.3		1.43			1.42			2.37			0.48			12
		6.90		(30.40	)			0.7		1.45			1.33			3.77			0.99			0

		8.63		(4.26	)			2.9		1.26			1.15			1.74			0.67			13
		9.42		12.79				1.7		1.24			1.14			1.89			0.49			5
		8.65		30.08				1.0		1.23			1.65			2.18			0.70			12
		6.90		(30.34	)			0.7		1.25			1.49			3.58			0.84			0


See accompanying notes to financial statements.		211

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of

State Farm Mutual Fund Trust:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments (except for the State Farm S&P 500 Index Fund, State Farm LifePath Retirement Fund, State Farm LifePath 2020 Fund, State Farm LifePath 2030 Fund, State Farm LifePath 2040 Fund and State Farm LifePath 2050 Fund for which the schedules of investments are not included), and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of State Farm Equity Fund, State Farm Small/Mid 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 Retirement Fund, State Farm LifePath 2020 Fund, State Farm LifePath 2030 Fund, State Farm LifePath 2040 Fund and State Farm LifePath 2050 Fund, fifteen funds comprising the State Farm Mutual Fund Trust (the “Funds”) at December 31, 2011, the results of each of their operations, the changes in each of their net assets and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2011 by correspondence with the custodian, brokers and transfer agent of affiliated investment companies, provides a reasonable basis for our opinion. The statements of changes in net assets and the financial highlights of the Funds for the periods ended December 31, 2010 and prior were audited by another independent registered public accounting firm whose report dated February 28, 2011 expressed an unqualified opinion on those statements and highlights.

PricewaterhouseCoopers LLP

Chicago, Illinois

February 28, 2012

212

CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (unaudited)

On September 16, 2011, the Board of Trustees of State Farm Mutual Fund Trust (the “Trust”), upon the recommendation of the Audit Committee of the Board of Trustees of the Trust (the “Audit Committee”), ratified the Audit Committee’s appointment of PricewaterhouseCoopers LLP (“PwC”) as the independent registered public accounting firm to the Trust for its fiscal year ending December 31, 2011, to be effective upon the resignation of Ernst & Young LLP (“E&Y”) from that position.

Effective September 19, 2011, E&Y resigned as independent registered public accounting firm to the Trust. For the fiscal years ended December 31, 2010 and December 30, 2009, and during the interim period commencing January 1, 2011 and ended September 19, 2011 (the date of E&Y’s resignation as independent registered public accounting firm to the Trust), E&Y served as the Trust’s independent registered public accounting firm with respect to the fifteen separate investment portfolios of the Trust (together the “Funds”). For the fiscal years ended December 31, 2010 and December 30, 2009, E&Y’s audit reports concerning the Funds contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principles. Further, in connection with its audits for the fiscal years ended December 31, 2010 and December 30, 2009, and through September 19, 2011, there were no disagreements between the Trust and E&Y on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure which, if not resolved to the satisfaction of E&Y, would have caused it to make reference to the disagreements in its reports on the financial statements for such periods. In addition, there were no reportable events of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

During the Trust’s fiscal years ended December 31, 2010 and December 30, 2009, and the interim period ended September 19, 2011, neither the Trust nor anyone on its behalf consulted PwC concerning (i) the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Trust’s financial statements or (ii) the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).

213

Management Information – State Farm Mutual Fund Trust (unaudited)

I. Information about Non-Interested (Independent) Trustees of State Farm Mutual Fund Trust

Name, Address, and Age

Position(s)

Held with

Fund

Length of Time Served
and Term of Office

Principal Occupation(s) During the Past 5 years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by
Trustee
During the
Past 5 Years

Thomas M. Mengler

One State Farm Plaza

Bloomington, Illinois 61710

Age 58

Trustee

Began service in 2000 and serves until successor is elected or appointed.

DEAN and PROFESSOR OF LAW – University of St. Thomas School of Law; TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

None

James A. Shirk

One State Farm Plaza

Bloomington, Illinois 61710

Age 67

Trustee

Began service in 2000 and serves until successor is elected or appointed.

DIRECTOR and PRESIDENT – Beer Nuts, Inc. (manufacturer of snack foods); PRESIDENT/OWNER - Tiehack Development Corp. (land developer); TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

None

Victor J. Boschini

One State Farm Plaza

Bloomington, Illinois 61710

Age 55

Trustee

Began service in 2000 and serves until successor is elected or appointed.

CHANCELLOR – Texas Christian University; TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

None

David L. Vance

One State Farm Plaza

Bloomington, Illinois 61710

Age 59

Trustee

Began service in 2000 and serves until successor is elected or appointed.

PRESIDENT/OWNER (since 7/2010) - Poudre River Press LLC (book publisher); CONSULTANT/PRESIDENT (since 2/2007) – Manage Learning LLC (consults with organizations on learning strategy, governance, measurement, and evaluation); PRESIDENT (1/2001-1/2007) – Caterpillar University; CHIEF ECONOMIST AND MANAGER of the Business Intelligence Group (12/1994 – 1/2007) – Caterpillar, Inc. (manufacturer of heavy equipment and

earth-moving machinery); TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

None

Donald A. Altorfer

One State Farm Plaza

Bloomington, Illinois 61710

Age 68

Trustee

Began service in 2000 and serves until successor is elected or appointed.

CHAIRMAN – Altorfer, Inc. (dealer in heavy machinery and equipment); TRUSTEE –State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

None

Alan R. Latshaw

One State Farm Plaza

Bloomington, Illinois 61710

Age 60

Trustee

Began service in 2005 and serves until successor is elected or appointed.

RETIRED; TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

TRUSTEE – MainStay Funds (65 portfolios) TRUSTEE – (10/2005 – 8/2007) Utopia Funds (4 portfolios)

Anita M. Nagler

One State Farm Plaza

Bloomington, Illinois 61710

Age 55

Trustee

Began service in 2006 and serves until successor is elected or appointed.

DIRECTOR (since 2/2008) - Baron Capital Group, Inc. (investment adviser and distributor of mutual funds); PRIVATE INVESTOR; TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

None

214

Management Information – State Farm Mutual Fund Trust (unaudited)

II. Information about Interested Trustees/Officers of State Farm Mutual Fund Trust


Name, Address, and Age	Position(s) Held with Fund	Length of Time Served and Term of Office	Principal Occupation(s) During the Past 5 years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During the Past 5 Years
Edward B. Rust, Jr.* One State Farm Plaza Bloomington, Illinois 61710 Age 61	Trustee and President	Began service in 2000 and serves until successor is elected or appointed.	CHAIRMAN OF THE BOARD, CHIEF EXECUTIVE OFFICER, PRESIDENT (since 1/2007) and DIRECTOR – State Farm Mutual Automobile Insurance Company; PRESIDENT and DIRECTOR – State Farm VP Management Corp., State Farm Investment Management Corp.; PRESIDENT and TRUSTEE – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	DIRECTOR – McGraw-Hill Corporation (publishing company); DIRECTOR – Caterpillar, Inc.; DIRECTOR – Helmerich & Payne, Inc. (energy exploration and production company)
Michael L. Tipsord* One State Farm Plaza Bloomington, Illinois 61710 Age 52	Trustee, Senior Vice President and Treasurer	Began service in 2002 and serves until successor is elected or appointed.	VICE CHAIRMAN and CHIEF OPERATING OFFICER (since 12/2010), CHIEF FINANCIAL OFFICER (before 12/2010), TREASURER (before 6/2009), and DIRECTOR (since 6/2007) – State Farm Mutual Automobile Insurance Company; DIRECTOR, SENIOR VICE PRESIDENT and TREASURER – State Farm Investment Management Corp., State Farm VP Management Corp.; TRUSTEE, SENIOR VICE PRESIDENT and TREASURER – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.	28	DIRECTOR – Navigant Consulting, Inc. (international consulting firm)

*	Messrs. Rust and Tipsord are “interested” Trustees as defined by the Investment Company Act of 1940 because of their respective positions with State Farm Mutual Fund Trust, State Farm VP Management Corp., State Farm Investment Management Corp. and with the affiliates of these companies.

215

Management Information – State Farm Mutual Fund Trust (unaudited)

III. Information about Officers of State Farm Mutual Fund Trust


Name, Address, and Age	Position(s) Held with Fund	Length of Time Served and Term of Office	Principal Occupation(s) During the Past 5 years
Donald E. Heltner One State Farm Plaza Bloomington, Illinois 61710 Age 64	Vice President	Began service in 2000 and serves until removed.	VICE PRESIDENT – FIXED INCOME – State Farm Mutual Automobile Insurance Company; VICE PRESIDENT – State Farm Investment Management Corp., State Farm Variable Product Trust, State Farm Associates’ Funds Trust.
Paul J. Smith One State Farm Plaza Bloomington, Illinois 61710 Age 48	Senior Vice President	Began service in June 2011 and serves until removed.	CHIEF FINANCIAL OFFICER (since 12/2010), TREASURER (since 6/2009), SENIOR VICE PRESIDENT (since 3/2007), and OPERATIONS VICE PRESIDENT (7/2005 - 3/2007) - State Farm Mutual Automobile Insurance Company; DIRECTOR (since 3/2011) and SENIOR VICE PRESIDENT (since 12/2009) - State Farm Investment Management Corp., State Farm VP Management Corp.; SENIOR VICE PRESIDENT (since 6/2011) – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.
Joe R. Monk Jr. One State Farm Plaza Bloomington, IL 61710 Age 48	Senior Vice President	Began service in March 2011 and serves until removed.	SENIOR VICE PRESIDENT, CHIEF ADMINISTRATIVE OFFICER (since 4/2010) and OPERATIONS VICE PRESIDENT (6/2008 - 4/2010) – State Farm Life Insurance Company; VICE PRESIDENT - SECURITIES PRODUCTS (since 1/2011), VICE PRESIDENT – HEALTH (since 4/2010), OPERATIONS VICE PRESIDENT - HEALTH (6/2008 - 4/2010) and VICE PRESIDENT - AGENCY (12/2004 - 6/2008) - State Farm Mutual Automobile Insurance Company; SENIOR VICE PRESIDENT (since 7/2010) – State Farm Investment Management Corp., State Farm VP Management Corp.; SENIOR VICE PRESIDENT (since 3/2011) - State Farm Variable Product Trust, State Farm Associates’ Funds Trust.
Kurt T. Oleson Three State Farm Plaza Bloomington, Illinois 61791 Age 50	Vice President and Secretary	Began service in March 2009 and serves until removed.	ASSISTANT VICE PRESIDENT – SECURITIES PRODUCTS (since 1/2009) and ASSISTANT VICE PRESIDENT – AUDITING (9/2006 – 1/2009) - State Farm Mutual Automobile Insurance Company; VICE PRESIDENT – FINANCIAL AND SECRETARY (since 3/2009) – State Farm Investment Management Corp., State Farm VP Management Corp.; VICE PRESIDENT AND SECRETARY (since 3/2009) – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.
David R. Grizzle Three State Farm Plaza Bloomington, Illinois 61791 Age 52	Chief Compliance Officer and Assistant Secretary- Treasurer	Began service as Assistant Secretary- Treasurer in 2001 and as Chief Compliance Officer in 2006 and serves until removed.	CHIEF COMPLIANCE OFFICER – State Farm Variable Product Trust, State Farm Associates’ Funds Trust; DIRECTOR – SECURITIES PRODUCTS – State Farm Mutual Automobile Insurance Company; ASSISTANT SECRETARY – TREASURER – State Farm Variable Product Trust, State Farm Associates’ Funds Trust; CHIEF COMPLIANCE OFFICER and ASSISTANT SECRETARY – TREASURER – State Farm Investment Management Corp.; ASSISTANT SECRETARY – TREASURER – State Farm VP Management Corp.
Joseph P. Young One State Farm Plaza Bloomington, IL 61710 Age 48	Vice President	Began service in December 2011 and serves until removed.	ASSISTANT VICE PRESIDENT - FIXED INCOME (since 6/2011) - State Farm Mutual Automobile Insurance Company; VICE PRESIDENT - FIXED INCOME (3/1998 - 5/2011) - Nationwide Insurance; VICE PRESIDENT (since 12/2011) – State Farm Variable Product Trust, State Farm Associates’ Funds Trust.

The

Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees of the Trust, and the SAI is available without charge

upon

request. Call toll-free 1-800-447-4930 to request a copy of the SAI.

216

S&P 500 STOCK MASTER PORTFOLIO

MASTER PORTFOLIO INFORMATION

as of December 31, 2011

S&P 500 Stock Master Portfolio


Ten Largest Holdings	Percent of Long-Term Investments
Exxon Mobil Corp.		4	%
Apple, Inc.		3
International Business Machines Corp.		2
Chevron Corp.		2
Microsoft Corp.		2
General Electric Co.		2
The Procter & Gamble Co.		2
AT&T, Inc.		2
Johnson & Johnson		2
Pfizer, Inc.		1


Sector Allocation	Percent of Long-Term Investments
Information Technology		19	%
Financials		13
Energy		12
Health Care		12
Consumer Staples		12
Consumer Discretionary		11
Industrials		11
Utilities		4
Materials		3
Telecommunication Services		3

For Master Portfolio compliance purposes, the Master Portfolio’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. These definitions may not apply for purposes of this report, which may combine sector sub classifications for reporting ease.

217

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Consumer Discretionary — 10.7%
Auto Components — 0.3%
BorgWarner, Inc. (a)(b)		20,140	$	1,283,724
The Goodyear Tire & Rubber Co. (a)		44,719		633,668
Johnson Controls, Inc.		125,015		3,907,969

				5,825,361
Automobiles — 0.4%
Ford Motor Co. (a)		698,204		7,512,675
Harley-Davidson, Inc. (b)		42,702		1,659,827

				9,172,502
Distributors — 0.1%
Genuine Parts Co. (b)		28,604		1,750,565
Diversified Consumer Services — 0.1%
Apollo Group, Inc., Class A (a)		21,359		1,150,609
DeVry, Inc. (b)		11,157		429,098
H&R Block, Inc. (b)		53,774		878,130

				2,457,837
Hotels, Restaurants & Leisure — 2.0%
Carnival Corp.		83,150		2,714,016
Chipotle Mexican Grill, Inc. (a)		5,751		1,942,343
Darden Restaurants, Inc. (b)		24,228		1,104,312
International Game Technology		54,433		936,248
Marriott International, Inc., Class A		49,270		1,437,206
McDonald’s Corp. (b)		187,993		18,861,338
Starbucks Corp.		136,956		6,301,345
Starwood Hotels & Resorts Worldwide, Inc. (b)		35,314		1,694,013
Wyndham Worldwide Corp.		28,050		1,061,131
Wynn Resorts Ltd.		14,553		1,607,961
Yum! Brands, Inc.		84,611		4,992,895

				42,652,808
Household Durables — 0.3%
D.R. Horton, Inc. (b)		50,872		641,496
Harman International Industries, Inc.		12,779		486,113
Leggett & Platt, Inc. (b)		25,683		591,736
Lennar Corp., Class A (b)		29,389		577,494
Newell Rubbermaid, Inc.		53,500		864,025
PulteGroup, Inc. (a)(b)		62,772		396,091
Stanley Black & Decker, Inc.		31,037		2,098,101
Whirlpool Corp. (b)		14,119		669,947

				6,325,003
Internet & Catalog Retail — 0.8%
Amazon.com, Inc. (a)		66,841		11,570,177
Expedia, Inc. (b)		17,267		501,088
NetFlix, Inc. (a)		10,229		708,768
priceline.com, Inc. (a)		9,148		4,278,611
TripAdvisor, Inc. (a)(b)		17,600		443,696

				17,502,340
Leisure Equipment & Products — 0.1%
Hasbro, Inc.		21,255		677,822
Mattel, Inc.		62,232		1,727,560

				2,405,382
Media — 3.1%
Cablevision Systems Corp.		40,354		573,834
CBS Corp., Class B		120,246		3,263,476


Common Stocks	Shares		Value
Consumer Discretionary (concluded)
Media (concluded)
Comcast Corp, Class A		500,634	$	11,870,032
DIRECTV, Class A (a)		129,641		5,543,449
Discovery Communications, Inc. (a)		48,563		1,989,626
Gannett Co., Inc.		44,022		588,574
Interpublic Group of Cos., Inc.		84,640		823,547
The McGraw-Hill Cos., Inc.		53,913		2,424,468
News Corp., Class A		402,919		7,188,075
Omnicom Group, Inc. (b)		50,694		2,259,938
Scripps Networks Interactive, Inc., Class A		17,971		762,330
Time Warner Cable, Inc. (b)		58,635		3,727,427
Time Warner, Inc. (b)		183,897		6,646,038
Viacom, Inc., Class B		101,463		4,607,435
The Walt Disney Co. (b)		330,072		12,377,700
The Washington Post Co., Class B (b)		906		341,390

				64,987,339
Multiline Retail — 0.8%
Big Lots, Inc. (a)		11,931		450,515
Dollar Tree, Inc. (a)		21,872		1,817,782
Family Dollar Stores, Inc. (b)		21,574		1,243,957
J.C. Penney Co., Inc. (b)		26,158		919,454
Kohl’s Corp.		46,569		2,298,180
Macy’s, Inc.		77,144		2,482,494
Nordstrom, Inc. (b)		29,730		1,477,878
Sears Holdings Corp. (a)(b)		7,168		227,799
Target Corp.		123,396		6,320,343

				17,238,402
Specialty Retail — 2.0%
Abercrombie & Fitch Co., Class A (b)		15,882		775,677
AutoNation, Inc. (a)(b)		8,869		327,000
AutoZone, Inc. (a)		5,132		1,667,746
Bed Bath & Beyond, Inc. (a)		44,113		2,557,231
Best Buy Co., Inc. (b)		53,932		1,260,391
CarMax, Inc. (a)		41,552		1,266,505
GameStop Corp., Class A (a)(b)		25,236		608,945
The Gap, Inc. (b)		63,644		1,180,596
The Home Depot, Inc. (b)		283,231		11,907,031
Limited Brands, Inc. (b)		45,200		1,823,820
Lowe’s Cos., Inc.		230,140		5,840,953
O’Reilly Automotive, Inc. (a)		23,582		1,885,381
Orchard Supply Hardware Stores Corp., Class A (a)(b)		315		1,184
Ross Stores, Inc.		42,374		2,014,036
Staples, Inc.		128,529		1,785,268
The TJX Cos., Inc.		69,296		4,473,057
Tiffany & Co.		23,331		1,545,912
Urban Outfitters, Inc. (a)		20,285		559,054

				41,479,787
Textiles, Apparel & Luxury Goods — 0.7%
Coach, Inc.		53,622		3,273,087
NIKE, Inc., Class B		68,154		6,568,001
Ralph Lauren Corp.		11,851		1,636,386
VF Corp. (b)		16,021		2,034,507

				13,511,981
Total Consumer Discretionary				225,309,307

218	See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Consumer Staples — 11.4%
Beverages — 2.6%
Beam, Inc.		28,565	$	1,463,385
Brown-Forman Corp., Class B		18,536		1,492,333
The Coca-Cola Co.		417,284		29,197,361
Coca-Cola Enterprises, Inc.		57,340		1,478,225
Constellation Brands, Inc. (a)(b)		32,155		664,644
Dr Pepper Snapple Group, Inc.		39,397		1,555,394
Molson Coors Brewing Co., Class B		28,951		1,260,527
PepsiCo, Inc.		287,241		19,058,440

				56,170,309
Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		79,624		6,634,271
CVS Caremark Corp.		239,149		9,752,496
The Kroger Co.		109,726		2,657,564
Safeway, Inc. (b)		62,467		1,314,305
SUPERVALU, Inc. (b)		39,608		321,617
Sysco Corp. (b)		108,393		3,179,167
Wal-Mart Stores, Inc.		320,897		19,176,805
Walgreen Co.		163,396		5,401,872
Whole Foods Market, Inc. (b)		29,357		2,042,660

				50,480,757
Food Products — 1.9%
Archer Daniels Midland Co.		122,737		3,510,278
Campbell Soup Co. (b)		32,863		1,092,366
ConAgra Foods, Inc.		76,168		2,010,835
Dean Foods Co. (a)		34,230		383,376
General Mills, Inc. (b)		118,228		4,777,593
H.J. Heinz Co. (b)		58,842		3,179,822
The Hershey Co.		28,131		1,737,933
Hormel Foods Corp. (b)		25,482		746,368
The J.M. Smucker Co.		20,920		1,635,316
Kellogg Co.		45,537		2,302,806
Kraft Foods, Inc., Class A		324,604		12,127,205
McCormick & Co., Inc. (b)		24,383		1,229,391
Mead Johnson Nutrition Co.		37,405		2,570,846
Sara Lee Corp.		108,555		2,053,861
Tyson Foods, Inc., Class A		53,601		1,106,325

				40,464,321
Household Products — 2.3%
The Clorox Co.		24,240		1,613,414
Colgate-Palmolive Co.		88,926		8,215,873
Kimberly-Clark Corp.		72,410		5,326,480
The Procter & Gamble Co.		505,487		33,721,038

				48,876,805
Personal Products — 0.2%
Avon Products, Inc.		79,116		1,382,157
The Estee Lauder Cos., Inc., Class A		20,525		2,305,368

				3,687,525
Tobacco — 2.0%
Altria Group, Inc. (b)		377,826		11,202,541
Lorillard, Inc. (b)		24,808		2,828,112
Philip Morris International, Inc.		319,129		25,045,244
Reynolds American, Inc.		62,124		2,573,176

				41,649,073
Total Consumer Staples				241,328,790


Common Stocks	Shares		Value
Energy — 12.2%
Energy Equipment & Services — 2.0%
Baker Hughes, Inc.		80,197	$	3,900,782
Cameron International Corp. (a)		45,057		2,216,354
Diamond Offshore Drilling, Inc. (b)		12,843		709,704
FMC Technologies, Inc. (a)(b)		43,785		2,286,890
Halliburton Co.		169,067		5,834,502
Helmerich & Payne, Inc. (b)		19,644		1,146,424
Nabors Industries Ltd. (a)		52,707		913,939
National Oilwell Varco, Inc.		77,876		5,294,789
Noble Corp. (a)		46,391		1,401,936
Rowan Cos., Inc. (a)		22,905		694,709
Schlumberger Ltd.		246,586		16,844,290

				41,244,319
Oil, Gas & Consumable Fuels — 10.2%
Alpha Natural Resources, Inc. (a)		40,329		823,921
Anadarko Petroleum Corp.		91,494		6,983,737
Apache Corp.		70,565		6,391,778
Cabot Oil & Gas Corp.		19,203		1,457,508
Chesapeake Energy Corp.		121,140		2,700,211
Chevron Corp.		365,886		38,930,270
ConocoPhillips (b)		243,942		17,776,054
CONSOL Energy, Inc.		41,683		1,529,766
Denbury Resources, Inc. (a)		73,013		1,102,496
Devon Energy Corp.		74,212		4,601,144
El Paso Corp.		141,702		3,765,022
EOG Resources, Inc.		49,398		4,866,197
EQT Corp. (b)		27,462		1,504,643
Exxon Mobil Corp.		880,628		74,642,029
Hess Corp.		54,758		3,110,254
Marathon Oil Corp.		129,304		3,784,728
Marathon Petroleum Corp.		65,513		2,180,928
Murphy Oil Corp.		35,562		1,982,226
Newfield Exploration Co. (a)		24,259		915,292
Noble Energy, Inc.		32,258		3,044,833
Occidental Petroleum Corp.		149,149		13,975,261
Peabody Energy Corp.		49,778		1,648,150
Pioneer Natural Resources Co.		22,489		2,012,316
QEP Resources, Inc.		32,465		951,224
Range Resources Corp.		28,745		1,780,465
Southwestern Energy Co. (a)		63,834		2,038,858
Spectra Energy Corp. (b)		119,496		3,674,502
Sunoco, Inc.		19,726		809,161
Tesoro Corp. (a)		26,348		615,489
Valero Energy Corp.		102,854		2,165,077
The Williams Cos., Inc. (b)		108,301		3,576,099

				215,339,639
Total Energy				256,583,958
Financials — 13.3%
Capital Markets — 1.8%
Ameriprise Financial, Inc.		41,576		2,063,833
The Bank of New York Mellon Corp. (b)		222,809		4,436,127
BlackRock, Inc. (c)		18,408		3,281,042
The Charles Schwab Corp. (b)		198,362		2,233,556
E*Trade Financial Corp. (a)		46,790		372,448
Federated Investors, Inc., Class B		16,973		257,141
Franklin Resources, Inc.		26,746		2,569,221
The Goldman Sachs Group, Inc.		90,454		8,179,755
Invesco Ltd.		82,878		1,665,019

219

See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Financials (continued)
Capital Markets (concluded)
Legg Mason, Inc.		22,717	$	546,344
Morgan Stanley		272,690		4,125,800
Northern Trust Corp.		44,287		1,756,422
State Street Corp.		90,393		3,643,742
T Rowe Price Group, Inc. (b)		46,423		2,643,790

				37,774,240
Commercial Banks — 2.6%
BB&T Corp. (b)		128,093		3,224,101
Comerica, Inc.		36,346		937,727
Fifth Third Bancorp		169,017		2,149,896
First Horizon National Corp.		48,717		389,736
Huntington Bancshares, Inc.		159,688		876,687
KeyCorp		175,120		1,346,673
M&T Bank Corp.		23,086		1,762,385
PNC Financial Services Group, Inc. (c)		96,666		5,574,728
Regions Financial Corp.		230,526		991,262
SunTrust Banks, Inc.		98,682		1,746,671
U.S. Bancorp (b)		350,633		9,484,623
Wells Fargo & Co.		968,884		26,702,443
Zions BanCorp.		33,670		548,148

				55,735,080
Consumer Finance — 0.8%
American Express Co. (b)		185,659		8,757,535
Capital One Financial Corp.		84,463		3,571,940
Discover Financial Services		100,998		2,423,952
SLM Corp.		93,424		1,251,882

				16,005,309
Diversified Financial Services — 2.7%
Bank of America Corp.		1,862,269		10,354,216
Citigroup, Inc. (b)		537,168		14,132,890
CME Group, Inc.		12,199		2,972,530
IntercontinentalExchange, Inc. (a)		13,351		1,609,463
JPMorgan Chase & Co.		698,118		23,212,424
Leucadia National Corp.		36,356		826,735
Moody’s Corp. (b)		35,904		1,209,247
The NASDAQ OMX Group, Inc. (a)		23,588		578,142
NYSE Euronext		48,151		1,256,741

				56,152,388
Insurance — 3.5%
ACE Ltd.		61,888		4,339,587
Aflac, Inc.		85,769		3,710,367
The Allstate Corp.		92,860		2,545,293
American International Group, Inc. (a)		80,271		1,862,287
Aon Corp.		59,404		2,780,107
Assurant, Inc.		17,013		698,554
Berkshire Hathaway, Inc., Class B (a)		323,001		24,644,976
Chubb Corp. (b)		51,094		3,536,727
Cincinnati Financial Corp. (b)		29,632		902,591
Genworth Financial, Inc., Class A (a)		90,630		593,626
Hartford Financial Services Group, Inc.		81,848		1,330,030
Lincoln National Corp. (b)		55,265		1,073,246
Loews Corp.		56,112		2,112,617
Marsh & McLennan Cos., Inc.		98,850		3,125,637
MetLife, Inc.		194,325		6,059,053
Principal Financial Group, Inc.		56,080		1,379,568
The Progressive Corp.		113,323		2,210,932


Common Stocks	Shares		Value
Financials (concluded)
Insurance (concluded)
Prudential Financial, Inc.		86,725	$	4,346,657
Torchmark Corp. (b)		18,703		811,523
The Travelers Cos., Inc.		75,843		4,487,630
Unum Group		53,736		1,132,217
XL Group Plc		58,906		1,164,572

				74,847,797
Real Estate Investment Trusts (REITs) — 1.8%
Apartment Investment & Management Co.		22,349		512,016
AvalonBay Communities, Inc.		17,472		2,281,843
Boston Properties, Inc.		27,127		2,701,849
Equity Residential		54,505		3,108,420
HCP, Inc. (b)		74,930		3,104,350
Health Care REIT, Inc. (b)		34,874		1,901,679
Host Hotels & Resorts, Inc.		129,779		1,916,836
Kimco Realty Corp. (b)		74,789		1,214,573
Plum Creek Timber Co., Inc. (b)		29,641		1,083,675
ProLogis, Inc.		84,206		2,407,450
Public Storage		26,088		3,507,792
Simon Property Group, Inc.		53,980		6,960,181
Ventas, Inc.		52,905		2,916,653
Vornado Realty Trust		33,901		2,605,631
Weyerhaeuser Co.		98,574		1,840,377

				38,063,325
Real Estate Management & Development — 0.0%
CB Richard Ellis Group Inc. (a)		59,572		906,686
Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc. (b)		97,596		609,975
People’s United Financial, Inc. (b)		66,203		850,708

				1,460,683
Total Financials				280,945,508
Health Care — 11.8%
Biotechnology — 1.2%
Amgen, Inc. (b)		145,744		9,358,222
Biogen Idec, Inc. (a)		44,633		4,911,862
Celgene Corp. (a)		81,566		5,513,862
Gilead Sciences, Inc. (a)		138,012		5,648,831

				25,432,777
Health Care Equipment & Supplies — 1.8%
Baxter International, Inc.		103,603		5,126,277
Becton Dickinson & Co. (b)		39,486		2,950,394
Boston Scientific Corp. (a)		272,264		1,453,890
C.R. Bard, Inc.		15,752		1,346,796
CareFusion Corp. (a)		41,135		1,045,240
Covidien Plc		88,642		3,989,777
DENTSPLY International, Inc. (b)		25,887		905,786
Edwards Lifesciences Corp. (a)		20,963		1,482,084
Intuitive Surgical, Inc. (a)		7,165		3,317,467
Medtronic, Inc.		193,901		7,416,713
St. Jude Medical, Inc.		58,617		2,010,563
Stryker Corp.		59,768		2,971,067
Varian Medical Systems, Inc. (a)		20,686		1,388,651
Zimmer Holdings, Inc. (a)(b)		32,927		1,758,960

				37,163,665

220	See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Health Care (concluded)
Health Care Providers & Services — 2.1%
Aetna, Inc.		66,572	$	2,808,673
AmerisourceBergen Corp.		47,474		1,765,558
Cardinal Health, Inc.		63,487		2,578,207
Cigna Corp.		52,456		2,203,152
Coventry Health Care, Inc. (a)		26,479		804,167
DaVita, Inc. (a)		17,165		1,301,279
Express Scripts, Inc. (a)		89,392		3,994,929
Humana, Inc.		30,044		2,632,155
Laboratory Corp. of America Holdings (a)		18,212		1,565,686
McKesson Corp.		45,120		3,515,299
Medco Health Solutions, Inc. (a)		71,136		3,976,502
Patterson Cos., Inc. (b)		16,099		475,243
Quest Diagnostics, Inc.		28,991		1,683,217
Tenet Healthcare Corp. (a)		80,364		412,267
UnitedHealth Group, Inc. (b)		195,862		9,926,286
WellPoint, Inc.		63,916		4,234,435

				43,877,055
Health Care Technology — 0.1%
Cerner Corp. (a)		26,773		1,639,846
Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc. (a)		63,803		2,228,639
Life Technologies Corp. (a)		32,750		1,274,302
PerkinElmer, Inc.		20,562		411,240
Thermo Fisher Scientific, Inc. (a)		69,508		3,125,775
Waters Corp. (a)		16,468		1,219,455

				8,259,411
Pharmaceuticals — 6.2%
Abbott Laboratories		286,210		16,093,588
Allergan, Inc.		56,046		4,917,476
Bristol-Myers Squibb Co. (b)		311,336		10,971,481
Eli Lilly & Co. (b)		187,192		7,779,700
Forest Laboratories, Inc. (a)		49,095		1,485,615
Hospira, Inc. (a)		30,177		916,475
Johnson & Johnson		501,727		32,903,257
Merck & Co., Inc.		559,985		21,111,434
Mylan, Inc. (a)		78,379		1,682,013
Perrigo Co. (b)		17,126		1,666,360
Pfizer, Inc.		1,412,293		30,562,021
Watson Pharmaceuticals, Inc. (a)		23,363		1,409,723

				131,499,143
Total Health Care				247,871,897
Industrials — 10.5%
Aerospace & Defense — 2.6%
The Boeing Co.		136,555		10,016,309
General Dynamics Corp.		65,432		4,345,339
Goodrich Corp.		23,010		2,846,337
Honeywell International, Inc.		142,117		7,724,059
L-3 Communications Holdings, Inc.		18,353		1,223,778
Lockheed Martin Corp. (b)		48,752		3,944,037
Northrop Grumman Corp.		48,010		2,807,625
Precision Castparts Corp.		26,493		4,365,781
Raytheon Co. (b)		63,595		3,076,726
Rockwell Collins, Inc. (b)		27,810		1,539,840
Textron, Inc.		50,881		940,790
United Technologies Corp.		166,475		12,167,658

				54,998,279


Common Stocks	Shares		Value
Industrials (continued)
Air Freight & Logistics — 1.0%
C.H. Robinson Worldwide, Inc.		30,169	$	2,105,193
Expeditors International of Washington, Inc.		38,965		1,596,007
FedEx Corp. (b)		58,285		4,867,380
United Parcel Service, Inc., Class B		177,296		12,976,294

				21,544,874
Airlines — 0.1%
Southwest Airlines Co. (b)		143,080		1,224,765
Building Products — 0.0%
Masco Corp.		65,371		685,088
Commercial Services & Supplies — 0.4%
Avery Dennison Corp. (b)		19,415		556,822
Cintas Corp.		20,361		708,766
Iron Mountain, Inc.		34,115		1,050,742
Pitney Bowes, Inc. (b)		36,560		677,822
R.R. Donnelley & Sons Co. (b)		34,697		500,678
Republic Services, Inc. (b)		57,852		1,593,823
Stericycle, Inc. (a)		15,643		1,218,903
Waste Management, Inc. (b)		84,586		2,766,808

				9,074,364
Construction & Engineering — 0.2%
Fluor Corp.		31,179		1,566,745
Jacobs Engineering Group, Inc. (a)		23,547		955,537
Quanta Services, Inc. (a)		38,574		830,884

				3,353,166
Electrical Equipment — 0.6%
Cooper Industries Plc, Class A		29,054		1,573,274
Emerson Electric Co.		135,183		6,298,176
Rockwell Automation, Inc. (b)		26,079		1,913,416
Roper Industries, Inc. (b)		17,730		1,540,205

				11,325,071
Industrial Conglomerates — 2.3%
3M Co.		128,766		10,524,045
General Electric Co.		1,939,653		34,739,185
Tyco International Ltd.		84,885		3,964,979

				49,228,209
Machinery — 2.1%
Caterpillar, Inc. (b)		118,804		10,763,642
Cummins, Inc.		35,436		3,119,077
Danaher Corp.		104,670		4,923,677
Deere & Co.		76,053		5,882,700
Dover Corp. (b)		34,065		1,977,473
Eaton Corp.		61,409		2,673,134
Flowserve Corp.		10,209		1,013,958
Illinois Tool Works, Inc. (b)		88,782		4,147,007
Ingersoll-Rand Plc		57,367		1,747,972
Joy Global, Inc.		19,314		1,447,971
PACCAR, Inc. (b)		65,823		2,466,388
Pall Corp.		21,162		1,209,408
Parker Hannifin Corp.		27,762		2,116,853
Snap-on, Inc. (b)		10,749		544,114
Xylem, Inc.		33,809		868,553

				44,901,927

221

See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Industrials (concluded)
Professional Services — 0.1%
The Dun & Bradstreet Corp.		8,900	$	665,987
Equifax, Inc.		22,379		866,962
Robert Half International, Inc. (b)		26,211		745,965

				2,278,914
Road & Rail — 0.9%
CSX Corp.		192,920		4,062,895
Norfolk Southern Corp. (b)		61,756		4,499,542
Ryder System, Inc. (b)		9,326		495,584
Union Pacific Corp. (b)		88,756		9,402,811

				18,460,832
Trading Companies & Distributors — 0.2%
Fastenal Co. (b)		54,245		2,365,624
W.W. Grainger, Inc. (b)		11,151		2,087,356

				4,452,980
Total Industrials				221,528,469
Information Technology — 18.9%
Communications Equipment — 2.1%
Cisco Systems, Inc.		987,693		17,857,489
F5 Networks, Inc. (a)		14,607		1,550,095
Harris Corp. (b)		21,243		765,598
JDS Uniphase Corp. (a)		42,587		444,608
Juniper Networks, Inc. (a)		96,659		1,972,810
Motorola Mobility Holdings, Inc. (a)		48,437		1,879,356
Motorola Solutions, Inc.		52,640		2,436,706
QUALCOMM, Inc.		308,832		16,893,110

				43,799,772
Computers & Peripherals — 4.6%
Apple, Inc. (a)		170,756		69,156,180
Dell, Inc. (a)		280,578		4,104,856
EMC Corp. (a)		374,806		8,073,321
Hewlett-Packard Co.		365,068		9,404,152
Lexmark International, Inc., Class A (b)		13,069		432,192
NetApp, Inc. (a)		65,895		2,390,012
SanDisk Corp. (a)		44,156		2,172,917
Western Digital Corp. (a)		42,959		1,329,581

				97,063,211
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp., Class A		30,459		1,382,534
Corning, Inc.		288,766		3,748,183
FLIR Systems, Inc. (b)		28,593		716,826
Jabil Circuit, Inc. (b)		33,839		665,275
Molex, Inc. (b)		25,077		598,337
TE Connectivity Ltd.		77,994		2,402,995

				9,514,150
Internet Software & Services — 2.0%
Akamai Technologies, Inc. (a)		32,978		1,064,530
eBay, Inc. (a)		211,098		6,402,602
Google, Inc., Class A (a)		46,415		29,979,449
VeriSign, Inc. (b)		29,235		1,044,274
Yahoo!, Inc. (a)		227,897		3,675,979

				42,166,834
IT Services — 3.9%
Accenture Plc, Class A		117,758		6,268,258
Automatic Data Processing, Inc. (b)		89,793		4,849,720
Cognizant Technology Solutions Corp., Class A (a)		55,512		3,569,977


Common Stocks	Shares		Value
Information Technology (concluded)
IT Services (concluded)
Computer Sciences Corp. (b)		28,395	$	672,962
Fidelity National Information Services, Inc.		44,581		1,185,409
Fiserv, Inc. (a)		25,886		1,520,544
International Business Machines Corp.		216,542		39,817,743
MasterCard, Inc., Class A		19,588		7,302,798
Paychex, Inc.		59,268		1,784,559
SAIC, Inc. (a)		51,008		626,888
Teradata Corp. (a)		30,763		1,492,313
Total System Services, Inc.		29,631		579,582
Visa, Inc., Class A (b)		93,442		9,487,166
The Western Union Co.		113,772		2,077,477

				81,235,396
Office Electronics — 0.1%
Xerox Corp.		254,883		2,028,869
Semiconductors & Semiconductor Equipment — 2.3%
Advanced Micro Devices, Inc. (a)		108,263		584,620
Altera Corp.		58,961		2,187,453
Analog Devices, Inc.		54,753		1,959,062
Applied Materials, Inc.		239,913		2,569,468
Broadcom Corp., Class A (a)		89,138		2,617,092
First Solar, Inc. (a)(b)		10,949		369,638
Intel Corp.		935,535		22,686,724
KLA-Tencor Corp. (b)		30,628		1,477,801
Linear Technology Corp.		41,799		1,255,224
LSI Corp. (a)		103,078		613,314
Microchip Technology, Inc. (b)		35,126		1,286,666
Micron Technology, Inc. (a)		181,000		1,138,490
Novellus Systems, Inc. (a)		12,279		507,000
NVIDIA Corp. (a)		112,220		1,555,369
Teradyne, Inc. (a)		33,524		456,932
Texas Instruments, Inc.		209,945		6,111,499
Xilinx, Inc. (b)		48,233		1,546,350

				48,922,702
Software — 3.5%
Adobe Systems, Inc. (a)		90,203		2,550,039
Autodesk, Inc. (a)		41,631		1,262,668
BMC Software, Inc. (a)		31,282		1,025,424
CA, Inc.		68,005		1,374,721
Citrix Systems, Inc. (a)		34,271		2,080,935
Electronic Arts, Inc. (a)		60,829		1,253,078
Intuit, Inc.		54,619		2,872,413
Microsoft Corp.		1,375,522		35,708,551
Oracle Corp.		722,928		18,543,103
Red Hat, Inc. (a)		35,439		1,463,276
Salesforce.com, Inc. (a)		24,990		2,535,486
Symantec Corp. (a)		135,459		2,119,933

				72,789,627
Total Information Technology				397,520,561
Materials — 3.5%
Chemicals — 2.2%
Air Products & Chemicals, Inc.		38,672		3,294,468
Airgas, Inc.		12,507		976,547
CF Industries Holdings, Inc.		12,016		1,742,080
The Dow Chemical Co. (b)		217,140		6,244,947
E.I. du Pont de Nemours & Co.		169,754		7,771,338
Eastman Chemical Co.		25,286		987,671
Ecolab, Inc. (b)		55,151		3,188,279
FMC Corp.		12,908		1,110,604

222	See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Materials (concluded)
Chemicals (concluded)
International Flavors & Fragrances, Inc.		14,839	$	777,860
Monsanto Co.		98,373		6,892,996
The Mosaic Co.		54,710		2,759,025
PPG Industries, Inc. (b)		28,376		2,369,112
Praxair, Inc.		55,077		5,887,731
The Sherwin-Williams Co.		15,827		1,412,876
Sigma-Aldrich Corp. (b)		22,134		1,382,490

				46,798,024
Construction Materials — 0.1%
Vulcan Materials Co.		23,637		930,116
Containers & Packaging — 0.1%
Ball Corp.		29,796		1,064,015
Bemis Co., Inc.		18,766		564,482
Owens-Illinois, Inc. (a)		30,005		581,497
Sealed Air Corp.		29,944		515,336

				2,725,330
Metals & Mining — 0.9%
Alcoa, Inc.		195,584		1,691,802
Allegheny Technologies, Inc. (b)		19,546		934,299
Cliffs Natural Resources, Inc.		26,281		1,638,620
Freeport-McMoRan Copper & Gold, Inc.		174,164		6,407,493
Newmont Mining Corp.		90,916		5,455,869
Nucor Corp. (b)		58,196		2,302,816
Titanium Metals Corp.		15,393		230,587
United States Steel Corp. (b)		26,285		695,501

				19,356,987
Paper & Forest Products — 0.2%
International Paper Co.		80,314		2,377,295
MeadWestvaco Corp.		31,373		939,621

				3,316,916
Total Materials				73,127,373
Telecommunication Services — 3.1%
Diversified Telecommunication Services — 2.8%
AT&T, Inc. (b)		1,088,757		32,924,012
CenturyLink, Inc.		113,479		4,221,419
Frontier Communications Corp. (b)		182,784		941,337
Verizon Communications, Inc. (b)		520,147		20,868,298
Windstream Corp. (b)		106,960		1,255,710

				60,210,776
Wireless Telecommunication Services — 0.3%
American Tower Corp., Class A		72,214		4,333,562
MetroPCS Communications, Inc. (a)		53,415		463,642
Sprint Nextel Corp. (a)		549,844		1,286,635

				6,083,839
Total Telecommunication Services				66,294,615
Utilities — 3.8%
Electric Utilities — 2.1%
American Electric Power Co., Inc.		88,732		3,665,519
Duke Energy Corp. (b)		244,872		5,387,184
Edison International		59,869		2,478,577
Entergy Corp.		32,362		2,364,044
Exelon Corp.		121,820		5,283,333
FirstEnergy Corp.		76,845		3,404,233
NextEra Energy, Inc.		77,636		4,726,480
Northeast Utilities		32,462		1,170,904
Pepco Holdings, Inc.		41,666		845,820


Common Stocks	Shares		Value
Utilities (concluded)
Electric Utilities (concluded)
Pinnacle West Capital Corp.		20,006	$	963,889
PPL Corp.		106,260		3,126,169
Progress Energy, Inc.		54,206		3,036,620
Southern Co. (b)		158,365		7,330,716

				43,783,488
Gas Utilities — 0.1%
AGL Resources, Inc. (b)		21,370		903,096
ONEOK, Inc.		18,926		1,640,695

				2,543,791
Independent Power Producers & Energy Traders — 0.2%
The AES Corp. (a)		118,488		1,402,898
Constellation Energy Group, Inc.		37,042		1,469,456
NRG Energy, Inc. (a)		42,181		764,320

				3,636,674
Multi-Utilities — 1.4%
Ameren Corp.		44,516		1,474,815
Centerpoint Energy, Inc.		78,274		1,572,525
CMS Energy Corp. (b)		46,138		1,018,727
Consolidated Edison, Inc.		53,820		3,338,455
Dominion Resources, Inc.		104,658		5,555,247
DTE Energy Co.		31,103		1,693,558
Integrys Energy Group, Inc.		14,246		771,848
NiSource, Inc. (b)		51,664		1,230,120
PG&E Corp. (b)		74,580		3,074,188
Public Service Enterprise Group, Inc.		92,959		3,068,576
SCANA Corp. (b)		21,132		952,208
Sempra Energy		44,038		2,422,090
TECO Energy, Inc. (b)		39,568		757,331
Wisconsin Energy Corp. (b)		42,501		1,485,835
Xcel Energy, Inc.		89,112		2,463,056

				30,878,579
Total Utilities				80,842,532
Preferred Stocks
Consumer Discretionary — 0.0%
Orchard Supply Hardware Stores Corp., Series A, 0.00% (b)		315		1,184
Total Long-Term Investments (Cost — $1,740,982,192) — 99.2%				2,091,354,194
Short-Term Securities
Money Market Funds — 10.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (c)(d)(e)		170,771,686		170,771,686
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (c)(d)(e)		53,764,558		53,764,558

				224,536,244
	Par (000)
U.S. Treasury Obligations — 0.1%
U.S. Treasury Bill, 0.04%, 3/22/12 (f)(g)	$	1,550		1,549,941
Total Short-Term Securities (Cost — $226,086,223) — 10.7%				226,086,185
Total Investments (Cost — $1,967,068,415*) — 109.9%				2,317,440,379
Liabilities in Excess of Other Assets — (9.9)%				(209,124,171	)

Net Assets — 100.0%			$	2,108,316,208

223

See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

*	As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	2,039,291,152

Gross unrealized appreciation	$	562,476,334
Gross unrealized depreciation		(284,327,107	)

Net unrealized appreciation	$	278,149,227

(a)	Non-income producing security.

(b)	Security, or a portion of security, is on loan.

(c)	Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at December 31, 2010		Shares Purchased			Shares Sold			Shares Held at December 31, 2011		Value at December 31, 2011		Realized Loss			Income
BlackRock Cash Funds: Institutional, SL Agency Shares		350,818,795		—			(180,047,109	)¹		170,771,686	$	170,771,686	$	—		$	530,203
BlackRock Cash Funds: Prime, SL Agency Shares		53,051,433		713,125	²		—			53,764,558	$	53,764,558		—		$	166,200
BlackRock Inc.		—		18,995			(587	)		18,408	$	3,281,042	$	(7,268	)	$	74,649
PNC Financial Services Group, Inc.		98,114		3,182			(4,630	)		96,666	$	5,574,728	$	(78,804	)	$	112,887

Represents net shares sold.

Represents net shares purchased.

(d)	Represents the current yield as of report date.

(e)	All or a portion of this security was purchased with the cash collateral from loaned securities.

(f)	All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

(g)	Rate shown is the yield to maturity as of the date of purchase.

For Master Portfolio compliance purposes, the Master Portfolio’s sector and industry classifications refer to any one or more of the sector and industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. These definitions may not apply for purposes of this report, which may combine such sector and industry sub-classifications for reporting ease.

Financial futures contracts purchased as of December 31, 2011 were as follows:

Contracts

Issue

Exchange

Expiration
Date

Notional
Value

Unrealized
Appreciation

261

S&P 500
INDEX

Chicago

March 2012

16,346,430

59,037

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio’s own assumptions used in determining the fair value of investments and derivative financial instruments)

224	See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following tables summarize the inputs used as of December 31, 2011 in determining the fair valuation of the Master Portfolio’s investments and derivative financial instruments:


Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments¹:
Common Stocks	$	2,091,351,826	$	1,184		—	$	2,091,353,010
Preferred Stocks		—		1,184		—		1,184
Short-Term Securities:
Money Market Funds		224,536,244		—		—		224,536,244
U.S. Treasury Obligations		—		1,549,941		—		1,549,941

Total	$	2,315,888,070	$	1,552,309		—	$	2,317,440,379


	Derivative Financial Instruments²
Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Equity Contracts	$	59,037		—		—	$	59,037

See above Schedule of Investments for values in each sector and industry.

Derivative financial instruments are financial futures contracts. Financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument.

225

See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011


Assets
Investments at value — unaffiliated (including securities loaned of $206,365,071) (cost — $1,733,484,351)	$	2,084,048,365
Investments at value — affiliated (cost — $233,584,064)		233,392,014
Contributions receivable from investors		157,101
Investments sold receivable		334,407
Dividends receivable		3,261,668
Securities lending income receivable — affiliated		32,279
Interest receivable		72

Total assets		2,321,225,906


Liabilities
Collateral on securities loaned at value		212,723,572
Margin variation payable		60,767
Investment advisory fees payable		78,733
Professional fees payable		33,054
Trustees’ fees payable		13,572

Total liabilities		212,909,698

Net Assets	$	2,108,316,208


Net Assets Consist of
Investors’ capital	$	1,757,885,207
Net unrealized appreciation/depreciation		350,431,001

Net Assets	$	2,108,316,208

226	See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


Investment Income
Dividends — unaffiliated	$	45,400,452
Dividends — affiliated		187,536
Securities lending — affiliated		657,698
Income — affiliated		38,705
Interest		1,770

Total income		46,286,161


Expenses
Investment advisory		1,086,941
Professional		55,849
Independent Trustees		66,953

Total expenses		1,209,743
Less fees waived by advisor		(122,802	)

Total expenses after fees waived		1,086,941

Net investment income		45,199,220


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(27,369,635	)
Investments — affiliated		(86,072	)
Financial futures contracts		1,361,381

		(26,094,326	)

Net change in unrealized appreciation/depreciation on:
Investments		26,921,118
Financial futures contracts		(615,457	)

		26,305,661

Total realized and unrealized gain		211,335

Net Increase in Net Assets Resulting from Operations	$	45,410,555

227

See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
Increase (Decrease) in Net Assets:	2011			2010
Operations
Net investment income	$	45,199,220		$	40,499,948
Net realized loss		(26,094,326	)		(97,772,658	)
Net change in unrealized appreciation/depreciation		26,305,661			343,783,895

Net increase in net assets resulting from operations		45,410,555			286,511,185


Capital Transactions
Proceeds from contributions		195,530,480			253,464,019
Value of withdrawals		(291,341,608	)		(430,320,410	)

Net decrease in net assets derived from capital transactions		(95,811,128	)		(176,856,391	)


Net Assets
Total increase (decrease) in net assets		(50,400,573	)		109,654,794
Beginning of year		2,158,716,781			2,049,061,987

End of year	$	2,108,316,208		$	2,158,716,781

228	See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

FINANCIAL HIGHLIGHTS


	Year ended December 31,
	2011		2010		2009		2008		2007
Total Investment Return
Total investment return		2.13%		15.06%		26.63%		(36.86)%		5.54%


Ratios to Average Net Assets
Total expenses		0.06%		0.05%		0.05%		0.05%		0.05%

Total expenses after fees waived		0.05%		0.05%		0.05%		0.05%		0.05%

Net investment income		2.08%		2.01%		2.35%		2.32%		1.98%


Supplemental Data
Net assets, end of year (000)	$	2,108,316	$	2,158,717	$	2,049,062	$	1,690,980	$	2,920,748

Portfolio turnover¹		5%		9%		5%		8%		7%

Portfolio turnover rates include in-kind transactions, if any.

229

See Notes to Financial Statements.

S&P 500 STOCK MASTER PORTFOLIO

NOTES TO FINANCIAL STATEMENTS

1. Organization and Significant Accounting Policies:

S&P 500 Stock Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”), is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). MIP is organized as a Delaware statutory trust. The Master Portfolio’s financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.

The following is a summary of significant accounting policies followed by the Master Portfolio:

Valuation: US GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio fair values its financial instruments at market value using independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor seeks to determine the price that the Master Portfolio might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Preferred Stock: The Master Portfolio may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Master Portfolio either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts), the Master Portfolio will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain.

Securities Lending: The Master Portfolio may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of

230

S&P 500 STOCK MASTER PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

business of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Master Portfolio earns dividend or interest income on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Master Portfolio could experience delays and costs in gaining access to the collateral. The Master Portfolio also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. During the year ended December 31, 2011, any securities on loan were collateralized by cash.

Income Taxes: The Master Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

The Master Portfolio files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s US federal tax returns remains open for each of the four periods ended December 31, 2011. The statutes of limitations on the Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is

effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Master Portfolio’s financial statement disclosures.

In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statement of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Master Portfolio’s financial statement disclosures.

Other: Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

2. Derivative Financial Instruments:

The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the return of the Master Portfolio and to economically hedge, or protect, its exposure to certain risks such as equity risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Financial Futures Contracts: The Master Portfolio purchases or sells financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Master Portfolio and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, a Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Master Portfolio as unrealized appreciation or depreciation. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between

231

S&P 500 STOCK MASTER PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statement of Assets and Liabilities.


The Effect of Derivative Financial Instruments in the Statement of Operations Year Ended December 31, 2011
	Net Realized Gain From Financial Futures Contracts		Net Change in Unrealized Appreciation/ Depreciation on Financial Futures Contracts
Equity Contracts:	$	1,361,381	$	(615,457	)

For the year ended December 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:


Financial futures contracts:
Average number of contracts purchased		244
Average notional value of contracts purchased	$	15,517,276

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement (the “Investment Advisory Agreement”) with BlackRock Fund Advisors (“BFA”), the Master Portfolio’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. Pursuant to the Investment Advisory Agreement with MIP, BFA is responsible for the management of the Master Portfolio’s investments and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio. For such services, the Master Portfolio pays BFA a monthly fee based on a percentage of the Master Portfolio’s average daily net assets at an annual rate of 0.05%.

The fees and expenses of the MIP’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered

public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. BFA has contractually agreed to cap the expenses of the Master Portfolio at the rate at which the Master Portfolio pays an advisory fee to BFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to the independent expenses. These contractual waivers are effective through April 30, 2012. The amount of the waivers, if any, are shown as fees waived in the Statement of Operations.

MIP entered into an administration services arrangement with BlackRock Institutional Trust Company, N.A. (“BTC”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BTC may delegate certain of its administration duties to sub-administrators. BTC, in consideration thereof, has agreed to bear all of the Master Portfolio’s and MIP’s ordinary operating expenses excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio.

BTC is not entitled to compensation for providing administration services to the Master Portfolio, for so long as BTC is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BTC (or an affiliate) receives investment advisory fees from the Master Portfolio.

The Master Portfolio received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BlackRock Institutional Trust Company (BTC), an affiliate of BFA, as the securities lending agent. BTC may, on behalf of the Master Portfolio, invest cash collateral received by the Master Portfolio for such loans, among other things, in a private investment company managed by BTC or in registered money market funds advised by BTC or its affiliates. As securities lending agent, BTC is responsible for all transaction fees and all other operational costs relating to securities lending activities, other than extraordinary expenses. BTC does not receive any fees for managing the cash collateral. The market value of securities on loan and the value of the related collateral, if applicable, are shown in the Statement of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BTC is disclosed in the Schedule of Investments. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Fund retains 65% of securities lending income and pays a fee to BTC equal to 35% of such income. The share of income earned by the Master Portfolio on such investments is shown as securities lending — affiliated in the Statement of Operations. For the year ended December 31, 2011, BTC received $ 268,233 in securities lending agent fees related to securities lending activities for the Master Portfolio.

232

S&P 500 STOCK MASTER PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Concluded)

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments excluding short-term securities for the year ended December 31, 2011, were $108,528,939 and $148,812,436, respectively.

5. Concentration, Market and Credit Risk:

In the normal course of business, the Master Portfolio invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Master Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity with

which the Master Portfolio has unsettled or open transactions may fail to or be unable to perform on its commitments. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Master Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.

6. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Master Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

233

S&P 500 STOCK MASTER PORTFOLIO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of Master Investment Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the S&P 500 Stock Master Portfolio, a portfolio of Master Investment Portfolio (the “Master Portfolio”), at December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 24, 2012

234

MASTER INVESTMENT PORTFOLIO

MASTER PORTFOLIO INFORMATION

as of December 31, 2011

LifePath Retirement Master Portfolio


Portfolio Composition	Percent of Affiliated Investment Companies
Fixed Income Funds		61	%
Equity Funds		38
Short-Term Securities		1


Portfolio Holdings	Percent of Affiliated Investment Companies
CoreAlpha Bond Master Portfolio		52	%
Active Stock Master Portfolio		22
iShares Barclays TIPS Bond Fund		9
iShares MSCI EAFE Index Fund		7
Master Small Cap Index Series		4
iShares MSCI Emerging Markets Index Fund		3
BlackRock Cash Funds: Institutional, SL Agency Shares		1
iShares MSCI Canada Index Fund		1
iShares MSCI EAFE Small Cap Index Fund		1

LifePath 2020 Master Portfolio


Portfolio Composition	Percent of Affiliated Investment Companies
Equity Funds		53	%
Fixed Income Funds		42
Short-Term Securities		5


Portfolio Holdings	Percent of Affiliated Investment Companies
CoreAlpha Bond Master Portfolio		36	%
Active Stock Master Portfolio		31
iShares MSCI EAFE Index Fund		9
iShares Barclays TIPS Bond Fund		6
BlackRock Cash Funds:
Institutional, SL Agency Shares		4
Master Small Cap Index Series		4
iShares MSCI Emerging Markets Index Fund		4
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		2
iShares Cohen & Steers Realty Majors Index Fund		1
BlackRock Cash Funds:
Prime, SL Agency Shares		1
iShares MSCI Canada Index Fund		1
iShares MSCI EAFE Small Cap Index Fund		1

LifePath 2030 Master Portfolio


Portfolio Composition	Percent of Affiliated Investment Companies
Equity Funds		69	%
Fixed Income Funds		27
Short-Term Securities		4


Portfolio Holdings	Percent of Affiliated Investment Companies
Active Stock Master Portfolio		40	%
CoreAlpha Bond Master Portfolio		23
iShares MSCI EAFE Index Fund		12
iShares Barclays TIPS Bond Fund		4
iShares MSCI Emerging Markets Index Fund		4
BlackRock Cash Funds: Institutional, SL Agency Shares		3
iShares Cohen & Steers Realty Majors Index Fund		3
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		3
Master Small Cap Index Series		3
iShares MSCI Canada Index Fund		2
iShares MSCI EAFE Small Cap Index Fund		2
BlackRock Cash Funds: Prime, SL Agency Shares		1

The Portfolio allocation and holdings listed above are current as of the report date. However, the Portfolios are regularly monitored and their composition may vary throughout various periods.

235

MASTER INVESTMENT PORTFOLIO

MASTER PORTFOLIO INFORMATION (Continued)

as of December 31, 2011

LifePath 2040 Master Portfolio


Portfolio Composition	Percent of Affiliated Investment Companies
Equity Funds		82	%
Fixed Income Funds		14
Short-Term Securities		4


Portfolio Holdings	Percent of Affiliated Investment Companies
Active Stock Master Portfolio		48	%
iShares MSCI EAFE Index Fund		14
CoreAlpha Bond Master Portfolio		13
iShares MSCI Emerging Markets Index Fund		5
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		4
iShares Cohen & Steers Realty Majors Index Fund		4
BlackRock Cash Funds: Institutional, SL Agency Shares		3
Master Small Cap Index Series		3
iShares MSCI Canada Index Fund		2
iShares MSCI EAFE Small Cap Index Fund		2
iShares Barclays TIPS Bond Fund		1
BlackRock Cash Funds: Prime, SL Agency Shares		1

LifePath 2050 Master Portfolio


Portfolio Composition	Percent of Affiliated Investment Companies
Equity Funds		91	%
Short-Term Securities		5
Fixed Income Funds		4


Portfolio Holdings	Percent of Affiliated Investment Companies
Active Stock Master Portfolio		53	%
iShares MSCI EAFE Index Fund		15
iShares MSCI Emerging Markets Index Fund		6
iShares Cohen & Steers Realty Majors Index Fund		5
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		5
CoreAlpha Bond Master Portfolio		4
BlackRock Cash Funds: Institutional, SL Agency Shares		4
iShares MSCI Canada Index Fund		2
iShares MSCI EAFE Small Cap Index Fund		2
Master Small Cap Index Series		2
ACWI ex-US Index Master Portfolio		1
BlackRock Cash Funds: Prime, SL Agency Shares		1

The Portfolio allocation and holdings listed above are current as of the report date. However, the Portfolios are regularly monitored and their composition may vary throughout various periods.

236

MASTER INVESTMENT PORTFOLIO

MASTER PORTFOLIO INFORMATION (Concluded)

as of December 31, 2011

Active Stock Master Portfolio


Ten Largest Holdings	Percent of Long-Term Investments
Exxon Mobil Corp.		3	%
Apple, Inc.		3
Microsoft Corp.		3
JPMorgan Chase & Co.		2
Pfizer, Inc.		2
Wells Fargo & Co.		2
Chevron Corp.		1
Verizon Communications, Inc.		1
Philip Morris International, Inc.		1
Merck & Co., Inc.		1


Sector Allocation	Percent of Long-Term Investments
Information Technology		19	%
Health Care		13
Consumer Discretionary		13
Energy		12
Financials		12
Industrials		11
Consumer Staples		10
Materials		4
Utilities		3
Telecommunication Services		3

For Active Stock Master Portfolio compliance purposes, the Active Stock Master Portfolio’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Active Stock Master Portfolio management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

CoreAlpha Bond Master Portfolio


Portfolio Composition	Percent of Long-Term Investments
U.S. Government Sponsored Agency Securities		51	%
Corporate Bonds		22
U.S. Treasury Obligations		16
Asset-Backed Securities		6
Non-Agency Mortgage-Backed Securities		3
Foreign Agency Obligations		1
Taxable Municipal Bonds		1


Credit Quality Allocation¹	Percent of Long-Term Investments
AAA/Aaa²		69	%
AA/Aa		5
A		11
BBB/Baa		12
BB/Ba		2
B		1

Using the higher of Standard & Poor’s or Moody’s Investors Service.

Includes US Government Sponsored Agency Securities which were deemed AAA/Aaa by the investment advisor.

The Portfolio allocation and holdings listed above are current as of the report date. However, the Portfolios are regularly monitored and their composition may vary throughout various periods.

237

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Equity Funds — 37.6%
Active Stock Master Portfolio	$	298,043,934	$	298,043,934
ACWI ex-US Index Master Portfolio	$	5,548,263		5,548,263
iShares Cohen & Steers Realty Majors Index Fund (b)		19,438		1,364,936
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		59,926		1,513,132
iShares MSCI Canada Index Fund		520,174		13,836,628
iShares MSCI EAFE Index Fund (b)		1,903,131		94,262,079
iShares MSCI EAFE Small Cap Index Fund		354,938		12,337,645
iShares MSCI Emerging Markets Index Fund (b)		939,069		35,628,278
Master Small Cap Index Series	$	59,483,717		59,483,717

				522,018,612
Fixed Income Funds — 61.3%
CoreAlpha Bond Master Portfolio	$	725,793,169		725,793,169
iShares Barclays TIPS Bond Fund (b)		1,059,111		123,587,662

				849,380,831


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Short-Term Securities — 1.8%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (c)(d)		19,603,098	$	19,603,098
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (c)(d)		5,266,000		5,266,000

				24,869,098
Total Affiliated Investment Companies (Cost — $1,335,228,205*) — 100.7%				1,396,268,541
Liabilities in Excess of Other Assets — (0.7)%				(9,235,992	)

Net Assets — 100.0%			$	1,387,032,549

As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


Aggregate cost	$	1,337,550,173

Gross unrealized appreciation	$	65,435,441
Gross unrealized depreciation		(6,717,073	)

Net unrealized appreciation	$	58,718,368

(a)	Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/ Beneficial Interest Held at December 31, 2010		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2011		Value at December 31, 2011		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	272,611,476	$	25,432,458	¹		—		$	298,043,934	$	298,043,934	$	22,428,246		$	5,383,629
ACWI ex-US Index Master Portfolio		—	$	5,548,263	¹		—		$	5,548,263	$	5,548,263	$	85,672		$	18,386
BlackRock Cash Funds: Institutional, SL Agency Shares		75,437,346		—			(55,834,248	)²		19,603,098	$	19,603,098		—		$	204,623
BlackRock Cash Funds: Prime, SL Agency Shares		11,685,473		—			(6,419,473	)²		5,266,000	$	5,266,000		—		$	67,381
CoreAlpha Bond Master Portfolio	$	711,674,200	$	14,118,969	¹		—		$	725,793,169	$	725,793,169	$	23,465,567		$	25,344,759
iShares Barclays TIPS Bond Fund		1,104,097		46,057			(91,043	)		1,059,111	$	123,587,662	$	674,579		$	5,379,893
iShares Cohen & Steers Realty Majors Index Fund		71,293		7,507			(59,362	)		19,438	$	1,364,936	$	1,361,719		$	133,951
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		211,940		43,962			(195,976	)		59,926	$	1,513,132	$	1,181,996		$	255,601
iShares MSCI Canada Index Fund		402,132		123,033			(4,991	)		520,174	$	13,836,628	$	(7,114	)	$	248,911
iShares MSCI EAFE Index Fund		1,493,685		576,229			(166,783	)		1,903,131	$	94,262,079	$	132,261		$	2,850,197
iShares MSCI EAFE Small Cap Index Fund		273,404		81,534			—			354,938	$	12,337,645		—		$	366,645
iShares MSCI Emerging Markets Index Fund		740,724		258,673			(60,328	)		939,069	$	35,628,278	$	(536,765	)	$	683,110
iShares S&P MidCap 400 Index Fund		761,894		—			(761,894	)		—		—	$	25,915,728		$	322,015
iShares S&P SmallCap 600 Index Fund		415,539		12,376			(427,915	)		—		—	$	10,424,571		$	109,696
Master Small Cap Index Series		—	$	59,483,717	¹		—		$	59,483,717	$	59,483,717	$	(1,699,687	)	$	457,887

Represents net shares/beneficial interest purchased.

Represents net shares sold.

(b)	Security, or a portion of security, is on loan.

(c)	Represents the current yield as of report date.

(d)	All or a portion of this security was purchased with the cash collateral from loaned securities.

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or

similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

238	See Notes to Financial Statements.

LIFEPATH RETIREMENT MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following table summarizes the

inputs used as of December 31, 2011 in determining the fair valuation of the Master Portfolio’s investments:


Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	307,399,458	$	1,088,869,083		—	$	1,396,268,541

239

See Notes to Financial Statements.

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Equity Funds — 54.8%
Active Stock Master Portfolio	$	748,693,513	$	748,693,513
ACWI ex-US Index Master Portfolio	$	5,969,722		5,969,722
iShares Cohen & Steers Realty Majors Index Fund (b)		513,326		36,045,752
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		1,583,649		39,987,137
iShares MSCI Canada Index Fund (b)		1,190,355		31,663,443
iShares MSCI EAFE Index Fund (b)		4,619,681		228,812,800
iShares MSCI EAFE Small Cap Index Fund		848,248		29,485,101
iShares MSCI Emerging Markets Index Fund (b)		2,251,118		85,407,417
Master Small Cap Index Series	$	86,267,134		86,267,134

				1,292,332,019
Fixed Income Funds — 43.2%
CoreAlpha Bond Master Portfolio	$	877,647,887		877,647,887
iShares Barclays TIPS Bond Fund		1,219,031		142,248,728

				1,019,896,615


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Short-Term Securities — 5.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (c)(d)		101,724,838	$	101,724,838
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (c)(d)		32,812,403		32,812,403

				134,537,241
Total Affiliated Investment Companies (Cost — $2,357,957,579*) — 103.7%				2,446,765,875
Liabilities in Excess of Other Assets — (3.7)%				(88,183,191	)

Net Assets — 100.0%			$	2,358,582,684

As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


Aggregate cost	$	2,377,222,558

Gross unrealized appreciation	$	103,886,437
Gross unrealized depreciation		(34,343,120	)

Net unrealized appreciation	$	69,543,317

(a)	Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/Beneficial Interest Held at December 31, 2010		Shares/Beneficial Interest Purchased			Shares/Beneficial Interest Sold			Shares/Beneficial Interest Held at December 31, 2011		Value at December 31, 2011		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	724,236,224	$	24,457,289	¹		—		$	748,693,513	$	748,693,513	$	58,838,672		$	14,166,619
ACWI ex-US Index Master Portfolio		—	$	5,969,722	¹		—		$	5,969,722	$	5,969,722	$	87,730		$	19,167
BlackRock Cash Funds: Institutional, SL Agency Shares		181,776,362		—			(80,051,524	)²		101,724,838	$	101,724,838		—		$	467,011
BlackRock Cash Funds: Prime, SL Agency Shares		28,477,459		4,334,944	¹		—			32,812,403	$	32,812,403		—		$	154,523
CoreAlpha Bond Master Portfolio	$	819,101,109	$	58,546,778	¹		—		$	877,647,887	$	877,647,887	$	25,827,939		$	30,332,653
iShares Barclays TIPS Bond Fund		1,198,837		111,814			(91,620	)		1,219,031	$	142,248,728	$	574,348		$	6,162,563
iShares Cohen & Steers Realty Majors Index Fund		523,257		8,750			(18,681	)		513,326	$	36,045,752	$	(90,746	)	$	1,080,344
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		1,606,198		58,027			(80,576	)		1,583,649	$	39,987,137	$	(710,751	)	$	1,763,041
iShares MSCI Canada Index Fund		978,834		211,521			—			1,190,355	$	31,663,443		—		$	635,392
iShares MSCI EAFE Index Fund		3,855,084		1,269,269			(504,672	)		4,619,681	$	228,812,800	$	739,192		$	7,184,715
iShares MSCI EAFE Small Cap Index Fund		727,889		120,359			—			848,248	$	29,485,101		—		$	919,980
iShares MSCI Emerging Markets Index Fund		1,894,873		452,770			(96,525	)		2,251,118	$	85,407,417	$	(858,826	)	$	1,718,309
iShares S&P MidCap 400 Index Fund		1,417,544		40,265			(1,457,809	)		—		—	$	42,186,667		$	643,284
iShares S&P SmallCap 600 Index Fund		782,366		62,304			(844,670	)		—		—	$	18,156,605		$	218,254
Master Small Cap Index Series		—	$	86,267,134	¹		—		$	86,267,134	$	86,267,134	$	(2,781,389	)	$	685,895

Represents net shares/beneficial interest purchased.

Represents net shares sold.

240	See Notes to Financial Statements.

LIFEPATH 2020 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

(b)	Security, or a portion of security, is on loan.

(c)	Represents the current yield as of report date.

(d)	All or a portion of this security was purchased with the cash collateral from loaned securities.

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Master Portfolio’s perceived risk of investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following table summarizes the inputs used as of December 31, 2011 in determining the fair valuation of the Master Portfolio’s investments:


Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	728,187,619	$	1,718,578,256		—	$	2,446,765,875

241

See Notes to Financial Statements.

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Equity Funds — 70.4%
Active Stock Master Portfolio	$	828,107,242	$	828,107,242
ACWI ex-US Index Master Portfolio	$	6,940,554		6,940,554
iShares Cohen & Steers Realty Majors Index Fund (b)		779,965		54,769,142
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		2,439,821		61,605,480
iShares MSCI Canada Index Fund (b)		1,299,183		34,558,268
iShares MSCI EAFE Index Fund		4,939,362		244,646,600
iShares MSCI EAFE Small Cap Index Fund		909,785		31,624,127
iShares MSCI Emerging Markets Index Fund (b)		2,471,377		93,764,043
Master Small Cap Index Series	$	62,185,765		62,185,765

				1,418,201,221
Fixed Income Funds — 27.8%
CoreAlpha Bond Master Portfolio	$	483,730,118		483,730,118
iShares Barclays TIPS Bond Fund		647,298		75,533,204

				559,263,322


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Short-Term Securities — 3.7%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (c)(d)		57,414,496	$	57,414,496
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (c)(d)		18,184,839		18,184,839

				75,599,335
Total Affiliated Investment Companies (Cost — $1,997,050,211*) — 101.9%				2,053,063,878
Liabilities in Excess of Other Assets — (1.9)%				(38,953,006	)

Net Assets — 100.0%			$	2,014,110,872

As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


Aggregate cost	$	2,023,820,706

Gross unrealized appreciation	$	74,530,049
Gross unrealized depreciation		(45,286,877	)

Net unrealized appreciation	$	29,243,172

(a)	Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/Beneficial Interest Held at December 31, 2010		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2011		Value at December 31, 2011		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	767,320,441	$	60,786,801	¹		—		$	828,107,242	$	828,107,242	$	58,733,652		$	15,638,810
ACWI ex-US Index Master Portfolio		—	$	6,940,554	¹		—		$	6,940,554	$	6,940,554	$	72,835		$	16,212
BlackRock Cash Funds: Institutional, SL Agency Shares		154,257,212		—			(96,842,716	)²		57,414,496	$	57,414,496		—		$	467,638
BlackRock Cash Funds: Prime, SL Agency Shares		24,170,906		—			(5,986,067	)²		18,184,839	$	18,184,839		—		$	154,786
CoreAlpha Bond Master Portfolio	$	439,888,230	$	43,841,888	¹		—		$	483,730,118	$	483,730,118	$	13,492,269		$	16,445,047
iShares Barclays TIPS Bond Fund		554,791		99,927			(7,420	)		647,298	$	75,533,204	$	24,958		$	3,084,438
iShares Cohen & Steers Realty Majors Index Fund		680,971		114,140			(15,146	)		779,965	$	54,769,142	$	(131,526	)	$	1,535,135
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		2,128,614		323,981			(12,774	)		2,439,821	$	61,605,480	$	(63,857	)	$	2,435,415
iShares MSCI Canada Index Fund		1,040,900		258,283			—			1,299,183	$	34,558,268		—		$	685,085
iShares MSCI EAFE Index Fund		4,085,815		1,150,030			(296,483	)		4,939,362	$	244,646,600	$	(2,614,136	)	$	7,815,863
iShares MSCI EAFE Small Cap Index Fund		772,751		137,034			—			909,785	$	31,624,127		—		$	979,136
iShares MSCI Emerging Markets Index Fund		2,015,244		567,137			(111,004	)		2,471,377	$	93,764,043	$	(987,653	)	$	1,875,872
iShares S&P MidCap 400 Index Fund		1,267,897		63,261			(1,331,158	)		—		—	$	35,131,638		$	608,602
iShares S&P SmallCap 600 Index Fund		697,237		57,617			(754,854	)		—		—	$	15,120,201		$	201,925
Master Small Cap Index Series		—	$	62,185,765	¹		—		$	62,185,765	$	62,185,765	$	(2,137,291	)	$	511,138

Represents net shares/beneficial interest purchased.

Represents net shares sold.

(b)	Security, or a portion of security, is on loan.

(c)	Represents the current yield as of report date.

(d)	All or a portion of this security was purchased with the cash collateral from loaned securities.

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or

242	See Notes to Financial Statements.

LIFEPATH 2030 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

inputs used as of December 31, 2011 in determining the fair valuation of the Master Portfolio’s investments:


Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	672,100,199	$	1,380,963,679		—	$	2,053,063,878

243

See Notes to Financial Statements.

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Equity Funds — 83.0%
Active Stock Master Portfolio	$	736,182,388	$	736,182,388
ACWI ex-US Index Master Portfolio	$	6,288,397		6,288,397
iShares Cohen & Steers Realty Majors Index Fund (b)		795,460		55,857,201
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		2,481,690		62,662,673
iShares MSCI Canada Index Fund		1,113,860		29,628,676
iShares MSCI EAFE Index Fund (b)		4,317,966		213,868,856
iShares MSCI EAFE Small Cap Index Fund		796,836		27,698,019
iShares MSCI Emerging Markets Index Fund (b)		2,136,980		81,077,021
Master Small Cap Index Series	$	40,190,017		40,190,017

				1,253,453,248
Fixed Income Funds — 14.9%
CoreAlpha Bond Master Portfolio	$	203,336,372		203,336,372
iShares Barclays TIPS Bond Fund		180,235		21,031,622

				224,367,994


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Short-Term Securities — 4.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (c)(d)		46,040,413	$	46,040,413
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (c)(d)		14,394,378		14,394,378
				60,434,791
Total Affiliated Investment Companies (Cost — $1,511,481,921*) — 101.9%				1,538,256,033
Liabilities in Excess of Other Assets — (1.9)%				(28,499,769	)

Net Assets — 100.0%			$	1,509,756,264

As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


Aggregate cost	$	1,539,444,450

Gross unrealized appreciation	$	51,176,089
Gross unrealized depreciation		(52,364,506	)

Net unrealized appreciation	$	(1,188,417	)

(a)	Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/Beneficial Interest Held at December 31, 2010		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/Beneficial Interest Held at December 31, 2011		Value at December 31, 2011		Realized Gain (Loss)			Income
Active Stock Master Portfolio	$	687,896,852	$	48,285,536	¹		—		$	736,182,388	$	736,182,388	$	51,290,024		$	14,082,805
ACWI ex-US Index Master Portfolio		—	$	6,288,397	¹		—		$	6,288,397	$	6,288,397	$	102,112		$	20,389
BlackRock Cash Funds: Institutional, SL Agency Shares		139,976,764		—			(93,936,351	)²		46,040,413	$	46,040,413		—		$	421,479
BlackRock Cash Funds: Prime, SL Agency Shares		22,015,363		—			(7,620,985	)²		14,394,378	$	14,394,378		—		$	139,997
CoreAlpha Bond Master Portfolio	$	177,729,200	$	25,607,172	¹		—		$	203,336,372	$	203,336,372	$	5,430,201		$	6,731,532
iShares Barclays TIPS Bond Fund		150,344		29,891			—			180,235	$	21,031,622		—		$	854,220
iShares Cohen & Steers Realty Majors Index Fund		693,309		124,169			(22,018	)		795,460	$	55,857,201	$	(222,200	)	$	1,545,148
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		2,156,480		353,525			(28,315	)		2,481,690	$	62,662,673	$	(141,547	)	$	2,448,622
iShares MSCI Canada Index Fund		949,552		164,308			—			1,113,860	$	29,628,676		—		$	593,663
iShares MSCI EAFE Index Fund		3,659,166		847,167			(188,367	)		4,317,966	$	213,868,856	$	(2,977,879	)	$	6,963,794
iShares MSCI EAFE Small Cap Index Fund		687,000		122,228			(12,392	)		796,836	$	27,698,019	$	(6,411	)	$	869,521
iShares MSCI Emerging Markets Index Fund		1,807,304		429,319			(99,643	)		2,136,980	$	81,077,021	$	(601,975	)	$	1,639,479
iShares S&P MidCap 400 Index Fund		1,012,776		116,124			(1,128,900	)		—		—	$	27,835,692		$	503,476
iShares S&P SmallCap 600 Index Fund		549,842		94,804			(644,646	)		—		—	$	11,698,883		$	168,904
Master Small Cap Index Series		—	$	40,190,017	¹		—		$	40,190,017	$	40,190,017	$	(1,446,699	)	$	342,282

Represents net shares/beneficial interest purchased.

Represents net shares sold.

244	See Notes to Financial Statements.

LIFEPATH 2040 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

(b)	Security, or a portion of security, is on loan.

(c)	Represents the current yield as of report date.

(d)	All or a portion of this security was purchased with the cash collateral from loaned securities.

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)


Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	552,258,859	$	985,997,174		—	$	1,538,256,033

245

See Notes to Financial Statements.

LIFEPATH 2050 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Equity Funds — 91.4%
Active Stock Master Portfolio	$	96,212,649	$	96,212,649
ACWI ex-US Index Master Portfolio	$	2,165,187		2,165,187
iShares Cohen & Steers Realty Majors Index Fund		116,706		8,195,095
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund (b)		358,521		9,052,655
iShares MSCI Canada Index Fund (b)		147,564		3,925,202
iShares MSCI EAFE Index Fund (b)		541,724		26,831,590
iShares MSCI EAFE Small Cap Index Fund		109,510		3,806,568
iShares MSCI Emerging Markets Index Fund		274,352		10,408,915
Master Small Cap Index Series	$	3,997,168		3,997,168

				164,595,029
Fixed Income Funds — 4.0%
CoreAlpha Bond Master Portfolio	$	7,200,788		7,200,788

				7,200,788


Affiliated Investment Companies (a)	Shares/Beneficial Interest		Value
Short-Term Securities — 4.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (c)(d)		6,374,294	$	6,374,294
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (c)(d)		1,943,189		1,943,189

				8,317,483
Total Affiliated Investment Companies (Cost — $180,980,037*) — 100.0%				180,113,300
Liabilities in Excess of Other Assets — (0.0)%				(26,522	)

Net Assets — 100.0%			$	180,086,778

As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


Aggregate cost	$	181,861,372

Gross unrealized appreciation	$	3,537,943
Gross unrealized depreciation		(5,286,015	)

Net unrealized appreciation	$	(1,748,072	)

(a)	Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/ Beneficial Interest Held at December 31, 2010		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at December 31, 2011		Value at December 31, 2011		Realized Gain (Loss)			Interest Income
Active Stock Master Portfolio	$	61,094,483	$	35,118,166	¹		—		$	96,212,649	$	96,212,649	$	3,088,398		$	1,629,052
ACWI ex-US Index Master Portfolio		—	$	2,165,187	¹		—		$	2,165,187	$	2,165,187	$	4,198		$	5,004
BlackRock Cash Funds: Institutional, SL Agency Shares		11,027,847		—			(4,653,553	)²		6,374,294	$	6,374,294		—		$	41,609
BlackRock Cash Funds: Prime, SL Agency Shares		1,709,851		233,338	¹		—			1,943,189	$	1,943,189		—		$	13,579
CoreAlpha Bond Master Portfolio	$	2,094,794	$	5,105,994	¹		—		$	7,200,788	$	7,200,788	$	51,933		$	139,529
iShares Cohen & Steers Realty Majors Index Fund		67,805		51,763			(2,862	)		116,706	$	8,195,095	$	12,952		$	203,859
iShares FTSE EPRA/NAREIT Developed Real Estate ex-U.S. Index Fund		211,207		153,316			(6,002	)		358,521	$	9,052,655	$	(43,287	)	$	296,604
iShares MSCI Canada Index Fund		85,268		68,736			(6,440	)		147,564	$	3,925,202	$	(25,329	)	$	76,712
iShares MSCI EAFE Index Fund		326,243		240,053			(24,572	)		541,724	$	26,831,590	$	(210,549	)	$	825,763
iShares MSCI EAFE Small Cap Index Fund		62,233		50,790			(3,513	)		109,510	$	3,806,568	$	(23,685	)	$	109,727
iShares MSCI Emerging Markets Index Fund		160,758		125,064			(11,470	)		274,352	$	10,408,915	$	(102,045	)	$	200,925
iShares S&P MidCap 400 Index Fund		86,290		40,925			(127,215	)		—		—	$	2,131,959		$	52,811
iShares S&P SmallCap 600 Index Fund		47,346		24,960			(72,306	)		—		—	$	912,548		$	17,733
Master Small Cap Index Series		—	$	3,997,168	¹		—		$	3,997,168	$	3,997,168	$	(181,017	)	$	38,311

Represents net shares/beneficial interest purchased.

Represents net shares sold.

(b)	Security, or a portion of security, is on loan.

(c)	Represents the current yield as of report date.

(d)	All or a portion of this security was purchased with the cash collateral from loaned securities.

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or

246	See Notes to Financial Statements.

LIFEPATH 2050 MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

inputs used as of December 31, 2011 in determining the fair valuation of the Master Portfolio’s investments:


Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Affiliated Investment Companies	$	70,537,508	$	109,575,792		—	$	180,113,300

247

See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Consumer Discretionary — 13.0%
Auto Components — 0.5%
BorgWarner, Inc. (a)		30,800	$	1,963,191
Federal-Mogul Corp. (a)		6,131		90,432
Johnson Controls, Inc.		225,300		7,042,878
Lear Corp.		12,139		483,132
TRW Automotive Holdings Corp. (a)		21,310		694,706
WABCO Holdings, Inc. (a)		54,779		2,377,409

				12,651,748
Automobiles — 0.3%
General Motors Co. (a)		102,479		2,077,249
Harley-Davidson, Inc.		52,000		2,021,240
Tesla Motors, Inc. (a)		113,700		3,247,272

				7,345,761
Diversified Consumer Services — 0.8%
Apollo Group, Inc., Class A (a)		270,765		14,586,111
Career Education Corp. (a)		10,620		84,641
ITT Educational Services, Inc. (a)(b)		70,363		4,002,951
Weight Watchers International, Inc.		76,000		4,180,760

				22,854,463
Hotels, Restaurants & Leisure — 1.8%
Chipotle Mexican Grill, Inc. (a)		9,502		3,209,205
International Game Technology		286,000		4,919,201
Las Vegas Sands Corp. (a)		144,200		6,161,666
Marriott Vacations Worldwide Corp. (a)		1,747		29,979
McDonald’s Corp.		202,838		20,350,737
Penn National Gaming, Inc. (a)		56,961		2,168,505
Starbucks Corp.		138,800		6,386,188
Starwood Hotels & Resorts Worldwide, Inc.		2		96
Wynn Resorts Ltd. (b)		40,802		4,508,213

				47,733,790
Household Durables — 0.8%
Garmin Ltd.		113,000		4,498,530
NVR, Inc. (a)		4,466		3,063,676
Stanley Black & Decker, Inc.		80,900		5,468,840
Tempur-Pedic International, Inc. (a)		88,936		4,671,808
Tupperware Brands Corp.		70,003		3,918,068

				21,620,922
Internet & Catalog Retail — 0.7%
Amazon.com, Inc. (a)		62,400		10,801,440
Expedia, Inc.		84,000		2,437,680
NetFlix, Inc. (a)		2,337		161,931
priceline.com, Inc. (a)		8,112		3,794,063
TripAdvisor, Inc. (a)		84,000		2,117,640

				19,312,754
Leisure Equipment & Products — 0.4%
Hasbro, Inc. (b)		13,526		431,344
Mattel, Inc.		105,604		2,931,567
Polaris Industries, Inc. (b)		121,486		6,800,786

				10,163,697
Media — 3.7%
Cablevision Systems Corp. (b)		129,434		1,840,551
CBS Corp., Class B		174,000		4,722,360
Comcast Corp, Class A		823,950		19,448,450
DIRECTV, Class A (a)		234,143		10,011,955
DISH Network Corp.		165,000		4,699,200
Interpublic Group of Cos., Inc.		488,000		4,748,240


Common Stocks	Shares		Value
Consumer Discretionary (concluded)
Media (concluded)
John Wiley & Sons, Inc., Class A		93,000	$	4,129,200
Liberty Media Corp. — Liberty Capital (a)(b)		5,259		410,465
The McGraw-Hill Cos., Inc.		53,330		2,398,250
Scripps Networks Interactive, Inc., Class A (b)		110,259		4,677,187
Time Warner Cable, Inc. (b)		121,082		7,697,183
Time Warner, Inc.		308,100		11,134,734
Viacom, Inc., Class B		357,788		16,247,153
The Walt Disney Co.		185,300		6,948,750
The Washington Post Co., Class B (b)		3,693		1,391,559

				100,505,237
Multiline Retail — 0.5%
Dollar Tree, Inc. (a)		59,275		4,926,345
Family Dollar Stores, Inc.		5,202		299,947
J.C. Penney Co., Inc.		3		106
Macy’s, Inc.		146,000		4,698,280
Nordstrom, Inc.		97,000		4,821,870

				14,746,548
Specialty Retail — 2.3%
AutoZone, Inc. (a)		29,700		9,651,609
Bed Bath & Beyond, Inc. (a)		112,414		6,516,640
Best Buy Co., Inc. (b)		32,939		769,784
Chico’s FAS, Inc.		307,000		3,419,980
The Home Depot, Inc.		339,200		14,259,968
Limited Brands, Inc.		174,900		7,057,215
PetSmart, Inc.		102,000		5,231,580
Ross Stores, Inc. (b)		102,996		4,895,400
Signet Jewelers Ltd. (b)		35,885		1,577,505
Tiffany & Co.		71,200		4,717,712
Williams-Sonoma, Inc.		119,000		4,581,500

				62,678,893
Textiles, Apparel & Luxury Goods — 1.2%
Coach, Inc.		250,519		15,291,680
Michael Kors Holdings Ltd. (a)		26,600		724,850
NIKE, Inc., Class B		41,145		3,965,143
PVH Corp.		64,000		4,511,360
Ralph Lauren Corp. (b)		897		123,858
VF Corp.		57,500		7,301,925

				31,918,816
Total Consumer Discretionary				351,532,629
Consumer Staples — 10.3%
Beverages — 1.9%
Brown-Forman Corp., Class B (b)		16,214		1,305,389
The Coca-Cola Co. (b)		347,681		24,327,240
Coca-Cola Enterprises, Inc.		190,000		4,898,200
Dr Pepper Snapple Group, Inc.		173,413		6,846,345
Monster Beverage Corp.		50,421		4,645,791
PepsiCo, Inc.		154,100		10,224,535

				52,247,500
Food & Staples Retailing — 1.6%
Costco Wholesale Corp.		13,688		1,140,484
CVS Caremark Corp.		57,699		2,352,965
The Kroger Co.		654,700		15,856,834
Wal-Mart Stores, Inc.		239,386		14,305,707
Walgreen Co. (b)		119,492		3,950,406
Whole Foods Market, Inc. (b)		69,141		4,810,831

				42,417,227

248	See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Consumer Staples (concluded)
Food Products — 3.0%
Archer Daniels Midland Co.		414,700	$	11,860,420
Campbell Soup Co.		144,000		4,786,560
ConAgra Foods, Inc.		180,000		4,752,000
General Mills, Inc.		203,000		8,203,230
Green Mountain Coffee Roasters, Inc. (a)		21,300		955,305
H.J. Heinz Co.		71,200		3,847,648
The Hershey Co.		79,807		4,930,476
The J.M. Smucker Co.		19,517		1,525,644
Kraft Foods, Inc., Class A		137,400		5,133,264
Mead Johnson Nutrition Co.		119,303		8,199,695
Ralcorp Holdings, Inc. (a)		2,345		200,498
Tyson Foods, Inc., Class A		37,929		782,855
Unilever NV		735,400		25,275,698

				80,453,293
Household Products — 1.7%
The Clorox Co. (b)		5,681		378,127
Colgate-Palmolive Co.		35,493		3,279,198
Kimberly-Clark Corp.		195,500		14,380,980
The Procter & Gamble Co.		428,212		28,566,023

				46,604,328
Personal Products — 0.3%
Herbalife Ltd.		184,835		9,550,424
Tobacco — 1.8%
Altria Group, Inc.		114,600		3,397,890
Lorillard, Inc. (b)		92,066		10,495,524
Philip Morris International, Inc.		453,004		35,551,754

				49,445,168
Total Consumer Staples				280,717,940
Energy — 11.6%
Energy Equipment & Services — 2.4%
Baker Hughes, Inc.		2,900		141,056
Ensco International Plc		223,500		10,486,620
Exterran Holdings, Inc. (a)		52,541		478,123
Halliburton Co.		439,371		15,162,693
McDermott International, Inc. (a)		121,202		1,395,035
National Oilwell Varco, Inc.		73,200		4,976,868
Noble Corp. (a)		503,300		15,209,726
Oil States International, Inc. (a)		27,013		2,062,983
Schlumberger Ltd.		193,854		13,242,167
SEACOR Holdings, Inc. (a)(b)		15,804		1,405,924

				64,561,195
Oil, Gas & Consumable Fuels — 9.2%
Alpha Natural Resources, Inc. (a)		150,488		3,074,470
Anadarko Petroleum Corp.		116,500		8,892,445
Apache Corp.		23,902		2,165,043
Chevron Corp. (b)		356,556		37,937,558
ConocoPhillips		218,870		15,949,057
CONSOL Energy, Inc.		19,700		722,990
Devon Energy Corp.		352,631		21,863,122
El Paso Corp.		32,818		871,974
EQT Corp.		78,200		4,284,578
Exxon Mobil Corp. (b)		986,091		83,581,073
Hess Corp.		29,600		1,681,280
HollyFrontier Corp.		265,250		6,206,850
Kinder Morgan, Inc.		35,500		1,142,035
Kosmos Energy Ltd. (a)(b)		7,635		93,605
Marathon Oil Corp.		532,400		15,583,348


Common Stocks	Shares		Value
Energy (concluded)
Oil, Gas & Consumable Fuels (concluded)
Marathon Petroleum Corp. (b)		159,014	$	5,293,576
Murphy Oil Corp.		77,200		4,303,128
Occidental Petroleum Corp.		64,200		6,015,540
Peabody Energy Corp.		268,400		8,886,724
QEP Resources, Inc.		6,772		198,420
Range Resources Corp.		125,000		7,742,500
Southern Union Co.		5,313		223,730
Spectra Energy Corp.		98,100		3,016,575
Total SA		183,700		9,388,907
Valero Energy Corp.		107,754		2,268,222

				251,386,750
Total Energy				315,947,945
Financials — 11.5%
Capital Markets — 0.6%
Ameriprise Financial, Inc. (b)		99,785		4,953,327
The Bank of New York Mellon Corp.		56,406		1,123,043
E*Trade Financial Corp. (a)		5,936		47,251
Franklin Resources, Inc.		17,262		1,658,188
The Goldman Sachs Group, Inc.		15,331		1,386,382
Jefferies Group, Inc.		273,200		3,756,500
Morgan Stanley		232,900		3,523,777

				16,448,468
Commercial Banks — 2.8%
Associated Banc-Corp.		8,955		100,027
BOK Financial Corp. (b)		2,082		114,364
City National Corp. (b)		57,345		2,533,502
First Citizens Bancshares, Inc., Class A		2,736		478,773
First Republic Bank (a)		46,248		1,415,651
Huntington Bancshares, Inc.		9,553		52,446
M&T Bank Corp.		41,415		3,161,621
Regions Financial Corp.		344,654		1,482,012
SunTrust Banks, Inc.		156,432		2,768,847
SVB Financial Group (a)		2,938		140,113
U.S. Bancorp		726,500		19,651,825
Wells Fargo & Co.		1,566,992		43,186,300

				75,085,481
Consumer Finance — 0.5%
American Express Co.		127,900		6,033,043
Capital One Financial Corp.		85,979		3,636,052
Discover Financial Services		184,004		4,416,096

				14,085,191
Diversified Financial Services — 2.9%
Bank of America Corp.		379,993		2,112,761
Citigroup, Inc.		725,603		19,090,615
CME Group, Inc.		13,430		3,272,488
JPMorgan Chase & Co.		1,419,213		47,188,832
Moody’s Corp.		3		101
The NASDAQ OMX Group, Inc. (a)		203,187		4,980,114
NYSE Euronext		73,148		1,909,163

				78,554,074
Insurance — 4.2%
ACE Ltd.		211,902		14,858,568
Aflac, Inc.		209,802		9,076,035
Allied World Assurance Co. Holdings Ltd.		55,810		3,512,123
American National Insurance Co.		2,324		169,722
Aspen Insurance Holdings Ltd.		60,264		1,596,996
Axis Capital Holdings Ltd.		52,303		1,671,604

249

See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Financials (concluded)
Insurance (concluded)
Berkshire Hathaway, Inc., Class B (a)		16,835	$	1,284,510
Brown & Brown, Inc.		6,021		136,255
Chubb Corp.		94,300		6,527,446
Endurance Specialty Holdings Ltd.		39,241		1,500,968
First American Financial Corp.		5,216		66,087
The Hanover Insurance Group, Inc. (b)		49,563		1,732,227
Hartford Financial Services Group, Inc.		443,200		7,202,000
Kemper Corp.		3		88
Lincoln National Corp.		180,900		3,513,078
MetLife, Inc.		541,300		16,877,734
PartnerRe Ltd.		58,699		3,769,063
Prudential Financial, Inc.		247,900		12,424,748
RenaissanceRe Holdings Ltd.		1		74
Transatlantic Holdings, Inc.		2,667		145,965
The Travelers Cos., Inc.		487,882		28,867,978
Willis Group Holdings Plc		6		233

				114,933,502
Real Estate Investment Trusts (REITs) — 0.5%
Brandywine Realty Trust		70,506		669,807
Camden Property Trust		14,702		915,053
CommonWealth REIT		23,499		391,023
Home Properties, Inc. (b)		14,103		811,910
Hospitality Properties Trust		9,503		218,379
Host Hotels & Resorts, Inc.		11,025		162,839
Liberty Property Trust		22,563		696,745
National Retail Properties, Inc.		3,972		104,781
Public Storage		1,367		183,807
Rayonier, Inc. (b)		108,298		4,833,317
Taubman Centers, Inc.		8,269		513,505
UDR, Inc.		3,288		82,529
Ventas, Inc.		13,382		737,750
Vornado Realty Trust		18,395		1,413,840
Weyerhaeuser Co.		111,900		2,089,173

				13,824,458
Real Estate Management & Development — 0.0%
The Howard Hughes Corp. (a)		8,423		372,044
Thrifts & Mortgage Finance — 0.0%
First Niagara Financial Group, Inc.		12,935		111,629
Total Financials				313,414,847
Health Care — 13.0%
Biotechnology — 1.9%
Alexion Pharmaceuticals, Inc. (a)		7,538		538,967
Amgen, Inc.		194,800		12,508,108
Biogen Idec, Inc. (a)		169,043		18,603,182
Celgene Corp. (a)		27,142		1,834,799
Gilead Sciences, Inc. (a)		224,592		9,192,551
Myriad Genetics, Inc. (a)		246,547		5,162,694
United Therapeutics Corp. (a)		63,116		2,982,231

				50,822,532
Health Care Equipment & Supplies — 1.9%
Alere, Inc. (a)		11,895		274,656
Baxter International, Inc.		179,600		8,886,608
C.R. Bard, Inc.		58,000		4,959,000
The Cooper Cos., Inc. (b)		15,977		1,126,698
Hill-Rom Holdings, Inc.		108,000		3,638,520
Intuitive Surgical, Inc. (a)		11,599		5,370,453
Medtronic, Inc.		498,341		19,061,543
Sirona Dental Systems, Inc. (a)		24,007		1,057,268


Common Stocks	Shares		Value
Health Care (concluded)
Health Care Equipment & Supplies (concluded)
Stryker Corp. (b)		109,785	$	5,457,413
Thoratec Corp. (a)(b)		29,104		976,730

				50,808,889
Health Care Providers & Services — 2.1%
Aetna, Inc.		198,900		8,391,591
AMERIGROUP Corp. (a)		76,000		4,490,080
AmerisourceBergen Corp.		322,800		12,004,932
Cardinal Health, Inc.		208,000		8,446,880
Express Scripts, Inc. (a)		21,843		976,164
HCA Holdings, Inc. (a)		107,196		2,361,528
Health Management Associates, Inc. (a)		509,000		3,751,330
Humana, Inc.		7,289		638,589
McKesson Corp.		86,136		6,710,856
Medco Health Solutions, Inc. (a)		91,109		5,092,993
WellCare Health Plans, Inc. (a)		1,306		68,565
WellPoint, Inc. (b)		66,230		4,387,737

				57,321,245
Health Care Technology — 0.3%
Cerner Corp. (a)		124,300		7,613,375
SXC Health Solutions Corp. (a)		9,717		548,816

				8,162,191
Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc. (a)		144,000		5,029,920
Bio-Rad Laboratories, Inc., Class A (a)		1,102		105,836
Thermo Fisher Scientific, Inc. (a)		41,197		1,852,629

				6,988,385
Pharmaceuticals — 6.6%
Abbott Laboratories		330,549		18,586,770
Allergan, Inc.		61,900		5,431,106
Bristol-Myers Squibb Co.		374,752		13,206,261
Eli Lilly & Co.		378,491		15,730,086
Forest Laboratories, Inc. (a)		99,053		2,997,344
Hospira, Inc. (a)		38,840		1,179,571
Johnson & Johnson		491,005		32,200,108
Medicis Pharmaceutical Corp., Class A (b)		26,840		892,430
Merck & Co., Inc.		889,530		33,535,281
Pfizer, Inc.		2,142,278		46,358,896
Valeant Pharmaceuticals International, Inc. (a)		55,500		2,591,295
Warner Chilcott Plc, Class A (a)		438,257		6,630,828

				179,339,976
Total Health Care				353,443,218
Industrials — 10.6%
Aerospace & Defense — 3.7%
Alliant Techsystems, Inc. (b)		28,503		1,629,231
The Boeing Co.		272,295		19,972,838
Esterline Technologies Corp. (a)		2,581		144,459
Exelis, Inc.		36,960		334,488
General Dynamics Corp.		99,065		6,578,907
Goodrich Corp.		5,435		672,309
Honeywell International, Inc.		283,200		15,391,920
L-3 Communications Holdings, Inc. (b)		38,171		2,545,242
Lockheed Martin Corp.		75,000		6,067,500
Northrop Grumman Corp. (b)		147,949		8,652,058
Precision Castparts Corp.		38,501		6,344,580
Raytheon Co.		163,100		7,890,778
Rockwell Collins, Inc.		23,100		1,279,047
Textron, Inc.		405,300		7,493,997

250	See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Industrials (concluded)
Aerospace & Defense (concluded)
United Technologies Corp.		199,202	$	14,559,674

				99,557,028
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc. (b)		58,512		4,082,967
United Parcel Service, Inc., Class B		66,000		4,830,540
UTi Worldwide, Inc. (b)		4,755		63,194

				8,976,701
Airlines — 0.5%
Copa Holdings SA (b)		12,458		730,911
Delta Air Lines, Inc. (a)		1,188,200		9,612,538
Southwest Airlines Co.		503,000		4,305,680

				14,649,129
Commercial Services & Supplies — 0.2%
Copart, Inc. (a)		22,209		1,063,589
Iron Mountain, Inc.		151,000		4,650,800

				5,714,389
Construction & Engineering — 0.9%
Chicago Bridge & Iron Co. NV		124,000		4,687,200
Fluor Corp.		76,000		3,819,000
Jacobs Engineering Group, Inc. (a)		297,900		12,088,782
KBR, Inc.		155,000		4,319,850

				24,914,832
Electrical Equipment — 0.1%
Rockwell Automation, Inc.		26,000		1,907,620
Industrial Conglomerates — 2.3%
3M Co.		113,609		9,285,264
General Electric Co.		1,855,762		33,236,697
Tyco International Ltd.		392,221		18,320,643

				60,842,604
Machinery — 1.8%
Caterpillar, Inc.		124,100		11,243,460
CNH Global NV (a)(b)		41,397		1,489,878
Cummins, Inc.		29,450		2,592,189
Danaher Corp.		260,800		12,268,032
Deere & Co.		143,500		11,099,725
Eaton Corp.		138,700		6,037,611
Gardner Denver, Inc. (b)		3,592		276,799
Harsco Corp.		45,336		933,015
Navistar International Corp. (a)		1,602		60,684
Terex Corp. (a)		171,500		2,316,965
Xylem, Inc.		53,381		1,371,358

				49,689,716
Professional Services — 0.2%
Manpower, Inc.		117,195		4,189,721
Nielsen Holdings NV (a)		2,475		73,483
Verisk Analytics, Inc., Class A (a)		10,623		426,301

				4,689,505
Road & Rail — 0.5%
Canadian National Railway Co.		88,200		6,928,992
CSX Corp.		2,653		55,872
Union Pacific Corp.		56,809		6,018,346

				13,003,210
Trading Companies & Distributors — 0.1%
Air Lease Corp. (a)		16,109		381,944


Common Stocks	Shares		Value
Industrials (concluded)
Trading Companies & Distributors (concluded)
WESCO International, Inc. (a)(b)		42,457	$	2,250,646

				2,632,590
Total Industrials				286,577,324
Information Technology — 19.0%
Communications Equipment — 1.5%
Acme Packet, Inc. (a)(b)		19,790		611,709
Cisco Systems, Inc.		895,377		16,188,416
EchoStar Corp. (a)		16,430		344,044
F5 Networks, Inc. (a)		12,783		1,356,532
Juniper Networks, Inc. (a)		20,909		426,753
Motorola Mobility Holdings, Inc. (a)		8,386		325,377
Polycom, Inc. (a)		57,756		941,423
QUALCOMM, Inc.		365,234		19,978,300
Riverbed Technology, Inc. (a)		6,793		159,635

				40,332,189
Computers & Peripherals — 3.2%
Apple, Inc. (a)		181,244		73,403,820
Dell, Inc. (a)		384,000		5,617,920
Hewlett-Packard Co.		44,137		1,136,969
QLogic Corp. (a)		295,000		4,425,000
SanDisk Corp. (a)		72,000		3,543,120

				88,126,829
Electronic Equipment, Instruments & Components — 1.0%
Corning, Inc.		1,606,840		20,856,783
Dolby Laboratories, Inc., Class A (a)(b)		89,379		2,726,953
IPG Photonics Corp. (a)(b)		11,658		394,857
Jabil Circuit, Inc.		234,000		4,600,440

				28,579,033
Internet Software & Services — 1.6%
eBay, Inc. (a)		172,700		5,237,991
Google, Inc., Class A (a)		46,207		29,845,101
IAC/InterActiveCorp (b)		82,358		3,508,451
Rackspace Hosting, Inc. (a)		87,500		3,763,375
VeriSign, Inc.		10,978		392,134
Yahoo!, Inc. (a)		56,843		916,878

				43,663,930
IT Services — 3.3%
Accenture Plc, Class A		97,962		5,214,517
Amdocs Ltd. (a)		97,978		2,795,312
Automatic Data Processing, Inc.		29,800		1,609,498
Broadridge Financial Solutions, Inc.		45,880		1,034,594
DST Systems, Inc.		88,000		4,005,760
International Business Machines Corp.		176,724		32,496,009
Lender Processing Services, Inc.		147,000		2,215,290
MasterCard, Inc., Class A		16,699		6,225,721
SAIC, Inc. (a)		341,000		4,190,890
Teradata Corp. (a)		23,925		1,160,602
VeriFone Systems, Inc. (a)		117,953		4,189,691
Visa, Inc., Class A		58,178		5,906,812
The Western Union Co.		994,700		18,163,222

				89,207,918
Semiconductors & Semiconductor Equipment — 3.8%
Altera Corp.		148,068		5,493,323
Applied Materials, Inc.		357,000		3,823,470
Avago Technologies Ltd.		316,517		9,134,681
Broadcom Corp., Class A (a)		195,800		5,748,688

251

See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Information Technology (concluded)
Semiconductors & Semiconductor Equipment (concluded)
First Solar, Inc. (a)(b)		11,573	$	390,704
Intel Corp.		527,981		12,803,539
Intersil Corp. Class A		171,000		1,785,240
KLA-Tencor Corp.		101,000		4,873,250
LSI Corp. (a)		3,231,600		19,228,020
Marvell Technology Group Ltd. (a)		415,800		5,758,830
Maxim Integrated Products, Inc.		196,000		5,103,840
Micron Technology, Inc. (a)		1,568,000		9,862,720
NVIDIA Corp. (a)		348,000		4,823,280
NXP Semiconductor NV (a)		152,800		2,348,536
Skyworks Solutions, Inc. (a)		31,454		510,184
Texas Instruments, Inc.		77,600		2,258,936
Xilinx, Inc.		271,400		8,701,084

				102,648,325
Software — 4.6%
BMC Software, Inc. (a)		95,920		3,144,258
Cadence Design Systems, Inc. (a)		408,000		4,243,200
Check Point Software Technologies (a)		126,100		6,625,294
Citrix Systems, Inc. (a)		68,011		4,129,628
Factset Research Systems, Inc. (b)		1,942		169,498
Fortinet, Inc. (a)		204,000		4,449,240
MICROS Systems, Inc. (a)		40,833		1,902,001
Microsoft Corp.		2,684,618		69,692,683
Oracle Corp.		146,785		3,765,035
Red Hat, Inc. (a)		143,100		5,908,599
Rovi Corp. (a)		15,385		378,163
Salesforce.com, Inc. (a)		59,701		6,057,264
Solera Holdings, Inc.		4,426		197,134
Symantec Corp. (a)		336,000		5,258,400
TIBCO Software, Inc. (a)		167,790		4,011,859
VMware, Inc., Class A (a)		46,490		3,867,503

				123,799,759
Total Information Technology				516,357,983
Materials — 4.0%
Chemicals — 2.5%
Airgas, Inc.		3,294		257,195
Albemarle Corp.		44,593		2,296,985
Cabot Corp. (b)		25,356		814,942
Celanese Corp.		110,200		4,878,554
CF Industries Holdings, Inc. (b)		59,510		8,627,760
The Dow Chemical Co.		117,900		3,390,804
E.I. du Pont de Nemours & Co.		482,600		22,093,428
Huntsman Corp.		145,222		1,452,220
Kronos Worldwide, Inc. (b)		62,056		1,119,490
LyondellBasell Industries NV, Class A		172,673		5,610,146
Monsanto Co.		60,400		4,232,228
The Mosaic Co.		25,167		1,269,172
Olin Corp.		121,200		2,381,580
Potash Corp. of Saskatchewan, Inc.		22,800		941,184
Praxair, Inc.		42,800		4,575,320
Westlake Chemical Corp.		16,000		643,840
WR Grace & Co. (a)		91,000		4,178,720

				68,763,568
Containers & Packaging — 0.1%
Crown Holdings, Inc. (a)		53,962		1,812,044
Rock-Tenn Co, Class A		9,174		529,340
Temple-Inland, Inc.		4,608		146,120

				2,487,504


Common Stocks	Shares		Value
Materials (concluded)
Metals & Mining — 1.0%
Alcoa, Inc.		900,762	$	7,791,591
Freeport-McMoRan Copper & Gold, Inc.		176,600		6,497,114
Newmont Mining Corp.		3,933		236,019
Nucor Corp.		201,400		7,969,398
Southern Copper Corp. (b)		120,732		3,643,692
Walter Energy, Inc.		1,749		105,920

				26,243,734
Paper & Forest Products — 0.4%
Domtar Corp. (b)		18,466		1,476,541
International Paper Co.		164,000		4,854,400
MeadWestvaco Corp.		132,400		3,965,380

				10,296,321
Total Materials				107,791,127
Telecommunication Services — 3.2%
Diversified Telecommunication Services — 2.7%
AT&T, Inc.		758,777		22,945,417
BCE, Inc.		54,700		2,279,349
CenturyLink, Inc.		240,221		8,936,221
Frontier Communications Corp.		32,100		165,315
Verizon Communications, Inc.		906,434		36,366,132
Windstream Corp.		146,300		1,717,562

				72,409,996
Wireless Telecommunication Services — 0.5%
American Tower Corp., Class A		60,600		3,636,606
MetroPCS Communications, Inc. (a)		611,583		5,308,540
NII Holdings, Inc. (a)		126,667		2,698,007
Telephone & Data Systems, Inc.		4,505		116,635
Vodafone Group Plc		97,000		2,718,910

				14,478,698
Total Telecommunication Services				86,888,694
Utilities — 3.3%
Electric Utilities — 1.5%
American Electric Power Co., Inc.		77,306		3,193,511
Duke Energy Corp.		113,500		2,497,000
Entergy Corp. (b)		60,478		4,417,918
FirstEnergy Corp.		56,584		2,506,671
ITC Holdings Corp.		18,000		1,365,840
NextEra Energy, Inc.		79,200		4,821,696
Northeast Utilities		57,700		2,081,239
PPL Corp.		50,200		1,476,884
Southern Co.		421,600		19,515,864

				41,876,623
Gas Utilities — 0.4%
Atmos Energy Corp.		20,263		675,771
Energen Corp.		58,795		2,939,750
National Fuel Gas Co. (b)		20,984		1,166,291
ONEOK, Inc.		56,698		4,915,149
UGI Corp. (b)		68,815		2,023,161

				11,720,122
Independent Power Producers & Energy Traders — 0.1%
Constellation Energy Group, Inc.		7,927		314,464
NRG Energy, Inc. (a)		94,749		1,716,852

				2,031,316
Multi-Utilities — 1.1%
Ameren Corp.		3,169		104,989

252	See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Utilities (concluded)
Multi-Utilities (concluded)
Consolidated Edison, Inc.		25,700	$	1,594,171
Dominion Resources, Inc.		379,300		20,133,244
DTE Energy Co.		8,320		453,024
NSTAR		4,788		224,844
OGE Energy Corp.		12,897		731,389
Public Service Enterprise Group, Inc.		103,200		3,406,632
Sempra Energy		39,480		2,171,400
Wisconsin Energy Corp.		59,300		2,073,128

				30,892,821
Water Utilities — 0.2%
American Water Works Co., Inc.		129,380		4,122,047
Total Utilities				90,642,929
Total Long-Term Investments (Cost — $2,620,639,194) — 99.5 %				2,703,314,636
Short-Term Securities
Money Market Funds — 5.5%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (c)(d)(e)		128,263,976		128,263,976
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (c)(d)(e)		20,162,910		20,162,910

				148,426,886


Common Stocks	Par (000)		Value
U.S. Treasury Obligations — 0.0%
U.S. Treasury Bill, 0.04%, 3/22/12 (f)(g)	$	950	$	949,964
Total Short-Term Securities (Cost — $149,376,873) — 5.5%				149,376,850
Total Investments (Cost — $2,770,016,067*) — 105.0%				2,852,691,486
Liabilities in Excess of Other Assets — (5.0)%				(135,441,784	)

Net Assets —100.0%			$	2,717,249,702

As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:



Tax cost	$	2,808,305,449

Gross unrealized appreciation	$	185,150,945
Gross unrealized depreciation		(140,764,908	)

Net unrealized appreciation	$	44,386,037

(a)	Non-income producing security.

(b)	Security, or a portion of security, is on loan.

(c)	Investments in companies considered to be an affiliate of the Master Portfolio during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at December 31, 2010		Net Activity			Shares Held at December 31, 2011		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		259,245,739		(130,981,763	)		128,263,976	$	857,655
BlackRock Cash Funds: Prime, SL Agency Shares		34,372,877		(14,209,967	)		20,162,910	$	237,143

(d)	Represents the current yield as of report date.

(e)	All or a portion of this security was purchased with the cash collateral from securities loaned.

(f)	Rate shown is the yield to maturity as of the date of purchase.

(g)	All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

Financial futures contracts purchased as of December 31, 2011 were as follows:


Contracts	Issue	Exchange		Expiration		Notional Value		Unrealized Depreciation
187	S&P 500 Index		Chicago Mercantile		March 2012	$	11,711,810	$	(4,836	)

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets and liabilities

253

See Notes to Financial Statements.

ACTIVE STOCK MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Master Portfolio’s perceived risk of investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following tables summarize the inputs used as of December 31, 2011 in determining the fair valuation of the Master Portfolio’s investments and derivative financial instruments:


Valuation Inputs	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments¹:
Common Stocks	$	2,703,314,636		—		—	$	2,703,314,636
Short-Term Securities:
Money Market Funds		148,426,886		—		—		148,426,886
U.S. Treasury Obligations		—	$	949,964		—		949,964

Total	$	2,851,741,522	$	949,964		—	$	2,852,691,486


Valuation Inputs	Level 1			Level 2		Level 3		Total
Derivative Financial Instruments²
Liabilities:
Equity Contracts	$	(4,836	)		—		—	$	(4,836)

See above Schedule of Investments for values in each sector and industry.

Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

254	See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011

(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)		Value
ACE Securities Corp., Series 2005-AG1, Class A2D, 0.65%, 8/25/35 (a)	$	3,963	$	3,377,287
AH Mortgage Advance Trust, Series SART-1, Class A1, 2.63%, 5/10/42 (b)		7,400		7,363,000
AmeriCredit Automobile Receivables Trust:
Series 2006-RM, Class A3, 5.53%, 1/06/14		2,373		2,375,256
Series 2007-CM, Class A4A, 5.55%, 4/07/14		3,117		3,148,873
Ameriquest Mortgage Securities, Inc.:
Series 2005-R6, Class A2, 0.49%, 8/25/35 (a)		726		682,472
Series 2006-R1, Class A2C, 0.48%, 3/25/36 (a)		1,278		1,262,836
Asset Backed Funding Corp. Certificates:
Series 2005-HE2, Class M1, 0.77%, 6/25/35 (a)		330		324,100
Series 2005-OPT1, Class A1SS, 0.54%, 7/25/35 (a)		809		782,927
BankAmerica Manufactured Housing Contract Trust, Series 1998-1, Class M, 6.94%, 4/10/23 (a)		264		264,560
BNC Mortgage Loan Trust, Series 2007-4, Class A3A, 0.54%, 11/25/37 (a)		1,818		1,773,774
Capital One Multi-Asset Execution Trust, Series 2007-C2, Class C2, 0.58%, 11/17/14 (a)		11,900		11,895,736
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A1, 0.41%, 2/25/37 (a)		744		722,435
Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-5, Class 1A4, 4.40%, 2/25/30		496		498,522
Chesapeake Funding LLC, Series 2009-1, Class A, 2.28%, 12/15/20 (a)(b)		6,759		6,775,070
CIT Mortgage Loan Trust, Series 2007-1, Class 2A1, 1.29%, 10/25/37 (a)(b)		3,128		3,059,917
Citibank Credit Card Issuance Trust, Series 2002-C2, Class C2, 6.95%, 2/18/14		12,900		12,986,616
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2A, 1.19%, 7/25/37 (a)		194		187,258
Countrywide Asset-Backed Certificates:
Series 2005-4, Class MV1, 0.75%, 10/25/35 (a)		4,413		4,270,855
Series 2006-20, Class 2A2, 0.41%, 4/25/47 (a)		2,850		2,711,423
Series 2006-22, Class 2A2, 0.40%, 5/25/47 (a)		3,468		3,338,874
Series 2006-25, Class 2A2, 0.41%, 6/25/47 (a)		4,908		4,334,578
Series 2007-10, Class 2A1, 0.34%, 6/25/47 (a)		1,129		1,085,551


Asset-Backed Securities	Par (000)		Value
Series 2007-4, Class A1B, 5.81%, 9/25/37	$	647	$	634,800
Series 2007-5, Class 2A1, 0.39%, 9/25/47 (a)		888		872,970
Series 2007-6, Class 2A1, 0.39%, 9/25/37 (a)		1,144		1,127,438
Series 2007-7, Class 2A1, 0.37%, 10/25/47 (a)		107		105,180
Series 2007-8, Class 2A1, 0.35%, 11/25/37 (a)		2,067		1,982,507
Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB8, Class A2A, 0.34%, 10/25/36 (a)		329		326,522
First Franklin Mortgage Loan Asset Backed Certificates:
Series 2004-FF10, Class A3, 0.83%, 9/25/34 (a)		244		229,788
Series 2005-FF10, Class A4, 0.61%, 11/25/35 (a)		1,914		1,477,296
Series 2005-FF4, Class M1, 0.72%, 5/25/35 (a)		2,258		1,802,664
GE-WMC Mortgage Securities LLC, Series 2005-1, Class A2C, 0.65%, 10/25/35 (a)		1,842		1,566,357
GMAC Mortgage Corp. Loan Trust, Series 2006-HLTV, Class A3, 5.59%, 10/25/29		195		193,229
GMAC Mortgage Servicer Advance Funding Co. Ltd., Series 2011-1A, Class A, 3.72%, 3/15/23 (b)		5,900		5,885,250
GSAA Home Equity Trust, Series 2005-12, Class AF3W, 5.00%, 9/25/35 (a)		4,553		4,252,512
GSAMP Trust, Series 2007-HE2, Class A2A, 0.36%, 3/25/47 (a)		623		611,562
Helios Finance LP:
Series 2007-S1, Class B1, 0.98%, 10/20/14 (a)(b)		1,421		1,417,716
Series 2007-S1, Class B2, 2.63%, 10/20/14 (a)(b)		3,589		3,583,905
IndyMac Residential Asset Backed Trust, Series 2007-A, Class 2A1, 0.42%, 4/25/47 (a)		133		132,691
JPMorgan Mortgage Acquisition Corp., Series 2006-CH1, Class A3, 0.39%, 7/25/36 (a)		3,928		3,857,318
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 0.84%, 6/25/35 (a)		1,726		1,423,672
Morgan Stanley Capital, Inc., Series 2006, Class A3, 0.48%, 12/25/35 (a)		902		888,289
Morgan Stanley Home Equity Loan Trust, Series 2006-1, Class A2B, 0.49%, 12/25/35 (a)		347		341,669
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV2, 0.42%, 9/25/36 (a)		2,728		2,638,380

255

See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)		Value
New Century Home Equity Loan Trust:
Series 2005-3, Class A2D, 0.67%, 7/25/35 (a)	$	5,149	$	4,981,348
Series 2005-3, Class M1, 0.77%, 7/25/35 (a)		5,500		4,674,455
Series 2005-3, Class M2, 0.78%, 7/25/35 (a)		1,500		1,037,073
Park Place Securities, Inc., Series 2005-WCW3, Class A2C, 0.67%, 8/25/35 (a)		7,148		6,581,147
Residential Asset Mortgage Products, Inc.:
Series 2005-EFC3, Class M1, 0.74%, 8/25/35 (a)		3,125		3,054,220
Series 2005-RS6, Class M1, 0.79%, 6/25/35 (a)		4,300		3,314,152
Residential Asset Securities Corp.:
Series 2005-AHL1, Class A2, 0.56%, 7/25/35 (a)		387		382,294
Series 2007-KS3, Class AI1, 0.40%, 4/25/37 (a)		219		217,523
Series 2007-KS4, Class A1, 0.39%, 5/25/37 (a)		242		238,123
Santander Drive Auto Receivables Trust, Series 2011-S1A, Class D, 3.10%, 5/15/17 (b)		4,274		4,236,217
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR5, Class A1A, 0.58%, 8/25/35 (a)		270		267,926
SG Mortgage Securities Trust, Series 2006-OPT2, Class A3A, 0.34%, 10/25/36 (a)		110		109,319
SLM Student Loan Trust, Series 2009-C, Class A, 4.50%, 11/16/43 (a)(b)		5,946		5,636,790
Soundview Home Equity Loan Trust:
Series 2006-EQ1, Class A2, 0.40%, 10/25/36 (a)		2,092		2,053,244
Series 2007-1, Class 2A1, 0.38%, 3/25/37 (a)		1,601		1,474,869
Series 2007-OPT5, Class 2A1, 1.09%, 10/25/37 (a)		57		56,822
Specialty Underwriting & Residential Finance, Series 2005-BC3, Class M2, 0.79%, 6/25/36 (a)		2,600		1,572,977
Structured Asset Investment Loan Trust, Series 2005-1, Class A5, 0.64%, 2/25/35 (a)(b)		818		808,447
Structured Asset Securities Corp., Series 2006-BC5, Class A2, 0.34%, 12/25/36 (a)		1,200		1,173,692
Terwin Mortgage Trust:
Series 2005-12AL, Class AF2, 4.65%, 7/25/36		373		372,356
Series 2005-14HE, Class AF2, 4.85%, 8/25/36		3,638		3,511,316
Wheels SPV LLC, Series 2009-1, Class A, 1.83%, 3/15/18 (a)(b)		3,497		3,508,970
Total Asset-Backed Securities — 6.7%				157,836,915


Corporate Bonds	Par (000)		Value
Aerospace & Defense — 0.5%
BE Aerospace, Inc., 6.88%, 10/01/20 (c)	$	1,900	$	2,071,000
L-3 Communications Corp.:
3.95%, 11/15/16		1,250		1,261,653
4.75%, 7/15/20		900		889,245
4.95%, 2/15/21		600		594,635
Series B, 6.38%, 10/15/15		2,396		2,455,900
Lockheed Martin Corp., 5.50%, 11/15/39		1,900		2,052,705
TransDigm, Inc., 7.75%, 12/15/18		2,200		2,365,000

				11,690,138
Air Freight & Logistics — 0.1%
FedEx Corp., 8.00%, 1/15/19		600		787,854
United Parcel Service, Inc., 4.88%, 11/15/40		400		462,301

				1,250,155
Beverages — 0.3%
Bottling Group LLC, 5.13%, 1/15/19 (c)		1,100		1,283,327
Diageo Finance BV, 3.25%, 1/15/15		2,000		2,114,418
Dr Pepper Snapple Group, Inc.:
2.35%, 12/21/12		1,000		1,013,848
2.90%, 1/15/16		1,250		1,296,403
PepsiCo, Inc., 4.88%, 11/01/40		1,000		1,155,632

				6,863,628
Biotechnology — 0.8%
Amgen, Inc.:
2.30%, 6/15/16		800		805,466
6.40%, 2/01/39		900		1,061,196
5.15%, 11/15/41		1,250		1,295,855
Biogen Idec, Inc., 6.88%, 3/01/18		7,528		9,098,853
Celgene Corp., 3.95%, 10/15/20		4,000		4,028,488
Genentech, Inc., 4.75%, 7/15/15		625		697,151
Gilead Sciences, Inc., 4.40%, 12/01/21		2,200		2,329,122

				19,316,131
Capital Markets — 0.9%
The Bear Stearns Cos., Inc., 6.40%, 10/02/17		2,500		2,793,072
The Bear Stearns Cos., Inc./JPMorgan Chase & Co., 5.70%, 11/15/14		800		870,024
Credit Suisse First Boston USA, Inc.:
5.13%, 1/15/14		1,400		1,459,237
4.88%, 1/15/15		900		940,341
The Goldman Sachs Group, Inc.:
5.95%, 1/18/18		1,500		1,536,332
6.15%, 4/01/18		1,500		1,548,133

256	See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Capital Markets (concluded)
7.50%, 2/15/19	$	1,200	$	1,325,291
6.75%, 10/01/37		1,650		1,535,346
6.25%, 2/01/41		950		931,978
Merrill Lynch & Co., Inc., 6.88%, 4/25/18		550		542,266
Morgan Stanley:
2.88%, 7/28/14 (c)		3,400		3,201,987
6.00%, 4/28/15		1,400		1,402,436
6.25%, 8/28/17		1,500		1,467,968
5.50%, 7/28/21		1,150		1,063,330
7.25%, 4/01/32		600		611,828
Series F, 5.95%, 12/28/17		850		809,826

				22,039,395
Chemicals — 0.3%
Ecolab, Inc., 4.35%, 12/08/21		500		533,945
LyondellBasell Industries N.V., 6.00%, 11/15/21 (b)(c)		1,800		1,867,500
Nalco Co., 6.63%, 1/15/19 (b)		3,500		4,051,250

				6,452,695
Commercial Banks — 0.6%
HSBC Bank USA NA, 5.88%, 11/01/34		1,700		1,640,061
HSBC Holdings Plc, 6.50%, 9/15/37		700		690,964
JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17		800		860,564
US Bancorp, 2.20%, 11/15/16		4,000		4,038,432
Wachovia Bank NA, 6.00%, 11/15/17		5,400		5,962,804

				13,192,825
Communications Equipment — 0.1%
Omnicom Group, Inc., 4.45%, 8/15/20		2,700		2,783,125
Consumer Finance — 0.4%
American Express Co., 8.13%, 5/20/19		4,800		6,205,781
American Express Credit Co., 2.75%, 9/15/15		2,600		2,613,790

				8,819,571
Containers & Packaging — 0.3%
Crown Americas LLC and Crown Americas Capital Corp. II, 7.63%, 5/15/17		3,900		4,255,875
Sealed Air Corp., 6.88%, 7/15/33 (b)		2,000		1,750,000

				6,005,875
Diversified Financial Services — 1.5%
Associates Corp. of North America, 6.95%, 11/01/18		1,500		1,629,949
Bank of America Corp.:
4.50%, 4/01/15		4,300		4,149,440
3.70%, 9/01/15		1,000		930,421
3.75%, 7/12/16 (c)		2,400		2,222,206
5.49%, 3/15/19		1,500		1,292,866


Corporate Bonds	Par (000)		Value
Diversified Financial Services (concluded)
Citigroup, Inc.:
6.50%, 8/19/13	$	1,400	$	1,457,348
6.38%, 8/12/14		1,400		1,469,329
6.13%, 11/21/17		1,000		1,067,231
8.50%, 5/22/19		1,600		1,883,338
8.13%, 7/15/39		600		734,599
General Electric Capital Corp.:
2.25%, 11/09/15		2,000		2,008,942
4.38%, 9/16/20		4,000		4,087,540
4.63%, 1/07/21		1,600		1,659,923
6.75%, 3/15/32		500		585,471
6.88%, 1/10/39		1,000		1,198,032
JPMorgan Chase & Co.:
3.45%, 3/01/16		3,300		3,352,645
3.15%, 7/05/16		1,100		1,105,148
5.60%, 7/15/41		2,400		2,512,716
5.40%, 1/06/42		1,100		1,147,944
SLM Corp.:
6.25%, 1/25/16		300		291,744
8.00%, 3/25/20		950		959,500

				35,746,332
Diversified Telecommunication Services — 1.4%
AT&T, Inc.:
4.95%, 1/15/13		1,500		1,563,328
2.40%, 8/15/16		1,250		1,275,359
6.55%, 2/15/39		2,000		2,544,078
5.35%, 9/01/40		1,231		1,384,752
BellSouth Corp., 6.55%, 6/15/34		2,400		2,856,890
British Telecommunications Plc, 9.63%, 12/15/30		400		563,720
Embarq Corp., 8.00%, 6/01/36		3,000		3,108,564
Qwest Corp., 8.38%, 5/01/16		3,300		3,779,731
Telefonica Emisiones SAU, 5.86%, 2/04/13		3,600		3,660,358
Verizon Communications, Inc.:
8.75%, 11/01/18		2,000		2,701,452
6.90%, 4/15/38		900		1,202,935
8.95%, 3/01/39		500		800,730
7.35%, 4/01/39		1,700		2,376,625
Windstream Corp., 7.88%, 11/01/17 (c)		5,350		5,791,375

				33,609,897
Electric Utilities — 1.8%
Commonwealth Edison Co.:
4.70%, 4/15/15		1,000		1,094,030
5.88%, 2/01/33		3,500		4,234,727
Duke Energy Corp.:
2.15%, 11/15/16		2,100		2,105,970
5.05%, 9/15/19		2,000		2,269,110
FirstEnergy Solutions Corp., 6.05%, 8/15/21		1,200		1,331,634
Ipalco Enterprises, Inc., 5.00%, 5/01/18		850		833,000
MidAmerican Energy Holdings Co., 5.75%, 4/01/18		6,550		7,558,746
Northern States Power Co, 5.25%, 7/15/35		2,500		3,076,523

257

See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Electric Utilities (concluded)
Oncor Electric Delivery Co. LLC, 5.95%, 9/01/13	$	2,750	$	2,942,536
Pacific Gas & Electric Co.:
5.63%, 11/30/17		1,500		1,774,998
3.25%, 9/15/21 (c)		2,900		2,942,674
PacifiCorp:
5.50%, 1/15/19		1,300		1,534,121
6.25%, 10/15/37		1,000		1,318,190
Progress Energy, Inc.:
4.88%, 12/01/19		3,100		3,524,433
4.40%, 1/15/21		3,700		4,078,454
Southern Co. (The), 4.15%, 5/15/14		900		961,424

				41,580,570
Electrical Equipment — 0.1%
Roper Industries, Inc., 6.25%, 9/01/19		1,500		1,772,388
Electronic Equipment, Instruments & Components — 0.1%
Tyco Electronics Group SA, 6.55%, 10/01/17		2,900		3,350,074
Food Products — 0.7%
ConAgra Foods, Inc., 7.13%, 10/01/26		2,400		2,824,138
General Mills, Inc., 5.65%, 2/15/19		1,400		1,661,358
Hershey Co. (The), 4.13%, 12/01/20		1,550		1,733,847
Kellogg Co.:
4.45%, 5/30/16		100		111,004
3.25%, 5/21/18		1,550		1,630,022
Series B, 7.45%, 4/01/31		100		136,372
Kraft Foods, Inc., 5.38%, 2/10/20		3,600		4,153,863
Mead Johnson Nutrition Co., 4.90%, 11/01/19		4,500		4,952,677

				17,203,281
Health Care Equipment & Supplies — 0.1%
Covidien International Finance SA, 6.55%, 10/15/37		1,600		2,032,723
Health Care Providers & Services — 1.1%
AmerisourceBergen Corp.:
4.88%, 11/15/19		900		1,009,161
3.50%, 11/15/21		3,950		4,056,294
Cardinal Health, Inc., 4.63%, 12/15/20		4,300		4,609,686
DaVita, Inc., 6.38%, 11/01/18		3,550		3,634,313
Health Net, Inc., 6.38%, 6/01/17		2,300		2,392,000
Humana, Inc., 6.45%, 6/01/16		4,100		4,539,114
UnitedHealth Group, Inc.:
4.70%, 2/15/21 (c)		3,100		3,485,060
6.88%, 2/15/38		1,700		2,279,807
5.70%, 10/15/40		250		299,315

				26,304,750


Corporate Bonds	Par (000)		Value
Hotels, Restaurants & Leisure — 0.7%
McDonald’s Corp.:
6.30%, 10/15/37	$	1,000	$	1,397,376
4.88%, 7/15/40		1,600		1,909,263
Wyndham Worldwide Corp., 6.00%, 12/01/16		3,100		3,343,040
Yum! Brands, Inc.:
4.25%, 9/15/15		2,000		2,138,298
6.25%, 3/15/18		2,500		2,929,555
5.30%, 9/15/19		2,241		2,507,316
6.88%, 11/15/37		2,100		2,680,822

				16,905,670
Household Durables — 0.0%
Tupperware Brands Corp., 4.75%, 6/01/21 (b)		900		901,792
Independent Power Producers & Energy Traders — 0.3%
Constellation Energy Group, Inc., 5.15%, 12/01/20		3,200		3,467,648
Exelon Generation Co. LLC, 5.75%, 10/01/41		500		575,298
PSEG Power LLC, 4.15%, 9/15/21		1,150		1,194,366
Southern Power Co., 5.15%, 9/15/41		1,000		1,060,945

				6,298,257
Industrial Conglomerates — 0.4%
Tyco International Finance SA, 8.50%, 1/15/19		8,000		10,304,632
Insurance — 0.6%
American International Group:
6.40%, 12/15/20		1,200		1,211,076
8.18%, 5/15/68 (a)		500		445,000
Markel Corp., 5.35%, 6/01/21		1,300		1,361,282
Marsh & McLennan Cos., Inc.:
5.75%, 9/15/15		400		442,980
9.25%, 4/15/19		2,300		3,033,213
4.80%, 7/15/21		1,600		1,751,307
Willis Group Holdings Plc:
4.13%, 3/15/16		2,600		2,640,656
5.75%, 3/15/21		1,300		1,378,650
XL Group Ltd., 5.75%, 10/01/21		1,400		1,477,528

				13,741,692
Internet Software & Services — 0.1%
Digital Realty Trust LP, 5.88%, 2/01/20		2,800		2,913,285
IT Services — 0.6%
International Business Machines Corp.:
2.00%, 1/05/16		8,600		8,821,166
7.63%, 10/15/18		2,050		2,751,016
5.60%, 11/30/39 (c)		1,600		2,055,488
The Western Union Co., 6.20%, 11/17/36		600		638,412

				14,266,082
Leisure Equipment & Products — 0.1%
Mattel, Inc.:
2.50%, 11/01/16		750		754,820

258	See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Leisure Equipment & Products (concluded)
5.45%, 11/01/41	$	1,800	$	1,822,633

				2,577,453
Life Sciences Tools & Services — 0.3%
Bio-Rad Laboratories, Inc., 4.88%, 12/15/20		4,100		4,254,029
Thermo Fisher Scientific, Inc., 3.25%, 11/20/14		1,600		1,694,269

				5,948,298
Machinery — 0.3%
Case New Holland, Inc., 7.75%, 9/01/13 (c)		3,191		3,390,437
Danaher Corp., 2.30%, 6/23/16		450		467,725
Dover Corp., 4.30%, 3/01/21 (c)		2,400		2,704,884

				6,563,046
Media — 1.2%
CBS Corp.:
4.30%, 2/15/21 (c)		2,000		2,064,982
5.90%, 10/15/40		2,200		2,469,656
Comcast Corp., 5.70%, 5/15/18		2,450		2,819,360
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.63%, 5/15/16		4,800		5,094,000
DISH DBS Corp.:
7.88%, 9/01/19 (c)		2,700		3,051,000
6.75%, 6/01/21		1,200		1,293,000
NBCUniversal Media LLC, 6.40%, 4/30/40		500		614,697
News America, Inc., 4.50%, 2/15/21		2,500		2,621,273
Scripps Networks Interactive, Inc., 2.70%, 12/15/16		2,300		2,301,221
Time Warner, Inc.:
8.25%, 4/01/19 (c)		2,350		2,951,628
6.25%, 3/29/41		1,100		1,318,846
Viacom, Inc., 4.38%, 9/15/14		1,300		1,392,624

				27,992,287
Metals & Mining — 0.4%
Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17		2,200		2,337,500
Kinross Gold Corp., 6.88%, 9/01/41 (b)		1,100		1,122,501
Newmont Mining Corp., 6.25%, 10/01/39		3,000		3,552,036
Xstrata Canada Corp., 6.20%, 6/15/35		1,000		1,035,986
Xstrata Canada Financial Corp., 6.00%, 11/15/41 (b)		650		666,973

				8,714,996
Multi-Utilities — 0.3%
Dominion Resources, Inc.:
6.40%, 6/15/18 (c)		4,050		4,887,795
4.45%, 3/15/21		2,100		2,338,970

				7,226,765


Corporate Bonds	Par (000)		Value
Multiline Retail — 0.1%
Nordstrom, Inc.:
4.00%, 10/15/21	$	1,200	$	1,250,921
7.00%, 1/15/38		600		797,822

				2,048,743
Oil, Gas & Consumable Fuels — 2.0%
Anadarko Petroleum Corp.:
6.45%, 9/15/36		1,000		1,140,101
6.20%, 3/15/40		1,300		1,446,757
BP Capital Markets Plc:
3.13%, 10/01/15		700		733,196
3.20%, 3/11/16		1,500		1,572,033
3.56%, 11/01/21		1,900		1,978,060
Buckeye Partners LP, 4.88%, 2/01/21		550		578,903
ConocoPhillips, 6.50%, 2/01/39		1,400		1,936,574
ConocoPhillips Canada Funding Co. I, 5.63%, 10/15/16		500		583,767
Encana Corp., 6.50%, 5/15/19 (c)		400		478,058
Energy Transfer Partners LP:
9.70%, 3/15/19		1,900		2,327,785
9.00%, 4/15/19		800		951,574
Enterprise Products Operating LLC:
5.20%, 9/01/20		500		553,427
5.75%, 3/01/35		1,500		1,594,709
5.95%, 2/01/41		900		1,008,769
Linn Energy LLC/Linn Energy Finance Corp.:
6.50%, 5/15/19 (b)		300		297,750
8.63%, 4/15/20		3,200		3,472,000
7.75%, 2/01/21		250		260,000
Marathon Petroleum Corp., 6.50%, 3/01/41		1,000		1,133,226
Noble Energy, Inc., 4.15%, 12/15/21		2,100		2,172,435
ONEOK Partners LP, 6.85%, 10/15/37		1,300		1,578,409
Petrobras International Finance Co.:
5.75%, 1/20/20		1,500		1,605,180
5.38%, 1/27/21		2,200		2,311,322
Petroleos Mexicanos:
5.50%, 1/21/21		1,100		1,193,500
6.50%, 6/02/41		1,400		1,575,000
Petronas Capital Ltd., 5.25%, 8/12/19		2,200		2,467,067
Plains All American Pipeline LP/PAA Finance Corp.:
8.75%, 5/01/19		600		766,496
6.70%, 5/15/36		1,000		1,188,056
TransCanada PipeLines Ltd.:
6.50%, 8/15/18		2,850		3,487,733
3.80%, 10/01/20		4,200		4,532,670
Williams Partners LP:
3.80%, 2/15/15		800		839,834
4.00%, 11/15/21		1,150		1,180,844

				46,945,235
Paper & Forest Products — 0.3%
Domtar Corp., 10.75%, 6/01/17		1,500		1,890,000

259

See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Paper & Forest Products (concluded)
International Paper Co.:
9.38%, 5/15/19 (c)	$	1,600	$	2,079,141
7.50%, 8/15/21		2,100		2,592,154
6.00%, 11/15/41		200		217,122

				6,778,417
Pharmaceuticals — 0.6%
Abbott Laboratories, 5.30%, 5/27/40		1,400		1,676,559
AstraZeneca Plc, 6.45%, 9/15/37		1,500		2,023,236
Eli Lilly & Co., 5.55%, 3/15/37		1,700		2,062,401
GlaxoSmithKline Capital, Inc.:
5.65%, 5/15/18		1,200		1,444,328
6.38%, 5/15/38		500		669,026
Pfizer, Inc., 6.20%, 3/15/19		1,500		1,850,860
Sanofi-Aventis SA, 2.63%, 3/29/16		2,400		2,502,545
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		2,800		2,847,978

				15,076,933
Professional Services — 0.0%
Dun & Bradstreet Corp. (The), 2.88%, 11/15/15		600		616,307
Real Estate — 0.0%
Boston Properties LP, 3.70%, 11/15/18		950		970,028
Real Estate Investment Trusts (REITs) — 0.2%
American Tower Corp., 4.63%, 4/01/15		4,000		4,169,248
Simon Property Group LP, 5.65%, 2/01/20		1,000		1,146,058

				5,315,306
Road & Rail — 0.4%
Burlington Northern Santa Fe LLC, 5.40%, 6/01/41		2,700		3,121,238
CSX Corp., 5.75%, 3/15/13		2,600		2,736,916
Norfolk Southern Corp., 5.75%, 1/15/16		1,100		1,273,390
Union Pacific Corp., 6.13%, 2/15/20		1,300		1,591,336

				8,722,880
Semiconductors & Semiconductor Equipment — 0.1%
Intel Corp., 3.30%, 10/01/21		2,100		2,212,201
Software—0.3%
Oracle Corp.:
5.25%, 1/15/16		1,500		1,732,048
5.75%, 4/15/18		550		667,417
5.38%, 7/15/40		3,100		3,776,659

				6,176,124
Specialty Retail — 0.9%
AutoZone, Inc., 4.00%, 11/15/20		6,600		6,761,786


Corporate Bonds	Par (000)		Value
Specialty Retail (concluded)
The Gap, Inc., 5.95%, 4/12/21	$	935	$	891,804
Limited Brands, Inc.:
6.90%, 7/15/17		2,167		2,334,942
8.50%, 6/15/19		4,000		4,660,000
Macy’s Retail Holdings, Inc., 7.45%, 7/15/17		1,000		1,167,590
O’Reilly Automotive, Inc., 4.63%, 9/15/21		2,300		2,411,594
The Sherwin-Williams Co., 3.13%, 12/15/14		3,300		3,477,299

				21,705,015
Tobacco — 0.6%
Altria Group, Inc.:
9.70%, 11/10/18		2,750		3,699,886
9.25%, 8/06/19		1,100		1,477,032
9.95%, 11/10/38		200		304,196
Lorillard Tobacco Co., 3.50%, 8/04/16		1,200		1,213,780
Philip Morris International, Inc.:
4.88%, 5/16/13		2,200		2,321,561
5.65%, 5/16/18		1,300		1,537,670
2.90%, 11/15/21		2,700		2,752,782
6.38%, 5/16/38		1,500		1,955,539

				15,262,446
Wireless Telecommunication Services — 0.4%
America Movil SAB de CV, 5.00%, 3/30/20		2,800		3,093,362
American Tower Corp.:
4.50%, 1/15/18		2,100		2,136,252
5.05%, 9/01/20		2,300		2,304,161
Vodafone Group Plc:
2.88%, 3/16/16 (c)		1,800		1,867,687
5.63%, 2/27/17		950		1,103,077

				10,504,539
Total Corporate Bonds — 22.3%				526,701,982
Foreign Agency Obligations
Brazilian Government International Bond, 5.63%, 1/07/41		1,500		1,740,000
Colombia Government International Bond:
4.38%, 7/12/21		4,300		4,622,500
7.38%, 9/18/37		800		1,124,000
Indonesia Government International Bond, 5.88%, 3/13/20 (b)		1,800		2,038,500
Mexico Government International Bond, 6.05%, 1/11/40		2,600		3,178,500
Panama Government International Bond, 6.70%, 1/26/36		800		1,044,000
Peruvian Government International Bond:
7.13%, 3/30/19 (c)		1,900		2,389,250
6.55%, 3/14/37		300		381,000
South Africa Government International Bond, 5.50%, 3/09/20		2,000		2,240,000
Total Foreign Agency Obligations — 0.8%				18,757,750

260	See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Non-Agency Mortgage-Backed Securities	Par (000)			Value
Collateralized Mortgage Obligations — 1.5%
Banc of America Funding Corp.:
Series 2005-8, Class 4A27, 5.75%, 1/25/36	$	952		$	922,904
Series 2006-6, Class 1A12, 5.75%, 8/25/36		205			203,770
Citicorp Mortgage Securities, Inc.:
Series 2006-1, Class 2A1, 5.00%, 2/25/21		818			810,238
Series 2007-3, Class 1A7, 6.00%, 4/25/37		1,504			1,503,772
Countrywide Alternative Loan Trust:
Series 2005-51, Class 1A2A, 0.57%, 11/20/35 (a)		2,072			2,000,425
Series 2006-HY12, Class A1, 5.57%, 8/25/36 (a)		702			681,574
Series 2006-OA2, Class A2A, 0.43%, 5/20/46 (a)		25			24,537
Crusade Global Trust, Series 2004-1, Class A1, 0.55%, 1/16/35 (a)		3,238			3,236,015
First Horizon Asset Securities, Inc., Series 2006-2, Class 1A6, 6.00%, 8/25/36		109			108,641
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 4A3, 4.89%, 6/19/35 (a)		3,583			3,462,682
Greenpoint Mortgage Funding Trust:
Series 2006-AR4, Class A1A, 1.00%, 9/25/46 (a)		—	(d)		76
Series 2006-AR5, Class A1A, 0.37%, 10/25/46 (a)		1,689			1,606,577
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A2, 2.77%, 1/25/36 (a)		2,797			2,626,543
I Asset Securitization Corp. Trust, Series 2005, Class 2A4, 0.68%, 8/25/35 (a)		1,266			1,176,010
JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A2, 0.35%, 12/25/36 (a)		1,188			1,157,529
Residential Accredit Loans, Inc., Series 2004-QS9, Class A1, 5.00%, 6/25/19		683			682,143
Structured Asset Mortgage Investments, Inc., Series 2007-AR4, Class A1, 0.49%, 9/25/47 (a)		1,087			1,067,269
Thornburg Mortgage Securities Trust:
Series 2007-1, Class A2B, 0.36%, 3/25/37 (a)		3,622			3,580,324
Series 2007-2, Class A1, 0.38%, 6/25/37 (a)		557			549,766
Series 2007-2, Class A3A, 0.37%, 6/25/37 (a)		7,557			7,472,613
Wells Fargo Mortgage Backed Securities Trust:
Series 2003-11, Class 1A13, 4.75%, 10/25/18		724			743,077
Series 2005-7, Class A3, 5.25%, 9/25/35		761			760,445

					34,376,930


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities — 2.1%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2004-6, Class A3, 4.51%, 12/10/42	$	605	$	614,781
Bear Stearns Commercial Mortgage Securities, Series 2002-TOP8, Class A2, 4.83%, 8/15/38		5,433		5,510,662
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.07%, 12/10/49 (a)		2,500		2,776,728
Credit Suisse First Boston Mortgage Securities Corp.:
Series 2002-CKN2, Class A3, 6.13%, 4/15/37		826		827,735
Series 2005-C5, Class AM, 5.10%, 8/15/38 (a)		1,500		1,570,365
CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.22%, 8/15/48		3,000		3,190,863
GE Capital Commercial Mortgage Corp.:
Series 2002-1A, Class A3, 6.27%, 12/10/35		2,191		2,200,061
Series 2007-C1, Class A2, 5.42%, 12/10/49		1,772		1,776,391
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5, 5.22%, 4/10/37 (a)		1,000		1,070,683
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2002-CIB4, Class A3, 6.16%, 5/12/34		4,771		4,773,357
Series 2005-CB12, Class A3A1, 4.82%, 9/12/37		1,605		1,604,100
Series 2007-CB19, Class A3, 5.74%, 2/12/49 (a)		4,300		4,573,244
LB-UBS Commercial Mortgage Trust:
Series 2006-C7, Class A2, 5.30%, 11/15/38		4,179		4,186,300
Series 2007-C6, Class A4, 5.86%, 7/15/40 (a)		5,700		6,243,763
Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2006-1, Class A2, 5.44%, 2/12/39 (a)		239		238,816
Merrill Lynch Mortgage Trust, Series 2004-MKB1, Class A3, 4.89%, 2/12/42		449		453,880
Morgan Stanley Dean Witter Capital I, Series 2002-IQ3, Class A4, 5.08%, 9/15/37		2,165		2,203,468
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, 5/15/46		6,000		6,582,084

				50,397,281
Total Non-Agency Mortgage-Backed Securities — 3.6%				84,774,211

261

See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


Preferred Securities	Par (000)		Value
Capital Trusts
Insurance — 0.3%
Aon Corp., 8.21%, 1/01/27	$	1,700	$	1,981,437
Chubb Corp. (The):
6.00%, 5/11/37		800		964,656
6.38%, 3/29/67 (a)		2,550		2,518,125
The Travelers Cos., Inc., 6.25%, 6/15/37		1,000		1,243,474

				6,707,692
Total Capital Trusts — 0.3%				6,707,692
	Shares
Trust Preferred — 0.1%
Diversified Financial Services — 0.1%
JPMorgan Chase Capital XXVII, 7.00%, 11/01/39		3,500		3,521,875
Total Preferred Securities — 0.4%				10,229,567
Preferred Stocks
Diversified Telecommunication Services — 0.2%
Qwest Corp., 7.38%		196		5,201,840
Total Preferred Stocks — 0.2%				5,201,840
Taxable Municipal Bonds	Par (000)
Chicago, Illinois Waterworks Revenue, 6.74%, 11/01/40	$	150		188,553
Massachusetts State Transportation Fund Revenue, 5.73%, 6/01/40		150		190,836
New Jersey State Turnpike Authority Revenue, 7.10%, 1/01/41		700		958,342
New York City Transitional Finance Authority Revenue, 5.57%, 11/01/38		450		522,203
Orange County Local Transportation Authority Sales Tax Revenue, 6.91%, 2/15/41		450		593,644
Port Authority of New York & New Jersey Revenue, 5.65%, 11/01/40		800		907,992
San Diego County Regional Transportation Commission Revenue, 5.91%, 4/01/39		600		754,356
San Francisco City & County Public Utilities Commission Revenue, 6.95%, 11/01/31		900		1,185,507
State of California:
7.55%, 4/01/39		400		489,088
7.63%, 3/01/40		1,150		1,414,902
7.60%, 11/01/40		250		308,678
State of Illinois, 2.77%, 1/01/12		5,200		5,200,000
State of Mississippi, 5.25%, 11/01/34		600		677,502
University of Missouri System Facilities Revenue, 5.79%, 11/01/41		300		386,256
Total Taxable Municipal Bonds — 0.6%				13,777,859


U.S. Government Sponsored Agency Securities	Par (000)		Value
Agency Obligations — 2.1%
Fannie Mae, 0.75%, 12/19/14	$	50,000	$	50,154,150
Collateralized Mortgage Obligations — 1.2%
Fannie Mae REMICS:
Series 2007-54, Class PF, 0.51%, 6/25/37 (a)		5,958		5,923,417
Series 2010-35, Class EF, 0.84%, 4/25/40 (a)		7,464		7,471,305
Series 2010-89, Class CF, 0.74%, 2/25/38 (a)		6,127		6,119,592
Freddie Mac Mortgage Backed Securities:
Series 3667, Class FW, 0.83%, 2/15/38 (a)		4,758		4,762,271
Series 3807, Class FN, 0.78%, 2/15/41 (a)		4,235		4,234,766

				28,511,351
Mortgage-Backed Securities — 49.1%
Fannie Mae Mortgage Backed Securities:
2.36%, 1/01/36 (a)		1,843		1,946,551
2.38%, 4/11/16		33,812		35,724,170
2.39%, 8/01/33		2,872		3,022,196
2.47%, 5/01/33 (a)		3,792		3,993,771
2.52%, 1/01/35 (a)		1,625		1,711,525
2.75%, 8/01/41 (a)		4,054		4,202,843
3.00%, 2/01/26 — 1/01/42 (e)		4,939		5,102,129
3.31%, 9/01/41 (a)		2,247		2,341,364
3.36%, 4/01/40 (a)		593		620,915
3.50%, 2/01/26 — 1/01/42 (e)		96,033		99,063,119
3.60%, 5/01/40 (a)		3,790		3,968,137
4.00%, 8/01/25 — 1/01/42 (e)		188,469		198,203,017
4.50%, 10/01/24 — 1/01/42 (e)		85,099		90,651,490
5.00%, 1/01/18 — 1/01/42 (e)		64,238		69,431,073
5.50%, 9/01/19 — 1/01/42 (e)		90,846		99,081,180
6.00%, 11/01/22 — 1/01/42 (e)		74,907		82,648,997
6.50%, 12/01/30 — 12/01/32		17,232		19,667,461
Freddie Mac Mortgage Backed Securities:
2.22%, 10/01/33 (a)		1,621		1,688,066
2.50%, 5/27/16 (c)		26,214		27,762,592
2.63%, 11/01/36 (a)		1,926		2,053,094
3.00%, 1/01/42 (e)		4,000		4,128,752
3.26%, 8/01/41 (a)		2,810		2,928,075
3.34%, 7/01/41 (a)		1,645		1,715,119
3.35%, 2/01/40 (a)		3,794		3,972,080
3.50%, 12/01/25 — 1/01/42 (e)		10,478		10,911,902
4.00%, 3/01/26 — 1/01/42 (e)		39,306		41,282,058
4.50%, 8/01/20 — 1/01/42 (e)		56,973		60,428,014
4.57%, 4/01/38 (a)		4,798		5,116,130
5.00%, 10/01/20 — 1/01/42 (e)		42,400		45,612,483
5.50%, 12/01/27 — 8/01/38		27,084		29,453,396
6.00%, 12/01/28 — 1/01/38		22,802		25,186,567
6.50%, 5/01/21 — 1/01/36		3,913		4,445,235
Ginnie Mae Mortgage Backed Securities:
3.50%, 12/15/40 — 1/01/42 (e)		2,968		3,097,334
4.00%, 9/15/40 — 1/01/42 (e)		26,397		28,354,576
4.50%, 3/15/39 — 1/01/42 (e)		53,617		58,610,027
5.00%, 9/15/39 — 1/01/42 (e)		46,912		52,174,465
5.50%, 6/15/34 — 11/20/39		16,530		18,584,072
6.00%, 1/01/42 (e)		9,000		10,186,875

				1,159,070,850
Total U.S. Government Sponsored Agency Securities — 52.4%				1,237,736,351

262	See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)


U.S. Treasury Obligations	Par (000)		Value
U.S. Treasury Bonds:
6.38%, 8/15/27 (c)	$	24,068	$	36,481,817
6.25%, 5/15/30		17,228		26,643,861
5.00%, 5/15/37 (c)		23,800		33,487,338
4.38%, 5/15/40 (c)(f)		23,100		30,008,332
3.88%, 8/15/40		20,650		24,754,187
4.25%, 11/15/40		4,640		5,917,448
4.38%, 5/15/41		4,931		6,424,940
U.S. Treasury Inflation Indexed Notes:
1.88%, 7/15/13		24,655		25,782,017
0.13%, 4/15/16		59,388		61,912,021
U.S. Treasury Notes:
1.25%, 2/15/14		61,000		62,253,367
1.75%, 3/31/14 (c)		33,000		34,080,222
2.75%, 12/31/17 (c)		26,500		29,050,625
1.75%, 10/31/18		1,041		1,071,417
Total U.S. Treasury Obligations — 16.0%				377,867,592
Total Long-Term Investments (Cost — $2,329,716,966) — 103.0%				2,432,884,067
Short-Term Securities	Shares
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.22% (g)(h)(i)		559,553,070		559,553,070
BlackRock Cash Funds: Prime, SL Agency Shares, 0.18% (g)(h)(i)		36,989,307		36,989,307

				596,542,377
Total Short-Term Securities (Cost — $596,542,377) — 25.2%				596,542,377
Total Investments Before TBA Sale Commitments (Cost — $2,926,259,343*) — 128.2%				3,029,426,444
TBA Sale Commitments (e)	Par (000)
Fannie Mae Mortgage Backed Securities:
3.50%, 2/01/26 — 1/01/42	$	40,200		(41,482,406	)
4.00%, 08/01/25 — 1/01/42		164,800		(173,117,250	)
4.50%, 10/01/24 — 1/01/42		19,600		(20,857,500	)
5.00%, 1/01/18 — 1/01/42		152,600		(164,855,188	)
5.50%, 9/01/19 — 1/01/42		101,000		(109,979,531	)
6.00%, 11/01/22 — 1/01/42		20,000		(22,021,875	)
Ginnie Mae Mortgage Backed Securities:
5.00%, 9/15/39 — 1/01/42		10,000		(11,072,188	)
Total TBA Sale Commitments (Proceeds — $541,008,937) — (23.0)%				(543,385,938	)
Total Investments Net of TBA Sale Commitments — 105.2%				2,486,040,506
Liabilities in Excess of Other Assets — (5.2)%				(123,587,956	)

Net Assets — 100.0%			$	2,362,452,550

As of December 31, 2011, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	2,928,227,671

Gross unrealized appreciation	$	111,420,990
Gross unrealized depreciation		(10,222,217	)

Net unrealized appreciation	$	101,198,773

(a)	Variable rate security. Rate shown is as of report date.

(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c)	Security, or a portion of security, is on loan.

(d)	Amount is less than $500.

(e)	Represents or includes a “to-be-announced” (“TBA”) transaction. Unsettled TBA transactions as of December 31, 2011 were as follows:


Counterparty	Market Value			Unrealized Appreciation (Depreciation)
Bank of America Securities	$	15,244,688		$	49,154
Barclays Capital Inc.	$	(42,995,219	)	$	(216,118	)
BNP Paribas	$	18,933,875		$	86,037
Citigroup Global	$	94,999,407		$	462,062
Credit Suisse Securities LLC	$	(81,690,719	)	$	(449,546	)
Deutsche Bank Securities, Inc.	$	(1,165,017	)	$	(134,652	)
Goldman Sachs & Co.	$	7,885,702		$	11,457
JPMorgan Securities, Ltd.	$	(36,317,437	)	$	(33,251	)
Morgan Stanley Capital Services, Inc.	$	13,829,719		$	94,830
Nomura Securities	$	23,955,250		$	148,407
R.B.C. Dominion Securities	$	(2,879,844	)	$	(16,529	)
RBS Securities LLC	$	(80,102,984	)	$	(850,656	)
UBS Securities LLC	$	4,130,624		$	8,202
Wells Fargo Securities	$	(3,794,375	)	$	(22,729	)

(f)	All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

(g)	Investments in companies considered to be an affiliate of the Master Portfolio during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at December 31, 2010		Net Activity		Shares Held at December 31, 2011		Income
BlackRock Cash Funds: Institutional, SL Agency Shares		519,520,789		40,032,281		559,553,070	$	699,708
BlackRock Cash Funds: Prime, SL Agency Shares		12,803,177		24,186,130		36,989,307	$	52,811

(h)	Represents the current yield as of report date.

(i)	All or a portion of this security was purchased with the cash collateral from loaned securities.

For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Master Portfolio management. These definitions may not apply for purposes of this report, which may combine such sector and industry sub-classifications for reporting ease.

263

See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2011

(Percentages shown are based on Net Assets)

Financial futures contracts purchased as of December 31, 2011 were as follows:


Contracts	Issue	Exchange		Expiration	Notional Value		Unrealized Appreciation (Depreciation)
1,178	2-Year U.S. Treasury Notes		Chicago Mercantile	March 2012	$	259,804,220	$	(95,729	)
1,372	5-Year U.S. Treasury Notes		Chicago Mercantile	March 2012	$	169,109,719		195,963
2,339	10-Year U.S. Treasury Notes		Chicago Mercantile	March 2012	$	306,701,375		1,203,560
53	30-Year U.S. Treasury Bonds		Chicago Mercantile	March 2012	$	7,675,063		37,140
Total							$	1,340,934

Financial futures contracts sold as of December 31, 2011 were as follows:


Contracts	Issue	Exchange		Expiration	Notional Value		Unrealized Depreciation
19	Ultra Long U.S. Treasury Bonds		Chicago Mercantile	March 2012	$	3,043,563	$	(53,709	)

Credit default swaps on single-name issues – sold protection outstanding as of December 31, 2011 were as follows:

Issuer

Receive
Fixed Rate

Counterparty

Expiration
Date

Issuer Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

General
Electric Capital
Corp.

3.25

Deutsche
Bank AG

12/20/13

AA+

4,000

32,847

Using S&P’s rating.

The maximum potential amount the Master Portfolio may pay should a negative event take place as defined under the terms of agreement.

Credit default swaps on traded indexes – buy protection outstanding as of December 31, 2011 were as follows:


Index	Pay Fixed Rate			Counterparty		Expiration Date	Notional Amount (000)		Unrealized Depreciation
Dow Jones CDX North America High Yield		5.00	%		Deutsche Bank AG	6/20/16	$	26,460	$	(242,644	)

Interest rate swaps outstanding as of December 31, 2011 were as follows:


Fixed Rate	Floating Rate	Counterparty	Expiration Date		Notional Amount (000)		Unrealized Depreciation
1.71%¹	3-month LIBOR	RBS PLC		11/14/18	$	58,000	$	(335,965	)
1.89%¹	3-month LIBOR	Deutsche Bank AG		10/20/18		60,300		(1,119,672	)
Total							$	(1,455,637	)

Pays fixed interest rate and receives floating rate.

264	See Notes to Financial Statements.

COREALPHA BOND MASTER PORTFOLIO

SCHEDULE OF INVESTMENTS (Concluded)

December 31, 2011

(Percentages shown are based on Net Assets)

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities


Valuation Inputs	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	157,836,915			—	$	157,836,915
Corporate Bonds		—		526,701,982			—		526,701,982
Foreign Agency Obligations		—		18,757,750			—		18,757,750
Non-Agency Mortgage- Backed Securities		—		84,774,211			—		84,774,211
Preferred Securities		—		10,229,567			—		10,229,567
Preferred Stocks	$	5,201,840		—			—		5,201,840
Taxable Municipal Bonds		—		13,777,859			—		13,777,859
U.S. Government Sponsored Agency Securities		—		1,237,736,351			—		1,237,736,351
U.S. Treasury Obligations		—		377,867,592			—		377,867,592
Short-Term Securities:
Money Market Funds		596,542,377		—			—		596,542,377
Liabilities:
TBA Sale Commitments		—		(543,385,938	)		—		(543,385,938	)

Total	$	601,744,217	$	1,884,296,289			—	$	2,486,040,506


Valuation Inputs	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—			—			—		—
Interest rate contracts	$	1,340,934			—			—	$	1,340,934
Liabilities:
Credit contracts		—		$	(209,797	)		—		(209,797)
Interest rate contracts		(53,709	)		(1,455,637	)		—		(1,509,346)

Total	$	1,287,225		$	(1,665,434	)		—	$	(378,209	)

Derivative financial instruments are swaps and financial futures contracts. Swaps and financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument.

265

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2011


	LifePath Retirement Master Portfolio		LifePath 2020 Master Portfolio		LifePath 2030 Master Portfolio		LifePath 2040 Master Portfolio		LifePath 2050 Master Portfolio
Assets
Investments at value — affiliated^{1, 2}	$	1,396,268,541	$	2,446,765,875	$	2,053,063,878	$	1,538,256,033	$	180,113,300
Contributions receivable from investors		234,361		481,645		654,241		7,280,873		561,710
Investments sold receivable		20,198,620		41,319,486		32,460,988		29,372,629		7,877,121
Securities lending income receivable		4,813		23,467		15,992		11,985		2,577
Interest receivable		24		29		22		21		4

Total assets		1,416,706,359		2,488,590,502		2,086,195,121		1,574,921,541		188,554,712


Liabilities
Collateral on securities loaned at value		20,835,330		129,824,775		71,949,702		56,952,455		7,688,374
Investments purchased payable		1,476,504		—		—		8,121,215		752,395
Withdrawals payable to investors		7,226,998		—		—		—		—
Investment advisory fees payable		102,372		144,031		98,011		58,355		2,866
Professional fees payable		23,299		23,787		23,614		23,382		22,709
Trustees’ fees payable		9,307		15,225		12,922		9,870		1,590

Total liabilities		29,673,810		130,007,818		72,084,249		65,165,277		8,467,934

Net Assets	$	1,387,032,549	$	2,358,582,684	$	2,014,110,872	$	1,509,756,264	$	180,086,778


Net Assets Consist of
Investors’ capital	$	1,325,992,213	$	2,269,774,388	$	1,958,097,205	$	1,482,982,152	$	180,953,515
Net unrealized appreciation/depreciation		61,040,336		88,808,296		56,013,667		26,774,112		(866,737	)

Net Assets	$	1,387,032,549	$	2,358,582,684	$	2,014,110,872	$	1,509,756,264	$	180,086,778

¹ Investments at cost — affiliated	$	1,335,228,205	$	2,357,957,579	$	1,997,050,211	$	1,511,481,921	$	180,980,037

² Securities loaned at value	$	20,401,228	$	127,434,704	$	70,418,793	$	55,788,539	$	7,541,539

266	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF ASSETS AND LIABILITIES (Continued)

December 31, 2011


	Active Stock Master Portfolio
Assets
Investments at value — unaffiliated^1,2	$	2,704,264,600
Investments at value — affiliated³		148,426,886
Investments sold receivable		47,814,127
Dividends receivable		3,735,162
Securities lending income receivable		18,979
Interest receivable		421

Total assets		2,904,260,175


Liabilities
Collateral on securities loaned at value		79,776,091
Investments purchased payable		1,987,261
Capital shares redeemed payable		104,495,872
Margin variation payable		48,014
Investment advisory fees payable		387,427
Administration fees payable		232,467
Professional fees payable		42,162
Trustees’ fees payable		8,195
Foreign taxes payable		32,984

Total liabilities		187,010,473

Net Assets	$	2,717,249,702


Net Assets Consist of
Investors’ capital	$	2,634,579,021
Net unrealized appreciation/depreciation		82,670,681

Net Assets	$	2,717,249,702

¹ Investments at cost — unaffiliated	$	2,621,589,181

² Securities loaned at value	$	77,439,469

³ Investments at cost — affiliated	$	148,426,886

267

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES (Concluded)

December 31, 2011


	CoreAlpha Bond Master Portfolio
Assets
Investments at value — unaffiliated^1,2	$	2,432,884,067
Investments at value — affiliated³		596,542,377
Foreign currency at value (cost — $2,595,164)		2,432,236
TBA sale commitments receivable		541,008,937
Investments sold receivable		349,385
Unrealized appreciation on swaps		32,847
Swaps premiums paid		1,470,898
Securities lending income receivable		89,918
Interest receivable		13,209,634
Margin variation receivable		983,784
Cash pledged as collateral for swaps		310,000

Total assets		3,589,314,083


Liabilities
Collateral on securities loaned at value		146,351,011
Investments purchased payable		534,096,766
TBA sale commitments at value (proceeds — $541,008,937)		543,385,938
Cash held as collateral for swaps		793,293
Unrealized depreciation on swaps		1,698,281
Investment advisory fees payable		483,534
Professional fees payable		35,278
Trustees’ fees payable		17,432

Total liabilities		1,226,861,533

Net Assets	$	2,362,452,550


Net Assets Consist of
Investors’ capital	$	2,259,802,085
Net unrealized appreciation/depreciation		102,650,465

Net Assets	$	2,362,452,550

¹ Investments at cost — unaffiliated	$	2,329,716,966

² Securities loaned at value	$	142,514,270

³ Investments at cost — affiliated	$	596,542,377

268	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS

Year ended December 31, 2011


	LifePath Retirement Master Portfolio			LifePath 2020 Master Portfolio			LifePath 2030 Master Portfolio			LifePath 2040 Master Portfolio			LifePath 2050 Master Portfolio
Investment Income
Dividends — affiliated	$	10,350,019		$	20,325,882		$	19,221,471		$	15,586,827		$	1,784,134
Securities lending — affiliated		266,598			611,382			612,424			553,909			53,728
Income — affiliated		5,406			10,152			10,000			7,567			1,460
Net investment income allocated from the applicable Master Portfolios:
Dividends		5,699,091			14,496,037			15,777,868			14,106,757			1,636,632
Interest		25,505,570			30,708,297			16,833,339			7,070,251			175,264
Expenses		(2,950,153	)		(4,919,542	)		(4,097,902	)		(3,064,798	)		(303,651	)
Fees waived		289,950			682,490			719,771			634,772			73,534

Total income		39,166,481			61,914,698			49,076,971			34,895,285			3,421,101


Expenses
Investment advisory		4,801,759			8,245,442			7,028,876			5,342,974			539,526
Professional		42,153			44,398			43,600			42,515			39,372
Independent Trustees		43,824			71,521			61,219			47,623			7,935

Total expenses		4,887,736			8,361,361			7,133,695			5,433,112			586,833
Less fees waived by advisor		(3,788,884	)		(6,818,907	)		(6,064,563	)		(4,775,105	)		(532,304	)

Total expenses after fees waived		1,098,852			1,542,454			1,069,132			658,007			54,529

Net investment income		38,067,629			60,372,244			48,007,839			34,237,278			3,366,572


Realized and Unrealized Gain (Loss)
Net realized gain from:
Investments — unaffiliated		16,081			39,003			42,005			6,571			—
Investments — affiliated		39,146,975			59,996,489			46,479,625			35,584,563			2,652,564
Allocations from the applicable Master Portfolios from investments, financial futures contracts, swaps and foreign currency transactions		44,279,798			81,972,952			70,161,465			55,375,638			2,963,512

		83,442,854			142,008,444			116,683,095			90,966,772			5,616,076

Net change in unrealized appreciation/depreciation on:
Investments — affiliated		(51,488,110	)		(113,304,020	)		(116,802,642	)		(104,537,746	)		(12,784,114	)
Allocated from the applicable Master Portfolios from investments, financial futures contracts, swaps and foreign currency transactions		(10,637,609	)		(41,867,091	)		(51,556,128	)		(50,387,490	)		(3,044,008	)

		(62,125,719	)		(155,171,111	)		(168,358,770	)		(154,925,236	)		(15,828,122	)

Total realized and unrealized gain (loss)		21,317,135			(13,162,667	)		(51,675,675	)		(63,958,464	)		(10,212,046	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	59,384,764		$	47,209,577		$	(3,667,836	)	$	(29,721,186	)	$	(6,845,474	)

269

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF OPERATIONS (Continued)

Year ended December 31, 2011


	Active Stock Master Portfolio
Investment Income
Dividends	$	49,930,002
Securities lending — affiliated		938,438
Income — affiliated		156,360
Interest		2,961

Total income		51,027,761


Expenses
Investment advisory		6,392,846
Administration		2,595,698
Professional		70,941
Independent Trustees		57,674

Total expenses		9,117,159
Less fees waived by advisor		(2,205,174	)

Total expenses after fees waived		6,911,985

Net investment income		44,115,776


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		209,278,080
Financial futures contracts		(15,241,124	)
Foreign currency transactions		(1,797	)

		194,035,159


Net change in unrealized appreciation/depreciation on:
Investments		(190,593,343	)
Financial futures contracts		(868,465	)
Foreign currency transactions		98

		(191,461,710	)

Total realized and unrealized gain		2,573,449

Net Increase in Net Assets Resulting from Operations	$	46,689,225

270	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENT OF OPERATIONS (Concluded)

Year Ended December 31, 2011


	CoreAlpha Bond Master Portfolio
Investment Income
Interest	$	78,890,312
Income — affiliated		543,532
Securities lending — affiliated		208,987
Dividends		173,656

Total income		79,816,487


Expenses
Investment advisory		5,657,549
Administration		350,436
Professional		73,275
Independent Trustees		58,042

Total expenses		6,139,302
Less fees waived by advisor		(131,317	)

Total expenses after fees waived		6,007,985


Net investment income		73,808,502


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		44,914,863
Financial futures contracts		18,379,097
Swaps		4,787,616
Foreign currency transactions		(15,565	)

		68,066,011

Net change in unrealized appreciation/depreciation on:
Investments		47,447,190
Financial futures contracts		4,944,532
Swaps		(6,175,752	)
Foreign currency transactions		(162,928	)

		46,053,042

Total realized and unrealized gain		114,119,053

Net Increase in Net Assets Resulting from Operations	$	187,927,555

271

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	LifePath Retirement Master Portfolio						LifePath 2020 Master Portfolio
Increase (Decrease) in Net Assets:	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
Operations
Net investment income	$	38,067,629		$	33,389,199		$	60,372,244		$	50,556,334
Net realized gain		83,442,854			38,905,084			142,008,444			51,298,017
Net change in unrealized appreciation/depreciation		(62,125,719	)		50,211,454			(155,171,111	)		129,783,615

Net increase in net assets resulting from operations		59,384,764			122,505,737			47,209,577			231,637,966


Capital Transactions
Proceeds from contributions		146,032,233			188,899,681			253,699,470			403,212,898
Value of withdrawals		(198,525,183	)		(96,571,523	)		(286,287,280	)		(70,562,768	)

Net increase (decrease) in net assets derived from capital transactions		(52,492,950	)		92,328,158			(32,587,810	)		332,650,130


Net Assets
Total increase in net assets		6,891,814			214,833,895			14,621,767			564,288,096
Beginning of year		1,380,140,735			1,165,306,840			2,343,960,917			1,779,672,821

End of year	$	1,387,032,549		$	1,380,140,735		$	2,358,582,684		$	2,343,960,917


	LifePath 2030 Master Portfolio						LifePath 2040 Master Portfolio
Increase (Decrease) in Net Assets:	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
Operations
Net investment income	$	48,007,839		$	39,411,964		$	34,237,278		$	29,075,411
Net realized gain		116,683,095			44,387,854			90,966,772			34,764,764
Net change in unrealized appreciation/depreciation		(168,358,770	)		125,415,216			(154,925,236	)		108,028,620

Net increase (decrease) in net assets resulting from operations		(3,667,836	)		209,215,034			(29,721,186	)		171,868,795


Capital Transactions
Proceeds from contributions		258,359,711			376,110,374			183,590,711			260,954,409
Value of withdrawals		(212,656,069	)		(46,506,661	)		(163,316,566	)		(47,294,585	)

Net increase in net assets derived from capital transactions		45,703,642			329,603,713			20,274,145			213,659,824


Net Assets
Total increase (decrease) in net assets		42,035,806			538,818,747			(9,447,041	)		385,528,619
Beginning of year		1,972,075,066			1,433,256,319			1,519,203,305			1,133,674,686

End of year	$	2,014,110,872		$	1,972,075,066		$	1,509,756,264		$	1,519,203,305

272	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	LifePath 2050 Master Portfolio
Increase (Decrease) in Net Assets:	Year Ended December 31, 2011			Year Ended December 31, 2010
Operations
Net investment income	$	3,366,572		$	1,795,067
Net realized gain		5,616,076			2,021,948
Net change in unrealized appreciation/depreciation		(15,828,122	)		9,846,769

Net increase (decrease) in net assets resulting from operations		(6,845,474	)		13,663,784


Capital Transactions
Proceeds from contributions		76,805,333			70,700,398
Value of withdrawals		(9,263,627	)		(5,138,081	)

Net increase in net assets derived from capital transactions		67,541,706			65,562,317


Net Assets
Total increase in net assets		60,696,232			79,226,101
Beginning of year		119,390,546			40,164,445

End of year	$	180,086,778		$	119,390,546

273

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Continued)


	Active Stock Master Portfolio
Increase (Decrease) in Net Assets:	Year Ended December 31, 2011			Year Ended December 31, 2010
Operations
Net investment income	$	44,115,776		$	32,224,963
Net realized gain		194,035,159			150,754,297
Net change in unrealized appreciation/depreciation		(191,461,710	)		76,421,362

Net increase in net assets resulting from operations		46,689,225			259,400,622


Capital Transactions
Proceeds from contributions		657,028,420			542,158,731
Value of withdrawals		(499,892,059	)		(126,588,351	)

Net increase in net assets derived from capital transactions		157,136,361			415,570,380


Net Assets
Total increase in net assets		203,825,586			674,971,002
Beginning of year		2,513,424,116			1,838,453,114

End of year	$	2,717,249,702		$	2,513,424,116

274	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS (Concluded)


	CoreAlpha Bond Master Portfolio
Increase in Net Assets:	Year Ended December 31, 2011			Year Ended December 31, 2010
Operations
Net investment income	$	73,808,502		$	60,862,874
Net realized gain		68,066,011			38,222,728
Net change in unrealized appreciation/depreciation		46,053,042			16,401,998

Net increase in net assets resulting from operations		187,927,555			115,487,600


Capital Transactions
Proceeds from contributions		709,072,896			668,474,923
Value of withdrawals		(685,111,132	)		(267,359,402	)

Net increase in net assets derived from capital transactions		23,961,764			401,115,521


Net Assets
Total increase in net assets		211,889,319			516,603,121
Beginning of year		2,150,563,231			1,633,960,110

End of year	$	2,362,452,550		$	2,150,563,231

275

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

FINANCIAL HIGHLIGHTS


	LifePath Retirement Master Portfolio
	Year Ended December 31,
	2011			2010		2009			2008		2007
Total Investment Return
Total investment return		4.46%			9.83%		18.75%			(14.54)%		5.00%


Ratios to Average Net Assets
Total expenses¹		0.55%	^2,3		0.61%		0.59%			0.61%		0.61%

Total expenses after fees waived¹		0.27%	^2,3		0.26%		0.26%			0.27%		0.27%

Net investment income⁴		2.77%	^2,3		2.60%		3.61%			3.81%		3.87%


Supplemental Data
Net assets, end of year (000)	$	1,387,033		$	1,380,141	$	1,165,307		$	253,604	$	331,733

Portfolio turnover		4%			4%		6%	⁵		11%		6%


	LifePath 2020 Master Portfolio
	Year Ended December 31,
	2011			2010		2009			2008		2007
Total Investment Return
Total investment return		1.96%			11.40%		23.21%			(24.92)%		3.84%


Ratios to Average Net Assets
Total expenses¹		0.53%	^6,7		0.59%		0.58%			0.57%		0.58%

Total expenses after fees waived¹		0.25%	^6,7		0.23%		0.23%			0.23%		0.25%

Net investment income⁴		2.56%	^6,7		2.45%		3.15%			3.18%		3.01%


Supplemental Data
Net assets, end of year (000)	$	2,358,583		$	2,343,961	$	1,779,673		$	1,245,671	$	1,827,888

Portfolio turnover		5%			4%		6%			13%		7%

Includes the Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio and Master Small Cap Index Series, except the total expenses for the four years ended December 31, 2010, which include gross expenses. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional and iShares exchange-traded funds.

Includes the Master Portfolio’s share of the Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio and Master Small Cap Index Series’s allocated fees waived of 0.02%.

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.08%, although the ratio does include the Portfolio’s share of the Master Portfolios’ allocated expenses and/or net investment income.

⁴

Includes the Master Portfolio’s share of the allocated net investment income from Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio and Master Small Cap Index Series.

⁵

Excludes in-kind contribution of portfolio securities received in a tax-free reorganization on November 20, 2009.

⁶

⁷

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.11%, although the ratio does include the Portfolio’s share of the Master Portfolios’ allocated expenses and/or net investment income.

276	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

FINANCIAL HIGHLIGHTS (Continued)


	LifePath 2030 Master Portfolio
	Year Ended December 31,
	2011			2010		2009		2008		2007
Total Investment Return
Total investment return		(0.13)%			12.36%		26.27%		(30.53)%		3.14%


Ratios to Average Net Assets
Total expenses¹		0.52%	^2,3		0.57%		0.56%		0.55%		0.57%

Total expenses after fees waived¹		0.22%	^2,3		0.21%		0.20%		0.21%		0.23%

Net investment income⁴		2.39%	^2,3		2.34%		2.97%		2.82%		2.57%


Supplemental Data
Net assets, end of year (000)	$	2,014,111		$	1,972,075	$	1,433,256	$	952,181	$	1,393,178

Portfolio turnover		7%			3%		7%		13%		7%


	LifePath 2040 Master Portfolio
	Year Ended December 31,
	2011			2010		2009		2008		2007
Total Investment Return
Total investment return		(1.88)%			13.21%		28.58%		(34.90)%		2.53%


Ratios to Average Net Assets
Total expenses¹		0.52%	^2,5		0.55%		0.55%		0.53%		0.56%

Total expenses after fees waived¹		0.20%	^2,⁵		0.19%		0.18%		0.19%		0.22%

Net investment income⁴		2.24%	^2,5		2.24%		2.82%		2.52%		2.20%


Supplemental Data
Net assets, end of year (000)	$	1,509,756		$	1,519,203	$	1,133,675	$	720,539	$	1,022,941

Portfolio turnover		8%			4%		6%		14%		8%

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.13%, although the ratio does include the Portfolio’s share of the Master Portfolios’ allocated expenses and/or net investment income.

⁴

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.15%, although the ratio does include the Portfolio’s share of the Master Portfolios’ allocated expenses and/or net investment income.

277

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

FINANCIAL HIGHLIGHTS (Continued)


	LifePath 2050 Master Portfolio
	Year Ended December 31,							Period June 30, 2008¹ to December 31, 2008
	2011			2010		2009		Period June 30, 2008¹ to December 31, 2008
Total Investment Return
Total investment return		(3.28)%			13.93%		30.85%		(31.93)%	²


Ratios to Average Net Assets
Total expenses³		0.53%	^4,5		0.56%		0.59%		1.11%	⁶

Total expenses after fees waived³		0.18%	^4,5		0.17%		0.16%		0.17%	⁶

Net investment income⁷		2.18%	^4,5		2.31%		2.84%		3.05%	⁶


Supplemental Data
Net assets, end of period (000)	$	180,087		$	119,391	$	40,164	$	6,895

Portfolio turnover		13%			5%		12%		0%	⁸

Commencement of operations.

Aggregate total investment return.

Includes the Master Portfolio’s pro rata portion of expenses from Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio and Master Small Cap Index Series, except the total expenses for the period ended December 31, 2008 and the two years ended December 31, 2010, which include gross expenses. These ratios do not reflect any expenses incurred indirectly as a result of investments in BlackRock Cash Funds: Institutional and iShares exchange-traded funds.

⁴

⁵

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.17%, although the ratio does include the Portfolio’s share of the Master Portfolios’ allocated expenses and/or net investment income.

⁶

Annualized.

⁷

⁸

Rounds to less than 1% .

278	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

FINANCIAL HIGHLIGHTS (Continued)


	Active Stock Master Portfolio
	Year Ended December 31,
	2011		2010		2009		2008		2007
Total Investment Return
Total investment return		2.20%		11.04%		24.86%		(36.65)%		0.58%


Ratios to Average Net Assets
Total expenses		0.35%		0.35%		0.35%		0.35%		0.35%

Total expenses after fees waived		0.27%		0.29%		0.30%		0.32%		0.34%

Net investment income		1.70%		1.50%		1.99%		1.96%		1.70%


Supplemental Data
Net assets, end of year (000)	$	2,717,250	$	2,513,424	$	1,838,453	$	1,250,987	$	2,085,214

Portfolio turnover		275%		120%		149%		98%		80%

279

See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

FINANCIAL HIGHLIGHTS (Concluded)


	CoreAlpha Bond Master Portfolio
	Year Ended December 31,
	2011			2010			2009			2008		2007
Total Investment Return
Total investment return		8.38%			6.56%			11.67%			3.62%		5.10%


Ratios to Average Net Assets
Total expenses		0.27%			0.36%			0.35%			0.36%		0.36%

Total expenses after fees waived		0.26%			0.35%			0.35%			0.36%		0.35%

Net investment income		3.22%			3.19%			4.33%			4.47%		5.18%


Supplemental Data
Net assets, end of year (000)	$	2,362,453		$	2,150,563		$	1,633,960		$	1,115,903	$	1,479,888

Portfolio turnover¹		1,646%	²		621%	³		278%	⁴		351%		466%

Portfolio turnover rates include TBA transactions, if any.

Includes mortgage dollar roll transactions. Excluding these transactions the portfolio turnover rate would have been 1,510%.

Excluding TBA transactions, the portfolio turnover rate would have been 170%.

⁴

Excluding TBA transactions, the portfolio turnover rate would have been 199%.

280	See Notes to Financial Statements.

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS

1. Organization and Significant Accounting Policies:

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. MIP is organized as a Delaware statutory trust. The financial statements and these accompanying notes relate to seven series of MIP: LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, LifePath 2050 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio (each, a “Master Portfolio” and collectively, the “Master Portfolios”). The Master Portfolios’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.

Each of the LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio and LifePath 2050 Master Portfolio (each a “LifePath Master Portfolio” and collectively the “LifePath Master Portfolios”) seeks to achieve its investment objective by investing in a combination of domestic equity, international equity, bond and money market funds (the “Underlying Funds”) in proportions suggested by its own comprehensive investment strategy. The Underlying Funds are advised by BlackRock Fund Advisors (“BFA”), and include the Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio, Master Small Cap Index Series and the BlackRock Cash Funds: Institutional and iShares exchange-traded funds.

The value of a LifePath Master Portfolio’s investment in each of the Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio and Master Small Cap Index Series reflects that LifePath Master Portfolio’s proportionate interest in the net assets of that Master Portfolio. As of December 31, 2011, the interests of the Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio and Master Small Cap Index Series held by each LifePath Master Portfolio were as follows:


	Active Stock Master Portfolio			ACWI ex- US Index Master Portfolio			CoreAlpha Bond Master Portfolio			Master Small Cap Index Series
Life Path Retirement Master Portfolio		10.97	%		12.74	%		30.72	%		11.24	%
LifePath 2020 Master Portfolio		27.55	%		13.71	%		37.15	%		16.31	%
LifePath 2030 Master Portfolio		30.48	%		15.94	%		20.48	%		11.75	%
LifePath 2040 Master Portfolio		27.09	%		14.44	%		8.61	%		7.60	%
LifePath 2050 Master Portfolio		3.54	%		4.97	%		0.30	%		0.76	%

The following is a summary of significant accounting policies followed by the Master Portfolios:

Valuation: US GAAP defines fair value as the price the Master Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The

Master Portfolios fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). Equity investments, including exchange traded Funds, traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Master Portfolio’s pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value. Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services.

The Master Portfolios value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

281

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Master Portfolio’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board. Each business day, the Master Portfolio uses a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and OTC options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

Asset-Backed and Mortgage-Backed Securities: The CoreAlpha Bond Master Portfolio may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If

the Master Portfolio has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

The CoreAlpha Bond Master Portfolio may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Multiple Class Pass-Through Securities: The CoreAlpha Bond Master Portfolio may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-back securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Master Portfolio may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: The CoreAlpha Bond Master Portfolio may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that

282

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The CoreAlpha Bond Master Portfolio also may invest in stripped mortgage-backed securities that are privately issued.

Capital Trusts: The CoreAlpha Bond Master Portfolio may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities.

Preferred Stock: The CoreAlpha Bond Master Portfolio may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

TBA Commitments: The CoreAlpha Bond Master Portfolio may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed-upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Master Portfolio generally enters into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: The CoreAlpha Bond Master Portfolio may sell TBA mortgage-backed securities and simultaneously

contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Master Portfolio will not be entitled to receive interest and principal payments on the securities sold. The Master Portfolio accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Master Portfolio’s portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Master Portfolio is required to purchase may decline below the agreed upon repurchase price of those securities.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Master Portfolio either deliver collateral or segregate assets in connection with certain investments (e.g., TBA sale commitments, financial futures contracts and swaps), each Master Portfolio will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-divided dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Each LifePath Master Portfolio records daily its proportionate share of the Active Stock Master Portfolio, ACWI ex-US Index Master Portfolio, CoreAlpha Bond Master Portfolio and Master Small Cap Index Series income, expenses and realized and unrealized gains and losses.

Securities Lending: The Master Portfolios may lend securities to approved borrowers, such as banks, brokers and other financial institutions. The borrower pledges cash, securities issued or guaranteed by the US government or irrevocable letters of credit issued by a bank as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities.

283

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

The market value of the loaned securities is determined at the close of business of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio on the next business day. Securities lending income, as disclosed in the Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the securities lending agent. During the term of the loan, the Master Portfolio earns dividend or interest income on the securities loaned but does not receive interest income on the securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Master Portfolio could experience delays and costs in gaining access to the collateral. A Master Portfolio also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. During the year ended December 31, 2011, any securities on loan were collateralized by cash.

Income Taxes: Each Master Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in a Master Portfolio is treated as the owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no federal income tax provision is required. It is intended that each Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.

Each Master Portfolio files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Master Portfolio’s US federal tax returns remains open for each of the four periods ended December 31, 2011. The statutes of limitations on each Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Master Portfolios’ financial statement disclosures.

In December 2011, the FASB issued guidance that will enhance current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting agreements or similar agreements and will require an entity to disclose both gross and net information about such investments and transactions eligible for offset in the Statements of Assets and Liabilities. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Master Portfolios’ financial statement disclosures.

Other: Expenses directly related to a Master Portfolio are charged to that Master Portfolio. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

2. Derivative Financial Instruments:

Each Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and to economically hedge, or protect its exposure to certain risks such as credit risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Each Master Portfolio’s maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized appreciation netted against any collateral pledged by/posted to the counterparty. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

A Master Portfolio may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between the Master Portfolio and each of its respective counterparties. An ISDA Master Agreement allows each Master Portfolio to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to a Master Portfolio from its

284

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

counterparties are not fully collateralized contractually or otherwise, the Master Portfolio bears the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, each Master Portfolio manages counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Master Portfolio’s net assets decline by a stated percentage or the Master Portfolios fail to meet the terms of its ISDA Master Agreements, which would cause the Master Portfolios to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Master Portfolios purchase or sell financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) or changes in the value of equity securities (equity risk). Financial futures contracts are agreements between a Master Portfolio and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, a Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Master Portfolio as unrealized appreciation or depreciation. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Swaps: The CoreAlpha Bond Master Portfolio enters into swap agreements, in which the Master Portfolio and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Master Portfolio are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Master Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Master Portfolio’s basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to

varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Credit default swaps — The CoreAlpha Bond Master Portfolio enters into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). The Master Portfolio enters into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Master Portfolio may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Master Portfolio will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Master Portfolio will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

Interest rate swaps — The CoreAlpha Bond Master Portfolio enters into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed

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MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other

party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.


Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of December 31, 2011
Asset Derivatives
		Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
	Statements of Assets and Liabilities Location	Value
Interest rate contracts	Net unrealized appreciation/depreciation*		—	$	1,340,934
Credit contracts	Unrealized appreciation on swaps, Swap premiums paid		—		1,503,745
Equity contracts	Net unrealized appreciation/depreciation*	$	4,836		—
Total		$	4,836	$	2,844,679


Liability Derivatives
		CoreAlpha Bond Master Portfolio
	Statements of Assets and Liabilities Location	Value
Interest rate contracts	Net unrealized appreciation/depreciation*; Unrealized depreciation on swaps	$	1,509,346
Credit contracts	Unrealized depreciation on swaps		242,644
Total		$	1,751,990


The Effect of Derivative Financial Instruments in the Statement of Operations Year Ended December 31, 2011
	Net Realized Gain (Loss) From
	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
Interest rate contracts:
Financial futures contracts		—		$	18,379,097
Swaps		—			4,982,350
Credit contracts:
Swaps		—			(194,734	)
Equity contracts:
Financial futures contracts	$	(15,241,124	)		—
Total	$	(15,241,124	)	$	23,166,713

286

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)


	Net Change in Unrealized Appreciation/Depreciation on
	Active Stock Master Portfolio			CoreAlpha Bond Master Portfolio
Interest rate contracts:
Financial futures contracts		—		$	4,944,532
Swaps		—			(5,643,215	)
Credit contracts:
Swaps		—			(532,537	)
Equity contracts:
Financial futures contracts	$	(868,465	)		—
Total	$	(868,465	)	$	(1,231,220	)

For the year ended December 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:


	Active Stock Master Portfolio		CoreAlpha Bond Master Portfolio
Financial futures contracts:
Average number of contracts purchased		496		3,998
Average number of contracts sold		—		53
Average notional value of contracts purchased	$	32,020,378	$	583,890,914
Average notional value of contracts sold		—	$	6,661,082
Credit default swaps:
Average number of contracts — buy protection		—		2
Average number of contracts — sell protection		—		3
Average notional value — buy protection		—	$	17,115,000
Average notional value — sell protection		—	$	151,125,000
Interest rate swaps:
Average number of contracts — pays fixed rate		—		1
Average notional value — pays fixed rate		—	$	45,075,000

3. Investment Advisory Agreement and Other Transactions with Affiliates:

MIP, on behalf of the Master Portfolios, entered into an Investment Advisory Agreement (the “Investment Advisory Agreement”) with BlackRock Fund Advisors (“BFA”), the Master Portfolios’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. Pursuant to the Investment Advisory Agreement with MIP, BFA is responsible for the management of each Master Portfolio’s investments and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Master Portfolio. For such services, each Master Portfolio pays BFA a monthly fee based on a percentage of each LifePath Master Portfolio’s average daily net assets at an annual rate of 0.35% and an annual rate of 0.25% of the average daily nets assets of each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio from January 1, 2011 through May 31, 2011.

Effective June 1, 2011, each Master Portfolio paid BFA a monthly fee based on a percentage of each LifePath Master Portfolio’s average daily net assets at an annual rate of 0.35% and a monthly fee based on a

percentage of each of the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio’s average daily net assets at the following annual rates:


Average Daily Net Assets	Investment Advisory Fee
First $1 Billion		0.25	%
$1 Billion — $3 Billion		0.24	%
$3 Billion — $5 Billion		0.23	%
$5 Billion — $10 Billion		0.22	%
Greater than $10 Billion		0.21	%

The fees and expenses of the Master Portfolios’ trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolios. BFA 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, received by BFA or BlackRock Institutional Trust Company, N.A. (“BTC”), from each investment company in which the Master Portfolios invest through April 30, 2012. BFA has also contractually agreed to cap the expenses of the LifePath Master Portfolios at the rate at which the LifePath Master Portfolios pay an advisory fee to BFA by providing an offsetting credit against the

287

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Continued)

investment advisory fees paid by the LifePath Master Portfolios in an amount equal to the independent expenses. These contractual waivers are effective through April 30, 2021. The amounts of the waiver, if any, are shown as fees waived in the Statements of Operations.

MIP entered into an administration services arrangement with BTC, which has agreed to provide general administration services (other than investment advice and related portfolio activities). BTC may delegate certain of its administration duties to sub-administrators. BTC, in consideration thereof, has agreed to bear all of the Master Portfolios’ and MIP’s ordinary operating expenses excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolios. BTC is entitled to receive for these administration services an annual fee of 0.10% based on the average daily net assets of Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio.

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

BTC voluntarily agreed to waive a portion of its administration fees paid by the Active Stock Master Portfolio in an amount sufficient to maintain the advisory fees payable by each of the LifePath Master Portfolios at an annual rate of 0.35% based on the average daily net assets. This arrangement is voluntary and may be terminated by BTC at any time. With respect to the independent expenses discussed above, BTC has contractually agreed to provide an offsetting credit against the advisory fees paid by the Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio in an amount equal to the independent expenses, through April 30, 2012. The amounts of the waiver and offsetting credits are shown as fees waived in the Statements of Operations.

The Master Portfolios received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BTC, an affiliate of BFA, as the securities lending agent. BFA may, on behalf of a Master Portfolio, invest cash collateral received by the Master Portfolio for such loans, among other things, in a private investment company managed by BTC or in registered money market funds advised by BTC or its affiliates. As securities lending agent, BTC is responsible for all transaction fees and all other operational costs relating to securities lending activities, other than extraordinary expenses. BTC does not receive any fees for managing the cash collateral. The market value of securities on loan and the value of the related collateral, if applicable, are shown in the

Statements of Assets and Liabilities as securities loaned at value and collateral on securities loaned at value, respectively. The cash collateral invested by BTC is disclosed in the Schedules of Investments. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of rebates paid to, or fees paid by, borrowers of securities. The Master Portfolios retain 65% of securities lending income and pays a fee to BTC equal to 35% of such income. The share of income earned by each Master Portfolio on such investments is shown as securities lending — affiliated in the Statements of Operations. For the year ended December 31, 2011, BTC received securities lending agent fees related to securities lending activities for the Master Portfolios as follows:


LifePath Retirement Master Portfolio	$	96,945
LifePath 2020 Master Portfolio	$	217,210
LifePath 2030 Master Portfolio	$	216,547
LifePath 2040 Master Portfolio	$	201,948
LifePath 2050 Master Portfolio	$	20,896
Active Stock Master Portfolio	$	282,244
CoreAlpha Bond Master Portfolio	$	97,210

Each Master Portfolio may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is included in income-affiliated in the Statements of Operations.

Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.

4. Investments:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the year ended December 31, 2011, were as follows:


	Purchases		Sales
LifePath Retirement Master Portfolio	$	55,756,628	$	134,711,295
LifePath 2020 Master Portfolio	$	120,834,648	$	245,266,934
LifePath 2030 Master Portfolio	$	137,137,786	$	202,731,678
LifePath 2040 Master Portfolio	$	114,980,998	$	170,390,772
LifePath 2050 Master Portfolio	$	36,797,847	$	19,450,108
Active Stock Master Portfolio	$	7,218,410,170	$	6,939,899,349
CoreAlpha Bond Master Portfolio	$	35,009,575,305	$	35,521,110,050

Purchases and sales of US government securities for the CoreAlpha Bond Master Portfolio for the year ended December 31, 2011, were $1,146,055,049 and $601,663,219, respectively.

For the year ended December 31, 2011, purchases and sales of mortgage dollar roll securities for the CoreAlpha Bond Master Portfolio were $2,975,643,297 and $2,972,952,383, respectively.

288

MASTER INVESTMENT PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (Concluded)

5. Concentration, Market and Credit Risk:

In the normal course of business, the Master Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Master Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Master Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Master Portfolios may be exposed to counterparty credit risk, or the risk that an entity with which the Master Portfolios have unsettled or open transactions may fail to or be unable to perform on its commitments. The Master Portfolios manage counterparty credit risk by entering into transactions only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolios to market, issuer and counterparty credit risks, consist

principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Master Portfolios’ Statements of Assets and Liabilities, less any collateral held by the Master Portfolio.

The CoreAlpha Bond Master Portfolio invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedule of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

6. Subsequent Events:

Management has evaluated the impact of all subsequent events on the Master Portfolios through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

289

MASTER INVESTMENT PORTFOLIO

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Interestholders and Board of Trustees of Master Investment Portfolio:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets present fairly, in all material respects, the financial position of the LifePath Retirement Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030 Master Portfolio, LifePath 2040 Master Portfolio, LifePath 2050 Master Portfolio, Active Stock Master Portfolio and CoreAlpha Bond Master Portfolio, each a portfolio of Master Investment Portfolio (the “Master Portfolios”), at December 31, 2011, the results of each of their operations for the year then ended and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Master Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 24, 2012

290

Officers and Trustees


Name, Address and Year of Birth	Position(s) Held with MIP	Length of Time Served as a Trustee²	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees¹
Ronald W. Forbes 55 East 52^nd Street New York, NY 10055 1940	Co-Chairman of the Board and Trustee	Since 2009	Professor Emeritus of Finance, School of Business, State University of New York at Albany since 2000.	33 RICs consisting of 107 Portfolios	None
Rodney D. Johnson 55 East 52^nd Street New York, NY 10055 1941	Co-Chairman of the Board and Trustee	Since 2009	President, Fairmount Capital Advisors, Inc. since 1987; Member of the Archdiocesan Investment Committee of the Archdiocese of Philadelphia since 2004; Director, The Committee of Seventy (civic) since 2006; Director, Fox Chase Cancer Center from 2004 to 2010.	33 RICs consisting of 107 Portfolios	None
David O. Beim 55 East 52^nd Street New York, NY 10055 1940	Trustee	Since 2009	Professor of Professional Practice at the Columbia University Graduate School of Business since 1991; Trustee, Phillips Exeter Academy since 2002; Chairman, Wave Hill, Inc. (public garden and cultural center) from 1990 to 2006.	33 RICs consisting of 107 Portfolios	None
Dr. Matina S. Horner 55 East 52^nd Street New York, NY 10055 1939	Trustee	Since 2009	Executive Vice President of Teachers Insurance and Annuity Association and College Retirement Equities Fund from 1989 to 2003.	33 RICs consisting of 107 Portfolios	NSTAR (electric and gas utility)
Herbert I. London 55 East 52^nd Street New York, NY 10055 1939	Trustee	Since 2009	Professor Emeritus, New York University since 2005; John M. Olin Professor of Humanities, New York University from 1993 to 2005 and Professor thereof from 1980 to 2005; President, Hudson Institute (policy research organization) since 1997 and Trustee thereof since 1980; Chairman of the Board of Trustees for Grantham University since 2006; Director, InnoCentive, Inc. (strategic solutions company) since 2005; Director, Cerego, LLC (software development and design) since 2005; Director, Cybersettle (dispute resolution technology) since 2009.	33 RICs consisting of 107 Portfolios	AIMS Worldwide, Inc. (marketing)
Cynthia A. Montgomery 55 East 52^nd Street New York, NY 10055 1952	Trustee	Since 2009	Professor, Harvard Business School since 1989; Director, McLean Hospital since 2005; Director, Harvard Business School Publishing from 2005 to 2010.	33 RICs consisting of 107 Portfolios	Newell Rubbermaid, Inc. (manufacturing)
Joseph P. Platt 55 East 52^nd Street New York, NY 10055 1947	Trustee	Since 2009	Director, The West Penn Allegheny Health System (a not-for-profit health system) since 2008; Director, Jones and Brown (Canadian insurance broker) since 1998; General Partner, Thorn Partners, LP (private investment) since 1998; Director, WQED Multi-Media (public broadcasting not-for-profit) since 2001; Partner, Amarna Corporation, LLC (private investment company) from 2002 to 2008.	33 RICs consisting of 107 Portfolios	Greenlight Capital Re, Ltd. (reinsurance company)
Robert C. Robb, Jr. 55 East 52^nd Street New York, NY 10055 1945	Trustee	Since 2009	Partner, Lewis, Eckert, Robb and Company (management and financial consulting firm) since 1981.	33 RICs consisting of 107 Portfolios	None
Toby Rosenblatt 55 East 52^nd Street New York, NY 10055 1938	Trustee	Since 2009	President, Founders Investments Ltd. (private investments) since 1999; Director, College Access Foundation of California (philanthropic foundation) since 2009; Director, Forward Management, LLC since 2007; Director, A.P. Pharma, Inc. (specialty pharmaceuticals) from 1983 to 2011; Director, The James Irvine Foundation (philanthropic foundation) from 1998 to 2008.	33 RICs consisting of 107 Portfolios	None

291


Name, Address and Year of Birth	Position(s) Held with MIP	Length of Time Served as a Trustee²	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees¹
Kenneth L. Urish 55 East 52^nd Street New York, NY 10055 1951	Trustee	Since 2009	Managing Partner, Urish Popeck & Co., LLC (certified public accountants and consultants) since 1976; Chairman Elect of the Professional Ethics Committee of the Pennsylvania Institute of Certified Public Accountants and Committee Member thereof since 2007; Member of External Advisory Board, The Pennsylvania State University Accounting Department since 2001; Trustee, The Holy Family Foundation from 2001 to 2010; President and Trustee, Pittsburgh Catholic Publishing Associates from 2003 to 2008; Director, Inter-Tel from 2006 to 2007.	33 RICs consisting of 107 Portfolios	None
Frederick W. Winter 55 East 52^nd Street New York, NY 10055 1945	Trustee	Since 2009	Professor and Dean Emeritus of the Joseph M. Katz School of Business, University of Pittsburgh since 2005 and Dean thereof from 1997 to 2005; Director, Alkon Corporation (pneumatics) since 1992; Director, Tippman Sports (recreation) since 2005; Director, Indotronix International (IT services) from 2004 to 2008.	33 RICs consisting of 107 Portfolios	None

¹	Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The Board has approved extensions in terms of Trustees who turn 72 prior to December 31, 2013.

Date shown is the earliest date a person has served for the Fund covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows certain Trustees as joining the MIP’s board in 2007, each Trustee first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: David O. Beim, 1998; Ronald W. Forbes, 1977; Dr. Matina S. Horner, 2004; Rodney D. Johnson, 1995; Herbert I. London, 1987; Cynthia A. Montgomery, 1994; Joseph P. Platt, 1999; Robert C. Robb, Jr., 1998; Toby Rosenblatt, 2005; Kenneth L. Urish, 1999; and Frederick W. Winter, 1999.


Name, Address and Year of Birth	Position(s) Held with MIP	Length of Time Served as a Trustee²	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Interested Trustees³
Paul L. Audet 55 East 52^nd Street New York, NY 10055 1953	Trustee	Since 2011	Senior Managing Director, BlackRock, and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.	159 RICs consisting of 286 Portfolios	None
Henry Gabbay 55 East 52^nd Street New York, NY 10055 1947	Trustee	Since 2007	Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	159 RICs consisting of 286 Portfolios	None

Mr. Audet is an “interested person,” as defined in the 1940 Act, of the MIP based on his position with BlackRock and its affiliates. Mr. Gabbay is an “interested person” of the MIP based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Trustees of the BlackRock registered closed-end funds and Trustees of other BlackRock registered open-end funds. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

292


Name, Address and Year of Birth	Position(s) Held with MIP	Length of Time Served	Principal Occupation(s) During Past Five Years
MIP Officers*
John M. Perlowski 55 East 52^nd Street New York, NY 10055 1964	President and Chief Executive Officer	Since 2010	Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Richard Hoerner, CFA 55 East 52^nd Street New York, NY 10055 1958	Vice President	Since 2009	Managing Director of BlackRock since 2000; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2002; Member of the Cash Management Group Executive Committee since 2005.
Brendan Kyne 55 East 52^nd Street New York, NY 10055 1977	Vice President	Since 2009	Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Simon Mendelson 55 East 52^nd Street New York, NY 10055 1964	Vice President	Since 2009	Managing Director of BlackRock since 2005; Co-head of the Global Cash and Securities Lending Group since 2010; Chief Operating Officer and Head of the Global Client Group for BlackRock’s Global Cash Management Business from 2007 to 2010; Head of BlackRock’s Strategy and Development Group from 2005 to 2007; Partner of McKinsey & Co. from 1997 to 2005.
Christopher Stavrakos, CFA 55 East 52^nd Street New York, NY 10055 1959	Vice President	Since 2009	Managing Director of BlackRock since 2006; Co-head of BlackRock’s Cash Management Portfolio Management Group since 2006; Senior Vice President, CIO, and Director of Liability Management for the Securities Lending Group at Mellon Bank from 1999 to 2006.
Neal Andrews 55 East 52^nd Street New York, NY 10055 1966	Chief Financial Officer	Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 55 East 52^nd Street New York, NY 10055 1970	Treasurer	Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Brian Kindelan 55 East 52^nd Street New York, NY 10055 1959	Chief Compliance Officer and Anti-Money Laundering Officer	Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Ira P. Shapiro 55 East 52^nd Street New York, NY 10055 1963	Secretary	Since 2010	Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.

*	Officers of the MIP serve at the pleasure of the Board of Trustees.

293



		PRESORTED STANDARD


		Not	• May Lose Value
		FDIC	• No Bank Guarantee
		Insured

		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.
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^®
			2-2012
120-6345 a.11-CH	AP2012/02/0233		Printed in U.S.A.

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.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrants’ principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (each a “covered person”). During the period covered by this Form N-CSR, registrant did not make any amendment to any provisions of such code of ethics that applies to a covered person and that relates to any element of such code set forth in paragraph (b) of Item 2 of Form N-CSR, and registrant did not grant any waiver from such code of ethics provisions. Registrant hereby undertakes to provide a copy of such code of ethics to any person upon request, without charge. To request a copy of the code of ethics, contact the registrant at 1-800-447-4930.

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT.

Registrant’s board of trustees has determined that Alan Latshaw and Anita Nagler, members of the registrant’s Audit Committee, each have all of the attributes to be deemed an “audit committee financial expert,” as such term is defined in Instruction 2(b) to Item 3 of Form N-CSR. Mr. Latshaw and Ms. Nagler are “independent” as such term is defined in paragraph (a)(2) of Item 3 of Form N-CSR.

As indicated in Instruction 2(d) to Item 3 of Form N-CSR, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert pursuant to this Item 3 of Form N-CSR. The designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations, or liability that are greater than the duties, obligations, and liability imposed on such person as a member of the Audit Committee and board of trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not affect the duties, obligations, or liability of any other member of the Audit Committee or board of trustees.

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a)	Audit Fees

Billed to registrant for fiscal year ending December 31, 2011: $ 388,905

Billed to registrant for fiscal year ending December 31, 2010: $ 430,202

The audit fees for December 31, 2011 are based on amounts billed and expected to be billed to registrant by the registrant’s independent registered public accountant and include an estimated amount from the registrant’s independent registered public accountant for the out-of-pocket expenses it expects to bill to registrant for that time period.

(b)	Audit-Related Fees

Billed to registrant for fiscal year ending December 31, 2011: $ 0

Billed to registrant for fiscal year ending December 31, 2010: $ 0

The nature of the services comprising the fees disclosed under this category: not applicable

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:

Billed for fiscal year ending December 31, 2011: $ 0

Billed for fiscal year ending December 31, 2010: $ 0

The nature of the services comprising the fees disclosed under this category: not applicable

(c)

Tax Fees

Billed to registrant for fiscal year ending December 31, 2011: $ 68,000

Billed to registrant for fiscal year ending December 31, 2010: $ 73,350

The nature of the services comprising the fees disclosed under this category:

Includes fees for reviewing the registrant’s compliance with tax qualification tests relating to asset diversification, gross income, and distribution requirements to maintain the registrant’s status as a Regulated Investment Company under current provisions of the Internal Revenue Code. Also includes fees for reviewing the registrant’s tax returns (federal, state, and excise) and a review of income tax and excise tax positions, issues and tax accounting methods with respect to the registrant.

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:

Billed for fiscal year ending December 31, 2011: $ 0

Billed for fiscal year ending December 31, 2010: $ 0

The nature of the services comprising the fees disclosed under this category: not applicable

(d)	All Other Fees

Billed to registrant for fiscal year ending December 31, 2011: $ 0

Billed to registrant for fiscal year ending December 31, 2010: $ 0

The nature of the services comprising the fees disclosed under this category include: not applicable

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:

Billed for fiscal year ending December 31, 2011: $ 20,600

Billed for fiscal year ending December 31, 2010: $ 0

The nature of the services comprising the fees disclosed under this category:

The fees for the period ending December 31, 2011 that were approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X were billed to registrant’s transfer agent, State Farm Investment Management Corp., by the registrant’s independent registered public accountant. These fees related to the performance of an internal control review of the internal controls of the registrant’s transfer agent and issuance of a report in accordance with Rule 17Ad-13 under the Securities Exchange Act of 1934 by the registrant’s independent registered public accountant.

(e)(1)

The Audit Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X:

The Audit Committee (the “Committee”) will approve and recommend to the Board, the selection, retention or termination of the independent registered public accountants of the Trust, and review the independent registered public accountant’s fees to determine whether those fees appear to be appropriate for the services rendered.

Any engagement shall be pursuant to a written engagement letter approved by the Committee, which shall provide, among other things, that:

the Committee shall be directly responsible for the appointment, compensation and oversight of the independent registered public accountants; and

the independent registered public accountants shall report directly to the Committee.

Pre-approve any engagement of the independent registered public accountants to provide any services (other than the prohibited non-audit services specified in section c. below) to the Trust, or to SFIMC [State Farm Investment Management Corp.] and any entity controlling, controlled by, or under common control with SFIMC that provides ongoing services to the Trust (if the

engagement relates directly to the operations and financial reporting of the Trust), including the fees and other compensation to be paid to the independent registered public accountants. The Chairman of the Committee may grant such pre-approval. Any such delegated pre-approval shall be presented to the Committee by the Chairman at the next meeting of the Committee.

(1)

Pre-approval of non-audit services for the Trust is waived, if:

the aggregate amount of all non-audit services provided to the Trust is less than 5% of the total fees paid by the Trust to its independent registered public accountants during the fiscal year in which the non-audit services are provided;

the services were not recognized by management at the time of the engagement as non-audit services; and

such services are promptly brought to the attention of the Committee by management and the Committee approves them (which may be by delegation as provided for above) prior to the completion of the audit.

(2)

Pre-approval of non-audit services for SFIMC or any entity controlling, controlled by, or under common control with SFIMC that provides ongoing services to the Trust is waived, if:

the aggregate amount of all non-audit services provided is less than 5% of the total fees paid by the Trust, SFIMC and any entity controlling, controlled by, or under common control with SFIMC that provides ongoing services to the Trust to its independent registered public accountants during the fiscal year in which the non-audit services are provided that would have to be pre-approved;

the services were not recognized by management at the time of the engagement as non-audit services; and

such services are promptly brought to the attention of the Committee by management and the Committee approves them (which may be by delegation) prior to the completion of the audit.

The independent registered public accountants shall not perform any of the following non-audit services for the Trust:

(1)

bookkeeping or other services related to the accounting records or financial statements of the Trust;

(2)

financial information systems design and implementation;

(3)

appraisal or valuation services, fairness opinions, or contribution-in-kind reports;

(4)

actuarial services;

(5)

internal audit outsourcing services;

(6)

management functions or human resources;

(7)

broker or dealer, investment adviser, or investment banking services;

(8)

legal services and expert services unrelated to the audit; and

(9)

any other services that the Public Company Accounting Oversight Board determines are impermissible.

(e)(2)

The percentage of services described in each of paragraphs (b) through (d) of this Item that were rendered

to the registrant and approved by the Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:


	Paragraph (b)	Paragraph (c)	Paragraph (d)
Fiscal year ending December 31, 2011:	not applicable	not applicable	not applicable
Fiscal year ending December 31, 2010:	not applicable	not applicable	not applicable

The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X:


	Paragraph (b)	Paragraph (c)	Paragraph (d)
Fiscal year ending December 31, 2011:	not applicable	0%	100%
Fiscal year ending December 31, 2010:	not applicable	0%	not applicable

(f)	Not applicable.

(g)	Aggregate non-audit fees billed by the registrant’s accountant for services rendered to registrant:


Fiscal year ending December 31, 2011:	$	68,000
Fiscal year ending December 31, 2010:	$	73,350

Aggregate non-audit fees billed by the registrant’s accountant for services rendered to registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser):


Fiscal year ending December 31, 2011:		$ 20,600
Fiscal year ending December 31, 2010:		$ 0

Aggregate non-audit fees billed by the registrant’s accountant for services rendered to an entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:


Fiscal year ending December 31, 2011:		$ 0
Fiscal year ending December 31, 2010:	$	0

(h)	Not applicable.

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6.

INVESTMENTS.

(a)	The information required by this Item 6(a) is included as part of the report to shareholders under Item 1 of this Form N-CSR.

(b)	Not applicable.

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

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 February 28, 2012

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 February 28, 2012


By		/s/ Michael L. Tipsord
		Michael L. Tipsord
		Senior Vice President and Treasurer

Date February 28, 2012